As filed with the Securities and Exchange Commission on November 7, 2019
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-05518
Investment Company Act file number
The RBB FUND, INC.
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Salvatore Faia, President
c/o U.S. Bank Global Fund Services
615 East Michigan Street
Milwaukee, WI 53202
(Name and address of agent for service)
(414) 765-5366
Registrant's telephone number, including area code
Date of fiscal year end: August 31
Date of reporting period: August 31, 2019
Item 1. Reports to Stockholders.
Abbey Capital Futures Strategy Fund
of
THE RBB FUND, INC.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6484.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-844-261-6484 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
Abbey Capital Futures Strategy Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Dear Shareholder,
The Abbey Capital Futures Strategy Fund (the “Fund”) Class I returned +10.63% net of fees for the 12-month fiscal year ended August 31, 2019. The positive performance was driven primarily by profits in fixed income and major currencies, although losses were incurred in equities and energy over the period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) sub-advisers (sub-advisers are also known as “Trading Advisers”) drove the majority of positive performance over the period, with the Fund’s non-Trendfollowing allocation performing negatively. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), which invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest up to 25% of its assets into Abbey Capital Onshore Series LLC (“ACOS”), which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.
Average Total Returns for the Periods Ended August 31, 2019 (unless otherwise noted)
2019 | 1 Year | SEP. 1, 2017 TO | 5 Year | ANNUALIZED | |
Class I Shares | 15.35% | 10.63% | 1.34% | 4.40% | 4.98% |
Class A Shares* | 15.28% | 10.37% | 1.08% | 4.15% | 4.72% |
Class A Shares (max load)* | 8.64% | 4.01% | -4.73% | 2.93% | 3.53% |
Class C Shares** | 14.57% | 9.49% | 0.36% | 3.38% | 3.95% |
BofA Merrill Lynch 3-Month T- Bill Index*** | 1.63% | 2.36% | 1.52% | 0.95% | 0.92% |
S&P 500® Total Return Index*** | 18.34% | 2.92% | 19.66% | 10.11% | 10.31% |
Barclay CTA Index*** | 7.62% | 5.64% | -0.10% | 1.47% | 1.72% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 20, 2019
Source: Abbey Capital, Bloomberg and BarclayHedge.
Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
Please note the above is shown for illustrative purposes only
* | Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. There is a maximum sales charge (load) imposed on purchases (as a percentage of offering price) of 5.75% in Class A Shares. |
** | Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio. |
*** | The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable and the table above is shown for illustrative purposes only. |
Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively. These represent the net expense ratios and are applicable to investors. This contractual limitation is in effect until December 31, 2020, and may not be terminated
1
Abbey Capital Futures Strategy Fund
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 1.88%. 2.13% and 2.88% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively, as stated in the Fund’s current prospectus dated December 31, 2018, as supplemented (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.
Please refer to the prospectus for further information on expenses and fees.
Market Commentary
The twelve-month fiscal year ended August 31, 2019 saw various themes emerge and drive market sentiment, leading to periods of elevated volatility in certain market sectors. Geopolitics was a key driver of equity markets across the globe, with investors having to consider US-China trade tensions and Brexit, among other risks. Monetary policy was another market driver as a number of global central banks shifted towards a more dovish stance in 2019. Concerns over weak global economic data, particularly slowing manufacturing growth, and global trade uncertainty were some of the factors impacting central bank policy. Overall, geopolitical uncertainty and more accommodative monetary policy supported fixed income markets over the period, while there were periods of volatility within equity markets that were also notable.
October 2018 saw a sharp selloff in US equities due to policy tightening fears following robust US economic data and some hawkish rhetoric from US Federal Reserve (“Fed”) Chair Powell. Threats from US President Trump to escalate the trade war with China were an added headwind for stocks, with Asian indices particularly impacted by the deteriorating US-China trade relations. Although global equity markets stabilised in November, most major indices tumbled in early December as the Fed hiked rates for the fourth time in 2018 and was perceived to be less dovish than expected given rising concerns over global growth. A US government shutdown and hard Brexit concerns added to the list of political risks influencing markets.
Sentiment improved in early 2019 on optimism over the US-China trade impasse, with risk assets receiving a boost from an almost synchronous shift in policy guidance by central banks. With persistently weak eurozone economic data and signs that the global economy may be slowing, the European Central Bank (“ECB”) pushed back the date of any potential rate hike and announced plans to increase credit availability. The Fed also backed away from its previous guidance for rate hikes in 2019 after acknowledging a slowdown in US economic activity. Guidance from central banks in Australia, Canada, Japan and New Zealand also turned more cautious, which all tended to support a rally in global bonds in the first part of 2019.
Concerns over slowing global growth increased in Q2 2019, while further escalation in the US- China trade dispute was another market-moving theme. As a result, expectations of easier monetary policy followed, and global fixed income markets saw an extended bullish trend. Stocks were also mostly higher in Q2 2019, with the S&P 500 Index recording its strongest first half of a year since 1998. Perceived haven assets and currencies were also in high demand in the second half of Q2 2019, with USD/JPY declining from late April 2019 until August 2019. Gold prices rose slightly later in Q2 2019 amid low global bond yields and general caution over the global economic outlook. Gold prices reached a six-year high in August 2019 as the uptrend extended, ultimately finishing August slightly below this level.
With persistent concerns over US-China trade and weak economic data, July 2019 saw the Fed cut rates and the ECB hinting at fresh monetary stimulus later in the year. Eurozone bond markets extended gains in July as a result, while the USD rose in value, and US Treasury yields ticked higher as the Fed attempted to downplay its rate cut as a ‘mid-cycle adjustment’. In the United Kingdom (“UK”), yields dropped alongside the GBP as Brexit became a notable driver of UK asset prices. Boris Johnson’s confirmation as UK Prime Minister sparked fresh fears over a ‘no-deal’ Brexit, which would remain a concern throughout August. Over the full 12-month period, UK 10-year yields dropped by over 0.90%,
2
Abbey Capital Futures Strategy Fund
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
highlighting both the stark rally across global bond markets and caution over the UK’s exit from the European Union. Yields in the US fell more drastically, with the US 10- year Treasury yield down over 1.30%, of which 0.52% were lost in August 2019. The sharp decline in US yields saw the Treasury yield curve invert between the 2-year and 10-year maturities, which spooked equity markets in August 2019. Over the full fiscal year, the S&P 500 Index finished up 0.9% and the DJ Euro Stoxx 50 Index in Europe was also higher. In Asia, the Nikkei 225 Index and the Hang Seng Index both saw notable twelve-month losses.
Apart from gold prices, commodity markets saw few multi-month trends over the period and choppy trading was apparent in energy and agricultural commodities. Crude oil sold off sharply in Q4 2018 on global demand concerns, record US and Russian production and a smaller-than- expected Organization of Petroleum Exporting Countries supply cut. Prices recovered in Q1 2019 and early Q2 2019, before the market started trading within a broad range, with the West Texas Intermediate contract largely trading between $50 and $65 per barrel. Within agricultural commodities, corn and wheat futures saw a sharp break higher in May 2019 amid fears over US planting progress. The breakout reversed later in the period, with both markets finishing the fiscal year lower. Elsewhere, worries over Chinese demand and slower global growth generally weighed on copper and aluminium prices, while nickel prices spiked in August on news that Indonesia would introduce a ban on nickel ore exports.
Performance Attribution
Positive performance for the Fund was driven by gains from ACOF’s and ACOS’s exposure to fixed income, major currencies and precious metals, while some losses were incurred due to equity and energy exposure. The Trendfollowing sub-advisers were the strongest performing trading style over the period, while Value and Global Macro sub-advisers struggled.
Within bonds, long exposure to German and French contracts were held throughout the period, with both positions generating strong gains. US contracts were also additive within the bond sector, as long exposures in 2019 were strong performing positions. Interest rate gains stemmed from Eurodollar, LIBOR and Australian Interbank 3-month contracts. By trading style, Trendfollowing was the standout performer within fixed income, capturing the majority of gains, particularly in German and US contracts. Value saw profits from long positions in French and Italian debt. Major currencies was a profitable sector largely due to short exposure in EUR/USD, which was a position held by all trading styles over the period. Further, smaller gains were generated from primarily short exposures in GBP/USD, AUD/USD and EUR/JPY, while losses were incurred from mostly long USD/JPY positioning. In precious metals, the majority of gains came late in the twelve-month period, notably from long gold exposure as prices broke higher in late Q2 2019.
On the negative side, equities was the largest detracting sector, as mostly long exposures in US, Japanese and UK indices sustained losses. Particularly in October 2018 as US equity markets corrected, long exposures in the S&P 500 Index and Nikkei 225 Index proved difficult. Trendfollowing formed most of the equity losses overall, with twelve-month losses in most indices traded apart from the DJ Euro Stoxx 50 Index. Global Macro was close to flat within equities, while Value was negative due to mixed exposures in the DAX 30 Index and FTSE 100 Index. Elsewhere, energy losses stemmed from mixed exposures in crude oil and distillate contracts, with long crude oil positions in Q4 2018 incurring losses as the market turned lower. Trendfollowing was the largest driver of energy losses, while Value was also negative due to short gasoline and long crude positions held over most of the period. Smaller sector-level losses were seen in emerging market currencies, agricultural commodities and base metals.
Key to Currency Abbreviations | |
AUD | Australian Dollar |
EUR | Euro |
GBP | British Pound Sterling |
JPY | Japanese Yen |
USD | US Dollar |
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Abbey Capital Futures Strategy Fund
Annual Investment Adviser’s Report (Concluded)
August 31, 2019 (Unaudited)
An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), which invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest up to 25% of its assets into Abbey Capital Onshore Series LLC (“ACOS”), which is a multi-adviser fund that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.
The Abbey Capital Futures Strategy Fund is distributed by Quasar Distributions, LLC.
4
Abbey Capital Futures Strategy Fund
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund - Class A Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index
The chart illustrates the performance of a hypothetical $10,000 initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions (performance shown prior to August 29, 2014 is Class I Shares performance adjusted for Class A shares expense ratio). Class A Shares growth of a hypothetical investment of $10,000 is adjusted for the maximum sales charge of 5.75%. This results in a net initial investment of $9,425. Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.
Average Annual Total Returns for the Periods Ended August 31, 2019 | |||||
One | Three | Five | Since | ||
Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014) | 10.37% | 1.89% | 4.15% | 4.72%* | |
Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014) | 4.01% | -0.11% | 2.93% | 3.53%* | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 2.36% | 1.50% | 0.95% | 0.92%** | |
S&P 500® Total Return Index | 2.92% | 12.70% | 10.11% | 10.31%** | |
Barclay CTA Index | 5.64% | 1.07% | 1.47% | 1.72%** |
† | Inception date of Class A Shares of the Fund was August 29, 2014. |
* | Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. |
** | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes)
5
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
August 31, 2019 (Unaudited)
to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Without the limitation arrangement, the gross expense ratio is 2.13% for Class A Shares as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
6
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $1,000,000 Investment in Abbey Capital Futures Strategy Fund – Class I Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index
The chart illustrates the performance of a hypothetical $1,000,000 minimum initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions. Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.
Average Annual Total Returns for the Periods Ended August 31, 2019 | |||||
One | Three | Five | Since | ||
Class I Shares | 10.63% | 2.12% | 4.40% | 4.98% | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 2.36% | 1.50% | 0.95% | 0.92%* | |
S&P 500® Total Return Index | 2.92% | 12.70% | 10.11% | 10.31%* | |
Barclay CTA Index | 5.64% | 1.07% | 1.47% | 1.72%* |
† | Inception date of Class I Shares of the Fund was July 1, 2014. |
* | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 1.88% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
7
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund – Class C Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index
The chart illustrates the performance of a hypothetical $10,000 minimum initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions (performance shown prior to October 6, 2015 is Class I Shares performance adjusted for Class C Shares expense ratio). Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.
Average Annual Total Returns for the Periods Ended August 31, 2019 | |||||
One | Three | Five | Since | ||
Class C Shares (Pro forma July 1, 2014 to October 6, 2015) | 9.49% | 1.13% | 3.38% | 3.95%* | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 2.36% | 1.50% | 0.95% | 0.92%** | |
S&P 500® Total Return Index | 2.92% | 12.70% | 10.11% | 10.31%** | |
Barclay CTA Index | 5.64% | 1.07% | 1.47% | 1.72%** |
† | Inception date of Class C Shares of the Fund was October 6, 2015. |
* | Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio. |
** | Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only. |
The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Without the limitation arrangement, the gross expense ratio is 2.88% for Class C Shares, as stated in the current prospectus (and which may differ from the
8
Abbey Capital Futures Strategy Fund
Performance Data (Continued)
August 31, 2019 (Unaudited)
actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.
9
Abbey Capital Futures Strategy Fund
Performance Data (Concluded)
August 31, 2019 (Unaudited)
The S&P 500® Total Return Index
The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.
S&P 500® Index
The S&P 500® Index is a market-capitalization-weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.
Barclay CTA Index
The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 510 programs included in the calculation of the Barclay CTA Index for 2019. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Hang Seng Index
The Hang Seng Index is a market capitalization-weighted index of 40 of the largest companies that trade on the Hong Kong Exchange. The Hang Seng Index is maintained by a subsidiary of Hang Seng Bank, and has been published since 1969.
Nikkei 225 Index
The Nikkei 225 Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies traded on the Tokyo Stock Exchange.
DJ Euro Stoxx 50 Index
DJ Euro Stoxx 50 Index is a stock index of Eurozone stocks designed by STOXX, an index provider owned by Deutsche Börse Group. According to STOXX, its goal is “to provide a blue-chip representation of Supersector leaders in the Eurozone”. It is made up of fifty of the largest and most liquid stocks.
DAX 30 Index
DAX 30 Index is a blue chip stock market index consisting of the 30 major German companies trading on the Frankfurt Stock Exchange. Prices are taken from the Xetra trading venue.
FTSE 100 Index
FTSE 100 Index is a share index of the 100 companies listed on the London Stock Exchange with the highest market capitalization. It is seen as a gauge of prosperity for businesses regulated by UK company law.
A basis point is one hundredth of one percent.
Portfolio composition is subject to change. It is not possible to invest directly in an index.
10
Abbey Capital Futures Strategy Fund
Fund Expense Examples
August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
ACTUAL EXPENSES
The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six- | |
Actual | |||||
Class A Shares | $ 1,000.00 | $ 1,171.20 | $ 11.16 | 2.04% | 17.12% |
Class I Shares | 1,000.00 | 1,171.80 | 9.80 | 1.79 | 17.18 |
Class C Shares | 1,000.00 | 1,166.70 | 15.24 | 2.79 | 16.67 |
Hypothetical (5% return before expenses) | |||||
Class A Shares | $ 1,000.00 | $ 1,014.92 | $ 10.36 | 2.04% | N/A |
Class I Shares | 1,000.00 | 1,016.18 | 9.10 | 1.79 | N/A |
Class C Shares | 1,000.00 | 1,011.14 | 14.14 | 2.79 | N/A |
* | Expenses are equal to the Funds’ Class A Shares, Class I Shares, and Class C Shares annualized six-month expense ratios for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for the Fund’s respective share classes. |
11
Abbey Capital Futures Strategy Fund
Consolidated Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 82.9 | % | $ | 600,646,793 | ||||
PURCHASED OPTIONS | 0.0 | 26,906 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures, forward foreign currency contracts and written options) | 17.1 | 123,811,133 | ||||||
NET ASSETS | 100.0 | % | $ | 724,484,832 |
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments
August 31, 2019
Coupon* | Maturity | Par | Value | |||||||||||||
SHORT-TERM INVESTMENTS — 82.9% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 82.9% | ||||||||||||||||
U.S. Treasury Bills | 2.464% | 09/19/19 | $ | 34,212 | $ | 34,182,350 | ||||||||||
U.S. Treasury Bills | 2.425% | 09/26/19 | 4,084 | 4,078,971 | ||||||||||||
U.S. Treasury Bills | 2.447% | 10/03/19 | 49,909 | 49,826,130 | ||||||||||||
U.S. Treasury Bills | 2.444% | 10/10/19 | 511 | 509,952 | ||||||||||||
U.S. Treasury Bills | 2.428% | 10/24/19 | 15,470 | 15,427,538 | ||||||||||||
U.S. Treasury Bills | 2.431% | 10/31/19 | 32,378 | 32,277,049 | ||||||||||||
U.S. Treasury Bills | 2.293% | 11/07/19 | 84,467 | 84,171,130 | ||||||||||||
U.S. Treasury Bills | 2.415% | 11/14/19 | 61,227 | 60,991,052 | ||||||||||||
U.S. Treasury Bills | 2.380% | 11/21/19 | 2,514 | 2,503,334 | ||||||||||||
U.S. Treasury Bills | 2.336% | 11/29/19 | 42,983 | 42,781,465 | ||||||||||||
U.S. Treasury Bills | 2.186% | 12/05/19 | 8,982 | 8,937,586 | ||||||||||||
U.S. Treasury Bills | 2.179% | 12/12/19 | 9,295 | 9,246,356 | ||||||||||||
U.S. Treasury Bills | 2.044% | 12/19/19 | 8,040 | 7,994,919 | ||||||||||||
U.S. Treasury Bills | 2.102% | 12/26/19 | 14,695 | 14,606,748 | ||||||||||||
U.S. Treasury Bills | 2.103% | 01/02/20 | 19,758 | 19,634,297 | ||||||||||||
U.S. Treasury Bills | 2.068% | 01/09/20 | 39,674 | 39,411,588 | ||||||||||||
U.S. Treasury Bills | 2.041% | 01/16/20 | 5,577 | 5,538,435 | ||||||||||||
U.S. Treasury Bills | 2.074% | 01/23/20 | 8,656 | 8,593,082 | ||||||||||||
U.S. Treasury Bills | 1.947% | 01/30/20 | 31,881 | 31,638,868 | ||||||||||||
U.S. Treasury Bills | 1.929% | 02/06/20 | 26,973 | 26,758,958 | ||||||||||||
U.S. Treasury Bills | 1.890% | 02/13/20 | 32,606 | 32,335,192 | ||||||||||||
U.S. Treasury Bills | 1.876% | 02/20/20 | 21,805 | 21,616,637 | ||||||||||||
U.S. Treasury Bills | 1.876% | 02/27/20 | 48,016 | 47,585,156 | ||||||||||||
600,646,793 | ||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||||
(Cost $600,315,779) | 600,646,793 | |||||||||||||||
TOTAL PURCHASED OPTIONS — 0.0%** | ||||||||||||||||
(Cost $562,205) | 26,906 | |||||||||||||||
TOTAL INVESTMENTS — 82.9% | ||||||||||||||||
(Cost $600,877,984) | 600,673,699 | |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 17.1% | 123,811,133 | |||||||||||||||
NET ASSETS — 100.0% | $ | 724,484,832 |
* | Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments. |
** | See page 21 for detailed information regarding the Purchased Options. |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Futures contracts outstanding as of August 31, 2019 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
10-Year Mini Japanese Government Bond Futures | Sep-19 | 17 | $ | 1,600,226 | $ | 15,541 | ||||||||||
3-Month Euro Euribor | Jun-20 | 770 | 211,566,360 | 91,248 | ||||||||||||
3-Month Euro Euribor | Sep-20 | 3 | 824,285 | 879 | ||||||||||||
3-Month Euro Euribor | Mar-21 | 4 | 1,099,046 | 1,992 | ||||||||||||
3-Month Euro Euribor | Jun-21 | 4 | 1,099,046 | 3,311 | ||||||||||||
3-Month Euro Euribor | Sep-21 | 10 | 2,747,615 | 11,471 | ||||||||||||
3-Month Euro Euribor | Dec-21 | 15 | 4,121,423 | 15,428 | ||||||||||||
3-Month Euro Euribor | Mar-22 | 4 | 1,099,046 | 3,915 | ||||||||||||
3-Month Euro Euribor | Jun-22 | 4 | 1,099,046 | 2,597 | ||||||||||||
90-DAY Bank Bill | Dec-19 | 37 | 24,917,671 | 15,256 | ||||||||||||
90-DAY Bank Bill | Mar-20 | 58 | 39,060,132 | 28,370 | ||||||||||||
90-DAY Bank Bill | Jun-20 | 661 | 445,150,819 | 231,550 | ||||||||||||
90-DAY Bank Bill | Sep-20 | 24 | 16,162,813 | 13,857 | ||||||||||||
90-DAY Bank Bill | Dec-20 | 23 | 15,489,363 | 11,362 | ||||||||||||
90-DAY Bank Bill | Mar-21 | 16 | 10,775,209 | 7,675 | ||||||||||||
90-DAY Eurodollar Futures | Jun-20 | 851 | 212,750,000 | 212,813 | ||||||||||||
90-DAY Eurodollar Futures | Sep-20 | 25 | 6,250,000 | 22,675 | ||||||||||||
90-DAY Eurodollar Futures | Dec-20 | 527 | 131,750,000 | 414,100 | ||||||||||||
90-DAY Eurodollar Futures | Mar-21 | 24 | 6,000,000 | 30,263 | ||||||||||||
90-DAY Eurodollar Futures | Jun-21 | 459 | 114,750,000 | 463,713 | ||||||||||||
90-DAY Eurodollar Futures | Sep-21 | 22 | 5,500,000 | 26,450 | ||||||||||||
90-DAY Eurodollar Futures | Dec-21 | 18 | 4,500,000 | 20,800 | ||||||||||||
90-DAY Eurodollar Futures | Mar-22 | 5 | 1,250,000 | 4,013 | ||||||||||||
90-DAY Eurodollar Futures | Jun-22 | 395 | 98,750,000 | 449,975 | ||||||||||||
90-DAY Eurodollar Futures | Sep-22 | 4 | 1,000,000 | 4,787 | ||||||||||||
90-DAY Eurodollar Futures | Dec-22 | 1 | 250,000 | 1,388 | ||||||||||||
90-DAY Eurodollar Futures | Mar-23 | 2 | 500,000 | 1,625 | ||||||||||||
90-DAY Sterling Futures | Mar-20 | 75 | 11,407,469 | 3,886 | ||||||||||||
90-DAY Sterling Futures | Jun-20 | 2,923 | 444,587,080 | 225,381 | ||||||||||||
90-DAY Sterling Futures | Sep-20 | 140 | 21,293,942 | 22,602 | ||||||||||||
90-DAY Sterling Futures | Dec-20 | 978 | 148,753,392 | 246,607 | ||||||||||||
90-DAY Sterling Futures | Mar-21 | 109 | 16,578,855 | 23,788 | ||||||||||||
90-DAY Sterling Futures | Jun-21 | 706 | 107,382,305 | 147,407 | ||||||||||||
90-DAY Sterling Futures | Sep-21 | 101 | 15,362,058 | 26,009 | ||||||||||||
90-DAY Sterling Futures | Dec-21 | 84 | 12,776,365 | 26,131 | ||||||||||||
90-DAY Sterling Futures | Mar-22 | 3 | 456,299 | 692 | ||||||||||||
90-DAY Sterling Futures | Jun-22 | 653 | 99,321,027 | 159,598 | ||||||||||||
Amsterdam Index Futures | Sep-19 | 76 | 9,322,838 | 296,010 | ||||||||||||
Australian 10-Year Bond Futures | Sep-19 | 190 | 12,795,561 | 266,755 | ||||||||||||
Australian 3-Year Bond Futures | Sep-19 | 758 | 51,047,552 | 411,691 | ||||||||||||
Bank Acceptance Futures | Dec-19 | 115 | 21,593,811 | 6,281 | ||||||||||||
Bank Acceptance Futures | Mar-20 | 112 | 21,030,494 | 17,782 | ||||||||||||
Bank Acceptance Futures | Jun-20 | 88 | 16,523,960 | 21,293 | ||||||||||||
Bank Acceptance Futures | Sep-20 | 56 | 10,515,247 | 16,186 | ||||||||||||
Bank Acceptance Futures | Dec-20 | 36 | 6,759,802 | 11,266 | ||||||||||||
Bank Acceptance Futures | Mar-21 | 23 | 4,318,762 | 7,286 | ||||||||||||
Brent Crude Futures | Nov-19 | 25 | 1,481,250 | 23,210 | ||||||||||||
CAC40 10 Euro Futures | Sep-19 | 385 | 23,179,210 | 503,391 |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Canadian 10-Year Bond Futures | Dec-19 | 293 | $ | 22,006,910 | $ | 135,339 | ||||||||||
DAX Index Futures | Sep-19 | 14 | 4,582,335 | (152,493 | ) | |||||||||||
DJIA Mini E-CBOT | Sep-19 | 137 | 18,088,110 | 38,186 | ||||||||||||
Dollar Index | Sep-19 | 328 | 32,800,000 | 464,730 | ||||||||||||
ECX Emission ICE | Dec-19 | 5 | 144,634 | (13,419 | ) | |||||||||||
Euro BUXL 30-Year Bond Futures | Sep-19 | 11 | 1,208,951 | 218,468 | ||||||||||||
Euro BUXL 30-Year Bond Futures | Dec-19 | 1 | 109,905 | 264 | ||||||||||||
Euro STOXX 50 | Sep-19 | 870 | 32,691,454 | 14,727 | ||||||||||||
Euro/CHF 3-Month Futures ICE | Dec-19 | 1 | 252,589 | 404 | ||||||||||||
Euro/CHF 3-Month Futures ICE | Mar-20 | 2 | 505,178 | 657 | ||||||||||||
Euro/CHF 3-Month Futures ICE | Jun-20 | 2 | 505,178 | 834 | ||||||||||||
Euro/CHF 3-Month Futures ICE | Sep-20 | 1 | 252,589 | 480 | ||||||||||||
Euro-Bobl Futures | Sep-19 | 616 | 67,701,235 | 566,119 | ||||||||||||
Euro-Bobl Futures | Dec-19 | 904 | 99,353,761 | 190,662 | ||||||||||||
Euro-BTP Futures | Sep-19 | 57 | 6,264,562 | 1,217,347 | ||||||||||||
Euro-BTP Futures | Dec-19 | 13 | 1,428,760 | (6,715 | ) | |||||||||||
Euro-Bund Futures | Sep-19 | 676 | 74,295,511 | 2,172,913 | ||||||||||||
Euro-Bund Futures | Dec-19 | 209 | 22,970,062 | 11,584 | ||||||||||||
Euro-Oat Futures | Sep-19 | 386 | 42,423,177 | 1,040,324 | ||||||||||||
Euro-Oat Futures | Dec-19 | 15 | 1,648,569 | 3,429 | ||||||||||||
Euro-Schatz Futures | Sep-19 | 628 | 69,020,091 | 254,528 | ||||||||||||
Euro-Schatz Futures | Dec-19 | 12 | 1,318,855 | 330 | ||||||||||||
FTSE 100 Index Futures | Sep-19 | 558 | 48,753,623 | (922,014 | ) | |||||||||||
FTSE/MIB Index Futures | Sep-19 | 37 | 4,334,857 | (110,646 | ) | |||||||||||
Gold 100 Oz Futures | Dec-19 | 254 | 38,846,760 | 1,701,920 | ||||||||||||
IBEX 35 Index Futures | Sep-19 | 26 | 2,513,617 | 40,956 | ||||||||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Sep-19 | 92 | 86,600,461 | 1,326,587 | ||||||||||||
JPY Currency Futures | Sep-19 | 277 | 32,592,837 | 32,815 | ||||||||||||
LME Aluminum Forward | Sep-19 | 983 | 42,576,188 | (1,239,510 | ) | |||||||||||
LME Aluminum Forward | Oct-19 | 72 | 3,135,600 | (6,009 | ) | |||||||||||
LME Copper Forward | Sep-19 | 345 | 48,888,656 | (1,822,117 | ) | |||||||||||
LME Lead Forward | Sep-19 | 6 | 302,588 | 880 | ||||||||||||
LME Lead Forward | Oct-19 | 2 | 100,850 | (4,664 | ) | |||||||||||
LME Nickel Forward | Sep-19 | 159 | 17,176,770 | 4,813,585 | ||||||||||||
LME Nickel Forward | Oct-19 | 3 | 323,910 | 68,905 | ||||||||||||
LME Nickel Forward | Dec-19 | 70 | 7,515,900 | 616,282 | ||||||||||||
LME Zinc Forward | Sep-19 | 88 | 4,859,800 | (272,729 | ) | |||||||||||
Long Gilt Futures | Dec-19 | 523 | 63,638,465 | 447,939 | ||||||||||||
MSCI Singapore Exchange ETS | Sep-19 | 59 | 1,515,655 | 24,021 | ||||||||||||
MSCI Taiwan Index | Sep-19 | 74 | 2,892,660 | 80,700 | ||||||||||||
MXN Currency Futures | Sep-19 | 239 | 5,962,628 | (215,225 | ) | |||||||||||
Nasdaq 100 E-Mini | Sep-19 | 184 | 28,301,960 | (187,880 | ) | |||||||||||
Nikkei 225 Mini | Sep-19 | 37 | 720,601 | 4,382 | ||||||||||||
OMX Stockholm 30 Index Futures | Sep-19 | 40 | 641,796 | 32,615 | ||||||||||||
Platinum Futures | Oct-19 | 3 | 139,755 | 2,485 | ||||||||||||
Russell 2000 E-Mini | Sep-19 | 8 | 597,680 | (8,045 | ) | |||||||||||
S&P 500 E-Mini Futures | Sep-19 | 149 | 21,789,760 | (293,290 | ) | |||||||||||
S&P/TSX 60 IX Futures | Sep-19 | 70 | 10,320,715 | 38,534 | ||||||||||||
Short BTP Future | Sep-19 | 48 | 5,275,421 | 29,136 | ||||||||||||
Short BTP Future | Dec-19 | 6 | 659,428 | (780 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Silver Futures | Dec-19 | 233 | $ | 21,368,450 | $ | 409,055 | ||||||||||
SPI 200 Futures | Sep-19 | 61 | 6,748,497 | 46,973 | ||||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Dec-19 | 604 | 62,111,032 | 153,492 | ||||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Dec-19 | 69 | 14,117,285 | (1,141 | ) | |||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Dec-19 | 1,044 | 108,734,326 | 267,211 | ||||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 319 | 44,654,665 | 236,617 | ||||||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 19 | 2,296,933 | 23,711 | ||||||||||||
USD/NOK Futures | Sep-19 | 5 | 500,000 | 27,570 | ||||||||||||
USD/SEK Futures | Sep-19 | 3 | 300,000 | 13,403 | ||||||||||||
WTI Crude Futures | Oct-19 | 25 | 1,377,500 | (91,990 | ) | |||||||||||
$ | 15,992,738 |
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
3-Month Euro Euribor | Dec-19 | 1 | $ | (274,762 | ) | $ | (69 | ) | ||||||||
3-Month Euro Euribor | Mar-20 | 641 | (176,122,126 | ) | (350,623 | ) | ||||||||||
3-Month Euro Euribor | Dec-20 | 27 | (7,418,561 | ) | 9,754 | |||||||||||
90-DAY Eurodollar Futures | Dec-19 | 99 | (24,750,000 | ) | 11,450 | |||||||||||
90-DAY Eurodollar Futures | Mar-20 | 5 | (1,250,000 | ) | 6,800 | |||||||||||
90-DAY Sterling Futures | Dec-19 | 1 | (152,100 | ) | 2,221 | |||||||||||
AUD/USD Currency Futures | Sep-19 | 829 | (55,829,051 | ) | 1,592,412 | |||||||||||
Brent Crude Futures | Dec-19 | 7 | (409,220 | ) | (6,450 | ) | ||||||||||
CAD Currency Futures | Sep-19 | 374 | (28,090,732 | ) | 21,275 | |||||||||||
CHF Currency Futures | Sep-19 | 164 | (20,712,301 | ) | 110,063 | |||||||||||
Cocoa Futures | Dec-19 | 23 | (511,060 | ) | (260 | ) | ||||||||||
Cocoa Futures | Mar-20 | 9 | (200,700 | ) | 520 | |||||||||||
Cocoa Futures ICE | Dec-19 | 8 | (166,360 | ) | (1,509 | ) | ||||||||||
Coffee ‘C’ Futures | Dec-19 | 226 | (8,208,038 | ) | 257,869 | |||||||||||
Coffee ‘C’ Futures | Mar-20 | 8 | (300,900 | ) | 18,487 | |||||||||||
Coffee ‘C’ Futures | May-20 | 8 | (307,650 | ) | 6,206 | |||||||||||
Copper Futures | Dec-19 | 133 | (8,483,738 | ) | 30,937 | |||||||||||
Corn Futures | Dec-19 | 1,331 | (24,606,863 | ) | 281,250 | |||||||||||
Corn Futures | Mar-20 | 11 | (210,238 | ) | 913 | |||||||||||
Cotton No.2 Futures | Dec-19 | 233 | (6,853,695 | ) | 755,335 | |||||||||||
EUR Foreign Exchange Currency Futures | Sep-19 | 1,378 | (189,310,678 | ) | 5,317,053 | |||||||||||
Euro/JPY Futures | Sep-19 | 134 | (18,409,021 | ) | 868,793 | |||||||||||
FTSE/JSE TOP 40 | Sep-19 | 6 | (193,325 | ) | (3,567 | ) | ||||||||||
Gasoline RBOB Futures | Oct-19 | 144 | (9,251,626 | ) | (9,408 | ) | ||||||||||
Gasoline RBOB Futures | Nov-19 | 20 | (1,262,352 | ) | 22,319 | |||||||||||
GBP Currency Futures | Sep-19 | 440 | (33,461,908 | ) | 1,120,342 | |||||||||||
Hang Seng China Enterprises Index Futures | Sep-19 | 21 | (1,349,529 | ) | (3,609 | ) | ||||||||||
Hang Seng Index Futures | Sep-19 | 66 | (10,779,169 | ) | (74,927 | ) | ||||||||||
Kansas City Hard Red Winter Wheat Futures | Dec-19 | 197 | (3,912,913 | ) | 239,925 | |||||||||||
Lean Hogs Futures | Oct-19 | 108 | (2,744,280 | ) | 333,970 | |||||||||||
Lean Hogs Futures | Dec-19 | 12 | (304,200 | ) | 14,530 | |||||||||||
Live Cattle Futures | Oct-19 | 129 | (5,104,528 | ) | 344,960 | |||||||||||
Live Cattle Futures | Dec-19 | 22 | (912,340 | ) | 28,870 |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Live Cattle Futures | Feb-20 | 18 | $ | (784,980 | ) | $ | 23,140 | |||||||||
Live Cattle Futures | Apr-20 | 19 | (844,928 | ) | 9,720 | |||||||||||
LME Aluminum Forward | Sep-19 | 983 | (42,576,188 | ) | 1,954,746 | |||||||||||
LME Aluminum Forward | Oct-19 | 72 | (3,135,600 | ) | 53,316 | |||||||||||
LME Aluminum Forward | Nov-19 | 46 | (2,013,650 | ) | (9,538 | ) | ||||||||||
LME Aluminum Forward | Dec-19 | 420 | (18,430,125 | ) | 342,438 | |||||||||||
LME Copper Forward | Sep-19 | 345 | (48,888,656 | ) | 2,292,935 | |||||||||||
LME Copper Forward | Oct-19 | 7 | (992,994 | ) | (14,736 | ) | ||||||||||
LME Copper Forward | Dec-19 | 160 | (22,716,000 | ) | 210,670 | |||||||||||
LME Lead Forward | Sep-19 | 6 | (302,588 | ) | (13,777 | ) | ||||||||||
LME Nickel Forward | Sep-19 | 159 | (17,176,770 | ) | (4,591,864 | ) | ||||||||||
LME Zinc Forward | Sep-19 | 88 | (4,859,800 | ) | 607,538 | |||||||||||
LME Zinc Forward | Oct-19 | 4 | (221,000 | ) | 7,467 | |||||||||||
LME Zinc Forward | Dec-19 | 65 | (3,581,500 | ) | 82,161 | |||||||||||
Low Sulphur Gasoil G Futures | Oct-19 | 23 | (1,293,175 | ) | (9,375 | ) | ||||||||||
Low Sulphur Gasoil G Futures | Nov-19 | 10 | (559,500 | ) | (12,150 | ) | ||||||||||
MSCI EAFE Index Futures | Sep-19 | 11 | (1,014,145 | ) | (10,260 | ) | ||||||||||
MSCI Emerging Markets Index Futures | Sep-19 | 26 | (1,279,200 | ) | (16,220 | ) | ||||||||||
Natural Gas Futures | Oct-19 | 488 | (11,150,900 | ) | (532,930 | ) | ||||||||||
Natural Gas Futures | Nov-19 | 35 | (813,400 | ) | (38,220 | ) | ||||||||||
Nikkei 225 (Chicago Mercantile Exchange) | Sep-19 | 6 | (619,950 | ) | (4,375 | ) | ||||||||||
Nikkei 225 (Osaka Securities Exchange) | Sep-19 | 33 | (6,426,978 | ) | 194,663 | |||||||||||
Nikkei 225 (Singapore Exchange) | Sep-19 | 101 | (9,825,717 | ) | (115,899 | ) | ||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Oct-19 | 178 | (13,735,655 | ) | 124,480 | |||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Nov-19 | 10 | (772,632 | ) | 6,808 | |||||||||||
NZD Currency Futures | Sep-19 | 407 | (25,645,065 | ) | 1,150,420 | |||||||||||
S&P Mid 400 E-Mini | Sep-19 | 2 | (376,280 | ) | (2,680 | ) | ||||||||||
Soybean Futures | Nov-19 | 269 | (11,688,050 | ) | 350,200 | |||||||||||
Soybean Meal Futures | Dec-19 | 111 | (3,277,830 | ) | 190,270 | |||||||||||
Soybean Oil Futures | Dec-19 | 48 | (829,728 | ) | (2,442 | ) | ||||||||||
Sugar No. 11 (World) | Oct-19 | 500 | (6,238,400 | ) | 369,466 | |||||||||||
Sugar No. 11 (World) | Mar-20 | 484 | (6,629,638 | ) | 281,355 | |||||||||||
Sugar No. 11 (World) | May-20 | 27 | (374,371 | ) | (986 | ) | ||||||||||
Topix Index Futures | Sep-19 | 84 | (11,939,568 | ) | 290,959 | |||||||||||
Wheat (Chicago Board of Trade) | Dec-19 | 406 | (9,388,750 | ) | 539,312 | |||||||||||
Wheat (Chicago Board of Trade) | Mar-20 | 14 | (329,000 | ) | 8,138 | |||||||||||
WTI Crude Futures | Nov-19 | 4 | (219,560 | ) | (15,150 | ) | ||||||||||
$ | 14,645,432 | |||||||||||||||
Total Futures Contracts | $ | 30,638,170 |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Forward foreign currency contracts outstanding as of August 31, 2019 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
AUD | 33,327,856 | USD | 23,189,670 | Sep 18 2019 | BOA | $ | (731,625 | ) | |||||||||||||||||||||
AUD | 9,319,000 | USD | 6,488,573 | Sep 19 2019 | BOA | (208,757 | ) | ||||||||||||||||||||||
AUD | 4,058,000 | USD | 2,796,576 | Sep 20 2019 | BOA | (61,920 | ) | ||||||||||||||||||||||
BRL | 43,179,587 | USD | 11,167,976 | Sep 18 2019 | BOA | (753,756 | ) | ||||||||||||||||||||||
CAD | 27,555,829 | USD | 20,730,951 | Sep 03 2019 | BOA | (32,781 | ) | ||||||||||||||||||||||
CAD | 27,555,829 | USD | 20,700,334 | Sep 04 2019 | BOA | (1,841 | ) | ||||||||||||||||||||||
CAD | 26,242,658 | USD | 19,907,174 | Sep 18 2019 | BOA | (190,590 | ) | ||||||||||||||||||||||
CAD | 119,374,000 | USD | 90,041,698 | Sep 19 2019 | BOA | (352,385 | ) | ||||||||||||||||||||||
CAD | 51,850,000 | USD | 39,501,103 | Sep 20 2019 | BOA | (543,987 | ) | ||||||||||||||||||||||
CAD | 4,700,000 | USD | 3,549,222 | Sep 26 2019 | BOA | (17,565 | ) | ||||||||||||||||||||||
CHF | 30,242,000 | USD | 31,291,725 | Sep 19 2019 | BOA | (681,012 | ) | ||||||||||||||||||||||
CHF | 6,457,000 | USD | 6,636,811 | Sep 20 2019 | BOA | (100,468 | ) | ||||||||||||||||||||||
CLP | 7,979,495,798 | USD | 11,455,511 | Sep 23 2019 | BOA | (394,785 | ) | ||||||||||||||||||||||
CNH | 29,605,491 | USD | 4,300,000 | Sep 18 2019 | BOA | (167,916 | ) | ||||||||||||||||||||||
COP | 25,532,252,638 | USD | 7,672,993 | Sep 18 2019 | BOA | (262,036 | ) | ||||||||||||||||||||||
AUD | 9,157,482 | USD | 6,167,359 | Sep 03 2019 | BOA | 583 | |||||||||||||||||||||||
CZK | 104,080,483 | EUR | 4,050,000 | Sep 18 2019 | BOA | (47,749 | ) | ||||||||||||||||||||||
CZK | 16,888,282 | EUR | 650,000 | Dec 18 2019 | BOA | (3,800 | ) | ||||||||||||||||||||||
EUR | 21,501,159 | USD | 23,635,230 | Sep 03 2019 | BOA | 2,659 | |||||||||||||||||||||||
EUR | 4,050,000 | CZK | 104,333,400 | Sep 18 2019 | BOA | 37,033 | |||||||||||||||||||||||
EUR | 4,400,000 | HUF | 1,433,131,515 | Sep 18 2019 | BOA | 82,567 | |||||||||||||||||||||||
EUR | 9,350,000 | NOK | 92,704,742 | Sep 18 2019 | BOA | 112,593 | |||||||||||||||||||||||
EUR | 4,750,000 | PLN | 20,451,491 | Sep 18 2019 | BOA | 89,104 | |||||||||||||||||||||||
EUR | 24,200,000 | SEK | 258,522,619 | Sep 18 2019 | BOA | 261,965 | |||||||||||||||||||||||
EUR | 40,544,223 | USD | 45,677,915 | Sep 18 2019 | BOA | (1,051,415 | ) | ||||||||||||||||||||||
EUR | 72,947,000 | USD | 81,606,428 | Sep 19 2019 | BOA | (1,308,156 | ) | ||||||||||||||||||||||
EUR | 16,451,000 | USD | 18,558,011 | Sep 20 2019 | BOA | (447,697 | ) | ||||||||||||||||||||||
EUR | 150,000 | CZK | 3,904,899 | Dec 18 2019 | BOA | 554 | |||||||||||||||||||||||
EUR | 1,400,000 | HUF | 460,721,256 | Dec 18 2019 | BOA | 13,286 | |||||||||||||||||||||||
EUR | 3,700,000 | NOK | 37,072,831 | Dec 18 2019 | BOA | 24,923 | |||||||||||||||||||||||
EUR | 300,000 | PLN | 1,321,370 | Dec 18 2019 | BOA | (71 | ) | ||||||||||||||||||||||
GBP | 30,717,428 | USD | 37,369,242 | Sep 03 2019 | BOA | 13,990 | |||||||||||||||||||||||
GBP | 21,324,766 | USD | 26,609,676 | Sep 18 2019 | BOA | (639,768 | ) | ||||||||||||||||||||||
GBP | 8,845,000 | USD | 11,029,551 | Sep 19 2019 | BOA | (257,364 | ) | ||||||||||||||||||||||
GBP | 3,664,000 | USD | 4,553,648 | Sep 20 2019 | BOA | (91,116 | ) | ||||||||||||||||||||||
GBP | 2,742,000 | USD | 3,371,388 | Sep 26 2019 | BOA | (30,878 | ) | ||||||||||||||||||||||
HUF | 1,425,383,688 | EUR | 4,400,000 | Sep 18 2019 | BOA | (108,303 | ) | ||||||||||||||||||||||
HUF | 1,236,419,371 | USD | 4,306,529 | Sep 18 2019 | BOA | (199,495 | ) | ||||||||||||||||||||||
ILS | 9,899,304 | USD | 2,800,000 | Sep 18 2019 | BOA | 3,860 | |||||||||||||||||||||||
INR | 1,466,385,792 | USD | 20,871,814 | Sep 18 2019 | BOA | (378,343 | ) | ||||||||||||||||||||||
INR | 50,878,575 | USD | 700,000 | Dec 18 2019 | BOA | 3,474 | |||||||||||||||||||||||
JPY | 2,865,436,450 | USD | 27,008,290 | Sep 03 2019 | BOA | (28,471 | ) | ||||||||||||||||||||||
JPY | 2,865,436,450 | USD | 26,973,180 | Sep 05 2019 | BOA | 10,240 | |||||||||||||||||||||||
JPY | 2,916,780,695 | USD | 27,379,107 | Sep 18 2019 | BOA | 115,160 | |||||||||||||||||||||||
JPY | 6,470,600,000 | USD | 60,822,550 | Sep 19 2019 | BOA | 175,582 | |||||||||||||||||||||||
JPY | 4,230,259,000 | USD | 39,706,515 | Sep 20 2019 | BOA | 175,083 | |||||||||||||||||||||||
JPY | 751,066,672 | EUR | 6,381,000 | Sep 26 2019 | BOA | 56,115 | |||||||||||||||||||||||
JPY | 615,505,000 | USD | 5,816,138 | Sep 26 2019 | BOA | (10,647 | ) | ||||||||||||||||||||||
KRW | 18,769,505,640 | USD | 15,867,789 | Sep 18 2019 | BOA | (363,968 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
KRW | 60,273,715 | USD | 50,000 | Dec 18 2019 | BOA | $ | (70 | ) | |||||||||||||||||||||
MXN | 273,303,628 | USD | 13,901,299 | Sep 18 2019 | BOA | (309,514 | ) | ||||||||||||||||||||||
MXN | 304,610,000 | USD | 15,728,658 | Sep 19 2019 | BOA | (582,598 | ) | ||||||||||||||||||||||
MXN | 94,750,000 | USD | 4,880,903 | Sep 20 2019 | BOA | (170,488 | ) | ||||||||||||||||||||||
NOK | 91,316,431 | EUR | 9,350,000 | Sep 18 2019 | BOA | (265,028 | ) | ||||||||||||||||||||||
NOK | 112,982,712 | USD | 13,100,758 | Sep 18 2019 | BOA | (695,439 | ) | ||||||||||||||||||||||
NOK | 129,400,000 | USD | 15,098,297 | Sep 19 2019 | BOA | (890,044 | ) | ||||||||||||||||||||||
NZD | 22,742,623 | USD | 15,150,634 | Sep 18 2019 | BOA | (812,297 | ) | ||||||||||||||||||||||
NZD | 34,306,000 | USD | 22,672,649 | Sep 19 2019 | BOA | (1,043,463 | ) | ||||||||||||||||||||||
NZD | 2,084,000 | USD | 1,368,140 | Sep 20 2019 | BOA | (54,188 | ) | ||||||||||||||||||||||
PHP | 312,308,785 | USD | 5,950,000 | Sep 18 2019 | BOA | 43,260 | |||||||||||||||||||||||
PHP | 49,889,010 | USD | 950,000 | Dec 18 2019 | BOA | 3,222 | |||||||||||||||||||||||
PLN | 20,419,356 | EUR | 4,750,000 | Sep 18 2019 | BOA | (97,179 | ) | ||||||||||||||||||||||
PLN | 59,425,761 | USD | 15,761,265 | Sep 18 2019 | BOA | (828,444 | ) | ||||||||||||||||||||||
PLN | 85,800,000 | USD | 22,754,415 | Sep 19 2019 | BOA | (1,193,782 | ) | ||||||||||||||||||||||
RUB | 441,832,662 | USD | 6,700,000 | Sep 18 2019 | BOA | (93,788 | ) | ||||||||||||||||||||||
SEK | 204,215,169 | EUR | 19,300,000 | Sep 18 2019 | BOA | (409,083 | ) | ||||||||||||||||||||||
SEK | 32,323,307 | USD | 3,444,276 | Sep 18 2019 | BOA | (146,630 | ) | ||||||||||||||||||||||
SEK | 13,660,000 | USD | 1,461,652 | Sep 19 2019 | BOA | (67,953 | ) | ||||||||||||||||||||||
SGD | 12,918,614 | USD | 9,434,506 | Sep 18 2019 | BOA | (123,468 | ) | ||||||||||||||||||||||
THB | 145,464,921 | USD | 4,700,000 | Sep 18 2019 | BOA | 60,509 | |||||||||||||||||||||||
THB | 61,199,526 | USD | 2,000,000 | Dec 18 2019 | BOA | 7,076 | |||||||||||||||||||||||
TRY | 22,618,857 | USD | 3,800,000 | Sep 18 2019 | BOA | 51,828 | |||||||||||||||||||||||
TRY | 105,095,000 | USD | 17,662,741 | Sep 19 2019 | BOA | 227,192 | |||||||||||||||||||||||
TRY | 10,296,188 | USD | 1,700,000 | Dec 18 2019 | BOA | (4,801 | ) | ||||||||||||||||||||||
TWD | 206,691,708 | USD | 6,646,391 | Sep 18 2019 | BOA | (58,830 | ) | ||||||||||||||||||||||
USD | 6,165,747 | AUD | 9,157,482 | Sep 03 2019 | BOA | (2,194 | ) | ||||||||||||||||||||||
USD | 5,657,352 | AUD | 8,399,455 | Sep 05 2019 | BOA | (409 | ) | ||||||||||||||||||||||
USD | 32,357,519 | AUD | 46,657,455 | Sep 18 2019 | BOA | 917,296 | |||||||||||||||||||||||
USD | 6,448,722 | AUD | 9,319,000 | Sep 19 2019 | BOA | 168,906 | |||||||||||||||||||||||
USD | 18,857,813 | AUD | 27,160,000 | Sep 20 2019 | BOA | 554,891 | |||||||||||||||||||||||
USD | 2,551,471 | AUD | 3,772,000 | Sep 26 2019 | BOA | 9,091 | |||||||||||||||||||||||
USD | 9,659,920 | BRL | 38,582,117 | Sep 18 2019 | BOA | 354,536 | |||||||||||||||||||||||
USD | 650,000 | BRL | 2,670,308 | Dec 18 2019 | BOA | 10,351 | |||||||||||||||||||||||
USD | 20,699,992 | CAD | 27,555,829 | Sep 03 2019 | BOA | 1,821 | |||||||||||||||||||||||
USD | 13,889,000 | CAD | 18,459,898 | Sep 10 2019 | BOA | 21,556 | |||||||||||||||||||||||
USD | 22,737,099 | CAD | 30,085,985 | Sep 18 2019 | BOA | 132,953 | |||||||||||||||||||||||
USD | 36,043,293 | CAD | 47,373,000 | Sep 19 2019 | BOA | 450,518 | |||||||||||||||||||||||
USD | 29,690,420 | CAD | 39,387,000 | Sep 20 2019 | BOA | 97,286 | |||||||||||||||||||||||
USD | 3,529,276 | CAD | 4,700,000 | Sep 26 2019 | BOA | (2,381 | ) | ||||||||||||||||||||||
USD | 30,821,396 | CHF | 30,242,000 | Sep 19 2019 | BOA | 210,684 | |||||||||||||||||||||||
USD | 18,243,955 | CHF | 17,917,000 | Sep 20 2019 | BOA | 106,793 | |||||||||||||||||||||||
USD | 11,755,769 | CLP | 8,229,273,289 | Sep 23 2019 | BOA | 348,817 | |||||||||||||||||||||||
USD | 2,300,000 | CLP | 1,659,950,950 | Dec 18 2019 | BOA | (4,280 | ) | ||||||||||||||||||||||
USD | 6,100,000 | CNH | 42,396,802 | Sep 18 2019 | BOA | 182,613 | |||||||||||||||||||||||
USD | 7,600,000 | COP | 25,532,252,638 | Sep 18 2019 | BOA | 189,043 | |||||||||||||||||||||||
USD | 1,550,000 | COP | 5,387,429,175 | Dec 18 2019 | BOA | (4,822 | ) | ||||||||||||||||||||||
USD | 23,818,663 | EUR | 21,501,159 | Sep 03 2019 | BOA | 180,773 | |||||||||||||||||||||||
USD | 22,306,744 | EUR | 20,294,319 | Sep 05 2019 | BOA | (7,737 | ) | ||||||||||||||||||||||
USD | 71,734,201 | EUR | 63,388,486 | Sep 18 2019 | BOA | 1,963,317 | |||||||||||||||||||||||
USD | 65,241,781 | EUR | 57,356,000 | Sep 19 2019 | BOA | 2,105,701 |
The accompanying notes are an integral part of the consolidated financial statements.
19
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
USD | 50,225,036 | EUR | 44,320,000 | Sep 20 2019 | BOA | $ | 1,434,742 | ||||||||||||||||||||||
USD | 4,207,562 | EUR | 3,810,000 | Sep 26 2019 | BOA | 11,246 | |||||||||||||||||||||||
USD | 37,518,166 | GBP | 30,717,428 | Sep 03 2019 | BOA | 134,933 | |||||||||||||||||||||||
USD | 36,582,753 | GBP | 30,069,911 | Sep 05 2019 | BOA | (15,566 | ) | ||||||||||||||||||||||
USD | 34,052,219 | GBP | 26,915,495 | Sep 18 2019 | BOA | 1,273,763 | |||||||||||||||||||||||
USD | 11,250,894 | GBP | 8,902,000 | Sep 19 2019 | BOA | 409,288 | |||||||||||||||||||||||
USD | 27,463,027 | GBP | 21,683,000 | Sep 20 2019 | BOA | 1,054,433 | |||||||||||||||||||||||
USD | 3,335,758 | GBP | 2,742,000 | Sep 26 2019 | BOA | (4,752 | ) | ||||||||||||||||||||||
USD | 4,833,053 | HUF | 1,404,210,670 | Sep 18 2019 | BOA | 168,664 | |||||||||||||||||||||||
USD | 1,300,000 | ILS | 4,606,017 | Sep 18 2019 | BOA | (4,600 | ) | ||||||||||||||||||||||
USD | 14,737,937 | INR | 1,040,828,881 | Sep 18 2019 | BOA | 191,836 | |||||||||||||||||||||||
USD | 400,000 | INR | 29,136,568 | Dec 18 2019 | BOA | (2,858 | ) | ||||||||||||||||||||||
USD | 26,968,814 | JPY | 2,865,436,450 | Sep 03 2019 | BOA | (11,006 | ) | ||||||||||||||||||||||
USD | 23,647,234 | JPY | 2,546,743,811 | Sep 18 2019 | BOA | (358,977 | ) | ||||||||||||||||||||||
USD | 57,647,481 | JPY | 6,204,800,000 | Sep 19 2019 | BOA | (844,963 | ) | ||||||||||||||||||||||
USD | 22,974,324 | JPY | 2,462,422,000 | Sep 20 2019 | BOA | (240,644 | ) | ||||||||||||||||||||||
USD | 20,327,644 | KRW | 24,044,378,957 | Sep 18 2019 | BOA | 466,719 | |||||||||||||||||||||||
USD | 2,000,000 | KRW | 2,420,205,100 | Dec 18 2019 | BOA | (4,873 | ) | ||||||||||||||||||||||
USD | 11,096,885 | MXN | 217,709,488 | Sep 18 2019 | BOA | 269,876 | |||||||||||||||||||||||
USD | 19,237,046 | MXN | 379,380,000 | Sep 19 2019 | BOA | 373,211 | |||||||||||||||||||||||
USD | 2,222,449 | MXN | 44,183,000 | Sep 20 2019 | BOA | 25,929 | |||||||||||||||||||||||
USD | 10,888,570 | NOK | 95,163,112 | Sep 18 2019 | BOA | 439,814 | |||||||||||||||||||||||
USD | 26,067,226 | NOK | 231,490,000 | Sep 19 2019 | BOA | 649,387 | |||||||||||||||||||||||
USD | 20,449,784 | NZD | 31,021,509 | Sep 18 2019 | BOA | 891,931 | |||||||||||||||||||||||
USD | 22,814,435 | NZD | 34,889,000 | Sep 19 2019 | BOA | 817,680 | |||||||||||||||||||||||
USD | 7,691,811 | NZD | 11,681,000 | Sep 20 2019 | BOA | 326,994 | |||||||||||||||||||||||
USD | 2,748,011 | NZD | 4,313,000 | Sep 26 2019 | BOA | 28,239 | |||||||||||||||||||||||
USD | 6,020,821 | PHP | 312,308,785 | Sep 18 2019 | BOA | 27,561 | |||||||||||||||||||||||
USD | 200,000 | PHP | 10,532,951 | Dec 18 2019 | BOA | (1,252 | ) | ||||||||||||||||||||||
USD | 13,572,572 | PLN | 51,972,728 | Sep 18 2019 | BOA | 512,588 | |||||||||||||||||||||||
USD | 27,093,779 | PLN | 104,670,000 | Sep 19 2019 | BOA | 791,315 | |||||||||||||||||||||||
USD | 5,750,000 | RUB | 379,089,538 | Sep 18 2019 | BOA | 81,913 | |||||||||||||||||||||||
USD | 5,826,249 | SEK | 55,061,266 | Sep 18 2019 | BOA | 208,860 | |||||||||||||||||||||||
USD | 1,451,614 | SEK | 13,670,000 | Sep 19 2019 | BOA | 56,895 | |||||||||||||||||||||||
USD | 12,740,209 | SGD | 17,433,925 | Sep 18 2019 | BOA | 174,780 | |||||||||||||||||||||||
USD | 3,712,313 | SGD | 5,152,000 | Sep 26 2019 | BOA | (1,333 | ) | ||||||||||||||||||||||
USD | 1,750,000 | SGD | 2,418,043 | Dec 18 2019 | BOA | 5,404 | |||||||||||||||||||||||
USD | 4,700,000 | THB | 144,514,803 | Sep 18 2019 | BOA | (29,416 | ) | ||||||||||||||||||||||
USD | 3,800,000 | TRY | 22,443,178 | Sep 18 2019 | BOA | (21,911 | ) | ||||||||||||||||||||||
USD | 9,698,392 | TRY | 55,210,000 | Sep 19 2019 | BOA | 300,198 | |||||||||||||||||||||||
USD | 100,000 | TRY | 607,665 | Dec 18 2019 | BOA | (48 | ) | ||||||||||||||||||||||
USD | 6,835,519 | TWD | 214,055,691 | Sep 18 2019 | BOA | 13,258 | |||||||||||||||||||||||
USD | 2,000,000 | TWD | 62,299,329 | Dec 18 2019 | BOA | 4,619 | |||||||||||||||||||||||
USD | 11,361,961 | ZAR | 168,440,380 | Sep 18 2019 | BOA | 285,751 | |||||||||||||||||||||||
USD | 7,059,234 | ZAR | 101,220,000 | Sep 19 2019 | BOA | 404,123 | |||||||||||||||||||||||
USD | 1,090,731 | ZAR | 16,709,000 | Sep 26 2019 | BOA | (6,877 | ) | ||||||||||||||||||||||
ZAR | 180,102,079 | USD | 12,434,366 | Sep 18 2019 | BOA | (591,312 | ) | ||||||||||||||||||||||
ZAR | 96,100,000 | USD | 6,478,133 | Sep 19 2019 | BOA | (159,657 | ) | ||||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 1,777,134 |
The accompanying notes are an integral part of the consolidated financial statements.
20
Abbey Capital Futures Strategy Fund
Consolidated Portfolio of Investments (Concluded)
August 31, 2019
Put/Call | Counterparty | Number Of | Notional | Value | ||||||||||||||||
PURCHASED OPTIONS — 0.0% | ||||||||||||||||||||
3-Month Euro Euribor, Expires 12/16/19, Strike Price $99.50 | Put | N/A | 4,356 | EUR 175,224,456 | $ | — | ||||||||||||||
3-Month Euro Euribor, Expires 3/16/20, Strike Price $99.875 | Put | N/A | 1,735 | EUR 69,826,810 | — | |||||||||||||||
IMM Eurodollar Futures, Expires 9/16/19, Strike Price $97.375 | Put | N/A | 180 | EUR 7,044,120 | 1,125 | |||||||||||||||
IMM Eurodollar Futures, Expires 12/16/19, Strike Price $97.00 | Put | N/A | 4,125 | EUR 161,931,000 | 25,781 | |||||||||||||||
TOTAL PURCHASED OPTIONS (COST $562,205) | $ | 26,906 | ||||||||||||||||||
WRITTEN OPTIONS — (0.0%) | ||||||||||||||||||||
3-Month Euro Euribor, Expires 12/16/19, Strike Price $99.375 | Put | N/A | 4,356 | EUR 175,224,456 | $ | — | ||||||||||||||
3-Month Euro Euribor, Expires 3/16/20, Strike Price $99.625 | Put | N/A | 1,735 | EUR 69,826,810 | — | |||||||||||||||
IMM Eurodollar Futures, Expires 12/16/19, Strike Price $96.875 | Put | N/A | 4,125 | EUR 161,931,000 | (25,781 | ) | ||||||||||||||
TOTAL WRITTEN OPTIONS (PREMIUMS RECEIVED $259,291) | $ | (25,781 | ) |
AUD | Australian Dollar | JPY | Japanese Yen | |
BOA | Bank of America | JSE | Johannesburg Stock Exchange | |
BRL | Brazilian Real | KRW | Korean Won | |
BUXL | German Bond | LME | London Mercantile Exchange | |
CAD | Canadian Dollar | MIB | Milano Indice di Borsa | |
CHF | Swiss Franc | MXN | Mexican Peso | |
CLP | Chilean Peso | NOK | Norwegian Krone | |
CNH | Chinese Yuan Renminbi | NZD | New Zealand Dollar | |
COP | Colombian Peso | OMX | Stockholm Stock Exchange | |
CZK | Czech Koruna | PHP | Philippine Peso | |
DAX | German Stock Exchange | PLN | Polish Zloty | |
DJIA | Dow Jones Industrial Average | RBOB | Reformulated Blendstock for Oxygenate Blending | |
ECX | European Climate Exchange | RUB | Russian Ruble | |
EUR | Euro | SEK | Swedish Krona | |
FTSE | Financial Times Stock Exchange | SGD | Singapore Dollar | |
GBP | British Pound | THB | Thai Baht | |
HUF | Hungarian Forint | TRY | Turkish Lira | |
IBEX | Index of the Bolsa de Madrid | TSX | Toronto Stock Exchange | |
ICE | Intercontinental Exchange | TWD | Taiwan Dollar | |
ILS | Israeli New Shekel | USD | United States Dollar | |
IMM | International Monetary Market | WTI | West Texas Intermediate | |
INR | Indian Rupee | ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated financial statements.
21
Abbey Capital Futures Strategy Fund
Consolidated Statement of Assets And Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value (cost $600,877,984) | $ | 600,673,699 | ||
Cash | 52,868 | |||
Foreign currency deposits with broker for futures contracts (cost $2,348,875) | 2,329,022 | |||
Deposits with broker for forward foreign currency contracts | 40,712,483 | |||
Deposits with broker for futures contracts | 43,889,190 | |||
Receivables for: | ||||
Capital shares sold | 6,341,159 | |||
Unrealized appreciation on forward foreign currency contracts | 21,414,754 | |||
Unrealized appreciation on futures contracts | 41,827,861 | |||
Prepaid expenses and other assets | 60,552 | |||
Total assets | 757,301,588 | |||
LIABILITIES | ||||
Options written, at value (premiums received $259,291) | 25,781 | |||
Payables for: | ||||
Advisory fees | 991,427 | |||
Capital shares redeemed | 811,615 | |||
Administration and accounting services fees | 29,689 | |||
Unrealized depreciation on forward foreign currency contracts | 19,637,620 | |||
Unrealized depreciation on futures contracts | 11,189,691 | |||
Other accrued expenses and liabilities | 130,933 | |||
Total liabilities | 32,816,756 | |||
Net assets | $ | 724,484,832 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 57,732 | ||
Paid-in capital | 706,781,209 | |||
Total distributable earnings/(losses) | 17,645,891 | |||
Net assets | $ | 724,484,832 | ||
CLASS A SHARES: | ||||
Net assets | $ | 12,433,831 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 999,037 | |||
Net asset value and redemption price per share | $ | 12.45 | ||
Maximum offering price per share (100/94.25 of $12.45) | $ | 13.21 | ||
CLASS I SHARES: | ||||
Net assets | $ | 707,564,476 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 56,362,229 | |||
Net asset value, offering and redemption price per share | $ | 12.55 | ||
CLASS C SHARES: | ||||
Net assets | $ | 4,486,525 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 370,443 | |||
Net asset value, offering and redemption price per share | $ | 12.11 |
The accompanying notes are an integral part of the consolidated financial statements.
22
Abbey Capital Futures Strategy Fund
Consolidated Statement of Operations
For the Year Ended August 31, 2019
INVESTMENT INCOME | ||||
Interest | $ | 14,578,050 | ||
Total investment income | 14,578,050 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 12,995,863 | |||
Administration and accounting services fees (Note 2) | 355,144 | |||
Transfer agent fees (Note 2) | 95,572 | |||
Registration and filing fees | 84,995 | |||
Printing and shareholder reporting fees | 83,738 | |||
Legal fees | 81,562 | |||
Directors fees | 70,353 | |||
Audit and tax service fees | 49,063 | |||
Custodian fees (Note 2) | 43,526 | |||
Distribution fees (Class C Shares) (Note 2) | 39,662 | |||
Distribution fees (Class A Shares) (Note 2) | 31,665 | |||
Officers fees | 35,723 | |||
Other expenses | 46,045 | |||
Total expenses before waivers and/or reimbursements | 14,012,911 | |||
Less: waivers and/or reimbursements (Note 2) | (770,182 | ) | ||
Net expenses after waivers and/or reimbursements | 13,242,729 | |||
Net investment income/(loss) | 1,335,321 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (5,675,893 | ) | ||
Futures contracts | 58,803,863 | |||
Foreign currency transactions | 469,886 | |||
Forward foreign currency contracts | (5,983,435 | ) | ||
Written options | 1,164,652 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 874,525 | |||
Futures contracts | 5,755,758 | |||
Foreign currency translations | (25,626 | ) | ||
Forward foreign currency contracts | (257,980 | ) | ||
Written options | (563,670 | ) | ||
Net realized and unrealized gain/(loss) from investments | 54,562,080 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 55,897,401 |
The accompanying notes are an integral part of the consolidated financial statements.
23
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 1,335,321 | $ | (3,893,993 | ) | |||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts and written options | 48,779,073 | 10,153,119 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations, forward foreign currency contracts and written options | 5,783,007 | 1,803,899 | ||||||
Net increase/(decrease) in net assets resulting from operations | 55,897,401 | 8,063,025 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (1,067,180 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (1,067,180 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Proceeds from shares sold | 3,556,791 | 5,261,446 | ||||||
Shares redeemed | (7,628,192 | ) | (5,290,537 | ) | ||||
Total from Class A Shares | (4,071,401 | ) | (29,091 | ) | ||||
Class I Shares | ||||||||
Proceeds from shares sold | 313,688,622 | 552,444,530 | ||||||
Proceeds from reinvestment of distributions | 527,421 | — | ||||||
Shares redeemed | (573,740,986 | ) | (419,282,057 | ) | ||||
Total from Class I Shares | (259,524,943 | ) | 133,162,473 | |||||
Class C Shares | ||||||||
Proceeds from shares sold | 255,081 | 1,216,630 | ||||||
Shares redeemed | (4,461,451 | ) | (2,231,665 | ) | ||||
Total from Class C Shares | (4,206,370 | ) | (1,015,035 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | (267,802,714 | ) | 132,118,347 | |||||
Total increase/(decrease) in net assets | (212,972,493 | ) | 140,181,372 | |||||
NET ASSETS: | ||||||||
Beginning of period | 937,457,325 | 797,275,953 | ||||||
End of period | $ | 724,484,832 | $ | 937,457,325 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplificaton. Accumulated net investment income/(loss) as of August 31, 2018 was $(16,745,577). |
The accompanying notes are an integral part of the consolidated financial statements.
24
Abbey Capital Futures Strategy Fund
Consolidated Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A Shares | ||||||||
Shares sold | 318,840 | 467,333 | ||||||
Shares redeemed | (697,645 | ) | (471,065 | ) | ||||
Total Class A Shares | (378,805 | ) | (3,732 | ) | ||||
Class I Shares | ||||||||
Shares sold | 28,320,027 | 48,188,097 | ||||||
Shares reinvested | 48,926 | — | ||||||
Shares redeemed | (52,397,812 | ) | (36,743,166 | ) | ||||
Total Class I Shares | (24,028,859 | ) | 11,444,931 | |||||
Class C Shares | ||||||||
Shares sold | 24,070 | 107,360 | ||||||
Shares redeemed | (420,710 | ) | (199,506 | ) | ||||
Total Class C Shares | (396,640 | ) | (92,146 | ) | ||||
Net increase/(decrease) in shares outstanding | (24,804,304 | ) | 11,349,053 |
The accompanying notes are an integral part of the consolidated financial statements.
25
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class A Shares | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.28 | $ | 11.15 | $ | 11.77 | $ | 12.01 | $ | 10.36 | ||||||||||
Net investment income/(loss)(1) | (0.01 | ) | (0.07 | ) | (0.18 | ) | (0.24 | ) | (0.27 | ) | ||||||||||
Net realized and unrealized gain/(loss) from investments | 1.18 | 0.20 | (0.44 | ) | 0.01 | 2.14 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.17 | 0.13 | (0.62 | ) | (0.23 | ) | 1.87 | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | — | — | (0.01 | ) | (0.21 | ) | |||||||||||||
Net realized capital gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total dividends and distributions to shareholders | — | — | — | (0.01 | ) | (0.22 | ) | |||||||||||||
Net asset value, end of period | $ | 12.45 | $ | 11.28 | $ | 11.15 | $ | 11.77 | $ | 12.01 | ||||||||||
Total investment return/(loss)(2) | 10.37 | % | 1.08 | % | (5.18 | )% | (1.94 | )% | 18.17 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 12,434 | $ | 15,539 | $ | 15,401 | $ | 17,125 | $ | 11,013 | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) | 2.04 | % | 2.04 | % | 2.14 | % | 2.26 | % | 2.28 | % | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3) | 2.04 | % | 2.04 | % | 2.14 | % | 2.24 | % | 2.24 | % | ||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3) | 2.14 | % | 2.13 | % | 2.28 | % | 2.42 | % | 2.71 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets | (0.05 | )% | (0.65 | )% | (1.60 | )% | (2.01 | )% | (2.23 | )% | ||||||||||
Portfolio turnover rate(4) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each year reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge. |
(3) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.24% of the Fund’s average daily net assets attributable to Class A Shares. |
(4) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
26
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights (Continued)
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class I Shares | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.36 | $ | 11.20 | $ | 11.80 | $ | 12.03 | $ | 10.36 | ||||||||||
Net investment income/(loss)(1) | 0.02 | (0.05 | ) | (0.15 | ) | (0.21 | ) | (0.24 | ) | |||||||||||
Net realized and unrealized gain/(loss) from investments | 1.19 | 0.21 | (0.45 | ) | 0.01 | 2.14 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.21 | 0.16 | (0.60 | ) | (0.20 | ) | 1.90 | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.02 | ) | — | — | (0.03 | ) | (0.22 | ) | ||||||||||||
Net realized capital gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total dividends and distributions to shareholders | (0.02 | ) | — | — | (0.03 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 12.55 | $ | 11.36 | $ | 11.20 | $ | 11.80 | $ | 12.03 | ||||||||||
Total investment return/(loss)(2) | 10.63 | % | 1.34 | % | (5.00 | )% | (1.68 | )% | 18.46 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 707,564 | $ | 913,437 | $ | 772,413 | $ | 739,842 | $ | 220,441 | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3) | 1.79 | % | 1.79 | % | 1.89 | % | 2.01 | % | 2.03 | % | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3) | 1.79 | % | 1.79 | % | 1.89 | % | 1.99 | % | 1.99 | % | ||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3) | 1.89 | % | 1.88 | % | 2.03 | % | 2.17 | % | 2.46 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets | 0.20 | % | (0.40 | )% | (1.35 | )% | (1.76 | )% | (1.98 | )% | ||||||||||
Portfolio turnover rate(4) | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.99% of the Fund’s average daily net assets attributable to Class I Shares. |
(4) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
27
Abbey Capital Futures Strategy Fund
Consolidated Financial Highlights (Concluded)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
Class C Shares | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 11.06 | $ | 11.01 | $ | 11.71 | $ | 11.99 | ||||||||
Net investment income/(loss)(2) | (0.08 | ) | (0.16 | ) | (0.26 | ) | (0.30 | ) | ||||||||
Net realized and unrealized gain/(loss) from investments | 1.13 | 0.21 | (0.44 | ) | 0.03 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.05 | 0.05 | (0.70 | ) | (0.27 | ) | ||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | — | — | — | (0.01 | ) | |||||||||||
Total dividends and distributions to shareholders | — | — | — | (0.01 | ) | |||||||||||
Net asset value, end of period | $ | 12.11 | $ | 11.06 | $ | 11.01 | $ | 11.71 | ||||||||
Total investment return/(loss)(3) | 9.49 | % | 0.36 | % | (5.89 | )% | (2.22 | )%(4) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 4,487 | $ | 8,481 | $ | 9,462 | $ | 8,380 | ||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6) | 2.79 | % | 2.79 | % | 2.89 | % | 3.01 | %(5) | ||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6) | 2.79 | % | 2.79 | % | 2.89 | % | 2.99 | %(5) | ||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6) | 2.89 | % | 2.88 | % | 3.03 | % | 3.17 | %(5) | ||||||||
Ratio of net investment income/(loss) to average net assets | (0.80 | )% | (1.40 | )% | (2.35 | )% | (2.76 | )%(5) | ||||||||
Portfolio turnover rate(7) | 0 | % | 0 | % | 0 | % | 0 | %(4) |
(1) | Inception date of Class C Shares of the Fund was October 6, 2015. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Effective February 28, 2017, the Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Prior to February 28, 2017, the contractual fee waiver limited total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.99% of the Fund’s average daily net assets attributable to Class C Shares. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the consolidated financial statements.
28
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Abbey Capital Futures Strategy Fund (the “Fund”), which commenced investment operations on July 1, 2014. The Fund is authorized to offer four classes of shares, Class A Shares, Class I Shares, Class C Shares and Class T Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class T Shares are not currently available for sale.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Consolidated Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
CONSOLIDATION OF SUBSIDIARIES – The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. Effective on or about October 1, 2018, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Offshore Fund Limited became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the laws of the Cayman Islands under the name Abbey Capital Offshore Fund SPC (the “SPC”). The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.
The Fund may also invest up to 25% of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), which was formed on August 16, 2018.
The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Cayman Subsidiary and SPC were $159,148,154, which represented 21.97% of the Fund’s net assets. As of the end of the reporting period, the net assets of the Onshore Subsidiary were $158,712,775, which represented 21.91% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the
29
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 600,646,793 | $ | 600,646,793 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 17,426,573 | 17,426,573 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 1,606,117 | 1,606,117 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 21,414,754 | — | 21,414,754 | — | ||||||||||||
Futures Contracts | 10,718,876 | 10,718,876 | — | — | ||||||||||||
Purchased Options | — | — | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 12,076,295 | 12,076,295 | — | — | ||||||||||||
Purchased Options | 26,906 | 26,906 | — | — | ||||||||||||
Total Assets | $ | 663,916,314 | $ | 642,501,560 | $ | 21,414,754 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (8,709,233 | ) | $ | (8,709,233 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (1,905,905 | ) | (1,905,905 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (19,637,620 | ) | — | (19,637,620 | ) | — | ||||||||||
Futures Contracts | (215,225 | ) | (215,225 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (359,328 | ) | (359,328 | ) | — | — | ||||||||||
Written Options | (25,781 | ) | (25,781 | ) | — | — | ||||||||||
Total Liabilities | $ | (30,853,092 | ) | $ | (11,215,472 | ) | $ | (19,637,620 | ) | $ | — |
30
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include options, forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Abbey Capital Master Offshore Fund Limited and the SPC), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
31
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of the end of the reporting period, grouped by contract type and risk exposure category.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Purchased Options | Investments, at value | $ | — | $ | 26,906 | $ | — | $ | — | $ | 26,906 | |||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | 21,414,754 | — | 21,414,754 | ||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | 1,606,117 | 12,076,295 | 10,718,876 | 17,426,573 | 41,827,861 | ||||||||||||||||||
Total Value- Assets | $ | 1,606,117 | $ | 12,103,201 | $ | 32,133,630 | $ | 17,426,573 | $ | 63,269,521 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Written Options | Options written, at value | $ | — | $ | (25,781 | ) | $ | — | $ | — | $ | (25,781 | ) | |||||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | (19,637,620 | ) | — | (19,637,620 | ) | ||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | (1,905,905 | ) | (359,328 | ) | (215,225 | ) | (8,709,233 | ) | (11,189,691 | ) | |||||||||||||
Total Value- Liabilities | $ | (1,905,905 | ) | $ | (385,109 | ) | $ | (19,852,845 | ) | $ | (8,709,233 | ) | $ | (30,853,092 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
32
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Realized Gain/(Loss) | ||||||||||||||||||||||||
Purchased Options | Net realized gain/(loss) from investments | $ | — | $ | (2,997,661 | ) | $ | (2,269,592 | ) | $ | (537,709 | ) | $ | (5,804,962 | ) | |||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | (32,420,625 | ) | 91,682,888 | 14,466,717 | (14,925,117 | ) | 58,803,863 | ||||||||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | (5,983,435 | ) | — | (5,983,435 | ) | ||||||||||||||||
Written Options | Net realized gain/(loss) from written options | — | 1,145,504 | 19,148 | — | 1,164,652 | ||||||||||||||||||
Total Realized Gain/(Loss) | $ | (32,420,625 | ) | $ | 89,830,731 | $ | 6,232,838 | $ | (15,462,826 | ) | $ | 48,180,118 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Purchased Options | Net change in unrealized appreciation/ (depreciation) on investments | $ | — | $ | 573,983 | $ | — | $ | — | $ | 573,983 | |||||||||||||
Futures Contracts | Net change in unrealized appreciation/ (depreciation) on futures contracts | (9,117,600 | ) | 7,443,963 | 4,323,473 | 3,105,922 | 5,755,758 | |||||||||||||||||
Forward Contracts | Net change in unrealized appreciation/ (depreciation) on forward foreign currency contracts | — | — | (257,980 | ) | — | (257,980 | ) | ||||||||||||||||
Written Options | Net change in unrealized appreciation/ (depreciation) on written options | — | (563,670 | ) | — | — | (563,670 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | (9,117,600 | ) | $ | 7,454,276 | $ | 4,065,493 | $ | 3,105,922 | $ | 5,508,091 |
33
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Purchased | Written | Long Futures | Short Futures | Forward Foreign | Forward Foreign |
$904,948 | $(493,290) | $3,890,690,382 | $(1,949,342,856) | $(2,492,455,685) | $2,492,321,555 |
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 21,414,754 | $ | (19,637,620 | ) | $ | — | $ | 1,777,134 | $ | 19,637,620 | $ | (19,637,620 | ) | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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
34
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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 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.
The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Law (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no law that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation.” The SPCs are treated as an entity disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.
Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.
Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and
35
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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, the SPC or Onshore Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Options — An option on a futures contract gives the purchaser the right, in exchange for a premium, to assume a position in a futures contract at a specified exercise price during the term of the option. The Fund may use futures contracts and related options for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
Options Written — The Fund may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter
36
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Fund’s written options are exchange-traded options.
Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund and the Cayman Subsidiary, Onshore Subsidiary and SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and
37
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.
The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
Advisory | Expense Caps | |||
Class A | Class I | Class C | Class T | |
1.77% | 2.04% | 1.79% | 2.79% | 2.04% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross | Waivers and/or | Net |
$12,995,863 | $(770,182) | $12,225,681 |
If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | |||
August 31, | August 31, | August 31, | Total |
$1,087,123 | $815,529 | $770,182 | $2,672,834 |
Altis Partners (Jersey) Limited, Aspect Capital Limited, Cantab Capital Partners LLP, Eclipse Capital Management, Inc., Episteme Capital Partners, LLP, Graham Capital Management, LP, P/E Global, LLC, Revolution Capital Management, LLC, Trigon Investment Advisors, LLC, Tudor Investment Corporation and Welton Investment Partners, LLC each served as a Trading Adviser to the Fund during the current fiscal period.
Effective December 5, 2018, Episteme Capital Partners, LLP serves as a Trading Adviser to the Fund. Effective April 5, 2019, Altis Partners (Jersey) Limited no longer serves as a Trading Adviser to the Fund.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
38
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”) serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
The Board has adopted a Plan of Distribution for the Class A Shares, Class C Shares and Class T Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and Class T Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.
3. Director And Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
39
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$678,942,419 | $63,812,100 | $(65,508,256) | $(1,696,156) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:
Distributable | Paid-In |
$(47,074,076) | $47,074,076 |
As of August 31, 2019, the components of distributable earnings/(deficits) on a tax basis were as follows:
Undistributed | Undistributed | Net Unrealized | Capital Loss | Qualified | Other |
$46,898,860 | $8,709,556 | $(37,962,525) | $— | $— | $— |
The differences between the book and tax basis components of distributable earnings/(deficits) relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018 were as follows:
Ordinary | Long-Term | Total | |
2019 | $1,067,180 | $— | $1,067,180 |
2018 | $— | $— | $— |
Accumulated capital losses represent net capital loss carry forwards as of August 31, 2018 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. During the year ended August 31, 2019, the Fund utilized $6,346 of total capital loss carryforwards. As of August 31, 2019, the Fund had no tax basis capital loss carryforwards to offset future capital gains.
40
Abbey Capital Futures Strategy Fund
Notes To Consolidated Financial Statements (Concluded)
August 31, 2019
6. New Accounting Pronouncements and Regulatory Updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Consolidated Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Consolidated Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
41
Abbey Capital Futures Strategy Fund
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and
Shareholders of Abbey Capital Futures Strategy Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Abbey Capital Futures Strategy Fund (the “Fund”) (one of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the consolidated portfolio of investments, as of August 31, 2019, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and its consolidated financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Abbey Capital investment companies since 2014.
Philadelphia, Pennsylvania
October 30, 2019
42
Abbey Capital Futures Strategy Fund
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distribution reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the fiscal year ended August 31, 2019, the Fund paid no ordinary income dividends to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
43
Abbey Capital Futures Strategy Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the 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 (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Approval of Advisory Agreements and Trading Advisory Agreements
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of (1) the investment advisory agreement between Abbey Capital and the Company on behalf of the Fund (the “Investment Advisory Agreement”), (2) each of the separate Advisory Agreements between Abbey Capital Onshore Series LLC, Abbey Capital Master Offshore Fund Limited, and Abbey Capital Offshore Fund SPC (the “Subsidiaries”) and Abbey Capital (collectively, the “Subsidiary Investment Advisory Agreements”), and (3) the trading advisory agreements among Abbey Capital, and Aspect Capital Limited, Cantab Capital Partners LLP, Eclipse Capital Management, Inc., Episteme Capital Partners (UK), LLP, Graham Capital Management, LP, P/E Global, LLC, Revolution Capital Management, LLC, Trigon Investment Advisors LLC, Tudor Investment Corporation and Welton Investment Partners LLC (each, a “Trading Adviser”)(the “Trading Advisory Agreements”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements for an additional one-year term ending August 16, 2020. The Board’s decision to approve the Advisory Agreement, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Advisory Agreement, Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements,, the Board considered information provided by Abbey Capital and each of the Trading Advisers with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal of the Investment Advisory Agreement between the Company and Abbey Capital with respect to the Fund, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements between Abbey Capital and each Trading Adviser with respect to the Fund, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by Abbey Capital and each Trading Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Abbey Capital’s and the Trading Advisers’ investment philosophies and processes; (iv) Abbey Capital’s and the Trading Advisers’ assets under management and client descriptions; (v) Abbey Capital’s and the Trading Advisers’ soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Abbey Capital’s and the Trading Advisers’ advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Abbey Capital’s and the Trading Advisers’ compliance procedures; (viii) Abbey Capital’s and the Trading Advisers’ financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
44
Abbey Capital Futures Strategy Fund
Other Information (Concluded)
(Unaudited)
As part of their review, the Directors considered the nature, extent and quality of the services provided by Abbey Capital and each Trading Adviser. The Directors concluded that Abbey Capital and each Trading Adviser had substantial resources to provide services to the Fund and the Subsidiaries, as applicable.
The Directors also considered the investment performance of the Fund, noting that the Fund had underperformed its benchmark for the year-to-date, one-year, three-year and since-inception periods ended March 31, 2019. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Directors noted that the Fund ranked in the 1st quintile within its Lipper Performance Group for the one-year period ended December 31, 2018 and ranked in the 2nd quintile within its Lipper Performance Universe for the since-inception period ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s actual advisory fees ranked in the 5th quintile of both its Lipper Expense Group and Lipper Expense Universe, and that the total expenses of the Fund ranked in the 4th quintile of its Lipper Expense Group and Lipper Expense Universe. The Directors also considered the fees payable to each Trading Adviser under the Trading Advisory Agreements and the information provided by Abbey Capital on the services provided by the different Trading Advisers. In this regard, the Directors noted that the fees for each Trading Adviser were paid directly by Abbey Capital and not by the Fund. The Directors noted that Abbey Capital had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to limit total annual operating expenses to agreed upon levels for the Fund.
After reviewing the information regarding Abbey Capital’s and the Trading Advisers’ costs, profitability and economies of scale, and after considering the services to be provided by Abbey Capital and each Trading Adviser, the Directors concluded that the investment advisory fees to be paid by the Fund to Abbey Capital and the trading advisory fees to be paid by Abbey Capital to each Trading Adviser were fair and reasonable and that the Investment Advisory Agreement, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements should be approved and continued for additional one-year period ending August 16, 2020.
45
Abbey Capital Futures Strategy Fund
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (844) 261-6484.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Independent Directors | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52 | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman 615 East Michigan Street Milwaukee, WI 53202 Age: 71 | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
46
Abbey Capital Futures Strategy Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Brian T. Shea 615 East Michigan Street Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
Interested Director2 | |||||
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
Officers | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner registered Investments, LP (registered investment company). | N/A | N/A |
47
Abbey Capital Futures Strategy Fund
Company Management (Concluded)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
48
Abbey Capital Futures Strategy Fund
Privacy Notice
(Unaudited)
Abbey Capital Futures Strategy Fund
FACTS | WHAT DOES THE ABBEY CAPITAL FUTURES STRATEGY FUND 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 Abbey Capital Futures Strategy Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Does the Abbey Capital Futures Strategy Fund share? | Can you limit this sharing? | |
For our everyday business purpose — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We don’t share. | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-844-261-6484 or go to www.abbeycapital.com |
49
Abbey Capital Futures Strategy Fund
Privacy Notice (Continued)
(Unaudited)
What we do | |
How does the Abbey Capital Futures Strategy Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Abbey Capital Futures Strategy Fund collect my personal information? | We collect your personal information, for example, when you
● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes — information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
European Union’s General Data Protection Regulation | In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to
● Check whether we hold personal information about you and to access such data (in accordance with our policy)
● Request the correction of personal information about you that is inaccurate
● Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible
● Request the erasure of your personal information
● Request the restriction of processing concerning you
The legal grounds for processing of your personal information is for contractual necessity and compliance with law.
If you wish to exercise any of your rights above, please call: 1-844-261-6484. You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us. |
50
Abbey Capital Futures Strategy Fund
Privacy Notice (Concluded)
(Unaudited)
The Abbey Capital Futures Strategy Fund shall retain your personal data for as long as you are an investor in the Fund and thereafter as long as necessary to comply with applicable laws that require the Fund to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Fund may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Fund does take the security of your personal data seriously.
You also have the right to lodge a complaint with the appropriate regulatory authority with respect to issues you may have. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include Abbey Capital Futures Strategy Fund’s investment adviser, Abbey Capital Limited, and each sub-adviser. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Abbey Capital Futures Strategy Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● The Abbey Capital Futures Strategy Fund does not jointly market. |
Controller | “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the controller or the specific criteria for its nomination may be provided for by European Union or European Member State law. |
51
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Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
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, Suite 2000
Philadelphia, PA 19103-6996
AFS-AR19
Abbey Capital Multi Asset Fund
of
THE RBB FUND, INC.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6484.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-844-261-6484 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
Abbey Capital Multi Asset Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Dear Shareholder,
The Abbey Capital Multi Asset Fund (the “Fund”) Class I Shares returned +12.20% net of fees for the 12-month fiscal period ended August 31, 2019.
The positive performance was driven by the managed futures allocation, which profited in fixed income and major currencies, while the equity allocation was marginally positive over the period. The Fund allocates assets to its underlying trading advisers through its investment in Abbey Capital Multi Asset Offshore Fund Limited (the “ACMAOF”), a wholly-owned subsidiary of the Fund. The Fund invests up to 25% of its assets into the ACMAOF and invests its remaining assets in a long-only US equity strategy consisting of S&P 500 futures only and a fixed income strategy consisting primarily of U.S. Treasury obligations.
Abbey Global, LP (the “Predecessor Fund”), transferred all of its assets to the Fund on April 11, 2018. The Fund targets approximately 50% exposure of its net assets to S&P 500 futures and 100% exposure of its net assets to a managed futures strategy.
Average Total Returns for the Periods Ended August 31, 2019 (unless otherwise noted)
2019 YTD | 1 Year | Sep. 1, 2017 to | 5 Year | 10 Year | Annualized | |
Class I Shares | 24.89% | 12.20% | 12.98% | 9.74% | 11.03% | 10.50% |
BofA Merrill Lynch 3-Month T-Bill Index* | 1.63% | 2.36% | 1.52% | 0.95% | 0.52% | 1.37% |
S&P 500® Total Return Index* | 18.34% | 2.92% | 19.66% | 10.11% | 13.45% | 8.14% |
Barclay CTA Index* | 7.62% | 5.64% | -0.10% | 1.47% | 1.07% | 3.65% |
Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 20, 2019
Source: Abbey Capital and Bloomberg
Performance quoted is past performance and does not guarantee future results. Additionally, the Predecessor Fund was not registered under the Investment Company Act of 1940 (“1940 Act”), and thus was not subject to certain investment and operational restrictions that are imposed by the 1940 Act. If the Predecessor Fund had been registered under the 1940 Act, its performance may have been adversely affected. Accordingly, Fund performance may be different than the Predecessor Fund’s restated past performance, which is included in the table above for the period between inception of the Fund on May 14, 2002 and April 11, 2018. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
There is a maximum sales charge (load) imposed on purchases (as a percentage of offering price) of 5.75% in Class A Shares.
Please note the above is shown for illustrative purposes only.
Performance from May 14, 2002 to April 11, 2018 is performance of the Predecessor Fund. The Fund commenced operations as a series of The RBB Fund, Inc. on April 11, 2018, when all of the assets of the Predecessor Fund transferred to Class I Shares of the Fund. The Fund’s objectives, policies, guidelines and restrictions are in all material respects equivalent to the Predecessor Fund. Performance of the Predecessor Fund is not an indicator of future Fund results. Performance from April 2014 represents proprietary performance as the only investors for that period were Abbey Capital Limited and its officers.
* | The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable and the table above is shown for illustrative purposes only. |
1
Abbey Capital Multi Asset Fund
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively. These represent the net expense ratios and are applicable to investors. This contractual limitation is in effect until December 31, 2020, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 2.84%. 3.09% and 3.84% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively, as stated in the Fund’s current prospectus dated December 31, 2018 (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.
Please refer to the prospectus for further information on expenses and fees.
Market Commentary
The twelve-month fiscal year ended August 31, 2019 saw various themes emerge and drive market sentiment, leading to periods of elevated volatility in certain market sectors. Geopolitics was a key driver of equity markets across the globe, with investors having to consider US-China trade tensions and Brexit, among other risks. Monetary policy was another market driver as a number of global central banks shifted towards a more dovish stance in 2019. Concerns over weak global economic data, particularly slowing manufacturing growth, and global trade uncertainty were some of the factors impacting central bank policy. Overall, geopolitical uncertainty and more accommodative monetary policy supported fixed income markets over the period, while there were periods of volatility within equity markets that were also notable.
October 2018 saw a sharp selloff in US equities due to policy tightening fears following robust US economic data and some hawkish rhetoric from US Federal Reserve (“Fed”) Chair Powell. Threats from US President Trump to escalate the trade war with China were an added headwind for stocks, with Asian indices particularly impacted by the deteriorating US-China trade relations. Although global equity markets stabilised in November, most major indices tumbled in early December as the Fed hiked rates for the fourth time in 2018 and was perceived to be less dovish than expected given rising concerns over global growth. A US government shutdown and hard Brexit concerns added to the list of political risks influencing markets.
Sentiment improved in early 2019 on optimism over the US-China trade impasse, with risk assets receiving a boost from an almost synchronous shift in policy guidance by central banks. With persistently weak eurozone economic data and signs that the global economy may be slowing, the European Central Bank (“ECB”) pushed back the date of any potential rate hike and announced plans to increase credit availability. The Fed also backed away from its previous guidance for rate hikes in 2019 after acknowledging a slowdown in US economic activity. Guidance from central banks in Australia, Canada, Japan and New Zealand also turned more cautious, which all tended to support a rally in global bonds in the first part of 2019.
Concerns over slowing global growth increased in Q2 2019, while further escalation in the US-China trade dispute was another market-moving theme. As a result, expectations of easier monetary policy followed, and global fixed income markets saw an extended bullish trend. Stocks were also mostly higher in Q2 2019, with the S&P 500 Index recording its strongest first half of a year since 1998. Perceived haven assets and currencies were also in high demand in the second half of Q2 2019, with USD/JPY declining from late April 2019 until August 2019. Gold prices rose slightly later in Q2 2019 amid low global bond yields and general caution over the global economic outlook. Gold prices reached a six-year high in August as the uptrend extended, ultimately finishing August slightly below this level.
With persistent concerns over US-China trade and weak economic data, July 2019 saw the Fed cut rates and the ECB hinting at fresh monetary stimulus later in the year. Eurozone bond markets extended gains in July as a result, while the USD strengthened, and US Treasury yields ticked higher as the Fed attempted to downplay its rate cut as a ‘mid-cycle adjustment’. In the United Kingdom (“UK”), yields dropped alongside the GBP as Brexit became a notable driver of UK asset prices. Boris Johnson’s confirmation as UK Prime Minister sparked fresh fears over a ‘no-deal’ Brexit, which would remain a concern throughout August. Over the full 12-month period, UK 10-year Gilt yields dropped by over 0.90%, highlighting both the stark rally across global bond markets and caution over the UK’s exit from the European Union. Yields in the US fell more drastically, with the US 10-year Treasury yield down over 1.30% points, of which 0.52% basis points were lost in August 2019. The sharp decline in US yields saw the Treasury yield curve invert between the 2-year and 10-year maturities, which spooked equity markets in August 2019. Over the full fiscal year, the S&P 500 Index finished up 0.9% and the DJ Euro Stoxx 50 Index in Europe was also higher. In Asia, the Nikkei 225 Index and the Hang Seng Index both saw notable twelve-month losses.
2
Abbey Capital Multi Asset Fund
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
Apart from gold prices, commodity markets saw few multi-month trends over the period and choppy trading was apparent in energy and agricultural commodities. Crude oil sold off sharply in Q4 2018 on global demand concerns, record US and Russian production and a smaller-than-expected Organization of Petroleum Exporting Countries (“OPEC”) supply cut. Prices recovered in Q1 2019 and early Q2 2019, before the market traded within a broad range, with the West Texas Intermediate (“WTI”) contract largely trading between $50 and $65 per barrel. Within agricultural commodities, corn and wheat futures saw a sharp break higher in May 2019 amid fears over US planting progress. The breakout reversed later in the period, with both markets finishing the fiscal year lower. Elsewhere, worries over Chinese demand and slower global growth generally weighed on copper and aluminium prices, while nickel prices spiked in August on news that Indonesia would introduce a ban on nickel ore exports.
Performance Attribution
The Fund’s returns stemmed from strong performance by the managed futures allocation over the twelve-month fiscal year ended August 31 2019, although the equity allocation was also slightly positive over the period.
By market sector, the managed futures allocation generated most of its gains in fixed income. Within bonds, long exposures to German and US contracts were the biggest contributors. There were no negative contracts within the bond sector over the period, as upward trends in bonds during 2019 led to profits from long exposures across multiple bond markets. In interest rates, profits stemmed from mostly long exposures. Major currency gains stemmed from short EUR/USD exposures, which were held throughout the period, while smaller gains were made from primarily short GBP/USD, AUD/USD and EUR/JPY positions. In precious metals, both gold and silver made gains, particularly late in the period as prices rallied. Smaller sector-level profits were made in base metals.
On the negative side, the managed futures allocation saw losses in equities, energy and grains. In equities, mostly long exposures in the S&P 500 Index, Nikkei 225 Index and FTSE 100 Index proved costly, while longs in other US indices and mixed positioning in the Hang Seng Index were additional underperforming positions. Energy produced negative performance, as long crude oil exposures in Q4 2018 generated losses as the market turned lower, with mixed positioning for the rest of the period also proving difficult. Further energy losses were incurred in the oil distillate contracts, with natural gas the only positive energy contract. In grains, both corn and wheat detracted from performance. Elsewhere, smaller (sector-level losses were made in softs, meats and emerging market currencies.
For the equity allocation, a sharp selloff in US equity futures in October and December 2018 proved difficult for long S&P 500 Index positioning. Sentiment improved in January 2019, with markets advancing until May 2019, when US-China trade concerns weighed heavily on equity futures. The S&P 500 Index recovered to reach new highs in July 2019, but prices subsequently declined in August 2019 as persistent global trade concerns and concerns over slowing global growth weighed on the market. Over the full twelve-month period, S&P 500 Index was up 0.9%.
Key to Currency Abbreviations | |
AUD | Australian Dollar |
GBP | British Pound Sterling |
USD | US Dollar |
EUR | Euro |
JPY | Japanese Yen |
An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in Abbey Capital Multi Asset Offshore Fund Limited, which is a wholly-owned subsidiary of the Fund that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the
3
Abbey Capital Multi Asset Fund
Annual Investment Adviser’s Report (Concluded)
August 31, 2019 (Unaudited)
risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.
The Abbey Capital Multi Asset Fund is distributed by Quasar Distributions, LLC.
4
Abbey Capital Multi Asset Fund
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $1,000,000 Investment in Abbey Capital Multi Asset Fund - Class I Shares
vs. BoFA Merrill Lynch 3-Month U.S. Treasury Bill Index,
S&P 500® Total Return Index and Barclay CTA Index
Average Annual Total Returns for the Periods Ended August 31, 2019 | |||||
One | Five | Ten | Since | ||
Class I Shares* | 12.20% | 9.74% | 11.03% | 10.50% | |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 2.36% | 0.95% | 0.52% | 1.37%** | |
S&P 500® Total Return Index | 2.92% | 10.11% | 13.45% | 8.14%** | |
Barclay CTA Index | 5.64% | 1.47% | 1.07% | 3.65%** |
* | Performance from May 14, 2002 to April 10, 2018 is performance of Abbey Global LP (the “Predecessor Fund”). The Fund commenced operations as a series of The RBB Fund, Inc. on April 11, 2018, when all of the assets of the Predecessor Fund transferred to Class I Shares of the Fund. |
** | Performance is from the inception date of the Predecessor Fund only and is not the inception date of the index itself. |
The performance quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 2.84% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.
5
Abbey Capital Multi Asset Fund
Performance Data (Concluded)
August 31, 2019 (Unaudited)
The S&P 500® Total Return Index
The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.
S&P 500® Index
The S&P 500® Index is a market-capitalization-weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.
Barclay CTA Index
The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 510 programs included in the calculation of the Barclay CTA Index for 2019. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index
The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
Nikkei 225 Index
The Nikkei 225 Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies traded on the Tokyo Stock Exchange.
DJ Euro Stoxx 50 Index
DJ Euro Stoxx 50 Index is a stock index of Eurozone stocks designed by STOXX, an index provider owned by Deutsche Börse Group. According to STOXX, its goal is “to provide a blue-chip representation of Supersector leaders in the Eurozone”. It is made up of fifty of the largest and most liquid stocks.
Hang Seng Index
The Hang Seng Index is a market capitalization-weighted index of 40 of the largest companies that trade on the Hong Kong Exchange. The Hang Seng Index is maintained by a subsidiary of Hang Seng Bank, and has been published since 1969.
FTSE 100 Index
FTSE 100 Index is a share index of the 100 companies listed on the London Stock Exchange with the highest market capitalization. It is seen as a gauge of prosperity for businesses regulated by UK company law.
A basis point is one hundredth of one percent.
Portfolio composition is subject to change. It is not possible to invest directly in an index.
6
Abbey Capital Multi Asset Fund
Fund Expense Example
August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Class I Shares | |||||
Beginning | Ending | Expenses Paid | Annualized | Actual Six-Month | |
Actual | $ 1,000.00 | $ 1,219.60 | $ 10.01 | 1.79% | 21.96% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,016.18 | 9.10 | 1.79 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) 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. |
7
Abbey Capital Multi Asset Fund
Consolidated Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 81.8 | % | $ | 23,100,362 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | ||||||||
(including futures and forward foreign currency contracts) | 18.2 | 5,141,522 | ||||||
NET ASSETS | 100.0 | % | $ | 28,241,884 |
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a “Long U.S. Equity” strategy and a “Fixed Income” strategy.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
8
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments
August 31, 2019
Coupon* | Maturity | Par | Value | |||||||||||||
SHORT-TERM INVESTMENTS — 81.8% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 81.8% | ||||||||||||||||
U.S. Treasury Bills | 2.490% | 09/19/19 | $ | 2,618 | $ | 2,615,731 | ||||||||||
U.S. Treasury Bills | 2.436% | 09/26/19 | 2,040 | 2,037,488 | ||||||||||||
U.S. Treasury Bills | 2.452% | 10/10/19 | 1,138 | 1,135,667 | ||||||||||||
U.S. Treasury Bills | 2.457% | 10/17/19 | 89 | 88,784 | ||||||||||||
U.S. Treasury Bills | 2.437% | 10/24/19 | 1,190 | 1,186,734 | ||||||||||||
U.S. Treasury Bills | 2.234% | 10/31/19 | 851 | 848,347 | ||||||||||||
U.S. Treasury Bills | 2.426% | 11/07/19 | 2,443 | 2,434,443 | ||||||||||||
U.S. Treasury Bills | 2.373% | 11/29/19 | 360 | 358,312 | ||||||||||||
U.S. Treasury Bills | 2.206% | 12/05/19 | 1,284 | 1,277,651 | ||||||||||||
U.S. Treasury Bills | 2.079% | 12/12/19 | 659 | 655,551 | ||||||||||||
U.S. Treasury Bills | 2.038% | 12/19/19 | 4,079 | 4,056,129 | ||||||||||||
U.S. Treasury Bills | 2.111% | 01/02/20 | 658 | 653,880 | ||||||||||||
U.S. Treasury Bills | 2.069% | 01/09/20 | 690 | 685,436 | ||||||||||||
U.S. Treasury Bills | 2.038% | 01/16/20 | 103 | 102,288 | ||||||||||||
U.S. Treasury Bills | 2.043% | 01/23/20 | 708 | 702,854 | ||||||||||||
U.S. Treasury Bills | 1.988% | 01/30/20 | 549 | 544,830 | ||||||||||||
U.S. Treasury Bills | 1.934% | 02/06/20 | 408 | 404,762 | ||||||||||||
U.S. Treasury Bills | 1.892% | 02/13/20 | 1,817 | 1,801,909 | ||||||||||||
U.S. Treasury Bills | 1.881% | 02/20/20 | 694 | 688,005 | ||||||||||||
U.S. Treasury Bills | 1.876% | 02/27/20 | 829 | 821,561 | ||||||||||||
23,100,362 | ||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||||
(Cost $23,089,134) | 23,100,362 | |||||||||||||||
TOTAL INVESTMENTS — 81.8% | ||||||||||||||||
(Cost $23,089,134) | 23,100,362 | |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 18.2% | 5,141,522 | |||||||||||||||
NET ASSETS — 100.0% | $ | 28,241,884 |
* | Short-term investments’ coupon 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.
9
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Futures contracts outstanding as of August 31, 2019 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
10-Year Mini Japanese Government Bond Futures | Sep-19 | 21 | $ | 1,976,750 | $ | 31,826 | ||||||||||
3-Month Euro Euribor | Jun-20 | 91 | 25,003,297 | 20,593 | ||||||||||||
3-Month Euro Euribor | Dec-20 | 5 | 1,373,808 | 3,888 | ||||||||||||
3-Month Euro Euribor | Dec-21 | 1 | 274,762 | 1,003 | ||||||||||||
90-DAY Bank Bill | Dec-19 | 4 | 2,693,802 | 1,190 | ||||||||||||
90-DAY Bank Bill | Mar-20 | 4 | 2,693,802 | 1,058 | ||||||||||||
90-DAY Bank Bill | Jun-20 | 34 | 22,897,319 | 11,778 | ||||||||||||
90-DAY Bank Bill | Sep-20 | 1 | 673,451 | 414 | ||||||||||||
90-DAY Bank Bill | Dec-20 | 1 | 673,451 | 513 | ||||||||||||
90-DAY Bank Bill | Mar-21 | 1 | 673,451 | 480 | ||||||||||||
90-DAY Eurodollar Futures | Dec-19 | 1 | 250,000 | 400 | ||||||||||||
90-DAY Eurodollar Futures | Mar-20 | 2 | 500,000 | 1,150 | ||||||||||||
90-DAY Eurodollar Futures | Jun-20 | 52 | 13,000,000 | 12,100 | ||||||||||||
90-DAY Eurodollar Futures | Sep-20 | 2 | 500,000 | 50 | ||||||||||||
90-DAY Eurodollar Futures | Dec-20 | 1 | 250,000 | 738 | ||||||||||||
90-DAY Eurodollar Futures | Mar-21 | 1 | 250,000 | 1,100 | ||||||||||||
90-DAY Eurodollar Futures | Jun-21 | 22 | 5,500,000 | 21,300 | ||||||||||||
90-DAY Eurodollar Futures | Sep-21 | 1 | 250,000 | 1,288 | ||||||||||||
90-DAY Eurodollar Futures | Dec-21 | 1 | 250,000 | 1,175 | ||||||||||||
90-DAY Eurodollar Futures | Jun-22 | 20 | 5,000,000 | 23,563 | ||||||||||||
90-DAY Sterling Futures | Dec-19 | 1 | 152,100 | 53 | ||||||||||||
90-DAY Sterling Futures | Mar-20 | 5 | 760,498 | 198 | ||||||||||||
90-DAY Sterling Futures | Jun-20 | 197 | 29,963,618 | 14,738 | ||||||||||||
90-DAY Sterling Futures | Sep-20 | 8 | 1,216,797 | 1,300 | ||||||||||||
90-DAY Sterling Futures | Dec-20 | 44 | 6,692,382 | 12,799 | ||||||||||||
90-DAY Sterling Futures | Mar-21 | 6 | 912,597 | 1,331 | ||||||||||||
90-DAY Sterling Futures | Jun-21 | 38 | 5,779,784 | 7,932 | ||||||||||||
90-DAY Sterling Futures | Sep-21 | 6 | 912,597 | 1,612 | ||||||||||||
90-DAY Sterling Futures | Dec-21 | 5 | 760,498 | 662 | ||||||||||||
90-DAY Sterling Futures | Jun-22 | 33 | 5,019,286 | 7,232 | ||||||||||||
Amsterdam Index Futures | Sep-19 | 3 | 368,007 | 12,740 | ||||||||||||
Australian 10-Year Bond Futures | Sep-19 | 18 | 1,212,211 | 14,665 | ||||||||||||
Australian 3-Year Bond Futures | Sep-19 | 41 | 2,761,147 | 21,828 | ||||||||||||
Bank Acceptance Futures | Dec-19 | 7 | 1,314,406 | 591 | ||||||||||||
Bank Acceptance Futures | Mar-20 | 7 | 1,314,406 | 1,108 | ||||||||||||
Bank Acceptance Futures | Jun-20 | 5 | 938,861 | 1,052 | ||||||||||||
Bank Acceptance Futures | Sep-20 | 3 | 563,317 | 1,005 | ||||||||||||
Bank Acceptance Futures | Dec-20 | 2 | 375,545 | 610 | ||||||||||||
Bank Acceptance Futures | Mar-21 | 1 | 187,772 | 254 | ||||||||||||
CAC40 10 Euro Futures | Sep-19 | 18 | 1,083,703 | 16,052 | ||||||||||||
Canadian 10-Year Bond Futures | Dec-19 | 4 | 300,436 | 1,615 | ||||||||||||
DAX Index Futures | Sep-19 | 3 | 981,929 | (34,950 | ) | |||||||||||
DJIA Mini E-CBOT | Sep-19 | 7 | 924,210 | (210 | ) | |||||||||||
Dollar Index | Sep-19 | 21 | 2,100,000 | 28,925 | ||||||||||||
Euro STOXX 50 | Sep-19 | 36 | 1,352,750 | (5,133 | ) | |||||||||||
Euro-Bobl Futures | Sep-19 | 29 | 3,187,233 | 20,519 | ||||||||||||
Euro-Bobl Futures | Dec-19 | 67 | 7,363,608 | 14,156 | ||||||||||||
Euro-BTP Futures | Sep-19 | 7 | 769,332 | 118,027 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Euro-Bund Futures | Sep-19 | 18 | $ | 1,978,283 | $ | 49,699 | ||||||||||
Euro-Bund Futures | Dec-19 | 15 | 1,648,569 | 802 | ||||||||||||
Euro-Oat Futures | Sep-19 | 6 | 659,428 | 21,772 | ||||||||||||
Euro-Schatz Futures | Sep-19 | 31 | 3,407,043 | 14,628 | ||||||||||||
Euro-Schatz Futures | Dec-19 | 1 | 109,905 | 27 | ||||||||||||
FTSE 100 Index Futures | Sep-19 | 11 | 961,093 | (26,806 | ) | |||||||||||
FTSE/MIB Index Futures | Sep-19 | 2 | 234,317 | (5,358 | ) | |||||||||||
Gold 100 Oz Futures | Dec-19 | 11 | 1,682,340 | 60,600 | ||||||||||||
JPY Currency Futures | Sep-19 | 16 | 1,882,619 | (263 | ) | |||||||||||
LME Aluminum Forward | Sep-19 | 52 | 2,252,250 | (68,931 | ) | |||||||||||
LME Copper Forward | Sep-19 | 18 | 2,550,713 | (119,265 | ) | |||||||||||
LME Nickel Forward | Sep-19 | 11 | 1,188,330 | 330,193 | ||||||||||||
LME Nickel Forward | Dec-19 | 5 | 536,850 | 49,788 | ||||||||||||
Long Gilt Futures | Dec-19 | 30 | 3,650,390 | 21,379 | ||||||||||||
MSCI Singapore Exchange ETS | Sep-19 | 3 | 77,067 | 1,222 | ||||||||||||
MSCI Taiwan Index | Sep-19 | 4 | 156,360 | 4,400 | ||||||||||||
MXN Currency Futures | Sep-19 | 11 | 274,431 | (10,695 | ) | |||||||||||
Nasdaq 100 E-Mini | Sep-19 | 8 | 1,230,520 | 8,165 | ||||||||||||
OMX Stockholm 30 Index Futures | Sep-19 | 2 | 32,090 | 1,676 | ||||||||||||
S&P 500 E-Mini Futures | Sep-19 | 88 | 12,869,120 | (19,283 | ) | |||||||||||
S&P/TSX 60 IX Futures | Sep-19 | 3 | 442,316 | 7,421 | ||||||||||||
Short BTP Futures | Sep-19 | 3 | 329,714 | 1,803 | ||||||||||||
Silver Futures | Dec-19 | 15 | 1,375,650 | 25,920 | ||||||||||||
SPI 200 Futures | Sep-19 | 4 | 442,524 | 2,155 | ||||||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Dec-19 | 39 | 4,010,479 | 8,281 | ||||||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Dec-19 | 1 | 204,582 | (16 | ) | |||||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Dec-19 | 32 | 3,332,853 | 12,281 | ||||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 15 | 2,099,749 | 4,813 | ||||||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 1 | 120,893 | (445 | ) | |||||||||||
$ | 772,281 |
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
AUD/USD Currency Futures | Sep-19 | 37 | $ | (2,491,767 | ) | $ | 65,850 | |||||||||
Brent Crude Futures | Nov-19 | 1 | (59,250 | ) | (800 | ) | ||||||||||
CAD Currency Futures | Sep-19 | 21 | (1,577,287 | ) | 1,125 | |||||||||||
CHF Currency Futures | Sep-19 | 14 | (1,768,123 | ) | 8,437 | |||||||||||
Cocoa Futures | Dec-19 | 1 | (22,220 | ) | (470 | ) | ||||||||||
Cocoa Futures | Mar-20 | 1 | (22,300 | ) | 240 | |||||||||||
Coffee ‘C’ Futures | Dec-19 | 8 | (290,550 | ) | 12,056 | |||||||||||
Copper Futures | Dec-19 | 8 | (510,300 | ) | 1,238 | |||||||||||
Corn Futures | Dec-19 | 78 | (1,442,025 | ) | 17,075 | |||||||||||
Corn Futures | Mar-20 | 1 | (19,113 | ) | (125 | ) | ||||||||||
Cotton No.2 Futures | Dec-19 | 9 | (264,735 | ) | 27,215 | |||||||||||
EUR Foreign Exchange Currency Futures | Sep-19 | 56 | (7,693,322 | ) | 160,150 | |||||||||||
Euro/JPY Futures | Sep-19 | 7 | (961,665 | ) | 21,615 | |||||||||||
Gasoline RBOB Futures | Oct-19 | 5 | (321,237 | ) | 214 |
The accompanying notes are an integral part of the consolidated financial statements.
11
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Gasoline RBOB Futures | Nov-19 | 1 | $ | (63,118 | ) | $ | 1,117 | |||||||||
GBP Currency Futures | Sep-19 | 24 | (1,825,195 | ) | 60,594 | |||||||||||
Hang Seng China Enterprises Index Futures | Sep-19 | 1 | (64,263 | ) | (83 | ) | ||||||||||
Hang Seng Index Futures | Sep-19 | 4 | (653,283 | ) | (3,297 | ) | ||||||||||
Kansas City Hard Red Winter Wheat Futures | Dec-19 | 3 | (59,588 | ) | 1,225 | |||||||||||
Lean Hogs Futures | Oct-19 | 7 | (177,868 | ) | 23,290 | |||||||||||
Lean Hogs Futures | Dec-19 | 1 | (25,352 | ) | 260 | |||||||||||
Live Cattle Futures | Oct-19 | 7 | (276,992 | ) | 21,480 | |||||||||||
Live Cattle Futures | Dec-19 | 1 | (41,472 | ) | 410 | |||||||||||
Live Cattle Futures | Feb-20 | 1 | (43,612 | ) | 420 | |||||||||||
Live Cattle Futures | Apr-20 | 1 | (44,472 | ) | 530 | |||||||||||
LME Aluminum Forward | Sep-19 | 52 | (2,252,250 | ) | 103,476 | |||||||||||
LME Aluminum Forward | Dec-19 | 19 | (833,744 | ) | 17,024 | |||||||||||
LME Copper Forward | Sep-19 | 18 | (2,550,713 | ) | 127,566 | |||||||||||
LME Copper Forward | Dec-19 | 8 | (1,135,800 | ) | 18,553 | |||||||||||
LME Nickel Forward | Sep-19 | 11 | (1,188,330 | ) | (310,088 | ) | ||||||||||
LME Zinc Forward | Dec-19 | 1 | (55,100 | ) | 1,671 | |||||||||||
Low Sulphur Gasoil G Futures | Oct-19 | 1 | (56,225 | ) | (1,700 | ) | ||||||||||
Low Sulphur Gasoil G Futures | Nov-19 | 1 | (55,950 | ) | (1,325 | ) | ||||||||||
MSCI EAFE Index Futures | Sep-19 | 1 | (92,195 | ) | (1,065 | ) | ||||||||||
MSCI Emerging Markets Index Futures | Sep-19 | 2 | (98,400 | ) | (1,250 | ) | ||||||||||
Natural Gas Futures | Oct-19 | 24 | (548,400 | ) | (29,920 | ) | ||||||||||
Natural Gas Futures | Nov-19 | 2 | (46,500 | ) | (2,000 | ) | ||||||||||
Nikkei 225 (Singapore Exchange) | Sep-19 | 5 | (486,422 | ) | (4,283 | ) | ||||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Oct-19 | 5 | (385,833 | ) | 22,210 | |||||||||||
NZD Currency Futures | Sep-19 | 21 | (1,323,210 | ) | 60,530 | |||||||||||
Russell 2000 E-Mini | Sep-19 | 1 | (74,710 | ) | (1,655 | ) | ||||||||||
Soybean Futures | Nov-19 | 9 | (391,050 | ) | 6,138 | |||||||||||
Soybean Meal Futures | Dec-19 | 2 | (59,060 | ) | 3,290 | |||||||||||
Sugar No. 11 (World) | Mar-20 | 25 | (342,440 | ) | 16,016 | |||||||||||
Sugar No. 11 (World) | May-20 | 2 | (27,731 | ) | (67 | ) | ||||||||||
Sugar No. 11 (World) | Oct-19 | 30 | (374,304 | ) | 19,186 | |||||||||||
Topix Index Futures | Sep-19 | 1 | (142,138 | ) | (4,471 | ) | ||||||||||
Wheat (Chicago Board of Trade) | Dec-19 | 20 | (462,500 | ) | 19,175 | |||||||||||
Wheat (Chicago Board of Trade) | Mar-20 | 1 | (23,500 | ) | 600 | |||||||||||
WTI Crude Futures | Oct-19 | 5 | (275,500 | ) | (1,300 | ) | ||||||||||
$ | 476,077 | |||||||||||||||
Total Futures Contracts | $ | 1,248,358 |
The accompanying notes are an integral part of the consolidated financial statements.
12
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Forward foreign currency contracts outstanding as of August 31, 2019 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
AUD | 653,232 | USD | 439,364 | Sep 03 2019 | SOCIETE GENERALE | $ | 615 | ||||||||||||||||||||||
BRL | 801,875 | USD | 207,914 | Sep 18 2019 | SOCIETE GENERALE | (14,514 | ) | ||||||||||||||||||||||
CAD | 2,143,039 | USD | 1,611,171 | Sep 03 2019 | SOCIETE GENERALE | (1,457 | ) | ||||||||||||||||||||||
CAD | 2,143,039 | USD | 1,607,828 | Sep 04 2019 | SOCIETE GENERALE | 1,910 | |||||||||||||||||||||||
CLP | 385,925,260 | USD | 552,931 | Sep 23 2019 | SOCIETE GENERALE | (17,983 | ) | ||||||||||||||||||||||
CNH | 2,062,117 | USD | 300,000 | Sep 18 2019 | SOCIETE GENERALE | (12,187 | ) | ||||||||||||||||||||||
COP | 1,342,817,762 | USD | 402,714 | Sep 18 2019 | SOCIETE GENERALE | (12,949 | ) | ||||||||||||||||||||||
CZK | 6,422,390 | EUR | 250,000 | Sep 18 2019 | SOCIETE GENERALE | (3,046 | ) | ||||||||||||||||||||||
CZK | 1,299,099 | EUR | 50,000 | Dec 18 2019 | SOCIETE GENERALE | (292 | ) | ||||||||||||||||||||||
EUR | 1,619,438 | USD | 1,777,945 | Sep 03 2019 | SOCIETE GENERALE | 2,429 | |||||||||||||||||||||||
EUR | 250,000 | CZK | 6,433,631 | Sep 18 2019 | SOCIETE GENERALE | 2,570 | |||||||||||||||||||||||
EUR | 400,000 | HUF | 130,419,201 | Sep 18 2019 | SOCIETE GENERALE | 7,059 | |||||||||||||||||||||||
EUR | 550,000 | NOK | 5,448,278 | Sep 18 2019 | SOCIETE GENERALE | 7,166 | |||||||||||||||||||||||
EUR | 300,000 | PLN | 1,290,122 | Sep 18 2019 | SOCIETE GENERALE | 6,017 | |||||||||||||||||||||||
EUR | 1,200,000 | SEK | 12,827,168 | Sep 18 2019 | SOCIETE GENERALE | 12,188 | |||||||||||||||||||||||
EUR | 100,000 | HUF | 32,861,000 | Dec 18 2019 | SOCIETE GENERALE | 1,108 | |||||||||||||||||||||||
EUR | 200,000 | NOK | 2,002,876 | Dec 18 2019 | SOCIETE GENERALE | 1,464 | |||||||||||||||||||||||
GBP | 2,338,561 | USD | 2,840,650 | Sep 03 2019 | SOCIETE GENERALE | 5,388 | |||||||||||||||||||||||
HUF | 130,091,616 | EUR | 400,000 | Sep 18 2019 | SOCIETE GENERALE | (8,148 | ) | ||||||||||||||||||||||
ILS | 351,936 | USD | 100,000 | Sep 18 2019 | SOCIETE GENERALE | (319 | ) | ||||||||||||||||||||||
INR | 31,662,951 | USD | 450,295 | Sep 18 2019 | SOCIETE GENERALE | (7,790 | ) | ||||||||||||||||||||||
INR | 3,643,484 | USD | 50,000 | Dec 18 2019 | SOCIETE GENERALE | 377 | |||||||||||||||||||||||
JPY | 222,847,150 | USD | 2,102,332 | Sep 03 2019 | SOCIETE GENERALE | (4,091 | ) | ||||||||||||||||||||||
JPY | 222,847,150 | USD | 2,096,290 | Sep 05 2019 | SOCIETE GENERALE | 2,231 | |||||||||||||||||||||||
KRW | 533,703,020 | USD | 450,877 | Sep 18 2019 | SOCIETE GENERALE | (10,032 | ) | ||||||||||||||||||||||
NOK | 5,369,830 | EUR | 550,000 | Sep 18 2019 | SOCIETE GENERALE | (15,779 | ) | ||||||||||||||||||||||
PHP | 18,324,417 | USD | 350,000 | Sep 18 2019 | SOCIETE GENERALE | 1,649 | |||||||||||||||||||||||
PHP | 2,625,737 | USD | 50,000 | Dec 18 2019 | SOCIETE GENERALE | 170 | |||||||||||||||||||||||
PLN | 1,289,715 | EUR | 300,000 | Sep 18 2019 | SOCIETE GENERALE | (6,120 | ) | ||||||||||||||||||||||
RUB | 26,232,501 | USD | 400,000 | Sep 18 2019 | SOCIETE GENERALE | (7,776 | ) | ||||||||||||||||||||||
SEK | 9,508,246 | EUR | 900,000 | Sep 18 2019 | SOCIETE GENERALE | (20,580 | ) | ||||||||||||||||||||||
SGD | 342,378 | USD | 250,000 | Sep 18 2019 | SOCIETE GENERALE | (3,233 | ) | ||||||||||||||||||||||
THB | 7,738,230 | USD | 250,000 | Sep 18 2019 | SOCIETE GENERALE | 3,242 | |||||||||||||||||||||||
THB | 3,059,984 | USD | 100,000 | Dec 18 2019 | SOCIETE GENERALE | 354 | |||||||||||||||||||||||
TRY | 604,424 | USD | 100,000 | Sep 18 2019 | SOCIETE GENERALE | 2,929 | |||||||||||||||||||||||
TRY | 605,658 | USD | 100,000 | Dec 18 2019 | SOCIETE GENERALE | (282 | ) | ||||||||||||||||||||||
TWD | 10,950,725 | USD | 352,423 | Sep 18 2019 | SOCIETE GENERALE | (3,408 | ) | ||||||||||||||||||||||
USD | 440,271 | AUD | 653,232 | Sep 03 2019 | SOCIETE GENERALE | 292 | |||||||||||||||||||||||
USD | 439,392 | AUD | 653,232 | Sep 05 2019 | SOCIETE GENERALE | (616 | ) | ||||||||||||||||||||||
USD | 200,000 | BRL | 801,875 | Sep 18 2019 | SOCIETE GENERALE | 6,601 | |||||||||||||||||||||||
USD | 50,000 | BRL | 207,477 | Dec 18 2019 | SOCIETE GENERALE | 301 | |||||||||||||||||||||||
USD | 1,607,802 | CAD | 2,143,039 | Sep 03 2019 | SOCIETE GENERALE | (1,912 | ) | ||||||||||||||||||||||
USD | 550,000 | CLP | 385,925,260 | Sep 23 2019 | SOCIETE GENERALE | 15,052 | |||||||||||||||||||||||
USD | 150,000 | CLP | 108,294,975 | Dec 18 2019 | SOCIETE GENERALE | (331 | ) | ||||||||||||||||||||||
USD | 400,000 | CNH | 2,772,990 | Sep 18 2019 | SOCIETE GENERALE | 12,970 | |||||||||||||||||||||||
USD | 400,000 | COP | 1,342,817,763 | Sep 18 2019 | SOCIETE GENERALE | 10,235 | |||||||||||||||||||||||
USD | 100,000 | COP | 346,812,850 | Dec 18 2019 | SOCIETE GENERALE | (91 | ) | ||||||||||||||||||||||
USD | 1,795,042 | EUR | 1,619,438 | Sep 03 2019 | SOCIETE GENERALE | 14,668 | |||||||||||||||||||||||
USD | 1,732,758 | EUR | 1,578,305 | Sep 05 2019 | SOCIETE GENERALE | (2,657 | ) |
The accompanying notes are an integral part of the consolidated financial statements.
13
Abbey Capital Multi Asset Fund
Consolidated Portfolio of Investments (Concluded)
August 31, 2019
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
USD | 2,858,657 | GBP | 2,338,561 | Sep 03 2019 | SOCIETE GENERALE | $ | 12,619 | ||||||||||||||||||||||
USD | 2,840,870 | GBP | 2,338,561 | Sep 05 2019 | SOCIETE GENERALE | (5,411 | ) | ||||||||||||||||||||||
USD | 450,000 | INR | 31,662,951 | Sep 18 2019 | SOCIETE GENERALE | 7,494 | |||||||||||||||||||||||
USD | 50,000 | INR | 3,644,616 | Dec 18 2019 | SOCIETE GENERALE | (392 | ) | ||||||||||||||||||||||
USD | 2,096,004 | JPY | 222,847,150 | Sep 03 2019 | SOCIETE GENERALE | (2,237 | ) | ||||||||||||||||||||||
USD | 450,000 | KRW | 533,703,020 | Sep 18 2019 | SOCIETE GENERALE | 9,155 | |||||||||||||||||||||||
USD | 100,000 | KRW | 121,007,630 | Dec 18 2019 | SOCIETE GENERALE | (241 | ) | ||||||||||||||||||||||
USD | 352,896 | PHP | 18,324,417 | Sep 18 2019 | SOCIETE GENERALE | 1,248 | |||||||||||||||||||||||
USD | 350,000 | RUB | 23,096,916 | Sep 18 2019 | SOCIETE GENERALE | 4,659 | |||||||||||||||||||||||
USD | 250,000 | SGD | 343,818 | Sep 18 2019 | SOCIETE GENERALE | 2,195 | |||||||||||||||||||||||
USD | 100,000 | SGD | 138,110 | Dec 18 2019 | SOCIETE GENERALE | 354 | |||||||||||||||||||||||
USD | 250,000 | THB | 7,681,516 | Sep 18 2019 | SOCIETE GENERALE | (1,387 | ) | ||||||||||||||||||||||
USD | 100,000 | TRY | 585,802 | Sep 18 2019 | SOCIETE GENERALE | 242 | |||||||||||||||||||||||
USD | 350,000 | TWD | 10,950,725 | Sep 18 2019 | SOCIETE GENERALE | 985 | |||||||||||||||||||||||
USD | 100,000 | TWD | 3,114,777 | Dec 18 2019 | SOCIETE GENERALE | 237 | |||||||||||||||||||||||
USD | 350,000 | ZAR | 5,133,686 | Sep 18 2019 | SOCIETE GENERALE | 12,422 | |||||||||||||||||||||||
ZAR | 4,313,275 | USD | 300,000 | Sep 18 2019 | SOCIETE GENERALE | (16,370 | ) | ||||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | (11,036 | ) |
AUD | Australian Dollar | KRW | Korean Won | |
BRL | Brazilian Real | LME | London Mercantile Exchange | |
CAD | Canadian Dollar | MIB | Milano Indice di Borsa | |
CHF | Swiss Franc | MXN | Mexican Peso | |
CLP | Chilean Peso | NOK | Norwegian Krone | |
CNH | Chinese Yuan Renminbi | NZD | New Zealand Dollar | |
COP | Colombian Peso | OMX | Stockholm Stock Exchange | |
CZK | Czech Koruna | PHP | Philippine Peso | |
DAX | Deutscher Aktienindex | PLN | Polish Zloty | |
DJIA | Dow Jones Industrial Average | RBOB | Reformulated Blendstock for Oxygenate Blending | |
EUR | Euro | RUB | Russian Ruble | |
FTSE | Financial Times Stock Exchange | SEK | Swedish Krona | |
GBP | British Pound | SGD | Singapore Dollar | |
HUF | Hungarian Forint | THB | Thai Baht | |
ILS | Israeli New Shekel | TRY | Turkish Lira | |
INR | Indian Rupee | TWD | Taiwan Dollar | |
JPY | Japanese Yen | USD | United States Dollar | |
WTI | West Texas Intermediate | |||
ZAR | South African Rand |
The accompanying notes are an integral part of the consolidated financial statements.
14
Abbey Capital Multi Asset Fund
Consolidated Statement of Assets And Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value (cost $23,089,134) | $ | 23,100,362 | ||
Cash | 213,649 | |||
Foreign currency deposits with broker for futures contracts (cost $502,932) | 499,324 | |||
Deposits with broker for forward foreign currency contracts | 269,255 | |||
Deposits with broker for futures contracts | 2,972,050 | |||
Receivables for: | ||||
Capital shares sold | 20,000 | |||
Unrealized appreciation on forward foreign currency contracts | 170,595 | |||
Unrealized appreciation on futures contracts | 1,903,612 | |||
Prepaid expenses and other assets | 12,209 | |||
Total assets | 29,161,056 | |||
LIABILITIES | ||||
Payables for: | ||||
Advisory fees | 15,646 | |||
Administration and accounting services fees | 951 | |||
Unrealized depreciation on forward foreign currency contracts | 181,631 | |||
Unrealized depreciation on futures contracts | 655,254 | |||
Other accrued expenses and liabilities | 65,690 | |||
Total liabilities | 919,172 | |||
Net assets | $ | 28,241,884 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 2,581 | ||
Paid-in capital | 27,656,224 | |||
Total distributable earnings/(losses) | 583,079 | |||
Net assets | $ | 28,241,884 | ||
CLASS I SHARES: | ||||
Net assets | $ | 28,241,884 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,581,379 | |||
Net asset value, offering and redemption price per share | $ | 10.94 |
The accompanying notes are an integral part of the consolidated financial statements.
15
Abbey Capital Multi Asset Fund
Consolidated Statement of Operations
For the Year Ended August 31, 2019
INVESTMENT INCOME | ||||
Interest | $ | 450,877 | ||
Total investment income | 450,877 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 390,294 | |||
Audit and tax service fees | 50,197 | |||
Administration and accounting services fees (Note 2) | 34,157 | |||
Registration and filing fees | 11,522 | |||
Director fees | 10,383 | |||
Custodian fees (Note 2) | 1,758 | |||
Transfer agent fees (Note 2) | 1,312 | |||
Legal fees | 647 | |||
Officer fees | 439 | |||
Other expenses | 775 | |||
Total expenses before waivers and/or reimbursements | 501,484 | |||
Less: waivers and/or reimbursements (Note 2) | (106,779 | ) | ||
Net expenses after waivers and/or reimbursements | 394,705 | |||
Net investment income/(loss) | 56,172 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | 2,883 | |||
Futures contracts | 2,763,832 | |||
Foreign currency transactions | (28,168 | ) | ||
Forward foreign currency contracts | (70,771 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 10,275 | |||
Futures contracts | 338,843 | |||
Foreign currency translations | (3,293 | ) | ||
Forward foreign currency contracts | (49,826 | ) | ||
Net realized and unrealized gain/(loss) from investments | 2,963,775 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,019,947 |
The accompanying notes are an integral part of the consolidated financial statements.
16
Abbey Capital Multi Asset Fund
Consolidated Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 56,172 | $ | (20,104 | ) | |||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts | 2,667,776 | 380,916 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts | 295,999 | 948,943 | ||||||
Net increase/(decrease) in net assets resulting from operations | 3,019,947 | 1,309,755 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (1,736,107 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (1,736,107 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 3,807,213 | 20,298,269 | ||||||
Proceeds from reinvestment of distributions | 1,699,774 | — | ||||||
Shares redeemed | (156,967 | ) | — | |||||
Total from Class I Shares | 5,350,020 | 20,298,269 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 5,350,020 | 20,298,269 | ||||||
Total increase/(decrease) in net assets | 6,633,860 | 21,608,024 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 21,608,024 | — | ||||||
End of period | $ | 28,241,884 | $ | 21,608,024 | ||||
SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 378,195 | 2,029,596 | ||||||
Shares reinvested | 191,201 | — | ||||||
Shares redeemed | (17,613 | ) | — | |||||
Total Class I Shares | 551,783 | 2,029,596 | ||||||
Net increase/(decrease) in shares outstanding | 551,783 | 2,029,596 |
* | Inception date of the Fund was April 11, 2018. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplificaton. Accumulated net investment income/(loss) as of August 31, 2018 was $(39,231). |
The accompanying notes are an integral part of the consolidated financial statements.
17
Abbey Capital Multi Asset Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
For the | For the | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 10.00 | ||||
Net investment income/(loss)(2) | 0.02 | (0.01 | ) | |||||
Net realized and unrealized gain/(loss) from investments | 1.09 | 0.66 | ||||||
Net increase/(decrease) in net assets resulting from operations | 1.11 | 0.65 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.36 | ) | — | |||||
Net realized capital gains | (0.46 | ) | — | |||||
Total dividends and distributions to shareholders | (0.82 | ) | — | |||||
Net asset value, end of period | $ | 10.94 | $ | 10.65 | ||||
Total investment return/(loss)(3) | 12.20 | % | 6.50 | %(4) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $ | 28,242 | $ | 21,608 | ||||
Ratio of expenses to average net assets with waivers and/or reimbursements(6) | 1.79 | % | 1.79 | %(5) | ||||
Ratio of expenses to average net assets without waivers and/or reimbursements(6) | 2.27 | % | 2.84 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | 0.25 | % | (0.25 | )%(5) | ||||
Portfolio turnover rate | 0 | % | 0 | %(4) |
(1) | Inception date of Class I Shares of the Fund was April 11, 2018. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes)to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. |
The accompanying notes are an integral part of the consolidated financial statements.
18
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Abbey Capital Multi Asset Fund (the “Fund”), which commenced investment operations on April 11, 2018. The Fund is authorized to offer three classes of shares, Class A Shares, Class I Shares and Class C Shares. Class A Shares will be sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class A Shares and Class C Shares have not yet commenced operations as of the end of the reporting period.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a “Long U.S. Equity” strategy and a “Fixed Income” strategy.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Consolidated Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
Consolidation of Subsidiary — The Managed Futures strategy will be achieved by the Fund investing up to 25% of its total assets in Abbey Capital Multi Asset Offshore Fund Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $6,064,622, which represented 21.47% of the Fund’s net assets.
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. 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 the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
19
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 23,100,362 | $ | 23,100,362 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 928,176 | 928,176 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 53,831 | 53,831 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 170,595 | — | 170,595 | — | ||||||||||||
Futures Contracts | 407,226 | 407,226 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 514,379 | 514,379 | — | — | ||||||||||||
Total Assets | $ | 25,174,569 | $ | 25,003,974 | $ | 170,595 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (535,991 | ) | $ | (535,991 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (107,844 | ) | (107,844 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (181,631 | ) | — | (181,631 | ) | — | ||||||||||
Futures Contracts | (10,958 | ) | (10,958 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (461 | ) | (461 | ) | — | — | ||||||||||
Total Liabilities | $ | (836,885 | ) | $ | (655,254 | ) | $ | (181,631 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end
20
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following tables list the fair values of the Fund’s derivative holdings and location on the Consolidated Statement of Assets and Liabilities as of the end of the reporting period, grouped by contract type and risk exposure category.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | $ | — | $ | — | $ | 170,595 | $ | — | $ | 170,595 | |||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | 53,831 | 514,379 | 407,226 | 928,176 | 1,903,612 | ||||||||||||||||||
Total Value-Assets | $ | 53,831 | $ | 514,379 | $ | 577,821 | $ | 928,176 | $ | 2,074,207 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | $ | — | $ | — | $ | (181,631 | ) | $ | — | $ | (181,631 | ) | |||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | (107,844 | ) | (461 | ) | (10,958 | ) | (535,991 | ) | (655,254 | ) | |||||||||||||
Total Value-Liabilities | $ | (107,844 | ) | $ | (461 | ) | $ | (192,589 | ) | $ | (535,991 | ) | $ | (836,885 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments. |
21
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Realized Gain/(Loss) | ||||||||||||||||||||||||
Futures Contracts | Net realized gain/(loss) from futures contracts | $ | (620,467 | ) | $ | 3,484,742 | $ | 288,493 | $ | (388,936 | ) | $ | 2,763,832 | |||||||||||
Forward Contracts | Net realized gain/(loss) from forward foreign currency contracts | — | — | (70,771 | ) | — | (70,771 | ) | ||||||||||||||||
Total Realized Gain/(Loss) | $ | (620,467 | ) | $ | 3,484,742 | $ | 217,722 | $ | (388,936 | ) | $ | 2,693,061 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Equity | Interest | Foreign | Commodity | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation/(depreciation) on futures contracts | $ | (696,429 | ) | $ | 469,688 | $ | 289,893 | $ | 275,691 | $ | 338,843 | ||||||||||||
Forward Contracts | Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts | — | — | (49,826 | ) | — | (49,826 | ) | ||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | (696,429 | ) | $ | 469,688 | $ | 240,067 | $ | 275,691 | $ | 289,017 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures | Short Futures | Forward Foreign | Forward Foreign |
$152,574,514 | $(38,740,513) | $(48,767,450) | $48,754,208 |
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.
22
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 170,595 | $ | (170,595 | ) | $ | — | $ | — | $ | 181,631 | $ | (170,595 | ) | $ | (11,036 | ) | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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.
Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
23
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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 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.
24
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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 — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Abbey Capital Limited (“Abbey Capital” or the “Adviser”) serves as the investment adviser to the Fund and its Subsidiary. The Adviser allocates the assets of the Subsidiary to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.
25
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
Advisory | Expense Caps | ||
Class A | Class I | Class C | |
1.77% | 2.04% | 1.79% | 2.79% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross | Waivers and/or | Net |
$390,294 | $(106,779) | $283,515 |
If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | ||
August 31, | August 31, | Total |
$84,306 | $106,779 | $191,085 |
Aspect Capital Limited, Eclipse Capital Management, Inc., Revolution Capital Management, LLC, Tudor Investment Corporation and Welton Investment Partners, LLC each served as a Trading Adviser to the Fund during the period.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”) serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
26
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The Board has adopted a Plan of Distribution for the Class A Shares and Class C Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.
3. Director And Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$27,846,293 | $10,171 | $(695,866) | $(685,695) |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to taxable income from a wholly-owned controlled foreign corporation. |
27
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
Permanent differences as of August 31, 2019, primarily attributable to disallowed book income from the Subsidiary were reclassified to the following accounts:
Distributable | Paid-In |
$(2,164,378) | $2,164,378 |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Net Unrealized | Capital Loss | Qualified | Other |
$2,523,473 | $78,953 | $(2,019,347) | $— | $— | $— |
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.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018, were as follows:
Ordinary | Long-Term | Total | |
2019 | $1,151,783 | $584,324 | $1,736,107 |
2018 | $— | $— | $— |
6. New Accounting Pronouncements AND REGULATORY UPDATES
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Consolidated Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Consolidated Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify amendments facilitate compliance of the disclosure of information without significantly altering the information provided to investors.
28
Abbey Capital Multi Asset Fund
Notes To Consolidated Financial Statements (Concluded)
August 31, 2019
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
29
Abbey Capital Multi Asset Fund
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and
Shareholders of Abbey Capital Multi Asset Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Abbey Capital Multi Asset Fund (the “Fund”) (one of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the consolidated portfolio of investments, as of August 31, 2019, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets and the consolidated financial highlights for the year ended August 31, 2019 and for the period April 11, 2018 (commencement of operations) to August 31, 2018 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, the consolidated results of its operations for the year then ended, and the consolidated changes in its net assets and its consolidated financial highlights for the year ended August 31, 2019 and for the period April 11, 2018 (commencement of operations) to August 31, 2018, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Abbey Capital investment companies since 2014.
Philadelphia, Pennsylvania
October 30, 2019
30
Abbey Capital Multi Asset Fund
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distribution reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the fiscal year ended August 31, 2019, the Fund paid no ordinary income dividends to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for the Fund is 33.82%.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
31
Abbey Capital Multi Asset Fund
Other Information
(Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6484 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Approval of Investment Advisory Agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of (1) the investment advisory agreement between Abbey Capital and the Company on behalf of the Fund (the “Investment Advisory Agreement”), (2) the investment advisory agreement between Abbey Capital and Abbey Capital Multi Asset Offshore Fund Limited (“ACMAF”) (together with the Investment Advisory Agreement, the “Advisory Agreements”), and (3) the trading advisory agreements among Abbey Capital, ACMAF and Aspect Capital Limited, Eclipse Capital Management, Inc., Revolution Capital Management, LLC, Tudor Investment Corporation and Welton Investment Partners LLC (each, a “Trading Adviser”)(the “Trading Advisory Agreements”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreements and the Trading Advisory Agreements for an additional one-year term ending August 16, 2020. The Board’s decision to approve the Advisory Agreements and the Trading Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Advisory Agreements and the Trading Advisory Agreements, the Board considered information provided by Abbey Capital and each of the Trading Advisers with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal of the Investment Advisory Agreement between the Company and Abbey Capital, the approval of the investment advisory agreement between Abbey Capital and ACMAF, and the approval of the Trading Advisory Agreements with respect to the Fund, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by Abbey Capital and each Trading Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Abbey Capital’s and the Trading Advisers’ investment philosophies and processes; (iv) Abbey Capital’s and the Trading Advisers’ assets under management and client descriptions; (v) Abbey Capital’s and the Trading Advisers’ soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Abbey Capital’s and the Trading Advisers’ advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Abbey Capital’s and the Trading Advisers’ compliance procedures; (viii) Abbey Capital’s and the Trading Advisers’ financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Abbey Capital and each Trading Adviser. The Directors concluded that Abbey Capital and each Trading Adviser had substantial resources to provide services to the Fund and ACMAF, as applicable.
32
Abbey Capital Multi Asset Fund
Other Information (Concluded)
(Unaudited)
The Directors also considered the investment performance of the Fund, noting that the Fund had underperformed its benchmark for the year-to-date and since-inception periods ended March 31, 2019. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Directors noted that the Fund ranked in the 3rd quintile within its Lipper Performance Group for the since-inception period ended December 31, 2018 and ranked in the 4th quintile within its Lipper Performance Universe for the since-inception period ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s actual advisor fee ranked in the 3rd quintile of its Lipper Expense Group and ranked in the 1st quintile of its Lipper Expense Universe, and that the total expenses of the Fund ranked in the 1st quintile of both its Lipper Expense Group and Lipper Expense Universe. The Directors also considered the fees payable to each Trading Adviser under the Trading Advisory Agreements and the information provided by Abbey Capital on the services provided by the different Trading Advisers. In this regard, the Directors noted that the fees for each Trading Adviser were payable by Abbey Capital. The Directors noted that Abbey Capital had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to limit total annual operating expenses to agreed upon levels for the Fund.
After reviewing the information regarding Abbey Capital’s and the Trading Advisers’ costs, profitability and economies of scale, and after considering the services to be provided by Abbey Capital and each Trading Adviser, the Directors concluded that the investment advisory fees to be paid by the Fund to Abbey Capital and the trading advisory fees to be paid by Abbey Capital to each Trading Adviser were fair and reasonable and that the Advisory Agreements and Trading Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2020.
33
Abbey Capital Multi Asset Fund
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (844) 261-6484.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Independent Directors | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52 | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman Age: 71 | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
34
Abbey Capital Multi Asset Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Brian T. Shea 615 East Michigan Street Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
Interested Director2 | |||||
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
Officers | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
35
Abbey Capital Multi Asset Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
36
Abbey Capital Multi Asset Fund
Company Management (Concluded)
(Unaudited)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
37
Abbey Capital Multi Asset Fund
Privacy Notice
(Unaudited)
Abbey Capital Multi Asset Fund
FACTS | WHAT DOES THE ABBEY CAPITAL MULTI ASSET FUND 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 Abbey Capital Multi Asset Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Does the Abbey Capital Multi Asset Fund share? | Can you limit this sharing? | |
For our everyday business purpose — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We don’t share. | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-844-261-6484 or go to www.abbeycapital.com |
38
Abbey Capital Multi Asset Fund
Privacy Notice (Continued)
(Unaudited)
What we do | |
How does the Abbey Capital Multi Asset Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Abbey Capital Multi Asset Fund collect my personal information? | We collect your personal information, for example, when you
● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes — information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
European Union’s General Data Protection Regulation | In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to
● Check whether we hold personal information about you and to access such data (in accordance with our policy)
● Request the correction of personal information about you that is inaccurate
● Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible
● Request the erasure of your personal information
● Request the restriction of processing concerning you
The legal grounds for processing of your personal information is for contractual necessity and compliance with law. |
If you wish to exercise any of your rights above, please call: 1-844-261-6484. | |
You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us. |
39
Abbey Capital Multi Asset Fund
Privacy Notice (Concluded)
(Unaudited)
The Abbey Capital Multi Asset Fund shall retain your personal data for as long as you are an investor in the Fund and thereafter as long as necessary to comply with applicable laws that require the Fund to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Fund may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Fund does take the security of your personal data seriously. | |
You also have the right to lodge a complaint with the appropriate regulatory authority with respect to issues you may have. | |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include Abbey Capital Multi Asset Fund’s investment adviser, Abbey Capital Limited, and each sub-adviser. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Abbey Capital Multi Asset Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● The Abbey Capital Multi Asset Fund does not jointly market. |
Controller | “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the controller or the specific criteria for its nomination may be provided for by European Union or European Member State law. |
40
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Investment Adviser
Abbey Capital Limited
1-2 Cavendish Row
Dublin 1, Ireland
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
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, Suite 2000
Philadelphia, PA 19103-6996
AMA-AR19
ADARA SMALLER COMPANIES FUND
of
The RBB Fund, Inc.
ANNUAL REPORT
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6482.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-844-261-6482 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
ADARA SMALLER COMPANIES FUND
ANNUAL INVESTMENT ADVISER’S REPORT
AUGUST 31, 2019 (UNAUDITED)
Dear Shareholder,
The Adara Smaller Companies Fund (the “Fund”) generated a loss of 11.16% for the fiscal year ended August 31, 2019. This compared to a loss of 12.89% for the benchmark Russell 2000® Index over the same period.
Smaller stocks were disproportionately affected by the volatility that affected all equity markets during the period, as confidence was hurt by concerns about slowing economic growth and the U.S.-China trade war. Microcap stocks suffered even more than their larger peers, with the Russell Microcap® Index declining 20.53% over the 12-month period ended August 31, 2019.
The Fund has six underlying sub-advisers: microcap managers Driehaus Capital Management LLC, Granite Investment Partners, LLC and Pacific Ridge Capital Partners, LLC and small-cap managers Pier Capital LLC, River Road Asset Management, LLC and our tax-loss harvesting manager Aperio Group, LLC. During the 2019 fiscal year, returns for the underlying sub-advisers were as follows: River Road Asset Management, LLC -1.18%, Driehaus Capital Management LLC -5.12%, Pier Capital LLC -7.18%, Aperio Group, LLC -14.87%, Granite Investment Partners, LLC -18.86% and Pacific Ridge Capital Partners, LLC -20.71%.
Altair continues to believe that the small and microcap space of the market remains highly inefficient, with little analyst coverage or institutional ownership. We believe these inefficiencies provide the potential for active managers to generate meaningful outperformance over the long term.
Sincerely,
Altair Advisers LLC
Opinions expressed are those of the Investment Adviser and are subject to change, are not guaranteed and should not be considered investment advice.
Past performance does not guarantee future results.
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.
Russell Microcap® Index is a U.S. microcap stock market index measuring the performance of the smallest 1000 stocks by market cap size within the Russell 2000 Index plus the next smallest 1000 stocks.
It is not possible to invest directly in an index.
Must be preceded or accompanied by a prospectus.
1
ADARA SMALLER COMPANIES FUND
ANNUAL report
Performance Data
AUGUST 31, 2019 (UNAUDITED)
Comparison of Change in Value of $10,000 Invested in
ADARA Smaller Companies Fund vs. Russell 2000® Index
This chart assumes a hypothetical $10,000 initial investment in the Fund made on October 21, 2014 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Index is unmanaged, and does not incur expenses and is not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
One | Three | Since | ||
Adara Smaller Companies Fund | -11.16% | 11.36% | 9.39%* | |
Russell 2000® Index | -12.89% | 7.89% | 7.74%** |
* | The Fund commenced operations on October 21, 2014. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (844) 261-6482.
The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2018, are 0.97% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.
The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.
The Fund evaluates performance as compared to that of the Russell 2000® Index. The Russell 2000® Index is a widely-recognized, capitalization-weighted index that measures the performance of the smallest 2,000 companies in the Russell 3000® Index and is considered representative of small-cap stocks. It is impossible to invest directly in an index.
Investment Considerations
Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each manager’s ability to select investments for the Fund. The Fund may invest in riskier types of investments including small and micro-cap stocks, initial public offerings, special situations and illiquid securities all of which may be more volatile and less liquid.
2
ADARA SMALLER COMPANIES FUND
Fund Expense Example
AUGUST 31, 2019 (UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six Month | |
Class I Shares | |||||
Actual | $1,000.00 | $ 981.00 | $4.54 | 0.91% | -1.90% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.62 | 4.63 | 0.91 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 through August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) 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. |
3
ADARA SMALLER COMPANIES FUND
Portfolio Holdings Summary Table
AUGUST 31, 2019 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Software | 9.6 | % | $ | 28,410,820 | ||||
Banks | 7.0 | 20,756,366 | ||||||
Retail | 6.8 | 19,898,554 | ||||||
Commercial Services | 5.3 | 15,460,877 | ||||||
Healthcare-Products | 5.1 | 14,769,956 | ||||||
Computers | 4.8 | 14,000,474 | ||||||
Electronics | 3.7 | 10,782,758 | ||||||
Pharmaceuticals | 3.6 | 10,502,238 | ||||||
Biotechnology | 3.3 | 9,569,882 | ||||||
Semiconductors | 3.0 | 8,632,432 | ||||||
Internet | 2.9 | 8,412,741 | ||||||
Insurance | 2.8 | 8,193,951 | ||||||
Healthcare-Services | 2.5 | 7,210,633 | ||||||
Home Builders | 2.1 | 6,066,807 | ||||||
Transportation | 1.9 | 5,493,256 | ||||||
Diversified Financial Services | 1.8 | 5,320,405 | ||||||
REITS | 1.8 | 5,165,397 | ||||||
Food | 1.7 | 5,062,686 | ||||||
Engineering & Construction | 1.6 | 4,662,509 | ||||||
Telecommunications | 1.5 | 4,455,537 | ||||||
Machinery-Diversified | 1.4 | 4,085,177 | ||||||
Aerospace/Defense | 1.2 | 3,629,946 | ||||||
Auto Parts & Equipment | 1.2 | 3,437,431 | ||||||
Oil & Gas | 1.1 | 3,342,668 | ||||||
Distribution/Wholesale | 1.1 | 3,069,829 | ||||||
Building Materials | 1.0 | 2,982,903 | ||||||
Savings & Loans | 0.9 | 2,654,612 | ||||||
Miscellaneous Manufacturing | 0.9 | 2,631,748 | ||||||
Chemicals | 0.9 | 2,488,171 | ||||||
Lodging | 0.7 | 2,118,409 | ||||||
Leisure Time | 0.6 | 1,883,987 | ||||||
Textiles | 0.6 | 1,759,272 | ||||||
Advertising | 0.6 | 1,748,370 | ||||||
Home Furnishings | 0.6 | 1,739,536 | ||||||
Mining | 0.6 | 1,733,933 | ||||||
Oil & Gas Services | 0.6 | % | $ | 1,642,730 | ||||
Metal Fabricate/Hardware | 0.4 | 1,221,831 | ||||||
Toys/Games/Hobbies | 0.4 | 1,184,746 | ||||||
Beverages | 0.4 | 1,171,423 | ||||||
Hand/Machine Tools | 0.4 | 1,132,204 | ||||||
Cosmetics/Personal Care | 0.4 | 1,095,754 | ||||||
Water | 0.4 | 1,081,630 | ||||||
Apparel | 0.4 | 1,044,276 | ||||||
Gas | 0.4 | 1,023,351 | ||||||
Real Estate | 0.3 | 992,967 | ||||||
Agriculture | 0.3 | 956,291 | ||||||
Airlines | 0.3 | 893,622 | ||||||
Electrical Components & Equipment | 0.3 | 876,260 | ||||||
Housewares | 0.3 | 862,669 | ||||||
Machinery-Construction & Mining | 0.3 | 751,845 | ||||||
Office Furnishings | 0.2 | 710,286 | ||||||
Environmental Control | 0.2 | 634,114 | ||||||
Holding Companies-Diversified | 0.2 | 544,601 | ||||||
Entertainment | 0.2 | 535,053 | ||||||
Electric | 0.2 | 519,347 | ||||||
Household Products/Wares | 0.2 | 492,831 | ||||||
Energy-Alternate Sources | 0.2 | 467,107 | ||||||
Media | 0.2 | 440,960 | ||||||
Iron/Steel | 0.1 | 321,545 | ||||||
Forest Products & Paper | 0.1 | 241,103 | ||||||
Trucking & Leasing | 0.0 | 75,040 | ||||||
Auto Manufacturers | 0.0 | 54,328 | ||||||
SHORT-TERM INVESTMENTS | 6.4 | 18,634,778 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.0 | 122,365 | ||||||
NET ASSETS | 100.0 | % | $ | 291,859,328 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
ADARA SMALLER COMPANIES FUND
Portfolio of Investments
AUGUST 31, 2019
Number of | Value | |||||||
COMMON STOCKS — 93.6% | ||||||||
Advertising — 0.6% | ||||||||
Telaria, Inc.* | 123,029 | $ | 1,227,829 | |||||
Trade Desk, Inc., (The), Class A* | 2,118 | 520,541 | ||||||
1,748,370 | ||||||||
Aerospace/Defense — 1.2% | ||||||||
Aerovironment, Inc.* | 1,433 | 73,842 | ||||||
Coda Octopus Group, Inc.* | 30,224 | 268,389 | ||||||
Cubic Corp. | 25,717 | 1,781,417 | ||||||
Kaman Corp. | 2,787 | 162,733 | ||||||
Kratos Defense & Security Solutions, Inc.* | 49,403 | 986,578 | ||||||
Moog, Inc., Class A | 1,762 | 143,163 | ||||||
National Presto Industries, Inc. | 954 | 81,767 | ||||||
Triumph Group, Inc. | 6,355 | 132,057 | ||||||
3,629,946 | ||||||||
Agriculture — 0.3% | ||||||||
Andersons, Inc., (The) | 2,417 | 55,398 | ||||||
Darling Ingredients, Inc.* | 8,943 | 166,340 | ||||||
Phibro Animal Health Corp., Class A | 2,922 | 60,339 | ||||||
Turning Point Brands, Inc. | 7,577 | 271,635 | ||||||
Universal Corp. | 1,451 | 72,637 | ||||||
Village Farms International, Inc.* | 31,423 | 329,942 | ||||||
956,291 | ||||||||
Airlines — 0.3% | ||||||||
Controladora Vuela Cia de Aviacion SAB de CV, ADR* | 48,110 | 427,698 | ||||||
SkyWest, Inc. | 8,137 | 465,924 | ||||||
893,622 | ||||||||
Apparel — 0.4% | ||||||||
Canada Goose Holdings, Inc.* | 5,260 | 196,198 | ||||||
Kontoor Brands, Inc. | 2,389 | 81,799 | ||||||
Lakeland Industries, Inc.* | 23,773 | 244,386 | ||||||
Oxford Industries, Inc. | 1,483 | 103,484 | ||||||
Skechers U.S.A., Inc., Class A* | 3,666 | 116,066 | ||||||
Steven Madden Ltd. | 4,833 | 160,552 | ||||||
Wolverine World Wide, Inc. | 5,464 | 141,791 | ||||||
1,044,276 | ||||||||
Auto Manufacturers — 0.0% | ||||||||
Wabash National Corp. | 3,983 | 54,328 | ||||||
Auto Parts & Equipment — 1.2% | ||||||||
American Axle & Manufacturing Holdings, Inc.* | 17,188 | 108,972 | ||||||
Cooper-Standard Holdings, Inc.* | 2,441 | 91,391 | ||||||
Dorman Products, Inc.* | 901 | 64,043 | ||||||
Douglas Dynamics, Inc. | 6,319 | 263,882 | ||||||
Gentherm, Inc.* | 3,355 | 123,129 | ||||||
Modine Manufacturing Co.* | 29,158 | 297,703 |
Number of | Value | |||||||
Auto Parts & Equipment — (Continued) | ||||||||
Motorcar Parts of America, Inc.* | 1,306 | $ | 18,976 | |||||
Spartan Motors, Inc. | 115,354 | 1,454,614 | ||||||
Standard Motor Products, Inc. | 843 | 37,353 | ||||||
Unique Fabricating, Inc. | 92,570 | 270,989 | ||||||
Westport Fuel Systems, Inc.* | 265,556 | 706,379 | ||||||
3,437,431 | ||||||||
Banks — 7.0% | ||||||||
American River Bankshares | 49,250 | 659,950 | ||||||
Ameris Bancorp | 1,944 | 68,409 | ||||||
Atlantic Capital Bancshares, Inc.* | 27,782 | 452,847 | ||||||
Bank of Commerce Holdings | 67,500 | 675,000 | ||||||
Banner Corp. | 1,722 | 92,833 | ||||||
Baycom Corp.* | 10,738 | 237,310 | ||||||
Boston Private Financial Holdings, Inc. | 20,682 | 219,643 | ||||||
Capital Bancorp, Inc.* | 33,540 | 405,834 | ||||||
Central Pacific Financial Corp. | 4,068 | 113,172 | ||||||
City Holding Co. | 4,208 | 312,865 | ||||||
Civista Bancshares, Inc. | 16,700 | 341,181 | ||||||
Community Bank System, Inc. | 1,997 | 121,797 | ||||||
Customers Bancorp, Inc.* | 5,463 | 103,196 | ||||||
CVB Financial Corp. | 8,715 | 179,268 | ||||||
Esquire Financial Holdings, Inc.* | 58,196 | 1,367,606 | ||||||
Farmers National Bancorp | 42,530 | 574,155 | ||||||
First BanCorp | 46,257 | 443,142 | ||||||
First Bancshares, Inc., (The) | 16,320 | 514,733 | ||||||
First Business Financial Services, Inc. | 26,040 | 587,202 | ||||||
First Citizens BancShares, Inc., Class A | 1,104 | 490,838 | ||||||
First Commonwealth Financial Corp. | 13,475 | 166,686 | ||||||
First Financial Bancorp | 7,350 | 172,137 | ||||||
First Financial Bankshares, Inc. | 13,162 | 403,020 | ||||||
First Merchants Corp. | 16,501 | 589,416 | ||||||
First Northwest Bancorp | 34,350 | 548,913 | ||||||
Glacier Bancorp, Inc. | 3,879 | 153,957 | ||||||
Hanmi Financial Corp. | 3,616 | 64,763 | ||||||
Heritage Commerce Corp. | 41,929 | 485,957 | ||||||
Home BancShares, Inc. | 9,066 | 160,649 | ||||||
HomeStreet, Inc.* | 1,286 | 33,912 | ||||||
Horizon Bancorp | 39,607 | 644,010 | ||||||
Independent Bank Corp. | 1,226 | 82,890 | ||||||
LCNB Corp. | 32,790 | 549,888 | ||||||
LegacyTexas Financial Group, Inc. | 2,712 | 109,565 | ||||||
Metropolitan Bank Holding Corp.* | 16,340 | 591,508 | ||||||
Midland States Bancorp, Inc. | 23,260 | 599,410 | ||||||
National Bank Holdings Corp., Class A | 1,305 | 42,595 | ||||||
Northeast Bank | 44,280 | 929,437 |
The accompanying notes are an integral part of the financial statements.
5
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Banks — (Continued) | ||||||||
Northrim BanCorp, Inc. | 13,490 | $ | 488,338 | |||||
OFG Bancorp | 30,603 | 627,974 | ||||||
OP Bancorp | 42,770 | 406,315 | ||||||
Opus Bank | 6,702 | 139,134 | ||||||
Orrstown Financial Services, Inc. | 16,480 | 351,683 | ||||||
Parke Bancorp, Inc. | 31,792 | 723,904 | ||||||
PCB Bancorp | 24,870 | 409,609 | ||||||
Preferred Bank | 696 | 34,772 | ||||||
Premier Financial Bancorp, Inc. | 45,635 | 707,342 | ||||||
Southside Bancshares, Inc. | 6,100 | 200,873 | ||||||
Texas Capital Bancshares, Inc.* | 1,396 | 75,216 | ||||||
Tompkins Financial Corp. | 1,925 | 152,267 | ||||||
TrustCo Bank Corp. | 25,920 | 198,806 | ||||||
UMB Financial Corp. | 3,746 | 233,451 | ||||||
United Bankshares, Inc. | 2,242 | 82,685 | ||||||
United Community Banks, Inc. | 23,743 | 627,053 | ||||||
Walker & Dunlop, Inc. | 2,381 | 133,003 | ||||||
Webster Financial Corp. | 2,884 | 129,088 | ||||||
West Bancorporation, Inc. | 27,780 | 578,935 | ||||||
Westamerica Bancorp | 2,698 | 166,224 | ||||||
20,756,366 | ||||||||
Beverages — 0.4% | ||||||||
Celsius Holdings, Inc.* | 232,809 | 954,517 | ||||||
Youngevity International, Inc.* | 50,679 | 216,906 | ||||||
1,171,423 | ||||||||
Biotechnology — 3.3% | ||||||||
Acorda Therapeutics, Inc.* | 7,336 | 23,695 | ||||||
Allakos, Inc.* | 5,297 | 468,573 | ||||||
ANI Pharmaceuticals, Inc.* | 2,019 | 132,245 | ||||||
Argenx SE, ADR* | 8,249 | 1,084,331 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 4,386 | 149,870 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd.* | 10,944 | 428,895 | ||||||
Cambrex Corp.* | 571 | 34,220 | ||||||
Champions Oncology, Inc.* | 90,026 | 486,140 | ||||||
ChromaDex Corp.* | 78,373 | 306,439 | ||||||
Emergent BioSolutions, Inc.* | 12,648 | 553,982 | ||||||
Evolus, Inc.* | 12,296 | 211,983 | ||||||
Guardant Health, Inc.* | 3,819 | 334,277 | ||||||
Innoviva, Inc.* | 9,226 | 106,929 | ||||||
Ligand Pharmaceuticals, Inc.* | 1,187 | 107,910 | ||||||
Medicines Co., (The)* | 3,613 | 151,602 | ||||||
Myriad Genetics, Inc.* | 3,946 | 92,849 | ||||||
Nektar Therapeutics* | 5,506 | 96,740 | ||||||
NeoGenomics, Inc.* | 36,267 | 905,950 | ||||||
Orchard Therapeutics PLC, ADR* | 33,625 | 497,650 | ||||||
Pfenex, Inc.* | 26,132 | 192,070 | ||||||
Pieris Pharmaceuticals, Inc.* | 61,877 | 287,728 | ||||||
REGENXBIO, Inc.* | 6,239 | 215,183 |
Number of | Value | |||||||
Biotechnology — (Continued) | ||||||||
Rigel Pharmaceuticals, Inc.* | 96,899 | $ | 163,759 | |||||
Twist Bioscience Corp.* | 20,286 | 588,903 | ||||||
Veracyte, Inc.* | 25,222 | 668,383 | ||||||
Vericel Corp.* | 41,227 | 681,895 | ||||||
Y-mAbs Therapeutics, Inc.* | 9,711 | 258,021 | ||||||
Zymeworks, Inc.* | 12,750 | 339,660 | ||||||
9,569,882 | ||||||||
Building Materials — 1.0% | ||||||||
AAON, Inc. | 2,783 | 133,501 | ||||||
American Woodmark Corp.* | 1,043 | 85,912 | ||||||
Armstrong World Industries, Inc. | 11,764 | 1,123,109 | ||||||
Boise Cascade Co. | 3,571 | 112,129 | ||||||
Gibraltar Industries, Inc.* | 4,141 | 166,758 | ||||||
Patrick Industries, Inc.* | 3,524 | 127,357 | ||||||
Simpson Manufacturing Co., Inc. | 2,069 | 132,830 | ||||||
SPX Corp.* | 4,521 | 171,572 | ||||||
Trex Co., Inc.* | 7,166 | 612,908 | ||||||
Universal Forest Products, Inc. | 8,103 | 316,827 | ||||||
2,982,903 | ||||||||
Chemicals — 0.9% | ||||||||
AdvanSix, Inc.* | 3,845 | 85,897 | ||||||
Balchem Corp. | 1,142 | 101,398 | ||||||
Chemours Co., (The) | 9,276 | 131,441 | ||||||
HB Fuller Co. | 4,743 | 202,099 | ||||||
Ingevity Corp.* | 2,186 | 166,508 | ||||||
Innophos Holdings, Inc. | 1,654 | 46,461 | ||||||
Innospec, Inc. | 1,121 | 93,245 | ||||||
Koppers Holdings, Inc.* | 5,436 | 144,108 | ||||||
Kraton Corp.* | 4,379 | 120,160 | ||||||
Materion Corp. | 1,920 | 112,973 | ||||||
Northern Technologies International Corp. | 33,620 | 369,820 | ||||||
Oil-Dri Corp. of America | 5,545 | 170,564 | ||||||
Rogers Corp.* | 3,669 | 485,849 | ||||||
Stepan Co. | 2,701 | 257,648 | ||||||
2,488,171 | ||||||||
Commercial Services — 5.3% | ||||||||
ABM Industries, Inc. | 2,589 | 96,466 | ||||||
Acacia Research Corp.* | 133,010 | 347,156 | ||||||
AMN Healthcare Services, Inc.* | 3,294 | 192,370 | ||||||
ARC Document Solutions, Inc.* | 247,850 | 344,511 | ||||||
Arlo Technologies, Inc.* | 6,176 | 19,393 | ||||||
ASGN, Inc.* | 3,035 | 189,596 | ||||||
Barrett Business Services, Inc. | 20,179 | 1,758,196 | ||||||
BG Staffing, Inc. | 41,870 | 784,644 | ||||||
Brink’s Co., (The) | 4,054 | 305,063 | ||||||
CAI International, Inc.* | 35,550 | 752,949 | ||||||
Cardtronics, PLC, Class A* | 998 | 29,561 | ||||||
Care.com, Inc.* | 40,955 | 405,045 | ||||||
Career Education Corp.* | 26,590 | 545,361 |
The accompanying notes are an integral part of the financial statements.
6
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Commercial Services — (Continued) | ||||||||
CRA International, Inc. | 14,630 | $ | 568,961 | |||||
Green Dot Corp., Class A* | 4,948 | 151,310 | ||||||
Harsco Corp.* | 45,829 | 820,339 | ||||||
HealthEquity, Inc.* | 6,563 | 389,580 | ||||||
Heidrick & Struggles International, Inc. | 1,496 | 39,719 | ||||||
HMS Holdings Corp.* | 9,256 | 338,122 | ||||||
I3 Verticals, Inc., Class A* | 31,552 | 713,706 | ||||||
ICF International, Inc. | 3,691 | 312,480 | ||||||
Insperity, Inc. | 2,292 | 227,045 | ||||||
K12, Inc.* | 8,482 | 223,501 | ||||||
Kelly Services, Inc., Class A | 4,673 | 113,133 | ||||||
Korn Ferry International | 4,210 | 164,527 | ||||||
MarketAxess Holdings, Inc. | 1,703 | 677,147 | ||||||
Medifast, Inc. | 1,970 | 196,921 | ||||||
Monro Muffler Brake, Inc. | 1,316 | 102,280 | ||||||
Navigant Consulting, Inc. | 3,071 | 85,589 | ||||||
R1 RCM, Inc.* | 39,573 | 461,421 | ||||||
Resources Connection, Inc. | 45,818 | 758,288 | ||||||
Rosetta Stone, Inc.* | 33,352 | 608,674 | ||||||
SP Plus Corp.* | 13,285 | 458,465 | ||||||
Strategic Education, Inc. | 2,810 | 475,536 | ||||||
Team, Inc.* | 5,510 | 90,805 | ||||||
Vectrus, Inc.* | 5,743 | 232,362 | ||||||
Viad Corp. | 15,918 | 1,028,780 | ||||||
Willdan Group, Inc.* | 12,500 | 451,875 | ||||||
15,460,877 | ||||||||
Computers — 4.8% | ||||||||
3D Systems Corp.* | 7,350 | 51,450 | ||||||
Agilysys, Inc.* | 40,200 | 1,095,450 | ||||||
CACI International, Inc., Class A* | 1,145 | 254,522 | ||||||
Carbon Black, Inc.* | 7,979 | 208,252 | ||||||
Computer Services, Inc. | 29,805 | 1,281,615 | ||||||
Cray, Inc.* | 2,699 | 94,276 | ||||||
Diebold Nixdorf, Inc.* | 4,568 | 51,207 | ||||||
Elastic NV* | 5,267 | 462,917 | ||||||
Endava PLC, SP ADR* | 29,687 | 1,115,934 | ||||||
ExlService Holdings, Inc.* | 1,497 | 101,347 | ||||||
Globant S.A.* | 3,237 | 307,288 | ||||||
Icad, Inc.* | 62,846 | 377,076 | ||||||
Insight Enterprises, Inc.* | 2,176 | 104,579 | ||||||
Kornit Digital Ltd.* | 14,971 | 422,332 | ||||||
MAXIMUS, Inc. | 1,853 | 142,570 | ||||||
Mercury Systems, Inc.* | 21,868 | 1,872,557 | ||||||
Mitek Systems, Inc.* | 114,020 | 1,156,163 | ||||||
NCR Corp.* | 29,822 | 939,691 | ||||||
OneSpan, Inc.* | 12,715 | 171,653 | ||||||
PAR Technology Corp.* | 21,485 | 496,948 | ||||||
Rapid7, Inc.* | 4,299 | 230,813 | ||||||
Science Applications International Corp. | 1,681 | 147,945 |
Number of | Value | |||||||
Computers — (Continued) | ||||||||
Sykes Enterprises, Inc.* | 16,287 | $ | 472,323 | |||||
TTEC Holdings, Inc. | 3,501 | 164,232 | ||||||
Tufin Software Technologies Ltd.* | 16,850 | 303,637 | ||||||
Unisys Corp.* | 3,325 | 21,746 | ||||||
Virtusa Corp.* | 4,689 | 169,460 | ||||||
Vocera Communications, Inc.* | 21,955 | 503,867 | ||||||
WNS Holdings Ltd., ADR* | 7,540 | 458,281 | ||||||
Zscaler, Inc.* | 11,934 | 820,343 | ||||||
14,000,474 | ||||||||
Cosmetics/Personal Care — 0.4% | ||||||||
Avon Products, Inc.* | 17,249 | 75,033 | ||||||
elf Beauty, Inc.* | 53,527 | 873,561 | ||||||
Inter Parfums, Inc. | 2,289 | 147,160 | ||||||
1,095,754 | ||||||||
Distribution/Wholesale — 1.1% | ||||||||
Anixter International, Inc.* | 14,787 | 886,776 | ||||||
EVI Industries, Inc. | 12,357 | 368,362 | ||||||
Fossil Group, Inc.* | 7,293 | 93,351 | ||||||
G-III Apparel Group Ltd.* | 3,296 | 67,601 | ||||||
Manitex International, Inc.* | 120,680 | 678,222 | ||||||
Pool Corp. | 2,106 | 413,576 | ||||||
ScanSource, Inc.* | 1,959 | 55,361 | ||||||
SiteOne Landscape Supply, Inc.* | 6,478 | 506,580 | ||||||
3,069,829 | ||||||||
Diversified Financial Services — 1.8% | ||||||||
Blucora, Inc.* | 3,569 | 80,588 | ||||||
Encore Capital Group, Inc.* | 3,458 | 127,600 | ||||||
Enova International, Inc.* | 24,746 | 591,429 | ||||||
Evercore Partners, Inc., Class A | 7,929 | 632,417 | ||||||
Greenhill & Co., Inc. | 2,057 | 28,880 | ||||||
Houlihan Lokey, Inc. | 15,744 | 695,570 | ||||||
Interactive Brokers Group, Inc., Class A | 3,063 | 144,574 | ||||||
LendingTree, Inc.* | 1,427 | 442,498 | ||||||
Meta Financial Group, Inc. | 21,222 | 655,972 | ||||||
Moelis & Co., Class A | 15,211 | 510,025 | ||||||
Paysign, Inc.* | 15,912 | 211,470 | ||||||
Silvercrest Asset Management Group, Inc., Class A | 59,303 | 775,090 | ||||||
Virtus Investment Partners, Inc. | 807 | 86,099 | ||||||
Waddell & Reed Financial, Inc., Class A | 3,203 | 51,793 | ||||||
World Acceptance Corp.* | 2,155 | 286,400 | ||||||
5,320,405 | ||||||||
Electric — 0.2% | ||||||||
ALLETE, Inc. | 4,232 | 362,809 | ||||||
Avista Corp. | 1,395 | 65,426 | ||||||
El Paso Electric Co. | 1,366 | 91,112 | ||||||
519,347 |
The accompanying notes are an integral part of the financial statements.
7
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Electrical Components & Equipment — 0.3% | ||||||||
Encore Wire Corp. | 1,848 | $ | 99,773 | |||||
EnerSys | 3,171 | 177,576 | ||||||
Insteel Industries, Inc. | 2,808 | 52,510 | ||||||
Littelfuse, Inc. | 3,501 | 546,401 | ||||||
876,260 | ||||||||
Electronics — 3.7% | ||||||||
Atkore International Group, Inc.* | 26,202 | 760,120 | ||||||
Benchmark Electronics, Inc. | 3,373 | 89,317 | ||||||
Brady Corp., Class A | 2,928 | 138,231 | ||||||
Coherent, Inc.* | 1,014 | 146,990 | ||||||
Comtech Telecommunications Corp. | 39,830 | 1,065,453 | ||||||
FARO Technologies, Inc.* | 2,255 | 111,036 | ||||||
Fluidigm Corp.* | 69,860 | 389,819 | ||||||
Identiv, Inc.* | 68,711 | 333,248 | ||||||
II-VI, Inc.* | 3,812 | 142,988 | ||||||
Itron, Inc.* | 4,655 | 323,290 | ||||||
Ituran Location and Control Ltd. | 25,101 | 646,100 | ||||||
Knowles Corp.* | 4,797 | 97,283 | ||||||
Napco Security Technologies, Inc.* | 51,080 | 1,761,238 | ||||||
NVE Corp. | 2,254 | 144,707 | ||||||
nVent Electric PLC | 30,782 | 623,643 | ||||||
OSI Systems, Inc.* | 1,136 | 119,291 | ||||||
Plexus Corp.* | 2,641 | 151,092 | ||||||
RADA Electronic Industries Ltd.* | 56,003 | 272,735 | ||||||
Sanmina Corp.* | 6,648 | 192,127 | ||||||
Stoneridge, Inc.* | 10,655 | 327,215 | ||||||
SYNNEX Corp. | 830 | 69,562 | ||||||
Tech Data Corp.* | 13,042 | 1,209,385 | ||||||
TTM Technologies, Inc.* | 8,548 | 91,122 | ||||||
Turtle Beach Corp.* | 16,813 | 151,821 | ||||||
Woodward, Inc. | 4,605 | 496,649 | ||||||
ZAGG, Inc.* | 144,820 | 928,296 | ||||||
10,782,758 | ||||||||
Energy-Alternate Sources — 0.2% | ||||||||
Green Plains, Inc. | 3,344 | 27,454 | ||||||
REX American Resources Corp.* | 1,203 | 82,622 | ||||||
SolarEdge Technologies, Inc.* | 1,052 | 86,180 | ||||||
Sunrun, Inc.* | 17,668 | 270,851 | ||||||
467,107 | ||||||||
Engineering & Construction — 1.6% | ||||||||
Arcosa, Inc. | 11,261 | 365,870 | ||||||
Argan, Inc. | 22,960 | 948,478 | ||||||
Comfort Systems USA, Inc. | 24,230 | 936,732 | ||||||
Dycom Industries, Inc.* | 2,682 | 119,349 | ||||||
EMCOR Group, Inc. | 4,741 | 414,553 | ||||||
Exponent, Inc. | 2,780 | 197,074 | ||||||
Iteris, Inc.* | 64,429 | 350,494 | ||||||
Mistras Group, Inc.* | 9,150 | 133,590 |
Number of | Value | |||||||
Engineering & Construction — (Continued) | ||||||||
MYR Group, Inc.* | 4,168 | $ | 119,497 | |||||
Primoris Services Corp. | 22,288 | 435,507 | ||||||
Sterling Construction Co., Inc.* | 34,910 | 390,643 | ||||||
TopBuild Corp.* | 2,707 | 250,722 | ||||||
4,662,509 | ||||||||
Entertainment — 0.2% | ||||||||
Red Rock Resorts, Inc., Class A | 20,196 | 421,087 | ||||||
Scientific Games Corp.* | 6,167 | 113,966 | ||||||
535,053 | ||||||||
Environmental Control — 0.2% | ||||||||
Casella Waste Systems, Inc., Class A* | 8,235 | 374,692 | ||||||
Tetra Tech, Inc. | 3,198 | 259,422 | ||||||
634,114 | ||||||||
Food — 1.7% | ||||||||
Calavo Growers, Inc. | 688 | 60,991 | ||||||
Cal-Maine Foods, Inc. | 1,158 | 46,945 | ||||||
Grocery Outlet Holding Corp.* | 10,848 | 438,802 | ||||||
Hostess Brands, Inc.* | 137,570 | 1,928,731 | ||||||
Ingles Markets, Inc., Class A | 32,020 | 1,244,938 | ||||||
J&J Snack Foods Corp. | 681 | 131,474 | ||||||
Landec Corp.* | 78,653 | 864,397 | ||||||
Sanderson Farms, Inc. | 1,371 | 205,129 | ||||||
SpartanNash Co. | 5,743 | 61,852 | ||||||
United Natural Foods, Inc.* | 9,879 | 79,427 | ||||||
5,062,686 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Neenah Paper, Inc. | 1,590 | 101,410 | ||||||
PH Glatfelter Co. | 3,923 | 56,413 | ||||||
Schweitzer-Mauduit International, Inc. | 2,483 | 83,280 | ||||||
241,103 | ||||||||
Gas — 0.4% | ||||||||
New Jersey Resources Corp. | 2,340 | 107,032 | ||||||
Northwest Natural Holding Co. | 2,390 | 170,550 | ||||||
South Jersey Industries, Inc. | 4,502 | 145,595 | ||||||
Southwest Gas Holdings, Inc. | 1,612 | 147,063 | ||||||
Spire, Inc. | 5,337 | 453,111 | ||||||
1,023,351 | ||||||||
Hand/Machine Tools — 0.4% | ||||||||
Colfax Corp.* | 26,843 | 730,129 | ||||||
Franklin Electric Co., Inc. | 1,896 | 86,932 | ||||||
Luxfer Holdings PLC | 20,060 | 315,143 | ||||||
1,132,204 | ||||||||
Healthcare-Products — 5.1% | ||||||||
ABIOMED, Inc.* | 1,453 | 280,531 | ||||||
Alpha Pro Tech Ltd.* | 44,141 | 152,286 | ||||||
Alphatec Holdings, Inc.* | 56,338 | 294,648 |
The accompanying notes are an integral part of the financial statements.
8
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Healthcare-Products — (Continued) | ||||||||
AngioDynamics, Inc.* | 1,976 | $ | 36,299 | |||||
Axonics Modulation Technologies, Inc.* | 16,550 | 550,618 | ||||||
BioLife Solutions, Inc.* | 72,136 | 1,492,494 | ||||||
Cantel Medical Corp. | 1,814 | 166,761 | ||||||
Cerus Corp.* | 63,054 | 338,600 | ||||||
CRH Medical Corp.* | 276,610 | 851,959 | ||||||
CytoSorbents Corp.* | 28,463 | 126,945 | ||||||
Glaukos Corp.* | 3,071 | 197,496 | ||||||
Haemonetics Corp.* | 3,260 | 435,308 | ||||||
ICU Medical, Inc.* | 578 | 93,492 | ||||||
Inspire Medical Systems, Inc.* | 24,294 | 1,688,676 | ||||||
Insulet Corp.* | 2,773 | 427,513 | ||||||
Integra LifeSciences Holdings Corp.* | 3,088 | 185,342 | ||||||
iRhythm Technologies, Inc.* | 5,901 | 449,184 | ||||||
Masimo Corp.* | 3,409 | 522,429 | ||||||
Merit Medical Systems, Inc.* | 3,088 | 107,401 | ||||||
NuVasive, Inc.* | 789 | 50,117 | ||||||
OrthoPediatrics Corp.* | 24,977 | 804,010 | ||||||
Oxford Immunotec Global, PLC* | 31,836 | 425,329 | ||||||
Patterson Cos., Inc. | 16,500 | 275,880 | ||||||
Repligen Corp.* | 7,699 | 714,544 | ||||||
Semler Scientific, Inc.* | 8,868 | 388,241 | ||||||
Shockwave Medical, Inc.* | 3,809 | 159,407 | ||||||
SI-BONE, Inc.* | 37,609 | 731,119 | ||||||
Tactile Systems Technology, Inc.* | 8,351 | 421,224 | ||||||
Tandem Diabetes Care, Inc.* | 22,094 | 1,600,268 | ||||||
ViewRay, Inc.* | 52,687 | 207,587 | ||||||
West Pharmaceutical Services, Inc. | 2,836 | 412,525 | ||||||
Zynex, Inc. | 20,327 | 181,723 | ||||||
14,769,956 | ||||||||
Healthcare-Services — 2.5% | ||||||||
Addus HomeCare Corp.* | 6,555 | 576,709 | ||||||
Amedisys, Inc.* | 2,217 | 285,350 | ||||||
Castle Biosciences, Inc.* | 14,743 | 411,624 | ||||||
Catalent, Inc.* | 8,413 | 443,702 | ||||||
Chemed Corp. | 621 | 266,676 | ||||||
eHealth, Inc.* | 13,271 | 1,105,607 | ||||||
Ensign Group, Inc., (The) | 2,070 | 103,293 | ||||||
Joint Corp., (The)* | 69,711 | 1,169,751 | ||||||
LHC Group, Inc.* | 7,212 | 854,622 | ||||||
Magellan Health, Inc.* | 1,789 | 112,725 | ||||||
Natera, Inc.* | 29,413 | 969,158 | ||||||
Neuronetics, Inc.* | 16,348 | 174,433 | ||||||
Providence Service Corp., (The)* | 2,212 | 124,336 | ||||||
Psychemedics Corp. | 11,854 | 92,935 | ||||||
Tivity Health, Inc.* | 2,872 | 52,443 | ||||||
US Physical Therapy, Inc. | 1,232 | 164,497 | ||||||
Vapotherm, Inc.* | 26,101 | 302,772 | ||||||
7,210,633 |
Number of | Value | |||||||
Holding Companies-Diversified — 0.2% | ||||||||
Repay Holdings Corp.* | 42,882 | $ | 544,601 | |||||
Home Builders — 2.1% | ||||||||
Century Communities, Inc.* | 35,764 | 1,007,829 | ||||||
Installed Building Products, Inc.* | 21,450 | 1,220,719 | ||||||
LCI Industries | 2,012 | 170,517 | ||||||
LGI Homes, Inc.* | 20,603 | 1,679,350 | ||||||
M/I Homes, Inc.* | 1,254 | 45,320 | ||||||
MDC Holdings, Inc. | 4,064 | 157,155 | ||||||
Skyline Corp.* | 55,609 | 1,557,052 | ||||||
William Lyon Homes, Class A* | 3,473 | 61,368 | ||||||
Winnebago Industries, Inc. | 5,231 | 167,497 | ||||||
6,066,807 | ||||||||
Home Furnishings — 0.6% | ||||||||
Ethan Allen Interiors, Inc. | 4,612 | 79,326 | ||||||
Floor & Decor Holdings, Inc., Class A* | 6,321 | 311,120 | ||||||
Hooker Furniture Corp. | 8,270 | 147,702 | ||||||
iRobot Corp.* | 968 | 59,832 | ||||||
La-Z-Boy, Inc. | 2,014 | 64,186 | ||||||
Sleep Number Corp.* | 10,926 | 457,144 | ||||||
Universal Electronics, Inc.* | 13,737 | 620,226 | ||||||
1,739,536 | ||||||||
Household Products/Wares — 0.2% | ||||||||
Acme United Corp. | 11,359 | 230,474 | ||||||
Quanex Building Products Corp. | 4,702 | 80,968 | ||||||
WD-40 Co. | 995 | 181,389 | ||||||
492,831 | ||||||||
Housewares — 0.3% | ||||||||
Lifetime Brands, Inc. | 61,860 | 477,559 | ||||||
Toro Co., (The) | 5,348 | 385,110 | ||||||
862,669 | ||||||||
Insurance — 2.8% | ||||||||
American Equity Investment Life Holding Co. | 11,107 | 239,356 | ||||||
American National Insurance Co. | 4,156 | 474,075 | ||||||
Employers Holdings, Inc. | 3,729 | 160,832 | ||||||
FGL Holdings | 82,160 | 655,637 | ||||||
Genworth Financial, Inc., Class A* | 47,731 | 211,448 | ||||||
Goosehead Insurance, Inc., Class A | 14,666 | 678,156 | ||||||
HCI Group, Inc. | 2,950 | 114,962 | ||||||
Health Insurance Innovations, Inc.* | 13,772 | 252,578 | ||||||
Heritage Insurance Holdings, Inc. | 48,290 | 633,082 | ||||||
Horace Mann Educators Corp. | 2,570 | 112,746 | ||||||
James River Group Holdings Ltd. | 6,819 | 336,040 | ||||||
Kinsale Capital Group, Inc. | 9,810 | 963,636 | ||||||
Palomar Holdings, Inc.* | 19,215 | 653,886 |
The accompanying notes are an integral part of the financial statements.
9
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Insurance — (Continued) | ||||||||
RLI Corp. | 1,478 | $ | 135,340 | |||||
Safety Insurance Group, Inc. | 1,702 | 164,141 | ||||||
Selective Insurance Group, Inc. | 3,866 | 307,850 | ||||||
White Mountains Insurance Group Ltd. | 1,980 | 2,100,186 | ||||||
8,193,951 | ||||||||
Internet — 2.9% | ||||||||
8x8, Inc.* | 18,169 | 441,689 | ||||||
Bandwidth, Inc., Class A* | 21,051 | 1,835,437 | ||||||
Cardlytics, Inc.* | 32,132 | 1,207,199 | ||||||
DHI Group, Inc.* | 45,973 | 166,882 | ||||||
EverQuote, Inc., Class A* | 13,272 | 297,160 | ||||||
HealthStream, Inc.* | 2,625 | 66,334 | ||||||
Mimecast Ltd.* | 17,653 | 722,537 | ||||||
Monaker Group, Inc.* | 55,562 | 119,458 | ||||||
New Media Investment Group, Inc. | 9,699 | 85,157 | ||||||
OptimizeRx Corp.* | 26,987 | 442,857 | ||||||
Perficient, Inc.* | 17,853 | 657,705 | ||||||
Q2 Holdings, Inc.* | 5,134 | 461,803 | ||||||
RealReal Inc., (The)* | 13,883 | 181,451 | ||||||
Rubicon Project Inc., (The)* | 117,613 | 1,203,181 | ||||||
Stamps.com, Inc.* | 659 | 42,413 | ||||||
Wix.com Ltd.* | 3,433 | 481,478 | ||||||
8,412,741 | ||||||||
Iron/Steel — 0.1% | ||||||||
AK Steel Holding Corp.* | 23,245 | 50,209 | ||||||
Allegheny Technologies, Inc.* | 13,690 | 271,336 | ||||||
321,545 | ||||||||
Leisure Time — 0.6% | ||||||||
Callaway Golf Co. | 7,398 | 131,388 | ||||||
Camping World Holdings, Inc., Class A | 30,001 | 228,008 | ||||||
Lindblad Expeditions Holdings, Inc.* | 57,993 | 1,082,149 | ||||||
OneSpaWorld Holdings Ltd.* | 28,181 | 442,442 | ||||||
1,883,987 | ||||||||
Lodging — 0.7% | ||||||||
Boyd Gaming Corp. | 24,684 | 593,403 | ||||||
Century Casinos, Inc.* | 38,404 | 294,943 | ||||||
Extended Stay America, Inc. | 87,549 | 1,230,063 | ||||||
2,118,409 | ||||||||
Machinery-Construction & Mining — 0.3% | ||||||||
ASV Holdings, Inc.* | 88,330 | 620,960 | ||||||
Polar Power, Inc.* | 37,828 | 130,885 | ||||||
751,845 | ||||||||
Machinery-Diversified — 1.4% | ||||||||
Albany International Corp., Class A | 1,126 | 92,580 |
Number of | Value | |||||||
Machinery-Diversified — (Continued) | ||||||||
Applied Industrial Technologies, Inc. | 1,045 | $ | 55,793 | |||||
Briggs & Stratton Corp. | 6,886 | 29,747 | ||||||
Chart Industries, Inc.* | 2,562 | 160,996 | ||||||
Columbus McKinnon Corp. | 21,669 | 701,425 | ||||||
Curtiss-Wright Corp. | 2,004 | 245,771 | ||||||
DXP Enterprises, Inc.* | 719 | 23,332 | ||||||
GrafTech International Ltd. | 59,466 | 724,890 | ||||||
Hurco Cos., Inc. | 18,870 | 602,142 | ||||||
Newpark Resources, Inc.* | 7,708 | 50,950 | ||||||
NN, Inc. | 53,780 | 345,268 | ||||||
SPX FLOW, Inc.* | 10,543 | 355,404 | ||||||
Tennant Co. | 2,414 | 165,093 | ||||||
Twin Disc, Inc.* | 52,600 | 531,786 | ||||||
4,085,177 | ||||||||
Media — 0.2% | ||||||||
Gannett Co., Inc. | 11,330 | 119,192 | ||||||
MSG Networks, Inc., Class A* | 19,620 | 321,768 | ||||||
440,960 | ||||||||
Metal Fabricate/Hardware — 0.4% | ||||||||
AZZ, Inc. | 1,465 | 60,461 | ||||||
CIRCOR International, Inc.* | 925 | 31,792 | ||||||
Mayville Engineering Co, Inc.* | 16,608 | 219,558 | ||||||
Northwest Pipe Co.* | 37,750 | 868,250 | ||||||
TimkenSteel Corp.* | 8,002 | 41,770 | ||||||
1,221,831 | ||||||||
Mining — 0.6% | ||||||||
A-Mark Precious Metals, Inc. | 14,762 | 208,735 | ||||||
Astec Industries, Inc. | 4,097 | 113,077 | ||||||
Century Aluminum Co.* | 18,637 | 102,690 | ||||||
Constellium SE* | 44,362 | 534,118 | ||||||
Kaiser Aluminum Corp. | 1,039 | 91,879 | ||||||
ProPetro Holding Corp.* | 4,300 | 45,795 | ||||||
SSR Mining, Inc.* | 19,362 | 317,924 | ||||||
United States Lime & Minerals, Inc. | 4,143 | 319,715 | ||||||
1,733,933 | ||||||||
Miscellaneous Manufacturing — 0.9% | ||||||||
Axon Enterprise, Inc.* | 5,340 | 320,240 | ||||||
EnPro Industries, Inc. | 2,498 | 155,575 | ||||||
ESCO Technologies, Inc. | 7,916 | 602,645 | ||||||
Fabrinet* | 3,054 | 154,197 | ||||||
Federal Signal Corp. | 10,762 | 319,739 | ||||||
FreightCar America, Inc.* | 41,980 | 175,476 | ||||||
Hillenbrand, Inc. | 2,960 | 81,222 | ||||||
John Bean Technologies Corp. | 2,493 | 255,084 | ||||||
LiqTech International, Inc.* | 20,135 | 136,314 | ||||||
Lydall, Inc.* | 1,617 | 32,518 | ||||||
Proto Labs, Inc.* | 1,026 | 97,203 |
The accompanying notes are an integral part of the financial statements.
10
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Miscellaneous Manufacturing — (Continued) | ||||||||
Raven Industries, Inc. | 6,617 | $ | 193,018 | |||||
Standex International Corp. | 1,001 | 68,819 | ||||||
Sturm Ruger & Co., Inc. | 968 | 39,698 | ||||||
2,631,748 | ||||||||
Office Furnishings — 0.2% | ||||||||
Knoll, Inc. | 28,165 | 649,485 | ||||||
Pitney Bowes, Inc. | 17,079 | 60,801 | ||||||
710,286 | ||||||||
Oil & Gas — 1.1% | ||||||||
Carrizo Oil & Gas, Inc.* | 9,026 | 74,825 | ||||||
Denbury Resources, Inc.* | 65,228 | 70,446 | ||||||
Evolution Petroleum Corp. | 58,943 | 348,943 | ||||||
Gran Tierra Energy, Inc.* | 92,840 | 130,904 | ||||||
Gulfport Energy Corp.* | 33,287 | 79,889 | ||||||
Laredo Petroleum, Inc.* | 30,273 | 75,077 | ||||||
Matador Resources Co.* | 30,587 | 478,687 | ||||||
Murphy USA, Inc.* | 13,465 | 1,203,771 | ||||||
Nabors Industries Ltd. | 70,626 | 118,652 | ||||||
Noble Corp., PLC* | 46,912 | 75,059 | ||||||
PBF Energy, Inc., Class A | 21,825 | 517,252 | ||||||
Penn Virginia Corp.* | 1,946 | 55,461 | ||||||
SM Energy Co. | 8,270 | 78,400 | ||||||
Unit Corp.* | 5,198 | 15,750 | ||||||
Whiting Petroleum Corp.* | 2,949 | 19,552 | ||||||
3,342,668 | ||||||||
Oil & Gas Services — 0.6% | ||||||||
Archrock, Inc. | 14,715 | 142,883 | ||||||
DMC Global, Inc. | 11,700 | 508,131 | ||||||
Helix Energy Solutions Group, Inc.* | 17,356 | 125,657 | ||||||
Natural Gas Services Group, Inc.* | 44,400 | 478,632 | ||||||
Oil States International, Inc.* | 7,659 | 105,618 | ||||||
Profire Energy, Inc.* | 156,577 | 239,563 | ||||||
US Silica Holdings, Inc. | 4,154 | 42,246 | ||||||
1,642,730 | ||||||||
Pharmaceuticals — 3.6% | ||||||||
Akorn, Inc.* | 18,512 | 53,500 | ||||||
Anika Therapeutics, Inc.* | 1,566 | 88,886 | ||||||
Corcept Therapeutics, Inc.* | 2,448 | 30,869 | ||||||
Cytokinetics, Inc.* | 83,706 | 1,176,069 | ||||||
Diplomat Pharmacy, Inc.* | 9,618 | 55,881 | ||||||
Enanta Pharmaceuticals, Inc.* | 4,093 | 288,761 | ||||||
Endo International PLC* | 18,664 | 44,234 | ||||||
Global Blood Therapeutics, Inc.* | 6,503 | 299,008 | ||||||
Harrow Health, Inc.* | 117,894 | 630,733 | ||||||
Heron Therapeutics, Inc.* | 16,731 | 309,858 | ||||||
Kura Oncology, Inc.* | 23,363 | 354,650 | ||||||
MERUS N V* | 14,794 | 236,704 |
Number of | Value | |||||||
Pharmaceuticals — (Continued) | ||||||||
Mirati Therapeutics, Inc.* | 8,281 | $ | 678,794 | |||||
Momenta Pharmaceuticals, Inc.* | 8,455 | 106,787 | ||||||
MyoKardia, Inc.* | 18,002 | 967,967 | ||||||
Neogen Corp.* | 2,310 | 162,901 | ||||||
Odonate Therapeutics, Inc.* | 18,586 | 572,635 | ||||||
Premier, Inc., Class A* | 55,476 | 1,956,084 | ||||||
Principia Biopharma, Inc.* | 9,159 | 363,612 | ||||||
Progenics Pharmaceuticals, Inc.* | 15,612 | 68,693 | ||||||
Ra Pharmaceuticals, Inc.* | 14,706 | 400,003 | ||||||
Reata Pharmaceuticals, Inc., Class A* | 7,938 | 612,020 | ||||||
Sutro Biopharma, Inc.* | 9,324 | 75,245 | ||||||
Tricida, Inc.* | 13,659 | 476,562 | ||||||
Turning Point Therapeutics, Inc.* | 8,406 | 458,379 | ||||||
Xencor, Inc.* | 896 | 33,403 | ||||||
10,502,238 | ||||||||
Real Estate — 0.3% | ||||||||
Marcus & Millichap, Inc.* | 10,680 | 385,334 | ||||||
Newmark Group, Inc., Class A | 27,808 | 241,373 | ||||||
Redfin Corp.* | 21,685 | 366,260 | ||||||
992,967 | ||||||||
REITS — 1.8% | ||||||||
Acadia Realty Trust | 4,655 | 127,314 | ||||||
Agree Realty Corp. | 1,641 | 122,566 | ||||||
Armada Hoffler Properties, Inc. | 7,721 | 133,882 | ||||||
CareTrust REIT, Inc. | 3,664 | 87,167 | ||||||
Chatham Lodging Trust | 4,755 | 78,885 | ||||||
Community Healthcare Trust, Inc. | 2,769 | 118,070 | ||||||
CoreSite Realty Corp. | 1,355 | 157,424 | ||||||
DiamondRock Hospitality Co. | 8,155 | 77,228 | ||||||
EastGroup Properties, Inc. | 2,590 | 322,507 | ||||||
Franklin Street Properties Corp. | 2,595 | 19,644 | ||||||
Getty Realty Corp. | 5,173 | 164,294 | ||||||
Global Medical REIT, Inc. | 71,950 | 786,414 | ||||||
Global Net Lease, Inc. | 3,919 | 75,166 | ||||||
Great Ajax Corp. | 38,530 | 561,767 | ||||||
Healthcare Realty Trust, Inc. | 7,137 | 237,163 | ||||||
Independence Realty Trust, Inc. | 4,656 | 64,765 | ||||||
iStar, Inc. | 11,563 | 148,006 | ||||||
Lexington Realty Trust | 12,112 | 125,844 | ||||||
Manhattan Bridge Capital, Inc. | 55,566 | 339,508 | ||||||
Medical Properties Trust, Inc. | 5,867 | 109,068 | ||||||
New York Mortgage Trust, Inc. | 13,164 | 80,959 | ||||||
Office Properties Income Trust | 3,799 | 102,991 | ||||||
Pennsylvania Real Estate Investment Trust | 17,632 | 90,628 | ||||||
PS Business Parks, Inc. | 1,242 | 223,076 | ||||||
RPT Realty | 2,382 | 28,346 | ||||||
Summit Hotel Properties, Inc. | 13,199 | 147,301 |
The accompanying notes are an integral part of the financial statements.
11
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
REITS — (Continued) | ||||||||
Universal Health Realty Income Trust | 3,469 | $ | 335,418 | |||||
Urstadt Biddle Properties, Inc., Class A | 4,983 | 104,593 | ||||||
Washington Prime Group, Inc. | 25,878 | 83,586 | ||||||
Whitestone REIT | 9,003 | 111,817 | ||||||
5,165,397 | ||||||||
Retail — 6.8% | ||||||||
Abercrombie & Fitch Co., Class A | 5,117 | 74,811 | ||||||
Asbury Automotive Group, Inc.* | 2,463 | 232,261 | ||||||
Big 5 Sporting Goods Corp. | 112,890 | 202,073 | ||||||
Big Lots, Inc. | 1,598 | 36,354 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 33,705 | 885,093 | ||||||
Boot Barn Holdings, Inc.* | 28,283 | 968,693 | ||||||
Buckle, Inc., (The) | 4,527 | 88,729 | ||||||
Build-A-Bear Workshop, Inc.* | 80,700 | 200,136 | ||||||
Cannae Holdings, Inc.* | 98,379 | 2,736,904 | ||||||
Casey’s General Stores, Inc. | 4,727 | 793,427 | ||||||
Cato Corp., (The), Class A | 1,624 | 27,819 | ||||||
Chico’s FAS, Inc. | 42,208 | 131,689 | ||||||
Children’s Place, Inc., (The) | 1,027 | 89,606 | ||||||
Chuy’s Holdings, Inc.* | 2,086 | 52,922 | ||||||
Conn’s, Inc.* | 2,356 | 47,497 | ||||||
Cracker Barrel Old Country Store, Inc. | 669 | 110,653 | ||||||
DineEquity, Inc. | 3,392 | 239,306 | ||||||
El Pollo Loco Holdings, Inc.* | 10,833 | 110,605 | ||||||
EZCORP, Inc., Class A* | 11,293 | 88,876 | ||||||
FirstCash, Inc. | 2,930 | 289,279 | ||||||
Five Below, Inc.* | 3,696 | 454,127 | ||||||
Freshpet, Inc.* | 20,062 | 984,643 | ||||||
Genesco, Inc.* | 4,461 | 159,168 | ||||||
GMS, Inc.* | 24,404 | 718,942 | ||||||
Guess?, Inc. | 6,372 | 115,142 | ||||||
Hibbett Sports, Inc.* | 6,047 | 100,017 | ||||||
Hudson Ltd., Class A* | 37,222 | 403,859 | ||||||
J Alexander’s Holdings, Inc.* | 44,656 | 526,941 | ||||||
Lovesac Co., (The)* | 19,181 | 329,913 | ||||||
MarineMax, Inc.* | 569 | 8,228 | ||||||
MSC Industrial Direct Co., Inc., Class A | 14,398 | 973,593 | ||||||
National Vision Holdings, Inc.* | 18,676 | 529,651 | ||||||
Office Depot, Inc. | 38,135 | 49,575 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 3,891 | 215,756 | ||||||
PC Connection, Inc. | 13,650 | 480,889 | ||||||
PCM, Inc.* | 36,190 | 1,266,650 | ||||||
PetIQ, Inc.* | 17,472 | 553,164 | ||||||
PetMed Express, Inc. | 4,155 | 65,649 |
Number of | Value | |||||||
Retail — (Continued) | ||||||||
Red Robin Gourmet Burgers, Inc.* | 1,984 | $ | 66,444 | |||||
Regis Corp.* | 8,392 | 135,699 | ||||||
RH* | 2,622 | 375,601 | ||||||
Shoe Carnival, Inc. | 10,140 | 311,704 | ||||||
Sonic Automotive, Inc., Class A | 21,222 | 571,084 | ||||||
Texas Roadhouse, Inc. | 12,493 | 642,890 | ||||||
Vera Bradley, Inc.* | 1,890 | 20,015 | ||||||
Vitamin Shoppe, Inc.* | 8,900 | 57,405 | ||||||
Wingstop, Inc. | 10,552 | 1,056,994 | ||||||
Winmark Corp. | 3,329 | 540,962 | ||||||
World Fuel Services Corp. | 17,749 | 681,562 | ||||||
Zumiez, Inc.* | 3,678 | 95,554 | ||||||
19,898,554 | ||||||||
Savings & Loans — 0.9% | ||||||||
Axos Financial, Inc.* | 3,461 | 89,675 | ||||||
Banc of California, Inc. | 3,977 | 57,945 | ||||||
Berkshire Hills Bancorp, Inc. | 3,296 | 96,672 | ||||||
Brookline Bancorp, Inc. | 13,535 | 190,031 | ||||||
Dime Community Bancshares, Inc. | 10,493 | 208,076 | ||||||
FS Bancorp, Inc. | 14,670 | 710,028 | ||||||
Oritani Financial Corp. | 9,163 | 156,962 | ||||||
Provident Financial Services, Inc. | 1,569 | 37,358 | ||||||
Riverview Bancorp, Inc. | 125,101 | 881,962 | ||||||
Sterling Bancorp | 11,846 | 225,903 | ||||||
2,654,612 | ||||||||
Semiconductors — 3.0% | ||||||||
Adesto Technologies Corp.* | 27,373 | 279,205 | ||||||
Advanced Energy Industries, Inc.* | 2,466 | 127,344 | ||||||
Amtech Systems, Inc.* | 109,030 | 552,782 | ||||||
AXT, Inc.* | 204,970 | 694,848 | ||||||
Brooks Automation, Inc. | 2,595 | 86,491 | ||||||
Cabot Microelectronics Corp. | 1,581 | 197,072 | ||||||
Cirrus Logic, Inc.* | 3,525 | 189,081 | ||||||
Cohu, Inc. | 57,482 | 685,185 | ||||||
FormFactor, Inc.* | 3,724 | 63,643 | ||||||
Impinj, Inc.* | 20,417 | 742,770 | ||||||
Inphi Corp.* | 19,251 | 1,177,969 | ||||||
inTEST Corp.* | 38,780 | 162,876 | ||||||
Kulicke & Soffa Industries, Inc. | 6,419 | 133,708 | ||||||
Lattice Semiconductor Corp.* | 24,665 | 485,654 | ||||||
MKS Instruments, Inc. | 1,371 | 107,336 | ||||||
Monolithic Power Systems, Inc. | 1,952 | 293,893 | ||||||
Nanometrics, Inc.* | 1,823 | 49,750 | ||||||
Photronics, Inc.* | 7,595 | 82,026 | ||||||
Power Integrations, Inc. | 3,164 | 281,659 | ||||||
Rudolph Technologies, Inc.* | 3,770 | 82,902 | ||||||
Semtech Corp.* | 11,928 | 500,618 |
The accompanying notes are an integral part of the financial statements.
12
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Continued)
AUGUST 31, 2019
Number of | Value | |||||||
Semiconductors — (Continued) | ||||||||
Silicon Laboratories, Inc.* | 4,428 | $ | 482,652 | |||||
Ultra Clean Holdings, Inc.* | 88,790 | 1,060,153 | ||||||
Xperi Corp. | 6,158 | 112,815 | ||||||
8,632,432 | ||||||||
Software — 9.6% | ||||||||
ACI Worldwide, Inc.* | 6,240 | 185,827 | ||||||
Alteryx, Inc., Class A* | 10,628 | 1,513,959 | ||||||
American Software, Inc., Class A | 41,399 | 652,448 | ||||||
Appfolio, Inc., Class A* | 4,352 | 429,847 | ||||||
Appian Corp.* | 7,963 | 473,560 | ||||||
Asure Software, Inc.* | 113,600 | 731,584 | ||||||
Avalara, Inc.* | 5,236 | 441,604 | ||||||
Avaya Holdings Corp.* | 66,900 | 944,628 | ||||||
Blackbaud, Inc. | 2,160 | 196,495 | ||||||
Bottomline Technologies de, Inc.* | 2,442 | 100,708 | ||||||
Cogent Communications Holdings, Inc. | 1,297 | 78,974 | ||||||
Computer Programs & Systems, Inc. | 28,663 | 606,223 | ||||||
Coupa Software, Inc.* | 3,526 | 489,867 | ||||||
CSG Systems International, Inc. | 2,981 | 160,616 | ||||||
Digital Turbine, Inc.* | 47,339 | 360,250 | ||||||
Ebix, Inc. | 2,006 | 71,053 | ||||||
eGain Corp.* | 46,019 | 330,416 | ||||||
Everbridge, Inc.* | 19,661 | 1,694,778 | ||||||
Fastly, Inc., Class A* | 33,940 | 1,072,504 | ||||||
Five9, Inc.* | 20,453 | 1,292,834 | ||||||
Health Catalyst, Inc.* | 4,520 | 180,167 | ||||||
InnerWorkings, Inc.* | 108,980 | 462,075 | ||||||
j2 Global, Inc. | 1,540 | 130,284 | ||||||
LivePerson, Inc.* | 20,647 | 820,512 | ||||||
LiveRamp Holdings, Inc.* | 9,320 | 394,795 | ||||||
ManTech International Corp., Class A | 2,301 | 161,714 | ||||||
Materialise NV, ADR* | 32,354 | 636,080 | ||||||
Medidata Solutions, Inc.* | 2,714 | 248,548 | ||||||
MiX Telematics Ltd., SP ADR | 29,769 | 420,338 | ||||||
Model N, Inc.* | 51,881 | 1,485,353 | ||||||
NextGen Healthcare, Inc.* | 3,902 | 55,447 | ||||||
Omnicell, Inc.* | 9,557 | 686,193 | ||||||
Phreesia, Inc.* | 16,033 | 429,203 | ||||||
Pluralsight, Inc., Class A* | 12,046 | 193,941 | ||||||
Progress Software Corp. | 5,306 | 200,461 | ||||||
PROS Holdings, Inc.* | 15,540 | 1,103,651 | ||||||
QAD, Inc., Class A | 21,362 | 865,588 | ||||||
Red Violet, Inc.* | 74,989 | 1,016,101 | ||||||
SharpSpring, Inc.* | 96,478 | 1,119,145 | ||||||
ShiftPixy, Inc.* | 263,298 | 125,251 | ||||||
Simulations Plus, Inc. | 23,817 | 860,032 | ||||||
Smartsheet, Inc., Class A* | 28,335 | 1,377,081 | ||||||
SVMK, Inc.* | 35,432 | 593,132 |
Number of | Value | |||||||
Software — (Continued) | ||||||||
Tabula Rasa HealthCare, Inc.* | 13,068 | $ | 742,262 | |||||
Take-Two Interactive Software, Inc.* | 3,989 | 526,428 | ||||||
TiVo Corp. | 5,483 | 41,287 | ||||||
Upland Software, Inc.* | 14,136 | 537,168 | ||||||
Veritone, Inc.* | 53,288 | 241,928 | ||||||
Verra Mobility Corp.* | 25,608 | 356,463 | ||||||
Yext, Inc.* | 23,324 | 367,820 | ||||||
Zovio, Inc.* | 89,560 | 204,197 | ||||||
28,410,820 | ||||||||
Telecommunications — 1.5% | ||||||||
ADTRAN, Inc. | 3,336 | 34,261 | ||||||
ATN International, Inc. | 1,366 | 77,616 | ||||||
Consolidated Communications Holdings, Inc. | 23,651 | 95,313 | ||||||
ExOne Co., (The)* | 68,687 | 564,607 | ||||||
Iridium Communications, Inc.* | 9,628 | 232,805 | ||||||
Liberty Latin America Ltd., Class C* | 72,042 | 1,187,973 | ||||||
LogMeIn, Inc. | 1,382 | 92,373 | ||||||
Maxar Technologies, Inc. | 19,646 | 139,094 | ||||||
NETGEAR, Inc.* | 2,616 | 90,827 | ||||||
One Stop Systems, Inc.* | 90,330 | 210,469 | ||||||
ORBCOMM, Inc.* | 75,383 | 347,516 | ||||||
Pagerduty, Inc.* | 7,320 | 287,456 | ||||||
Sonim Technologies, Inc.* | 22,374 | 162,435 | ||||||
Viavi Solutions, Inc.* | 23,640 | 328,360 | ||||||
Vonage Holdings Corp.* | 45,721 | 604,432 | ||||||
4,455,537 | ||||||||
Textiles — 0.6% | ||||||||
UniFirst Corp. | 8,980 | 1,759,272 | ||||||
Toys/Games/Hobbies — 0.4% | ||||||||
Funko, Inc., Class A* | 49,385 | 1,184,746 | ||||||
Transportation — 1.9% | ||||||||
Air Transport Services Group, Inc.* | 84,335 | 1,703,567 | ||||||
ArcBest Corp. | 4,606 | 136,384 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 11,526 | 297,947 | ||||||
CryoPort, Inc.* | 10,702 | 232,875 | ||||||
Echo Global Logistics, Inc.* | 4,834 | 96,873 | ||||||
Forward Air Corp. | 9,439 | 588,050 | ||||||
Heartland Express, Inc. | 3,583 | 73,702 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,873 | 63,944 | ||||||
Marten Transport Ltd. | 4,885 | 96,088 | ||||||
Matson, Inc. | 2,281 | 81,044 | ||||||
PAM Transportation Services, Inc.* | 13,830 | 797,853 |
The accompanying notes are an integral part of the financial statements.
13
ADARA SMALLER COMPANIES FUND
Portfolio of Investments (Concluded)
AUGUST 31, 2019
Number of | Value | |||||||
Transportation — (Continued) | ||||||||
Saia, Inc.* | 15,489 | $ | 1,324,929 | |||||
5,493,256 | ||||||||
Trucking & Leasing — 0.0% | ||||||||
Greenbrier Cos., Inc., (The) | 3,222 | 75,040 | ||||||
Water — 0.4% | ||||||||
American States Water Co. | 1,758 | 162,668 | ||||||
California Water Service Group | 1,969 | 111,130 | ||||||
Global Water Resources, Inc. | 36,066 | 429,546 | ||||||
PICO Holdings, Inc.* | 39,282 | 378,286 | ||||||
1,081,630 | ||||||||
TOTAL COMMON STOCKS (Cost $215,109,334) | 273,102,185 | |||||||
SHORT-TERM INVESTMENTS — 6.4% | ||||||||
First American Treasury Obligations Fund Class X, 2.02%(a) | 18,634,778 | 18,634,778 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $18,634,778) | 18,634,778 | |||||||
TOTAL INVESTMENTS — 100.0% (Cost $233,744,112) | 291,736,963 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0% | 122,365 | |||||||
NET ASSETS — 100.0% | $ | 291,859,328 |
* Non-income producing security.
(a) Seven-day yield as of August 31, 2019.
ADR American Depositary Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
SP ADR Sponsored ADR
The accompanying notes are an integral part of the financial statements.
14
ADARA SMALLER COMPANIES FUND
STATEMENT of Assets and Liabilities
AUGUST 31, 2019
ASSETS | ||||
Investments, at value (cost $215,109,334) | $ | 273,102,185 | ||
Short-term investments, at value (cost $18,634,778) | 18,634,778 | |||
Receivables for: | ||||
Investments sold | 1,078,649 | |||
Dividends | 173,922 | |||
Capital shares sold | 3,595 | |||
Prepaid expenses and other assets | 38,638 | |||
Total assets | 293,031,767 | |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 946,329 | |||
Sub-advisory fees | 197,942 | |||
Other accrued expenses and liabilities | 28,168 | |||
Total liabilities | 1,172,439 | |||
Net assets | $ | 291,859,328 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 22,637 | ||
Paid-in capital | 236,568,535 | |||
Total distributable earnings/(loss) | 55,268,156 | |||
Net assets | $ | 291,859,328 | ||
CAPITAL SHARES: | ||||
Net Assets | $ | 291,859,328 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 22,637,143 | |||
Net asset value, offering and redemption price per share | $ | 12.89 |
The accompanying notes are an integral part of the financial statements.
15
ADARA SMALLER COMPANIES FUND
Statement of Operations
For the Year Ended AUGUST 31, 2019
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $8,085) | $ | 2,494,423 | ||
Total investment income | 2,494,423 | |||
EXPENSES | ||||
Sub-advisory fees (Note 2) | 2,293,440 | |||
Administration and accounting services fees (Note 2) | 141,986 | |||
Custodian fees (Note 2) | 49,572 | |||
Legal fees | 46,900 | |||
Audit and tax service fees | 39,430 | |||
Transfer agent fees (Note 2) | 37,336 | |||
Registration and filing fees | 29,606 | |||
Director fees | 25,465 | |||
Officer fees | 22,705 | |||
Printing and shareholder reporting fees | 1,762 | |||
Other expenses | 32,143 | |||
Total expenses | 2,720,345 | |||
Net investment income/(loss) | (225,922 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments | 4,988,025 | |||
Net change in unrealized appreciation/(depreciation) on investments | (46,405,937 | ) | ||
Net realized and unrealized gain/(loss) on investments | (41,417,912 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (41,643,834 | ) |
The accompanying notes are an integral part of the financial statements.
16
ADARA SMALLER COMPANIES FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS | ||||||||
Net investment income/(loss) | $ | (225,922 | ) | $ | (211,235 | ) | ||
Net realized gain/(loss) from investments | 4,988,025 | 38,840,504 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (46,405,937 | ) | 51,272,470 | |||||
Net increase/(decrease) in net assets resulting from operations | (41,643,834 | ) | 89,901,739 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (38,776,479 | ) | (10,628,260 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (38,776,479 | ) | (10,628,260 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 26,867,823 | 17,644,311 | ||||||
Reinvestment of distributions | 34,269,675 | 9,704,541 | ||||||
Shares redeemed | (38,209,914 | ) | (19,750,651 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions | 22,927,584 | 7,598,201 | ||||||
Total increase/(decrease) in net assets | (57,492,729 | ) | 86,871,680 | |||||
NET ASSETS: | ||||||||
Beginning of period | 349,352,057 | 262,480,377 | ||||||
End of period | $ | 291,859,328 | $ | 349,352,057 | ||||
SHARE TRANSACTIONS: | ||||||||
Shares sold | 2,069,021 | 1,198,238 | ||||||
Shares reinvested | 2,836,894 | 714,620 | ||||||
Shares redeemed | (3,114,162 | ) | (1,350,953 | ) | ||||
Net increase/(decrease) in shares | 1,791,753 | 561,905 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders from net realized capital gains were $(10,628,260) during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $0. |
The accompanying notes are an integral part of the financial statements.
17
ADARA SMALLER COMPANIES FUND
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.76 | $ | 12.94 | $ | 11.20 | $ | 10.59 | $ | 10.00 | ||||||||||
Net investment income/(loss)(2) | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.03 | ) | (0.04 | ) | ||||||||||
Net realized and unrealized gain/(loss) from investments | (1.99 | ) | 4.36 | 1.76 | 0.64 | 0.63 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (2.00 | ) | 4.35 | 1.74 | 0.61 | 0.59 | ||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net realized capital gains | (1.87 | ) | (0.53 | ) | — | — | (3) | — | ||||||||||||
Total dividends and distributions to shareholders | (1.87 | ) | (0.53 | ) | — | — | — | |||||||||||||
Net asset value, end of period | $ | 12.89 | $ | 16.76 | $ | 12.94 | $ | 11.20 | $ | 10.59 | ||||||||||
Total investment return/(loss)(4) | (11.16 | )% | 34.54 | % | 15.54 | % | 5.76 | % | 5.90 | %(5) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 291,859 | $ | 349,352 | $ | 262,480 | $ | 225,101 | $ | 212,934 | ||||||||||
Ratio of expenses to average net assets | 0.93 | % | 0.90 | % | 0.92 | % | 1.15 | % | 1.15 | %(6) | ||||||||||
Ratio of net investment income/(loss) to average net assets | (0.08 | )% | (0.07 | )% | (0.15 | )% | (0.26 | )% | (0.41 | )%(6) | ||||||||||
Portfolio turnover rate | 80 | % | 86 | % | 88 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of the financial statements.
18
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 2019
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 thirty-three separate investment portfolios, including the Adara Smaller Companies Fund (the “Fund”), which commenced investment operations on October 21, 2014.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective seeks capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Financial Statements is for the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued 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 the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
19
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 2019
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 273,102,185 | $ | 273,102,185 | $ | — | $ | — | ||||||||
Short-Term Investments | 18,634,778 | 18,634,778 | — | — | ||||||||||||
Total Investments* | $ | 291,736,963 | $ | 291,736,963 | $ | — | $ | — |
* Please refer to the Portfolio of Investments for further details.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividnds to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are
20
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 2019
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 Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Granite Investment Partners, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital, LLC and River Road Asset Management, LLC each serve as an investment sub-adviser (“Sub-Adviser”) to the Fund.
The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s average daily net assets, (the “Sub-Advisory Fee”), not to exceed 1.00%, payable on a monthly basis in arrears.
During the current fiscal period, collectively, sub-advisory fees accrued were $2,293,440, or the rate of 0.77%.
The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for out-of-pocket expenses it incurs in connection with its compliance monitoring of Fund trading, up to 0.01% of the Fund’s average daily net assets.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
21
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
AUGUST 31, 2019
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES |
$227,667,022 | $246,275,767 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | Net Unrealized |
$236,284,618 | $76,532,457 | $(21,080,112) | $55,452,345 |
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
22
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
AUGUST 31, 2019
may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to current year write-off of PFIC sales and distributions, were reclassified among the following accounts:
Distributable | PAID-IN |
$— | $— |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL LOSS | NET UNREALIZED | QUALIFIED |
$— | $11,161,988 | $— | $55,452,345 | $11,346,177 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2019 were as follows:
ORDINARY | LONG-TERM | TOTAL | ||||||||||
2019 | $ | 11,724,339 | $ | 27,052,140 | $ | 38,776,479 | ||||||
2018 | 1,402,124 | 9,226,136 | 10,628,260 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. The Fund deferred qualified late-year losses of $11,346,177 which will be treated as arising on the first business day of the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the 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, 2019, the Fund had no capital loss carryforwards.
6. NEW ACCOUNTING PRONOUNCEMENTS
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurement. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public
23
ADARA SMALLER COMPANIES FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
AUGUST 31, 2019
companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
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.
24
ADARA SMALLER COMPANIES FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Adara Smaller Companies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Adara Smaller Companies Fund (the “Fund”), a separately managed portfolio of The RBB Fund, Inc., as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Altair Advisers, LLC investment companies since 2015.
25
ADARA SMALLER COMPANIES FUND
SHAREHOLDER TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable period ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Fund:
Ordinary | Long-Term |
$11,724,339 | $27,052,140 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Jobs and Growth Tax relief Reconciliation Act of 2003 the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
Adara Smaller Companies Fund | 31.83% |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for the Fund is as follows:
Adara Smaller Companies Fund | 30.78% |
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
Adara Smaller Companies Fund | 98.85% |
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
26
ADARA SMALLER COMPANIES FUND
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q or as an exhibit to its reports on Form N-Q’s successor, N-PORT. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
approval of investment advisory agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (1) the renewal of the investment advisory agreement between Altair and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, and (2) the renewal of the sub-advisory agreements among Altair, the Company and each of Aperio Group, LLC, Driehaus Capital Management, LLC, Granite Investment Partners, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital, LLC, and River Road Asset Management, LLC (collectively, the “Sub-Advisers”) (together, the “Sub-Advisory Agreements”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement and the Sub-Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement and the Sub-Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement and the Sub-Advisory Agreements, the Board considered information provided by Altair and each of the Sub-Advisers with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement and the Sub-Advisory Agreements between the Company and Altair with respect to the Fund, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by Altair and each Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Altair’s and the Sub-Advisers’ investment philosophies and processes; (iv) Altair’s and the Sub-Advisers’ assets under management and client descriptions; (v) Altair’s and the Sub-Advisers’ soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Altair’s and the Sub-Advisers’ advisory fee arrangements and other similarly managed clients, as applicable; (vii) Altair’s and the Sub-Advisers’ compliance procedures; (viii) Altair’s and the Sub-Advisers’ financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Altair and each Sub-Adviser. The Directors concluded that Altair and each Sub-Adviser had substantial resources to provide services to the Fund, and that Altair’s and the Sub-Advisers’ services had been acceptable.
27
ADARA SMALLER COMPANIES FUND
Other Information (Unaudited) (CONCLUDED)
The Directors also considered the investment performance of the Fund and considered the Fund’s investment performance in light of its investment objective and investment strategies. The Directors noted that the Fund had outperformed its primary benchmark for the year-to-date, one- and three-year periods ended March 31, 2019. The Directors also considered the Fund’s 1st quintile ranking within its Lipper Performance Group and Lipper Performance Universe for the one-, two-, three-, four-year and since-inception periods ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s actual advisor fees ranked in the 2nd quintile of its Lipper Expense Group, and that the total expenses of the Fund ranked in the in the 2nd quintile of its Lipper Expense Group and Lipper Expense Universe. The Directors considered that the Fund does not pay a contractual management fee to Altair, but instead reimburses for out-of-pocket expenses in connection with its compliance monitoring of the Fund’s trading, up to 0.01% of the Fund’s average daily net assets. The Directors also considered the fees payable to each Sub-Adviser under the Sub-Advisory Agreement.
After reviewing the information regarding Altair’s and the Sub-Advisers’ costs, profitability and economies of scale, and after considering the services to be provided by Altair and the Sub-Advisers, the Directors concluded that the investment advisory fees to be paid by the Fund to Altair and the sub-advisory fees to be paid to each Sub-Adviser were fair and reasonable and that the Investment Advisory Agreement and Sub-Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2020.
28
ADARA SMALLER COMPANIES FUND
Company Management (Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (844) 261-6482.
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
29
ADARA SMALLER COMPANIES FUND
Company Management (Unaudited) (continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman | Chairman
Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company) Ameriprise Financial, Inc. (financial services company) |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
30
ADARA SMALLER COMPANIES FUND
Company Management (Unaudited) (continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director - Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
31
ADARA SMALLER COMPANIES FUND
Company Management (Unaudited) (continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
32
ADARA SMALLER COMPANIES FUND
Company Management (Unaudited) (CONCLUDED)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
33
ADARA SMALLER COMPANIES FUND
PRIVACY NOTICE (Unaudited)
FACTS | WHAT DOES THE ADARA SMALLER COMPANIES FUND 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 Adara Smaller Companies Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Does the Adara Smaller Companies Fund share? | Can you limit | |
For our everyday business purpose — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | Yes | No | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-844-261-6482 |
34
ADARA SMALLER COMPANIES FUND
PRIVACY NOTICE (Unaudited)
What we do |
|
How does the Adara Smaller Companies Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Adara Smaller Companies Fund collect my personal information? | We collect your personal information, for example, when you
● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes — information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions |
|
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include Altair Advisers, LLC, the investment adviser to the Adara Smaller Companies Fund. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● Adara Smaller Companies Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Adara Smaller Companies Fund may share your information with other financial institutions with whom they have joint marketing arrangements who may suggest additional fund services or other investments products which may be of interest to you. We do not currently have any joint marketing arrangements with other financial institutions. |
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Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606
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
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
ADA-AR19
AQUARIUS INTERNATIONAL FUND
of
The RBB Fund, Inc.
ANNUAL REPORT
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6482.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-844-261-6482 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund.
It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
AQUARIUS INTERNATIONAL FUND
ANNUAL INVESTMENT ADVISER’S REPORT
AUGUST 31, 2019 (UNAUDITED)
Dear Shareholder,
The Aquarius International Fund (the “Fund”) generated a loss of 2.12% during the fiscal year ended August 31, 2019, slightly better than the 2.78% loss of the benchmark MSCI ACWI ex USA Index during the period.
International equities were pressured during the fiscal year by the U.S.-China trade war, which affected global trade and weighed on economic growth. The loss was felt across global asset classes but was elevated among emerging markets. The MSCI EAFE Index for international developed markets declined 2.75% over the Fund’s fiscal year ended August 31, 2019, while the MSCI Emerging Markets Index fell 3.99% over the same period.
Altair launched the Fund as a vehicle for clients to access high quality managers in the international and emerging-markets equity asset classes. The Fund is managed by four underlying sub-advisers: international developed managers Mawer Investment Management Ltd. and Setanta Asset Management Limited, emerging markets manager Driehaus Capital Management LLC, and Aperio Group, LLC, a tax-loss harvesting manager. During the 2019 fiscal year, returns for the underlying sub-advisers were as follows: Driehaus Capital Management LLC +2.96%, Mawer Investment Management Ltd. -2.06%, Setanta Asset Management Limited -4.51% and Aperio Group, LLC-7.08%.
Altair believes international equities play an important role in a diversified portfolio. By investing directly in overseas companies, the potential exists to obtain exposure to economies with higher growth or companies trading at more attractive valuations than similar companies in the United States. International equities also can help mitigate certain risks associated with investing only in U.S. companies and the dollar. We continue to believe international equities represent an opportunity for U.S. investors to diversify their equity portfolios.
Sincerely,
Altair Advisers LLC
Opinions expressed are those of the Investment Adviser and are subject to change, are not guaranteed and should not be considered investment advice.
Diversification does not assure a profit or protect against a loss in a declining market.
Past performance does not guarantee future results.
MSCI ACWI ex USA Index is a stock market index measuring the performance of large and mid cap stocks across 22 of 23 developed markets countries* (excluding the U.S.) and 26 emerging markets countries.** With 2,215 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
MSCI EAFE Index is a stock market index measuring the performance of large and mid cap stocks across 21 Developed Markets countries* around the world, excluding the US and Canada. With 923 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets Index is a stock market index measuring the performance of large and mid cap stocks across 26 emerging markets countries.** With 1,202 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
* | DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the UK. |
** | EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. |
It is not possible to invest directly in an index.
Must be preceded or accompanied by a prospectus.
1
AQUARIUS INTERNATIONAL FUND
Annual Report
Performance Data
AUGUST 31, 2019 (UNAUDITED)
Comparison of Change in Value of $10,000 Invested in Aquarius International Fund
vs. MSCI ACWI EX USA INDEX
This chart assumes a hypothetical $10,000 initial investment in the Fund made on April 17, 2018 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI ACWI ex USA Index is unmanaged, and does not incur expenses and is not available for investment.
Average Annual Total Returns for the Period Ended August 31, 2019 | |||
One | Since | ||
Aquarius International Fund | -2.12% | -4.36%* | |
MSCI AC WORLD INDEX ex USA Gross Index | -2.78% | -4.73%** |
* | The Fund commenced operations on April 17, 2018. |
** | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling(844) 261-6482.
The Fund’s total annual Fund operating expenses, as stated in the current prospectus dated December 31, 2018, are 0.82% of average daily net assets. This ratio may differ from the actual expenses incurred by the Fund for the period covered by this report.
The Fund invests in common stocks, preferred stocks, warrants to acquire common stocks and securities convertible into common stocks. Portfolio composition is subject to change.
The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 24 Emerging Markets (EM) countries. With 2,137 constituents, the index covers approximately 85% of the global equity opportunity set outside the US.
Investment Considerations
Investing in the Fund involves risk and an investor may lose money. The success of the Fund’s strategy depends on the Adviser’s ability to select Sub-Advisers and each manager’s ability to select investments for the Fund. The Fund may invest in riskier type investments including small, micro-cap and large cap stocks, IPOs, special situations, foreign markets, emerging markets and illiquid securities all of which may be more volatile and less liquid.
2
AQUARIUS INTERNATIONAL FUND
Fund Expense Example
AUGUST 31, 2019 (UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019 and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual Six Month | |
Actual | $ 1,000.00 | $ 1,009.20 | $0.00 | 0.92% | 0.00% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,025.21 | 0.00 | 2.52 | N/A |
* | Expenses are equal to the Fund’s annualized since inception expense ratio, multiplied by the average account value over the period, multiplied by the number of days (184) 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. |
3
AQUARIUS INTERNATIONAL FUND
Portfolio Holdings Summary Table
August 31, 2019 (UNAUDITED)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Banks | 8.2 | % | $ | 13,225,503 | ||||
Pharmaceuticals | 7.5 | 12,100,378 | ||||||
Insurance | 5.8 | 9,524,170 | ||||||
Telecommunications | 4.6 | 7,544,191 | ||||||
Beverages | 4.5 | 7,421,269 | ||||||
Commercial Services | 4.5 | 7,308,798 | ||||||
Chemicals | 3.7 | 6,013,343 | ||||||
Oil & Gas | 3.7 | 6,008,590 | ||||||
Food | 3.1 | 5,099,921 | ||||||
Semiconductors | 3.1 | 5,018,144 | ||||||
Internet | 3.0 | 4,952,171 | ||||||
Retail | 2.9 | 4,757,578 | ||||||
Investment Companies | 2.6 | 4,234,029 | ||||||
Diversified Financial Services | 2.5 | 4,014,512 | ||||||
Machinery-Diversified | 2.2 | 3,513,878 | ||||||
Electronics | 1.9 | 3,102,343 | ||||||
Cosmetics/Personal Care | 1.6 | 2,669,079 | ||||||
Software | 1.6 | 2,658,679 | ||||||
Building Materials | 1.5 | 2,440,852 | ||||||
Apparel | 1.5 | 2,400,780 | ||||||
Media | 1.4 | 2,354,376 | ||||||
Miscellaneous Manufacturing | 1.1 | 1,871,737 | ||||||
REITS | 1.0 | 1,661,215 | ||||||
Distribution/Wholesale | 1.0 | 1,610,449 | ||||||
Lodging | 0.9 | 1,533,904 | ||||||
Healthcare-Products | 0.9 | 1,411,914 | ||||||
Airlines | 0.9 | 1,401,341 | ||||||
Food Service | 0.8 | 1,376,279 | ||||||
Real Estate | 0.8 | 1,376,021 | ||||||
Healthcare-Services | 0.8 | 1,316,946 | ||||||
Mining | 0.7 | 1,225,218 | ||||||
Electrical Components & Equipment | 0.7 | 1,223,083 | ||||||
Home Builders | 0.7 | 1,067,533 | ||||||
Transportation | 0.6 | 1,045,371 | ||||||
Auto Manufacturers | 0.6 | 1,013,724 | ||||||
Electric | 0.6 | 1,001,115 | ||||||
Agriculture | 0.6 | 997,932 | ||||||
Water | 0.6 | 976,233 | ||||||
Auto Parts & Equipment | 0.5 | 704,091 | ||||||
Household Products/Wares | 0.4 | % | $ | 612,240 | ||||
Computers | 0.4 | 593,099 | ||||||
Aerospace/Defense | 0.3 | 509,214 | ||||||
Machinery-Construction & Mining | 0.3 | 498,547 | ||||||
Engineering & Construction | 0.2 | 407,081 | ||||||
Hand/Machine Tools | 0.2 | 360,085 | ||||||
Pipelines | 0.2 | 273,766 | ||||||
Gas | 0.2 | 264,499 | ||||||
Biotechnology | 0.2 | 263,168 | ||||||
Private Equity | 0.2 | 247,931 | ||||||
Home Furnishings | 0.1 | 235,673 | ||||||
Advertising | 0.1 | 222,152 | ||||||
Office & Business Equipment | 0.1 | 202,875 | ||||||
Leisure Time | 0.1 | 188,886 | ||||||
Iron/Steel | 0.1 | 181,857 | ||||||
Oil & Gas Services | 0.1 | 177,722 | ||||||
Energy-Alternate Sources | 0.1 | 144,480 | ||||||
Toys/Games/Hobbies | 0.1 | 139,417 | ||||||
Forest Products & Paper | 0.1 | 119,684 | ||||||
Holding Companies-Diversification | 0.1 | 104,282 | ||||||
Entertainment | 0.0 | 45,532 | ||||||
EXCHANGE TRADED FUNDS: | ||||||||
Other Investment Pools and Funds | 0.2 | 310,911 | ||||||
Diversified Financial Services | 0.1 | 229,605 | ||||||
PREFERRED STOCKS: | ||||||||
Cosmetics/Personal Care | 0.5 | 731,877 | ||||||
Semiconductors | 0.4 | 632,019 | ||||||
Chemicals | 0.3 | 534,632 | ||||||
Banks | 0.3 | 492,958 | ||||||
Telecommunications | 0.0 | 67,237 | ||||||
Iron/Steel | 0.0 | 45,997 | ||||||
Electric | 0.0 | 31,219 | ||||||
SHORT-TERM INVESTMENTS | 9.1 | 14,868,944 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.3 | 460,299 | ||||||
NET ASSETS | 100.0 | % | $ | 163,374,578 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments
August 31, 2019
Number of | Value | |||||||
COMMON STOCKS — 88.8% | ||||||||
Advertising — 0.1% | ||||||||
WPP, PLC | 18,778 | $ | 222,152 | |||||
Aerospace/Defense — 0.3% | ||||||||
Airbus SE, ADR | 4,324 | 148,832 | ||||||
BAE Systems PLC, SP ADR | 3,620 | 96,618 | ||||||
CAE, Inc. | 2,943 | 77,018 | ||||||
Embraer SA, SP ADR | 2,135 | 37,426 | ||||||
Rolls-Royce Holdings, PLC, SP ADR | 2,991 | 28,205 | ||||||
Rolls-Royce Holdings, PLC | 2,681 | 25,197 | ||||||
Safran SA | 231 | 33,551 | ||||||
Safran SA, ADR | 1,720 | 62,367 | ||||||
509,214 | ||||||||
Agriculture — 0.6% | ||||||||
British American Tabacco, PLC, SP ADR | 2,579 | 90,523 | ||||||
Imperial Brands, PLC, SP ADR | 4,738 | 123,141 | ||||||
Origin Enterprises, PLC | 147,132 | 784,268 | ||||||
997,932 | ||||||||
Airlines — 0.9% | ||||||||
Aeroflot PJSC | 21,076 | 34,674 | ||||||
Copa Holdings SA, Class A | 1,771 | 182,732 | ||||||
Latam Airlines Group SA, SP ADR | 7,024 | 58,229 | ||||||
Pegasus Hava Tasimaciligi AS* | 3,586 | 43,710 | ||||||
Ryanair Holding, PLC, SP ADR* | 18,883 | 1,081,996 | ||||||
1,401,341 | ||||||||
Apparel — 1.5% | ||||||||
Adidas AG, SP ADR | 892 | 132,413 | ||||||
Fila Korea Ltd. | 1,794 | 84,794 | ||||||
Gildan Activewear, Inc. | 2,356 | 86,418 | ||||||
Hermes International | 80 | 54,631 | ||||||
Kering SA, ADR | 360 | 17,485 | ||||||
Kering SA | 139 | 67,352 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,440 | 1,371,820 | ||||||
LVMH Moet Hennessy Louis Vuitton SE, ADR | 2,915 | 232,588 | ||||||
Shenzhou International Group Holdings, Ltd. | 26,039 | 353,279 | ||||||
2,400,780 | ||||||||
Auto Manufacturers — 0.6% | ||||||||
BYD Co., Ltd., ADR | 1,408 | 14,601 | ||||||
Daimler AG | 1,552 | 72,897 | ||||||
Ferrari NV | 366 | 57,736 | ||||||
Fiat Chrysler Automobiles NV | 4,285 | 56,305 | ||||||
Geely Automobile Holdings Ltd., ADR | 883 | 27,082 | ||||||
Geely Automobile Holdings Ltd. | 6,982 | 10,756 |
Number of | Value | |||||||
Auto Manufacturers — (Continued) | ||||||||
Hyundai Motor Co. | 427 | $ | 45,388 | |||||
Peugeot SA | 1,067 | 23,855 | ||||||
Subaru Corp. | 2,000 | 53,511 | ||||||
Suzuki Motor Corp. | 400 | 15,400 | ||||||
Tata Motors, Ltd., SP ADR* | 4,891 | 40,204 | ||||||
Toyota Motor Corp., SP ADR | 3,440 | 449,367 | ||||||
Volkswagen AG | 168 | 27,474 | ||||||
Volkswagen AG, ADR | 3,570 | 58,012 | ||||||
Volvo AB, Class B, ADR | 785 | 10,817 | ||||||
Volvo AB, Class B | 3,636 | 50,319 | ||||||
1,013,724 | ||||||||
Auto Parts & Equipment — 0.5% | ||||||||
Bridgestone Corp. | 1,219 | 46,165 | ||||||
Cie Generale des Etablissements Michelin SCA, ADR | 1,905 | 40,127 | ||||||
Continental AG | 83 | 10,016 | ||||||
Denso Corp., ADR | 660 | 13,814 | ||||||
Denso Corp. | 734 | 30,753 | ||||||
Fuyao Glass Industrials Group, Ltd.(a) | 116,000 | 329,976 | ||||||
Hyundai Mobis Co., Ltd. | 267 | 54,880 | ||||||
Mando Corp. | 2,597 | 73,253 | ||||||
Michelin | 299 | 31,479 | ||||||
Sumitomo Electric Industries, Ltd. | 2,800 | 32,925 | ||||||
Valeo SA, SP ADR | 1,646 | 22,534 | ||||||
Valeo SA | 664 | 18,169 | ||||||
704,091 | ||||||||
Banks — 8.2% | ||||||||
Abu Dhabi Community Bank. | 72,560 | 171,638 | ||||||
Agricultural Bank of China Ltd. | 130,000 | 49,979 | ||||||
Aozora Bank Ltd. | 1,000 | 23,084 | ||||||
Australia & New Zealand Banking Group, Ltd., SP ADR | 1,618 | 29,043 | ||||||
Australia & New Zealand Banking Group, Ltd. | 4,273 | 76,865 | ||||||
Banco do Brasil SA, SP ADR | 4,966 | 55,172 | ||||||
Banco Santander Brasil SA, ADR | 4,470 | 45,818 | ||||||
Banco Santander Chile, ADR | 3,575 | 101,530 | ||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, ADR | 6,639 | 41,693 | ||||||
Banco Santander SA, SP ADR | 26,482 | 99,307 | ||||||
Bangkok Bank PCL | 113,800 | 636,851 | ||||||
Bank Central Asia Tbk PT | 179,638 | 385,551 | ||||||
Bank Leumi Le Israel | 174,384 | 1,188,229 | ||||||
Bank Mandiri Persero Tbk PT, ADR | 6,234 | 62,434 | ||||||
Bank of China, Ltd. | 41,028 | 15,688 | ||||||
Bank of Ireland Group, PLC | 213,775 | 812,921 |
The accompanying notes are an integral part of the financial statements.
5
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Banks — (Continued) | ||||||||
Bank Rakyat Indonesia Persero Tbk PT, ADR | 2,219 | $ | 32,974 | |||||
Barclays, PLC, SP ADR | 6,946 | 46,121 | ||||||
BDO Unibank, Inc. | 83,500 | 238,926 | ||||||
BNP Paribas SA | 1,469 | 66,216 | ||||||
BNP Paribas SA, ADR | 3,020 | 68,010 | ||||||
CaixaBank SA | 8,352 | 18,952 | ||||||
China Construction Bank Corp. | 74,614 | 55,447 | ||||||
China Merchants Bank Co., Ltd. | 6,063 | 27,508 | ||||||
China Merchants Bank Co., Ltd., ADR | 554 | 12,559 | ||||||
China Minsheng Banking Corp., Ltd. | 77,000 | 50,593 | ||||||
CITIC, Ltd. | 15,542 | 18,375 | ||||||
Commercial International Bank Egypt SAE | 41,248 | 199,834 | ||||||
Commerzbank AG, SP ADR | 2,429 | 13,675 | ||||||
Commerzbank AG | 4,316 | 24,466 | ||||||
Commonwealth Bank Of Australia | 2,556 | 135,952 | ||||||
Commonweatlh Bank Of Australia, SP ADR | 334 | 17,712 | ||||||
Credicorp, Ltd. | 1,348 | 279,198 | ||||||
Credit Agricole SA | 2,988 | 34,061 | ||||||
Credit Suisse Group AG, SP ADR* | 9,439 | 110,248 | ||||||
Dah Sing Financial Holdings, Ltd. | 115,200 | 422,618 | ||||||
Danske Bank A/S | 1,799 | 23,684 | ||||||
Danske Bank A/S, SP ADR | 3,496 | 23,178 | ||||||
DBS Group Holdings, Ltd. | 55,600 | 980,400 | ||||||
DBS Group Holdings, Ltd., SP ADR | 2,231 | 156,817 | ||||||
DNB ASA, SP ADR | 1,877 | 30,201 | ||||||
DNB ASA | 2,001 | 32,237 | ||||||
Erste Group Bank AG* | 1,151 | 37,021 | ||||||
Erste Group Bank AG, SP ADR | 2,034 | 32,845 | ||||||
FirstRand, Ltd. | 11,220 | 44,397 | ||||||
Fukuoka Financial Group, Inc. | 2,000 | 34,351 | ||||||
Grupo Financiero Banorte SAB de CV, SP ADR | 1,841 | 49,615 | ||||||
Hang Seng Bank, Ltd. | 1,800 | 37,496 | ||||||
HDFC Bank, Ltd. | 31,940 | 998,525 | ||||||
HDFC Bank, Ltd., ADR | 3,123 | 336,659 | ||||||
HSBC Holdings, PLC, SP ADR | 8,995 | 322,921 | ||||||
ICICI Bank, Ltd., SP ADR | 60,845 | 683,289 | ||||||
Industrial & Commerical Bank China, Ltd., ADR | 1,942 | 24,314 | ||||||
Industrial & Commerical Bank China, Ltd. | 323,597 | 204,079 | ||||||
ING Groep NV, SP ADR | 10,206 | 97,467 | ||||||
Intesa Sanpaolo | 9,153 | 20,141 | ||||||
Intesa Sanpaolo SpA, SP ADR | 2,278 | 30,092 | ||||||
Kasikornbank PCL, ADR | 4,440 | 92,929 |
Number of | Value | |||||||
Banks — (Continued) | ||||||||
Kasikornbank PCL, NVDR | 18,111 | $ | 94,556 | |||||
Kotak Mahindra Bank, Ltd. | 11,719 | 235,067 | ||||||
Lloyds Banking Group PLC, ADR | 26,067 | 62,300 | ||||||
Macquarie Group, Ltd. | 679 | 56,607 | ||||||
Macquarie Group, Ltd., ADR | 272 | 22,566 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 2,387 | 23,723 | ||||||
Mitsubishi UFJ Financial Group Inc., SP ADR | 32,727 | 157,744 | ||||||
Mitsubishi UFJ Financial Group, Inc., SP ADR | 11,911 | 57,331 | ||||||
Mizuho Financial Group, Inc. | 35,600 | 51,728 | ||||||
National Australia Bank, Ltd. | 1,788 | 32,953 | ||||||
National Australia Bank, Ltd., SP ADR | 2,302 | 21,305 | ||||||
Nedbank Group, Ltd. | 1,180 | 17,594 | ||||||
Nedbank Group, Ltd., SP ADR | 627 | 9,330 | ||||||
Nordea Bank Abp | 93 | 580 | ||||||
OTP Bank, PLC | 5,719 | 228,043 | ||||||
Oversea-Chinese Bank Corp., Ltd. | 6,614 | 50,690 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 10,385 | 102,183 | ||||||
Resona Holdings, Inc. | 9,918 | 38,873 | ||||||
Royal Bank Canada | 3,528 | 263,753 | ||||||
Sberbank Russia, SP ADR | 14,617 | 200,691 | ||||||
Shinhan Financial Group Co., Ltd., ADR | 2,523 | 84,369 | ||||||
Shinhan Financial Group Co., Ltd. | 1,996 | 67,186 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 2,420 | 20,826 | ||||||
Societe Generale SA, SP ADR | 11,240 | 57,751 | ||||||
Societe Generale SA | 1,533 | 38,807 | ||||||
Standard Bank Group Ltd. | 10,733 | 125,580 | ||||||
Standard Chart, PLC | 4,927 | 37,442 | ||||||
Sumitomo Mitsui Financial Group Inc., SP ADR | 34,185 | 222,544 | ||||||
Toronto-Dominion Bank, (The) | 4,300 | 233,017 | ||||||
UBS Group AG* | 4,093 | 43,458 | ||||||
UBS Group AG-CVA* | 9,031 | 95,729 | ||||||
UniCredit SpA, ADR | 6,246 | 34,415 | ||||||
UniCredit SpA | 3,419 | 38,028 | ||||||
United Overseas Bank, Ltd., SP ADR | 1,440 | 51,797 | ||||||
United Overseas Bank, Ltd. | 3,027 | 54,356 | ||||||
Westpac Banking Corp., SP ADR | 13,894 | 263,708 | ||||||
Woori Financial Group, Inc. | 3,429 | 33,743 | ||||||
Woori Financial Group, Inc., SP ADR | 1,132 | 33,224 | ||||||
13,225,503 |
The accompanying notes are an integral part of the financial statements.
6
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Beverages — 4.5% | ||||||||
Ambev SA, ADR | 14,935 | $ | 67,805 | |||||
Anheuser-Busch InBev SA NV | 8,760 | 827,987 | ||||||
Anheuser-Busch InBev SA NV, SP ADR | 1,873 | 176,998 | ||||||
Asahi Group Holdings Ltd. | 800 | 37,296 | ||||||
Coca-Cola Amatil, Ltd. | 237,694 | 1,738,965 | ||||||
Coca-Cola Bottlers Japan Holdings Inc. | 1,000 | 21,719 | ||||||
Coca-Cola European Partners, PLC | 1,923 | 108,342 | ||||||
Compania Cervecerias Unidas SA, SP ADR | 4,606 | 104,096 | ||||||
Diageo, PLC | 42,852 | 1,834,651 | ||||||
Diageo, PLC, SP ADR | 1,670 | 286,038 | ||||||
Fomento Economico Mexicano SAB de CV, SP ADR | 843 | 77,016 | ||||||
Heineken Holding NV | 491 | 48,592 | ||||||
Heineken NV, SP ADR | 720 | 38,340 | ||||||
Heineken NV | 1,300 | 138,317 | ||||||
Kirin Holdings Co., Ltd., SP ADR | 2,224 | 43,702 | ||||||
Kirin Holdings Co., Ltd. | 1,057 | 20,861 | ||||||
Pernod Ricard SA | 330 | 63,000 | ||||||
Pernod Ricard SA, ADR | 1,910 | 72,962 | ||||||
Thai Beverage, PCL | 1,863,000 | 1,206,312 | ||||||
Wuliangye Yibin Co., Ltd., Class A | 25,669 | 508,270 | ||||||
7,421,269 | ||||||||
Biotechnology — 0.2% | ||||||||
BeiGene Ltd.*, ADR | 238 | 34,213 | ||||||
CSL Ltd. | 628 | 101,726 | ||||||
CSL Ltd., SP ADR | 1,030 | 83,327 | ||||||
Genmab A/S* | 184 | 37,613 | ||||||
H. Lundbeck A/S | 173 | 6,289 | ||||||
263,168 | ||||||||
Building Materials — 1.5% | ||||||||
Anhui Conch Cement Co., Ltd., ADR | 455 | 12,751 | ||||||
Anhui Conch Cement Co., Ltd. | 3,500 | 19,647 | ||||||
Cemex SAB de CV, SP ADR | 5,460 | 20,475 | ||||||
Cie de Saint-Gobain | 862 | 31,081 | ||||||
CRH, PLC | 27,245 | 911,826 | ||||||
CRH, PLC, SP ADR | 3,605 | 121,200 | ||||||
Daikin Industries, Ltd., ADR | 1,490 | 18,401 | ||||||
Daikin Industries, Ltd. | 149 | 18,423 | ||||||
Geberit AG | 90 | 41,031 | ||||||
HeidelbergCement AG | 617 | 42,847 | ||||||
Imerys SA | 579 | 23,642 | ||||||
LafargeHolcim, Ltd.* | 797 | 37,834 | ||||||
Semen Indonesia Persero Tbk PT, ADR | 2,553 | 47,460 | ||||||
Sika AG | 7,511 | 1,081,044 |
Number of | Value | |||||||
Building Materials — (Continued) | ||||||||
TOTO Ltd. | 365 | $ | 13,190 | |||||
2,440,852 | ||||||||
Chemicals — 3.7% | ||||||||
Air Liquide SA | 13,636 | 1,899,904 | ||||||
Air Liquide SA, ADR | 1,610 | 44,919 | ||||||
Akzo Nobel NV, SP ADR | 1,443 | 43,088 | ||||||
Akzo Nobel NV | 417 | 37,378 | ||||||
Asian Paints Ltd. | 4,768 | 108,050 | ||||||
Covestro AG, SP ADR | 736 | 16,692 | ||||||
Croda International PLC | 18,230 | 1,046,547 | ||||||
Fuchs Petrolub SE | 14,943 | 513,753 | ||||||
Givaudan SA | 27 | 73,217 | ||||||
Givaudan SA, ADR | 600 | 32,490 | ||||||
Kansai Paint Co., Ltd. | 1,360 | 28,267 | ||||||
Kingboard Holdings Ltd. | 6,500 | 15,178 | ||||||
Kuraray Co., Ltd. | 8 | 91 | ||||||
LG Chem, Ltd. | 190 | 51,980 | ||||||
Mitsubishi Chemical Holdings Corp. | 6,000 | 41,127 | ||||||
Mitsubishi Gas Chemical Co, Inc. | 3,000 | 36,021 | ||||||
Mitsui Chemicals, Inc. | 1,022 | 21,803 | ||||||
Nippon Paint Holdings Co., Ltd. | 422 | 19,943 | ||||||
Novozymes A/S | 15,151 | 645,875 | ||||||
Novozymes A/S, ADR | 573 | 24,339 | ||||||
Nutrien, Ltd. | 2,400 | 120,864 | ||||||
Sasol Ltd. | 1,347 | 25,535 | ||||||
Sasol Ltd., SP ADR | 3,143 | 59,466 | ||||||
Shin Etsu Chemical Co., Ltd., ADR | 2,744 | 69,094 | ||||||
Shin-Etsu Chemical Co., Ltd. | 654 | 65,874 | ||||||
Umicore SA, ADR | 3,052 | 24,355 | ||||||
UPL Ltd. | 102,537 | 808,735 | ||||||
Yara International ASA | 3,202 | 138,758 | ||||||
6,013,343 | ||||||||
Commercial Services — 4.5% | ||||||||
Adecco Group AG | 374 | 19,744 | ||||||
Afya Ltd., Class A* | 2,549 | 55,823 | ||||||
ALD SA(a) | 43,354 | 650,043 | ||||||
Amadeus IT Group SA, ADR | 460 | 34,362 | ||||||
Amadeus IT Holdings SA | 9,710 | 724,080 | ||||||
Atlantia SpA | 534 | 13,048 | ||||||
Experian PLC, SP ADR | 2,262 | 69,647 | ||||||
Experian, PLC | 2,543 | 78,211 | ||||||
IHS Markit, Ltd.* | 6,980 | 457,958 | ||||||
Intertek Group, PLC | 23,392 | 1,550,681 | ||||||
IWG, PLC | 119,498 | 607,070 | ||||||
New Oriental Education & Tech Group Inc., SP ADR* | 3,044 | 345,189 | ||||||
Recruit Holdings Co., Ltd. | 1,992 | 60,318 | ||||||
RELX, PLC | 67,207 | 1,612,713 |
The accompanying notes are an integral part of the financial statements.
7
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Commercial Services — (Continued) | ||||||||
RELX, PLC, SP ADR | 5,023 | $ | 120,803 | |||||
Secom Co., Ltd. | 358 | 30,504 | ||||||
SGS SA | 299 | 736,513 | ||||||
TAL Education Group, ADR* | 1,488 | 53,017 | ||||||
Transurban Group | 6,366 | 64,079 | ||||||
Wirecard AG | 156 | 24,995 | ||||||
7,308,798 | ||||||||
Computers — 0.4% | ||||||||
CGI, Inc.* | 1,680 | 131,846 | ||||||
Globant S.A.* | 1,278 | 121,321 | ||||||
Infosys Ltd., SP ADR | 18,699 | 214,852 | ||||||
Tata Consultancy Services, Ltd. | 3,851 | 121,860 | ||||||
Wipro Ltd., ADR | 843 | 3,220 | ||||||
593,099 | ||||||||
Cosmetics/Personal Care — 1.6% | ||||||||
Essity AB | 1,117 | 34,893 | ||||||
Kao Corp., ADR | 2,590 | 37,374 | ||||||
Kao Corp. | 1,250 | 90,199 | ||||||
LG Household & Health Care, Ltd. | 214 | 208,780 | ||||||
L’Oreal SA | 68 | 18,568 | ||||||
L’Oreal SA, ADR | 3,400 | 185,538 | ||||||
Shiseido Co., Ltd. | 626 | 51,156 | ||||||
Shiseido Co., Ltd., SP ADR | 495 | 40,392 | ||||||
Unicharm Corp. | 1,087 | 33,369 | ||||||
Unilever NV | 2,067 | 128,340 | ||||||
Unilever NV-CVA | 29,662 | 1,840,470 | ||||||
2,669,079 | ||||||||
Distribution/Wholesale — 1.0% | ||||||||
Bunzl, PLC | 53,851 | 1,320,816 | ||||||
ITOCHU Corp., ADR | 426 | 16,925 | ||||||
ITOCHU Corp. | 3,700 | 73,714 | ||||||
Jardine Cycle & Carriage Ltd. | 974 | 21,635 | ||||||
Mitsubishi Corp., SP ADR | 413 | 20,040 | ||||||
Mitsubishi Corp. | 881 | 21,427 | ||||||
Mitsui & Co., Ltd., SP ADR | 37 | 11,600 | ||||||
Mitsui & Co., Ltd. | 5,159 | 80,708 | ||||||
Sumitomo Corp. | 15 | 225 | ||||||
Toyota Tsusho Corp. | 1,400 | 43,359 | ||||||
1,610,449 | ||||||||
Diversified Financial Services — 2.5% | ||||||||
B3 SA - Brasil Bolsa Balcao | 12,604 | 136,997 | ||||||
BOC Aviation Ltd.(a) | 6,600 | 57,263 | ||||||
Capitec Bank Holdings Ltd. | 2,160 | 155,912 | ||||||
Deutsche Boerse AG, ADR | 3,350 | 49,044 | ||||||
Deutsche Boerse AG | 8,409 | 1,235,557 | ||||||
Hong Kong Exchange & Clearing, Ltd., ADR | 1,137 | 34,838 | ||||||
Hong Kong Exchange & Clearing, Ltd. | 5,349 | 163,245 |
Number of | Value | |||||||
Diversified Financial Services — (Continued) | ||||||||
Housing Development Finance Corp. Ltd. | 6,369 | $ | 193,499 | |||||
Japan Exchange Group, Inc., ADR | 55,800 | 882,267 | ||||||
Julius Baer Group Ltd., ADR* | 3,350 | 26,264 | ||||||
Julius Baer Group Ltd.* | 858 | 34,054 | ||||||
KB Financial Group, Inc., ADR | 4,352 | 141,483 | ||||||
London Stock Exchange Group PLC, ADR | 2,464 | 52,015 | ||||||
London Stock Exchange Group, PLC | 791 | 67,096 | ||||||
Network International Holdings PLC*(a) | 2,656 | 19,576 | ||||||
Noah Holdings, Ltd., SP ADR* | 789 | 23,670 | ||||||
ORIX Corp., SP ADR | 1,073 | 79,252 | ||||||
ORIX Corp. | 53 | 782 | ||||||
Pagseguro Digital, Ltd., Class A* | 1,985 | 99,171 | ||||||
Rathbone Brothers, PLC | 20,731 | 562,527 | ||||||
4,014,512 | ||||||||
Electric — 0.6% | ||||||||
AGL Energy Ltd. | 1,892 | 24,119 | ||||||
CLP Holdings, Ltd. | 1,947 | 20,037 | ||||||
E.ON SE, SP ADR | 4,225 | 38,997 | ||||||
E.ON SE | 2,520 | 23,445 | ||||||
Endesa SA | 2,751 | 70,703 | ||||||
Enel SpA | 6,768 | 49,100 | ||||||
Fortis, Inc. | 5,996 | 247,455 | ||||||
Iberdrola SA, SP ADR | 1,618 | 66,775 | ||||||
Iberdrola SA | 8,686 | 89,414 | ||||||
Korea Electric Power Corp., SP ADR* | 9,425 | 100,188 | ||||||
Orsted A/S(a) | 381 | 36,361 | ||||||
Power Assets Holdings, Ltd. | 8,000 | 53,195 | ||||||
RWE AG | 1,019 | 29,048 | ||||||
Sembcorp Industries, Ltd. | 307 | 457 | ||||||
SSE PLC, SP ADR | 5,415 | 76,027 | ||||||
Transmissora Alianca de Energia Eletrica SA | 11,286 | 75,794 | ||||||
1,001,115 | ||||||||
Electrical Components & Equipment — 0.7% | ||||||||
Delta Electronics, Inc. | 48,281 | 225,048 | ||||||
Legrand SA, ADR* | 1,125 | 15,887 | ||||||
Legrand SA | 12,128 | 856,262 | ||||||
Schneider Electric SE | 698 | 58,467 | ||||||
Schneider Electric SE, ADR | 4,025 | 67,419 | ||||||
1,223,083 | ||||||||
Electronics — 1.9% | ||||||||
AAC Technologies Holdings, Inc., ADR | 2,903 | 12,323 | ||||||
AAC Technologies Holdings, Inc. | 5,000 | 21,475 |
The accompanying notes are an integral part of the financial statements.
8
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Electronics — (Continued) | ||||||||
Assa Abloy AB, ADR | 3,966 | $ | 41,350 | |||||
Assa Abloy AB, Class B | 71,286 | 1,488,035 | ||||||
Halma, PLC | 41,110 | 985,993 | ||||||
Hirose Electric Co., Ltd. | 127 | 14,412 | ||||||
Hon Hai Precision | 56,353 | 133,024 | ||||||
Hoya Corp., SP ADR | 487 | 39,413 | ||||||
Hoya Corp. | 670 | 54,474 | ||||||
Kyocera Corp., SP ADR | 743 | 44,082 | ||||||
Kyocera Corp. | 900 | 53,417 | ||||||
Murata Manufacturing Co., Ltd., ADR | 5,048 | 52,297 | ||||||
Murata Manufacturing Co., Ltd. | 1,119 | 46,520 | ||||||
Nidec Corp., SP ADR | 2,188 | 71,416 | ||||||
Nidec Corp. | 339 | 44,112 | ||||||
3,102,343 | ||||||||
Energy-Alternate Sources — 0.1% | ||||||||
LONGi Green Energy* | 25,900 | 100,225 | ||||||
Vestas Wind Systems A/S, ADR | 1,119 | 27,416 | ||||||
Vestas Wind Systems A/S | 229 | 16,839 | ||||||
144,480 | ||||||||
Engineering & Construction — 0.2% | ||||||||
ACS Actividades de Construccion y Servicios SA | 976 | 36,933 | ||||||
Bouygues SA | 663 | 25,185 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, ADR | 302 | 44,512 | ||||||
Kajima Corp. | 2,921 | 35,506 | ||||||
Keppel Corp., Ltd. | 9,000 | 37,825 | ||||||
LendLease Group | 2,252 | 25,861 | ||||||
Shimizu Corp. | 3,000 | 24,991 | ||||||
Sydney Airport | 8,427 | 47,792 | ||||||
Vinci SA | 597 | 65,226 | ||||||
Vinci SA, ADR | 2,316 | 63,250 | ||||||
407,081 | ||||||||
Entertainment — 0.0% | ||||||||
Oriental Land Co., Ltd. | 313 | 45,532 | ||||||
Food — 3.1% | ||||||||
Aeon Co., Ltd. | 676 | 11,982 | ||||||
Carrefour SA | 1,262 | 21,508 | ||||||
China Mengniu Dairy Co., Ltd.* | 52,748 | 208,668 | ||||||
Danone SA, SP ADR | 10,290 | 183,882 | ||||||
Foshan Haitian Flavouring & Food Co., Ltd., Class A | 8,469 | 135,874 | ||||||
Glanbia, PLC | 60,629 | 664,675 | ||||||
J Sainsbury PLC | 8,762 | 20,966 | ||||||
Kerry Group, PLC, Class A | 5,642 | 671,549 | ||||||
Koninklijke Ahold Delhaize NV | 696 | 16,304 | ||||||
Koninklijke Ahold Delhaize NV, SP ADR | 4,031 | 94,519 | ||||||
Marine Harvest | 1,676 | 40,091 |
Number of | Value | |||||||
Food — (Continued) | ||||||||
Mowi ASA, SP ADR | 803 | $ | 19,256 | |||||
Nestle India Ltd. | 607 | 109,486 | ||||||
Nestle SA | 8,778 | 986,423 | ||||||
Nestle SA, SP ADR | 6,845 | 769,309 | ||||||
Seven & i Holdings Co., Ltd. | 28,100 | 993,795 | ||||||
Tesco, PLC, SP ADR | 7,867 | 63,093 | ||||||
Tesco, PLC | 12,787 | 34,178 | ||||||
Woolworths Group, Ltd. | 2,137 | 54,363 | ||||||
5,099,921 | ||||||||
Food Service — 0.8% | ||||||||
Compass Group, PLC, SP ADR | 3,508 | 88,788 | ||||||
Compass Group, PLC | 50,764 | 1,287,491 | ||||||
1,376,279 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Smurfit Kappa Group PLC, ADR | 1,402 | 43,140 | ||||||
Suzano Papel e Celulose SA, SP ADR | 2,388 | 33,575 | ||||||
UPM-Kymmene Corp. | 1,590 | 42,969 | ||||||
119,684 | ||||||||
Gas — 0.2% | ||||||||
China Gas Holdings, Ltd. | 2,999 | 12,363 | ||||||
Hong Kong & China Gas Co., Ltd. | 19,800 | 38,182 | ||||||
National Grid PLC | 2,867 | 30,031 | ||||||
National Grid, PLC, SP ADR | 2,605 | 136,267 | ||||||
Snam SpA | 9,397 | 47,656 | ||||||
264,499 | ||||||||
Hand/Machine Tools — 0.2% | ||||||||
Sandvik AB | 3,286 | 47,197 | ||||||
Schindler Holding AG | 216 | 49,073 | ||||||
Techtronic Industrials Co., Ltd. | 34,738 | 239,613 | ||||||
Techtronic Industries Co., Ltd., SP ADR | 706 | 24,202 | ||||||
360,085 | ||||||||
Healthcare-Products — 0.9% | ||||||||
Alcon, Inc., CVA* | 15,619 | 949,810 | ||||||
Alcon, Inc.* | 1,629 | 99,304 | ||||||
Coloplast A/S, ADR | 1,070 | 12,712 | ||||||
Coloplast A/S | 327 | 38,981 | ||||||
Essilor International Cie Generale d’Opitque SA | 384 | 56,697 | ||||||
EssilorLuxottica SA, ADR | 1,096 | 80,852 | ||||||
Koninklijke Philips NV | 2,544 | 119,771 | ||||||
Sysmex Corp., ADR | 450 | 14,265 | ||||||
Terumo Corp. | 1,362 | 39,522 | ||||||
1,411,914 | ||||||||
Healthcare-Services — 0.8% | ||||||||
Aier Eye Hospital Group Co., Ltd., Class A | 24,238 | 114,614 | ||||||
Apollo Hospitals Enterprise Ltd. | 4,306 | 90,940 |
The accompanying notes are an integral part of the financial statements.
9
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Healthcare-Services — (Continued) | ||||||||
Fresenius Medical Care AG & Co., KGaA | 6,429 | $ | 432,658 | |||||
Fresenius Medical Care AG & Co., KGaA, ADR | 1,806 | 60,681 | ||||||
Fresenius SE & Co., KGaA | 707 | 34,367 | ||||||
Lonza Group AG, ADR | 370 | 13,100 | ||||||
Lonza Group AG* | 182 | 64,598 | ||||||
Notre Dame Intermedica Participacoes SA | 18,940 | 247,990 | ||||||
Sonic Healthcare Ltd. | 2,543 | 50,340 | ||||||
Sonic Healthcare Ltd., SP ADR | 1,113 | 22,098 | ||||||
Wuxi Biologics Cayman, Inc.*(a) | 17,680 | 185,560 | ||||||
1,316,946 | ||||||||
Holding Companies-Diversification — 0.1% | ||||||||
CK Hutchison Holdings, Ltd. | 6,000 | 52,157 | ||||||
Jardine Matheson Holdings, Ltd. | 293 | 15,932 | ||||||
KOC Holding AS, ADR | 824 | 12,294 | ||||||
Swire Pacific, Ltd., Class A | 2,443 | 23,899 | ||||||
104,282 | ||||||||
Home Builders — 0.7% | ||||||||
Daiwa House Industry Co., Ltd. | 730 | 22,867 | ||||||
Daiwa House Industry Co., Ltd., ADR | 1,099 | 34,393 | ||||||
Sekisui Chemical Co., Ltd. | 58,400 | 840,167 | ||||||
WHA Corp. PCL, NVDR | 1,060,257 | 170,106 | ||||||
1,067,533 | ||||||||
Home Furnishings — 0.1% | ||||||||
Electrolux AB | 972 | 21,752 | ||||||
Panasonic Corp. | 20 | 154 | ||||||
Sharp Corp. | 3,000 | 30,858 | ||||||
Sony Corp., SP ADR | 3,214 | 182,909 | ||||||
235,673 | ||||||||
Household Products/Wares — 0.4% | ||||||||
Henkel Ag & Co., KGaA | 375 | 34,713 | ||||||
Henkel AG & Co., KGaA, SP ADR | 1,004 | 23,147 | ||||||
Reckitt Benckiser Group, SP ADR | 12,050 | 190,149 | ||||||
Societe BIC SA | 5,700 | 364,231 | ||||||
612,240 | ||||||||
Insurance — 5.8% | ||||||||
AIA Group, Ltd. | 98,154 | 949,813 | ||||||
AIA Group, Ltd., SP ADR | 8,023 | 310,169 | ||||||
Allianz SE, SP ADR | 8,370 | 184,140 | ||||||
Aon, PLC | 13,800 | 2,688,930 | ||||||
Assic Generali SpA | 2,795 | 50,806 | ||||||
AXA SA | 709 | 16,258 | ||||||
AXA SA, SP ADR | 3,387 | 77,528 | ||||||
Cathay Financials Holdings Co., Ltd. | 38,000 | 48,554 | ||||||
China Life Insurance Co., Ltd., ADR | 6,322 | 73,778 |
Number of | Value | |||||||
Insurance — (Continued) | ||||||||
China Pacific Insurance Group Co., Ltd. | 12,200 | $ | 48,697 | |||||
Fosun International Ltd. | 25,500 | 32,687 | ||||||
Hannover Rueck SE | 286 | 45,560 | ||||||
ICICI Lombard General Insurance Co., Ltd.(a) | 7,935 | 139,819 | ||||||
Japan Post Holdings Co., Ltd. | 1,215 | 11,041 | ||||||
Lancashire Holdings, Ltd. | 152,389 | 1,262,726 | ||||||
Legal & General Group PLC | 24,158 | 64,724 | ||||||
Manulife Finanical Corp. | 6,692 | 111,154 | ||||||
MS&AD Insurance Group Holdings, Inc. | 1,600 | 50,784 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 293 | 70,152 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, ADR | 2,550 | 61,072 | ||||||
NN Group NV | 245 | 8,210 | ||||||
Ping An Insurance Group Co. of China, Ltd., ADR | 4,986 | 114,578 | ||||||
Ping An Insurance Group Co. of China, Ltd. | 52,988 | 607,932 | ||||||
Prudential, PLC, ADR | 2,986 | 99,703 | ||||||
QBE Insurance Group Ltd., SP ADR | 5,619 | 47,593 | ||||||
Sampo Oyj, Class A, ADR* | 1,628 | 32,300 | ||||||
Sampo, Class A, PLC | 24,746 | 983,182 | ||||||
SCOR SE | 784 | 31,280 | ||||||
Sompo Holdings, Inc. | 1,000 | 39,865 | ||||||
Sun Life Financial, Inc. | 2,970 | 121,800 | ||||||
Suncorp Group, Ltd. | 6,125 | 56,863 | ||||||
Swiss Life Holding AG | 124 | 58,965 | ||||||
Swiss Re AG, SP ADR | 1,000 | 24,090 | ||||||
Swiss Re AG | 569 | 54,894 | ||||||
Tokio Marine Holdings, Inc. | 1,150 | 59,145 | ||||||
Tokio Marine Holdings, Inc., ADR | 620 | 31,955 | ||||||
Topdanmark AS | 17,182 | 853,423 | ||||||
9,524,170 | ||||||||
Internet — 3.0% | ||||||||
58.com, Inc., ADR* | 703 | 37,814 | ||||||
Alibaba Group Holdings, Ltd., SP ADR* | 7,453 | 1,304,499 | ||||||
Baidu, Inc., SP ADR* | 934 | 97,575 | ||||||
Baozun, Inc., SP ADR* | 512 | 23,429 | ||||||
China Literature, Ltd.*(a) | 6,400 | 19,605 | ||||||
Ctrip.com International, Ltd., ADR | 2,105 | 68,160 | ||||||
iQIYI, Inc., ADR* | 1,374 | 25,131 | ||||||
JD.com, Inc., ADR* | 2,393 | 72,987 | ||||||
LINE Corp., SP ADR* | 1,409 | 49,780 | ||||||
LINE Corp.* | 99 | 3,493 |
The accompanying notes are an integral part of the financial statements.
10
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Internet — (Continued) | ||||||||
Meituan Dianping, Class B* | 18,170 | $ | 171,944 | |||||
Naspers, Ltd. | 1,750 | 398,240 | ||||||
Naspers, Ltd., SP ADR | 2,560 | 115,840 | ||||||
Naver Corp. | 466 | 56,451 | ||||||
Rakuten, Inc. | 2,559 | 24,078 | ||||||
Tencent Holdings, Ltd. | 41,441 | 1,710,914 | ||||||
Tencent Holdings, Ltd., ADR | 12,251 | 505,599 | ||||||
Vipshop Holdings, Ltd. ADR* | 4,069 | 34,058 | ||||||
Yandex NV, Class A* | 5,474 | 203,085 | ||||||
YY, Inc., ADR* | 516 | 29,489 | ||||||
4,952,171 | ||||||||
Investment Companies — 2.6% | ||||||||
Groupe Bruxelles Lambert SA | 26,379 | 2,464,955 | ||||||
Kinnevik AB | 849 | 23,157 | ||||||
Melrose Industries, PLC | 789,924 | 1,745,917 | ||||||
4,234,029 | ||||||||
Iron/Steel — 0.1% | ||||||||
Nippon Steel & Sumitomo Metal Corp. | 2,568 | 35,864 | ||||||
Posco, SP ADR | 496 | 21,635 | ||||||
thyssenkrupp AG | 2,008 | 24,610 | ||||||
Vale SA, SP ADR | 9,068 | 99,748 | ||||||
181,857 | ||||||||
Leisure Time — 0.1% | ||||||||
Giant Manufacturing Co., Ltd. | 18,328 | 127,616 | ||||||
Shimano, Inc. | 236 | 33,897 | ||||||
TUI AG | 2,749 | 27,373 | ||||||
188,886 | ||||||||
Lodging — 0.9% | ||||||||
City Developments Ltd. | 2,005 | 13,827 | ||||||
Galaxy Entertainment Group Ltd. | 5,151 | 32,237 | ||||||
Huazhu Group, Ltd., ADR | 1,213 | 40,065 | ||||||
InterContinental Hotels Group PLC | 21,206 | 1,327,298 | ||||||
Melco Resorts & Entertainment, Ltd. ADR | 2,462 | 51,210 | ||||||
Sands China, Ltd., ADR | 218 | 9,889 | ||||||
Sands China, Ltd. | 8,636 | 39,097 | ||||||
Whitbread PLC, SP ADR | 964 | 12,869 | ||||||
Whitbread, PLC | 139 | 7,412 | ||||||
1,533,904 | ||||||||
Machinery-Construction & Mining — 0.3% | ||||||||
Hitachi Ltd., ADR | 750 | 51,022 | ||||||
Hitachi Ltd. | 1,901 | 64,848 | ||||||
Komatsu Ltd. SP ADR | 3,958 | 83,514 | ||||||
Komatsu Ltd. | 1,700 | 35,999 | ||||||
Mitsubishi Electical Corp. | 3,000 | 36,109 | ||||||
Mitsubishi Electric Corp., ADR | 1,350 | 32,400 | ||||||
Mitsubishi Heavy Industries, Ltd. | 948 | 35,587 |
Number of | Value | |||||||
Machinery-Construction & Mining — (Continued) | ||||||||
Sandvik AB, SP ADR | 960 | $ | 13,776 | |||||
Sany Heavy Industry Co., Ltd., Class A | 77,021 | 145,292 | ||||||
498,547 | ||||||||
Machinery-Diversified — 2.2% | ||||||||
Amada Co., Ltd. | 58,400 | 607,057 | ||||||
Atlas Copco AB, Class A | 1,701 | 50,857 | ||||||
Atlas Copco AB, Class A, SP ADR | 1,656 | 49,730 | ||||||
Fanuc Corp., ADR | 3,060 | 52,724 | ||||||
GEA Group AG | 32,946 | 888,044 | ||||||
Keyence Corp. | 307 | 181,406 | ||||||
KION Group AG | 316 | 15,314 | ||||||
Kone Corp., Class B | 13,412 | 776,135 | ||||||
SMC Corp. | 110 | 41,470 | ||||||
SMC Corp. , SP ADR | 2,280 | 42,828 | ||||||
Spirax-Sarco Engineering, PLC | 8,248 | 808,313 | ||||||
3,513,878 | ||||||||
Media — 1.4% | ||||||||
Informa, PLC, SP ADR | 616 | 13,223 | ||||||
Informa, PLC | 5,071 | 53,709 | ||||||
Liberty Media Corp-Liberty Formula One* | 4,628 | 193,173 | ||||||
MultiChoice Group, Ltd., ADR* | 93 | 805 | ||||||
Shaw Communications, Inc. | 6,416 | 121,968 | ||||||
Thomson Reuters Corp. | 1,419 | 97,457 | ||||||
Vivendi SA | 1,715 | 47,958 | ||||||
Vivendi SA, ADR | 1,092 | 30,543 | ||||||
Wolters Kluwer | 24,278 | 1,747,663 | ||||||
Wolters Kluwer NV, SP ADR | 667 | 47,877 | ||||||
2,354,376 | ||||||||
Mining — 0.7% | ||||||||
Anglo American, PLC, SP ADR | 2,842 | 30,566 | ||||||
Anglo American, PLC | 1,881 | 40,760 | ||||||
Antofagasta, PLC | 4,122 | 43,572 | ||||||
Barrick Gold Corp. | 6,196 | 120,078 | ||||||
BHP Billiton Ltd., SP ADR | 5,810 | 285,620 | ||||||
Franco-Nevada Corp. | 1,038 | 101,371 | ||||||
Newcrest Mining Ltd., SP ADR | 1,347 | 33,473 | ||||||
Newcrest Mining Ltd. | 1,769 | 44,214 | ||||||
Rio Tinto, PLC, SP ADR | 3,618 | 182,998 | ||||||
Teck Resources, Ltd., Class B | 2,752 | 46,867 | ||||||
Vedanta, Ltd., ADR | 7,526 | 59,154 | ||||||
Wheaton Precious Metals Corp. | 8,043 | 236,545 | ||||||
1,225,218 | ||||||||
Miscellaneous Manufacturing — 1.1% | ||||||||
Largan Precision Co., Ltd. | 322 | 39,983 | ||||||
Pidilite Industries Ltd. | 4,606 | 88,878 | ||||||
Siemens AG, SP ADR | 3,976 | 198,442 |
The accompanying notes are an integral part of the financial statements.
11
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Miscellaneous Manufacturing — (Continued) | ||||||||
Smiths Group, PLC, SP ADR | 1,646 | $ | 33,299 | |||||
Smiths Group, PLC | 71,567 | 1,458,416 | ||||||
Sunny Optical Technology Group Co., Ltd. | 1,469 | 20,223 | ||||||
Toshiba Corp. | 1,047 | 32,496 | ||||||
1,871,737 | ||||||||
Office & Business Equipment — 0.1% | ||||||||
Canon, Inc., SP ADR | 7,833 | 202,875 | ||||||
Oil & Gas — 3.7% | ||||||||
BP, PLC, SP ADR | 1,050 | 38,797 | ||||||
Canadian Natural Resources, Ltd. | 891 | 21,295 | ||||||
Cenovus Energy, Inc. | 4,155 | 36,273 | ||||||
CNOOC, Ltd., SP ADR | 545 | 80,791 | ||||||
DCC, PLC | 31,721 | 2,703,339 | ||||||
Ecopetrol SA, SP ADR | 3,252 | 51,349 | ||||||
Eni SpA | 33,119 | 499,879 | ||||||
Eni SpA, SP ADR | 4,701 | 141,970 | ||||||
Equinor ASA | 1,752 | 29,877 | ||||||
Equinor ASA, SP ADR | 4,555 | 77,481 | ||||||
Gazprom PJSC, SP ADR | 11,174 | 76,989 | ||||||
Idemitsu Kosan Co., Ltd. | 58 | 1,555 | ||||||
JXTG Holdings, Inc. | 6,600 | 27,228 | ||||||
Lukoil , PJSC, SP ADR | 3,958 | 320,123 | ||||||
Lundin Petroleum AB | 909 | 27,716 | ||||||
Neste Oyj | 756 | 23,847 | ||||||
Novatek PJSC, SP GDR | 1,196 | 231,259 | ||||||
Petroleo Brasileiro, SP ADR | 15,398 | 208,643 | ||||||
Reliance Industries Ltd. | 12,270 | 214,633 | ||||||
Repsol SA | 2,180 | 31,718 | ||||||
Repsol SA, SP ADR | 7,733 | 111,974 | ||||||
Royal Dutch Shell, PLC, Class A, SP ADR | 9,764 | 542,878 | ||||||
Suncor Energy, Inc. | 5,850 | 170,996 | ||||||
Total SA, SP ADR | 5,452 | 272,164 | ||||||
Woodside Petroleum, Ltd. | 2,311 | 49,916 | ||||||
Woodside Petroleum, Ltd., SP ADR | 743 | 15,900 | ||||||
6,008,590 | ||||||||
Oil & Gas Services — 0.1% | ||||||||
Dialog Group Bhd | 191,051 | 157,895 | ||||||
John Wood Group PLC | 4,304 | 19,827 | ||||||
177,722 | ||||||||
Pharmaceuticals — 7.5% | ||||||||
Alfresa Holdings Corp. | 66,800 | 1,510,888 | ||||||
Astellas Pharma, Inc., ADR | 1,987 | 27,381 | ||||||
Astellas Pharma, Inc. | 3,700 | 51,073 | ||||||
AstraZeneca, PLC, SP ADR | 5,764 | 259,553 | ||||||
Bayer AG | 1,297 | 96,398 | ||||||
Bayer AG, SP ADR | 3,620 | 67,368 |
Number of | Value | |||||||
Pharmaceuticals — (Continued) | ||||||||
Celltrion, Inc.* | 174 | $ | 22,632 | |||||
Chugai Pharmaceutical Co., Ltd. | 700 | 49,994 | ||||||
CSPC Pharmaceutical Group, Ltd. | 77,862 | 155,137 | ||||||
Daiichi Sankyo Co., Ltd. | 916 | 60,413 | ||||||
Daiichi Sankyo Co., Ltd., SP ADR | 292 | 19,301 | ||||||
Dr. Reddy’s Laboratories, Ltd., ADR | 3,953 | 141,320 | ||||||
Eisai Co., Ltd., SP ADR | 206 | 10,498 | ||||||
Eisai Co., Ltd. | 92 | 4,695 | ||||||
Glaxosmithkline, PLC | 61,290 | 1,277,242 | ||||||
Glaxosmithkline, PLC, SP ADR | 6,006 | 249,729 | ||||||
Kobayashi Pharmaceutical Co., Ltd. | 471 | 35,245 | ||||||
Merck KGaA | 587 | 62,889 | ||||||
Novartis AG | 18,529 | 1,670,477 | ||||||
Novartis AG, SP ADR | 17,711 | 1,595,938 | ||||||
Novo-Nordisk AS, SP ADR | 4,286 | 223,343 | ||||||
Orion Corporation, Class B | 672 | 24,975 | ||||||
Recordati SpA | 24,240 | 1,063,581 | ||||||
Roche Holdings AG | 3,915 | 1,069,814 | ||||||
Roche Holdings AG, SP ADR | 12,016 | 410,707 | ||||||
Sanofi | 18,565 | 1,594,871 | ||||||
Sanofi, ADR | 4,424 | 190,011 | ||||||
Shionogi & Co., Ltd. | 227 | 12,150 | ||||||
Takeda Pharmaceutical Co., Ltd., SP ADR | 8,374 | 141,186 | ||||||
UCB SA | 21 | 1,569 | ||||||
12,100,378 | ||||||||
Pipelines — 0.2% | ||||||||
Enbridge, Inc. | 5,698 | 190,655 | ||||||
TC Energy Corp. | 1,622 | 83,111 | ||||||
273,766 | ||||||||
Private Equity — 0.2% | ||||||||
3i Group, PLC | 3,463 | 46,295 | ||||||
Macquarie Korea Infrastructure Fund | 15,512 | 147,916 | ||||||
Partners Group Holding AG | 66 | 53,720 | ||||||
247,931 | ||||||||
Real Estate — 0.8% | ||||||||
CapitaLand, Ltd. | 5,654 | 14,130 | ||||||
China Evergrande Group | 7,111 | 14,679 | ||||||
China Overseas Land & Investment, Ltd. | 13,605 | 42,917 | ||||||
China Resources Land Ltd. | 1,714 | 6,949 | ||||||
CK Asset Holdings Ltd. | 1,638 | 11,093 | ||||||
Country Garden Holdings Co., Ltd. | 31,000 | 38,393 | ||||||
Country Garden Services Holdings Co., Ltd. | 46,540 | 134,243 |
The accompanying notes are an integral part of the financial statements.
12
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Real Estate — (Continued) | ||||||||
Daito Trust Construction Co., Ltd., SP ADR | 392 | $ | 12,619 | |||||
Great Eagle Holdings, Ltd. | 193,662 | 716,164 | ||||||
Longfor Group Holdings, Ltd.(a) | 6,500 | 23,114 | ||||||
Mitsubishi Estate Co., Ltd., ADR | 717 | 13,695 | ||||||
Mitsubishi Estate Co., Ltd. | 2,000 | 38,260 | ||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 47,883 | ||||||
REA Group Ltd. | 633 | 44,457 | ||||||
Shanghai Industrial Holdings Ltd. | 20,000 | 38,921 | ||||||
Sun Hung Kai Properties Ltd. | 472 | 6,672 | ||||||
Sun Hung Kai Properties Ltd., SP ADR | 1,748 | 24,559 | ||||||
Sunac China Holdings Ltd. | 261 | 1,041 | ||||||
UOL Group, Ltd. | 8,000 | 42,305 | ||||||
Vonovia SE | 1,036 | 51,696 | ||||||
Wharf Real Estate Investment Co., Ltd. | 3,319 | 17,931 | ||||||
Wheelock & Co., Ltd. | 4,000 | 23,201 | ||||||
Wheelock & Co., Ltd., ADR | 191 | 11,099 | ||||||
1,376,021 | ||||||||
REITS — 1.0% | ||||||||
Dexus | 2,676 | 23,242 | ||||||
Fonciere Des Regions | 362 | 38,512 | ||||||
Goodman Group | 6,677 | 65,218 | ||||||
Japan Prime Realty Investment Corp. | 15 | 68,480 | ||||||
Klepierre SA | 900 | 27,470 | ||||||
Link | 4,903 | 54,964 | ||||||
Merlin Properties Socimi SA | 94,010 | 1,257,923 | ||||||
Nippon Building Fund Inc. | 10 | 73,419 | ||||||
Segro, PLC | 5,434 | 51,987 | ||||||
1,661,215 | ||||||||
Retail — 2.9% | ||||||||
Ace Hardware Indonesia Tbk PT | 655,651 | 79,639 | ||||||
ANTA Sports Products Ltd. | 561 | 4,653 | ||||||
Cie Financiere Richemont SA, ADR | 11,080 | 85,538 | ||||||
Cie Financiere Richemont SA | 198 | 15,385 | ||||||
Clicks Group, Ltd. | 11,538 | 151,368 | ||||||
CP ALL PCL, NVDR | 107,020 | 293,412 | ||||||
Fast Retailing Co., Ltd. | 147 | 85,997 | ||||||
Fast Retailing Co., Ltd., ADR | 170 | 9,943 | ||||||
Hennes & Mauritz AB | 1,600 | 30,661 | ||||||
Industria de Diseno Textil SA, ADR | 3,078 | 47,309 | ||||||
Industria de Diseno Textil SA | 1,252 | 38,742 | ||||||
Lawson, Inc. | 1,000 | 49,631 | ||||||
Li Ning Co., Ltd. | 46,599 | 137,434 | ||||||
Lojas Renner SA | 18,359 | 224,422 | ||||||
Nitori Holdings Co., Ltd. | 3 | 432 |
Number of | Value | |||||||
Retail — (Continued) | ||||||||
Pan Pacific International Holdings Corp. | 2,000 | $ | 31,288 | |||||
Raia Drogasil SA | 9,435 | 210,824 | ||||||
Ryohin Keikaku Co., Ltd., ADR | 900 | 31,095 | ||||||
Sundrug Co., Ltd. | 1,100 | 34,194 | ||||||
Swatch Group AG, (The), ADR | 1,280 | 17,326 | ||||||
Swatch Group AG, (The) | 4,461 | 1,212,206 | ||||||
Tsuruha Holdings | 12,400 | 1,351,894 | ||||||
USS Co., Ltd. | 2,140 | 40,429 | ||||||
Wal-Mart de Mexico SAB de CV | 107,424 | 304,774 | ||||||
Wal-Mart de Mexico SAB de CV, SP ADR | 2,313 | 65,319 | ||||||
Yum China Holdings, Inc. | 4,483 | 203,663 | ||||||
4,757,578 | ||||||||
Semiconductors — 3.1% | ||||||||
ASE Technology Holding Co., Ltd., ADR | 6,033 | 27,148 | ||||||
ASM Pacific Technology Ltd. | 9 | 103 | ||||||
ASML Holding NV | 775 | 172,523 | ||||||
Infineon Technologies AG, ADR | 3,242 | 55,957 | ||||||
Infineon Technologies AG | 1,224 | 21,213 | ||||||
Mediatek, Inc. | 10,000 | 116,973 | ||||||
Micron Technology, Inc.* | 2,299 | 104,076 | ||||||
NXP Semiconductors NV | 847 | 86,512 | ||||||
Rohm Co., Ltd. | 40 | 2,847 | ||||||
Samsung Electronic Co., Ltd. | 24,328 | 885,758 | ||||||
Samsung Electronic Co., Ltd., GDR | 1,000 | 917,430 | ||||||
SK Hynix, Inc. | 917 | 58,725 | ||||||
SUMCO Corp. | 34 | 419 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 120,000 | 985,996 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR | 31,209 | 1,330,440 | ||||||
Tokyo Electron, Ltd. | 400 | 71,325 | ||||||
Tokyo Electron, Ltd., ADR | 1,048 | 46,835 | ||||||
United Microelectronics Corp., SP ADR | 16,362 | 34,524 | ||||||
Win Semiconductors Corp. | 11,946 | 99,340 | ||||||
5,018,144 | ||||||||
Software — 1.6% | ||||||||
CD Projekt SA | 3,040 | 192,927 | ||||||
Momo, Inc., SP ADR | 749 | 27,548 | ||||||
NetEase, Inc., ADR | 276 | 70,380 | ||||||
Nexon Co., Ltd.* | 2,300 | 31,038 | ||||||
Open Text Corp. | 2,489 | 97,295 | ||||||
Playtech, PLC | 192,146 | 870,622 | ||||||
SAP SE | 7,775 | 928,156 | ||||||
SAP SE, SP ADR | 1,987 | 236,751 |
The accompanying notes are an integral part of the financial statements.
13
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Continued)
August 31, 2019
Number of | Value | |||||||
Software — (Continued) | ||||||||
Sea, Ltd., ADR* | 6,350 | $ | 203,962 | |||||
2,658,679 | ||||||||
Telecommunications — 4.6% | ||||||||
America Movil SAB de CV, Class L, SP ADR | 1,689 | 24,693 | ||||||
Belgacom SA | 23,680 | 700,337 | ||||||
China Mobile, Ltd. | 74,000 | 612,320 | ||||||
China Mobile, Ltd., SP ADR | 2,746 | 113,437 | ||||||
Chunghwa Telecom Co., Ltd., SP ADR | 7,810 | 269,445 | ||||||
Deutsche Telekom AG, SP ADR | 2,079 | 34,603 | ||||||
Deutsche Telekom AG | 5,699 | 95,142 | ||||||
Elisa OYJ | 619 | 31,131 | ||||||
GDS Holdings Ltd., ADR* | 3,391 | 136,793 | ||||||
Hellenic Telecommunications Organization SA | 10,216 | 136,138 | ||||||
KDDI Corp. | 63,710 | 1,696,968 | ||||||
MTN Group, Ltd. | 21,830 | 147,711 | ||||||
Nice Sys Ltd., SP ADR | 1,343 | 205,815 | ||||||
Nippon Telegraph & Telephone Corp. ADR | 2,110 | 101,132 | ||||||
Nokia OYJ, SP ADR | 18,855 | 93,521 | ||||||
NTT DOCOMO, Inc., SP ADR | 2,092 | 52,865 | ||||||
NTT DOCOMO, Inc. | 703 | 17,734 | ||||||
Orange SA, SP ADR | 7,165 | 108,836 | ||||||
PLDT, Inc., SP ADR | 4,896 | 108,642 | ||||||
Rogers Communications, Inc., Class B | 2,231 | 110,479 | ||||||
Samsung SDI Co., Ltd. | 778 | 160,676 | ||||||
Singapore Telecommunications Ltd. | 16,000 | 36,496 | ||||||
Singapore Telecommunications Ltd., ADR | 902 | 20,430 | ||||||
SK Telecom Ltd., SP ADR | 5,772 | 126,407 | ||||||
Softbank Group Corp., ADR | 4,272 | 96,761 | ||||||
Swisscom AG | 80 | 40,051 | ||||||
Tele2 AB | 1,551 | 21,910 | ||||||
Telefonaktiebolaget LM Ericsson | 136,989 | 1,071,963 | ||||||
Telefonaktiebolaget LM Ericsson, SP ADR | 2,495 | 19,561 | ||||||
Telefonica SA, SP ADR | 12,606 | 86,981 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 594,002 | 186,761 | ||||||
Telekomunikasi Indonesia Persero Tbk PT, SP ADR | 663 | 20,831 | ||||||
Telenor ASA | 1,910 | 39,200 | ||||||
Telenor ASA, ADR | 1,032 | 21,257 | ||||||
Turkcell Iletisim Hizmetleri AS, ADR | 11,016 | 61,690 | ||||||
VEON Ltd., ADR | 65,952 | 172,135 |
Number of | Value | |||||||
Telecommunications — (Continued) | ||||||||
Vodafone Group, PLC | 297,746 | $ | 563,339 | |||||
7,544,191 | ||||||||
Toys/Games/Hobbies — 0.1% | ||||||||
Bandai Namco Holdings, Inc. | 500 | 29,379 | ||||||
Nintendo Co., Ltd. | 100 | 37,840 | ||||||
Nintendo, Ltd., ADR | 1,528 | 72,198 | ||||||
139,417 | ||||||||
Transportation — 0.6% | ||||||||
Canadian National Railway Co. | 2,128 | 196,074 | ||||||
Canadian Pacific Railway, Ltd. | 534 | 128,560 | ||||||
Central Japan Railway Co. | 156 | 30,845 | ||||||
Deutsche Post AG | 1,395 | 45,778 | ||||||
Deutsche Post AG, SP ADR | 2,117 | 69,480 | ||||||
DSV A/S, ADR | 928 | 45,973 | ||||||
DSV AS | 413 | 40,980 | ||||||
East Japan Railway Co., ADR | 1,818 | 28,721 | ||||||
East Japan Railway Co. | 991 | 94,319 | ||||||
Hankyu Hanshin Holdings, Inc. | 1,000 | 37,869 | ||||||
Rumo SA* | 17,721 | 95,217 | ||||||
West Japan Railway Co. | 760 | 64,029 | ||||||
ZTO Express Cayman, Inc., ADR | 8,168 | 167,526 | ||||||
1,045,371 | ||||||||
Water — 0.6% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 2,928 | 36,249 | ||||||
Guangdong Investment Ltd. | 10,000 | 21,051 | ||||||
United Utilities Group, PLC | 92,665 | 918,933 | ||||||
976,233 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $148,065,487) | 144,968,880 | |||||||
EXCHANGE TRADED FUNDS — 0.3% | ||||||||
Diversified Financial Services — 0.1% | ||||||||
Ishares MSCI India ETF | 7,135 | 229,604 | ||||||
Other Investment Pools and Funds — 0.2% | ||||||||
Invesco India Exchange-Traded Fund Trust | 7,309 | 171,104 | ||||||
iShares MSCI South Korea ETF | 2,625 | 139,807 | ||||||
310,911 | ||||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $599,751) | 540,515 |
The accompanying notes are an integral part of the financial statements.
14
AQUARIUS INTERNATIONAL FUND
Portfolio of Investments (Concluded)
August 31, 2019
Number of | Value | |||||||
PREFERRED STOCKS — 1.5% | ||||||||
Banks — 0.3% | ||||||||
Banco Bradesco SA, ADR, 3.365% | 14,346 | $ | 114,625 | |||||
Bancolombia SA, SP ADR, 2.549% | 3,463 | 172,457 | ||||||
Itau Unibanco Holdings, SP ADR, 8.464% | 24,985 | 205,876 | ||||||
492,958 | ||||||||
Chemicals — 0.3% | ||||||||
Fuchs Petrolub SE, 3.043% | 15,344 | 534,632 | ||||||
Cosmetics/Personal Care — 0.5% | ||||||||
LG Household & Health Care, Ltd., 1.281% | 1,220 | 731,877 | ||||||
Electric — 0.0% | ||||||||
Cia Energetica de Minas Gerais, SP ADR, 3.887% | 8,794 | 31,219 | ||||||
Iron/Steel — 0.0% | ||||||||
Gerdau SA, SP ADR, 3.168% | 15,081 | 45,997 | ||||||
Semiconductors — 0.4% | ||||||||
Samsung Electronic Co., Ltd., 3.845% | 20,744 | 632,019 | ||||||
Telecommunications — 0.0% | ||||||||
Telefonica Brasil SA, ADR, 11.072% | 5,188 | 67,237 | ||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $3,083,231) | 2,535,939 | |||||||
SHORT-TERM INVESTMENTS — 9.1% | ||||||||
First American Government Obligations Fund Class X, 2.03%(b) | 14,868,945 | 14,868,945 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $14,868,945) | 14,868,945 | |||||||
TOTAL INVESTMENTS — 99.7% | ||||||||
(Cost $166,617,414) | 162,914,279 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.3% | 460,299 | |||||||
NET ASSETS — 100.0% | $ | 163,374,578 |
* | Non-income producing security. |
(a) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of August 31, 2019, total market value of Rule 144A securities is $1,461,318 and represents 0.89% of net assets. |
(b) | Seven-day yield as of August 31, 2019. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non-Voting Depositary Receipt |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
SP ADR | Sponsored ADR |
SP GDR | Sponsored GDR |
The accompanying notes are an integral part of the financial statements.
15
AQUARIUS INTERNATIONAL FUND
STATEMENT of Assets and Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value (cost $151,748,469) | $ | 148,045,334 | ||
Short-term investments, at value (cost $14,868,945) | 14,868,945 | |||
Foreign currency at value (cost $95,464) | 88,151 | |||
Receivables for: | ||||
Dividends | 544,260 | |||
Investments sold | 208,833 | |||
Capital shares sold | 44,431 | |||
Prepaid expenses and other assets | 20,407 | |||
Total assets | 163,820,361 | |||
LIABILITIES | ||||
Payables for: | ||||
Investments purchased | 225,432 | |||
Sub-advisory fees | 61,389 | |||
Other accrued expenses and liabilities | 158,962 | |||
Total liabilities | 445,783 | |||
Net assets | $ | 163,374,578 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 17,633 | ||
Paid-in capital | 178,208,747 | |||
Total distributable earnings/(loss) | (14,851,802 | ) | ||
Net assets | $ | 163,374,578 | ||
CAPITAL SHARES: | ||||
Net Assets | $ | 163,374,578 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 17,633,265 | |||
Net asset value, offering and redemption price per share | $ | 9.27 |
The accompanying notes are an integral part of the financial statements.
16
AQUARIUS INTERNATIONAL FUND
Statement of Operations
For the Year Ended August 31, 2019
INVESTMENT INCOME | ||||
Dividends (net of foreign taxes withheld of $341,712) | $ | 3,958,646 | ||
Total investment income | 3,958,646 | |||
EXPENSES | ||||
Sub-advisory fees (Note 2) | 713,507 | |||
Custodian fees (Note 2) | 417,466 | |||
Administration and accounting services fees (Note 2) | 165,026 | |||
Registration and filing fees | 53,619 | |||
Audit and tax service fees | 32,180 | |||
Transfer agent fees (Note 2) | 30,845 | |||
Legal fees | 10,151 | |||
Printing and shareholder reporting fees | 4,563 | |||
Director fees | 3,874 | |||
Officer fees | 3,471 | |||
Other expenses | 54,210 | |||
Total expenses | 1,488,912 | |||
Net investment income/(loss) | 2,469,734 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments and foreign currency transactions | (8,506,256 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (2,529,903 | ) | ||
Net realized and unrealized gain/(loss) on investments | (11,036,159 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,566,425 | ) |
The accompanying notes are an integral part of the financial statements.
17
AQUARIUS INTERNATIONAL FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FORM OPERATIONS | ||||||||
Net investment income/(loss) | $ | 2,469,734 | $ | 1,123,114 | ||||
Net realized gain/(loss) from investments and foreign currency transactions | (8,506,256 | ) | (4,920,143 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (2,529,903 | ) | (1,180,545 | ) | ||||
Net increase/(decrease) in net assets resulting from operations | (8,566,425 | ) | (4,977,574 | ) | ||||
DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (1,307,749 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (1,307,749 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 153,773,759 | 182,733,411 | ||||||
Reinvestment of distributions | 1,153,300 | — | ||||||
Shares redeemed | (158,646,047 | ) | (788,097 | ) | ||||
Net increase/(decrease) in net assets resulting from capital share transactions | (3,718,988 | ) | 181,945,314 | |||||
Total increase/(decrease) in net assets | (13,593,162 | ) | 176,967,740 | |||||
NET ASSETS: | ||||||||
Beginning of period | 176,967,740 | — | ||||||
End of period | $ | 163,374,578 | $ | 176,967,740 | ||||
SHARE TRANSACTIONS: | ||||||||
Shares sold | 17,019,112 | 18,491,161 | ||||||
Shares reinvested | 133,638 | — | ||||||
Shares redeemed | (17,930,022 | ) | (80,624 | ) | ||||
Net increase/(decrease) in shares | (777,272 | ) | 18,410,537 |
* | Inception date of the Fund was April 17, 2018. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Undistributed/(accumulated) net investment income/(loss) as of August 31, 2018 was $885,063. |
The accompanying notes are an integral part of the financial statements.
18
AQUARIUS INTERNATIONAL FUND
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the Period | |||||||
Per Share Operating Performance | ||||||||
Net asset value, beginning of period | $ | 9.61 | $ | 10.00 | ||||
Net investment income/(loss)(2) | 0.14 | 0.08 | ||||||
Net realized and unrealized gain/(loss) from investments | (0.35 | ) | (0.47 | ) | ||||
Net increase/(decrease) in net assets resulting from operations | (0.21 | ) | (0.39 | ) | ||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.13 | ) | — | |||||
Total dividends and distributions to shareholders | (0.13 | ) | — | |||||
Net asset value, end of period | $ | 9.27 | $ | 9.61 | ||||
Total investment return/(loss)(3) | (2.12 | )% | (3.90 | )%(4) | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s) | $ | 163,375 | $ | 176,968 | ||||
Ratio of expenses to average net assets | 0.94 | % | 0.80 | %(5) | ||||
Ratio of net investment income/(loss) to average net assets | 1.56 | % | 2.21 | %(5) | ||||
Portfolio turnover rate | 81 | % | 36 | %(4) |
(1) | Commencement of operations. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of the financial statements.
19
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS
August 31, 2019
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 thirty-three separate investment portfolios, including the Aquarius International Fund (the “Fund”), which commenced investment operations on April 17, 2018.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective seeks capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
20
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
August 31, 2019
FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 144,968,880 | $ | 41,209,733 | $ | 103,759,147 | $ | — | ||||||||
Exchange Traded Funds | 540,515 | 540,515 | — | — | ||||||||||||
Preferred Stocks | 2,535,939 | 637,411 | 1,898,528 | — | ||||||||||||
Short-Term Investments | 14,868,945 | 14,868,945 | — | — | ||||||||||||
Total Investments* | $ | 162,914,279 | $ | 57,256,604 | $ | 105,657,675 | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
21
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
August 31, 2019
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividnds to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
22
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
August 31, 2019
The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. Additionally, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
MARKET RISK — Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Fund may be inhibited.
2. Investment Adviser and Other Services
Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Mawer Investment Management, Ltd. and Setanta Asset Management Limited each serve as an investment sub-adviser (“Sub-Adviser”) to the Fund.
The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s average daily net assets, (the “Sub-Advisory Fee”), not to exceed 0.90%, payable on a monthly basis in arrears.
During the current fiscal period, collectively, sub-advisory fees accrued were $713,507, or the rate of 0.45%.
The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for compliance expenses in connection with managing the Fund, up to 0.03% of the Fund’s average daily net assets.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
23
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
August 31, 2019
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES |
$114,138,452 | $113,877,213 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | Net Unrealized |
$167,824,584 | $9,349,578 | $(14,267,196) | $(4,917,618) |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to foreign currency and an adjustment for sale of a Passive Foreign Investment Company, were reclassified among the following accounts:
Distributable | PAID-IN |
$(54) | $54 |
24
AQUARIUS INTERNATIONAL FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
August 31, 2019
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL LOSS | NET UNREALIZED | QUALIFIED |
$1,898,859 | $— | $(11,833,043) | $(4,917,618) | $— |
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 period ended August 31, 2019, were as follows:
ORDINARY | LONG-TERM | TOTAL | |||||||||||||
2019 | $ | 1,307,749 | $ | — | $ | 1,307,749 | |||||||||
2018 | — | — | — |
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, 2019, the Fund had capital loss carryforwards of $11,833,043.
6. NEW ACCOUNTING PRONOUNCEMENTS and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13,Fair Value Measurement (Topic 820):Disclosure Framework – Changes to the Disclosure Requirementsfor Fair Value Measurements(“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
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.
25
AQUARIUS INTERNATIONAL FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Aquarius International Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Aquarius International Fund (the “Fund”), a separately managed portfolio of The RBB Fund, Inc., as of August 31, 2019, the related statement of operations for the year ended August 31, 2019 and the statement of changes in net assets and the financial highlights for the year ended August 31, 2019 and for the period April 17, 2018 (commencement of operations) through August 31, 2018, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations for the year ended August 31, 2019, and the changes in its net assets and the financial highlights for the year ended August 31, 2019 and for the period April 17, 2018 (commencement of operations) through August 31, 2018 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Altair Advisers, LLC investment companies since 2015.
26
AQUARIUS INTERNATIONAL FUND
SHAREHOLDER TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable period ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Fund:
Ordinary | Long-Term |
$1,307,749 | $— |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Jobs and Growth Tax relief Reconciliation Act of 2003 the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
Aquarius International Fund | 97.01% |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for the Fund is as follows:
Aquarius International Fund | 0% |
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
Aquarius International Fund | 0% |
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
27
AQUARIUS INTERNATIONAL FUND
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (844) 261-6482 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q or as an exhibit to its reports on Form N-Q’s successor, N-PORT. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Altair Advisers LLC — Aquarius International Fund
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (1) the renewal of the investment advisory agreement between Altair and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, and (2) the renewal of the sub-advisory agreements among Altair, the Company and each of Aperio Group, LLC, Driehaus Capital Management, LLC, Mawer Investment Management, Ltd. and Setanta Asset Management Limited (collectively, the “Sub-Advisers”) (together, the “Sub-Advisory Agreements”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement and the Sub-Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement and the Sub-Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement and the Sub-Advisory Agreements, the Board considered information provided by Altair and each of the Sub-Advisers with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement and the Sub-Advisory Agreements between the Company and Altair with respect to the Fund, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by Altair and each Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Altair’s and the Sub-Advisers’ investment philosophies and processes; (iv) Altair’s and the Sub-Advisers’ assets under management and client descriptions; (v) Altair’s and the Sub-Advisers’ soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Altair’s and the Sub-Advisers’ advisory fee arrangements and other similarly managed clients, as applicable; (vii) Altair’s and the Sub-Advisers’ compliance procedures; (viii) Altair’s and the Sub-Advisers’ financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Altair and each Sub-Adviser. The Directors concluded that Altair and each Sub-Adviser had substantial resources to provide services to the Fund, and that Altair’s and the Sub-Advisers’ services had been acceptable.
28
AQUARIUS INTERNATIONAL FUND
Other Information (Unaudited) (CONCLUDED)
The Directors also considered the investment performance of the Fund and considered the Fund’s investment performance in light of its investment objective and investment strategies, noting that the Fund had commenced operations on April 17, 2018. The Directors noted that the Fund had underperformed its primary benchmark for the year-to-date period ended March 31, 2019. The Directors also considered the Fund’s 1st quintile ranking within its Lipper Performance Group and Lipper Performance Universe for the one-year period ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s actual advisor fees ranked in the 1st quintile of its Lipper Expense Group and Lipper Expense Universe, and that the total expenses of the Fund ranked in the 1st quintile of its Lipper Expense Group and Lipper Expense Universe. The Directors considered that the Fund does not pay a contractual management fee to Altair, but instead reimburses for out-of-pocket expenses in connection with its compliance monitoring of the Fund’s trading, up to 0.03% of the Fund’s average daily net assets. The Directors also considered the fees payable to each Sub-Adviser under the Sub-Advisory Agreement.
After reviewing the information regarding Altair’s and the Sub-Advisers’ costs, profitability and economies of scale, and after considering the services to be provided by Altair and the Sub-Advisers, the Directors concluded that the investment advisory fees to be paid by the Fund to Altair and the sub-advisory fees to be paid to each Sub-Adviser were fair and reasonable and that the Investment Advisory Agreement and Sub-Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2020.
29
AQUARIUS INTERNATIONAL FUND
COMPANY MANAGEMENT (Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (844) 261-6482.
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
30
AQUARIUS INTERNATIONAL FUND
COMPANY MANAGEMENT (Unaudited) (continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman | Chairman
Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
31
AQUARIUS INTERNATIONAL FUND
COMPANY MANAGEMENT (Unaudited) (continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director - Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
32
AQUARIUS INTERNATIONAL FUND
COMPANY MANAGEMENT (Unaudited) (Continued)
Name, Address, | Position(s) | Term of | Principal Occupation(s) | Number of | Other |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
33
AQUARIUS INTERNATIONAL FUND
COMPANY MANAGEMENT (Unaudited) (CONCLUDED)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
34
AQUARIUS INTERNATIONAL FUND
PRIVACY NOTICE (UNAUDITED)
FACTS | WHAT DOES THE AQUARIUS INTERNATIONAL FUND 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 areno 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 Aquarius International Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Does the Aquarius International Fund share? | Can you limit | |
For our everyday business purpose — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | Yes | No | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-844-261-6482 |
35
AQUARIUS INTERNATIONAL FUND
PRIVACY NOTICE (UNAUDITED)
What we do |
|
How does the Aquarius International Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Aquarius International Fund collect my personal information? | We collect your personal information, for example, when you
● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes — information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions |
|
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
●Our affiliates include Altair Advisers, LLC, the investment adviser to the Aquarius International Fund. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
●Aquarius International Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
●Aquarius International Fund may share your information with other financial institutions with whom they have joint marketing arrangements who may suggest additional fund services or other investments products which may be of interest to you. We do not currently have any joint marketing arrangements with other financial institutions. |
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Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606
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
2001 Market Street, Suite 1800
Philadelphia, PA 19103
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
AQU-AR19
Bogle Investment |
Small Cap
Growth Fund
of THE RBB FUND, INC.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-877-264-5346.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-877-264-5346 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.
Bogle Investment Management
Small Cap Growth Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Fellow Shareholder:
For the fiscal year ended August 31, 2019, the Bogle Investment Management Small Cap Growth Fund (the “Fund”) returned -16.02%, underperforming by -3.13% the unmanaged Russell 2000® Index of small cap stocks (the “Benchmark”), which returned -12.89% over the same period. The Fund’s periodic returns and returns since inception are shown in the chart on page five. The following sections of this letter will provide background on the market environment, performance attribution, Fund characteristics as of its fiscal year end, and a Bogle Investment Management, L.P. business update.
Market Environment.U.S. small cap equity markets, as measured by the Benchmark, had negative performance for the fiscal year ended August 31, 2019.The Benchmark began the period by dropping -22.12% from September 1, 2018 through December 31, 2018.The U.S. Federal Reserve’s plan for increasing interest rates and quantitative tightening, investor uncertainty about manifold U.S. economic, political and military policies, increased trade/tariff tensions, and geopolitical risk generally led to equity market declines.Following the steep equity market declines and signs of economic weakness, the U.S. Federal Reserve reversed course and pledged a willingness to act with more accommodative policy if necessary.Equity markets responded positively andthe Russell 2000® Indexrebounded +17.03% from January 1, 2019 through February 28, 2019.After these two months of steady positive performance, episodic volatility returned and equity markets were range-bound for the balance of the fiscal year.From March 1, 2019 through August 30, 2019, the Benchmark returned -4.43%.
Large cap stocks outperformed small cap stocks for the fiscal year ended August 31, 2019, with the Russell 1000® Index of large cap stocks beating the Russell 2000® Index of small cap stocks by +15.38% (+2.49% versus -12.89%). Continuing a steady trend since the beginning of 2017, investors showed a preference for growth stocks over value stocks. For the fiscal year, the Russell 2000® Growth Index outperformed the Russell 2000® Value Index by approximately four percentage points (-11.02% versus -14.89%). The CBOE Volatility Index (VIX), which measures the market’s implied, expected future volatility, was somewhat variable during the fiscal year. It rose from historically low levels in early September, 2018 to elevated levels during the rapid market decline in December, 2018. The VIX retreated as the market rebounded in January and February 2019, and approached new historic lows in April. It then bounced up in May and again in August as equity markets faltered.
Performance Attribution.The Fund underperformed the Benchmark by -3.13%, net of all fees and expenses over the course of the fiscal year ended August 31, 2019. Most of the underperformance occurred during November, 2018 when the Fund underperformed by -4.44% (-2.85% versus +1.59%).From January 1, 2019 through August 31, 2019 the Fund outperformed the Benchmark by +0.64% (+12.49 versus +11.85%).Because we hold very little cash and tend to have limited sector deviations compared to the Benchmark, the majority of our performance relative to the Benchmark is typically attributed to “stock selection”.This was not the case for the most recent fiscal year.Stock selection was positive for the fiscal year while net sector and growth exposures were the primary detractors from net excess return.Health technology and energy minerals sectors were the most significant detractors.The Fund’s exposure to higher growth companies also contributed to the negative net excess return.Specific Fund holdings with significant negative contributions were Surmodics, Inc. (SRDX), Weight Watchers International, Inc. (WW), and On Deck Capital, Inc. (ONDK).Stocks with significant positive contributions included Cyberark Software, Ltd. (CYBR), Veracyte, Inc. (VCYT), and Lattice Semiconductor Corporation (LSCC).
In addition to stock selection and common factor exposures, we also evaluate the effectiveness of the individual models that form our composite stock selection process. The investment process combines insights derived from a rigorous and systematic analysis of fundamental financial data and complementary sources of information that measure non-fundamental, often shorter-horizon, data. This combination of signals can be thought of, conceptually, as the exploitation of investment opportunities created, primarily, by stocks with attractive fundamental financial characteristics whose appeal hasn’t yet been fully appreciated by the market, and secondarily, by opportunistically trading these securities when market data indicate that there is a statistical probability that their current prices will either revert toward, or start to diverge from, their short-term equilibrium price levels. Our fundamental models have tended to work best when markets are focused more on discriminating between similar stocks than when investors are focused on broader
1
Bogle Investment Management
Small Cap Growth Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
macroeconomic themes, moving into or out of groups or portfolios of stocks in unison. During periods when investors are focused on macroeconomic themes, our non-fundamental signals are designed to try to add value by finding both a greater number of opportunities from, and greater likelihood of investment success with, short-term price movements caused by thematic trading. Consistent with model tendencies, our different model types contributed at different times during the fiscal year. For the full fiscal year ended August 31, 2019, the Fund’s exposure to stocks that were relatively undervalued and exhibited stronger financial quality characteristics in comparison to peers was not rewarded. The Fund’s exposure to stocks with better potential for earnings in comparison to peers contributed positively, but it was not enough to offset the negative performance from the other fundamental factors. The contribution of the Fund’s exposure to our non-fundamental signals was mixed during the period. Despite the fact that our aggregate exposures did not allow us to beat our Benchmark over this fiscal year, we remain confident that these fundamental exposures should be rewarded over the long term.
The primary reason for our conviction in our ability to add value going forward is the continual work we do to try to improve our investment process. Our investment team continues to spend their time trying to discover, research and analyze myriad data that we think might give our models an edge in picking stocks that should outperform. We regularly evaluate new signals to potentially add to the investment models, review existing models to see if there are ways to improve them, and assess trading data to understand how efficiently our trading models have been working to carefully and deliberately invest and divest positions. In January 2019, after months, and in some cases years, of analysis, we incorporated into the live investment process a series of new stock selection signals and risk control techniques. These are ideas that we have methodically evaluated in simulation, and out-of-sample with live data we collect over the subsequent months or years. We believe that the updated models will reduce the overall volatility of the Fund, will reduce its active risk in comparison to the Benchmark, and that investment results should improve. While we’ve experienced only a short time with the new investment process, we’re encouraged that early results appear improved; we returned -4.11% in the last six months of the fiscal year ended August 31, 2019, beating the Benchmark return of -4.43%, marginally (by +0.32%), and reduced active volatility to 4.3% annualized over that period, after having 7.7% annualized active volatility in the first six months of the fiscal year. We thank you for your patience and long-term perspective in continuing to trust our stewardship of your investment.
Fund Characteristics.As of August 31, 2019, the Fund held 120 stocks, with the largest position representing 1.70% of net assets.As shown in the table to the right, the Fund looks similar to the Benchmark across a variety of fundamental risk characteristics. As of August 31, 2019, the Fund’s median market capitalization was smaller than the Benchmark. The Fund’s median price-to-sales ratio was also below the Benchmark, reflecting the influence of our relative valuation model.
Fundamental Characteristics | ||
Median | BOGIX* | Russell2000® |
Median Market Cap ($mil.) | $1,698 | $2,012 |
Price/Historical Earnings | 18.4x | 20.7x |
Price/Forward Earnings | 15.4x | 18.3x |
Price/Sales | 1.0x | 2.5x |
*The Fund’s median characteristics refer to the Fund’s holdings, not the Fund itself. Price/Historical Earnings is a measure of the price paid for a share relative to the last year of earnings per share.Price/Forward Earnings is a measure of the price paid for a share relative to the estimated future earnings (over the next one to two years) per share.Estimated future earnings come from the First Call database and actual earnings may vary from this figure.Price/Sales is a measure of the price paid for a share relative to the last year of revenues per share. |
2
Bogle Investment Management
Small Cap Growth Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Risk Statistics* | ||
Measurement | BOGIX | Russell2000® |
Standard Deviation | 21.7% | 19.6% |
Active Volatility | 6.2% | |
Beta with Russell 2000® Index | 1.07 | |
**Risk statistics apply to the Fund and Benchmark. Standard deviation is a statistical measure of the range of performance. Active volatility is the standard deviation of the difference between the Fund and Benchmark performance. Beta is a measure of a portfolio’s sensitivity to market movements. |
The Fund’s annualized active volatility (the variability of the difference between Fund and Benchmark performance, also called “tracking error”) was 6.2% in the fiscal year ended August 31, 2019, in line with the Fund’s long-term average of 6.3% (as noted previously, active volatility was 7.7% in the first six months of the fiscal year, and 4.3% in the last six months). The Fund’s beta with the Benchmark was approximately 1.07.
Self-Assessment.After underperforming the Benchmark by -3.13%, we have to give ourselves a poor mark for investment performance.The strategy’s exposure to relative value and financial quality have continued to underperform the past few years, as the market seems to reward expensive companies and favor sales growth with little regard for the quality of earnings.This may be a sign that we are in the late stages of the business cycle.Although we know there will be environments in which our exposures are not rewarded, we continue to believe that the prices paid for securities and the quality of the earnings that a company generates are important components of any investment strategy.We have experienced environments like this in the past (the mid to late 90’s) and we remain confident that investors should one day again reward these core fundamental exposures.We have an experienced team of professionals who have worked together for many years.We focus on one core investment approach, and we strictly control the amount of capital we will accept to limit the erosion of our investment insights that inevitably comes from an asset base that has been allowed to grow too large.We maintain conviction that we have all of the elements required to deliver attractive long-term returns.
While investment results are our primary focus, our shareholder services are important as well. We work with U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, to provide shareholder services, giving them feedback that we have received from you as well as feedback from us based on our own experiences as fellow shareholders. We encourage you to let us know how we can improve your shareholder experience.
Progress at Bogle Investment Management.At the end of August 2019, net assets in the Fund were approximately $69 million.Our investment team remains unchanged; the same five investment professionals continue to work together to generate new ideas for improving our investment process.We appreciate you staying the course with your investments with us.
More information about the Fund, including sector allocation, fundamental characteristics, and top ten holdings, can be viewed on our website,www.boglefunds.com. The Fund’s net asset value is updated daily while other Fund information is updated quarterly. Fund information is also available on Morningstar.com and other internet-based financial data providers. We thank you for your ongoing support and, moreover, for the trust and confidence you have placed in us.
Respectfully,
Bogle Investment Management, L.P.
Management Office: 781-283-5000
Shareholder Services Toll Free: 1-877-BOGLEIM (264-5346)
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at 1-877-264-5346. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The performance quoted reflects fee waivers in effect and would have been less in their absence.
3
Bogle Investment Management
Small Cap Growth Fund
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
The Fund’s investment adviser, Bogle Investment Management, L.P. (the “Adviser”), has contractually agreed to waive management fees and reimburse expenses through December 31, 2020 to the extent that total annual Fund operating expenses (excluding certain expenses) exceed 1.25%.The Adviser, in its discretion, has the right to extend this waiver.The total expense ratio for the Fund, prior to fee waivers, as stated in the current prospectus dated December 31, 2018, is 1.30%.The net expense ratio of 1.26% is applicable to investors.
The Russell 1000® Index is a market capitalization weighted index of approximately 1,000 of the largest companies in the U.S. equity markets.The Russell 2000® Index is an index of stocks 1001 through 3000 in the Russell 3000® Index, which is made up of 3,000 of the largest U.S. stocks ranked by market capitalization. The Russell 2000 Value® Index is a subset of the securities found in the Russell 2000® Index that exhibit a value probability using the price-to-book ratio. The Russell 2000 Growth® Index is a subset of the securities found in the Russell 2000® Index that exhibit a growth probability using the Institutional Brokers’ Estimate System (I/B/E/S) forecast medium-term growth (2-year) and sales per share historical growth (5-year).The indexes are published and maintained by FTSE Russell and a direct investment in the indexes is not possible.Frank Russell Company (“Russell”) is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company. Neither Russell nor its licensors accept any liability for any errors or omissions in the Russell Indexes and / or Russell ratings or underlying data and no party may rely on any Russell Indexes and / or Russell ratings and / or underlying data contained in this communication. No further distribution of Russell Data is permitted without Russell’s express written consent. Russell does not promote, sponsor or endorse the content of this communication. VIX is the ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market’s expectation of 30-day volatility.
Mutual Fund investing involves risk including the possible loss of principal.Investing in small companies can involve more volatility, less liquidity and less available information than investing in large companies.The Fund may invest in undervalued securities which may not appreciate in value as anticipated or may remain undervalued for long periods of time.
Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.
Please refer to the Schedule of Investments in this report for a complete list of Fund holdings as of August 31, 2019.
4
Bogle Investment Management
Small Cap Growth Fund
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in Bogle Investment Management
Small Cap Growth Fund vs. Russell 2000® Index
This chart assumes a hypothetical $10,000 initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | |||||
One | Five | Ten | Since | ||
Bogle Investment Management Small Cap Growth Fund | -16.02% | 2.88% | 12.10% | 10.23% | |
Russell 2000® Index | -12.89% | 6.41% | 11.59% | 7.96% |
(1) | For the period October 1, 1999 (commencement of operations) through August 31, 2019. |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at 1-877-264-5346. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. The performance quoted reflects fee waivers in effect and would have been less in their absence. The total annual Fund operating expense ratio, as stated in the current prospectus dated December 31, 2018, is 1.30% for the Fund prior to fee waivers.
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’s (the “Fund”) 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.
5
Bogle Investment Management
Small Cap Growth Fund
Fund Expense Example
August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019 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.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses Paid | Annualized | Actual | |
Actual | $1,000.00 | $ 958.90 | $6.17 | 1.25% | -4.11% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 | 1.25% | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) 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. |
6
Bogle Investment Management
Small Cap Growth Fund
Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a summary by security type of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Finance | 23.3% | $ | 16,153,025 | |||||
Electronic Technology | 9.9 | 6,854,519 | ||||||
Health Technology | 9.9 | 6,842,000 | ||||||
Producer Manufacturing | 9.4 | 6,553,218 | ||||||
Technology Services | 8.2 | 5,650,327 | ||||||
Retail Trade | 5.3 | 3,683,442 | ||||||
Consumer Services | 5.0 | 3,459,864 | ||||||
Non-Energy Minerals | 3.8 | 2,651,883 | ||||||
Commercial Services | 3.7 | 2,569,684 | ||||||
Distribution Services | 3.7 | 2,557,925 | ||||||
Process Industries | 3.3 | 2,276,674 | ||||||
Industrial Services | 3.2 | 2,196,500 | ||||||
Consumer Non-Durables | 3.0 | 2,050,230 | ||||||
Energy Minerals | 2.5 | 1,748,766 | ||||||
Consumer Durables | 1.8 | 1,267,078 | ||||||
Health Services | 1.4 | 973,481 | ||||||
Transportation | 0.6 | 430,663 | ||||||
Utilities | 0.0 | 10,786 | ||||||
SHORT-TERM INVESTMENTS | 1.9 | 1,323,231 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 48,411 | ||||||
NET ASSETS | 100.0% | $ | 69,301,707 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
Bogle Investment Management
Small Cap Growth Fund
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
COMMON STOCKS—98.0% | ||||||||
COMMERCIAL SERVICES—3.7% | ||||||||
Cardtronics PLC, Class A* | 12,000 | $ | 355,440 | |||||
Conduent, Inc.* | 102,171 | 665,133 | ||||||
Medpace Holdings, Inc.* | 10,259 | 830,056 | ||||||
Vectrus, Inc.* | 17,772 | 719,055 | ||||||
2,569,684 | ||||||||
CONSUMER DURABLES—1.8% | ||||||||
Beazer Homes USA, Inc.* | 68,387 | 856,889 | ||||||
M/I Homes, Inc.* | 11,350 | 410,189 | ||||||
1,267,078 | ||||||||
CONSUMER NON-DURABLES—3.0% | ||||||||
BRF SA, ADR* | 78,886 | 725,751 | ||||||
Coca-Cola Consolidated, Inc. | 2,068 | 696,110 | ||||||
Cott Corp. | 49,831 | 628,369 | ||||||
2,050,230 | ||||||||
CONSUMER SERVICES—5.0% | ||||||||
Career Education Corp.* | 40,421 | 829,035 | ||||||
Carnival PLC, ADR | 9,775 | 417,979 | ||||||
Everi Holdings, Inc.* | 71,715 | 641,132 | ||||||
K12, Inc.* | 29,804 | 785,335 | ||||||
Unifirst Corp. | 4,014 | 786,383 | ||||||
3,459,864 | ||||||||
DISTRIBUTION SERVICES—3.7% | ||||||||
Core-Mark Holding Co., Inc. | 26,045 | 843,597 | ||||||
Foundation Building Materials, Inc.* | 35,609 | 609,982 | ||||||
World Fuel Services Corp. | 28,759 | 1,104,346 | ||||||
2,557,925 | ||||||||
ELECTRONIC TECHNOLOGY—9.9% | ||||||||
Astronics Corp.* | 17,071 | 469,623 | ||||||
Audiocodes Ltd. | 49,677 | 866,864 | ||||||
Benchmark Electronics, Inc. | 7,425 | 196,614 | ||||||
Ciena Corp.* | 12,026 | 492,224 | ||||||
Comtech Telecommunications Corp. | 29,620 | 792,335 | ||||||
Ducommun, Inc.* | 9,978 | 410,894 | ||||||
Lattice Semiconductor Corp.* | 59,732 | 1,176,123 | ||||||
ManTech International Corp., Class A | 8,814 | 619,448 | ||||||
NeoPhotonics Corp.* | 77,388 | 484,449 | ||||||
OSI Systems, Inc.* | 2,883 | 302,744 | ||||||
Radware Ltd.* | 17,028 | 416,334 | ||||||
SMART Global Holdings, Inc.* | 22,065 | 626,867 | ||||||
6,854,519 | ||||||||
ENERGY MINERALS—2.5% | ||||||||
Delek US Holdings, Inc. | 18,375 | 601,781 | ||||||
HollyFrontier Corp. | 11,164 | 495,235 | ||||||
ENERGY MINERALS—(continued) | ||||||||
PBF Energy, Inc., Class A | 27,500 | $ | 651,750 | |||||
1,748,766 | ||||||||
FINANCE—23.3% | ||||||||
Aaron’s, Inc. | 12,442 | 797,657 | ||||||
Alleghany Corp.* | 772 | 578,467 | ||||||
Ambac Financial Group, Inc.* | 23,587 | 425,509 | ||||||
Argo Group International Holdings Ltd. | 9,899 | 650,562 | ||||||
Axis Capital Holdings Ltd. | 10,727 | 658,531 | ||||||
BGC Partners, Inc., Class A | 123,173 | 628,182 | ||||||
Brightsphere Investment Group PLC | 58,012 | 527,329 | ||||||
Ellington Financial, Inc. | 27,372 | 478,189 | ||||||
Employers Holdings, Inc. | 700 | 30,191 | ||||||
Erie Indemnity Co., Class A | 1,302 | 285,542 | ||||||
Essent Group Ltd. | 12,467 | 604,650 | ||||||
Federal Agricultural Mortgage Corp., Class C | 2,100 | 172,935 | ||||||
H&E Equipment Services, Inc. | 2,910 | 70,684 | ||||||
Hanover Insurance Group, Inc., (The) | 4,767 | 634,726 | ||||||
Hertz Global Holdings, Inc.* | 31,662 | 383,427 | ||||||
INTL FCStone, Inc.* | 17,556 | 688,371 | ||||||
Macquarie Infrastructure Corp. | 16,200 | 612,684 | ||||||
Mercury General Corp. | 10,973 | 587,056 | ||||||
Mr Cooper Group, Inc.* | 67,053 | 590,737 | ||||||
Nelnet, Inc., Class A | 10,385 | 696,314 | ||||||
NMI Holdings, Inc., Class A* | 22,233 | 630,083 | ||||||
On Deck Capital, Inc.* | 156,293 | 507,952 | ||||||
PennyMac Financial Services, Inc.* | 29,013 | 858,495 | ||||||
RenaissanceRe Holdings Ltd. | 2,960 | 534,428 | ||||||
Rent-A-Center, Inc. | 35,578 | 908,306 | ||||||
Safety Insurance Group, Inc. | 5,593 | 539,389 | ||||||
Stifel Financial Corp. | 3,816 | 203,851 | ||||||
Third Point Reinsurance Ltd.* | 64,402 | 606,667 | ||||||
Universal Insurance Holdings, Inc. | 26,630 | 665,750 | ||||||
Walker & Dunlop, Inc. | 10,676 | 596,361 | ||||||
16,153,025 | ||||||||
HEALTH SERVICES—1.4% | ||||||||
Joint Corp., (The)* | 26,009 | 436,431 | ||||||
Triple-S Management Corp., Class B* | 26,172 | 537,050 | ||||||
973,481 | ||||||||
HEALTH TECHNOLOGY—9.9% | ||||||||
Assertio Therapeutics, Inc.* | 65,375 | 94,140 | ||||||
Collegium Pharmaceutical, Inc.* | 25,051 | 290,091 | ||||||
Cutera, Inc.* | 31,595 | 912,148 |
The accompanying notes are an integral part of the financial statements.
8
Bogle Investment Management
Small Cap Growth Fund
Portfolio of Investments (Concluded)
August 31, 2019
Number | Value | |||||||
HEALTH TECHNOLOGY—(continued) | ||||||||
Fluidigm Corp.* | 40,564 | $ | 226,347 | |||||
Horizon Therapeutics PLC* | 25,762 | 711,804 | ||||||
ICON PLC* | 3,211 | 495,104 | ||||||
Iveric Bio, Inc.* | 11,071 | 12,178 | ||||||
Jazz Pharmaceuticals PLC* | 4,256 | 545,406 | ||||||
Meridian Bioscience, Inc. | 68,982 | 636,704 | ||||||
Novocure Ltd.* | 9,196 | 835,548 | ||||||
OraSure Technologies, Inc.* | 80,992 | 534,547 | ||||||
Puma Biotechnology, Inc.* | 56,320 | 605,440 | ||||||
Rocket Pharmaceuticals, Inc.* | 38,050 | 412,843 | ||||||
Vanda Pharmaceuticals, Inc.* | 37,594 | 529,700 | ||||||
6,842,000 | ||||||||
INDUSTRIAL SERVICES—3.2% | ||||||||
Basic Energy Services, Inc.* | 15,620 | 20,775 | ||||||
Clean Harbors, Inc.* | 8,117 | 597,005 | ||||||
EMCOR Group, Inc. | 10,168 | 889,090 | ||||||
Great Lakes Dredge & Dock Corp.* | 63,619 | 689,630 | ||||||
2,196,500 | ||||||||
NON-ENERGY MINERALS—3.8% | ||||||||
Alcoa Corp.* | 28,190 | 505,447 | ||||||
Boise Cascade Co. | 26,417 | 829,494 | ||||||
Materion Corp. | 12,119 | 713,082 | ||||||
Universal Forest Products, Inc. | 15,444 | 603,860 | ||||||
2,651,883 | ||||||||
PROCESS INDUSTRIES—3.3% | ||||||||
Berry Global Group, Inc.* | 13,488 | 527,920 | ||||||
Cosan Ltd., Class A | 70,640 | 990,373 | ||||||
Daqo New Energy Corp., ADR* | 2,900 | 149,640 | ||||||
Silgan Holdings, Inc. | 20,455 | 608,741 | ||||||
2,276,674 | ||||||||
PRODUCER MANUFACTURING—9.4% | ||||||||
American Superconductor Corp.* | 20,836 | 159,812 | ||||||
American Woodmark Corp.* | 9,022 | 743,142 | ||||||
BMC Stock Holdings, Inc.* | 31,157 | 792,322 | ||||||
Builders FirstSource, Inc.* | 41,488 | 806,942 | ||||||
Canadian Solar, Inc.* | 33,460 | 782,629 | ||||||
Gibraltar Industries, Inc.* | 15,859 | 638,642 | ||||||
HNI Corp. | 19,857 | 619,340 | ||||||
Installed Building Products, Inc.* | 10,926 | 621,799 | ||||||
Navistar International Corp.* | 20,219 | 465,037 | ||||||
TopBuild Corp.* | 6,723 | 622,684 | ||||||
Tupperware Brands Corp. | 23,126 | 300,869 | ||||||
6,553,218 | ||||||||
RETAIL TRADE—5.3% | ||||||||
Casey’s General Stores, Inc. | 3,200 | 537,120 | ||||||
Cia Brasileira de Distribuicao Class A, SP ADR | 31,773 | 671,681 | ||||||
RETAIL TRADE—(continued) | ||||||||
Conn’s, Inc.* | 30,111 | $ | 607,038 | |||||
Medifast, Inc. | 6,218 | 621,551 | ||||||
RH* | 4,788 | 685,881 | ||||||
Vipshop Holdings Ltd., ADR* | 66,926 | 560,171 | ||||||
3,683,442 | ||||||||
TECHNOLOGY SERVICES—8.2% | ||||||||
Dropbox, Inc., Class A* | 21,420 | 383,418 | ||||||
Euronet Worldwide, Inc.* | 4,006 | 613,479 | ||||||
Five9, Inc.* | 12,945 | 818,253 | ||||||
LogMeIn, Inc. | 8,949 | 598,151 | ||||||
Perspecta, Inc. | 25,554 | 663,126 | ||||||
QIWI PLC, SP ADR | 33,399 | 811,595 | ||||||
Rubicon Project, Inc., (The)* | 55,397 | 566,712 | ||||||
Telaria, Inc.* | 48,404 | 483,072 | ||||||
TriNet Group, Inc.* | 117 | 7,854 | ||||||
Workiva, Inc., Class A* | 14,647 | 704,667 | ||||||
5,650,327 | ||||||||
TRANSPORTATION—0.6% | ||||||||
Gol Linhas Aereas Inteligentes SA, ADR* | 10,841 | 174,215 | ||||||
Grupo Aeroportuario del Centro Norte SAB de CV, SP ADR | 5,482 | 256,448 | ||||||
430,663 | ||||||||
UTILITIES—0.0% | ||||||||
Pampa Energia SA, SP ADR* | 831 | 10,786 | ||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $67,498,198) | 67,930,065 | |||||||
SHORT-TERM INVESTMENTS—1.9% | ||||
Fidelity Investments Money Market Funds - Government Portfolio, 2.00%(a) | 1,323,231 | |||
TOTAL SHORT-TERM INVESTMENTS | ||||
(Cost $1,323,231) | 1,323,231 | |||
TOTAL INVESTMENTS—99.9% | ||||
(Cost $68,821,429) | 69,253,296 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1% | 48,411 | |||
NET ASSETS—100.0% | $ | 69,301,707 |
* | Non-income producing security. |
(a) | Seven-day yield as of August 31, 2019. |
ADR — American Depositary Receipt
PLC — Public Limited Company
SP ADR — Sponsored American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
9
Bogle Investment Management
Small Cap Growth Fund
Statement Of Assets And Liabilities
August 31, 2019
Assets | ||||
Investments, at value (cost $67,498,198) | $ | 67,930,065 | ||
Short-term investments, at value (cost $1,323,231) | 1,323,231 | |||
Receivables for: | ||||
Investments sold | 731,521 | |||
Dividends | 68,310 | |||
Prepaid expenses and other assets | 23,659 | |||
Total assets | 70,076,786 | |||
Liabilities | ||||
Payables for: | ||||
Investments purchased | 649,649 | |||
Advisory fees | 53,177 | |||
Other accrued expenses and liabilities | 72,253 | |||
Total liabilities | 775,079 | |||
Net assets | $ | 69,301,707 | ||
Net Assets Consist of: | ||||
Par value | $ | 2,700 | ||
Paid-in capital | 69,244,153 | |||
Total distributable earnings/(loss) | 54,854 | |||
Net assets | $ | 69,301,707 | ||
CAPITAL SHARES: | ||||
Net assets | $ | 69,301,707 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,699,943 | |||
Net asset value, offering and redemption price per share | $ | 25.67 |
The accompanying notes are an integral part of the financial statements.
10
Bogle Investment Management
Small Cap Growth Fund
Statement Of Operations
For the Year Ended August 31, 2019
Investment Income | ||||
Dividends (net of foreign taxes withheld of $5,424) | $ | 547,029 | ||
Total investment income | 547,029 | |||
Expenses | ||||
Advisory fees (Note 2) | 765,066 | |||
Transfer agent fees (Note 2) | 58,963 | |||
Administration and accounting fees (Note 2) | 51,455 | |||
Audit and tax service fees | 30,485 | |||
Legal fees | 28,619 | |||
Custodian fees (Note 2) | 26,775 | |||
Registration and filing fees | 25,841 | |||
Officer fees | 17,139 | |||
Director fees | 13,992 | |||
Printing and shareholder reporting fees | 13,461 | |||
Other expenses | 13,059 | |||
Total expenses before waivers | 1,044,855 | |||
Less: waivers (Note 2) | (88,523 | ) | ||
Net expenses after waivers | 956,332 | |||
Net investment income/(loss) | (409,303 | ) | ||
Net Realized and Unrealized Gain/(Loss) from Investments | ||||
Net realized gain/(loss) from investments | 292,411 | |||
Net change in unrealized appreciation/(depreciation) on investments | (15,076,628 | ) | ||
Net realized and unrealized gain/(loss) on investments | (14,784,217 | ) | ||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (15,193,520 | ) |
The accompanying notes are an integral part of the financial statements.
11
Bogle Investment Management
Small Cap Growth Fund
Statements of Changes in Net Assets
For the | For the | |||||||
Increase/(Decrease) in Net Assets From Operations: | ||||||||
Net investment income/(loss) | $ | (409,303 | ) | $ | (612,116 | ) | ||
Net realized gain/(loss) from investments | 292,411 | 13,872,196 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (15,076,628 | ) | 7,823,184 | |||||
Net increase/(decrease) in net assets resulting from operations | (15,193,520 | ) | 21,083,264 | |||||
Dividends and Distributions to Shareholders: | ||||||||
Total distributable earnings | (9,977,095 | ) | (10,781,589 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (9,977,095 | ) | (10,781,589 | ) | ||||
Increase/(Decrease) in Net Assets Derived From Capital Share Transactions: | ||||||||
Proceeds from shares sold | 1,103,223 | 1,934,636 | ||||||
Reinvestment of distributions | 9,551,887 | 10,427,402 | ||||||
Distributions for shares redeemed | (12,761,667 | ) | (32,362,655 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | (2,106,557 | ) | (20,000,617 | ) | ||||
Total increase/(decrease) in net assets | (27,277,172 | ) | (9,698,942 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 96,578,879 | 106,277,821 | ||||||
End of period | $ | 69,301,707 | $ | 96,578,879 | ||||
Shares Transactions: | ||||||||
Shares sold | 42,495 | 59,630 | ||||||
Shares reinvested | 379,043 | 344,480 | ||||||
Shares redeemed | (469,806 | ) | (973,282 | ) | ||||
Net increase/(decrease) in shares outstanding | (48,268 | ) | (569,172 | ) |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders from net realized capital gains were $10,781,589 during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $0. |
The accompanying notes are an integral part of the financial statements.
12
Bogle Investment Management
Small Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 35.14 | $ | 32.04 | $ | 27.00 | $ | 30.00 | $ | 38.07 | ||||||||||
Net investment income/(loss)(1) | (0.15 | ) | (0.19 | ) | (0.18 | ) | (0.13 | ) | (0.18 | ) | ||||||||||
Net realized and unrealized gain/(loss) from investments | (5.55 | ) | 6.63 | 5.22 | 1.21 | (3.09 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (5.70 | ) | 6.44 | 5.04 | 1.08 | (3.27 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net realized capital gains | (3.77 | ) | (3.34 | ) | — | (4.08 | ) | (4.80 | ) | |||||||||||
Total dividends and distributions to shareholders | (3.77 | ) | (3.34 | ) | — | (4.08 | ) | (4.80 | ) | |||||||||||
Net asset value, end of period | $ | 25.67 | $ | 35.14 | $ | 32.04 | $ | 27.00 | $ | 30.00 | ||||||||||
Total investment return(2) | (16.02 | )% | 21.77 | % | 18.69 | % | 4.37 | % | (8.99 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 69,302 | $ | 96,579 | $ 106,278 | $ | 57,180 | $ | 88,086 | |||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.25 | % | 1.25 | % | 1.27 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of expenses to average net assets without waiver and reimbursements(3) | 1.37 | % | 1.29 | % | 1.37 | % | 1.42 | % | 1.35 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets | (0.53 | )% | (0.57 | )% | (0.61 | )% | (0.50 | )% | (0.53 | )% | ||||||||||
Portfolio turnover rate | 344 | % | 349 | % | 366 | % | 380 | % | 196 | % |
(1) | Calculated based on average shares outstanding for the period. |
(2) | Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | During the current fiscal period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2). |
The accompanying notes are an integral part of the financial statements.
13
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the “Fund”), which commenced investment operations on October 1, 1999.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to provide long-term capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
Portfolio Valuation — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 – | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 – | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 – | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
14
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements (Continued)
August 31, 2019
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Common Stocks | $ | 67,930,065 | $ | 67,930,065 | $ | — | $ | — | ||||||||
Short-Term Investments | 1,323,231 | 1,323,231 | — | — | ||||||||||||
Total Investments* | $ | 69,253,296 | $ | 69,253,296 | $ | — | $ | — |
* | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific 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 Fund.
15
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements (Continued)
August 31, 2019
Dividends And Distributions To Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Bogle Investment Management, L.P. (“Bogle” or the “Adviser”) serves as the investment adviser to the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the accompanying table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the accompanying table. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause net total annual Fund operating expenses to exceed the Expense Cap: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020. The Fund will not pay the Adviser at a later time for any amounts the Adviser may waive and/or any amounts that the Adviser has assumed. The contractual fee waiver does not provide for recoupment of fees that were waived and/or expenses that were reimbursed.
Advisory Fee | Expense Cap |
1.00% | 1.25% |
During the current fiscal period, investment advisory fees accrued and waived were as follows:
Gross | Waivers | Net |
$765,066 | $(88,523) | $676,543 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
16
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements (Continued)
August 31, 2019
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales |
$261,623,003 | $272,971,305 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
Federal Tax | Unrealized | Unrealized | Net |
$69,062,918 | $5,869,582 | $(5,679,204) | $190,378 |
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.
17
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements (Continued)
August 31, 2019
Permanent differences as of August 31, 2019, primarily attributable to tax equalization and PFICs, were reclassified among the following accounts:
DISTRIBUTABLE | Paid-In |
$(908,263) | $908,263 |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Unrealized | Qualified |
$208,697 | $190,378 | $344,221 |
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, if applicable, are reported as ordinary income for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. The Fund deferred qualified late-year losses of $344,221 which will be treated as arising on the first business day of the following fiscal year.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018 were as follows:
Ordinary | Long-Term | Total | ||||||||||
2019 | $ | 8,520,438 | $ | 1,456,657 | $ | 9,977,095 | ||||||
2018 | 10,781,589 | — | 10,781,589 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2019, the Fund had no capital loss carryforwards.
6. New Accounting Pronouncements and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13,Fair Value Measurement (Topic 820):Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurement. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and
18
Bogle Investment Management
Small Cap Growth Fund
Notes To Financial Statements (Concluded)
August 31, 2019
has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
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.
19
Bogle Investment Management
Small Cap Growth Fund
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Bogle Investment Management Small Cap Growth Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Bogle Investment Management Small Cap Growth Fund (the “Fund”), a separately managed portfolio of The RBB Fund, Inc., as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2019 and the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Bogle Investment Management, L.P. investment companies since 2000.
20
Bogle Investment Management
Small Cap Growth Fund
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Fund:
Ordinary | Long-Term |
$8,520,438 | $1,456,657 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The percentage of ordinary income dividends qualifying for the 15% dividend tax rate is 5.48%.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 4.94%.
The Fund designates 100.00% of the ordinary income distributions as qualified short-term gain pursuant to the American Job Creation Act of 2004.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
21
Bogle Investment Management
Small Cap Growth Fund
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Approval of Investment Advisory Agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Bogle and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement, the Board considered information provided by Bogle with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement between the Company and Bogle with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Bogle’s services provided to the Fund; (ii) descriptions of the experience and qualifications of Bogle’s personnel providing those services; (iii) Bogle’s investment philosophies and processes; (iv) Bogle’s assets under management and client descriptions; (v) Bogle’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Bogle’s current advisory fee arrangement with the Company and other similarly managed clients; (vii) Bogle’s compliance procedures; (viii) Bogle’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Bogle. The Directors concluded that Bogle had substantial resources to provide services to the Fund and that Bogle’s services had been acceptable.
The Directors also considered the investment performance of the Fund and Bogle. The Directors noted that the Fund had outperformed the Fund’s primary benchmark for the year-to-date and since-inception periods ended March 31, 2019. The Directors also considered the Fund’s 2nd quintile ranking within its Lipper Performance Group for the two-year and three-year periods ended December 31, 2018, and 3rd quintile ranking within its Lipper Performance Universe for the two-year and three-year periods ended December 31, 2018.
22
Bogle Investment Management
Small Cap Growth Fund
Other Information (Concluded)
(Unaudited)
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) was compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the contractual advisory fees of the Fund were slightly above the peer group median, and the actual advisory fees of the Fund were slightly above the peer group median. In addition, the Directors noted that Bogle has contractually agreed to waive management fees and reimburse expenses through December 31, 2020 to the extent that total annual Fund operating expenses exceed 1.25% for the Fund.
After reviewing the information regarding the Fund’s costs, profitability and economies of scale, and after considering Bogle’s services, the Directors concluded that the investment advisory fees paid by the Fund were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one-year period ending August 16, 2020.
23
Bogle Investment Management
Small Cap Growth Fund
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (877) 264-5346.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
24
Bogle Investment Management
Small Cap Growth Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Arnold M. Reichman | Chairman Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman Director | 2016 to present 1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, | President Chief Compliance Officer | 2009 to present 2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
25
Bogle Investment Management
Small Cap Growth Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
OFFICERS | |||||
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
26
Bogle Investment Management
Small Cap Growth Fund
Company Management (Concluded)
(Unaudited)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive-level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
27
Bogle Investment Management
Small Cap Growth Fund
Privacy Notice
(Unaudited)
FACTS | WHAT DOES THEBogle Investment Management Small Cap Growth Fund 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 areno 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 Bogle Investment Management Small Cap Growth Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does the Bogle Investment Management Small Cap Growth Fund share? | Can you limit this | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We don’t share. | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We don’t share. | |
For our affiliates to market to you | No | We don’t share. | |
For nonaffiliates to market to you | No | We don’t share. |
Questions? | Call (877) 264-5346 or go to www.boglefunds.com |
28
Bogle Investment Management
Small Cap Growth Fund
Privacy Notice (Continued)
(Unaudited)
What we do | |
How does the Bogle Investment Management Small Cap Growth Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Bogle Investment Management Small Cap Growth Fund collect my personal information? | We collect your personal information, for example, when you ● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ● sharing for affiliates’ everyday business purposes – information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
European Union’s General Data Protection Regulation | In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to ● Check whether we hold personal information about you and to access such data (in accordance with our policy) ● Request the correction of personal information about you that is inaccurate ● Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible ● Request the erasure of your personal information ● Request the restriction of processing concerning you The legal grounds for processing of your personal information is for contractual necessity and compliance with law.
If you wish to exercise any of your rights above, please call: 1-844-261-6484.
You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us.
The Bogle Investment Management Small Cap Growth Fund shall retain your personal data for as long as you are an investor in the Fund and thereafter as long as necessary to comply with applicable laws that require the Fund to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Fund may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Fund does take the security of your personal data seriously.
You also have the right to lodge a complaint with the appropriate regulatory authority with respect to issues you may have. |
29
Bogle Investment Management
Small Cap Growth Fund
Privacy Notice (Concluded)
(Unaudited)
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include Bogle Investment Management, L.P. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● The Bogle Investment Management Small Cap Growth Fund doesn’t share with nonaffiliates so they can market to you. The Fund 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 Bogle Investment Management Small Cap Growth Fund does not jointly market. |
Controller | “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the Controller or the specific criteria for its nomination may be provided for by European Union or European Member State law. |
30
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Investment Adviser
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
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, Suite 2000
Philadelphia, PA 19103-6996
BOG-AR19
Boston Partners Investment Funds
of The RBB Fund, Inc.
Annual Report
August 31, 2019
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
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
Boston Partners Emerging Markets Fund
Boston Partners Global Equity Advantage Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-888-261-4073.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-888-261-4073 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS INVESTMENT FUNDS
GENERAL MARKET COMMENTARY
Dear Shareholder,
Equity market performance was mixed for the fiscal year ended August 31, 2019, with some key indices realizing only modest returns over the trailing twelve months. The oft observed S&P 500 Index, for example, produced a mediocre gain of 2.92% over the 1-year period, although the path to that return was marked by a good deal of performance volatility caused by a number of key events.
The first third of the period (September to December 2018) was marred by a host of “risk-off” events: the initial escalation of trade tensions between the U.S. and China, two Federal Reserve (“Fed”) rate hikes, the flattening of the yield curve, weak growth in China and Europe, hawkish statements from the Fed on the future path of interest rates, Oval Office firings and a government shutdown, all contributing to the 13.03% loss for the S&P 500 Index over the first four months of the fiscal year.
Many of these “risk-off” conditions remained in place for the rest of the period, save for one major change: a 180 degree pivot by the Fed, including a cut in the Fed Funds rate in July ( the first in ten years) and a reversal of policy intentions from “We’re a long way from neutral [rates]”1to “The Fed will act as appropriate to sustain this expansion”1. Over the last eight months (or calendar ending August 31, 2019) the S&P 500 Index has gained 18.34%, spurred by what is being deemed as “The Powell Put”.
A rekindling of recession fears (a byproduct of the flat-to-inverted yield curve) led to a significant move in interest rates over the one-year period, with the yield on the 2-year Treasury falling by 112 basis points and the yield on the 10-year Treasury falling by 136 basis points. Lower rates helped lift the U.S. Aggregate Bond Index to a +6.56% return for the period. The drop in rates led to an expansion of forward price-to-earnings multiples for the S&P 500 Index from a low of 14.4X in December 2018 to 16.6X by August 2019.
What happened in the bond market also had a significant impact on the S&P 500 Index in terms of sector returns, with the bond surrogate Utilities and Real Estate sectors gaining 21.18% and 20.30%, respectively, while hindering the return of the Financials sector which fell by 2.90%. The Energy sector pulled up the rear of sector returns at -20.13%, as the price of crude oil dropped by 29.7% with the U.S. Energy Information Administration (EIA) cutting its forecast for global oil demand for seven consecutive months.
From a style perspective, large-capitalization stocks dominated small-capitalization stocks during the period, with the Russell 1000 Index returning 2.49% while the Russell 2000 Index lost 12.89%. Large-caps were rewarded for their superior operating metrics, lower leverage and higher overall quality than small-caps.
With growth (economic and earnings) becoming more expensive, Growth stocks continued their lead over Value stocks, with the Russell 1000, Russell Midcap and Russell 2000 Growth Indices beating their Value counterparts by an average of 5.54% across the three market capitalization segments. Value also suffered along with Financials, as that sector represented the largest weight in each of the small-, mid- and large-cap Russell Value indices.
From an MSCI factor standpoint, Low Volatility reigned supreme, gaining 12.66% while Value struggled with a loss of 11.02%. As an investment style, Value continued to be negatively impacted from the deceleration of both U.S. and global economic growth, which was exacerbated by the escalation of the U.S./China trade war.
International markets continued to lag the U.S. as the MSCI EAFE Index was essentially flat, with a return of 0.02% in local currency terms but falling by 2.75% in U.S. dollar terms, as the U.S. Dollar Trade Weighted Major Currency Index gained 3.38% over the period. Emerging Markets struggled further, with the MSCI EM Index dropping by 2.44% in local currency terms and by 3.99% in U.S. dollar terms. Over the one-year period the JP Morgan Emerging Market Currency Index fell by 1.98%, once again reflecting the strength of the U.S. dollar.
Looking Ahead
Central bank actions, geopolitics and the U.S./China trade war will likely continue to garner headlines in the months ahead.
The European Central Bank has all but promised to deliver a multi-faceted stimulus package at the conclusion of its monetary policy meeting on September 12, 2019 in Frankfurt. The package could contain provisions to cut rates, restart bond purchases (QE) and provide some form of compensation to banks to help offset the effect of negative interest rates in Europe.
The Fed’s Federal Open Market Committee (FOMC) will conclude its two-day meeting on September 18, 2019 with the futures market placing a 100% certainty on a rate cut and a 70% chance of a 25-basis point cut and a 30% chance of a 50-basis point cut. The futures market is also pricing in at least two more rate cuts by March 2020.
By suspending Parliament for almost a month, United Kingdom Prime Minister Boris Johnson has, in effect, reduced the amount of time that opposing MP’s have to potentially block a no-deal Brexit, and made a move that could also trigger an early election. European officials have stated that an election victory for Boris Johnson would not help him gain concessions from the European Union regarding Brexit.
Italy’s anti-establishment Five Star Movement has voted to form a coalition with its center-left former rival Democratic Party in a defeat for the anti-immigration/far right League party. The new coalition is expected to take a less combative stance toward the European Union. As the saying goes “Politics makes strange bedfellows”, particularly in Italy.
1 | Jerome Powell, Chair of the Federal Reserve |
Annual Report 2019 | 1
BOSTON PARTNERS INVESTMENT FUNDS
GENERAL MARKET COMMENTARY(CONTINUED)
In terms of trade, “Hope springs eternal”, as Chinese Vice Premier Liu He has agreed to an early October 2019 visit to Washington to reopen negotiations with the U.S.
August saw a significant increase in volatility, with the average daily price move of the S&P 500 Index during the month exceeding 1% for the first time this year. Given September’s propensity for being the worst month of the year for stock returns, and with many key issues remaining unresolved, one should not be surprised to see a continuation of heightened volatility over the near term.
Lastly, for Value investing to regain traction we believe that any one or any combination of the following conditions could provide the catalyst: a reduction in trade tensions, signs of inflation pressures building, higher long-term interest rates, additional monetary stimulus by the Fed and other foreign central banks, new fiscal stimulus programs in developed economies and/or mean-reversion, where super-stretched valuations in segments of the market (low-volatility, growth, momentum) move back towards levels that would be considered “normal” from a historical context.
2 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS SMALL CAP VALUE FUND II (UNAUDITED)
Dear Shareholder,
For the one-year period ended August 31, 2019, the small cap value market, as represented by the Russell 2000 Value Index (the “Index”), declined 14.89%. Solid positive returns earlier in 2018 were largely erased by the sharp decline of US equities in the 4th quarter of 2018, with the Index dropping 18.67%. A combination of tightening monetary policy and increased trade tensions between the US and China resulted in a stretch of volatility at year-end, beginning with a sell-off in October 2018. Then, in January 2019, the Index rebounded 10.94% and the ups and downs have continued to date. The Boston Partners Small Cap Value Fund II (the “Fund”) generally kept pace in the tumultuous environment of late 2018 and has outperformed the Index year-to-date through August, with its Class I shares up 13.74% year-to-date versus 7.31% for the Index. Overall, the Fund’s Class I shares returned -9.92% for the year ended August 31, 2019, net of fees, which is above its benchmark Index’s return of -14.89%.
For the one-year period, almost all sectors in the Index posted negative returns, many down 20% or more, with the worst sector return in Energy at -58.6%. The only exception was the Utilities sector, up significantly at 14.8%. With increased market volatility, investors fled to this defensive, yet expensive, sector. The Fund’s return dropped less than the Index for the fiscal year, with good stock selection adding value across a variety of sectors. Leading the way was the strong performance of holdings in the Consumer Services, Finance and Health Care sectors. The retail industry was hit particularly hard, declining 25% or more for the Index, and the Fund avoided many retail pitfalls while gaining positive contributions from the names it owned. Automotive dealership group, Lithia Motors Inc., was the overall top performer for the Fund. The company generated significantly better-than-expected results as its dealership model remained resilient due to parts and services revenue and used car sales, more than offsetting sluggish new car sales. Within the Finance sector, a tilt towards financial services stocks over regional banks was additive, as banks underperformed. Holdings such as mortgage insurers Essent Group and NMI Holdings added value as well as student loan management and servicer Nelnet Inc. In Health Care, diversified company, Chemed Corp., posted a 33.2% return for the period. Earnings growth is expected from both its hospice and plumbing businesses due to a very favorable ruling on Medicare reimbursement rates for hospice care along with a recent expansion of its plumbing franchise locations.
Other top contributors to relative performance included long-term holding World Fuel Services. The fuel logistics company rebounded as turnaround efforts produced earnings that doubled those of a year ago, with increased operating income from its land and marine segments as it exited lower margin businesses. Within Consumer Non-Durables, Skechers appreciated 37.6% year-to-date (7.4% for the one-year period), as the apparel company beat earnings expectations.
Conversely, the Fund’s underweight to Utilities was the leading detractor for the one-year period. An underweight to REITs also detracted. With all sectors declining – except Utilities which was up 14.8% and REITs which dropped only -2.2% – the Fund’s lack of considerable exposure to these areas detracted from relative returns. Stock valuations, based on price/earnings (P/E) ratios,
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Lithia Motors, Inc., Class A | 2.53 | % | |||
Air Lease Corp. | 2.24 | % | |||
Two Harbors Investments Corp. | 2.22 | % | |||
Assured Guaranty Ltd. | 2.18 | % | |||
World Fuel Services Corp. | 2.02 | % | |||
WESCO International, Inc. | 1.95 | % | |||
SLM Corp. | 1.91 | % | |||
Walker & Dunlop, Inc. | 1.85 | % | |||
Valvoline, Inc. | 1.84 | % | |||
Graphic Packaging Holdings Co. | 1.78 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 13.9 | x | |||
P/B: Price/Book: | 1.5 | x | |||
Holdings: | 146 | ||||
Weighted Average Market Capitalization (millions): | $2,817 | ||||
ROE: Return on Equity: | 12.9 | % | |||
OROA: Operating Return on Operating Assets: | 52.2 | % |
Portfolio holdings are subject to change at any time.
Small cap companies are those with a market capitalization similar to the Russell 2000® Index. These companies tend to be more volatile, less liquid, not as diversified in their business activities as companies with market capitalizations greater than the market capitalization of companies in the Russell 2000® Index, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign securities may expose the Fund to currency and exchange rate fluctuations. Illiquid securities may be limited in resale and cause uncertainty in determining valuation. As a result, an investment in Boston Partners Small Cap Value Fund II should be part of a carefully diversified portfolio.
for example, increased significantly in recent years as investors sought perceived ‘safety’ on recession concerns or due to higher dividend yields in an environment of low interest rates. In our view, stocks in the Utilities and REITs sectors were selling at premium prices.
Broadly, growth stocks outperformed value stocks over the last year, and this was seen even within the Fund’s benchmark Index as the higher valuation, ‘growthy’ stocks often performed better. Throughout this environment, we maintained our process of selecting stocks at reasonable valuations of companies generating solid earnings and exhibiting positive business momentum. Year-to-date through August 31, 2019, our steadfast discipline of buying more attractively-priced stocks has been rewarded with outperformance over the Index. As always, we aim to structure the Fund with better-than-market valuation, strong fundamentals and positive business momentum, which has outperformed since inception of the Fund.
Sincerely,
David Dabora, CFA
Portfolio Manager, Boston Partners Small Cap Value Fund II
Annual Report 2019 | 3
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS SMALL CAP VALUE FUND II (UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Small Cap Value Fund II vs. Russell Indices
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell indices are unmanaged, do not incur expenses and are not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||
Gross | Net | |||||||||||||||||||
Average Annual Total Return | Expense | Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partner Small Cap Value Fund II | ||||||||||||||||||||
Institutional Class | –9.92 | % | 4.84 | % | 10.82 | % | 1.15 | % | 1.10 | % | ||||||||||
Russell 2000®Value Index | –14.89 | % | 4.63 | % | 10.05 | % | n/a | n/a | ||||||||||||
Russell 2000®Index(1) | –12.89 | % | 6.41 | % | 11.59 | % | n/a | n/a |
1 | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Institutional Class shares exceeds 1.10% of the average daily net assets attributable to the Fund’s Institutional Class 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 1.10%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. (the “Board of Directors” or the “Board”). If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.10% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. Annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
4 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS SMALL CAP VALUE FUND II (UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $10,000 Investment in
Boston Partners Small Cap Value Fund II vs. Russell Indices
The chart assumes a hypothetical $10,000 initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell indices are unmanaged, do not incur expenses and are not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||
Gross | Net | |||||||||||||||||||
Average Annual Total Return | Expense | Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Investor Class | –10.20 | % | 4.57 | % | 10.54 | % | 1.40 | % | 1.35 | % | ||||||||||
Russell 2000®Value Index | –14.89 | % | 4.63 | % | 10.05 | % | n/a | n/a | ||||||||||||
Russell 2000®Index(1) | –12.89 | % | 6.41 | % | 11.59 | % | n/a | n/a |
1 | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Investor Class shares exceeds 1.35% of the average daily net assets attributable to the Fund’s Investor Class 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 1.35%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time, the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.35% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
Annual Report 2019 | 5
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT EQUITY FUND(UNAUDITED)
Dear Shareholder:
The Boston Partners Long/Short Equity Fund (“Fund”) – Institutional Class shares returned -6.05% net of fees while averaging 48% net long exposure for the fiscal year ended August 31, 2019. This compares to the 2.92% return posted by the S&P 500 Index during the same period.
The fiscal year was marked by erratic stock market performance, as the S&P 500 Index plummeted over the final months of 2018 and subsequently, in 2019, posted the best first half calendar year return since 1997. Stock investors were spooked by heightened trade tensions between Washington and Beijing, an inverted U.S. yield curve, as well as geopolitical turmoil across much of Europe, highlighted by a messy Brexit. The response was a seemingly crowded trade into what has been viewed as assets with “defensive” characteristics: strong revenue growth and low beta. We observe that many of the stocks with strong revenue growth lack material free cash flow generation yet trade at statistically extreme multiples of sales, while the stocks with low beta trade at a premium to the market not seen in many years. With statistically rich valuations coupled with subpar profitability and/or earnings growth, we do not view these investments as defensive. Growth continued its dominance over value, with the Russell 3000 Growth Index returning 3.09% during the fiscal year compared to the -0.56% return of the Russell 3000 Value Index. This was a headwind for our value-oriented investment approach, as the most expensive cohort of the S&P 500 Index led the Index’s return.
The Fund’s long holdings were down approximately 10.05%, with the Fund’s low price-to-earnings tilt relative to the S&P 500 Index (owning inexpensive instead of expensive stocks) being the primary driver of long underperformance. Energy, Health Care and Finance holdings were the top sector detractors. Energy longs were down along with the price of oil, with exploration and production (E&P) and oil services holdings representing the largest detractors. Services and pharmaceuticals within the Health Care sector were down as political rhetoric weighed on the sector; we continue to find ample attractive opportunities in the space. Insurance and financial services holdings detracted within the Finance sector, yet we remain attracted to the significant total yields (stock buybacks plus dividends), strong balance sheets and very low absolute and relative valuations of securities in these industries.
The Fund’s short holdings declined in price approximately 11.51%, positively contributing to the Fund’s return. Gains were most prominent in the Consumer Services, Health Care, and Consumer Non-Durables sectors. Retailers and business services holdings fell in price due to stretched valuations and deteriorating momentum. Within the Health Care sector, smaller-cap services and supplies names retreated from lofty relative and absolute valuations. Gains within the Consumer Non-Durables sector were primarily sourced from beverages, foods, and recreational products.
For market gains to be sustained going forward, we believe that a positive resolution to the US-China trade war and/or US and European central banks’ continued support of economic growth will need to become a reality, as both earnings and economic prospects in the near-to-intermediate term look mundane
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Comcast Corp., Class A | 2.79 | % | |||
Facebook, Inc., Class A | 2.10 | % | |||
Citigroup, Inc. | 2.06 | % | |||
Chevron Corp. | 2.00 | % | |||
Berkshire Hathway, Inc., Class B | 1.72 | % | |||
Johnson & Johnson | 1.54 | % | |||
KBR, Inc. | 1.28 | % | |||
UnitedHealth Group, Inc. | 1.23 | % | |||
Bank of America Corp. | 1.23 | % | |||
Fox Corp., Class B | 1.21 | % |
Portfolio Review (as of 8/31/19) | Long | Short | ||||||
P/E: Price/Earnings: | 15.4 | x | 31.8 | x | ||||
P/B: Price/Book: | 1.9 | x | 4.8 | x | ||||
Holdings: | 145 | 130 | ||||||
Weighted Average Market Capitalization (millions): | $67,683 | $8,483 | ||||||
ROE: Return on Equity: | 16.0 | % | –20.3 | % | ||||
OROA: Operating Return on Operating Assets: | 43.0 | % | –53.3 | % |
Portfolio holdings are subject to change at any time.
The Boston Partners Long/Short Equity Fund may be more volatile and risky than some other forms of investments. Since the Fund has both a long and a short portfolio, there is the risk that the portfolio managers may make more poor investment decisions than those of a fund with only a long portfolio. The Fund may have a high portfolio turnover rate that could increase transaction costs and cause short-term capital gains to be realized. Investments made in small or mid- capitalization companies may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign securities may expose the Fund to currency and exchange rate fluctuations. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. High yield debt (also known as “junk bonds”), may be sensitive to changes in financial strength of an issuer or the debt’s credit rating;an issuer of high yield debt may default on its obligation to pay interest and principal. All of these factors may cause greater volatility and less liquidity.
at best. While the Bank of Japan and the European Central Bank have also promised the necessary stimulus required to keep the Japanese and European economies afloat, by far the most important event in the near term will be what takes place at the Federal Reserve’s (“Fed”) FOMC committee meetings. With investors betting that a cut is “baked-in-the-cake”, we believe that market risk is probably skewed towards the downside unless a “miraculous” turn of economic events occurs, helping to offset any potential disappointment arising from the Fed. The chances of a near term resolution to the U.S./China trade war look slim, as the only real outcome of the Trump/Xi meeting in Osaka was just some assurance that there would be no near-term escalation of the conflict. Identifying and constructing the nitty-gritty details required to produce a long-term agreement that would appease both countries remains a daunting task.
We continue to focus our efforts on purchasing shares of only those companies we deem most likely to appreciate on the long side, while selling short securities likely to fail due to a
6 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT EQUITY FUND(UNAUDITED) (CONTINUED)
combination of valuation risk, earnings risk, and/or balance sheet risk. Our analysis process is bottom-up and rooted in the three circles framework of low valuation, positive momentum and strong business fundamentals that the portfolio managers of Boston Partners and its predecessors have been employing for over a quarter century.
Sincerely,
Pat Regan, CFA and Robert Jones, CFA
Portfolio Managers for the Boston Partners Long/Short Equity Fund
Annual Report 2019 | 7
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT EQUITY FUND(UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Long/Short Equity Fund vs. S&P 500® Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||
Gross | Net | |||||||||||||||||||
Average Annual Total Return | Expense | Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional Class | –6.05 | % | 0.42 | % | 7.10 | % | 3.01 | % | 3.01 | % | ||||||||||
S&P 500® Index | 2.92 | % | 10.11 | % | 13.45 | % | n/a | n/a |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) for the Fund’s Institutional Class exceeds 2.50% of the average daily net assets attributable to the Fund’s Institutional Class shares. Because dividend expenses on short sales, acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and expense reimbursements) are expected to exceed 2.50%. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. The Adviser may not recoup any of its waived investment advisory fees. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
8 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT EQUITY FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $10,000 Investment in
Boston Partners Long/Short Equity Fund vs. S&P 500® Index
The chart assumes a hypothetical $10,000 initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||
Gross | Net | |||||||||||||||||||
Average Annual Total Return | Expense | Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Investor Class | –6.27 | % | 0.17 | % | 6.78 | % | 3.26 | % | 3.26 | % | ||||||||||
S&P 500® Index | 2.92 | % | 10.11 | % | 13.45 | % | n/a | n/a |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) for the Fund’s Investor Class shares exceeds 2.75% of the average daily net assets attributable to the Fund’s Investor Class shares. Because dividend expenses on short sales, acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and expense reimbursements) are expected to exceed 2.75%. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. The Adviser may not recoup any of its waived investment advisory fees. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
Annual Report 2019 | 9
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT RESEARCH FUND(UNAUDITED)
Dear Shareholder:
The Boston Partners Long/Short Research Fund (“Fund”) – Institutional Class shares returned -4.05% net of fees while averaging 50% net long exposure for the fiscal year ended August 31, 2019. This compares to the 2.92% return posted by the S&P 500 Index during the same period.
The fiscal year was marked by erratic stock market performance, as the S&P 500 Index plummeted over the final months of 2018 and subsequently, in 2019, posted the best first half calendar year return since 1997. Stock investors were spooked by heightened trade tensions between Washington and Beijing, an inverted U.S. yield curve, as well as geopolitical turmoil across much of Europe, highlighted by a messy Brexit. The response was a seemingly crowded trade into what has been viewed as assets with “defensive” characteristics: strong revenue growth and low beta. We observe that many of the stocks with strong revenue growth lack material free cash flow generation yet trade at statistically extreme multiples of sales, while stocks with low beta trade at a premium to the market not seen in many years. With statistically rich valuations coupled with subpar profitability and/or earnings growth, we do not view these investments as defensive. Growth continued its dominance over value, with the Russell 3000 Growth Index returning 3.09% during the fiscal year compared to the -0.56% return of the Russell 3000 Value Index. This was a headwind for our value-oriented investment approach, as the most expensive cohort of the S&P 500 Index led the Index’s return.
The Fund’s long holdings were down approximately 5.63%. Top long detractors included investments in the Energy, Technology, and Finance sectors. Energy longs were down along with the price of oil, with exploration and production (E&P) and oil services holdings representing the largest detractors. Within the Technology sector, computer equipment manufacturers and services providers were adversely affected by slowing spending across large enterprise customers, though valuations remain very attractive. Banks and financial services holdings detracted within the Finance sector, yet we remain attracted to the significant total yields (stock buybacks plus dividends), strong balance sheets and very low absolute and relative valuations of securities in these industries.
The Fund’s short holdings were down in price approximately 6.37% and positively contributed to Fund returns. Gains were generated in the Energy, Consumer Durables and Finance sectors. Energy shorts were down in price significantly more than our longs within the sector, as E&P and oil services holdings led the decline. Autos and auto parts holdings within the Consumer Durables sector were down, as end markets weakened. Regional banks shorts within the Finance sector sold off as the yield curve flattened during the period, pressuring interest income and near-term earnings estimates.
The Fund began the period with 48% net long exposure and ended with 47% net long exposure, a decrease attributable to adding several shorts amid the market rally early in 2019. At the end of the period, the largest exposures in the long portfolio resided in the Finance, Technology, and Health Care sectors, while largest short exposures were in the Technology, Finance, and Consumer Services sectors. We continue to favor large-caps
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Alphabet, Inc., Class A | 1.81 | % | |||
Microsoft Corp. | 1.60 | % | |||
Comcast Corp., Class A | 1.59 | % | |||
ebay, Inc. | 1.45 | % | |||
JP Morgan Chase & Co. | 1.30 | % | |||
Citigroup, Inc. | 1.29 | % | |||
Johnson & Johnson | 1.28 | % | |||
Bank of America Corp. | 1.24 | % | |||
Mondelez International, Inc., Class A | 1.22 | % | |||
Kansas City Southern | 1.14 | % |
Portfolio Review (as of 8/31/19) | Long | Short | ||||||
P/E: Price/Earnings: | 15.0 | x | 19.8 | x | ||||
P/B: Price/Book: | 2.1 | x | 2.3 | x | ||||
Holdings: | 183 | 164 | ||||||
Weighted Average Market Capitalization (millions): | $87,756 | $7,917 | ||||||
ROE: Return on Equity: | 23.9 | % | 3.8 | % | ||||
OROA: Operating Return on Operating Assets: | 83.0 | % | 2.6 | % |
Portfolio holdings are subject to change at any time.
The Boston Partners Long/Short Research Fund may be more volatile and risky than some other forms of investments. Fund will engage in short sales, which creates a form of investment leverage and means the Fund’s loss potential on a short sale is unlimited. Fluctuations in the market value of the Fund’s portfolio may have disproportionately large effects or cause the NAV of the Fund to decline faster than it would otherwise. Investments made in small or mid-capitalization companies may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign securities may expose the Fund to currency and exchange rate fluctuations. Derivatives (futures, options, swaps) may be leveraged and result in losses exceeding the amounts invested. REITs include the risk of possible declines in the value of real estate, possible lack of availability of mortgage funds and unexpected vacancies of properties. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. High yield debt (also known as “junk bonds”) may be sensitive to changes in financial strength of an issuer or the debt’s credit rating; an issuer of high yield debt may default on its obligation to pay interest and principal. The Fund may experience high portfolio turnover which may result in higher costs and capital gains.
on the long side and small- to mid-cap stocks on the short side of the Fund’s portfolio.
For market gains to be sustained going forward, we believe that a positive resolution to the US-China trade war and/or US and European central banks’ continued support of economic growth will need to become a reality, as both earnings and economic prospects in the near-to-intermediate term look mundane at best. While the Bank of Japan and the European Central Bank have also promised the necessary stimulus required to keep the Japanese and European economies afloat, by far the most important event in the near term will be what takes place at the Federal Reserve’s (“Fed”) FOMC committee meetings. With investors betting that a cut is “baked-in-the-cake”, we believe
10 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT RESEARCH FUND(UNAUDITED) (CONTINUED)
that market risk is probably skewed towards the downside unless a “miraculous” turn of economic events occurs, helping to offset any potential disappointment arising from the Fed. The chances of a near term resolution to the U.S./China trade war look slim, as the only real outcome of the Trump/Xi meeting in Osaka was just some assurance that there would be no near-term escalation of the conflict. Identifying and constructing the nitty-gritty details required to produce a long-term agreement that would appease both countries remains a daunting task.
The portfolio managers managing the Fund continue to focus their efforts on purchasing shares of only those companies they deem most likely to appreciate on the long side, while selling short securities likely to fail due to a combination of valuation risk, earnings risk, and/or balance sheet risk. Our analysis process is bottom-up and rooted in the three circles framework of low valuation, positive momentum and strong business fundamentals that the portfolio managers of Boston Partners and its predecessors have been employing for over a quarter century.
Sincerely,
Joseph Feeney, CFA & Eric Connerly, CFA
Portfolio Managers for the Boston Partners Long/Short Research Fund
Annual Report 2019 | 11
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT RESEARCH FUND(UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Long/Short Research Fund vs. S&P 500® Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on September 30, 2010 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Average Annual Total Return | Since | Expense | Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||||||
Institutional Class(1) | –4.05 | % | 2.11 | % | n/a | 6.26 | % | 2.10 | % | 2.10 | % | |||||||||||||
S&P 500 Index | 2.92 | % | 10.11 | % | n/a | 13.49 | %(2) | n/a | n/a |
1 | Inception date of the class was September 30, 2010. |
2 | Index Performance is from inception date of the Class only and is not the inception date of the index 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. The Adviser has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) exceeds 1.50% of the average daily net assets attributable to the Fund’s Institutional Class shares. Because acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and expense reimbursements) are expected to exceed 1.50%. This contractual limitation is in effect until at least February 29, 2020 and may not be terminated without approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.50% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www. boston-partners.com.
12 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS LONG/SHORT RESEARCH FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $10,000 Investment in
Boston Partners Long/Short Research Fund vs. S&P 500® Index
The chart assumes a hypothetical $10,000 initial investment in the Fund made on November 29, 2010 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Average Annual Total Return | Since | Expense | Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||||||
Investor Class(1) | –4.27 | % | 1.86 | % | n/a | 5.65 | % | 2.35 | % | 2.35 | % | |||||||||||||
S&P 500®Index | 2.92 | % | 10.11 | % | n/a | 13.18 | %(2) | n/a | n/a |
1 | Inception date of the class was November 29, 2010. |
2 | Index Performance is from inception date of the Class only and is not the inception date of the index 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. The Adviser has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) exceeds 1.75% of the average daily net assets attributable to the Fund’s Investor Class shares. Because acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and expense reimbursements) are expected to exceed 1.75%. This contractual limitation is in effect until at least February 29, 2020 and may not be terminated without approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.75% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www. boston-partners.com.
Annual Report 2019 | 13
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS ALL-CAP VALUE FUND(UNAUDITED)
Dear Shareholder,
The Boston Partners All-Cap Value Fund (“Fund”) underperformed its benchmark, the Russell 3000® Value Index (“Benchmark”), for the fiscal year ended August 31, 2019. Institutional Class shares of the Fund generated a net return of -4.65% during the past year, versus the Benchmark’s return of -0.56%.
During the fiscal year ended August 31, 2019, our preference for low valuation companies impacted our performance, as more expensive stocks outperformed during this defensive market environment. Over this period, our overweight to stocks with lower price-to-earnings ratios and our underweight of higher price-to-earnings companies were responsible for our lagging relative performance. For example, our underweight to the Utilities, REITs and Communications sectors impacted our relative returns. These sectors, while possessing high payout ratios, are extremely expensive by historical standards. The Fund had little to no exposure to these high-yielding, expensive and defensive sectors. These areas of the market performed well in the period, as interest rates fell and investors fled to perceived safety during the market sell-off in the fourth quarter of 2018. Our investment discipline has not found many attractive opportunities in this portion of the market. The Fund’s sector positioning is entirely a result of our bottom-up stock selection process aimed at finding inexpensive, high quality investments with improving business momentum.
The Fund’s holdings in the Technology sector were also affected by the market environment during the fiscal year. Two of our holdings, DXC Technology and Alliance Data Systems, underperformed despite trading at historically low valuation levels. Both companies failed to meet investor expectations this year and, uncharacteristically, their low valuations did not help support their stocks. Despite the low valuation, we exited DXC Technology on deteriorating business momentum. Alliance Data Systems is undergoing a restructuring to cut corporate costs and sell non-core businesses. We believe the company is undervalued and has strong growth potential under its new leadership and corporate structure. We continue to own our position.
During the period, we bought and sold companies when opportunities that fit our Three Circle criteria presented themselves or if our sell discipline was triggered. Within the Health Care sector, we initiated a position in Biogen Inc., a biotech company that develops and manufactures therapies for the treatment of neurological and neurodegenerative diseases worldwide. We believe that the company is attractively valued, with strong returns, a net cash balance sheet, and good capital use. In the Consumer Services sector, we initiated a position in Fox Corporation, a news and entertainment company that exhibits attractive fundamentals and valuation along with improving business momentum. We believe that this company represents a top tier media asset that should generate strong free cash flow growth enabled by leading live content ratings trends, which mitigates secular pressures of the industry. We exited our position in EQT Corp, a natural gas production company in the Energy sector. We closed this position due to the company’s deteriorating fundamentals and weakened momentum. In the Technology sector, we exited our position in GrafTech International. The company has struggled due to declining spot graphite electrode prices and management has become less
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Merck & Co, Inc. | 2.46 | % | |||
Bank of America Corp. | 2.11 | % | |||
JP Morgan Chase & Co. | 2.00 | % | |||
Medtronic PLC | 1.99 | % | |||
American International Group, Inc. | 1.90 | % | |||
Citigroup, Inc. | 1.85 | % | |||
Johnson & Johnson | 1.71 | % | |||
PepsiCo, Inc. | 1.69 | % | |||
Cisco Systems, Inc. | 1.68 | % | |||
Chubb Ltd. | 1.60 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 14.3 | x | |||
P/B: Price/Book: | 1.8 | x | |||
Holdings: | 138 | ||||
Weighted Average Market Capitalization (millions): | $99,166 | ||||
ROE: Return on Equity: | 19.7 | % | |||
OROA: Operating Return on Operating Assets: | 96.1 | % |
Portfolio holdings are subject to change at any time.
The Boston Partners All-Cap Value Fund may invest small cap companies. These companies may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Derivatives (futures, options, swaps) may be leveraged and result in losses exceeding the amounts invested. Foreign securities may expose the Fund to currency and exchange rate fluctuations. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. Options (a type of derivative) can be highly volatile and their use can result in loss if the portfolio manager is incorrect in its expectation of price fluctuations. All of these factors may cause greater volatility and less liquidity.
transparent about the drivers of their quarterly sales volumes. Over the past year, we have increased our exposure to the Health Care and Consumer Non-Durables sectors and reduced our weighting to the Finance, Technology and Energy sectors. Looking ahead, we will continue to invest your Fund on a stock-by-stock basis within our Three-Circle framework of attractive valuation, strong business fundamentals and positive business momentum. We believe that the Fund’s valuation edge and quality advantage over the Benchmark has positioned the Fund favorably for the longer term. We look forward to keeping you informed of the work we are doing on your Fund’s behalf.
Duilio Ramallo, CFA – Portfolio Manager
Boston Partners All-Cap Value Fund
14 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS ALL-CAP VALUE FUND(UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners All-Cap Value Fund vs. Russell Indices
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell indices are unmanaged, do not incur expenses and are not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Gross Expense | Net Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Institutional Class | –4.65 | % | 7.01 | % | 11.70 | % | 0.81 | % | 0.80 | % | ||||||||||
Russell 3000®Value Index | –0.56 | % | 6.46 | % | 11.39 | % | n/a | n/a | ||||||||||||
Russell 3000®Index(1) | 1.31 | % | 9.60 | % | 13.35 | % | n/a | n/a |
1 | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Institutional Class shares exceeds 0.80% of the average daily net assets attributable to the Fund’s Institutional Class 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 0.80%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. The Adviser may not recoup any of its waived investment advisory fees. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
Annual Report2019 | 15
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS ALL-CAP VALUE FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $10,000 Investment in
Boston Partners All-Cap Value Fund vs. Russell Indices
The chart assumes a hypothetical $10,000 initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell indices are unmanaged, do not incur expenses and are not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Gross Expense | Net Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Investor Class | –4.90 | % | 6.74 | % | 11.44 | % | 1.06 | % | 1.05 | % | ||||||||||
Russell 3000®Value Index | –0.56 | % | 6.46 | % | 11.39 | % | n/a | n/a | ||||||||||||
Russell 3000®Index(1) | 1.31 | % | 9.60 | % | 13.35 | % | n/a | n/a |
1 | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Investor Class shares exceeds 1.05% of the average daily net assets attributable to the Fund’s Investor Class 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 1.05%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. The Adviser may not recoup any of its waived investment advisory fees. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
16 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
WPG PARTNERS SMALL/MICRO CAP VALUE FUND(UNAUDITED)
Dear Shareholder,
For the fiscal year ended August 31, 2019, the Boston Partners WPG Small/Micro Cap Value Fund (“Fund’’) – Institutional Class shares underperformed the Fund’s benchmark, the Russell 2000 Value Index. The Fund generated a net loss of 18.85% versus the Russell 2000 Value Index, which generated a loss of 14.89% during the fiscal year. Returns for both Growth and Large Cap stocks exceeded those of Small-Cap and Value stocks. The Russell 2000 Growth Index was down 10.44%, the Nasdaq 100 was up 1.75% and the S&P 500 was up 2.85% during the fiscal year. This pronounced shift away from Value has prevailed in the market for the better part of this decade. The embodiment of this is the relentless focus on the “FANG” (Facebook, Amazon, Netflix, Google) stocks. These stocks offer compelling characteristics for current investors: they are both large and fast growers. Beyond these stocks though, even stocks included in the more mainstream S&P 500 Index have offered better performance. While we cannot predict when the climate for our style of investing will sustainably improve, recent relative performance has been encouraging.
For the 2019 fiscal year, almost all the Fund’s underperformance can be attributed to sector allocation. The most significant detractor was the Energy sector. Energy stocks were down almost 60% during the fiscal year. The sector was buffeted by a decline in its underlying commodities, both oil and gas, as well as a continuing slowdown in related capital spending. The next largest detractor was the Utility sector. Utilities were the best performing sector in the Fund’s benchmark during the fiscal year, up almost 15%. The Fund’s stock selection was ahead of its benchmark, but our underweight in the Utilities sector was a drag on performance. Utility stocks benefitted from two trends. First, long term interest rates began a precipitous decline early in the fiscal year. Second, consolidation activity continued in the utility space. The Fund’s best performing sectors were Healthcare and Finance. While Healthcare underperformed the Fund’s benchmark, down 37%, the Fund benefitted from a significant underweight. Our mindset had been that there was little value in the sector. Finance benefitted from very good stock selection.
Two dominant themes appear to be emerging as we begin the new fiscal year: declining interest rates and a global slowdown. First, interest rates appear to have reverted to “low for long.” Last year’s rise in interest rates now appears to be an aberration in a multi-year down trend. In fact, the 10-year Treasury is now hitting record low yields. The discussion of negative yields in other economies is relevant, but part of a much broader discussion. For short term interest rates, the narrative has also dramatically changed. Last year at this time, we were speculating about how many more Federal Reserve (“Fed”) funds rate increases we would endure. Today, it is widely assumed that the Fed will reduce interest rates for the foreseeable future. Second, economies across the globe are slowing. Even before tariffs became the topic de jure, many regions were slowing or in recession. The difference today is that large economies are part of the discussion, including Germany and China.
As a result, the world is experiencing a renewed focus on monetary easing and fiscal stimulus. The European Central Bank and China have been very upfront about trying to alleviate the
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Popular, Inc. | 3.22 | % | |||
KBR, Inc. | 3.21 | % | |||
ICF International, Inc. | 2.53 | % | |||
Tutor Perini Corp. | 2.51 | % | |||
Microstrategy, Inc., Class A | 2.26 | % | |||
Essential Properties Realty Trust, Inc. | 2.26 | % | |||
Generac Holdings, Inc. | 2.24 | % | |||
Schweitzer-Mauduit International, Inc. | 2.19 | % | |||
Kemper Corp. | 2.13 | % | |||
Investors Real Estate Trust | 2.13 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 12.5 | x | |||
P/B: Price/Book: | 1.2 | x | |||
Holdings: | 90 | ||||
Weighted Average Market Capitalization (millions): | $1,880 | ||||
ROE: Return on Equity: | 3.4 | % | |||
OROA: Operating Return on Operating Assets: | 14.5 | % |
Portfolio holdings are subject to change at any time.
Value investing involves buying the stocks of companies that are out of favor or are undervalued. This may adversely affect The WPG Partners Small/ Micro Cap Value Fund’s value and return. Investments in REITs include the risk of possible declines in the value of real estate, possible lack of availability of mortgage funds and unexpected vacancies of properties. The purchase of rights and warrants involves risk that the Fund could lose the purchase value of the right or warrant if the right to subscribe to additional shares is not executed prior to the right’s or warrant’s expiration. The effective price paid for a right or warrant may exceed the value of the subscribed security’s market price. Investments made in small or micro-capitalization companies may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small and micro-caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange.
current slowdown. The Fed seems to be the laggard. The Fed is, however, showing signs of moving towards a significantly more accommodative posture.
Presently, the US economy appears to be decelerating but we believe that it is not moving into recession. Certain sectors, such as Manufacturing and Autos are soft. On the other hand, Consumer Spending seems to be holding up quite well. The recent decline in interest rates should act as a stimulus: mortgage and corporate debt financing have both picked up.
We remain confident in our investment style and discipline. Overall, we believe that the outlook for equites should be good. Global turmoil is a constant part of the scenery. However, the increase in global liquidity is usually a nice tailwind in addition to stable underlying energy commodity prices. We believe our portfolio is well positioned once money flows shift into small-cap value-oriented assets.
Sincerely,
Richard Shuster, CFA
Portfolio Manager, Boston Partners WPG Small/Micro Cap Value Fund
Annual Report2019 | 17
BOSTON PARTNERS INVESTMENT FUNDS
WPG PARTNERS SMALL/MICRO CAP VALUE FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $100,000 Investment in
WPG Partners Small/Micro Cap Value Fund vs. Russell 2000® Value Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Value Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Gross Expense | Net Expense | ||||||||||||||||||
1 Year | 5 Year | 10 Year | Ratio | Ratio | ||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||
Institutional Class | –18.85 | % | –2.55 | % | 6.49 | % | 1.11 | % | 1.10 | % | ||||||||||
Russell 2000®Value Index | –14.89 | % | 4.63 | % | 10.05 | % | n/a | n/a |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Institutional Class shares exceeds 1.10% of the average daily net assets attributable to the Fund’s Institutional Class 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 1.10%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.10% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
18 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL EQUITY FUND(UNAUDITED)
Dear Shareholder,
The Boston Partners Global Equity Fund (“Fund”) returned -7.92% for the trailing 12-months ended August 31, 2019. During that same period, the MSCI World Index – Net Return returned 0.26%. Equity market performance was heavily influenced by geopolitical and macro-economic issues. Markets oscillated with the rise and fall of US-China trade tensions, and with speculation about the US Federal Reserve’s (“US Fed”) next move. The MSCI World Index’s most difficult performance period during the prior 12-months took place between September and December of 2018, when fears about the trade war’s effect on the global economy and expectations of US Fed tightening peaked. Investments flowed back into equity markets during the beginning of 2019 on optimism that US-China trade talks would bear fruit and after the US Fed scuttled its planned rate increases. More recently, equity markets have cooled after China escalated the trade war by letting the yuan sink below 7 per dollar, a move that suggests the level is no longer a line in the sand for policy makers in Beijing.
The period was also marked by the pronounced outperformance of Low Volatility, Price Momentum, and Growth styles of investing over Value investing. The performance of the aforementioned investment styles and the macro-backdrop described in the previous paragraph are related. Market participants continued to seek out momentum and “stability” at the expense of valuation or financial productivity in the face of heightened uncertainty. During up markets, expensive Growth and Momentum stocks have led, while during down markets, perceived stability and bond proxies have outperformed. In short, valuation has been irrelevant among many market participants when making investment decisions.
Value remains as important as ever to us. Most readers of this letter already know that Valuation, along with Fundamentals and Business Momentum are components in our Three Circle Stock Selection process. The impact of Value’s underperformance has been most acute and observable in the results from our quantitative model. Although we are bottom-up, fundamental stock-pickers we make use of quantitative tools. The quantitative model ranks investable stocks based upon a number of value, quality, and momentum factors. Ultimately, these factors are rolled up into a composite score and help to steer our fundamental analysts towards what we believe are quality stocks. Over the trailing year, stocks with attractive Value scores based on this model underperformed the MSCI World Index to a magnitude last seen during the 2008 financial crisis and Tech Bubble. Despite the recent underperformance of Value investing, our firm’s experience has demonstrated the benefits of incorporating Valuation with our Three Circle Stock Selection process. As a result of Value being ignored, if not penalized, we have been able to construct a Fund trading at its deepest historical discount relative to the MSCI World Index, while still maintaining favorable fundamental and business momentum characteristics. September 2018 began with Price Momentum investing showing signs of significant stress, reminiscent of Price Momentum’s underper-formance and Value’s resurgence following the Tech Bubble and Financial Crisis. Given the Fund’s attractive Three-Circle characteristics with a compelling Value proposition, we are optimistic about the period ahead.
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Microsoft Corp. | 3.20 | % | |||
Berkshire Hathway, Inc., Class B | 2.90 | % | |||
Danone SA | 2.56 | % | |||
Verizon Communications, Inc. | 2.34 | % | |||
Sony Corp. | 2.28 | % | |||
Alphabet, Inc., Class C | 1.97 | % | |||
United Technologies Corp. | 1.90 | % | |||
Comcast Corp., Class A | 1.87 | % | |||
Medtronic PLC | 1.74 | % | |||
Novo Nordisk A/S Class B | 1.71 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 14.9 | x | |||
P/B: Price/Book: | 1.8 | x | |||
Holdings: | 111 | ||||
Weighted Average Market Capitalization (millions): | $110,807 | ||||
ROE: Return on Equity: | 19.5 | % | |||
OROA: Operating Return on Operating Assets: | 50.8 | % |
Portfolio holdings are subject to change at any time.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than US dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing and other financial practices. Investment in emerging market securities may increase these risks. Emerging markets investments are subject to the aforementioned risks, along with periods of high inflation, increased risk of default, less governmental supervision and regulation of securities markets, lack of liquidity in the markets and significantly smaller market capitalizations. The Fund may invest in small and mid-cap companies which may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the- counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. An investment in the Fund should be part of a carefully diversified portfolio.
As always, our strategy remains focused on identifying dislocations between underlying fundamentals and valuations on an individual company basis. Sector and Region allocation are the by-products of bottom-up stock selection. The fund experienced a challenging performance environment across most sectors and regions, led by underperformance within North America, where the outperformance of Momentum was most severe.
Materials and Communication Services are the most overweight sectors in the portfolio. The Materials overweight is led by Construction Materials and Metals & Mining. Technology is the most underweight sector, mainly because of valuations. The portfolio remains underweight the REITs and Utilities sectors. From a regional perspective, the portfolio is overweight Europe and Emerging Markets at the expense of North America and the Pacific ex-Japan. The underlying rationale for all Fund exposures is the dislocation between valuations and company fundamentals.
Sincerely,
Christopher K. Hart, CFA
Senior Portfolio Manager, Boston Partners Global Equity Fund
Annual Report2019 | 19
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL EQUITY FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Global Equity Fund vs. MSCI World Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on December 30, 2011 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI World Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Since | Gross Expense | Net Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||||||
Institutional Class(1) | –7.92 | % | 3.84 | % | n/a | 9.23 | % | 1.04 | % | 0.95 | % | |||||||||||||
MSCI World Index – Gross Return | 0.84 | % | 6.75 | % | n/a | 10.87 | %(2) | n/a | n/a | |||||||||||||||
MSCI World Index – Net Return | 0.26 | % | 6.15 | % | n/a | 10.24 | %(2) | n/a | n/a |
1 | Inception date of the fund was December 30, 2011. |
2 | Index Performance is from inception date of the Class only and is not the inception date of the index 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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Institutional Class shares exceeds 0.95% of the average daily net assets attributable to the Fund’s Institutional Class 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 0.95%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 0.95% or the expense cap then in effect, or whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
20 | Annual Report2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL LONG/SHORT FUND(UNAUDITED)
Dear Shareholder:
The Boston Partners Global Long/Short Fund (“Fund”) – Institutional Class shares returned -5.00% net of fees while averaging 47% net long exposure for the fiscal year ended August 31, 2019. This compares to the 0.26% return posted by the MSCI World Index – Net Return during the same period.
The fiscal year was marked by erratic stock market performance, as the MSCI World NR Index plummeted over the final months of 2018 and subsequently, in 2019, posted the best first half calendar year return in over a decade. Stock investors were spooked by heightened trade tensions between Washington and Beijing, an inverted U.S. yield curve, as well as geopolitical turmoil across much of Europe, highlighted by a messy Brexit. The response was a seemingly crowded trade into what has been viewed as assets with “defensive” characteristics: strong revenue growth and low beta. We observe that many of the stocks with strong revenue growth lack material free cash flow generation yet trade at statistically extreme multiples of sales, while stocks with low beta trade at a premium to the market not seen in many years. With statistically rich valuations coupled with subpar profitability and/or earnings growth, we do not view these investments as defensive. Growth continued its dominance over value, with the MSCI World Growth Index returning 2.73% during the fiscal year compared to the -2.21% return of the MSCI World Value Index. This was a headwind for our value-oriented investment approach, as the most expensive cohort of the MSCI World Index led the Index’s return.
The Fund’s long holdings were down approximately 8.44%, with the Fund’s low price-to-earnings tilt relative to the MSCI World NR Index (owning inexpensive instead of expensive stocks) being the primary driver of long underperformance. Top long detractors included the Fund’s investments in the Energy, Materials, and Financials sectors. Energy longs were down along with the price of oil, with exploration and production (E&P) holdings representing the largest detractors. Within the Materials sector, specialty chemicals holdings declined primarily during the selloff late in 2019, though we continue to see attractive opportunities in the industry. Banks and financial services holdings detracted within the Finance sector, yet we remain attracted to the significant total yields (stock buybacks plus dividends), strong balance sheets and very low absolute and relative valuations of securities in those industries.
The Fund’s short holdings were down in price approximately 9.61% and positively contributed to Fund returns. Gains were generated in the Energy, Consumer Discretionary and Industrial sectors. Energy shorts were down in price significantly more than our longs within the sector, as E&P and oil services holdings led the decline. Several auto and retail shorts retreated from lofty valuations during the year and added to performance. Business services and machinery shorts were primary contributors within the Industrials sector.
The Fund began the period with 50% net long exposure and ended with 42% net long exposure, a decrease attributable to adding short positions amid the market rally early in 2019. At the end of the period, the largest exposures in the long portfolio resided in the Financials, Technology, and Industrials sectors, while largest short exposures were in the Consumer Discretionary,
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Microsoft Corp. | 3.24 | % | |||
Berkshire Hathway, Inc. Class B | 3.08 | % | |||
Danone SA | 2.77 | % | |||
Sony Corp. | 2.60 | % | |||
Alphabet, Inc. Class C | 2.14 | % | |||
Medtronic PLC | 2.01 | % | |||
Verizon Communications, Inc. | 1.90 | % | |||
Barrick Gold Corp. | 1.77 | % | |||
Vistra Energy Corp. | 1.75 | % | |||
TOTAL SA | 1.73 | % |
Portfolio Review (as of 8/31/19) | Long | Short | ||||||
P/E: Price/Earnings: | 14.4 | x | 20.6 | x | ||||
P/B: Price/Book: | 1.7 | x | 2.6 | x | ||||
Holdings: | 106 | 150 | ||||||
Weighted Average Market Capitalization (millions): | $107,253 | $11,375 | ||||||
ROE: Return on Equity: | 18.7 | % | 6.7 | % | ||||
OROA: Operating Return on Operating Assets: | 53.1 | % | 22.1 | % |
Portfolio holdings are subject to change at any time.
The Fund will engage in short sales, which creates a form of investment leverage and means the Fund’s loss potential on a short sale is unlimited. Fluctuations in the market value of the Fund’s portfolio may have disproportionately large effects or cause the NAV of the Fund to decline faster than it would otherwise. The Fund may invest in small and mid-cap companies which may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign securities may expose the Fund to currency and exchange rate fluctuations. Derivatives (futures, options, swaps) may be leveraged and result in losses exceeding the amounts invested. REITS include the risk of possible declines in the value of real estate, possible lack of availability of mortgage funds and unexpected vacancies of properties. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. High yield debt (also known as “junk bonds”) may be sensitive to changes in financial strength of an issuer or the debt’s credit rating; an issuer of high yield debt may default on its obligation to pay interest and principal. All of these factors may cause greater volatility and less liquidity. The Fund may experience high portfolio turnover which may result in higher costs and capital gains.
Industrials, and Financials sectors. We continue to favor large-caps on the long side and small- to mid-cap stocks on the short side of the Fund’s portfolio.
For market gains to be sustained going forward, we believe that a positive resolution to the US-China trade war and/or US and European central banks’ continued support of economic growth will need to become a reality, as both earnings and economic prospects in the near-to-intermediate term look mundane at best. While the Bank of Japan and the European Central Bank have also promised the necessary stimulus required to keep the Japanese and European economies afloat, by far the most important event in the near term will be what takes place at the Federal Reserve’s (“Fed”) FOMC committee meetings. With investors betting that a cut is “baked-in-the-cake”, we believe
Annual Report 2019 | 21
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL LONG/SHORT FUND(UNAUDITED) (CONTINUED)
that market risk is probably skewed towards the downside unless a “miraculous” turn of economic events occurs, helping to offset any potential disappointment arising from the Fed. The chances of a near term resolution to the U.S./China trade war look slim, as the only real outcome of the Trump/Xi meeting in Osaka was just some assurance that there would be no near-term escalation of the conflict. Identifying and constructing the nitty-gritty details required to produce a long-term agreement that would appease both countries remains a daunting task.
The portfolio managers managing the Fund continue to focus their efforts on purchasing shares of only those companies they deem most likely to appreciate on the long side, while selling short securities likely to fail due to a combination of valuation risk, earnings risk, and/or balance sheet risk. Our analysis process is bottom-up and rooted in the three circles framework of low valuation, positive momentum and strong business fundamentals that the portfolio managers of Boston Partners and its predecessors have been employing for over a quarter century.
Sincerely,
Chris Hart, CFA, Josh Jones, CFA and Josh White, CFA Portfolio Managers for the Boston Partners Global Long/Short Fund
22 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL LONG/SHORT FUND(UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Global Long/Short Fund vs. MSCI World Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on December 31, 2013 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI World Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Since | Gross Expense | Net Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||||||
Institutional Class(1) | –5.00 | % | 1.37 | % | n/a | 1.72 | % | 2.35 | % | 2.35 | % | |||||||||||||
MSCI World Index – Gross Return | 0.84 | % | 6.75 | % | n/a | 7.24 | %(2) | n/a | n/a | |||||||||||||||
MSCI World Index – Net Return | 0.26 | % | 6.15 | % | n/a | 6.63 | %(2) | n/a | n/a |
1 | Inception date of the class was December 31, 2013. |
2 | Index Performance is from inception date of the Class only and is not the inception date of the index 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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) for the Fund’s Institutional Class shares exceeds 2.00% of the average daily net assets attributable to the Fund’s Institutional Class shares. Because dividend expenses on short sales, acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and/or expense reimbursements) are expected to exceed 2.00%. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.00% or the expense cap then in effect, or whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
Annual Report 2019 | 23
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL LONG/SHORT FUND(UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $10,000 Investment in
Boston Partners Global Long/Short Fund vs. MSCI World Index
The chart assumes a hypothetical $10,000 initial investment in the Fund made on April 11, 2014 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI World Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019
Average Annual Total Return | Since | Gross Expense | Net Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||||||
Investor Class(1) | –5.14 | % | 1.11 | % | n/a | 1.83 | % | 2.60 | % | 2.60 | % | |||||||||||||
MSCI World Index – Gross Return | 0.84 | % | 6.75 | % | n/a | 7.54 | %(2) | n/a | n/a | |||||||||||||||
MSCI World Index – Net Return | 0.26 | % | 6.15 | % | n/a | 6.92 | %(2) | n/a | n/a |
1 | Inception date of the class was April 11, 2014. |
2 | Index Performance is from inception date of the Class only and is not the inception date of the index itself. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) for the Fund’s Investor Class shares exceeds 2.25% of the average daily net assets attributable to the Fund’s Investor Class shares. Because dividend expenses on short sales, acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and/or expense reimbursements) are expected to exceed 2.25%. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.25% or the expense cap then in effect, or whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
24 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND(UNAUDITED)
Dear Shareholder:
The Boston Partners Emerging Markets Long/Short Fund (“Fund”) returned 0.18% for the trailing 12-months ended August 31, 2019. During that same period the MSCI Emerging Markets Index – Net Return returned -4.36%, the MSCI World Index returned 0.26%, and the MSCI EAFE Index returned -3.26%. Equity market performance was most influenced by geopolitical and macro-economic issues. Markets oscillated with the rise and fall of US-China trade tensions, and with speculation about the US Federal Reserve’s (“US Fed”) next move. The most difficult performance period for the market during the prior 12-months took place between September and December of 2018, when fears about the US-China trade war’s effect on the global economy and expectations of US Fed tightening peaked. Investments flowed back into Emerging Markets during the beginning of 2019 on optimism that US-China trade talks would bear fruit and after the US Fed scuttled its planned rate increases. More recently, markets have sold-off after China escalated the trade war by letting the yuan sink below 7 per dollar, a move that suggests the level is no longer a line in the sand for policy makers in Beijing.
Latin America, Europe, and the Middle East were the best performing regions within the MSCI Emerging Markets Index during the period. Those regions were led higher by a resurgent Brazil and Turkey, which posted dismal performance through the first half of 2018. Brazil had sold-off on political unrest in the lead-up to the country’s October 2018 presidential election. The eventual winner and now-president, Jair Bolsonaro, was stabbed while campaigning and criticized as being “far-right”. Regardless, Brazilian equities responded favorably following his victory due in equal parts to his market-oriented capitalist tendencies and the fact that Brazilian equites had already fallen so far. Turkey was the worst performing country in the MSCI Emerging Markets Index during the first part of 2018. So, like Brazil, Turkey had a low base from which to appreciate. Turkish equities had been under pressure because of a diplomatic dispute with the US over a jailed pastor. Also, Turkey typically runs a current-account deficit, which makes its economy vulnerable when its currency, the lira, falls against major currencies. The lira, along with most emerging market currencies, weakened during 2018 on the prospect of US Fed tightening. Turkish equities have since rebounded as policy makers reduced the size of the current-account deficit, the US Fed reversed its tightening course, and the diplomatic row with the US was resolved.
Perhaps more interesting was market performance in Asia, which trailed the MSCI Emerging Markets Index from a regional perspective. South Korea was the biggest laggard in the group. South Korea is the second largest country (behind China) in the MSCI Emerging Markets Index. South Korea’s export-reliant economy, whose companies supply most of the world’s electronics and semiconductors, has been acutely impacted by the US-China trade war. A diplomatic row with Japan that resulted in export curbs to South Korea also hurt manufacturing in South Korea. Value stocks are abundant in South Korea, but corporate earnings estimates have declined because of the US-China trade war.
Shifting gears to performance, the Fund returned 0.18%, with an average equity exposure of 59%. This compares favorably to the MSCI Emerging Markets Index’s return of -4.36%, which is
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Alibaba Group Holdings, Ltd.-SP ADR | 6.40 | % | |||
Samsung Electronics Co., Ltd. | 4.02 | % | |||
Las Vegas Sands Corp. | 3.76 | % | |||
Naspers Ltd. Class N | 3.76 | % | |||
Wynn Macau Ltd. | 2.68 | % | |||
DBS Group Holdings Ltd. | 2.02 | % | |||
Netease, Inc.-ADR | 1.52 | % | |||
Philip Morris International, Inc. | 1.49 | % | |||
United Overseas Bank Ltd. | 1.49 | % | |||
Sberbank of Russia PJSC-SP ADR | 1.43 | % |
Portfolio Review (as of 8/31/19) | Long | Short | ||||||
P/E: Price/Earnings: | 12.4 | x | 18.1 | x | ||||
P/B: Price/Book: | 1.8 | x | 1.5 | x | ||||
Holdings: | 111 | 73 | ||||||
Weighted Average Market Capitalization (millions): | $94,612 | $7,761 | ||||||
ROE: Return on Equity: | 32.3 | % | 13.1 | % | ||||
OROA: Operating Return on Operating Assets: | 112.8 | % | 18.3 | % |
Portfolio holdings are subject to change at any time.
The Fund will engage in short sales, which creates a form of investment leverage and means the Fund’s loss potential on a short sale is unlimited. Fluctuations in the market value of the Fund’s portfolio may have disproportionately large effects or cause the NAV of the Fund to decline faster than it would otherwise. The Fund may invest in small and mid-cap companies which may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign and emerging market securities may expose the fund to currency and exchange rate fluctuations, high inflation, increased risk of default, less governmental supervision and regulation of securities markets, lack of liquidity in the markets, significantly smaller market capitalizations, political, social or economic instability, and differences in taxation, auditing and other financial practices. Derivatives (futures, options, swaps) may be leveraged and result in losses exceeding the amounts invested. REITS include the risk of possible declines in the value of real estate, possible lack of availability of mortgage funds and unexpected vacancies of properties. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. High yield debt (also known as “junk bonds”) may be sensitive to changes in financial strength of an issuer or the debt’s credit rating; an issuer of high yield debt may default on its obligation to pay interest and principal. All of these factors may cause greater volatility and less liquidity. The Fund may experience high portfolio turnover which may result in higher costs and capital gains.
-2.57% when adjusted for the Fund’s equity exposure (59% x -4.36%). The Fund’s relative outperformance was driven by its long investments, which returned 1.59% during the fiscal year. Positioning in all regions, with the exception of Latin America, aided the long-book’s relative performance. The best relative performance came from positioning in China & Hong Kong, where shares of overweight Chinese Baijiu stocks rose on upbeat results and expectations of future sales and price increases. The Fund’s short investments declined -4.13%, roughly in-line with the MSCI Emerging Markets Index return. Performance was mixed across regions, with short positioning in Latin America and South Korea
Annual Report 2019 | 25
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND(UNAUDITED) (CONTINUED)
benefitting performance, offset by the short book’s performance in China & Hong Kong and selected Developed Market stocks.
Our target for net exposure is 50%, the midpoint of our 30-70% range. The Fund’s long book is fully invested, and, on a stock-by-stock basis, we look to build 30-70% of shorts. The long percentage (approximately 100%) minus the short percentage is referred to as “net long exposure.” The Fund began the period with a net long exposure of 64% and ended the period at 55%. The Fund’s short position weight increased in several regions during the period, led by China & Hong Kong, Taiwan & Singapore, and South Korea.
Since the strategy’s inception, the team managing the Emerging Markets Long/Short Fund has purchased shares of only those companies it deems most likely to appreciate on the long side, while selling short securities it believes are likely to fail due to valuation risk, earnings risk, and/or balance sheet risk. Our investment process is rooted in the Three Circle framework of low valuation, positive business momentum, and strong business fundamentals that the portfolio managers of Boston Partners and its predecessors have been employing for over three decades.
Sincerely,
Paul Korngiebel, CFA
Portfolio Manager, Emerging Markets Long/Short Fund
26 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND(UNAUDITED) (CONTINUED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Emerging Markets Long/Short Fund vs. MSCI Indices
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on March 1, 2015 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI Indices are unmanaged, do not incur expenses and are not available for investment.
Total Return for the Period Ended August 31, 2019
Average Annual Total Return | Since | Gross Expense | Net Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partners Emerging Markets Long/Short Fund | ||||||||||||||||||||||||
Institutional Class(1) | 0.18 | % | n/a | n/a | 2.99 | % | 2.44 | % | 2.01 | % | ||||||||||||||
MSCI World Index—Gross Return(2) | 0.84 | % | n/a | n/a | 6.97 | %(3) | n/a | n/a | ||||||||||||||||
MSCI Emerging Markets Index—Gross Return(4) | –3.99 | % | n/a | n/a | 2.77 | %(3) | n/a | n/a | ||||||||||||||||
MSCI Emerging Markets Index—Net Return(4) | –4.36 | % | n/a | n/a | 2.38 | %(3) | n/a | n/a |
1 | Inception date of the fund was March 1, 2015. The Fund commenced operations as a series of The RBB Fund, Inc. on December 15, 2015, when substantially all of the assets of Boston Partners Emerging Market Long/Short Equity (the “Prior Account”) transferred to the Fund. The Fund is managed in all material respects in a manner equivalent to the management of the Prior Account. Accordingly, the performance information shown above for periods prior to December 15, 2015 is that of the Prior Account. |
2 | 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 inception date of the Class only and is not the inception date of the index itself. |
4 | Beginning on August 31, 2019, the Fund has opted to change its primary index from the MSCI Emerging Markets Index—Gross Return to the MSCI Emerging Markets Index—Net Return. Net total return indices reinvest dividends after the deduction of withholding taxes, using (for international indices) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. |
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. The Adviser has 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, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.00% of the Fund’s average daily net assets attributable to Institutional Class shares. This contractual limitation is in effect until February 29, 2020, and may not be terminated without the approval of the Board of Directors. Because acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes are excluded from the expense limitation, total annual Fund operating expenses (after fee waivers and/or expense reimbursements) are expected to exceed 2.00%. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 2.00% or the expense cap then in effect, whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made provided such reimbursement does not cause the Fund to exceed
Annual Report 2019 | 27
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND(UNAUDITED) (CONCLUDED)
expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
28 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS FUND (UNAUDITED)
Dear Shareholder:
The Boston Partners Emerging Markets Fund (“Fund”) returned 0.55% for the trailing 12-months ended August 31, 2019. During that same period the MSCI Emerging Markets Index – Net Return returned -4.36%, the MSCI World Index returned 0.26%, and the MSCI EAFE Index returned -3.26%. Equity market performance was most influenced by geopolitical and macro-economic issues. Markets oscillated with the rise and fall of US-China trade tensions, and with speculation about the US Federal Reserve’s (“US Fed”) next move. The most difficult performance period for the market during the prior 12-months took place between September and December of 2018, when fears about the US-China trade war’s effect on the global economy and expectations of US Fed tightening peaked. Investments flowed back into Emerging Markets during the beginning of the year on optimism that US-China trade talks would bear fruit and after the US Fed scuttled its planned rate increases. More recently, markets have sold-off after China escalated the trade war by letting the yuan sink below 7 per dollar, a move that suggests the level is no longer a line in the sand for policy makers in Beijing.
Latin America, Europe, and the Middle East were the best performing regions within the MSCI Emerging Markets Index during the period. Those regions were led higher by a resurgent Brazil and Turkey, which posted dismal performance through the first half of 2018. Brazil had sold-off on political unrest in the lead-up to the country’s October 2018 presidential election. The eventual winner and now-president, Jair Bolsonaro, was stabbed while campaigning and criticized as being “far-right”. Regardless, Brazilian equities responded favorably following his victory due in equal parts to his market-oriented capitalist tendencies and the fact that Brazilian equites had already fallen so far. Turkey was the worst performing country in the MSCI Emerging Markets Index during the first part of 2018. So, like Brazil, Turkey had a low base from which to appreciate. Turkish equities had been under pressure because of a diplomatic dispute with the US over a jailed pastor. Also, Turkey typically runs a current-account deficit, which makes its economy vulnerable when its currency, the lira, falls against major currencies. The lira, along with most emerging market currencies, weakened during 2018 on the prospect of US Fed tightening. Turkish equities have since rebounded, as policy makers reduced the size of the current-account deficit, the US Fed reversed its tightening course, and the diplomatic row with the US was resolved.
Perhaps more interesting was market performance in Asia, which trailed the MSCI Emerging Markets Index from a regional perspective. South Korea was the biggest laggard in the group. South Korea is the second largest country (behind China) in the MSCI Emerging Markets Index. South Korea’s export-reliant economy, whose companies supply most of the world’s electronics and semiconductors, has been acutely impacted by the US-China trade war. A diplomatic row with Japan that resulted in export curbs to South Korea also hurt manufacturing in South Korea. Value stocks are abundant in South Korea, but corporate earnings estimates have declined because of the US-China trade war.
Shifting gears to performance, the Fund returned 0.55%, which compares favorably to the MSCI Emerging Markets Index’s return of -4.36%. Positioning in all regions, with the exception of
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Alibaba Group Holdings, Ltd.-SP ADR | 6.41 | % | |||
Naspers Ltd. | 3.73 | % | |||
Las Vegas Sands Corp. | 3.71 | % | |||
Tencent Holdings Ltd. | 2.75 | % | |||
Wynn Macau Ltd. | 2.66 | % | |||
Samsung Electronics Co., Ltd. | 2.12 | % | |||
DBS Group Holdings Ltd. | 2.03 | % | |||
Netease, Inc.-ADR | 1.51 | % | |||
Philip Morris International, Inc. | 1.48 | % | |||
Taiwan Semiconductors Manufacturing Co., Ltd. | 1.48 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 12.4 | x | |||
P/B: Price/Book: | 1.8 | x | |||
Holdings: | 110 | ||||
Weighted Average Market Capitalization (millions): | $94,086 | ||||
ROE: Return on Equity: | 32.1 | % | |||
OROA: Operating Return on Operating Assets: | 112.8 | % |
The Fund may invest in small and mid-cap companies which may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the-counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Foreign and emerging market securities may expose the fund to currency and exchange rate fluctuations, high inflation, increased risk of default, less governmental supervision and regulation of securities markets, lack of liquidity in the markets, significantly smaller market capitalizations, political, social or economic instability, and differences in taxation, auditing and other financial practices. Derivatives (futures, options, swaps) may be leveraged and result in losses exceeding the amounts invested. REITS include the risk of possible declines in the value of real estate, possible lack of availability of mortgage funds and unexpected vacancies of properties. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. High yield debt (also known as “junk bonds”) may be sensitive to changes in financial strength of an issuer or the debt’s credit rating; an issuer of high yield debt may default on its obligation to pay interest and principal. All of these factors may cause greater volatility and less liquidity. The Fund may experience high portfolio turnover which may result in higher costs and capital gains
Latin America, aided relative Fund performance. The best relative performance came from positioning in China & Hong Kong, where shares of overweight Chinese Baijiu stocks rose on upbeat results and expectations of future sales and price increases. Other areas of strong relative performance were delivered from positioning in Africa & Middle East, led higher by an Israeli REIT position that climbed after reporting higher net operating income and progress in a planned acquisition. As mentioned above, portfolio positioning in Latin America was the only region where Fund performance lagged the benchmark. The Fund’s underweight allocation to Brazilian banks was the primary cause of the underperformance. After trading lower through the first half of 2018, Brazilian banks rallied following the election of Jair Bolsonaro. Our stock selection process is rooted in the Three Circle framework of low valuation, positive business momentum, and strong business fundamentals that the portfolio managers of Boston Partners and its predecessors have been employing for over three decades.
Sincerely,
Paul Korngiebel, CFA
Portfolio Manager, Emerging Markets Fund
Annual Report 2019 | 29
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS EMERGING MARKETS FUND (UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Emerging Markets Fund vs. MSCI World Indices
The chart assumes a hypothetical $100,000 initial investment in the Fund made on October 17, 2017 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI indices are unmanaged, do not incur expenses and are not available for investment.
Total Return for the Period Ended August 31, 2019 | ||||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Average Annual Total Return | Since | Expense | Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partner Emerging Markets Fund | ||||||||||||||||||||||||
Institutional Class(1) | 0.55 | % | n/a | n/a | –4.14 | % | 3.02 | % | 1.10 | % | ||||||||||||||
MSCI World Index—Gross Return(2) | 0.84 | % | n/a | n/a | 5.43 | %(3) | n/a | n/a | ||||||||||||||||
MSCI Emerging Markets Index—Gross Return(3) | –3.99 | % | n/a | n/a | –4.47 | %(3) | n/a | n/a | ||||||||||||||||
MSCI Emerging Markets Index—Net Return(3) | –4.36 | % | n/a | n/a | –4.84 | %(3) | n/a | n/a |
1 | Inception date of the fund was October 17, 2017. |
2 | This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. |
3 | Beginning on August 31, 2019, the Fund has opted to change its primary index from the MSCI Emerging Markets Index—Gross Return to the MSCI Emerging Markets Index—Net Return. Net total return indices reinvest dividends after the deduction of withholding taxes, using (for international indices) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. |
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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) for the Fund’s Institutional Class shares exceeds 1.10% of the average daily net assets attributable to the Fund’s Institutional Class shares. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.10% or the expense cap then in effect, or whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above (including interest and dividend expense on short sales) are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
30 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND (UNAUDITED)
Top Ten Positions (as of 8/31/19) | % of Net Assets | ||||
Microsoft Corp. | 2.78 | % | |||
Berkshire Hathaway, Inc., Class B | 2.71 | % | |||
Danone SA | 2.23 | % | |||
Verizon Communications, Inc. | 2.04 | % | |||
Sony Corp. | 1.96 | % | |||
Alphabet, Inc., Class C | 1.71 | % | |||
United Technologies Corp. | 1.65 | % | |||
Comcast Corp., Class A | 1.62 | % | |||
Medtronic PLC | 1.51 | % | |||
Novo Nordisk A/S, Class B | 1.48 | % | |||
Portfolio Review (as of 8/31/19) | |||||
P/E: Price/Earnings: | 14.9 | x | |||
P/B: Price/Book: | 1.8 | x | |||
Holdings: | 111 | ||||
Weighted Average Market Capitalization (millions): | $111,304 | ||||
ROE: Return on Equity: | 19.5 | % | |||
OROA: Operating Return on Operating Assets: | 51.0 | % |
Portfolio holdings are subject to change at any time.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than US dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing and other financial practices. Investment in emerging market securities may increase these risks. Emerging markets investments are subject to the aforementioned risks, along with periods of high inflation, increased risk of default, less governmental supervision and regulation of securities markets, lack of liquidity in the markets and significantly smaller market capitalizations. The Fund may invest in small and mid-cap companies which may be more volatile, less liquid, not as diversified in their business activities as companies with greater market capitalizations, and they may fluctuate widely in market value. Small caps may be traded only in the over-the- counter market or on a regional securities exchange, may be listed only in the “pink sheets,” and may not be traded every day or in the volume typical of trading on a national securities exchange. Illiquid securities may be limited in resale and cause great uncertainty in determining valuation. An investment in the Fund should be part of a carefully diversified portfolio.
Annual Report 2019 | 31
BOSTON PARTNERS INVESTMENT FUNDS
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND (UNAUDITED) (CONCLUDED)
Comparison of Change in Value of $100,000 Investment in
Boston Partners Global Equity Advantage Fund vs. MSCI World Index
The chart assumes a hypothetical $100,000 minimum initial investment in the Fund made on May 29, 2019 (the date on which the Fund commenced investment operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI World Index is unmanaged, does not incur expenses and is not available for investment.
For The Periods Ended August 31, 2019 | ||||||||||||||||||||||||
Gross | Net | |||||||||||||||||||||||
Average Annual Total Return | Since | Expense | Expense | |||||||||||||||||||||
1 Year | 5 Year | 10 Year | Inception | Ratio | Ratio | |||||||||||||||||||
Boston Partner Global Equity Advantage Fund | ||||||||||||||||||||||||
Institutional Class(1) | n/a | n/a | n/a | 5.70 | %(2) | 1.25 | % | 1.05 | % | |||||||||||||||
MSCI World Index—Net Return(2) | n/a | n/a | n/a | 4.01 | %(3) | n/a | n/a |
1 | Inception date of the fund was May 29, 2019. |
2 | Not Annualized. |
3 | Index Performance is from inception date of the Class only and is not the inception date of the index 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. The Adviser has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) for the Fund’s Institutional Class shares exceeds 1.05% of the average daily net assets attributable to the Fund’s Institutional Class 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 1.05%: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until February 29, 2020 and may not be terminated without the approval of the Board of Directors. If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expense, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.05% or the expense cap then in effect, or whatever is less, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. The Fund’s annual operating expense ratios above are as stated in the current prospectus. These ratios may differ from the actual expenses incurred by the Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.boston-partners.com.
32 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
DEFINITIONS(UNAUDITED)
Past Performance is not a guarantee of future results.
Opinions expressed herein are as of August 31, 2019 and are subject to change at any time, are not guaranteed and should not be considered investment advice. This report is for the information of shareholders of the Funds. It may also be used as sales literature when preceded or accompanied by the current prospectus.
Basis point refers to a common unit of measure for interest rates and other percentages in finance. One basis point is equal to 1/100th of 1%, or 0.01%, or 0.0001.
Beta or beta coefficient is a measure of a stock or portfolio’s level of systematic and unsystematic risk based on in its prior performance. In general, a higher beta indicates a more volatile security in relation to its benchmark and lower beta indicates a less volatile security in relation to its benchmark.
Bloomberg Barclays US Aggregate Bond Index “US Aggregate Bond Index” is a broad base bond market index consisting of approximately 17,000 bonds, representing intermediate term investment grade bonds traded in the United States.
Earnings per share: Is the portion of a company’s profit allocated to each outstanding share of common stock.
Free cash flow yield is an indicator that compare free cash flow and market cap. It is a representation of the income created by an investment.
Growth stocks typically are more volatile than value stocks; however, value stocks generally have a lower expected growth rate in earnings and sales.
High Dividend: The MSCI High Dividend Yield Factor aims to capture the high dividend yield equity opportunity set within a standard MSCI parent index (U.S.) by including only securities that offer a higher than average dividend yield (i.e. at least 30% higher) relative to that of the parent index and that pass dividend sustainability and persistence screens.
JP Morgan Emerging Markets Currency Index is a market-cap weighted index of 10 emerging market currencies versus the US dollar.
Mergers and Acquisitions (M&A) is a general term that refers to the consolidation of companies or assets through various types of financial transactions.
Momentum: High Momentum companies are characterized in the literature as companies with high price performance in the recent history, up to 12-months. High Momentum companies tend to continue their high price performance over the near term, typically over a 6 – 12 month period.
MSCI EAFE (EAFE) Index is a stock market index that is designed to measure the equity market performance of developed markets outside of the U.S. & Canada. It is maintained by MSCI Inc., a provider of investment decision support tools; the EAFE acronym stands for Europe, Australasia and Far East.
MSCI Emerging Markets (EM) Index is an index created by Morgan Stanley Capital International (MSCI) designed to measure equity market performance in global emerging markets.
MSCI World Index is an unmanaged index that measures the equity market performance of developed markets.
MSCI World Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across 23 Developed Markets Countries.
MSCI World Value NR Index is an index tracking value stocks, which are stocks with prices lower than their intrinsic values.
A net return index includes reinvesting the after tax dividends. A gross return index includes reinvesting the before tax dividends. In general, a net return index should under perform a gross return index.
OROA: Operating Return on Operating Assets
P/B: Price/Book: A valuation ratio of a company’s current share price compared to its book value.
P/E: Price/Earnings: A valuation ratio of a company’s current share price compared to its per-share earnings.
Quality has long been established as an investment approach, dating back to Benjamin Graham, but it is less well accepted as a factor, especially when compared with value, size, yield, momentum and low volatility. By “factor”, we mean any characteristic that helps explain the risk and returns of a group of securities.
ROE: Return on Equity: measures a corporation’s profitability by revealing how much profit a company generates with the money invested.
Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index. You cannot invest directly in an index.
Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000® Index and is considered representative of small-cap stocks.
Russell 2000® Growth Index is an unmanaged index that measures the performance of Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.
Annual Report 2019 | 33
BOSTON PARTNERS INVESTMENT FUNDS
DEFINITIONS(UNAUDITED) (CONCLUDED)
Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.
Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
Russell 3000® Growth Index is a market capitalization weighted index based on the Russell 3000® Index. It includes companies that display signs of above average growth.
Russell 3000® Value Index is an unmanaged index that measures the performance of the broad value segment of the U.S. equity value universe. It includes those Russell 3000® Index companies with lower price-to-book ratios and lower forecasted growth values.
Trade Weighted U.S. Dollar Index: Major Currencies is a weighted average of the foreign exchange value of the U.S. dollar against a subset of the broad index currencies that circulate widely outside the country of issue. Major currencies index includes the Euro Area, Canada, Japan, United Kingdom, Switzerland, Australia, and Sweden.
34 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
AUGUST 31, 2019(UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, if any, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, if any. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE MARCH 1, 2019 | ENDING ACCOUNT VALUE AUGUST 31, 2019 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO | ACTUAL SIX-MONTH TOTAL INVESTMENT RETURN FOR THE FUND | ||||||||||||||||
Boston Partners Small Cap Value Fund II | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 978.70 | $ | 5.49 | 1.10 | % | -2.13% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.66 | 5.60 | 1.10 | N/A | |||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 977.20 | $ | 6.73 | 1.35 | % | -2.28% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.40 | 6.87 | 1.35 | N/A | |||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 982.80 | $ | 13.19 | 2.64 | %(1) | –1.72% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.90 | 13.39 | 2.64 | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 981.80 | $ | 14.44 | 2.89 | %(1) | –1.82% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.64 | 14.65 | 2.89 | (1) | N/A | ||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.30 | $ | 12.12 | 2.40 | %(1) | 0.33% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,013.11 | 12.18 | 2.40 | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.00 | $ | 13.37 | 2.65 | %(1) | 0.20% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,011.85 | 13.44 | 2.65 | (1) | N/A | ||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.60 | $ | 4.06 | 0.80 | % | 1.26% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,021.17 | 4.08 | 0.80 | N/A | |||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.40 | $ | 5.32 | 1.05 | % | 1.14% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.91 | 5.35 | 1.05 | N/A |
Annual Report 2019 | 35
BOSTON PARTNERS INVESTMENT FUNDS
FUND EXPENSE EXAMPLES(CONCLUDED)
AUGUST 31, 2019(UNAUDITED)
BEGINNING ACCOUNT VALUE MARCH 1, 2019 | ENDING ACCOUNT VALUE AUGUST 31, 2019 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO | ACTUAL SIX-MONTH TOTAL INVESTMENT RETURN FOR THE FUND | ||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 907.80 | $ | 5.29 | 1.10 | % | –9.22% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.66 | 5.60 | 1.10 | N/A | |||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 988.80 | $ | 4.76 | 0.95 | % | –1.12% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.42 | 4.84 | 0.95 | N/A | |||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 995.40 | $ | 14.23 | 2.83 | %(1) | –0.46% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,010.94 | 14.34 | 2.83 | (1) | N/A | ||||||||||||||
Investor | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 994.40 | $ | 15.48 | 3.08 | %(1) | –0.56% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,009.68 | 15.60 | 3.08 | (1) | N/A | ||||||||||||||
Boston Partners Emerging Markets Long/Short Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,026.50 | $ | 9.96 | 1.95 | %(1) | 2.65% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,015.38 | 9.91 | 1.95 | (1) | N/A | ||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.30 | $ | 5.35 | 1.06 | % | 0.33% | |||||||||||
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.86 | 5.40 | 1.06 | N/A | |||||||||||||||
Boston Partners Global Equity Advantage Fund | ||||||||||||||||||||
Institutional | ||||||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,057.00 | $ | 2.78 | 1.05 | % | 5.70% | |||||||||||
Hypothetical (5% return before expenses)(2) | 1,000.00 | 1,019.91 | 5.35 | 1.05 | N/A |
* | Expenses are equal to each Fund’s annualized six-month expense ratios in the table above, which include waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (184) 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 0.17% of average net assets for the six-month period ended August 31, 2019 for both the Institutional Class and Investor Class of the Boston Partners Long/Short Equity Fund, 1.00% of average net assets for the Institutional Class and Investor Class of the Boston Partners Long/Short Research Fund, 1.18% of average net assets of the Institutional Class and Investor Class of the Boston Partners Global Long/Short Fund and 0.00% of average net assets for the Institutional Class of the Boston Partners Emerging Markets Long/Short Fund. |
(2) | Expenses are equal to the Fund’s annualized expense ratio for the period beginning May 29, 2019 (commencement of operations) to August 31, 2019 of 1.05%, multiplied by the average account value over the period, multiplied by the number of days (94) in the most recent period then divided by 365 days to reflect the days in the period. For comparison purposes, the hypothetical expenses are as if the Fund had been in existence from March 1, 2019 and are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent six-month period, then divided by 365 to reflect the period. |
36 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
Portfolio Holdings Summary Tables(unaudited) |
BOSTON PARTNERS SMALL CAP VALUE FUND II | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Finance | 33.1 | % | $ | 179,994,870 | ||||
Consumer Services | 13.8 | 75,214,808 | ||||||
Technology | 11.0 | 60,135,755 | ||||||
Capital Goods | 10.0 | 54,366,055 | ||||||
Real Estate Investment Trusts | 7.9 | 43,074,131 | ||||||
Basic Industries | 7.0 | 38,373,373 | ||||||
Consumer Non-Durables | 4.1 | 22,352,167 | ||||||
Health Care | 3.9 | 21,016,888 | ||||||
Energy | 3.2 | 17,159,391 | ||||||
Consumer Durables | 2.2 | 11,878,734 | ||||||
Communications | 0.5 | 2,670,119 | ||||||
Transportation | 0.4 | 2,111,925 | ||||||
Utilities | 0.4 | 2,035,515 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 23.6 | 128,381,830 | ||||||
SHORT-TERM INVESTMENTS | 2.5 | 13,618,474 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (23.6 | ) | (128,252,557 | ) | ||||
NET ASSETS | 100.0 | % | $ | 544,131,478 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS LONG/SHORT EQUITY FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Technology | 23.4 | % | $ | 59,871,895 | ||||
Consumer Services | 15.9 | 40,625,423 | ||||||
Finance | 13.9 | 35,642,126 | ||||||
Health Care | 13.6 | 34,736,557 | ||||||
Energy | 8.7 | 22,203,260 | ||||||
Capital Goods | 6.1 | 15,530,710 | ||||||
Communications | 5.1 | 12,986,723 | ||||||
Real Estate Investment Trusts | 2.8 | 7,214,547 | ||||||
Basic Industries | 2.7 | 6,873,761 | ||||||
Consumer Non-Durables | 2.6 | 6,721,015 | ||||||
Transportation | 2.1 | 5,512,451 | ||||||
Utilities | 2.1 | 5,427,507 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 13.5 | 34,683,073 | ||||||
SHORT-TERM INVESTMENTS | 1.1 | 2,791,849 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Technology | (16.6 | ) | (42,626,969 | ) | ||||
Consumer Services | (8.1 | ) | (20,647,296 | ) | ||||
Capital Goods | (5.1 | ) | (13,125,499 | ) | ||||
Consumer Non-Durables | (4.8 | ) | (12,212,111 | ) | ||||
Health Care | (4.7 | ) | (11,962,647 | ) | ||||
Finance | (4.0 | ) | (10,300,762 | ) | ||||
Basic Industries | (3.7 | ) | (9,425,451 | ) | ||||
Consumer Durables | (2.5 | ) | (6,401,310 | ) | ||||
Communications | (2.0 | ) | (5,228,456 | ) | ||||
Utilities | (1.8 | ) | (4,636,568 | ) |
BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
Real Estate Investment Trusts | (1.3 | )% | $ | (3,362,796 | ) | |||
Transportation | (0.5 | ) | (1,206,285 | ) | ||||
Energy | (0.0 | ) | (9 | ) | ||||
OPTIONS WRITTEN | (0.3 | ) | (642,730 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 41.8 | 106,947,394 | ||||||
NET ASSETS | 100.0 | % | $ | 255,989,402 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Finance | 19.9 | % | $ | 649,338,444 | ||||
Technology | 17.2 | 562,769,034 | ||||||
Health Care | 13.5 | 440,581,327 | ||||||
Consumer Services | 11.5 | 375,300,620 | ||||||
Consumer Non-Durables | 7.5 | 245,554,878 | ||||||
Energy | 7.2 | 235,373,227 | ||||||
Capital Goods | 6.8 | 223,383,065 | ||||||
Basic Industries | 4.7 | 153,032,370 | ||||||
Transportation | 3.8 | 125,171,303 | ||||||
Consumer Durables | 3.4 | 110,581,546 | ||||||
Communications | 3.2 | 103,868,879 | ||||||
Real Estate Investment Trusts | 0.2 | 7,823,439 | ||||||
Utilities | 0.2 | 6,067,865 | ||||||
WARRANTS | 0.0 | 285,552 | ||||||
SHORT-TERM INVESTMENTS | 0.4 | 12,689,655 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Technology | (9.6 | ) | (313,230,288 | ) | ||||
Finance | (9.6 | ) | (312,596,629 | ) | ||||
Consumer Services | (6.7 | ) | (220,612,203 | ) | ||||
Basic Industries | (5.9 | ) | (192,604,069 | ) | ||||
Capital Goods | (4.3 | ) | (139,764,086 | ) | ||||
Consumer Non-Durables | (3.4 | ) | (112,459,628 | ) | ||||
Health Care | (3.0 | ) | (98,554,027 | ) | ||||
Energy | (1.7 | ) | (55,415,361 | ) | ||||
Consumer Durables | (1.4 | ) | (45,067,365 | ) | ||||
Real Estate Investment Trusts | (1.0 | ) | (31,531,688 | ) | ||||
Transportation | (0.6 | ) | (20,527,138 | ) | ||||
Communications | (0.3 | ) | (10,028,339 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 48.0 | 1,567,871,079 | ||||||
NET ASSETS | 100.0 | % | $ | 3,267,301,462 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 37
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
Portfolio Holdings Summary Tables(unaudited) (continued) |
BOSTON PARTNERS ALL-CAP VALUE FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Finance | 28.9 | % | $ | 543,457,199 | ||||
Health Care | 22.8 | 428,644,605 | ||||||
Technology | 16.4 | 308,674,915 | ||||||
Consumer Services | 7.6 | 143,364,946 | ||||||
Capital Goods | 6.2 | 117,283,178 | ||||||
Energy | 3.9 | 72,564,207 | ||||||
Consumer Non-Durables | 3.6 | 67,021,061 | ||||||
Basic Industries | 3.2 | 60,807,046 | ||||||
Consumer Durables | 1.8 | 34,815,498 | ||||||
Transportation | 1.0 | 18,898,736 | ||||||
Communications | 0.6 | 10,755,711 | ||||||
Utilities | 0.5 | 9,593,673 | ||||||
RIGHTS | 0.0 | — | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 16.1 | 303,800,656 | ||||||
SHORT-TERM INVESTMENTS | 2.3 | 42,544,557 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (14.9 | ) | (280,034,443 | ) | ||||
NET ASSETS | 100.0 | % | $ | 1,882,191,545 |
Portfolio holdings are subject to change at any time.
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Finance | 27.2 | % | $ | 6,062,856 | ||||
Capital Goods | 14.9 | 3,313,793 | ||||||
Real Estate Investment Trusts | 12.5 | 2,786,547 | ||||||
Technology | 10.1 | 2,242,375 | ||||||
Consumer Services | 7.5 | 1,674,510 | ||||||
Energy | 6.2 | 1,378,651 | ||||||
Utilities | 5.3 | 1,179,525 | ||||||
Transportation | 4.9 | 1,083,391 | ||||||
Basic Industries | 3.8 | 845,796 | ||||||
Consumer Non-Durables | 3.5 | 788,862 | ||||||
Health Care | 1.7 | 392,166 | ||||||
Communications | 0.5 | 111,463 | ||||||
Consumer Durables | 0.3 | 64,784 | ||||||
WARRANTS | 0.0 | 1,466 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 9.0 | 1,998,279 | ||||||
SHORT-TERM INVESTMENTS | 1.9 | 414,083 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (9.3 | ) | (2,065,643 | ) | ||||
NET ASSETS | 100.0 | % | $ | 22,272,904 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS GLOBAL EQUITY FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 16.0 | % | $ | 109,131,218 | ||||
Health Care | 12.7 | 86,885,386 | ||||||
Information Technology | 12.2 | 83,636,731 | ||||||
Industrials | 10.5 | 71,813,177 | ||||||
Communication Services | 10.4 | 71,426,961 | ||||||
Consumer Discretionary | 8.9 | 60,589,277 | ||||||
Materials | 8.5 | 58,496,902 | ||||||
Consumer Staples | 8.1 | 55,145,224 | ||||||
Energy | 6.3 | 42,840,431 | ||||||
Utilities | 1.5 | 10,295,817 | ||||||
Real Estate | 0.9 | 6,265,118 | ||||||
PREFERRED STOCKS | 0.7 | 4,720,578 | ||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | 1.3 | 8,824,253 | ||||||
SHORT-TERM INVESTMENTS | 3.3 | 22,652,473 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.3 | ) | (9,074,241 | ) | ||||
NET ASSETS | 100.0 | % | $ | 683,649,305 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Financials | 14.8 | % | $ | 92,866,407 | ||||
Information Technology | 12.5 | 78,464,911 | ||||||
Industrials | 12.2 | 76,259,101 | ||||||
Health Care | 11.5 | 71,876,818 | ||||||
Communication Services | 10.2 | 63,788,591 | ||||||
Consumer Discretionary | 9.5 | 59,575,059 | ||||||
Materials | 9.2 | 57,394,655 | ||||||
Consumer Staples | 7.1 | 44,668,706 | ||||||
Energy | 6.5 | 40,757,929 | ||||||
Utilities | 1.8 | 11,003,000 | ||||||
Real Estate | 1.1 | 6,517,636 | ||||||
PREFERRED STOCKS | 0.7 | 4,637,125 | ||||||
SHORT-TERM INVESTMENTS | 4.8 | 30,159,105 | ||||||
SHORT POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | (9.3 | ) | (58,326,407 | ) | ||||
Industrials | (7.1 | ) | (44,224,272 | ) | ||||
Financials | (7.0 | ) | (43,891,518 | ) | ||||
Information Technology | (6.5 | ) | (40,524,708 | ) | ||||
Materials | (5.5 | ) | (34,571,369 | ) | ||||
Health Care | (3.2 | ) | (20,035,517 | ) | ||||
Consumer Staples | (3.1 | ) | (19,272,282 | ) | ||||
Energy | (3.0 | ) | (18,986,392 | ) | ||||
Communication Services | (2.8 | ) | (17,724,643 | ) | ||||
Utilities | (1.4 | ) | (8,574,385 | ) | ||||
Real Estate | (0.7 | ) | (4,680,580 | ) | ||||
PREFERRED STOCK | (0.3 | ) | (1,660,444 | ) | ||||
OPTIONS WRITTEN | (1.6 | ) | (9,963,114 | ) | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 49.6 | 310,330,738 | ||||||
NET ASSETS | 100.0 | % | $ | 625,864,150 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
38 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
Portfolio Holdings Summary Tables(unaudited) (concluded) |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND* | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
LONG POSITIONS: | ||||||||
COMMON STOCK | ||||||||
Consumer Discretionary | 20.2 | % | $ | 11,803,546 | ||||
Financials | 9.5 | 5,555,920 | ||||||
Consumer Staples | 8.0 | 4,703,260 | ||||||
Communication Services | 6.7 | 3,905,107 | ||||||
Energy | 5.1 | 2,988,428 | ||||||
Information Technology | 4.0 | 2,341,935 | ||||||
Real Estate | 3.3 | 1,922,519 | ||||||
Industrials | 2.8 | 1,611,878 | ||||||
Health Care | 1.4 | 811,801 | ||||||
Utilities | 1.2 | 688,285 | ||||||
Materials | 0.1 | 59,835 | ||||||
PREFERRED STOCKS | 4.4 | 2,532,151 | ||||||
SHORT-TERM INVESTMENTS | 28.8 | 16,845,457 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 4.5 | 2,654,008 | ||||||
NET ASSETS | 100.0 | % | $ | 58,424,130 |
* | Fund has short exposure in Contracts for Difference. |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS EMERGING MARKETS FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Consumer Discretionary | 22.2 | % | $ | 2,101,220 | ||||
Financials | 12.8 | 1,209,040 | ||||||
Consumer Staples | 10.0 | 949,642 | ||||||
Communication Services | 9.4 | 887,289 | ||||||
Information Technology | 8.1 | 767,100 | ||||||
Energy | 4.6 | 433,606 | ||||||
Real Estate | 3.4 | 322,727 | ||||||
Industrials | 3.3 | 315,253 | ||||||
Health Care | 1.4 | 127,743 | ||||||
Utilities | 1.2 | 114,278 | ||||||
Materials | 1.0 | 9,966 | ||||||
PREFERRED STOCKS | 0.3 | 29,626 | ||||||
SHORT-TERM INVESTMENTS | 23.1 | 2,188,667 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 12,112 | ||||||
NET ASSETS | 100.0 | % | $ | 9,468,269 |
Portfolio holdings are subject to change at any time.
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | ||||||||
SECURITY TYPE/SECTOR CLASSIFICATION | % OF NET ASSETS | VALUE | ||||||
COMMON STOCK | ||||||||
Financials | 14.0 | % | $ | 3,702,999 | ||||
Health Care | 11.0 | 2,906,392 | ||||||
Information Technology | 10.6 | 2,803,756 | ||||||
Industrials | 9.1 | 2,405,281 | ||||||
Communication Services | 9.1 | 2,400,206 | ||||||
Consumer Discretionary | 7.6 | 2,025,707 | ||||||
Materials | 7.4 | 1,959,886 | ||||||
Consumer Staples | 6.9 | 1,838,569 | ||||||
Energy | 5.5 | 1,434,306 | ||||||
Utilities | 1.3 | 345,158 | ||||||
Real Estate | 0.8 | 208,518 | ||||||
PREFERRED STOCKS | 0.6 | 158,314 | ||||||
INVESTMENT COMPANY | 12.8 | 3,372,500 | ||||||
SHORT-TERM INVESTMENTS | 3.1 | 812,203 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.2 | 55,181 | ||||||
NET ASSETS | 100.0 | % | $ | 26,428,976 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 39
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—97.5% | ||||||||
Basic Industries—7.0% | ||||||||
Ferro Corp.* | 101,695 | $ | 1,036,272 | |||||
Graphic Packaging Holding Co.(a) | 701,576 | 9,688,764 | ||||||
Innophos Holdings, Inc. | 77,362 | 2,173,099 | ||||||
Orion Engineered Carbons SA | 140,857 | 1,959,321 | ||||||
Owens-Illinois, Inc.(a) | 208,225 | 2,117,648 | ||||||
PQ Group Holdings, Inc.* | 243,472 | 3,479,215 | ||||||
Schweitzer-Mauduit International, Inc. | 136,824 | 4,589,077 | ||||||
SunCoke Energy, Inc.* | 532,364 | 3,321,951 | ||||||
Valvoline, Inc. | 442,833 | 10,008,026 | ||||||
38,373,373 | ||||||||
Capital Goods—10.0% | ||||||||
Aegion Corp.*(a) | 199,461 | 3,937,360 | ||||||
BMC Stock Holdings, Inc.* | 145,616 | 3,703,015 | ||||||
Continental Building Products, Inc.* | 77,726 | 1,954,032 | ||||||
Foundation Building Materials, Inc.* | 114,291 | 1,957,805 | ||||||
Granite Construction, Inc.(a) | 43,596 | 1,239,870 | ||||||
LCI Industries | 78,626 | 6,663,553 | ||||||
Minerals Technologies, Inc. | 82,091 | 3,956,786 | ||||||
NN, Inc.(a) | 119,066 | 764,404 | ||||||
Orion Group Holdings, Inc.* | 265,665 | 1,099,853 | ||||||
Timken Co., (The) | 82,674 | 3,321,841 | ||||||
Trinseo SA | 74,178 | 2,602,906 | ||||||
Tutor Perini Corp.*(a) | 153,406 | 1,532,526 | ||||||
WESCO International, Inc.* | 235,798 | 10,629,774 | ||||||
World Fuel Services Corp. | 286,519 | 11,002,330 | ||||||
54,366,055 | ||||||||
Communications—0.5% | ||||||||
AMC Networks, Inc. Class A*(a) | 55,054 | 2,670,119 | ||||||
Consumer Durables—2.2% | ||||||||
frontdoor, Inc.* | 81,211 | 4,169,372 | ||||||
La-Z-Boy, Inc.(a) | 48,839 | 1,556,499 | ||||||
Standard Motor Products, Inc.(a) | 37,580 | 1,665,170 | ||||||
Strattec Security Corp. | 18,116 | 336,052 | ||||||
Tower International, Inc. | 134,227 | 4,151,641 | ||||||
11,878,734 | ||||||||
Consumer Non-Durables—4.1% | ||||||||
Energizer Holdings, Inc.(a) | 176,724 | 6,803,874 | ||||||
Fresh Del Monte Produce, Inc. | 91,201 | 2,374,874 | ||||||
Skechers U.S.A., Inc. Class A* | 173,766 | 5,501,431 | ||||||
Steven Madden Ltd.(a) | 143,046 | 4,751,988 | ||||||
Universal Corp. | 58,330 | 2,920,000 | ||||||
22,352,167 | ||||||||
Consumer Services—13.8% | ||||||||
ABM Industries, Inc.(a) | 123,423 | 4,598,741 | ||||||
ACCO Brands Corp. | 324,402 | 3,007,207 | ||||||
ASGN, Inc.*(a) | 73,283 | 4,577,989 | ||||||
CBIZ, Inc.* | 122,609 | 2,739,085 | ||||||
Civeo Corp.* | 434,841 | 604,429 | ||||||
Ennis, Inc. | 48,891 | 983,198 | ||||||
Entercom Communications Corp. Class A(a) | 281,886 | 1,003,514 | ||||||
FTI Consulting, Inc.* | 76,781 | 8,303,097 | ||||||
Group 1 Automotive, Inc. | 23,507 | 1,756,443 | ||||||
Huron Consulting Group, Inc.* | 36,661 | 2,244,020 | ||||||
ICF International, Inc. | 63,701 | 5,392,927 | ||||||
KAR Auction Services, Inc.(a) | 208,472 | 5,537,016 | ||||||
Lithia Motors, Inc. Class A(a) | 104,853 | 13,743,083 | ||||||
MAXIMUS, Inc. | 44,662 | 3,436,294 |
NUMBER OF SHARES | VALUE | |||||||
Consumer Services—(continued) | ||||||||
Navigant Consulting, Inc. | 133,033 | $ | 3,707,630 | |||||
Playa Hotels & Resorts NV* | 234,961 | 1,900,834 | ||||||
PRA Group, Inc.*(a) | 84,423 | 2,882,201 | ||||||
Tetra Tech, Inc. | 75,997 | 6,164,877 | ||||||
TravelCenters of America, Inc.* | 35,648 | 466,989 | ||||||
Viad Corp. | 33,502 | 2,165,234 | ||||||
75,214,808 | ||||||||
Energy—3.2% | ||||||||
Apergy Corp.* | 80,556 | 2,092,845 | ||||||
Cactus, Inc., Class A* | 97,718 | 2,488,877 | ||||||
Enerplus Corp. | 482,531 | 3,150,927 | ||||||
Extraction Oil & Gas, Inc.*(a) | 255,449 | 1,029,459 | ||||||
Jagged Peak Energy, Inc.*(a) | 134,075 | 925,118 | ||||||
Key Energy Services, Inc.*(a) | 117,616 | 121,145 | ||||||
Kosmos Energy Ltd.(a) | 850,710 | 5,376,487 | ||||||
Nine Energy Service, Inc.* | 141,756 | 776,823 | ||||||
ProPetro Holding Corp.* | 112,461 | 1,197,710 | ||||||
17,159,391 | ||||||||
Finance—33.1% | ||||||||
AIR LEASE Corp.(a) | 293,641 | 12,197,847 | ||||||
AMERISAFE, Inc. | 42,281 | 2,904,705 | ||||||
Ares Commercial Real Estate Corp. | 109,836 | 1,646,442 | ||||||
Assured Guaranty Ltd. | 279,060 | 11,874,003 | ||||||
Axis Capital Holdings Ltd. | 36,559 | 2,244,357 | ||||||
BankUnited, Inc. | 149,454 | 4,746,659 | ||||||
Boston Private Financial Holdings, Inc. | 227,356 | 2,414,521 | ||||||
Cadence BanCorp(a) | 274,966 | 4,226,227 | ||||||
CenterState Banks, Inc. | 125,128 | 2,830,395 | ||||||
Columbia Banking System, Inc.(a) | 48,875 | 1,686,676 | ||||||
Essent Group Ltd. | 180,101 | 8,734,899 | ||||||
Evercore, Inc., Class A(a) | 32,457 | 2,588,770 | ||||||
Federal Agricultural Mortgage Corp., Class C | 51,376 | 4,230,814 | ||||||
First Citizens BancShares Inc., Class A | 6,219 | 2,764,967 | ||||||
First Hawaiian, Inc. | 292,190 | 7,509,283 | ||||||
First Merchants Corp. | 83,960 | 2,999,051 | ||||||
First Midwest Bancorp Inc. | 103,183 | 1,981,114 | ||||||
FirstCash, Inc. | 16,950 | 1,673,474 | ||||||
Flushing Financial Corp. | 61,347 | 1,183,384 | ||||||
Gladstone Capital Corp.(a) | 35,138 | 327,486 | ||||||
Global Indemnity Ltd. Class A | 31,836 | 819,777 | ||||||
Greenhill & Co, Inc.(a) | 66,533 | 934,123 | ||||||
Hanmi Financial Corp. | 126,221 | 2,260,618 | ||||||
Hanover Insurance Group Inc., (The) | 30,086 | 4,005,951 | ||||||
Heritage Financial Corp.(a) | 78,962 | 2,067,225 | ||||||
Hope Bancorp, Inc. | 126,327 | 1,694,045 | ||||||
James River Group Holdings Ltd. | 95,086 | 4,685,838 | ||||||
Luther Burbank Corp. | 199,955 | 2,091,529 | ||||||
Merchants Bancorp | 89,113 | 1,413,332 | ||||||
National General Holdings Corp. | 301,177 | 7,101,754 | ||||||
Navient Corp. | 496,197 | 6,321,550 | ||||||
Nelnet, Inc., Class A | 93,440 | 6,265,152 | ||||||
NMI Holdings, Inc. Class A* | 143,425 | 4,064,665 | ||||||
Peapack Gladstone Financial Corp. | 98,539 | 2,771,902 | ||||||
PennyMac Financial Services, Inc.* | 167,222 | 4,948,099 | ||||||
Preferred Bank(a) | 49,609 | 2,478,466 | ||||||
ProAssurance Corp. | 77,766 | 3,038,318 | ||||||
Radian Group, Inc. | 183,748 | 4,143,517 |
The accompanying notes are an integral part of the financial statements.
40 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Finance—(continued) | ||||||||
RBB Bancorp | 68,397 | $ | 1,260,557 | |||||
Silvercrest Asset Management Group, Inc. | 259,095 | 3,386,372 | ||||||
SLM Corp.(a) | 1,228,651 | 10,369,814 | ||||||
South State Corp.(a) | 14,023 | 1,031,812 | ||||||
State Auto Financial Corp. | 51,325 | 1,640,860 | ||||||
Synovus Financial Corp. | 48,107 | 1,709,723 | ||||||
Umpqua Holdings Corp. | 89,716 | 1,409,438 | ||||||
Walker & Dunlop, Inc. | 180,053 | 10,057,761 | ||||||
Washington Federal, Inc.(a) | 65,557 | 2,333,829 | ||||||
White Mountains Insurance Group Ltd. | 4,642 | 4,923,769 | ||||||
179,994,870 | ||||||||
Health Care—3.9% | ||||||||
Chemed Corp. | 9,508 | 4,083,021 | ||||||
ICON PLC* | 29,317 | 4,520,388 | ||||||
LHC Group, Inc.*(a) | 39,526 | 4,683,831 | ||||||
Patterson Cos., Inc.(a) | 84,803 | 1,417,906 | ||||||
Syneos Health, Inc.*(a) | 120,155 | 6,311,742 | ||||||
21,016,888 | ||||||||
Real Estate Investment Trusts—7.9% | ||||||||
Arlington Asset Investment Corp., Class A(a) | 185,233 | 915,051 | ||||||
Blackstone Mortgage Trust, Inc. Class A(a) | 190,621 | 6,633,611 | ||||||
Chatham Lodging Trust | 120,732 | 2,002,944 | ||||||
Colony Capital, Inc.(a) | 300,814 | 1,353,663 | ||||||
Cousins Properties, Inc.(a) | 48,026 | 1,666,502 | ||||||
Front Yard Residential Corp.(a) | 59,236 | 656,927 | ||||||
Gladstone Commercial Corp. | 41,341 | 937,201 | ||||||
MFA Financial, Inc. | 659,146 | 4,726,077 | ||||||
Redwood Trust, Inc.(a) | 202,349 | 3,358,993 | ||||||
Retail Properties of America, Inc. | 216,336 | 2,457,577 | ||||||
Spirit Realty Capital, Inc.(a) | 41,636 | 1,996,030 | ||||||
Starwood Property Trust, Inc. | 182,941 | 4,286,308 | ||||||
Two Harbors Investment Corp.(a) | 956,710 | 12,083,247 | ||||||
43,074,131 | ||||||||
Technology—11.0% | ||||||||
Bel Fuse, Inc., Class B | 130,607 | 1,436,677 | ||||||
Belden, Inc.(a) | 93,406 | 4,260,248 | ||||||
Brooks Automation, Inc.(a) | 69,755 | 2,324,934 | ||||||
Ciena Corp.* | 194,664 | 7,967,598 | ||||||
EnerSys | 74,059 | 4,147,304 | ||||||
EVERTEC, Inc. | 96,368 | 3,359,389 | ||||||
Insight Enterprises, Inc.*(a) | 73,807 | 3,547,164 | ||||||
NCR Corp.* | 147,802 | 4,657,241 | ||||||
PC Connection, Inc.(a) | 29,839 | 1,051,228 | ||||||
Science Applications International Corp. | 52,623 | 4,631,350 | ||||||
SMART Global Holdings, Inc.*(a) | 109,147 | 3,100,866 | ||||||
Sykes Enterprises, Inc.* | 161,022 | 4,669,638 | ||||||
SYNNEX Corp. | 81,003 | 6,788,861 | ||||||
TTEC Holdings, Inc. | 108,693 | 5,098,789 | ||||||
Versum Materials, Inc. | 59,509 | 3,094,468 | ||||||
60,135,755 |
NUMBER OF SHARES | VALUE | |||||||
Transportation—0.4% | ||||||||
Spirit Airlines, Inc.*(a) | 56,258 | $ | 2,111,925 | |||||
Utilities—0.4% | ||||||||
Pure Cycle Corp.* | 187,605 | 2,035,515 | ||||||
TOTAL COMMON STOCKS (Cost $454,108,938) | 530,383,731 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—23.6% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27%(b) | 128,381,830 | 128,381,830 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $128,381,830) | 128,381,830 | |||||||
SHORT-TERM INVESTMENTS—2.5% | ||||||||
Fidelity Investments Money Market Funds – Government Portfolio, 2.00%(b) | 13,618,474 | 13,618,474 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $13,618,474) | 13,618,474 | |||||||
TOTAL INVESTMENTS—123.6% (Cost $596,109,242) | 672,384,035 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(23.6)% | (128,252,557 | ) | ||||||
NET ASSETS—100.0% | $ | 544,131,478 |
PLC | — | Public Limited Company |
* | — | Non-income producing. |
(a) | — | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $125,319,842. |
(b) | — | Seven-day yield as of August 31, 2019. |
Industry classifications may be different than those used for compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 41
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS SMALL CAP VALUE FUND II | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Basic Industries | $ | 38,373,373 | $ | 38,373,373 | $ | — | $ | — | $ | — | ||||||||||
Capital Goods | 54,366,055 | 54,366,055 | — | — | — | |||||||||||||||
Communications | 2,670,119 | 2,670,119 | — | — | — | |||||||||||||||
Consumer Durables | 11,878,734 | 11,878,734 | — | — | — | |||||||||||||||
Consumer Non-Durables | 22,352,167 | 22,352,167 | — | — | — | |||||||||||||||
Consumer Services | 75,214,808 | 75,214,808 | — | — | — | |||||||||||||||
Energy | 17,159,391 | 17,159,391 | — | — | — | |||||||||||||||
Finance | 179,994,870 | 179,994,870 | — | — | — | |||||||||||||||
Health Care | 21,016,888 | 21,016,888 | — | — | — | |||||||||||||||
Real Estate Investment Trusts | 43,074,131 | 43,074,131 | — | — | — | |||||||||||||||
Technology | 60,135,755 | 60,135,755 | — | — | — | |||||||||||||||
Transportation | 2,111,925 | 2,111,925 | — | — | — | |||||||||||||||
Utilities | 2,035,515 | 2,035,515 | — | — | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 128,381,830 | — | — | — | 128,381,830 | |||||||||||||||
Short-Term Investments | 13,618,474 | 13,618,474 | — | — | — | |||||||||||||||
Total Assets | $ | 672,384,035 | $ | 544,002,205 | $ | — | $ | — | $ | 128,381,830 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments |
The accompanying notes are an integral part of the financial statements.
42 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—113.6% | ||||||||
COMMON STOCKS—99.0% | ||||||||
Basic Industries—2.7% | ||||||||
BHP Billiton Ltd. - SP ADR(a)† | 27,355 | $ | 1,344,772 | |||||
Freeport-McMoRan, Inc.(a)† | 100,871 | 927,004 | ||||||
LyondellBasell Industries NV, Class A | 15,921 | 1,231,967 | ||||||
Mosaic Co., (The)(a) | 32,979 | 606,484 | ||||||
Nutrien Ltd. | 24,857 | 1,251,799 | ||||||
Rio Tinto PLC - SP ADR† | 29,888 | 1,511,735 | ||||||
6,873,761 | ||||||||
Capital Goods—6.1% | ||||||||
Argan, Inc.(a) | 41,052 | 1,695,858 | ||||||
CECO Environmental Corp.*(a) | 161,160 | 1,120,062 | ||||||
Colfax Corp.*(a) | 52,637 | 1,431,726 | ||||||
DMC Global, Inc.(a) | 29,599 | 1,285,485 | ||||||
Fluor Corp.† # | 37,760 | 667,219 | ||||||
Graham Corp.† | 57,084 | 1,050,917 | ||||||
Hexcel Corp.(a) | 15,629 | 1,315,180 | ||||||
KBR, Inc.† | 128,853 | 3,288,329 | ||||||
Quanta Services, Inc. | 53,328 | 1,807,819 | ||||||
Safran SA - ADR† | 51,520 | 1,868,115 | ||||||
15,530,710 | ||||||||
Communications—5.1% | ||||||||
Comcast Corp., Class A† | 161,602 | 7,152,505 | ||||||
Discovery, Inc., Class C*(a) | 81,129 | 2,111,788 | ||||||
Naspers Ltd. - SP ADR | 48,545 | 2,196,661 | ||||||
Verizon Communications, Inc. | 26,234 | 1,525,769 | ||||||
12,986,723 | ||||||||
Consumer Non-Durables—2.6% | ||||||||
Coca-Cola European Partners PLC(a) | 28,881 | 1,627,155 | ||||||
Huami Corp. - ADR* | 100,121 | 992,199 | ||||||
Nomad Foods Ltd.*† | 54,398 | 1,096,120 | ||||||
Skechers U.S.A., Inc. Class A* | 61,812 | 1,956,968 | ||||||
USANA Health Sciences, Inc.* | 15,427 | 1,048,573 | ||||||
6,721,015 | ||||||||
Consumer Services—15.9% | ||||||||
Alibaba Group Holding Ltd. - SP ADR* | 15,087 | 2,640,678 | ||||||
Aramark | 39,471 | 1,612,785 | ||||||
ASGN, Inc.*(a) | 26,584 | 1,660,703 | ||||||
Barrett Business Services, Inc.† | 12,240 | 1,066,471 | ||||||
CarMax, Inc.*(a) | 21,190 | 1,764,703 | ||||||
Carter’s, Inc.(a) | 22,455 | 2,054,183 | ||||||
CDK Global, Inc.(a) | 44,414 | 1,916,908 | ||||||
FleetCor Technologies, Inc.* | 6,429 | 1,918,414 | ||||||
Fox Corp., Class B | 94,334 | 3,094,155 | ||||||
Hackett Group Inc., (The) | 62,137 | 1,002,270 | ||||||
IAA, Inc.* | 25,566 | 1,248,899 | ||||||
ICF International, Inc. | 16,018 | 1,356,084 | ||||||
IHS Markit Ltd.* | 27,792 | 1,823,433 | ||||||
International Game Technology PLC† | 136,696 | 1,637,618 | ||||||
JD.com, Inc. - ADR* | 56,666 | 1,728,313 | ||||||
KAR Auction Services, Inc.(a) | 25,566 | 679,033 | ||||||
Las Vegas Sands Corp.† | 27,941 | 1,549,887 | ||||||
Perficient, Inc.* | 52,260 | 1,925,258 | ||||||
Points International Ltd.* | 72,334 | 810,864 | ||||||
Quad/Graphics, Inc.(a) | 134,646 | 1,210,468 | ||||||
Stars Group Inc., (The)* | 123,080 | 1,870,143 | ||||||
Tetra Tech, Inc. | 13,726 | 1,113,453 | ||||||
Vectrus, Inc.* | 31,873 | 1,289,582 | ||||||
Vipshop Holdings Ltd. - ADR* | 179,260 | 1,500,406 |
NUMBER OF SHARES | VALUE | |||||||
Consumer Services—(continued) | ||||||||
Wyndham Destinations, Inc.† | 48,505 | $ | 2,150,712 | |||||
40,625,423 | ||||||||
Energy—8.7% | ||||||||
Canadian Natural Resources Ltd.† | 86,813 | 2,074,831 | ||||||
Chevron Corp.† | 43,411 | 5,110,343 | ||||||
Crescent Point Energy Corp. | 239,851 | 757,929 | ||||||
Dawson Geophysical Co.* | 102,305 | 215,864 | ||||||
Marathon Petroleum Corp. | 26,264 | 1,292,451 | ||||||
Mitcham Industries, Inc.* | 177,720 | 629,129 | ||||||
Occidental Petroleum Corp. | 26,219 | 1,140,010 | ||||||
Phillips 66† | 19,369 | 1,910,364 | ||||||
Royal Dutch Shell PLC, Class A - SP ADR | 38,522 | 2,141,823 | ||||||
Schlumberger Ltd.† | 43,553 | 1,412,424 | ||||||
Solaris Oilfield Infrastructure, Inc. Class A(a) | 50,123 | 689,191 | ||||||
TOTAL SA - SP ADR | 52,408 | 2,616,207 | ||||||
Valero Energy Corp.† | 17,238 | 1,297,677 | ||||||
Viper Energy Partners LP(a)† | 31,585 | 915,017 | ||||||
22,203,260 | ||||||||
Finance—13.9% | ||||||||
AerCap Holdings NV*† | 20,859 | 1,118,460 | ||||||
AMERCO(a) | 3,822 | 1,343,892 | ||||||
American International Group, Inc. | 36,088 | 1,878,019 | ||||||
Arthur J Gallagher & Co.(a) | 20,464 | 1,856,289 | ||||||
Banco Macro SA - ADR | 22,157 | 516,480 | ||||||
Bank of America Corp. | 114,509 | 3,150,143 | ||||||
Berkshire Hathaway, Inc., Class B*† # | 21,668 | 4,407,488 | ||||||
Citigroup, Inc.† | 81,749 | 5,260,548 | ||||||
Discover Financial Services† | 30,235 | 2,417,893 | ||||||
E*TRADE Financial Corp. | 38,427 | 1,603,943 | ||||||
FedNat Holding Co. | 101,473 | 1,241,015 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 59,843 | 892,259 | ||||||
Jefferies Financial Group, Inc.† | 76,754 | 1,430,694 | ||||||
Morgan Stanley† | 66,503 | 2,759,209 | ||||||
Stifel Financial Corp.† | 45,471 | 2,429,061 | ||||||
Umpqua Holdings Corp.† | 104,553 | 1,642,528 | ||||||
Western Alliance Bancorp | 39,019 | 1,694,205 | ||||||
35,642,126 | ||||||||
Health Care—13.6% | ||||||||
Akebia Therapeutics, Inc.* | 175,071 | 723,043 | ||||||
Alcon, Inc.*(a) | 6,084 | 370,881 | ||||||
Anthem, Inc.† | 8,534 | 2,231,812 | ||||||
Centene Corp.*(a) | 21,015 | 979,719 | ||||||
Cigna Corp.† | 19,623 | 3,021,353 | ||||||
CVS Health Corp.† | 37,957 | 2,312,340 | ||||||
Exelixis, Inc.*† | 95,212 | 1,889,958 | ||||||
Hanger, Inc.* | 106,780 | 2,016,006 | ||||||
HCA Healthcare, Inc.† | 24,891 | 2,991,898 | ||||||
Jazz Pharmaceuticals PLC* | 14,631 | 1,874,963 | ||||||
Johnson & Johnson† | 30,708 | 3,941,679 | ||||||
Kala Pharmaceuticals, Inc.*(a) | 85,506 | 351,430 | ||||||
Medtronic PLC† | 26,123 | 2,818,411 | ||||||
Novartis AG - SP ADR† | 22,990 | 2,071,629 | ||||||
Pfizer, Inc. | 77,351 | 2,749,828 | ||||||
Syneos Health, Inc.*(a) | 23,594 | 1,239,393 | ||||||
UnitedHealth Group, Inc.† | 13,471 | 3,152,214 | ||||||
34,736,557 |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 43
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||
Real Estate Investment Trusts—2.8% | ||||||||
Industrial Logistics Properties Trust† | 104,781 | $ | 2,241,265 | |||||
Medical Properties Trust, Inc. | 65,524 | 1,218,091 | ||||||
Newmark Group, Inc., Class A† | 210,482 | 1,826,984 | ||||||
Piedmont Office Realty Trust, Inc., Class A(a) | 88,504 | 1,747,069 | ||||||
Wheeler Real Estate Investment Trust, Inc.*(a) | 121,569 | 181,138 | ||||||
7,214,547 | ||||||||
Technology—23.4% | ||||||||
Akamai Technologies, Inc.* | 19,681 | 1,754,168 | ||||||
Baidu, Inc. - SP ADR*† | 9,747 | 1,018,269 | ||||||
Booking Holdings, Inc.*(a) | 1,429 | 2,810,000 | ||||||
CACI International, Inc., Class A* | 11,750 | 2,611,908 | ||||||
Capgemini SE - ADR | 67,146 | 1,613,921 | ||||||
CDW Corp. | 16,832 | 1,944,096 | ||||||
Cognizant Technology Solutions Corp., Class A(a)† | 31,944 | 1,961,042 | ||||||
Coherent, Inc.*(a) | 10,696 | 1,550,492 | ||||||
Dolby Laboratories, Inc. Class A | 23,700 | 1,458,972 | ||||||
EchoStar Corp., Class A*(a) | 46,433 | 1,961,794 | ||||||
Euronet Worldwide, Inc.* | 13,979 | 2,140,744 | ||||||
EVERTEC, Inc.† | 68,747 | 2,396,520 | ||||||
Fabrinet* | 31,909 | 1,611,085 | ||||||
Facebook, Inc., Class A*† | 28,989 | 5,382,388 | ||||||
Fidelity National Information Services, Inc. | 14,238 | 1,939,500 | ||||||
Fiserv, Inc.*† | 15,284 | 1,634,471 | ||||||
Hollysys Automation Technologies, Ltd. | 118,865 | 1,860,237 | ||||||
Infosys Ltd. - SP ADR(a) | 166,844 | 1,917,038 | ||||||
Insight Enterprises, Inc.*(a)† | 46,591 | 2,239,164 | ||||||
InterDigital Inc. | 31,637 | 1,555,591 | ||||||
Model N, Inc.* | 54,582 | 1,562,683 | ||||||
Net 1 UEPS Technologies, Inc.* | 264,651 | 828,358 | ||||||
Nuance Communications, Inc.*† | 126,312 | 2,123,305 | ||||||
Open Text Corp. | 33,922 | 1,326,011 | ||||||
Rubicon Project Inc., (The)* | 254,588 | 2,604,435 | ||||||
Sabre Corp.† | 51,492 | 1,217,271 | ||||||
Sensata Technologies Holding PLC* | 30,486 | 1,389,552 | ||||||
SINA Corp.* | 15,101 | 621,708 | ||||||
SYNNEX Corp.† | 17,635 | 1,477,989 | ||||||
Telefonaktiebolaget LM Ericsson - SP ADR(a) | 185,964 | 1,457,958 | ||||||
YY, Inc. - ADR*(a) | 25,786 | 1,473,670 | ||||||
Zebra Technologies Corp., Class A*† | 11,840 | 2,427,555 | ||||||
59,871,895 | ||||||||
Transportation—2.1% | ||||||||
Forward Air Corp. | 18,284 | 1,139,093 | ||||||
Golar LNG Partners LP | 37,518 | 368,052 | ||||||
Hub Group, Inc., Class A* | 26,904 | 1,158,486 | ||||||
Mesa Air Group, Inc.* | 154,870 | 1,000,460 | ||||||
Overseas Shipholding Group, Inc., Class A* | 364,539 | 594,199 | ||||||
Teekay LNG Partners LP | 86,237 | 1,252,161 | ||||||
5,512,451 |
NUMBER OF SHARES | VALUE | |||||||
Utilities—2.1% | ||||||||
Cheniere Energy, Inc.*(a) | 14,116 | $ | 842,866 | |||||
Enterprise Products Partners LP | 58,481 | 1,667,293 | ||||||
MPLX LP | 36,518 | 1,019,218 | ||||||
TerraForm Power, Inc., Class A | 111,918 | 1,898,130 | ||||||
5,427,507 | ||||||||
TOTAL COMMON STOCKS (Cost $208,002,562) | 253,345,975 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—13.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27%(b) | 34,683,073 | 34,683,073 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $34,683,073) | 34,683,073 | |||||||
SHORT-TERM INVESTMENTS—1.1% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(b) | 2,791,849 | 2,791,849 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,791,849) | 2,791,849 | |||||||
TOTAL LONG POSITIONS—113.6% (Cost $245,477,484) | 290,820,897 | |||||||
SECURITIES SOLD SHORT—(55.1%) | ||||||||
COMMON STOCKS—(55.1%) | ||||||||
Basic Industries—(3.7%) | ||||||||
Ball Corp. | (21,741 | ) | (1,748,194 | ) | ||||
ChromaDex Corp.* | (128,789 | ) | (503,565 | ) | ||||
CryoPort, Inc.* | (77,377 | ) | (1,683,723 | ) | ||||
MAG Silver Corp.* | (115,133 | ) | (1,467,946 | ) | ||||
Mountain Province Diamonds, Inc. | (38,279 | ) | (29,900 | ) | ||||
Seabridge Gold, Inc.* | (93,265 | ) | (1,471,722 | ) | ||||
Tanzanian Gold Corp.* | (147,000 | ) | (117,306 | ) | ||||
Trex Co., Inc.* | (24,013 | ) | (2,053,832 | ) | ||||
Uranium Energy Corp.* | (372,786 | ) | (349,263 | ) | ||||
(9,425,451 | ) | |||||||
Capital Goods—-(5.1%) | ||||||||
AAON, Inc. | (39,016 | ) | (1,871,598 | ) | ||||
Axon Enterprise, Inc.* | (29,829 | ) | (1,788,845 | ) | ||||
Blue Bird Corp.* | (95,028 | ) | (1,733,311 | ) | ||||
DynaMotive Energy Systems Corp.*‡ | (72,185 | ) | (7 | ) | ||||
Kornit Digital Ltd.* | (78,269 | ) | (2,207,968 | ) | ||||
Kratos Defense & Security Solutions, Inc.* | (43,296 | ) | (864,621 | ) | ||||
Lindsay Corp. | (11,395 | ) | (1,005,723 | ) | ||||
Proto Labs, Inc.* | (11,427 | ) | (1,082,594 | ) | ||||
ShotSpotter, Inc.* | (34,221 | ) | (931,838 | ) | ||||
SiteOne Landscape Supply, Inc.* | (20,959 | ) | (1,638,994 | ) | ||||
(13,125,499 | ) | |||||||
Communications—(2.0%) | ||||||||
CTC Communications Group, Inc.*‡ | (98,900 | ) | 0 | |||||
Netflix, Inc.* | (17,799 | ) | (5,228,456 | ) | ||||
(5,228,456 | ) |
The accompanying notes are an integral part of the financial statements.
44 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||
Consumer Durables—(2.5%) | ||||||||
Brunswick Corp. | (31,806 | ) | $ | (1,482,160 | ) | |||
GoPro, Inc., Class A* | (292,414 | ) | (1,131,642 | ) | ||||
iRobot Corp.* | (14,719 | ) | (909,781 | ) | ||||
National Presto Industries, Inc. | (7,320 | ) | (627,397 | ) | ||||
Qsound Labs, Inc.*‡ | (4,440 | ) | 0 | |||||
Tesla Motors, Inc.* | (4,724 | ) | (1,065,782 | ) | ||||
Winnebago Industries, Inc. | (36,994 | ) | (1,184,548 | ) | ||||
(6,401,310 | ) | |||||||
Consumer Non-Durables—(4.8%) | ||||||||
Amish Naturals, Inc.*‡ | (25,959 | ) | 0 | |||||
Beyond Meat, Inc.* | (5,172 | ) | (866,982 | ) | ||||
Canada Goose Holdings, Inc.* | (22,420 | ) | (836,266 | ) | ||||
Fitbit, Inc., Class A* | (351,074 | ) | (1,084,819 | ) | ||||
Freshpet, Inc.* | (33,445 | ) | (1,641,481 | ) | ||||
Johnson Outdoors, Inc., Class A | (15,890 | ) | (889,840 | ) | ||||
Lancaster Colony Corp. | (8,985 | ) | (1,310,911 | ) | ||||
Limoneira Co. | (59,523 | ) | (1,080,938 | ) | ||||
Marine Products Corp. | (27,427 | ) | (414,971 | ) | ||||
Mattel, Inc.* | (92,914 | ) | (910,557 | ) | ||||
MGP Ingredients, Inc. | (19,278 | ) | (928,621 | ) | ||||
Primo Water Corp.* | (114,152 | ) | (1,396,079 | ) | ||||
Valence Technology, Inc.*‡ | (27,585 | ) | (3 | ) | ||||
Vince Holding Corp.* | (69,158 | ) | (850,643 | ) | ||||
(12,212,111 | ) | |||||||
Consumer Services—(8.1%) | ||||||||
Brink’s Co. (The) | (21,761 | ) | (1,637,515 | ) | ||||
Carvana Co.* | (23,773 | ) | (1,929,417 | ) | ||||
Chuy’s Holdings, Inc.* | (62,174 | ) | (1,577,354 | ) | ||||
Corporate Resource Services, Inc.* | (218,896 | ) | (98 | ) | ||||
Dave & Buster’s Entertainment, Inc. | (31,453 | ) | (1,354,052 | ) | ||||
Domino’s Pizza, Inc. | (7,149 | ) | (1,621,679 | ) | ||||
eXp World Holdings, Inc.* | (107,970 | ) | (939,339 | ) | ||||
Fiesta Restaurant Group, Inc.* | (56,679 | ) | (489,707 | ) | ||||
GrubHub, Inc.* | (24,844 | ) | (1,474,243 | ) | ||||
Hibbett Sports, Inc.* | (42,930 | ) | (710,062 | ) | ||||
Lands’ End, Inc.* | (92,113 | ) | (713,876 | ) | ||||
Noodles & Co.* | (167,458 | ) | (966,233 | ) | ||||
Papa John’s International, Inc. | (24,663 | ) | (1,227,231 | ) | ||||
SeaWorld Entertainment, Inc.* | (68,688 | ) | (1,992,639 | ) | ||||
Shake Shack, Inc. Class A* | (16,908 | ) | �� | (1,676,597 | ) | |||
Sonic Automotive, Inc., Class A | (51,143 | ) | (1,376,258 | ) | ||||
Wayfair, Inc. Class A* | (8,524 | ) | (960,996 | ) | ||||
(20,647,296 | ) | |||||||
Energy—0.0% | ||||||||
Beard Co.* | (9,710 | ) | (9 | ) | ||||
Finance—(4.0%) | ||||||||
Kinsale Capital Group, Inc. | (15,028 | ) | (1,476,201 | ) | ||||
KKR & Co., Inc., Class A | (38,992 | ) | (1,007,553 | ) | ||||
RLI Corp. | (14,076 | ) | (1,288,939 | ) | ||||
Siebert Financial Corp. | (70,866 | ) | (777,400 | ) | ||||
Trupanion, Inc.* | (65,198 | ) | (1,570,620 | ) | ||||
Westamerica Bancorporation | (25,062 | ) | (1,544,070 | ) | ||||
WillScot Corp.* | (125,645 | ) | (1,752,748 | ) | ||||
WisdomTree Investments, Inc. | (183,624 | ) | (883,231 | ) | ||||
(10,300,762 | ) | |||||||
Health Care—(4.7%) | ||||||||
Align Technology, Inc.* | (10,727 | ) | (1,964,221 | ) | ||||
BodyTel Scientific, Inc.*‡ | (4,840 | ) | (1 | ) | ||||
CareView Communications, Inc.* | (190,048 | ) | (1,777 | ) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | ||||||||
Corbus Pharmaceuticals Holdings, Inc.* | (93,856 | ) | $ | (486,174 | ) | |||
Endologix, Inc.* | (34,327 | ) | (183,995 | ) | ||||
Heska Corp.* | (26,032 | ) | (1,827,186 | ) | ||||
Natera, Inc.* | (44,727 | ) | (1,473,755 | ) | ||||
Nevro Corp.* | (14,761 | ) | (1,235,939 | ) | ||||
Quidel Corp.* | (24,029 | ) | (1,515,028 | ) | ||||
Tactile Systems Technology, Inc.* | (34,278 | ) | (1,728,982 | ) | ||||
ViewRay, Inc.* | (184,063 | ) | (725,208 | ) | ||||
ZIOPHARM Oncology, Inc.* | (164,405 | ) | (820,381 | ) | ||||
(11,962,647 | ) | |||||||
Real Estate Investment Trusts—(1.3%) | ||||||||
Agree Realty Corp. | (22,961 | ) | (1,714,957 | ) | ||||
Redfin Corp.* | (97,563 | ) | (1,647,839 | ) | ||||
(3,362,796 | ) | |||||||
Technology—(16.6%) | ||||||||
8x8, Inc.* | (93,445 | ) | (2,271,648 | ) | ||||
ANGI Homeservices, Inc., Class A* | (96,736 | ) | (750,671 | ) | ||||
ANTs Software, Inc.*‡ | (10,334 | ) | (1 | ) | ||||
Applied Energetics, Inc.* | (333,673 | ) | (79,247 | ) | ||||
Benefitfocus, Inc.* | (27,653 | ) | (722,296 | ) | ||||
Blackbaud, Inc. | (9,827 | ) | (893,962 | ) | ||||
Box, Inc., Class A* | (77,523 | ) | (1,134,162 | ) | ||||
Calix, Inc.* | (164,228 | ) | (987,010 | ) | ||||
Capstone Turbine Corp.* | (26,386 | ) | (17,256 | ) | ||||
Cardlytics, Inc.* | (65,948 | ) | (2,477,666 | ) | ||||
Consygen, Inc.*‡ | (200 | ) | 0 | |||||
Cree, Inc.* | (35,619 | ) | (1,529,124 | ) | ||||
DocuSign, Inc.* | (27,853 | ) | (1,300,457 | ) | ||||
Ener1, Inc.*‡ | (102,820 | ) | (10 | ) | ||||
FireEye, Inc.* | (134,917 | ) | (1,811,935 | ) | ||||
Glu Mobile, Inc.* | (121,955 | ) | (541,480 | ) | ||||
Impinj, Inc.* | (38,175 | ) | (1,388,807 | ) | ||||
Inovalon Holdings, Inc., Class A* | (86,698 | ) | (1,466,930 | ) | ||||
Inseego Corp.* | (382,918 | ) | (1,700,156 | ) | ||||
Instructure, Inc.* | (44,175 | ) | (1,827,078 | ) | ||||
Interliant, Inc.*‡ | (600 | ) | 0 | |||||
LivePerson, Inc.* | (31,938 | ) | (1,269,216 | ) | ||||
Nestor, Inc.*‡ | (15,200 | ) | (2 | ) | ||||
NetScout Systems, Inc.* | (62,550 | ) | (1,385,483 | ) | ||||
New Relic, Inc.* | (22,417 | ) | (1,285,391 | ) | ||||
nLight, Inc.* | (68,622 | ) | (886,596 | ) | ||||
Plug Power, Inc.* | (561,127 | ) | (1,217,646 | ) | ||||
Proofpoint, Inc.* | (13,644 | ) | (1,550,095 | ) | ||||
PROS Holdings, Inc.* | (18,389 | ) | (1,305,987 | ) | ||||
Shopify, Inc., Class A* | (3,384 | ) | (1,304,160 | ) | ||||
Sonos, Inc.* | (100,289 | ) | (1,456,196 | ) | ||||
Spotify Technology SA* | (13,971 | ) | (1,885,386 | ) | ||||
Square, Inc., Class A* | (17,314 | ) | (1,070,698 | ) | ||||
SunPower Corp.* | (203,171 | ) | (2,543,701 | ) | ||||
Tiger Telematics, Inc.*‡ | (6,510 | ) | 0 | |||||
TrueCar, Inc.* | (216,573 | ) | (857,629 | ) | ||||
Tucows, Inc., Class A* | (24,063 | ) | (1,214,219 | ) | ||||
Uni-Pixel, Inc.* | (19,665 | ) | (16 | ) | ||||
Veeco Instruments, Inc.* | (77,312 | ) | (715,909 | ) | ||||
Vocera Communications, Inc.* | (50,387 | ) | (1,156,382 | ) | ||||
Worldgate Communications, Inc.*‡ | (582,655 | ) | (58 | ) | ||||
Xybernaut Corp.*‡ | (34,156 | ) | 0 | |||||
Zscaler, Inc.* | (9,053 | ) | (622,303 | ) | ||||
(42,626,969 | ) |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 45
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||||||
Transportation—(0.5%) | ||||||||||||
Saia, Inc.* | (14,102 | ) | $ | (1,206,285 | ) | |||||||
Utilities—(1.8%) | ||||||||||||
Cadiz, Inc.* | (54,282 | ) | (624,786 | ) | ||||||||
California Water Service Group | (31,362 | ) | (1,770,071 | ) | ||||||||
MGE Energy, Inc. | (15,226 | ) | (1,154,892 | ) | ||||||||
PNM Resources, Inc. | (21,306 | ) | (1,086,819 | ) | ||||||||
(4,636,568 | ) | |||||||||||
TOTAL COMMON STOCKS (Proceeds $(147,956,248)) | (141,136,159 | ) | ||||||||||
TOTAL SECURITIES SOLD SHORT—(55.1%) (Proceeds $(147,956,248)) | (141,136,159 | ) | ||||||||||
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | |||||||||||
OPTIONS WRITTEN ††—(0.3%) | ||||||||||||
Call Options Written—(0.0%) | ||||||||||||
Beyond Meat, Inc. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 200.00 | (40 | ) | (670,520 | ) | (18,400 | ) | ||||||
Energous Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 20.00 | (623 | ) | (226,772 | ) | (3,115 | ) | ||||||
TOTAL CALL OPTIONS WRITTEN (Premiums received $(275,729)) | (21,515 | ) | ||||||||||
Put Options Written—(0.3%) | ||||||||||||
Berkshire Hathaway, Inc., Class B | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 185.00 | (131 | ) | (2,664,671 | ) | (39,955 | ) | ||||||
Fluor Corp. | ||||||||||||
Expiration: 10/18/2019, Exercise Price: 30.00 | (239 | ) | (422,313 | ) | (298,750 | ) | ||||||
Wells Fargo & Co. | ||||||||||||
Expiration: 06/19/2020, Exercise Price: 45.00 | (774 | ) | (3,604,518 | ) | (282,510 | ) | ||||||
TOTAL PUT OPTIONS WRITTEN (Premiums received $(531,921)) | (621,215 | ) | ||||||||||
TOTAL OPTIONS WRITTEN (Premiums received $(807,650)) | (642,730 | ) | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—41.8% | 106,947,394 | |||||||||||
NET ASSETS—100.0% | $ | 255,989,402 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $34,014,339. |
(b) | — | Seven-day yield as of August 31, 2019. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — | Security segregated as collateral for options written. |
†† | — | Primary risk exposure is equity contracts. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. as of August 31, 2019, these securities amounted to $(82) or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
46 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT EQUITY FUND | Portfolio Of Investments(concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Basic Industries | $ | 6,873,761 | $ | 6,873,761 | $ | — | $ | — | $ | — | ||||||||||
Capital Goods | 15,530,710 | 15,530,710 | — | — | — | |||||||||||||||
Communications | 12,986,723 | 12,986,723 | — | — | — | |||||||||||||||
Consumer Non-Durables | 6,721,015 | 6,721,015 | — | — | — | |||||||||||||||
Consumer Services | 40,625,423 | 40,625,423 | — | — | — | |||||||||||||||
Energy | 22,203,260 | 22,203,260 | — | — | — | |||||||||||||||
Finance | 35,642,126 | 35,642,126 | — | — | — | |||||||||||||||
Health Care | 34,736,557 | 34,736,557 | — | — | — | |||||||||||||||
Real Estate Investment Trusts | 7,214,547 | 7,214,547 | — | — | — | |||||||||||||||
Technology | 59,871,895 | 59,871,895 | — | — | — | |||||||||||||||
Transportation | 5,512,451 | 5,512,451 | — | — | — | |||||||||||||||
Utilities | 5,427,507 | 5,427,507 | — | — | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 34,683,073 | — | — | — | 34,683,073 | |||||||||||||||
Short-Term Investments | 2,791,849 | 2,791,849 | — | — | — | |||||||||||||||
Total Assets | $ | 290,820,897 | $ | 256,137,824 | $ | — | $ | — | $ | 34,683,073 | ||||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Securities Sold Short | ||||||||||||||||||||
Basic Industries | $ | (9,425,451 | ) | $ | (9,425,451 | ) | $ | — | $ | — | $ | — | ||||||||
Capital Goods | (13,125,499 | ) | (13,125,492 | ) | — | (7 | ) | — | ||||||||||||
Communications | (5,228,456 | ) | (5,228,456 | ) | — | — | ** | — | ||||||||||||
Consumer Durables | (6,401,310 | ) | (6,401,310 | ) | — | — | ** | — | ||||||||||||
Consumer Non-Durables | (12,212,111 | ) | (12,212,108 | ) | — | (3 | ) | — | ||||||||||||
Consumer Services | (20,647,296 | ) | (20,647,198 | ) | (98 | ) | — | — | ||||||||||||
Energy | (9 | ) | — | (9 | ) | — | — | |||||||||||||
Finance | (10,300,762 | ) | (10,300,762 | ) | — | — | — | |||||||||||||
Health Care | (11,962,647 | ) | (11,960,869 | ) | (1,777 | ) | (1 | ) | — | |||||||||||
Real Estate Investment Trusts | (3,362,796 | ) | (3,362,796 | ) | — | — | — | |||||||||||||
Technology | (42,626,969 | ) | (42,626,898 | ) | — | (71 | ) | — | ||||||||||||
Transportation | (1,206,285 | ) | (1,206,285 | ) | — | — | — | |||||||||||||
Utilities | (4,636,568 | ) | (4,636,568 | ) | — | — | — | |||||||||||||
Options Written | ||||||||||||||||||||
Equity Contracts | (642,730 | ) | (340,865 | ) | (301,865 | ) | — | — | ||||||||||||
Total Liabilities | $ | (141,778,889 | ) | $ | (141,475,058 | ) | $ | (303,749 | ) | $ | (82 | ) | $ | — |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments |
** | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 47
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—99.5% | ||||||||
COMMON STOCKS—99.1% | ||||||||
Basic Industries—4.7% | ||||||||
Avery Dennison Corp. | 130,862 | $ | 15,123,721 | |||||
Barrick Gold Corp. | 1,289,949 | 24,999,212 | ||||||
Corteva, Inc. | 409,419 | 12,004,165 | ||||||
DuPont de Nemours, Inc. | 240,939 | 16,366,986 | ||||||
FMC Corp. | 224,180 | 19,353,459 | ||||||
Graphic Packaging Holding Co.† | 2,232,242 | 30,827,262 | ||||||
Mosaic Co., (The)† | 964,237 | 17,732,319 | ||||||
Nutrien Ltd.† | 330,128 | 16,625,246 | ||||||
153,032,370 | ||||||||
Capital Goods—-6.8% | ||||||||
AMETEK, Inc.† | 312,971 | 26,893,598 | ||||||
Caterpillar, Inc. | 122,123 | 14,532,637 | ||||||
Curtiss-Wright Corp. | 34,452 | 4,225,193 | ||||||
Dover Corp. | 226,654 | 21,246,546 | ||||||
Eagle Materials, Inc. | 256,378 | 21,584,464 | ||||||
HD Supply Holdings, Inc.* | 425,430 | 16,553,481 | ||||||
HeidelbergCement AG | 91,273 | 6,338,403 | ||||||
ITT, Inc. | 424,122 | 24,141,024 | ||||||
Leonardo SpA | 548,009 | 6,733,616 | ||||||
Owens Corning | 486,366 | 27,897,954 | ||||||
Parker-Hannifin Corp.† | 67,423 | 11,176,711 | ||||||
Sandvik AB | 1,004,670 | 14,430,226 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 138,054 | 11,127,153 | ||||||
United Technologies Corp.† | 126,705 | 16,502,059 | ||||||
223,383,065 | ||||||||
Communications—3.2% | ||||||||
Altice USA, Inc., Class A* | 644,790 | 18,621,535 | ||||||
Comcast Corp., Class A† | 1,178,357 | 52,154,081 | ||||||
Liberty Global PLC, Series C* | 614,505 | 16,050,871 | ||||||
Verizon Communications, Inc.† | 293,026 | 17,042,392 | ||||||
103,868,879 | ||||||||
Consumer Durables—3.4% | ||||||||
Berkeley Group Holdings Plc | 270,175 | 12,903,519 | ||||||
Gentex Corp. | 366,717 | 9,754,672 | ||||||
Lennar Corp., Class A | 351,765 | 17,940,015 | ||||||
Persimmon PLC | 1,540,580 | 35,771,573 | ||||||
Sony Corp. | 456,300 | 25,991,965 | ||||||
Whirlpool Corp. | 59,097 | 8,219,802 | ||||||
110,581,546 | ||||||||
Consumer Non-Durables—7.5% | ||||||||
Activision Blizzard, Inc. | 188,664 | 9,546,398 | ||||||
Altria Group, Inc.† | 441,884 | 19,328,006 | ||||||
Ambev SA - ADR | 1,500,211 | 6,810,958 | ||||||
Coca-Cola European Partners PLC† | 287,265 | 16,184,510 | ||||||
Danone SA | 276,076 | 24,733,380 | ||||||
Electronic Arts, Inc.* | 113,865 | 10,666,873 | ||||||
Imperial Brands PLC | 320,751 | 8,311,617 | ||||||
Mondelez International, Inc., Class A | 724,525 | 40,008,270 | ||||||
Nomad Foods Ltd.*† | 1,136,154 | 22,893,503 | ||||||
PepsiCo, Inc. | 169,078 | 23,118,035 | ||||||
Philip Morris International, Inc. | 459,729 | 33,141,864 | ||||||
Tyson Foods, Inc., Class A | 160,294 | 14,913,754 | ||||||
Unilever NV | 256,043 | 15,897,710 | ||||||
245,554,878 |
NUMBER OF SHARES | VALUE | |||||||
Consumer Service—11.5% | ||||||||
AutoZone, Inc.* | 28,996 | $ | 31,944,603 | |||||
CDK Global, Inc.† | 792,963 | 34,224,283 | ||||||
Cineworld Group Plc | 2,077,002 | 5,543,080 | ||||||
eBay, Inc.† | 1,173,250 | 47,270,243 | ||||||
Expedia Group, Inc. | 63,243 | 8,227,914 | ||||||
Fox Corp., Class A | 999,531 | 33,154,443 | ||||||
GVC Holdings PLC | 1,423,463 | 10,921,910 | ||||||
IAA, Inc.* | 519,969 | 25,400,486 | ||||||
KAR Auction Services, Inc. | 519,969 | 13,810,377 | ||||||
Las Vegas Sands Corp. | 490,381 | 27,201,434 | ||||||
ManpowerGroup, Inc. | 72,669 | 5,939,964 | ||||||
Melco Resorts & Entertainment Ltd. - ADR | 826,218 | 17,185,334 | ||||||
Moody’s Corp. | 48,863 | 10,533,886 | ||||||
Nexstar Media Group, Inc., Class A | 288,220 | 28,502,076 | ||||||
S&P Global, Inc. | 41,048 | 10,680,279 | ||||||
Stars Group, Inc. (The)* | 381,392 | 5,793,344 | ||||||
Teleperformance | 41,433 | 9,048,411 | ||||||
Tribune Media Co., Class A | 295,988 | 13,787,121 | ||||||
Wyndham Destinations, Inc. | 514,505 | 22,813,152 | ||||||
Wyndham Hotels & Resorts, Inc. | 168,854 | 8,675,719 | ||||||
Zee Entertainment Enterprises Ltd. | 889,097 | 4,642,561 | ||||||
375,300,620 | ||||||||
Energy—7.2% | ||||||||
Apergy Corp.* | 411,970 | 10,702,981 | ||||||
Cactus, Inc., Class A* | 326,370 | 8,312,644 | ||||||
Canadian Natural Resources Ltd. | 249,096 | 5,953,394 | ||||||
Chevron Corp.† | 97,439 | 11,470,519 | ||||||
Cimarex Energy Co. | 192,537 | 8,236,733 | ||||||
ConocoPhillips | 413,559 | 21,579,509 | ||||||
Diamondback Energy, Inc. | 92,788 | 9,100,647 | ||||||
Enerplus Corp. | 1,322,848 | 8,654,053 | ||||||
Kosmos Energy Ltd. | 1,620,981 | 10,244,600 | ||||||
Marathon Oil Corp. | 1,072,267 | 12,695,641 | ||||||
Marathon Petroleum Corp. | 311,317 | 15,319,909 | ||||||
Noble Energy, Inc. | 676,286 | 15,270,538 | ||||||
Pioneer Natural Resources Co.† | 120,970 | 14,930,117 | ||||||
Royal Dutch Shell PLC, Class A | 709,776 | 19,719,806 | ||||||
TOTAL SA, Class A - SP ADR | 545,227 | 27,217,732 | ||||||
Tullow Oil Plc | 2,541,397 | 6,350,434 | ||||||
Valero Energy Corp. | 307,531 | 23,150,934 | ||||||
Vista Oil & Gas SAB de CV - ADR* | 1,615,759 | 6,463,036 | ||||||
235,373,227 | ||||||||
Finance—19.9% | ||||||||
AIR LEASE Corp. | 121,993 | 5,067,589 | ||||||
Alleghany Corp.*† | 31,045 | 23,262,329 | ||||||
Allstate Corp., (The)† | 278,782 | 28,544,489 | ||||||
American Express Co. | 60,072 | 7,230,867 | ||||||
American International Group, Inc. | 604,905 | 31,479,256 | ||||||
Ameriprise Financial, Inc. | 138,469 | 17,859,732 | ||||||
Aon PLC† | 90,359 | 17,606,451 | ||||||
Aviva PLC | 2,230,514 | 9,629,424 | ||||||
Bank of America Corp.† | 1,472,156 | 40,499,012 | ||||||
Bank of Ireland Group Plc | 1,199,173 | 4,560,088 | ||||||
BB&T Corp.† | 269,527 | 12,842,962 | ||||||
Berkshire Hathaway, Inc., Class B*† | 159,863 | 32,517,733 | ||||||
Capital One Financial Corp.† | 81,263 | 7,039,001 | ||||||
Chubb Ltd.† | 177,518 | 27,742,513 | ||||||
Citigroup, Inc.† | 657,040 | 42,280,524 |
The accompanying notes are an integral part of the financial statements.
48 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||
Finance—(continued) | ||||||||
Citizens Financial Group, Inc.† | 124,011 | $ | 4,184,131 | |||||
Discover Financial Services† | 224,782 | 17,975,817 | ||||||
DNB ASA | 451,324 | 7,270,952 | ||||||
E*TRADE Financial Corp. | 484,005 | 20,202,369 | ||||||
East West Bancorp, Inc. | 219,020 | 9,008,293 | ||||||
Everest Re Group Ltd. | 65,518 | 15,454,386 | ||||||
Fifth Third Bancorp† | 476,320 | 12,598,664 | ||||||
Goldman Sachs Group, Inc., (The)† | 64,143 | 13,079,399 | ||||||
Huntington Bancshares, Inc.† | 1,342,747 | 17,791,398 | ||||||
ING Groep NV | 642,622 | 6,139,381 | ||||||
JPMorgan Chase & Co.† | 387,388 | 42,558,446 | ||||||
KeyCorp | 1,491,786 | 24,763,648 | ||||||
Marsh & McLennan Cos., Inc. | 165,855 | 16,567,256 | ||||||
Morgan Stanley | 152,723 | 6,336,477 | ||||||
Navient Corp.† | 226,606 | 2,886,960 | ||||||
PNC Financial Services Group, Inc. (The) | 80,961 | 10,438,302 | ||||||
Regions Financial Corp. | 1,034,279 | 15,121,159 | ||||||
SLM Corp. | 1,076,487 | 9,085,550 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 170,100 | 5,573,879 | ||||||
SunTrust Banks, Inc. | 213,908 | 13,157,481 | ||||||
Synchrony Financial | 362,930 | 11,631,906 | ||||||
TD Ameritrade Holding Corp.† | 175,828 | 7,808,521 | ||||||
Travelers Cos., Inc., (The)† | 109,250 | 16,055,380 | ||||||
United Overseas Bank Ltd. | 429,700 | 7,716,097 | ||||||
Wells Fargo & Co.† | 596,320 | 27,770,622 | ||||||
649,338,444 | ||||||||
Health Care—13.5% | ||||||||
AbbVie, Inc.† | 237,002 | 15,580,511 | ||||||
AmerisourceBergen Corp. | 111,446 | 9,168,662 | ||||||
Anthem, Inc.† | 110,058 | 28,782,368 | ||||||
Avantor, Inc.* | 1,196,469 | 20,938,208 | ||||||
Biogen, Inc.* | 80,041 | 17,589,010 | ||||||
Cigna Corp.† | 228,580 | 35,194,463 | ||||||
CVS Health Corp.† | 367,857 | 22,409,848 | ||||||
Humana, Inc. | 52,874 | 14,974,446 | ||||||
ICON PLC* | 108,885 | 16,788,978 | ||||||
IQVIA Holdings, Inc.* | 91,334 | 14,170,470 | ||||||
Jazz Pharmaceuticals PLC* | 122,609 | 15,712,343 | ||||||
Johnson & Johnson† | 325,826 | 41,823,025 | ||||||
Laboratory Corp. of America Holdings* | 70,055 | 11,738,416 | ||||||
McKesson Corp. | 89,412 | 12,362,997 | ||||||
Medtronic PLC | 235,447 | 25,402,377 | ||||||
Merck & Co., Inc. | 268,602 | 23,226,015 | ||||||
Molina Healthcare, Inc.* | 67,976 | 8,855,913 | ||||||
Novartis AG - SP ADR | 116,719 | 10,517,549 | ||||||
Novo Nordisk A/S, Class B | 321,626 | 16,757,480 | ||||||
Pfizer, Inc.† | 456,826 | 16,240,164 | ||||||
Quest Diagnostics, Inc. | 47,507 | 4,863,292 | ||||||
Syneos Health, Inc.* | 401,200 | 21,075,036 | ||||||
UnitedHealth Group, Inc. | 126,313 | 29,557,242 | ||||||
Universal Health Services, Inc., Class B | 47,396 | 6,852,514 | ||||||
440,581,327 | ||||||||
Real Estate Investment Trusts—0.2% | ||||||||
Retail Properties of America, Inc., Class A | 688,683 | 7,823,439 |
NUMBER OF SHARES | VALUE | |||||||
Technology—17.2% | ||||||||
Alphabet, Inc., Class A*† | 49,693 | $ | 59,161,007 | |||||
Alphabet, Inc., Class C* | 10,701 | 12,713,858 | ||||||
Amdocs Ltd.† | 168,317 | 10,896,842 | ||||||
Arrow Electronics, Inc.*† | 371,768 | 25,726,345 | ||||||
Avnet, Inc. | 486,725 | 20,388,910 | ||||||
Booking Holdings, Inc.* | 7,636 | 15,015,507 | ||||||
Broadcom, Inc. | 62,134 | 17,561,554 | ||||||
Capgemini SA | 250,174 | 30,017,649 | ||||||
CDW Corp.† | 204,428 | 23,611,434 | ||||||
Change Healthcare, Inc.* | 1,101,202 | 15,449,864 | ||||||
Cisco Systems, Inc.† | 655,263 | 30,672,861 | ||||||
DXC Technology Co.† | 509,962 | 16,940,938 | ||||||
Eaton Corp. PLC† | 400,294 | 32,311,732 | ||||||
Flex Ltd.*† | 2,059,420 | 19,832,215 | ||||||
Hewlett Packard Enterprise Co.† | 1,593,082 | 22,016,393 | ||||||
HP, Inc.† | 719,209 | 13,154,333 | ||||||
Jabil, Inc.† | 261,388 | 7,530,588 | ||||||
KLA-Tencor Corp. | 201,174 | 29,753,635 | ||||||
Leidos Holdings, Inc.† | 223,309 | 19,508,274 | ||||||
Marvell Technology Group Ltd.† | 370,400 | 8,878,488 | ||||||
Microsoft Corp.† | 378,671 | 52,203,584 | ||||||
Oracle Corp.† | 527,329 | 27,452,748 | ||||||
Qorvo, Inc.* | 87,072 | 6,219,553 | ||||||
Samsung Electronics Co., Ltd. | 832,180 | 30,298,825 | ||||||
Science Applications International Corp. | 175,134 | 15,413,543 | ||||||
Xerox Holdings Corp. | 1,323 | 38,354 | ||||||
562,769,034 | ||||||||
Transportation—3.8% | ||||||||
AP Moller - Maersk A/S, Class B | 7,546 | 8,036,639 | ||||||
CH Robinson Worldwide, Inc. | 207,375 | 17,521,114 | ||||||
Kansas City Southern | 296,193 | 37,261,080 | ||||||
Union Pacific Corp. | 214,771 | 34,784,311 | ||||||
United Parcel Service, Inc., Class B | 232,329 | 27,568,159 | ||||||
125,171,303 | ||||||||
Utilities—0.2% | ||||||||
Vistra Energy Corp. | 243,201 | 6,067,865 | ||||||
TOTAL COMMON STOCKS (Cost $2,681,582,851) | 3,238,845,997 | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
Vista Oil & Gas SAB de CV *‡ | 1,204,819 | 285,552 | ||||||
TOTAL WARRANTS (Cost $0) | 285,552 | |||||||
SHORT-TERM INVESTMENTS—0.4% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(a) | 12,689,655 | 12,689,655 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,689,655) | 12,689,655 | |||||||
TOTAL LONG POSITIONS—99.5% (Cost $2,694,272,506) | 3,251,821,204 |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 49
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||
SECURITIES SOLD SHORT—(47.5%) | ||||||||
COMMON STOCKS—(47.5%) | ||||||||
Basic Industries—(5.9%) | ||||||||
Balchem Corp. | (82,251 | ) | $ | (7,303,066 | ) | |||
Ball Corp. | (117,144 | ) | (9,419,549 | ) | ||||
Compass Minerals International, Inc. | (257,735 | ) | (12,817,162 | ) | ||||
Croda International Plc | (201,702 | ) | (11,579,191 | ) | ||||
Fortescue Metals Group Ltd. | (2,774,799 | ) | (14,970,572 | ) | ||||
Gerdau SA - SP ADR | (1,880,107 | ) | (5,734,326 | ) | ||||
Greif, Inc., Class A | (392,870 | ) | (13,825,095 | ) | ||||
Mitsubishi Chemical Holdings Corp. | (937,600 | ) | (6,426,717 | ) | ||||
Mitsui Chemicals, Inc. | (469,300 | ) | (10,012,103 | ) | ||||
Nucor Corp. | (132,705 | ) | (6,499,891 | ) | ||||
Quaker Chemical Corp. | (98,275 | ) | (15,611,967 | ) | ||||
RPM International, Inc. | (186,307 | ) | (12,607,395 | ) | ||||
Sonoco Products Co. | (73,672 | ) | (4,214,038 | ) | ||||
Trex Co., Inc.* | (292,187 | ) | (24,990,754 | ) | ||||
Umicore SA | (306,195 | ) | (9,754,498 | ) | ||||
United States Steel Corp. | (498,353 | ) | (5,516,768 | ) | ||||
US Silica Holdings, Inc. | (809,839 | ) | (8,236,063 | ) | ||||
Whitehaven Coal Ltd. | (4,251,725 | ) | (9,819,389 | ) | ||||
Yara International ASA | (75,356 | ) | (3,265,525 | ) | ||||
(192,604,069 | ) | |||||||
Capital Goods—(4.3%) | ||||||||
AAON, Inc. | (262,602 | ) | (12,597,018 | ) | ||||
AO Smith Corp. | (321,193 | ) | (14,941,898 | ) | ||||
Axon Enterprise, Inc.* | (158,538 | ) | (9,507,524 | ) | ||||
Cornerstone Building Brands, Inc.* | (340,782 | ) | (1,598,268 | ) | ||||
Cubic Corp. | (298,674 | ) | (20,689,148 | ) | ||||
Elbit Systems Ltd. | (110,148 | ) | (17,006,696 | ) | ||||
GCP Applied Technologies, Inc.* | (490,805 | ) | (8,613,628 | ) | ||||
John Bean Technologies Corp. | (111,369 | ) | (11,395,276 | ) | ||||
MISUMI Group, Inc. | (299,500 | ) | (6,773,976 | ) | ||||
Trinity Industries, Inc. | (607,611 | ) | (10,614,964 | ) | ||||
Triumph Group, Inc. | (925,497 | ) | (19,231,828 | ) | ||||
Yaskawa Electric Corp. | (202,800 | ) | (6,793,862 | ) | ||||
(139,764,086 | ) | |||||||
Communications—(0.3%) | ||||||||
Cogent Communications Holdings, Inc. | (164,696 | ) | (10,028,339 | ) | ||||
Consumer Durables—(1.4%) | ||||||||
Leggett & Platt, Inc. | (110,894 | ) | (4,124,148 | ) | ||||
NIO, Inc. - ADR* | (3,605,358 | ) | (10,311,324 | ) | ||||
Tesla Motors, Inc.* | (57,009 | ) | (12,861,800 | ) | ||||
Xinyi Glass Holdings Ltd. | (17,896,000 | ) | (17,770,093 | ) | ||||
(45,067,365 | ) | |||||||
Consumer Non-Durables—(3.4%) | ||||||||
B&G Foods, Inc. | (215,651 | ) | (3,650,971 | ) | ||||
Cal-Maine Foods, Inc. | (264,420 | ) | (10,719,587 | ) | ||||
China Resources Beer Holdings Co., Ltd. | (1,770,000 | ) | (10,019,035 | ) | ||||
Hain Celestial Group Inc., (The)* | (367,149 | ) | (6,994,188 | ) | ||||
Hormel Foods Corp. | (210,135 | ) | (8,953,852 | ) | ||||
International Flavors & Fragrances, Inc. | (112,654 | ) | (12,363,777 | ) | ||||
Kikkoman Corp. | (172,700 | ) | (7,762,358 | ) | ||||
Mattel, Inc.* | (637,496 | ) | (6,247,461 | ) | ||||
MGP Ingredients, Inc. | (127,290 | ) | (6,131,559 | ) | ||||
National Beverage Corp. | (210,695 | ) | (8,617,426 | ) |
NUMBER OF SHARES | VALUE | |||||||
Consumer Non-Durables—(continued) | ||||||||
Remy Cointreau SA | (48,697 | ) | $ | (7,355,440 | ) | |||
Treasury Wine Estates Ltd. | (1,076,400 | ) | (13,565,245 | ) | ||||
Under Armour, Inc., Class A* | (541,576 | ) | (10,078,729 | ) | ||||
(112,459,628 | ) | |||||||
Consumer Services—(6.7%) | ||||||||
Carvana Co.* | (314,282 | ) | (25,507,127 | ) | ||||
Casey’s General Stores, Inc | (68,481 | ) | (11,494,536 | ) | ||||
Choice Hotels International, Inc. | (144,294 | ) | (13,127,868 | ) | ||||
Cimpress NV* | (82,617 | ) | (9,475,344 | ) | ||||
Cracker Barrel Old Country Store, Inc. | (59,140 | ) | (9,781,756 | ) | ||||
Dunkin’ Brands Group, Inc. | (105,177 | ) | (8,670,792 | ) | ||||
GrubHub, Inc.* | (150,490 | ) | (8,930,077 | ) | ||||
Hertz Global Holdings, Inc.* | (861,247 | ) | (10,429,701 | ) | ||||
Lions Gate Entertainment Corp., Class A | (334,146 | ) | (3,017,338 | ) | ||||
Meredith Corp. | (228,877 | ) | (10,020,235 | ) | ||||
Monro Muffler Brake, Inc. | (245,492 | ) | (19,079,638 | ) | ||||
Norwegian Cruise Line Holdings Ltd.* | (213,564 | ) | (10,838,373 | ) | ||||
Pearson PLC | (944,508 | ) | (9,572,569 | ) | ||||
Shake Shack, Inc. Class A* | (198,158 | ) | (19,649,347 | ) | ||||
Stitch Fix, Inc., Class A* | (318,785 | ) | (6,076,042 | ) | ||||
Texas Roadhouse, Inc. | (127,551 | ) | (6,563,775 | ) | ||||
Tiffany & Co. | (86,459 | ) | (7,337,775 | ) | ||||
Vail Resorts, Inc. | (59,849 | ) | (14,141,122 | ) | ||||
Wayfair, Inc. Class A* | (89,218 | ) | (10,058,437 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (95,763 | ) | (6,840,351 | ) | ||||
(220,612,203 | ) | |||||||
Energy—(1.7%) | ||||||||
Apache Corp. | (246,553 | ) | (5,318,148 | ) | ||||
CNX Resources Corp.* | (1,021,784 | ) | (8,143,618 | ) | ||||
Devon Energy Corp. | (378,780 | ) | (8,329,372 | ) | ||||
EQT Corp. | (599,623 | ) | (6,098,166 | ) | ||||
Matador Resources Co.* | (476,944 | ) | (7,464,174 | ) | ||||
Occidental Petroleum Corp | (170,447 | ) | (7,411,036 | ) | ||||
Woodside Petroleum Ltd. | (585,706 | ) | (12,650,847 | ) | ||||
(55,415,361 | ) | |||||||
Finance—(9.6%) | ||||||||
Ares Management Corp., Class A | (226,937 | ) | (6,603,867 | ) | ||||
Bank of East Asia Ltd., (The) | (1,757,615 | ) | (4,437,269 | ) | ||||
Bank of Hawaii Corp. | (78,807 | ) | (6,515,763 | ) | ||||
Bankinter SA | (789,259 | ) | (4,599,218 | ) | ||||
Canadian Western Bank | (382,668 | ) | (9,128,388 | ) | ||||
China International Capital Corp., Ltd., Class H | (2,676,400 | ) | (4,615,186 | ) | ||||
CNO Financial Group, Inc. | (396,522 | ) | (5,741,639 | ) | ||||
Commonwealth Bank of Australia | (156,443 | ) | (8,321,079 | ) | ||||
Community Bank System, Inc | (302,163 | ) | (18,428,921 | ) | ||||
Credit Suisse Group AG* | (1,106,521 | ) | (12,946,468 | ) | ||||
Cullen/Frost Bankers, Inc. | (54,619 | ) | (4,533,923 | ) | ||||
CVB Financial Corp. | (616,793 | ) | (12,687,432 | ) | ||||
CYBG Plc | (666,241 | ) | (1,150,049 | ) | ||||
FGL Holdings | (1,130,661 | ) | (9,022,675 | ) | ||||
First Financial Bankshares, Inc | (921,685 | ) | (28,221,995 | ) | ||||
First Republic Bank | (123,929 | ) | (11,118,910 | ) | ||||
Focus Financial Partners, Inc., Class A* | (416,180 | ) | (8,540,014 | ) |
The accompanying notes are an integral part of the financial statements.
50 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments(continued) |
NUMBER OF SHARES | VALUE | |||||||
Finance—(continued) | ||||||||
Glacier Bancorp, Inc. | (383,026 | ) | $ | (15,202,302 | ) | |||
Hiscox Ltd. | (410,658 | ) | (7,745,243 | ) | ||||
Independent Bank Corp. | (105,984 | ) | (7,165,578 | ) | ||||
KKR & Co., Inc., Class A | (518,204 | ) | (13,390,391 | ) | ||||
LendingClub Corp.* | (340,824 | ) | (4,461,381 | ) | ||||
M&T Bank Corp. | (29,449 | ) | (4,305,738 | ) | ||||
MarketAxess Holdings, Inc. | (11,512 | ) | (4,577,401 | ) | ||||
New York Community Bancorp, Inc. | (400,940 | ) | (4,626,848 | ) | ||||
Prosperity Bancshares, Inc | (169,318 | ) | (10,992,125 | ) | ||||
RLI Corp. | (142,505 | ) | (13,049,183 | ) | ||||
Standard Chartered PLC | (585,716 | ) | (4,451,015 | ) | ||||
Trustmark Corp. | (428,611 | ) | (14,007,007 | ) | ||||
UMB Financial Corp. | (80,501 | ) | (5,016,822 | ) | ||||
United Bankshares, Inc. | (324,909 | ) | (11,982,644 | ) | ||||
Voya Financial, Inc. | (96,892 | ) | (4,778,713 | ) | ||||
Westamerica Bancorporation | (359,882 | ) | (22,172,330 | ) | ||||
WisdomTree Investments, Inc. | (1,675,491 | ) | (8,059,112 | ) | ||||
(312,596,629 | ) | |||||||
Health Care—(3.0%) | ||||||||
ABIOMED, Inc.* | (37,864 | ) | (7,310,402 | ) | ||||
Align Technology, Inc.* | (19,836 | ) | (3,632,170 | ) | ||||
Allogene Therapeutics, Inc.* | (263,035 | ) | (7,162,443 | ) | ||||
GW Pharmaceuticals PLC - ADR* | (47,837 | ) | (6,812,467 | ) | ||||
Healthcare Services Group, Inc. | (273,597 | ) | (6,169,612 | ) | ||||
Moderna, Inc.* | (511,961 | ) | (8,053,147 | ) | ||||
Nevro Corp.* | (253,720 | ) | (21,243,976 | ) | ||||
Select Medical Holdings Corp.* | (539,401 | ) | (8,749,084 | ) | ||||
Stericycle, Inc.* | (280,974 | ) | (12,612,923 | ) | ||||
Teladoc Health, Inc.* | (150,045 | ) | (8,684,605 | ) | ||||
Tivity Health, Inc.* | (444,863 | ) | (8,123,198 | ) | ||||
(98,554,027 | ) | |||||||
Real Estate Investment Trusts—(1.0%) | ||||||||
Iron Mountain, Inc. | (287,949 | ) | (9,171,176 | ) | ||||
Public Storage | (53,871 | ) | (14,261,808 | ) | ||||
Redfin Corp.* | (479,497 | ) | (8,098,704 | ) | ||||
(31,531,688 | ) | |||||||
Technology—(9.6%) | ||||||||
Appian Corp.* | (289,282 | ) | (17,203,601 | ) | ||||
Avalara, Inc.* | (160,329 | ) | (13,522,148 | ) | ||||
Blackbaud, Inc. | (130,100 | ) | (11,835,197 | ) | ||||
Cognex Corp. | (266,077 | ) | (11,994,751 | ) | ||||
Cree, Inc.* | (290,810 | ) | (12,484,473 | ) | ||||
Guidewire Software, Inc.* | (146,099 | ) | (14,051,802 | ) | ||||
HubSpot, Inc.* | (63,775 | ) | (12,734,592 | ) | ||||
Inovalon Holdings, Inc., Class A* | (860,044 | ) | (14,551,945 | ) | ||||
Instructure, Inc.* | (296,372 | ) | (12,257,946 | ) |
NUMBER OF SHARES | VALUE | |||||||
Technology—(continued) | ||||||||
Knowles Corp.* | (1,168,279 | ) | $ | (23,692,698 | ) | |||
LiveRamp Holdings, Inc.* | (129,659 | ) | (5,492,355 | ) | ||||
Livongo Health, Inc.* | (210,084 | ) | (6,436,974 | ) | ||||
Manhattan Associates, Inc.* | (285,817 | ) | (23,617,059 | ) | ||||
Medallia, Inc.* | (160,197 | ) | (5,706,217 | ) | ||||
MercadoLibre, Inc.* | (11,726 | ) | (6,972,280 | ) | ||||
MongoDB, Inc.* | (67,461 | ) | (10,274,985 | ) | ||||
National Instruments Corp | (321,326 | ) | (13,495,692 | ) | ||||
Nidec Corp. | (109,500 | ) | (14,248,664 | ) | ||||
Plantronics, Inc. | (123,498 | ) | (3,837,083 | ) | ||||
PTC, Inc.* | (143,493 | ) | (9,394,487 | ) | ||||
Shopify, Inc., Class A* | (56,247 | ) | (21,677,031 | ) | ||||
Tabula Rasa HealthCare, Inc.* | (199,911 | ) | (11,354,945 | ) | ||||
Tokai Carbon Co., Ltd. | (849,700 | ) | (8,114,480 | ) | ||||
Universal Display Corp. | (62,317 | ) | (12,804,274 | ) | ||||
Xilinx, Inc. | (85,508 | ) | (8,897,962 | ) | ||||
Zillow Group, Inc., Class C* | (191,015 | ) | (6,576,647 | ) | ||||
(313,230,288 | ) | |||||||
Transportation—(0.6%) | ||||||||
American Airlines Group, Inc. | (207,430 | ) | (5,457,483 | ) | ||||
XPO Logistics, Inc.* | (212,668 | ) | (15,069,655 | ) | ||||
(20,527,138 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $(1,474,380,483)) | (1,552,390,821 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(47.5%) (Proceeds $(1,474,380,483)) | (1,552,390,821 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—48.0% | 1,567,871,079 | |||||||
NET ASSETS—100.0% | $ | 3,267,301,462 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | Seven-day yield as of August, 2019. |
† | — | Security position is either entirely or partially held in asegregated account as collateral for securities sold short. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faithby or under the direction of The RBB Fund, Inc.’s Board ofDirectors. As of August 31, 2019, these securitiesamounted to $285,552 or 0.0% of net assets. |
Industry classifications may be different than those usedfor compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 51
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments(continued) |
Contracts For Difference held by the Fund at August 31, 2019, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long | ||||||||||||||||||||||
China | ||||||||||||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.17 | % | Monthly | 244,100 | $ | 3,824,767 | $ | 113,945 | ||||||||||||
Total Long | 3,824,767 | 113,945 | ||||||||||||||||||||
Short | ||||||||||||||||||||||
Brazil | ||||||||||||||||||||||
Raia Drogasil SA | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (455,400 | ) | $ | (10,175,842 | ) | $ | (51,982 | ) | ||||||||||
China | ||||||||||||||||||||||
Semiconductor Manufacturing | Goldman Sachs | 12/31/2020 | 1.00 | Monthly | (19,013,600 | ) | (20,850,407 | ) | 69,710 | |||||||||||||
Indonesia | ||||||||||||||||||||||
Unilever Indonesia TBK PT | Macquarie | 9/18/2019 | 2.09 | Monthly | (2,432,800 | ) | (8,370,803 | ) | (666,522 | ) | ||||||||||||
South Korea | ||||||||||||||||||||||
Amorepacific Corp. | Macquarie | 9/18/2019 | 2.09 | Monthly | (63,347 | ) | (6,813,388 | ) | (98,449 | ) | ||||||||||||
Celltrion Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (100,694 | ) | (13,097,186 | ) | (174,783 | ) | ||||||||||||
Celltrion Health | Macquarie | 9/18/2019 | 2.09 | Monthly | (173,949 | ) | (6,405,699 | ) | (406,866 | ) | ||||||||||||
Oil Corp. | Macquarie | 9/15/2020 | 2.09 | Monthly | (142,657 | ) | (11,416,828 | ) | (595,074 | ) | ||||||||||||
Samsung Biologics | Macquarie | 9/15/2020 | 2.09 | Monthly | (30,499 | ) | (6,787,949 | ) | 370,784 | |||||||||||||
Sillajen, Inc. | Goldman Sachs | 9/15/2020 | 0.43 | Monthly | (625,448 | ) | (5,437,648 | ) | 198,631 | |||||||||||||
SK Innivation Co. Ltd. | Macquarie | 9/18/2019 | 2.09 | Monthly | (73,773 | ) | �� | (10,070,574 | ) | (244,728 | ) | |||||||||||
(60,029,272 | ) | (950,485 | ) | |||||||||||||||||||
Taiwan | ||||||||||||||||||||||
AU Optronics Corp. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (50,614,000 | ) | (13,182,827 | ) | (757,885 | ) | ||||||||||||
Eclat Textile Co., Ltd. | Macquarie | 9/18/2019 | 2.09 | Monthly | (869,000 | ) | (10,604,390 | ) | (207,416 | ) | ||||||||||||
(23,787,217 | ) | (965,301 | ) | |||||||||||||||||||
Total Short | (123,213,541 | ) | (2,564,580 | ) | ||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (2,450,635 |
The accompanying notes are an integral part of the financial statements.
52 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS LONG/SHORT RESEARCH FUND | Portfolio Of Investments (unaudited) (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Basic Industries | $ | 153,032,370 | $ | 153,032,370 | $ | — | $ | — | ||||||||
Capital Goods | 223,383,065 | 195,880,820 | 27,502,245 | — | ||||||||||||
Communications | 103,868,879 | 103,868,879 | — | — | ||||||||||||
Consumer Durables | 110,581,546 | 35,914,489 | 74,667,057 | — | ||||||||||||
Consumer Non-Durables | 245,554,878 | 212,509,881 | 33,044,997 | — | ||||||||||||
Consumer Services | 375,300,620 | 345,144,658 | 30,155,962 | — | ||||||||||||
Energy | 235,373,227 | 209,302,987 | 26,070,240 | — | ||||||||||||
Finance | 649,338,444 | 608,448,623 | 40,889,821 | — | ||||||||||||
Health Care | 440,581,327 | 423,823,847 | 16,757,480 | — | ||||||||||||
Real Estate Investment Trusts | 7,823,439 | 7,823,439 | — | — | ||||||||||||
Technology | 562,769,034 | 502,452,560 | 60,316,474 | — | ||||||||||||
Transportation | 125,171,303 | 117,134,664 | 8,036,639 | — | ||||||||||||
Utilities | 6,067,865 | 6,067,865 | — | — | ||||||||||||
Warrants | 285,552 | — | — | 285,552 | ||||||||||||
Short-Term Investments | 12,689,655 | 12,689,655 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 753,070 | — | 753,070 | — | ||||||||||||
Total Assets | $ | 3,252,574,274 | $ | 2,934,094,737 | $ | 318,193,985 | $ | 285,552 | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Securities Sold Short | ||||||||||||||||
Basic Industries | $ | (192,604,069 | ) | $ | (126,776,074 | ) | $ | (65,827,995 | ) | $ | — | |||||
Capital Goods | (139,764,086 | ) | (109,189,552 | ) | (30,574,534 | ) | — | |||||||||
Communications | (10,028,339 | ) | (10,028,339 | ) | — | — | ||||||||||
Consumer Durables | (45,067,365 | ) | (27,297,272 | ) | (17,770,093 | ) | — | |||||||||
Consumer Non-Durables | (112,459,628 | ) | (73,757,550 | ) | (38,702,078 | ) | — | |||||||||
Consumer Services | (220,612,203 | ) | (211,039,634 | ) | (9,572,569 | ) | — | |||||||||
Energy | (55,415,361 | ) | (42,764,514 | ) | (12,650,847 | ) | — | |||||||||
Finance | (312,596,629 | ) | (264,331,102 | ) | (48,265,527 | ) | — | |||||||||
Health Care | (98,554,027 | ) | (98,554,027 | ) | — | — | ||||||||||
Real Estate Investment Trusts | (31,531,688 | ) | (31,531,688 | ) | — | — | ||||||||||
Technology | (313,230,288 | ) | (290,867,144 | ) | (22,363,144 | ) | — | |||||||||
Transportation | (20,527,138 | ) | (20,527,138 | ) | — | — | ||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (3,203,705 | ) | (51,982 | ) | (3,151,723 | ) | — | |||||||||
Total Liabilities | $ | (1,555,594,526 | ) | $ | (1,306,716,016 | ) | $ | (248,878,510 | ) | $ | — |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 53
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—96.5% | ||||||||
Basic Industries—3.2% | ||||||||
Avery Dennison Corp. | 55,275 | $ | 6,388,132 | |||||
Corteva, Inc. | 345,095 | 10,118,185 | ||||||
DuPont de Nemours, Inc. | 164,661 | 11,185,422 | ||||||
FMC Corp. | 112,612 | 9,721,794 | ||||||
Graphic Packaging Holding Co.(a) | 1,159,000 | 16,005,790 | ||||||
Mosaic Co., (The)(a) | 401,725 | 7,387,723 | ||||||
60,807,046 | ||||||||
Capital Goods—6.2% | ||||||||
AMETEK, Inc. | 74,866 | 6,433,235 | ||||||
Caterpillar, Inc. | 74,052 | 8,812,188 | ||||||
Cemex SAB de CV - SP ADR(a) | 1,006,842 | 3,775,658 | ||||||
CRH PLC - SP ADR(a) | 283,358 | 9,526,496 | ||||||
Dover Corp.(a) | 140,410 | 13,162,033 | ||||||
General Dynamics Corp. | 72,954 | 13,953,912 | ||||||
Masco Corp. | 152,239 | 6,200,695 | ||||||
Owens Corning | 151,586 | 8,694,973 | ||||||
PACCAR, Inc.(a) | 142,235 | 9,324,927 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 66,377 | 5,349,986 | ||||||
Trinseo SA | 98,876 | 3,469,559 | ||||||
United Technologies Corp. | 107,614 | 14,015,647 | ||||||
WESCO International, Inc.* | 181,086 | 8,163,357 | ||||||
World Fuel Services Corp.(a) | 166,680 | 6,400,512 | ||||||
117,283,178 | ||||||||
Communications—0.6% | ||||||||
Comcast Corp., Class A | 243,012 | 10,755,711 | ||||||
Consumer Durables—1.8% | ||||||||
Fiat Chrysler Automobiles NV | 261,515 | 3,436,307 | ||||||
Lear Corp. | 69,214 | 7,769,964 | ||||||
Sony Corp. - SP ADR(a) | 414,852 | 23,609,227 | ||||||
34,815,498 | ||||||||
Consumer Non-Durables—3.6% | ||||||||
Activision Blizzard, Inc. | 205,406 | 10,393,544 | ||||||
Altria Group, Inc. | 169,559 | 7,416,511 | ||||||
Ambev SA - ADR | 1,830,869 | 8,312,145 | ||||||
PepsiCo, Inc. | 232,250 | 31,755,542 | ||||||
Philip Morris International, Inc. | 126,832 | 9,143,319 | ||||||
67,021,061 | ||||||||
Consumer Services—7.6% | ||||||||
Dick’s Sporting Goods, Inc.(a) | 282,411 | 9,613,270 | ||||||
Dollar Tree, Inc.* | 72,047 | 7,314,932 | ||||||
eBay, Inc. | 442,246 | 17,818,091 | ||||||
Foot Locker, Inc.(a) | 95,120 | 3,442,393 | ||||||
Fox Corp., Class A(a) | 493,868 | 16,381,601 | ||||||
Huron Consulting Group, Inc.* | 106,309 | 6,507,174 | ||||||
IAA, Inc.* | 100,020 | 4,885,977 | ||||||
Interpublic Group of Cos., Inc., (The)(a) | 658,124 | 13,083,505 | ||||||
KAR Auction Services, Inc.(a) | 100,019 | 2,656,505 | ||||||
Las Vegas Sands Corp. | 99,278 | 5,506,951 | ||||||
Lowe’s Cos., Inc. | 146,636 | 16,452,559 | ||||||
ManpowerGroup, Inc. | 100,654 | 8,227,458 | ||||||
Melco Resorts & Entertainment Ltd. - ADR | 282,165 | 5,869,032 | ||||||
Omnicom Group, Inc.(a) | 86,814 | 6,603,073 | ||||||
Robert Half International, Inc.(a) | 97,127 | 5,193,381 | ||||||
Target Corp. | 76,270 | 8,163,941 | ||||||
Wyndham Destinations, Inc. | 127,314 | 5,645,103 | ||||||
143,364,946 |
NUMBER OF SHARES | VALUE | |||||||
Energy—3.9% | ||||||||
Apergy Corp.*(a) | 189,617 | $ | 4,926,250 | |||||
Canadian Natural Resources Ltd. | 347,301 | 8,300,494 | ||||||
Cimarex Energy Co.(a) | 222,807 | 9,531,683 | ||||||
Diamondback Energy, Inc.(a) | 137,357 | 13,471,974 | ||||||
Marathon Oil Corp. | 1,086,569 | 12,864,977 | ||||||
Marathon Petroleum Corp. | 187,670 | 9,235,241 | ||||||
Phillips 66 | 97,539 | 9,620,272 | ||||||
Pioneer Natural Resources Co. | 37,379 | 4,613,316 | ||||||
72,564,207 | ||||||||
Finance—28.9% | ||||||||
Aflac, Inc. | 173,896 | 8,726,101 | ||||||
AIR LEASE Corp.(a) | 330,406 | 13,725,065 | ||||||
Alleghany Corp.* | 30,806 | 23,083,244 | ||||||
Allstate Corp., (The) | 218,846 | 22,407,642 | ||||||
American International Group, Inc. | 686,510 | 35,725,980 | ||||||
Aon PLC | 56,112 | 10,933,423 | ||||||
Bank of America Corp. | 1,443,377 | 39,707,301 | ||||||
BB&T Corp.(a) | 440,915 | 21,009,600 | ||||||
Capital One Financial Corp. | 175,658 | 15,215,496 | ||||||
Charles Schwab Corp., (The) | 238,210 | 9,116,297 | ||||||
Chubb Ltd. | 193,333 | 30,214,081 | ||||||
Citigroup, Inc. | 540,382 | 34,773,582 | ||||||
Discover Financial Services | 146,470 | 11,713,206 | ||||||
Fifth Third Bancorp | 323,750 | 8,563,187 | ||||||
Globe Life, Inc. | 66,455 | 5,931,773 | ||||||
Goldman Sachs Group, Inc., (The)(a) | 78,247 | 15,955,346 | ||||||
Huntington Bancshares, Inc.(a) | 1,027,220 | 13,610,665 | ||||||
JPMorgan Chase & Co. | 342,725 | 37,651,769 | ||||||
KeyCorp | 1,518,336 | 25,204,378 | ||||||
Loews Corp. | 414,577 | 19,928,716 | ||||||
MetLife, Inc. | 326,809 | 14,477,639 | ||||||
Prudential Financial, Inc. | 174,738 | 13,994,766 | ||||||
Raymond James Financial, Inc. | 129,021 | 10,129,439 | ||||||
Renaissance Holdings Ltd. | 74,855 | 13,515,070 | ||||||
State Street Corp. | 84,890 | 4,355,706 | ||||||
Synchrony Financial | 322,887 | 10,348,528 | ||||||
TD Ameritrade Holding Corp.(a) | 147,896 | 6,568,061 | ||||||
Travelers Cos., Inc., (The)(a) | 106,282 | 15,619,203 | ||||||
Wells Fargo & Co. | 527,522 | 24,566,700 | ||||||
White Mountains Insurance Group Ltd. | 19,980 | 21,192,786 | ||||||
WR Berkley Corp. | 77,087 | 5,492,449 | ||||||
543,457,199 | ||||||||
Health Care—22.8% | ||||||||
Abbott Laboratories | 329,815 | 28,139,816 | ||||||
Alcon, Inc.*(a) | 59,869 | 3,649,614 | ||||||
Allergan PLC | 82,779 | 13,221,462 | ||||||
AmerisourceBergen Corp. | 103,489 | 8,514,040 | ||||||
Anthem, Inc. | 81,872 | 21,411,165 | ||||||
Avantor, Inc.* | 474,401 | 8,302,018 | ||||||
Biogen, Inc.* | 42,172 | 9,267,297 | ||||||
Centene Corp.*(a) | 403,878 | 18,828,792 | ||||||
Cigna Corp. | 60,270 | 9,279,772 | ||||||
Gilead Sciences, Inc. | 379,428 | 24,108,855 | ||||||
GlaxoSmithKline PLC - SP ADR | 242,473 | 10,082,027 | ||||||
Henry Schein, Inc.*(a) | 90,626 | 5,584,374 | ||||||
Jazz Pharmaceuticals PLC* | 66,259 | 8,491,091 | ||||||
Johnson & Johnson | 250,191 | 32,114,517 | ||||||
Laboratory Corp. of America Holdings* | 109,310 | 18,315,984 | ||||||
McKesson Corp. | 156,220 | 21,600,539 |
The accompanying notes are an integral part of the financial statements.
54 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Health Care—(continued) | ||||||||
Medtronic PLC | 347,915 | $ | 37,536,549 | |||||
Merck & Co., Inc. | 535,521 | 46,306,501 | ||||||
Novartis AG - SP ADR | 299,344 | 26,973,888 | ||||||
Pfizer, Inc. | 808,171 | 28,730,479 | ||||||
Roche Holding AG-SP ADR | 294,524 | 10,066,830 | ||||||
UnitedHealth Group, Inc. | 88,927 | 20,808,918 | ||||||
Zimmer Biomet Holdings, Inc. | 124,354 | 17,310,077 | ||||||
428,644,605 | ||||||||
Technology—16.4% | ||||||||
Alliance Data Systems Corp. | 87,853 | 10,801,526 | ||||||
Alphabet, Inc., Class A* | 12,714 | 15,136,398 | ||||||
Amdocs Ltd. | 99,109 | 6,416,317 | ||||||
Arrow Electronics, Inc.*(a) | 119,841 | 8,292,997 | ||||||
Belden, Inc.(a) | 100,818 | 4,598,309 | ||||||
Booking Holdings, Inc.*(a) | 5,458 | 10,732,666 | ||||||
Cisco Systems, Inc. | 677,577 | 31,717,379 | ||||||
DXC Technology Co. | 182,966 | 6,078,131 | ||||||
Eaton Corp. PLC(a) | 194,476 | 15,698,103 | ||||||
EnerSys | 92,618 | 5,186,608 | ||||||
Facebook, Inc., Class A* | 87,773 | 16,296,813 | ||||||
Fidelity National Information Services, Inc. | 57,128 | 7,781,976 | ||||||
Fiserv, Inc.* | 94,841 | 10,142,297 | ||||||
Flex Ltd.* | 766,635 | 7,382,695 | ||||||
Fortive Corp.(a) | 73,796 | 5,232,136 | ||||||
Hewlett Packard Enterprise Co. | 1,103,627 | 15,252,125 | ||||||
HP, Inc. | 835,693 | 15,284,825 | ||||||
Jabil, Inc. | 412,248 | 11,876,865 | ||||||
Leidos Holdings, Inc. | 90,316 | 7,890,006 | ||||||
Microsoft Corp. | 188,249 | 25,952,007 | ||||||
Momo, Inc. - SP ADR(a) | 226,141 | 8,317,466 | ||||||
NetEase, Inc. - ADR | 26,052 | 6,643,260 | ||||||
Oracle Corp. | 192,694 | 10,031,650 | ||||||
Qorvo, Inc.* | 274,553 | 19,611,321 | ||||||
Symantec Corp. | 241,961 | 5,625,593 | ||||||
TE Connectivity Ltd.(a) | 226,874 | 20,695,446 | ||||||
308,674,915 | ||||||||
Transportation—1.0% | ||||||||
CH Robinson Worldwide, Inc.(a) | 71,276 | 6,022,109 | ||||||
Delta Air Lines, Inc.(a) | 222,548 | 12,876,627 | ||||||
18,898,736 | ||||||||
Utilities—0.5% | ||||||||
Vistra Energy Corp.(a) | 384,516 | 9,593,673 | ||||||
TOTAL COMMON STOCKS (Cost $1,449,696,606) | 1,815,880,775 |
NUMBER OF SHARES | VALUE | |||||||
RIGHTS—0.0% | ||||||||
Technology—0.0% | ||||||||
CVR Banctec Inc. - Escrow Shares*‡ | 14,327 | $ | 0 | |||||
TOTAL RIGHTS (Cost $0) | 0 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—16.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27%(b) | 303,800,656 | 303,800,656 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $303,800,656) | 303,800,656 | |||||||
SHORT-TERM INVESTMENTS—2.3% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(b) | 42,544,557 | 42,544,557 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $42,544,557) | 42,544,557 | |||||||
TOTAL INVESTMENTS—114.9% (Cost $1,796,041,819) | 2,162,225,988 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(14.9)% | (280,034,443 | ) | ||||||
NET ASSETS—100.0% | $ | 1,882,191,545 |
ADR | — | American Depositary Receipt | ||
PLC | — | Public Limited Company | ||
SP ADR | — | Sponsored American Depositary Receipt | ||
* | — | Non-income producing. | ||
(a) | — | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $298,505,854. | ||
(b) | — | Seven-day yield as of August 31, 2019. | ||
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB fund, Inc.’s Board of Directors. as of August 31, 2019, these securities amounted to $0 or 0.0% of net assets. | ||
Industry classifications may be different than those used for compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 55
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS ALL-CAP VALUE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Basic Industries | $ | 60,807,046 | $ | 60,807,046 | $ | — | $ | — | $ | — | ||||||||||
Capital Goods | 117,283,178 | 117,283,178 | — | — | — | |||||||||||||||
Communications | 10,755,711 | 10,755,711 | — | — | — | |||||||||||||||
Consumer Durables | 34,815,498 | 34,815,498 | — | — | — | |||||||||||||||
Consumer Non-Durables | 67,021,061 | 67,021,061 | — | — | — | |||||||||||||||
Consumer Services | 143,364,946 | 143,364,946 | — | — | ||||||||||||||||
Energy | 72,564,207 | 72,564,207 | — | — | — | |||||||||||||||
Finance | 543,457,199 | 543,457,199 | — | — | — | |||||||||||||||
Health Care | 428,644,605 | 428,644,605 | — | — | — | |||||||||||||||
Technology | 308,674,915 | 308,674,915 | — | — | — | |||||||||||||||
Transportation | 18,898,736 | 18,898,736 | — | — | — | |||||||||||||||
Utilities | 9,593,673 | 9,593,673 | — | — | — | |||||||||||||||
Rights | — | — | — | — | ** | — | ||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 303,800,656 | — | — | — | 303,800,656 | |||||||||||||||
Short-Term Investments | $ | 42,544,557 | 42,544,557 | — | — | — | ||||||||||||||
Total Assets | $ | 2,162,225,988 | $ | 1,858,425,332 | $ | — | $ | — | ** | $ | 303,800,656 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments. |
** | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
56 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—98.4% | ||||||||
Basic Industries—3.8% | ||||||||
Allegheny Technologies, Inc.(a)* | 11,935 | $ | 236,552 | |||||
Haynes International, Inc. | 4,097 | 122,377 | ||||||
Schweitzer-Mauduit International, Inc. | 14,516 | 486,867 | ||||||
845,796 | ||||||||
Capital Goods—14.9% | ||||||||
Argan, Inc. | 7,484 | 309,164 | ||||||
Astec Industries, Inc. | 3,103 | 85,643 | ||||||
Carpenter Technology Corp.(a) | 2,944 | 143,196 | ||||||
FreightCar America, Inc.* | 24,279 | 101,486 | ||||||
Granite Construction, Inc.(a) | 9,466 | 269,213 | ||||||
Great Lakes Dredge & Dock Corp.* | 19,961 | 216,377 | ||||||
KBR, Inc. | 28,020 | 715,071 | ||||||
Landec Corp.* | 30,266 | 332,623 | ||||||
Matrix Service Co.* | 11,148 | 221,511 | ||||||
Orion Group Holdings, Inc.* | 48,772 | 201,916 | ||||||
PGT Innovations, Inc.* | 9,972 | 159,552 | ||||||
Tutor Perini Corp.*(a) | 55,860 | 558,041 | ||||||
3,313,793 | ||||||||
Communications—0.5% | ||||||||
Ooma, Inc.* | 8,917 | 111,463 | ||||||
Consumer Durables—0.3% | ||||||||
Libbey, Inc.*(a) | 38,334 | 64,784 | ||||||
Consumer Non-Durables—3.5% | ||||||||
Cott Corp. | 13,939 | 175,771 | ||||||
Farmer Brothers Co.* | 13,616 | 165,298 | ||||||
Fresh Del Monte Produce, Inc. | 12,689 | 330,422 | ||||||
Primo Water Corp.* | 9,597 | 117,371 | ||||||
788,862 | ||||||||
Consumer Services—7.5% | ||||||||
American Public Education, Inc.* | 5,535 | 134,113 | ||||||
Del Taco Restaurants, Inc.*(a) | 20,925 | 233,942 | ||||||
ICF International, Inc. | 6,659 | 563,751 | ||||||
MDC Partners, Inc., Class A* | 29,709 | 69,816 | ||||||
Shoe Carnival, Inc. | 1,735 | 53,334 | ||||||
Tile Shop Holdings, Inc.(a) | 64,047 | 172,286 | ||||||
Vectrus, Inc.* | 7,243 | 293,052 | ||||||
Willdan Group, Inc.* | 4,266 | 154,216 | ||||||
1,674,510 | ||||||||
Energy—6.2% | ||||||||
Gulfport Energy Corp.* | 41,024 | 98,458 | ||||||
HighPoint Resources Corp.*(a) | 166,647 | 194,977 | ||||||
Magnolia Oil & Gas Corp., Class A*(a) | 22,126 | 225,906 | ||||||
Mammoth Energy Services, Inc.(a) | 28,495 | 103,722 | ||||||
McDermott International, Inc.*(a) | 51,866 | 244,808 | ||||||
Montage Resources Corp.* | 5,601 | 16,691 | ||||||
Newpark Resources, Inc.*(a) | 19,993 | 132,154 | ||||||
Solaris Oilfield Infrastructure, Inc. Class A(a) | 11,798 | 162,222 | ||||||
Superior Energy Services, Inc.* | 41,877 | 14,020 | ||||||
TETRA Technologies, Inc.* | 111,863 | 185,693 | ||||||
1,378,651 | ||||||||
Finance—27.2% | ||||||||
Ameris Bancorp | 8,865 | 311,959 | ||||||
Argo Group International Holdings Ltd. | 5,087 | 334,318 | ||||||
Banner Corp.(a) | 8,012 | 431,927 |
NUMBER OF SHARES | VALUE | |||||||
Finance—(continued) | ||||||||
Central Pacific Financial Corp. | 13,864 | $ | 385,696 | |||||
Essent Group Ltd. | 6,478 | 314,183 | ||||||
First Foundation, Inc. | 17,856 | 249,270 | ||||||
First Interstate BancSystem, Inc., Class A | 8,037 | 313,443 | ||||||
Hanover Insurance Group Inc., (The) | 1,502 | 199,991 | ||||||
HomeStreet, Inc.* | 17,620 | 464,639 | ||||||
Kearny Financial Corp.(a) | 10,172 | 127,964 | ||||||
Kemper Corp. | 6,781 | 474,534 | ||||||
Kennedy-Wilson Holdings, Inc. | 9,656 | 202,583 | ||||||
Ladder Capital Corp. | 13,199 | 221,479 | ||||||
MGIC Investment Corp. | 32,392 | 409,759 | ||||||
National Bank Holdings Corp., Class A | 7,437 | 242,744 | ||||||
Origin Bancorp, Inc.(a) | 6,313 | 202,269 | ||||||
Peapack Gladstone Financial Corp. | 9,370 | 263,578 | ||||||
Popular, Inc. | 13,621 | 716,056 | ||||||
United Community Banks, Inc. | 7,439 | 196,464 | ||||||
6,062,856 | ||||||||
Health Care—1.7% | ||||||||
Accuray, Inc.* | 65,066 | 174,377 | ||||||
PetIQ, Inc.*(a) | 6,879 | 217,789 | ||||||
392,166 | ||||||||
Real Estate Investment Trusts—12.5% | ||||||||
Brixmor Property Group, Inc. | 14,533 | 267,843 | ||||||
Equity Commonwealth | 10,926 | 367,769 | ||||||
Essential Properties Realty Trust, Inc. | 22,162 | 503,299 | ||||||
Industrial Logistics Properties Trust | 17,840 | 381,598 | ||||||
Investors Real Estate Trust | 6,837 | 473,462 | ||||||
NexPoint Residential Trust, Inc. | 4,754 | 220,586 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 20,584 | 406,328 | ||||||
UMH Properties, Inc. | 12,882 | 165,662 | ||||||
2,786,547 | ||||||||
Technology—10.1% | ||||||||
Cars.com, Inc.* | 10,645 | 94,847 | ||||||
Coherent, Inc.* | 909 | 131,769 | ||||||
CommVault Systems, Inc.* | 3,273 | 141,950 | ||||||
Generac Holdings, Inc.* | 6,406 | 499,604 | ||||||
MicroStrategy, Inc., Class A* | 3,519 | 504,237 | ||||||
NeoPhotonics Corp.* | 22,493 | 140,806 | ||||||
NetScout Systems, Inc.* | 15,739 | 348,619 | ||||||
Plantronics, Inc. | 3,595 | 111,697 | ||||||
QAD, Inc., Class A | 1,016 | 41,168 | ||||||
SMART Global Holdings, Inc.* | 8,014 | 227,678 | ||||||
2,242,375 | ||||||||
Transportation—4.9% | ||||||||
Ardmore Shipping Corp.* | 39,548 | 246,780 | ||||||
Scorpio Tankers, Inc. | 9,514 | 250,123 | ||||||
Spirit Airlines, Inc.* | 8,747 | 328,362 | ||||||
StealthGas, Inc.* | 47,309 | 149,023 | ||||||
YRC Worldwide, Inc.*(a) | 50,047 | 109,103 | ||||||
1,083,391 | ||||||||
Utilities—5.3% | ||||||||
ALLETE, Inc. | 2,346 | 201,123 | ||||||
Avista Corp. | 3,990 | 187,131 | ||||||
El Paso Electric Co. | 1,805 | 120,393 | ||||||
NorthWestern Corp. | 2,890 | 209,352 |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 57
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Utilities—(continued) | ||||||||
Portland General Electric Co. | 4,006 | $ | 227,901 | |||||
South Jersey Industries, Inc.(a) | 7,224 | 233,625 | ||||||
1,179,525 | ||||||||
TOTAL COMMON STOCKS (Cost $22,158,076) | 21,924,719 | |||||||
WARRANTS—0.0% | ||||||||
Energy—0.0% | ||||||||
TETRA Technologies, Inc. *‡ | 20,950 | 1,466 | ||||||
TOTAL WARRANTS (Cost $4,475) | 1,466 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—9.0% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27%(b) | 1,998,279 | 1,998,279 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $1,998,279) | 1,998,279 |
NUMBER OF SHARES | VALUE | |||||||
SHORT-TERM INVESTMENTS—1.9% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(b) | 414,083 | $ | 414,083 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $414,083) | 414,083 | |||||||
TOTAL INVESTMENTS—109.3% (Cost $24,574,913) | 24,338,547 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(9.3)% | (2,065,643 | ) | ||||||
NET ASSETS—100.0% | $ | 22,272,904 |
* | — | Non-income producing. | |
(a) | — | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $1,939,038. | |
(b) | — | Seven-day yield as of August 31, 2019. | |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB fund, inc.’s Board of Directors. As of August 31, 2019, these securities amounted to $1,466 or 0.0% of net assets. | |
Industry classifications may be different than those used for compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
58 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
WPG PARTNERS SMALL/MICRO CAP VALUE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Basic Industries | $ | 845,796 | $ | 845,796 | $ | — | $ | — | $ | — | ||||||||||
Capital Goods | 3,313,793 | 3,313,793 | — | — | — | |||||||||||||||
Communications | 111,463 | 111,463 | — | — | — | |||||||||||||||
Consumer Durables | 64,784 | 64,784 | — | — | — | |||||||||||||||
Consumer Non-Durables | 788,862 | 788,862 | — | — | — | |||||||||||||||
Consumer Services | 1,674,510 | 1,674,510 | — | — | — | |||||||||||||||
Energy | 1,378,651 | 1,378,651 | — | — | — | |||||||||||||||
Finance | 6,062,856 | 6,062,856 | — | — | ||||||||||||||||
Health Care | 392,166 | 392,166 | — | — | — | |||||||||||||||
Real Estate Investment Trusts | 2,786,547 | 2,786,547 | — | — | — | |||||||||||||||
Technology | 2,242,375 | 2,242,375 | — | — | — | |||||||||||||||
Transportation | 1,083,391 | 1,083,391 | — | — | — | |||||||||||||||
Utilities | 1,179,525 | 1,179,525 | — | — | — | |||||||||||||||
Warrants | 1,466 | — | — | 1,466 | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 1,998,279 | — | — | — | 1,998,279 | |||||||||||||||
Short-Term Investments | 414,083 | 414,083 | — | — | — | |||||||||||||||
Total Assets | $ | 24,338,547 | $ | 22,338,802 | $ | — | $ | 1,466 | $ | 1,998,279 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 59
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—96.0% | ||||||||
Bermuda—1.6% | ||||||||
Axis Capital Holdings Ltd. | 68,777 | $ | 4,222,220 | |||||
Everest Re Group Ltd. | 28,312 | 6,678,235 | ||||||
10,900,455 | ||||||||
Brazil—0.2% | ||||||||
Azul SA - ADR* | 37,924 | 1,331,891 | ||||||
Canada—3.8% | ||||||||
Barrick Gold Corp. | 547,849 | 10,620,387 | ||||||
Canadian Natural Resources Ltd. | 167,148 | 3,993,524 | ||||||
Nutrien Ltd. | 68,407 | 3,444,976 | ||||||
Stars Group, Inc. (The)* | 189,658 | 2,881,765 | ||||||
Yamana Gold, Inc. | 1,421,833 | 5,132,817 | ||||||
26,073,469 | ||||||||
Denmark—2.2% | ||||||||
AP Moller-Maersk A/S, Class B | 3,025 | 3,221,685 | ||||||
Novo Nordisk A/S Class B | 223,873 | 11,664,316 | ||||||
14,886,001 | ||||||||
Finland—0.8% | ||||||||
Sampo Oyj, Class A | 140,012 | 5,562,809 | ||||||
France—7.6% | ||||||||
Capgemini SA | 71,120 | 8,533,482 | ||||||
Cie Generale des Etablissements Michelin SCA | 20,150 | 2,121,371 | ||||||
Danone SA | 195,606 | 17,524,151 | ||||||
Eiffage SA | 40,293 | 4,175,281 | ||||||
Kering SA | 7,134 | 3,456,758 | ||||||
TOTAL SA | 213,906 | 10,682,149 | ||||||
Vinci SA | 47,862 | 5,229,256 | ||||||
51,722,448 | ||||||||
Germany—0.9% | ||||||||
HeidelbergCement AG | 89,903 | 6,243,264 | ||||||
Hong Kong—0.7% | ||||||||
Melco Resorts & Entertainment Ltd. - ADR | 227,263 | 4,727,070 | ||||||
Hungary—0.6% | ||||||||
OTP Bank PLC | 102,888 | 4,102,620 | ||||||
Ireland—1.8% | ||||||||
AIB Group PLC | 815,240 | 2,061,415 | ||||||
Bank of Ireland Group PLC | 585,884 | 2,227,938 | ||||||
CRH PLC | 234,765 | 7,866,468 | ||||||
12,155,821 | ||||||||
Italy—0.2% | ||||||||
Leonardo SpA | 107,633 | 1,322,532 | ||||||
Japan—8.9% | ||||||||
Asahi Group Holdings Ltd. | 70,400 | 3,282,091 | ||||||
Bandai Namco Holdings, Inc. | 94,900 | 5,576,097 | ||||||
Haseko Corp. | 362,800 | 3,891,282 | ||||||
Hitachi Ltd. | 233,800 | 7,975,466 | ||||||
Mitsubishi Estate Co. Ltd. | 327,500 | 6,265,118 | ||||||
Nippon Telegraph & Telephone Corp. | 180,100 | 8,633,614 | ||||||
Seven & i Holdings Co., Ltd. | 156,700 | 5,541,912 | ||||||
Shionogi & Co. Ltd. | 80,500 | 4,308,795 | ||||||
Sony Corp. | 273,700 | 15,590,622 | ||||||
61,064,997 | ||||||||
Mexico—0.3% | ||||||||
Cemex SAB de CV - SP ADR(a) | 644,932 | 2,418,495 |
NUMBER OF SHARES | VALUE | |||||||
Netherlands—2.8% | ||||||||
ING Groep NV | 666,906 | $ | 6,371,382 | |||||
Koninklijke KPN NV | 1,652,540 | 5,234,090 | ||||||
NXP Semiconductors NV | 39,216 | 4,005,522 | ||||||
Royal Dutch Shell PLC, Class A | 118,156 | 3,282,745 | ||||||
18,893,739 | ||||||||
South Korea—0.3% | ||||||||
KT Corp. - SP ADR | 165,929 | 1,863,383 | ||||||
Spain—0.8% | ||||||||
Industria de Diseno Textil SA | 182,697 | 5,653,329 | ||||||
Sweden—0.7% | ||||||||
Sandvik AB | 324,933 | 4,667,061 | ||||||
Switzerland—2.0% | ||||||||
Roche Holding AG | 16,078 | 4,393,478 | ||||||
STMicroelectronics NV | 207,316 | 3,675,287 | ||||||
Swiss Re AG | 59,895 | 5,778,336 | ||||||
13,847,101 | ||||||||
United Kingdom—6.5% | ||||||||
Avast PLC | 540,547 | 2,506,783 | ||||||
Aviva PLC | 663,612 | 2,864,901 | ||||||
Cineworld Group PLC | 1,304,300 | 3,480,902 | ||||||
GlaxoSmithKline PLC | 332,712 | 6,933,491 | ||||||
Imperial Brands PLC | 169,911 | 4,402,902 | ||||||
Nomad Foods Ltd.* | 180,761 | 3,642,334 | ||||||
Persimmon PLC | 96,676 | 2,244,773 | ||||||
Tesco PLC | 1,464,563 | 3,914,626 | ||||||
Tullow Oil PLC | 1,953,860 | 4,882,299 | ||||||
Unilever PLC | 113,544 | 7,173,488 | ||||||
Vodafone Group PLC | 1,195,663 | 2,262,210 | ||||||
44,308,709 | ||||||||
United States—53.3% | ||||||||
Allstate Corp. (The) | 82,997 | 8,498,063 | ||||||
Alphabet, Inc., Class C* | 11,330 | 13,461,173 | ||||||
American Express Co. | 94,078 | 11,324,169 | ||||||
Berkshire Hathaway, Inc., Class B* | 97,359 | 19,803,794 | ||||||
Biogen, Inc.* | 23,111 | 5,078,642 | ||||||
CDK Global, Inc. | 69,185 | 2,986,025 | ||||||
CH Robinson Worldwide, Inc.(a) | 53,510 | 4,521,060 | ||||||
Chubb Ltd. | 60,899 | 9,517,296 | ||||||
Cigna Corp. | 46,844 | 7,212,571 | ||||||
Cisco Systems, Inc. | 163,906 | 7,672,440 | ||||||
Citigroup, Inc. | 101,493 | 6,531,075 | ||||||
Comcast Corp., Class A | 288,517 | 12,769,762 | ||||||
Corteva, Inc. | 202,741 | 5,944,366 | ||||||
CVS Health Corp. | 190,995 | 11,635,415 | ||||||
Diamondback Energy, Inc.(a) | 47,264 | 4,635,653 | ||||||
Dover Corp. | 54,315 | 5,091,488 | ||||||
DuPont de Nemours, Inc. | 114,686 | 7,790,620 | ||||||
Eaton Corp. PLC | 91,472 | 7,383,620 | ||||||
Fox Corp., Class A | 232,119 | 7,699,387 | ||||||
Goldman Sachs Group Inc., (The) | 27,064 | 5,518,620 | ||||||
GrafTech International Ltd.(a) | 136,420 | 1,662,960 | ||||||
Graphic Packaging Holding Co. | 292,432 | 4,038,486 | ||||||
Johnson & Johnson | 56,704 | 7,278,525 | ||||||
Kansas City Southern | 40,839 | 5,137,546 | ||||||
KAR Auction Services, Inc. | 28,220 | 749,523 | ||||||
Laboratory Corp. of America Holdings* | 28,079 | 4,704,917 | ||||||
Las Vegas Sands Corp. | 30,765 | 1,706,535 | ||||||
Lear Corp. | 18,702 | 2,099,486 |
The accompanying notes are an integral part of the financial statements.
60 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Lennar Corp., Class A | 95,480 | $ | 4,869,480 | |||||
Marathon Petroleum Corp. | 105,878 | 5,210,256 | ||||||
Masco Corp. | 96,566 | 3,933,133 | ||||||
McKesson Corp. | 50,394 | 6,967,978 | ||||||
Medtronic PLC | 110,377 | 11,908,575 | ||||||
Microsoft Corp. | 158,754 | 21,885,826 | ||||||
Molson Coors Brewing Co., Class B | 47,916 | 2,460,966 | ||||||
Mosaic Co. (The) | 271,725 | 4,997,023 | ||||||
NetApp, Inc. | 37,627 | 1,808,354 | ||||||
Oracle Corp. | 197,139 | 10,263,056 | ||||||
Owens Corning | 85,563 | 4,907,894 | ||||||
Parsley Energy, Inc., Class A | 260,299 | 4,661,955 | ||||||
Pfizer, Inc. | 134,984 | 4,798,681 | ||||||
Philip Morris International, Inc. | 32,581 | 2,348,764 | ||||||
Pioneer Natural Resources Co. | 33,823 | 4,174,435 | ||||||
ProPetro Holding Corp.* | 123,701 | 1,317,416 | ||||||
PulteGroup, Inc. | 170,731 | 5,770,708 | ||||||
Science Applications International Corp.(a) | 58,552 | 5,153,162 | ||||||
SYNNEX Corp. | 35,334 | 2,961,343 | ||||||
TE Connectivity Ltd. | 46,152 | 4,209,985 | ||||||
Tyson Foods, Inc., Class A | 52,171 | 4,853,990 | ||||||
United Parcel Service, Inc., Class B | 45,984 | 5,456,461 | ||||||
United Technologies Corp. | 99,983 | 13,021,786 | ||||||
Verizon Communications, Inc. | 275,489 | 16,022,440 | ||||||
Vistra Energy Corp. | 412,658 | 10,295,817 | ||||||
Wells Fargo & Co. | 173,252 | 8,068,347 | ||||||
364,781,048 | ||||||||
TOTAL COMMON STOCKS (Cost $616,674,712) | 656,526,242 |
NUMBER OFSHARES | VALUE | |||||||
PREFERRED STOCKS—0.9% | ||||||||
Brazil—0.7% | ||||||||
Petroleo Brasileiro SA, 4.455% | 769,300 | $ | 4,720,578 | |||||
TOTAL PREFERRED STOCKS (Cost $5,178,819) | 4,720,578 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL—1.3% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27%(b) | 8,824,253 | 8,824,253 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL (Cost $8,824,253) | 8,824,253 | |||||||
SHORT-TERM INVESTMENTS—3.3% | ||||||||
Morgan Stanley Institutional Liquidity Funds, Treasury Portfolio, Institutional Class, 1.95%(b) | 22,652,473 | 22,652,473 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $22,652,473) | 22,652,473 | |||||||
TOTAL INVESTMENTS—101.3% (Cost $653,330,257) | 692,723,546 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(1.3)% | (9,074,241 | ) | ||||||
NET ASSETS—100.0% | $ | 683,649,305 |
ADR | — | American Depositary Receipt | |
PLC | — | Public Limited Company | |
SP ADR | — | Sponsored American Depositary Receipt | |
* | — | Non-income producing. | |
(a) | — | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $8,677,138. | |
(b) | — | 7 day yield as of August 31, 2019. | |
Industry classifications may be different than those usedfor compliance monitoring purposes |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 61
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS MEASURED AT NET ASSET VALUE* | ||||||||||||||||
Common Stock | ||||||||||||||||||||
Bermuda | $ | 10,900,455 | $ | 10,900,455 | $ | — | $ | — | $ | — | ||||||||||
Brazil | 1,331,891 | 1,331,891 | — | — | — | |||||||||||||||
Canada | 26,073,469 | 26,073,469 | — | — | — | |||||||||||||||
Denmark | 14,886,001 | — | 14,886,001 | — | — | |||||||||||||||
Finland | 5,562,809 | — | 5,562,809 | — | — | |||||||||||||||
France | 51,722,448 | — | 51,722,448 | — | — | |||||||||||||||
Germany | 6,243,264 | — | 6,243,264 | — | — | |||||||||||||||
Hong Kong | 4,727,070 | 4,727,070 | — | — | — | |||||||||||||||
Hungary | 4,102,620 | — | 4,102,620 | — | — | |||||||||||||||
Ireland | 12,155,821 | — | 12,155,821 | — | — | |||||||||||||||
Italy | 1,322,532 | — | 1,322,532 | — | — | |||||||||||||||
Japan | 61,064,997 | — | 61,064,997 | — | — | |||||||||||||||
Mexico | 2,418,495 | 2,418,495 | — | — | — | |||||||||||||||
Netherlands | 18,893,739 | 4,005,522 | 14,888,217 | — | — | |||||||||||||||
South Korea | 1,863,383 | 1,863,383 | — | — | — | |||||||||||||||
Spain | 5,653,329 | — | 5,653,329 | — | — | |||||||||||||||
Sweden | 4,667,061 | — | 4,667,061 | — | — | |||||||||||||||
Switzerland | 13,847,101 | — | 13,847,101 | — | — | |||||||||||||||
United Kingdom | 44,308,709 | 3,642,334 | 40,666,375 | — | — | |||||||||||||||
United States | 364,781,048 | 364,781,048 | — | — | — | |||||||||||||||
Preferred Stock | ||||||||||||||||||||
Brazil | 4,720,578 | 4,720,578 | — | — | — | |||||||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 8,824,253 | — | — | — | 8,824,253 | |||||||||||||||
Short-Term Investments | 22,652,473 | 22,652,473 | — | — | — | |||||||||||||||
Total Assets | $ | 692,723,546 | $ | 447,116,718 | $ | 236,782,575 | $ | — | $ | 8,824,253 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy included to reconcile to the amounts presented in the Portfolio of Investments |
The accompanying notes are an integral part of the financial statements.
62 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—101.9% | ||||||||
COMMON STOCKS—96.4% | ||||||||
Bermuda—1.8% | ||||||||
Axis Capital Holdings Ltd. | 73,485 | $ | 4,511,244 | |||||
Everest Re Group Ltd.†# | 28,316 | 6,679,178 | ||||||
11,190,422 | ||||||||
Brazil—0.7% | ||||||||
Azul SA - ADR* | 118,074 | 4,146,759 | ||||||
Canada—3.5% | ||||||||
Barrick Gold Corp. | 573,616 | 11,119,895 | ||||||
Canadian Natural Resources Ltd. | 160,455 | 3,833,614 | ||||||
Nutrien Ltd.† | 53,835 | 2,711,131 | ||||||
Yamana Gold, Inc. | 1,140,784 | 4,118,230 | ||||||
21,782,870 | ||||||||
China—1.0% | ||||||||
NetEase, Inc. - ADR | 24,365 | 6,213,075 | ||||||
Denmark—1.8% | ||||||||
AP Moller - Maersk A/S, Class B | 3,102 | 3,303,691 | ||||||
Novo Nordisk A/S Class B | 154,823 | 8,066,647 | ||||||
11,370,338 | ||||||||
Finland—0.8% | ||||||||
Sampo Oyj, Class A | 123,481 | 4,906,017 | ||||||
France—8.2% | ||||||||
Capgemini SA | 43,954 | 5,273,912 | ||||||
Cie Generale des Etablissements Michelin SCA | 21,854 | 2,300,767 | ||||||
Danone SA | 193,968 | 17,377,404 | ||||||
Dassault Aviation SA | 2,024 | 2,878,463 | ||||||
Eiffage SA | 45,841 | 4,750,182 | ||||||
Kering SA | 6,061 | 2,936,839 | ||||||
TOTAL SA | 216,739 | 10,823,625 | ||||||
Vinci SA | 45,791 | 5,002,985 | ||||||
51,344,177 | ||||||||
Germany—0.9% | ||||||||
HeidelbergCement AG | 79,809 | 5,542,292 | ||||||
Hong Kong���0.7% | ||||||||
Melco Resorts & Entertainment Ltd. - ADR | 213,738 | 4,445,750 | ||||||
Hungary—0.8% | ||||||||
OTP Bank PLC | 124,169 | 4,951,192 | ||||||
Ireland—1.8% | ||||||||
AIB Group PLC | 1,010,032 | 2,553,966 | ||||||
Bank of Ireland Group PLC | 324,880 | 1,235,419 | ||||||
CRH PLC | 223,149 | 7,477,241 | ||||||
11,266,626 | ||||||||
Italy—0.6% | ||||||||
Leonardo SpA | 285,770 | 3,511,376 | ||||||
Japan—10.4% | ||||||||
Bandai Namco Holdings, Inc. | 92,000 | 5,405,700 | ||||||
Haseko Corp. | 377,900 | 4,053,240 | ||||||
Hitachi Ltd. | 222,400 | 7,586,585 | ||||||
Kamigumi Co. Ltd. | 131,400 | 3,077,152 | ||||||
Mitsubishi Estate Co. Ltd. | 340,700 | 6,517,636 | ||||||
Mitsui & Co. Ltd. | 202,000 | 3,160,110 | ||||||
Nippon Telegraph & Telephone Corp. | 186,100 | 8,921,241 | ||||||
Seven & i Holdings Co., Ltd. | 162,100 | 5,732,891 | ||||||
Shionogi & Co. Ltd. | 86,100 | 4,608,537 | ||||||
Sony Corp. | 286,200 | 16,302,653 | ||||||
65,365,745 |
NUMBER OF SHARES | VALUE | |||||||
Mexico—0.5% | ||||||||
Cemex SAB de CV - SP ADR | 809,051 | $ | 3,033,941 | |||||
Netherlands—1.9% | ||||||||
ING Groep NV | 791,568 | 7,562,358 | ||||||
NXP Semiconductors NV | 41,101 | 4,198,056 | ||||||
11,760,414 | ||||||||
South Africa—0.6% | ||||||||
Naspers Ltd., Class N | 17,866 | 4,065,691 | ||||||
South Korea—0.3% | ||||||||
KT Corp. - SP ADR | 194,272 | 2,181,675 | ||||||
Spain—0.8% | ||||||||
Industria de Diseno Textil SA | 172,381 | 5,334,114 | ||||||
Sweden—0.7% | ||||||||
Sandvik AB | 291,210 | 4,182,693 | ||||||
Switzerland—0.6% | ||||||||
STMicroelectronics NV | 217,872 | 3,862,423 | ||||||
United Kingdom—5.8% | ||||||||
Avast PLC | 930,823 | 4,316,687 | ||||||
Aviva PLC | 726,240 | 3,135,274 | ||||||
Cineworld Group PLC | 402,193 | 1,073,368 | ||||||
GlaxoSmithKline PLC | 263,362 | 5,488,285 | ||||||
Imperial Brands PLC | 247,351 | 6,409,604 | ||||||
Nomad Foods Ltd.*† | 185,256 | 3,732,908 | ||||||
Persimmon PLC | 90,996 | 2,112,886 | ||||||
Tesco PLC | 1,492,352 | 3,988,903 | ||||||
Tullow Oil PLC | 2,349,206 | 5,870,188 | ||||||
36,128,103 | ||||||||
United States—52.2% | ||||||||
Activision Blizzard, Inc. | 92,194 | 4,665,016 | ||||||
Allstate Corp. (The)†# | 43,993 | 4,504,443 | ||||||
Alphabet, Inc., Class C*† | 11,272 | 13,392,263 | ||||||
American Express Co.† | 64,342 | 7,744,847 | ||||||
Berkshire Hathaway, Inc., Class B*† | 94,833 | 19,289,981 | ||||||
Biogen, Inc.*†# | 22,594 | 4,965,032 | ||||||
CDK Global, Inc. | 66,603 | 2,874,585 | ||||||
CH Robinson Worldwide, Inc. | 50,491 | 4,265,985 | ||||||
Chubb Ltd.†# | 33,247 | 5,195,841 | ||||||
Cigna Corp.†# | 51,184 | 7,880,800 | ||||||
Cisco Systems, Inc.† | 171,781 | 8,041,069 | ||||||
Citigroup, Inc.† | 88,494 | 5,694,589 | ||||||
Comcast Corp., Class A†# | 225,944 | 10,000,281 | ||||||
Corteva, Inc.† | 207,063 | 6,071,087 | ||||||
CVS Health Corp.† | 94,090 | 5,731,963 | ||||||
Diamondback Energy, Inc. | 49,196 | 4,825,144 | ||||||
Dover Corp. | 49,572 | 4,646,879 | ||||||
DuPont de Nemours, Inc.† | 118,151 | 8,025,997 | ||||||
Eaton Corp. PLC† | 61,611 | 4,973,240 | ||||||
Fox Corp., Class A | 164,587 | 5,459,351 | ||||||
Goldman Sachs Group Inc., (The) | 29,909 | 6,098,744 | ||||||
GrafTech International Ltd. | 139,406 | 1,699,359 | ||||||
Graphic Packaging Holding Co.# | 350,474 | 4,840,046 | ||||||
Johnson & Johnson# | 40,329 | 5,176,630 | ||||||
Kansas City Southern | 37,561 | 4,725,174 | ||||||
Laboratory Corp. of America Holdings*†# | 34,566 | 5,791,879 | ||||||
Lear Corp.† | 18,513 | 2,078,269 | ||||||
Lennar Corp., Class A | 91,109 | 4,646,559 | ||||||
Marathon Petroleum Corp. | 100,071 | 4,924,494 | ||||||
Masco Corp.†# | 131,531 | 5,357,258 | ||||||
McKesson Corp.† | 45,144 | 6,242,061 |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 63
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Medtronic PLC# | 116,626 | $ | 12,582,779 | |||||
Microsoft Corp.†# | 147,523 | 20,337,521 | ||||||
Molson Coors Brewing Co., Class B† | 45,498 | 2,336,777 | ||||||
Mosaic Co. (The)† | 242,240 | 4,454,794 | ||||||
NetApp, Inc.# | 36,848 | 1,770,915 | ||||||
Oracle Corp.†# | 184,018 | 9,579,977 | ||||||
Owens Corning | 94,238 | 5,405,492 | ||||||
Parsley Energy, Inc., Class A† | 286,940 | 5,139,095 | ||||||
Pfizer, Inc.† | 150,273 | 5,342,205 | ||||||
Pioneer Natural Resources Co.† | 31,985 | 3,947,589 | ||||||
ProPetro Holding Corp.* | 130,909 | 1,394,181 | ||||||
PulteGroup, Inc.# | 174,337 | 5,892,591 | ||||||
Science Applications International Corp. | 37,078 | 3,263,235 | ||||||
SYNNEX Corp. | 39,252 | 3,289,710 | ||||||
TE Connectivity Ltd.† | 44,620 | 4,070,236 | ||||||
Tyson Foods, Inc., Class A | 54,710 | 5,090,218 | ||||||
United Parcel Service, Inc., Class B†# | 48,537 | 5,759,400 | ||||||
United Technologies Corp.†# | 41,561 | 5,412,905 | ||||||
Verizon Communications, Inc.†# | 204,304 | 11,882,321 | ||||||
Vistra Energy Corp.† | 441,002 | 11,003,000 | ||||||
Wells Fargo & Co.†# | 189,034 | 8,803,313 | ||||||
326,587,120 | ||||||||
TOTAL COMMON STOCKS (Cost $555,716,196) | 603,172,813 | |||||||
PREFERRED STOCKS—0.7% | ||||||||
Brazil—0.7% | ||||||||
Petroleo Brasileiro SA, 4.455% | 755,700 | 4,637,125 | ||||||
TOTAL PREFERRED STOCKS (Cost $5,056,420) | 4,637,125 | |||||||
SHORT-TERM INVESTMENTS—4.8% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(a) | 30,159,105 | 30,159,105 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $30,159,105) | 30,159,105 | |||||||
TOTAL INVESTMENTS—101.9% (Cost $590,931,721) | 637,969,043 | |||||||
SECURITIES SOLD SHORT—(49.9%) | ||||||||
COMMON STOCKS—(49.7%) | ||||||||
Australia—(1.9%) | ||||||||
Alumina Ltd. | (1,741,844 | ) | (2,544,492 | ) | ||||
CIMIC Group Ltd. | (71,513 | ) | (1,492,276 | ) | ||||
Fortescue Metals Group Ltd. | (535,912 | ) | (2,891,348 | ) | ||||
WiseTech Global Ltd. | (78,870 | ) | (1,959,703 | ) | ||||
Woodside Petroleum Ltd. | (132,101 | ) | (2,853,291 | ) | ||||
(11,741,110 | ) | |||||||
Belgium—(0.7%) | ||||||||
Colruyt SA | (45,288 | ) | (2,318,954 | ) | ||||
Umicore SA | (73,778 | ) | (2,350,356 | ) | ||||
(4,669,310 | ) | |||||||
Bermuda—(0.6%) | ||||||||
Hiscox Ltd. | (190,478 | ) | (3,592,523 | ) | ||||
Canada—(1.1%) | ||||||||
Shopify, Inc., Class A* | (7,002 | ) | (2,698,501 | ) | ||||
TC Energy Corp. | (79,012 | ) | (4,048,519 | ) | ||||
(6,747,020 | ) |
NUMBER OF SHARES | VALUE | |||||||
China—(1.0%) | ||||||||
ANTA Sports Products Ltd | (255,000 | ) | $ | (2,115,235 | ) | |||
Autohome, Inc. - ADR* | (25,170 | ) | (2,193,817 | ) | ||||
Pinduoduo, Inc. - ADR* | (52,620 | ) | (1,724,357 | ) | ||||
(6,033,409 | ) | |||||||
France—(0.8%) | ||||||||
Credit Agricole SA | (101,482 | ) | (1,156,828 | ) | ||||
Hermes International | (2,142 | ) | (1,462,747 | ) | ||||
Remy Cointreau SA | (14,516 | ) | (2,192,569 | ) | ||||
(4,812,144 | ) | |||||||
Germany—(0.5%) | ||||||||
adidas AG | (10,899 | ) | (3,230,602 | ) | ||||
Hong Kong—(0.6%) | ||||||||
Hong Kong & China Gas Co. Ltd. | (1,225,720 | ) | (2,363,693 | ) | ||||
Xinyi Glass Holdings Ltd. | (1,584,000 | ) | (1,572,856 | ) | ||||
(3,936,549 | ) | |||||||
Ireland—(0.4%) | ||||||||
Ryanair Holdings PLC* | (264,420 | ) | (2,656,754 | ) | ||||
Italy—(0.5%) | ||||||||
Brembo SpA | (310,826 | ) | (2,904,007 | ) | ||||
Japan—(5.6%) | ||||||||
Aeon Co., Ltd. | (187,400 | ) | (3,321,611 | ) | ||||
Ain Holdings, Inc. | (28,500 | ) | (1,538,554 | ) | ||||
Canon, Inc. | (107,900 | ) | (2,797,368 | ) | ||||
Japan Airport Terminal Co., Ltd. | (82,700 | ) | (3,291,413 | ) | ||||
LINE Corp.* | (48,800 | ) | (1,721,869 | ) | ||||
McDonald’s Holdings Co. Japan Ltd. | (35,500 | ) | (1,665,243 | ) | ||||
Mercari, Inc.* | (110,900 | ) | (2,588,964 | ) | ||||
MISUMI Group, Inc. | (134,300 | ) | (3,037,546 | ) | ||||
Mitsubishi Chemical Holdings Corp. | (283,800 | ) | (1,945,288 | ) | ||||
Mitsui Chemicals, Inc. | (128,700 | ) | (2,745,701 | ) | ||||
Nidec Corp. | (14,800 | ) | (1,925,847 | ) | ||||
Pigeon Corp. | (58,300 | ) | (2,113,563 | ) | ||||
Sharp Corp. | (244,900 | ) | (2,519,038 | ) | ||||
Yamaha Corp. | (50,500 | ) | (2,174,516 | ) | ||||
Yaskawa Electric Corp. | (57,100 | ) | (1,912,867 | ) | ||||
(35,299,388 | ) | |||||||
Luxembourg—(0.4%) | ||||||||
Eurofins Scientific SE | (5,392 | ) | (2,469,708 | ) | ||||
New Zealand—(0.2%) | ||||||||
a2 Milk Co. Ltd.* | (154,658 | ) | (1,411,353 | ) | ||||
Sweden—(0.5%) | ||||||||
Autoliv, Inc. | (42,521 | ) | (2,908,437 | ) | ||||
Switzerland—(0.8%) | ||||||||
Credit Suisse Group AG* | (167,472 | ) | (1,959,449 | ) | ||||
VAT Group AG* | (25,638 | ) | (3,091,715 | ) | ||||
(5,051,164 | ) | |||||||
United Kingdom—(3.8%) | ||||||||
ASOS PLC* | (70,196 | ) | (2,036,692 | ) | ||||
Croda International Plc | (55,728 | ) | (3,199,201 | ) | ||||
CYBG Plc | (162,608 | ) | (280,690 | ) | ||||
NMC Health PLC | (89,364 | ) | (2,727,971 | ) | ||||
Pearson PLC | (212,245 | ) | (2,151,099 | ) | ||||
Pennon Group PLC | (363,870 | ) | (3,351,382 | ) | ||||
Renishaw PLC | (74,551 | ) | (3,227,954 | ) | ||||
Severn Trent PLC | (113,403 | ) | (2,859,310 | ) | ||||
Standard Chartered PLC | (371,464 | ) | (2,822,856 | ) | ||||
Weir Group PLC, (The) | (70,387 | ) | (1,258,960 | ) | ||||
(23,916,115 | ) |
The accompanying notes are an integral part of the financial statements.
64 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(30.3%) | ||||||||
AAON, Inc. | (60,677 | ) | $ | (2,910,676 | ) | |||
ABIOMED, Inc.* | (9,938 | ) | (1,918,730 | ) | ||||
Align Technology, Inc.* | (7,746 | ) | (1,418,370 | ) | ||||
Allogene Therapeutics, Inc.* | (56,547 | ) | (1,539,775 | ) | ||||
AO Smith Corp. | (97,562 | ) | (4,538,584 | ) | ||||
Apache Corp. | (46,209 | ) | (996,728 | ) | ||||
Appian Corp.* | (64,037 | ) | (3,808,280 | ) | ||||
Axon Enterprise, Inc.* | (39,349 | ) | (2,359,760 | ) | ||||
Ball Corp. | (59,436 | ) | (4,779,249 | ) | ||||
Blackbaud, Inc. | (19,438 | ) | (1,768,275 | ) | ||||
Brunswick Corp. | (77,817 | ) | (3,626,272 | ) | ||||
Carvana Co.* | (42,537 | ) | (3,452,303 | ) | ||||
Casey’s General Stores, Inc. | (11,062 | ) | (1,856,757 | ) | ||||
Choice Hotels International, Inc. | (26,967 | ) | (2,453,458 | ) | ||||
Cogent Communications Holdings, Inc. | (45,312 | ) | (2,759,048 | ) | ||||
Cognex Corp. | (64,220 | ) | (2,895,038 | ) | ||||
Cohen & Steers, Inc. | (27,248 | ) | (1,469,485 | ) | ||||
Community Bank System, Inc. | (68,901 | ) | (4,202,272 | ) | ||||
Compass Minerals International, Inc. | (69,390 | ) | (3,450,765 | ) | ||||
Cree, Inc.* | (35,197 | ) | (1,511,007 | ) | ||||
Cubic Corp. | (30,070 | ) | (2,082,949 | ) | ||||
Cullen/Frost Bankers, Inc. | (25,487 | ) | (2,115,676 | ) | ||||
Dorman Products, Inc.* | (36,560 | ) | (2,598,685 | ) | ||||
Exact Sciences Corp.* | (22,502 | ) | (2,682,688 | ) | ||||
First Financial Bankshares, Inc. | (95,187 | ) | (2,914,626 | ) | ||||
GCP Applied Technologies, Inc.* | (65,453 | ) | (1,148,700 | ) | ||||
Greif, Inc., Class A | (64,971 | ) | (2,286,329 | ) | ||||
GrubHub, Inc.* | (29,434 | ) | (1,746,614 | ) | ||||
Guidewire Software, Inc.* | (29,182 | ) | (2,806,725 | ) | ||||
Hamilton Lane, Inc., Class A | (33,268 | ) | (2,067,274 | ) | ||||
Healthcare Services Group, Inc. | (50,947 | ) | (1,148,855 | ) | ||||
Hormel Foods Corp. | (87,303 | ) | (3,719,981 | ) | ||||
International Flavors & Fragrances, Inc. | (11,365 | ) | (1,247,309 | ) | ||||
Iron Mountain, Inc. | (78,748 | ) | (2,508,124 | ) | ||||
John Bean Technologies Corp. | (24,463 | ) | (2,503,054 | ) | ||||
KKR & Co., Inc., Class A | (109,887 | ) | (2,839,480 | ) | ||||
Leggett & Platt, Inc. | (51,116 | ) | (1,901,004 | ) | ||||
LiveRamp Holdings, Inc.* | (40,520 | ) | (1,716,427 | ) | ||||
M&T Bank Corp. | (14,835 | ) | (2,169,025 | ) | ||||
Manhattan Associates, Inc.* | (26,326 | ) | (2,175,317 | ) | ||||
MarketAxess Holdings, Inc. | (3,496 | ) | (1,390,080 | ) | ||||
Martin Marietta Materials, Inc. | (9,129 | ) | (2,316,666 | ) | ||||
Matador Resources Co.* | (269,322 | ) | (4,214,889 | ) | ||||
Medallia, Inc.* | (59,102 | ) | (2,105,213 | ) | ||||
Middleby Corp., (The)* | (15,253 | ) | (1,672,644 | ) | ||||
MongoDB, Inc.* | (14,059 | ) | (2,141,326 | ) | ||||
Monro, Inc. | (14,584 | ) | (1,133,468 | ) | ||||
National Beverage Corp. | (19,534 | ) | (798,941 | ) | ||||
National Instruments Corp. | (48,387 | ) | (2,032,254 | ) | ||||
Netflix, Inc.* | (7,520 | ) | (2,209,000 | ) | ||||
Nevro Corp.* | (16,740 | ) | (1,401,640 | ) | ||||
Norwegian Cruise Line Holdings Ltd.* | (35,287 | ) | (1,790,815 | ) | ||||
Occidental Petroleum Corp. | (57,714 | ) | (2,509,405 | ) | ||||
Pinterest, Inc., Class A* | (58,670 | ) | (2,019,421 | ) | ||||
Power Integrations, Inc. | (19,550 | ) | (1,740,341 | ) | ||||
Prosperity Bancshares, Inc. | (29,654 | ) | (1,925,138 | ) | ||||
PTC, Inc.* | (14,547 | ) | (952,392 | ) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Public Storage | (8,206 | ) | $ | (2,172,456 | ) | |||
Quaker Chemical Corp. | (13,146 | ) | (2,088,374 | ) | ||||
Range Resources Corp. | (242,840 | ) | (864,510 | ) | ||||
RLI Corp. | (56,488 | ) | (5,172,606 | ) | ||||
RPM International, Inc. | (23,313 | ) | (1,577,591 | ) | ||||
Select Medical Holdings Corp.* | (111,595 | ) | (1,810,071 | ) | ||||
SiteOne Landscape Supply, Inc.* | (19,127 | ) | (1,495,731 | ) | ||||
Stericycle, Inc.* | (42,595 | ) | (1,912,090 | ) | ||||
Tabula Rasa HealthCare, Inc.* | (39,040 | ) | (2,217,472 | ) | ||||
Teladoc Health, Inc.* | (31,947 | ) | (1,849,092 | ) | ||||
Tesla, Inc.* | (16,658 | ) | (3,758,211 | ) | ||||
Texas Roadhouse, Inc. | (35,873 | ) | (1,846,025 | ) | ||||
Tiffany & Co. | (31,355 | ) | (2,661,099 | ) | ||||
TransDigm Group, Inc. | (2,437 | ) | (1,311,886 | ) | ||||
Trex Co., Inc.* | (20,680 | ) | (1,768,760 | ) | ||||
Trinity Industries, Inc. | (133,922 | ) | (2,339,617 | ) | ||||
Triumph Group, Inc. | (68,583 | ) | (1,425,155 | ) | ||||
Trustmark Corp. | (80,497 | ) | (2,630,642 | ) | ||||
Universal Display Corp. | (10,853 | ) | (2,229,966 | ) | ||||
US Silica Holdings, Inc. | (156,458 | ) | (1,591,178 | ) | ||||
Vail Resorts, Inc. | (9,671 | ) | (2,285,064 | ) | ||||
Wayfair, Inc. Class A* | (19,254 | ) | (2,170,696 | ) | ||||
Westamerica Bancorporation | (58,763 | ) | (3,620,388 | ) | ||||
Williams Cos., Inc. (The) | (80,842 | ) | (1,907,871 | ) | ||||
WisdomTree Investments, Inc. | (324,840 | ) | (1,562,480 | ) | ||||
Workiva, Inc.* | (951 | ) | (45,753 | ) | ||||
World Wrestling Entertainment, Inc., Class A | (28,895 | ) | (2,063,970 | ) | ||||
Zillow Group, Inc., Class A* | (76,278 | ) | (2,606,419 | ) | ||||
(189,432,480 | ) | |||||||
TOTAL COMMON STOCKS (Proceeds $(311,355,871)) | (310,812,073 | ) | ||||||
PREFERRED STOCKS—(0.3%) | ||||||||
Brazil—(0.3%) | ||||||||
Gerdau SA - SP ADR, 3.168% | (544,408 | ) | (1,660,444 | ) | ||||
TOTAL PREFERRED STOCKS (Proceeds $(2,125,746)) | (1,660,444 | ) | ||||||
TOTAL SECURITIES SOLD SHORT—(49.9%) (Proceeds $(313,481,617)) | (312,472,517 | ) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
OPTIONS WRITTEN††—(1.6%) | ||||||||||||
Call Options Written—(1.6%) | ||||||||||||
Allstate Corp., (The) | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 97.50 | (393 | ) | (4,023,927 | ) | (335,033 | ) | ||||||
Biogen, Inc. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 240.00 | (225 | ) | (4,944,375 | ) | (220,500 | ) | ||||||
Chubb Ltd. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 140.00 | (264 | ) | (4,125,792 | ) | (469,920 | ) |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 65
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
Call Options Written—(continued) | ||||||||||||
Cigna Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 160.00 | (281 | ) | (4,326,557 | ) | $ | (276,785 | ) | |||||
Comcast Corp., Class A | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 40.00 | (2,259 | ) | (9,998,334 | ) | (1,208,565 | ) | ||||||
Everest Re Group Ltd. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 250.00 | (182 | ) | (4,293,016 | ) | (137,410 | ) | ||||||
Graphic Packaging Holding Co. | ||||||||||||
Expiration: 12/20/2019, Exercise Price: 12.50 | (3,004 | ) | (4,148,524 | ) | (549,732 | ) | ||||||
Johnson & Johnson | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 130.00 | (402 | ) | (5,160,072 | ) | (209,040 | ) | ||||||
Laboratory Corp. of America Holdings | ||||||||||||
Expiration: 02/21/2020, Exercise Price: 160.00 | (345 | ) | (5,780,820 | ) | (564,075 | ) | ||||||
Masco Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 38.00 | (1,279 | ) | (5,209,367 | ) | (594,735 | ) | ||||||
Medtronic PLC | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 100.00 | (690 | ) | (7,444,410 | ) | (710,700 | ) | ||||||
Microsoft Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 130.00 | (836) | (11,525,096) | (1,085,964 | ) | ||||||||
NetApp, Inc. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 50.00 | (368 | ) | (1,768,608 | ) | (109,112 | ) | ||||||
Oracle Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 52.50 | (1,760 | ) | (9,162,560 | ) | (554,400 | ) |
NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE | ||||||||||
Call Options Written—(continued) | ||||||||||||
PulteGroup, Inc. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 30.00 | (1,204 | ) | (4,069,520 | ) | $ | (585,144 | ) | |||||
United Parcel Service, Inc., Class B | ||||||||||||
Expiration: 04/17/2020, Exercise Price: 110.00 | (485 | ) | (5,755,010 | ) | (693,550 | ) | ||||||
United Technologies Corp. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 120.00 | (373 | ) | (4,857,952 | ) | (535,255 | ) | ||||||
Verizon Communications, Inc. | ||||||||||||
Expiration: 01/17/2020, Exercise Price: 57.50 | (2,041 | ) | (11,870,456 | ) | (569,439 | ) | ||||||
Wells Fargo & Co. | ||||||||||||
Expiration: 06/19/2020, Exercise Price: 47.50 | (1,653 | ) | (7,698,021 | ) | (553,755 | ) | ||||||
TOTAL CALL OPTIONS WRITTEN (Premiums received $(8,925,175)) | (9,963,114 | ) | ||||||||||
TOTAL OPTIONS WRITTEN (Premiums received $(8,925,175)) | (9,963,114 | ) | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—49.6% | 310,330,738 | |||||||||||
NET ASSETS—100.0% | $ | 625,864,150 |
(a) | — 7 day yield as of August 31, 2019 |
ADR | — American Depositary Receipt |
PLC | — Public Limited Company |
SP ADR | — Sponsored American Depositary Receipt |
* | — Non-income producing. |
† | — Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
# | — Security segregated as collateral for options written. |
†† | — Primary risk exposure is equity contracts. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
66 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at August 31, 2019, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Short | ||||||||||||||||||||||||
Indonesia | ||||||||||||||||||||||||
Afterpay Touch Group Ltd. | Morgan Stanley | 9/15/2020 | 1.00 | % | Monthly | (32,064 | ) | $ | (668,445 | ) | $ | (124,603 | ) | |||||||||||
Brazil | ||||||||||||||||||||||||
Usinas Siderurgicas De Minas Gerais SA | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (1,015,900 | ) | (1,881,660 | ) | (48,763 | ) | ||||||||||||||
India | ||||||||||||||||||||||||
Axis Bank | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (20,783 | ) | (957,057 | ) | 16,526 | |||||||||||||||
Indonesia | ||||||||||||||||||||||||
Unilever Indonesia TBK PT | Macquarie | 9/18/2019 | 2.09 | Monthly | (700,500 | ) | (2,410,287 | ) | (192,291 | ) | ||||||||||||||
South Korea | ||||||||||||||||||||||||
Celltrion Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (13,551 | ) | (1,762,568 | ) | (23,522 | ) | ||||||||||||||
LG Chem Ltd. | Goldman Sachs | 12/31/2021 | 2.12 | Monthly | (8,883 | ) | (2,430,221 | ) | (46,621 | ) | ||||||||||||||
Oil Corp. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (24,996 | ) | (2,000,428 | ) | (106,672 | ) | ||||||||||||||
Samsung BioLogics Co. Ltd. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (6,999 | ) | (1,557,718 | ) | 85,242 | |||||||||||||||
Sillajen Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (28,088 | ) | (244,197 | ) | 72,053 | |||||||||||||||
(7,995,132 | ) | (19,520 | ) | |||||||||||||||||||||
Taiwan | ||||||||||||||||||||||||
AU Optronics Corp. | Macquarie | 9/15/2020 | 2.09 | Monthly | (4,783,000 | ) | (1,245,771 | ) | (71,774 | ) | ||||||||||||||
Eclat Textile Co., Ltd. | Macquarie | 9/18/2019 | 2.09 | Monthly | (170,000 | ) | (2,074,507 | ) | (40,702 | ) | ||||||||||||||
Hiwin Technologies Corp. | Macquarie | 12/31/2021 | 2.09 | Monthly | (326,170 | ) | (2,639,159 | ) | (82,714 | ) | ||||||||||||||
(5,959,437 | ) | (195,190 | ) | |||||||||||||||||||||
United Kingdom | ||||||||||||||||||||||||
Whitbread | Goldman Sachs | 12/31/2020 | 0.71 | Monthly | (30,068 | ) | (1,603,323 | ) | (3,724 | ) | ||||||||||||||
Total Short | (21,475,341 | ) | (567,565 | ) | ||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | (567,565 | ) |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 67
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL LONG/SHORT FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Bermuda | $ | 11,190,422 | $ | 11,190,422 | $ | — | $ | — | ||||||||
Brazil | 4,146,759 | 4,146,759 | — | — | ||||||||||||
Canada | 21,782,870 | 21,782,870 | — | — | ||||||||||||
China | 6,213,075 | 6,213,075 | — | — | ||||||||||||
Denmark | 11,370,338 | — | 11,370,338 | — | ||||||||||||
Finland | 4,906,017 | — | 4,906,017 | — | ||||||||||||
France | 51,344,177 | 2,878,463 | 48,465,714 | — | ||||||||||||
Germany | 5,542,292 | — | 5,542,292 | — | ||||||||||||
Hong Kong | 4,445,750 | 4,445,750 | — | — | ||||||||||||
Hungary | 4,951,192 | — | 4,951,192 | — | ||||||||||||
Ireland | 11,266,626 | — | 11,266,626 | — | ||||||||||||
Italy | 3,511,376 | — | 3,511,376 | — | ||||||||||||
Japan | 65,365,745 | — | 65,365,745 | — | ||||||||||||
Mexico | 3,033,941 | 3,033,941 | — | — | ||||||||||||
Netherlands | 11,760,414 | 4,198,056 | 7,562,358 | — | ||||||||||||
South Africa | 4,065,691 | — | 4,065,691 | — | ||||||||||||
South Korea | 2,181,675 | 2,181,675 | — | — | ||||||||||||
Spain | 5,334,114 | — | 5,334,114 | — | ||||||||||||
Sweden | 4,182,693 | — | 4,182,693 | — | ||||||||||||
Switzerland | 3,862,423 | — | 3,862,423 | — | ||||||||||||
United Kingdom | 36,128,103 | 3,732,908 | 32,395,195 | — | ||||||||||||
United States | 326,587,120 | 326,587,120 | — | — | ||||||||||||
Preferred Stock Brazil | 4,637,125 | 4,637,125 | — | — | ||||||||||||
Short-Term Investments | 30,159,105 | 30,159,105 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 173,821 | 16,526 | 157,295 | — | ||||||||||||
Total Assets | $ | 638,142,864 | $ | 425,203,795 | $ | 212,939,069 | $ | — | ||||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Securities Sold Short | ||||||||||||||||
Australia | $ | (11,741,110 | ) | $ | — | $ | (11,741,110 | ) | $ | — | ||||||
Belgium | (4,669,310 | ) | — | (4,669,310 | ) | — | ||||||||||
Bermuda | (3,592,523 | ) | — | (3,592,523 | ) | — | ||||||||||
Canada | (6,747,020 | ) | (6,747,020 | ) | — | — | ||||||||||
China | (6,033,409 | ) | (3,918,174 | ) | (2,115,235 | ) | — | |||||||||
France | (4,812,144 | ) | — | (4,812,144 | ) | — | ||||||||||
Germany | (3,230,602 | ) | (3,230,602 | ) | — | — | ||||||||||
Hong Kong | (3,936,549 | ) | — | (3,936,549 | ) | — | ||||||||||
Ireland | (2,656,754 | ) | (2,656,754 | ) | — | — | ||||||||||
Italy | (2,904,007 | ) | — | (2,904,007 | ) | — | ||||||||||
Japan | (35,299,388 | ) | — | (35,299,388 | ) | — | ||||||||||
Luxembourg | (2,469,708 | ) | — | (2,469,708 | ) | — | ||||||||||
New Zealand | (1,411,353 | ) | — | (1,411,353 | ) | — | ||||||||||
Sweden | (2,908,437 | ) | (2,908,437 | ) | — | — | ||||||||||
Switzerland | (5,051,164 | ) | — | (5,051,164 | ) | — | ||||||||||
United Kingdom | (23,916,115 | ) | — | (23,916,115 | ) | — | ||||||||||
United States | (189,432,480 | ) | (189,432,480 | ) | — | — | ||||||||||
Preferred Stock Brazil | (1,660,444 | ) | (1,660,444 | ) | — | — | ||||||||||
Options Written Equity Contracts | (9,963,114 | ) | (7,588,679 | ) | (2,374,435 | ) | — | |||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | (741,386 | ) | (48,763 | ) | (692,623 | ) | — | |||||||||
Total Liabilities | $ | (323,177,017 | ) | $ | (218,191,353 | ) | $ | (104,985,664 | ) | $ | — |
The accompanying notes are an integral part of the financial statements.
68 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
LONG POSITIONS—95.5% | ||||||||
COMMON STOCKS—62.3% | ||||||||
Belgium—1.1% | ||||||||
Anheuser-Busch InBev SA - SP ADR† | 6,971 | $ | 658,759 | |||||
Brazil—1.9% | ||||||||
Ambev SA | 96,700 | 439,715 | ||||||
Petroleo Brasileiro SA - SP ADR | 20,869 | 282,775 | ||||||
Qualicorp SA | 41,600 | 286,810 | ||||||
Tupy SA | 30,200 | 127,043 | ||||||
1,136,343 | ||||||||
Chile—0.5% | ||||||||
Geopark Ltd.* | 17,731 | 303,909 | ||||||
China—12.8% | ||||||||
Alibaba Group Holding Ltd. - SP ADR* | 21,383 | 3,742,667 | ||||||
Anton Oilfield Services Group | 2,818,000 | 286,622 | ||||||
China Construction Bank Corp., Class H | 292,000 | 216,990 | ||||||
China Meidong Auto Holdings Ltd. | 320,000 | 268,614 | ||||||
CRRC Corp. Ltd., Class H | 453,000 | 310,953 | ||||||
Momo, Inc. - SP ADR | 6,390 | 235,024 | ||||||
NetEase, Inc. - ADR | 3,477 | 886,635 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 41,000 | 470,394 | ||||||
Tencent Holdings Ltd. | 4,600 | 189,913 | ||||||
Tencent Holdings Ltd. - ADR† | 15,609 | 644,183 | ||||||
Vipshop Holdings Ltd. - ADR* | 29,795 | 249,384 | ||||||
7,501,379 | ||||||||
France—1.0% | ||||||||
TOTAL SA - SP ADR | 11,942 | 596,145 | ||||||
Hong Kong—2.9% | ||||||||
China Mobile Ltd. - SP ADR | 7,450 | 307,759 | ||||||
Galaxy Entertainment Group Ltd. | 70,000 | 438,094 | ||||||
K Wah International Holdings Ltd. | 811,000 | 421,246 | ||||||
Melco Resorts & Entertainment Ltd. - ADR | 24,787 | 515,570 | ||||||
1,682,669 | ||||||||
Hungary—1.3% | ||||||||
OTP Bank PLC | 18,415 | 734,291 | ||||||
India—3.6% | ||||||||
Gujarat State Petronet Ltd. | 127,268 | 391,834 | ||||||
Hexaware Technologies Ltd. | 49,715 | 269,543 | ||||||
Reliance Industries Ltd. | 15,517 | 271,431 | ||||||
Tech Mahindra Ltd. | 48,750 | 473,406 | ||||||
Zee Entertainment Enterprises Ltd. | 137,685 | 718,944 | ||||||
2,125,158 | ||||||||
Ireland—0.1% | ||||||||
Kenmare Resources PLC | 19,459 | 59,835 | ||||||
Luxembourg—1.0% | ||||||||
PLAY Communications SA | 69,284 | 598,525 | ||||||
Macao—2.7% | ||||||||
Wynn Macau Ltd. | 786,000 | 1,566,380 | ||||||
Mexico—2.4% | ||||||||
Concentradora Fibra Danhos SA de CV | 262,200 | 348,658 | ||||||
Credito Real SAB de CV SOFOM ER | 134,800 | 149,453 | ||||||
Fibra Uno Administracion SA de CV | 285,600 | 395,450 | ||||||
Industrias Bachoco SAB de CV | 48,600 | 222,830 | ||||||
Macquarie Mexico Real Estate Management SA de CV | 244,200 | 294,748 | ||||||
1,411,139 |
NUMBER OF SHARES | VALUE | |||||||
Netherlands—1.3% | ||||||||
DP Eurasia NV* | 105,036 | $ | 117,838 | |||||
Unilever NV | 10,207 | 633,753 | ||||||
751,591 | ||||||||
Philippines—0.9% | ||||||||
Altus San Nicolas Corp.*‡ | 9,313 | 0 | ||||||
First Gen Corp. | 584,700 | 296,451 | ||||||
Robinsons Land Corp. | 483,700 | 232,291 | ||||||
528,742 | ||||||||
Portugal—1.2% | ||||||||
Jeronimo Martins SGPS SA | 41,788 | 689,590 | ||||||
Russia—2.5% | ||||||||
Gazprom Neft PJSC | 65,420 | 404,594 | ||||||
Sberbank of Russia PJSC - SP ADR | 60,743 | 834,002 | ||||||
Yandex NV, Class A* | 5,303 | 196,741 | ||||||
1,435,337 | ||||||||
Singapore—3.5% | ||||||||
DBS Group Holdings Ltd. | 66,900 | 1,179,654 | ||||||
United Overseas Bank Ltd. | 48,400 | 869,116 | ||||||
2,048,770 | ||||||||
South Africa—7.9% | ||||||||
Adcock Ingram Holdings Ltd. | 138,090 | 524,991 | ||||||
Astral Foods Ltd. | 43,567 | 456,127 | ||||||
AVI Ltd. | 19,123 | 104,510 | ||||||
Barloworld Ltd. | 46,769 | 342,566 | ||||||
Clover Industries Ltd. | 81,450 | 122,158 | ||||||
Distell Group Holdings Ltd. | 11,296 | 96,810 | ||||||
JSE Ltd. | 24,774 | 210,686 | ||||||
Liberty Holdings Ltd. | 32,846 | 237,390 | ||||||
Naspers Ltd., Class N | 9,661 | 2,198,513 | ||||||
Oceana Group Ltd. | 63,685 | 293,891 | ||||||
4,587,642 | ||||||||
South Korea—1.0% | ||||||||
Innocean Worldwide, Inc. | 2,287 | 127,381 | ||||||
KB Financial Group, Inc. | 13,759 | 449,549 | ||||||
576,930 | ||||||||
Taiwan—1.1% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR | 14,936 | 636,722 | ||||||
Thailand—0.3% | ||||||||
Hana Microelectronics PCL | 211,000 | 196,115 | ||||||
Turkey—0.5% | ||||||||
Mavi Giyim Sanayi Ve Ticaret AS, Class B* | 29,116 | 184,536 | ||||||
Ulker Biskuvi Sanayi AS* | 36,423 | 112,108 | ||||||
296,644 | ||||||||
United Arab Emirates—1.3% | ||||||||
Aramex PJSC | 256,405 | 294,217 | ||||||
Emaar Malls PJSC | 435,641 | 230,125 | ||||||
First Abu Dhabi Bank PJSC | 49,182 | 204,397 | ||||||
728,739 | ||||||||
United States—9.5% | ||||||||
Air Lease Corp. | 15,988 | 664,142 | ||||||
Kosmos Energy Ltd.† | 45,440 | 287,181 | ||||||
Las Vegas Sands Corp. | 39,668 | 2,200,384 | ||||||
Micron Technology, Inc.* | 16,924 | 766,149 | ||||||
National Energy Services Reunited Corp.* | 72,555 | 555,771 | ||||||
Philip Morris International, Inc.† | 12,110 | 873,009 |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 69
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Wynn Resorts Ltd. | 1,766 | $ | 194,524 | |||||
5,541,160 | ||||||||
TOTAL COMMON STOCKS (Cost $34,875,508) | 36,392,514 | |||||||
PREFERRED STOCKS—4.4% | ||||||||
Brazil—0.3% | ||||||||
Cia Brasileira de Distribuicao, 1.844% | 8,500 | 179,873 | ||||||
South Korea—4.1% | ||||||||
Samsung Electronics Co., Ltd., 3.845% | 77,206 | 2,352,278 | ||||||
TOTAL PREFERRED STOCKS (Cost $2,459,617) | 2,532,151 | |||||||
SHORT-TERM INVESTMENTS—28.8% | ||||||||
Morgan Stanley Institutional Liquidity Funds – Treasury Portfolio, Institutional Class, 1.95%(a) | 16,845,457 | 16,845,457 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,845,457) | 16,845,457 | |||||||
TOTAL INVESTMENTS—95.5% (Cost $54,180,582) | 55,770,122 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—4.5% | 2,654,008 | |||||||
NET ASSETS—100.0% | $ | 58,424,130 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
† | — | Security position is either entirely or partially held in a segregated account as collateral for securities sold short. |
(a) | — | Seven-day yield as of August 31, 2019. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of August 31, 2019, these securities amounted to $0 or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
70 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at August 31, 2019, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Long | ||||||||||||||||||||||||
Austria | ||||||||||||||||||||||||
Erste Group Bank AG | Goldman Sachs | 9/15/2020 | -0.26 | % | Monthly | 9,005 | $ | 289,640 | $ | (8,501 | ) | |||||||||||||
Bermuda | ||||||||||||||||||||||||
Central European Media Entertainment, Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 64,411 | 298,867 | (4,509 | ) | ||||||||||||||||
Brazil | ||||||||||||||||||||||||
Mahle Metal Leve SA | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 67,000 | 376,825 | (14,069 | ) | ||||||||||||||||
Canada | ||||||||||||||||||||||||
Yamana Gold, Inc. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 42,343 | 152,858 | 8,892 | |||||||||||||||||
China | ||||||||||||||||||||||||
Agricultural Bank of China | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 676,000 | 259,889 | 1,093 | |||||||||||||||||
Alibaba Group Holding Ltd. - SP ADR | Goldman Sachs | 12/31/2021 | 2.09 | Monthly | 2,911 | 509,512 | 11,060 | |||||||||||||||||
Baidu Inc.-SP ADR | Goldman Sachs | 12/31/2021 | 2.17 | Monthly | 971 | 101,441 | (4,126 | ) | ||||||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 76,700 | 1,201,801 | 35,734 | |||||||||||||||||
Kweichow Moutai Co. Ltd. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 4,200 | 671,226 | 35,067 | |||||||||||||||||
Shanghai Haohai Biological Technology Co., Ltd., Class H | Goldman Sachs | 12/31/2021 | 1.93 | Monthly | 39,100 | 174,231 | (8,144 | ) | ||||||||||||||||
SINOPEC Engineering | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 450,000 | 293,434 | (18,386 | ) | ||||||||||||||||
Tencent Holdings Ltd. | Goldman Sachs | 12/31/2021 | 1.93 | Monthly | 34,300 | 1,416,094 | (43,220 | ) | ||||||||||||||||
Tencent Holdings Ltd. | Goldman Sachs | 9/15/2020 | 2.09 | Monthly | 14,327 | 591,275 | (1,383 | ) | ||||||||||||||||
Wuliangye Yibin Co., Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 51,700 | 1,023,707 | 75,291 | |||||||||||||||||
Yantai Jereh Oilfield, Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 123,200 | 446,197 | 18,033 | |||||||||||||||||
6,688,807 | 101,019 | |||||||||||||||||||||||
Egypt | ||||||||||||||||||||||||
Commercial International Bank Egypt SAE | Goldman Sachs | 12/31/2021 | 2.17 | Monthly | 127,663 | 618,491 | 34,377 | |||||||||||||||||
Hong Kong | ||||||||||||||||||||||||
Champion Real Estate Investement Trust | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 349,000 | 234,800 | (5,694 | ) | ||||||||||||||||
Fortune Real Estate Investment Trust | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 322,000 | 369,446 | (25,768 | ) | ||||||||||||||||
Galaxy Entertainment Group, Class L | Goldman Sachs | 9/15/2020 | 2.00 | Monthly | 68,000 | 436,470 | 0 | |||||||||||||||||
Hang Lung Properties | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 133,000 | 299,991 | (4,491 | ) | ||||||||||||||||
WH Group Ltd. | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 1,437,500 | 1,151,960 | (57,830 | ) | ||||||||||||||||
2,492,667 | (93,783 | ) | ||||||||||||||||||||||
Israel | ||||||||||||||||||||||||
Gazit Globe Ltd. | Goldman Sachs | 9/15/2020 | 0.25 | Monthly | 54,782 | 540,567 | 8,947 | |||||||||||||||||
Tamar Petroleum Ltd. NPV | Goldman Sachs | 9/15/2020 | 0.25 | Monthly | 33,789 | 90,645 | 4,479 | |||||||||||||||||
631,212 | 13,426 | |||||||||||||||||||||||
Japan | ||||||||||||||||||||||||
Suzuki Motor Co. | Goldman Sachs | 9/15/2020 | -0.10 | Monthly | 19,200 | 739,199 | 36,598 | |||||||||||||||||
Mexico | ||||||||||||||||||||||||
Bolsa Mexicana De Valores | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 176,800 | 327,020 | 15,888 | |||||||||||||||||
Netherlands | ||||||||||||||||||||||||
Heineken NV | Goldman Sachs | 9/15/2020 | -0.41 | Monthly | 2,820 | 300,041 | 3,835 | |||||||||||||||||
Russia | ||||||||||||||||||||||||
Sberbank of Russia PJSC - Sponsored ADR | Goldman Sachs | 12/31/2021 | 2.09 | Monthly | 25,916 | 355,827 | 7,623 | |||||||||||||||||
South Korea | ||||||||||||||||||||||||
Hana Financial Group, Inc. | Goldman Sachs | 12/31/2021 | 2.17 | Monthly | 21,107 | 566,966 | 6,512 | |||||||||||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 12/31/2021 | 2.17 | Monthly | 33,559 | 1,221,849 | (13,988 | ) | ||||||||||||||||
SK Hynix Inc. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 3,704 | 237,207 | 2,762 | |||||||||||||||||
2,026,022 | (4,714 | ) |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 71
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Taiwan | ||||||||||||||||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | Goldman Sachs | 12/31/2021 | 2.17 | Monthly | 105,251 | $ | 864,808 | $ | 11,173 | |||||||||||||||
Taiwan Semiconductor | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 4,097 | 174,655 | 374 | |||||||||||||||||
Tripod Technology Corp. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 86,000 | 310,580 | (1,851 | ) | ||||||||||||||||
Wiwynn Corp. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 21,000 | 287,281 | (12,539 | ) | ||||||||||||||||
1,637,324 | (2,843 | ) | ||||||||||||||||||||||
United Kingdom | ||||||||||||||||||||||||
Georgia Capital | Goldman Sachs | 9/15/2020 | 0.71 | Monthly | 28,508 | 346,191 | (11,902 | ) | ||||||||||||||||
Tullow Oil PLC | Goldman Sachs | 9/15/2020 | 0.71 | Monthly | 58,722 | 146,734 | 372 | |||||||||||||||||
492,925 | (11,530 | ) | ||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Philip Morris International | Goldman Sachs | 9/15/2020 | 2.09 | Monthly | 5,493 | 395,991 | (14,109 | ) | ||||||||||||||||
Total Long | 17,823,716 | 67,600 | ||||||||||||||||||||||
Short | ||||||||||||||||||||||||
Australia | ||||||||||||||||||||||||
Fortescue Metals Group Ltd. | Goldman Sachs | 9/15/2020 | 1.00 | Monthly | (121,871 | ) | $ | (657,517 | ) | $ | (31,337 | ) | ||||||||||||
Brazil | ||||||||||||||||||||||||
Gerdau SA - SP ADR | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (105,910 | ) | (323,026 | ) | (8,225 | ) | ||||||||||||||
Raia Drogasil SA | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (16,200 | ) | (361,986 | ) | (2,626 | ) | ||||||||||||||
Stone Co Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (8,829 | ) | (265,576 | ) | 12,626 | |||||||||||||||
(950,588 | ) | 1,775 | ||||||||||||||||||||||
China | ||||||||||||||||||||||||
AAC Technologies Holdings | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (111,500 | ) | (478,879 | ) | 68,591 | |||||||||||||||
Autohome, Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (5,406 | ) | (471,187 | ) | (10,272 | ) | ||||||||||||||
China International Capital Corp. Ltd. Class H | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (127,200 | ) | (219,344 | ) | 16,473 | |||||||||||||||
China Life Insurance Co., Ltd., Class H | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (166,000 | ) | (388,011 | ) | (1,013 | ) | ||||||||||||||
China Pacific Insurance Group, Ltd., Class H | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (83,800 | ) | (334,493 | ) | 19,262 | |||||||||||||||
China Zhongwang Holdings Ltd. | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (834,800 | ) | (342,248 | ) | (29,477 | ) | ||||||||||||||
Cosco Shipping Holdings Co., Ltd. | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (739,500 | ) | (263,585 | ) | (4,505 | ) | ||||||||||||||
Huadian Power International Corp. Ltd., Class H | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (560,000 | ) | (218,334 | ) | 3,882 | |||||||||||||||
Huaneng Power International Inc., Class H | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (380,000 | ) | (208,557 | ) | (2,697 | ) | ||||||||||||||
IMAX China Holding Inc. | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (75,800 | ) | (163,794 | ) | (1,821 | ) | ||||||||||||||
New China Life Insurance Co., Ltd., Class H | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (68,700 | ) | (270,251 | ) | 34,651 | |||||||||||||||
Nio Inc. - SP ADR | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (37,354 | ) | (106,832 | ) | 11,207 | |||||||||||||||
Parkson Retail Group Ltd. | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (850,000 | ) | (68,184 | ) | (4,248 | ) | ||||||||||||||
Semiconductor Manufacturing Co., Ltd. | Goldman Sachs | 12/31/2020 | 0.48 | Monthly | (523,500 | ) | (574,073 | ) | 1,914 | |||||||||||||||
Xiaomi Corp., Class B | Citigroup | 9/15/2020 | 0.00 | Monthly | (461,800 | ) | (500,646 | ) | 54,405 | |||||||||||||||
Zhaojin Mining | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (128,500 | ) | (168,514 | ) | 226 | |||||||||||||||
(4,776,932 | ) | 156,578 | ||||||||||||||||||||||
France | ||||||||||||||||||||||||
Edenred | Goldman Sachs | 9/15/2020 | -0.37 | Monthly | (9,020 | ) | (439,220 | ) | 2,365 | |||||||||||||||
Hong Kong | ||||||||||||||||||||||||
Café De Coral Holdings | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (96,000 | ) | (305,859 | ) | 15,565 | |||||||||||||||
Cathay Pacific Airways | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (96,000 | ) | (125,103 | ) | 5,359 | |||||||||||||||
China Power International | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (1,359,000 | ) | (294,243 | ) | 24,596 | |||||||||||||||
China Taiping Insurance Holdings Co., Ltd. | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (96,800 | ) | (217,215 | ) | 14,758 | |||||||||||||||
Fullshare Holdings | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (1,250,000 | ) | (33,274 | ) | (131 | ) | ||||||||||||||
Gome Retail Holdings Ltd. | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (3,942,000 | ) | (356,338 | ) | 230 | |||||||||||||||
HK Electric Investments & HK Electric Investments Ltd. | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (492,000 | ) | (471,112 | ) | 4,542 | |||||||||||||||
Hong Kong & China Gas Co., Ltd. | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (238,652 | ) | (460,219 | ) | 60,237 |
The accompanying notes are an integral part of the financial statements.
72 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Hong Kong—(continued) | ||||||||||||||||||||||||
Lee & Man Paper | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (546,000 | ) | $ | (288,280 | ) | $ | (9,050 | ) | ||||||||||||
Lifestyle International Holdings Ltd. | Morgan Stanley | 9/15/2020 | 0.61 | Monthly | (194,500 | ) | (217,297 | ) | 9,595 | |||||||||||||||
Nine Dragons Paper | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (469,000 | ) | (354,345 | ) | (7,428 | ) | ||||||||||||||
SJM Holdings Ltd. | Goldman Sachs | 12/31/2021 | 0.48 | Monthly | (609,000 | ) | (573,993 | ) | 21,721 | |||||||||||||||
(3,697,278 | ) | 139,994 | ||||||||||||||||||||||
India | ||||||||||||||||||||||||
Axis Bank | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (3,013 | ) | (138,749 | ) | 2,401 | |||||||||||||||
Dr. Reddys Labs Ltd. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (14,094 | ) | (503,860 | ) | (5,778 | ) | ||||||||||||||
(642,609 | ) | (3,377 | ) | |||||||||||||||||||||
Indonesia | ||||||||||||||||||||||||
Unilever Indonesia TBK PT | Macquaire | 9/18/2019 | 2.09 | Monthly | (185,900 | ) | (639,647 | ) | (50,924 | ) | ||||||||||||||
Macao | ||||||||||||||||||||||||
MGM China Holdings | Goldman Sachs | 9/15/2020 | 0.48 | Monthly | (392,000 | ) | (585,421 | ) | 16,754 | |||||||||||||||
Mexico | ||||||||||||||||||||||||
Grupo Televisa SAB - SP ADR | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (19,392 | ) | (171,425 | ) | (18,228 | ) | ||||||||||||||
Kimberly-Clark MXC | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (207,700 | ) | (425,940 | ) | (17,581 | ) | ||||||||||||||
Telesites SAB CV | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (256,800 | ) | (161,449 | ) | (4,498 | ) | ||||||||||||||
(758,814 | ) | (40,307 | ) | |||||||||||||||||||||
Norway | ||||||||||||||||||||||||
Yara International | Goldman Sachs | 9/15/2020 | 1.25 | Monthly | (3,907 | ) | (169,308 | ) | (6,768 | ) | ||||||||||||||
Philippines | ||||||||||||||||||||||||
BDO Unibank Inc. | Macquaire | 9/18/2019 | 2.10 | Monthly | (134,460 | ) | (384,742 | ) | (12,165 | ) | ||||||||||||||
Poland | ||||||||||||||||||||||||
KGHM Polska Miedz | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (13,218 | ) | (259,616 | ) | (761 | ) | ||||||||||||||
PKN Orlen SA | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (9,612 | ) | (218,691 | ) | (339 | ) | ||||||||||||||
(478,307 | ) | (1,100 | ) | |||||||||||||||||||||
Singapore | ||||||||||||||||||||||||
Genting Singapore Ltd. | Goldman Sachs | 9/15/2020 | 1.62 | Monthly | (815,100 | ) | (522,046 | ) | 4,780 | |||||||||||||||
Golden Agri-Resources | Goldman Sachs | 9/15/2020 | 1.38 | Monthly | (2,741,500 | ) | (522,622 | ) | 41,650 | |||||||||||||||
Sats Ltd. NPV | Goldman Sachs | 9/15/2020 | 1.38 | Monthly | (159,700 | ) | (552,135 | ) | 2,627 | |||||||||||||||
SembCorp. Marine Ltd. | Morgan Stanley | 12/31/2021 | 1.38 | Monthly | (130,200 | ) | (106,655 | ) | 10,498 | |||||||||||||||
Singapore Press Holdings Ltd. | Goldman Sachs | 9/15/2020 | 1.38 | Monthly | (230,300 | ) | (329,983 | ) | 20,907 | |||||||||||||||
(2,033,441 | ) | 80,462 | ||||||||||||||||||||||
South Africa | ||||||||||||||||||||||||
Dis-Chem Pharmacies Ltd. | Goldman Sachs | 9/15/2020 | 6.34 | Monthly | (129,983 | ) | (190,663 | ) | (15,273 | ) | ||||||||||||||
Momentum Metropolitan Holdings | Goldman Sachs | 9/15/2020 | 6.34 | Monthly | (308,789 | ) | (334,668 | ) | (14,813 | ) | ||||||||||||||
Nampak | Goldman Sachs | 9/15/2020 | 6.34 | Monthly | (214,695 | ) | (130,896 | ) | (3,744 | ) | ||||||||||||||
Pepkor Holdings Ltd. | Morgan Stanley | 9/15/2020 | 6.51 | Monthly | (196,378 | ) | (215,425 | ) | (12,374 | ) | ||||||||||||||
Rand Merchant Investment Holdings Ltd. | Goldman Sachs | 9/15/2020 | 6.34 | Monthly | (68,912 | ) | (134,789 | ) | (7,984 | ) | ||||||||||||||
(1,006,441 | ) | (54,188 | ) | |||||||||||||||||||||
South Korea | ||||||||||||||||||||||||
Celltrion Health | Macquaire | 9/18/2019 | 2.09 | Monthly | (8,458 | ) | (311,467 | ) | (20,184 | ) | ||||||||||||||
Celltrion Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (3,263 | ) | (424,416 | ) | (5,661 | ) | ||||||||||||||
Helix Mith Co., Ltd. | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (784 | ) | (118,652 | ) | 694 | |||||||||||||||
Hite Jinro Co. Ltd. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (27,186 | ) | (494,203 | ) | 2,255 | |||||||||||||||
Oil Corp. SWAP | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (7,541 | ) | (603,506 | ) | (31,299 | ) | ||||||||||||||
Paradise Co. Ltd. | Morgan Stanley | 12/31/2021 | 2.12 | Monthly | (44,798 | ) | (599,892 | ) | (19,911 | ) | ||||||||||||||
Samsung BioLogics Co. Ltd. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (2,267 | ) | (504,550 | ) | 27,612 | |||||||||||||||
Sillajen Inc. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (6,748 | ) | (58,667 | ) | 17,178 | |||||||||||||||
SK Networks Co. Ltd. | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (98,951 | ) | (435,996 | ) | 7,388 | |||||||||||||||
(3,551,349 | ) | (21,928 | ) | |||||||||||||||||||||
Taiwan | ||||||||||||||||||||||||
AU Optronics Corp. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (599,000 | ) | (156,014 | ) | (8,972 | ) | ||||||||||||||
Cheng Shin Rubber | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (360,000 | ) | (504,122 | ) | (60,590 | ) | ||||||||||||||
China Airlines | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (1,873,000 | ) | (550,897 | ) | (12,549 | ) |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 73
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (continued) |
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Taiwan—(continued) | ||||||||||||||||||||||||
Eclat Textile Co., Ltd. | Goldman Sachs | 9/18/2019 | 2.12 | Monthly | (29,000 | ) | $ | (353,887 | ) | $ | (6,727 | ) | ||||||||||||
First Financial Holding Co. | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (806,990 | ) | (552,298 | ) | (30,294 | ) | ||||||||||||||
Hiwin Technologies Corp. | Macquaire | 12/31/2021 | 2.09 | Monthly | (52,530 | ) | (425,039 | ) | (16,242 | ) | ||||||||||||||
Largan Precision, Class C | Goldman Sachs | 9/15/2020 | 2.12 | Monthly | (2,000 | ) | (248,344 | ) | (6,313 | ) | ||||||||||||||
(2,790,601 | ) | (141,687 | ) | |||||||||||||||||||||
Thailand | ||||||||||||||||||||||||
Airports of Thailand PCL | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (143,800 | ) | (337,777 | ) | (9,659 | ) | ||||||||||||||
Bumrungrad Hospital | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (53,400 | ) | (241,337 | ) | 1,127 | |||||||||||||||
Thai Oil PCL | Morgan Stanley | 9/15/2020 | 2.12 | Monthly | (97,200 | ) | (214,663 | ) | (11,838 | ) | ||||||||||||||
(793,777 | ) | (20,370 | ) | |||||||||||||||||||||
Total Short | (24,355,992 | ) | 13,777 | |||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 81,377 |
The accompanying notes are an integral part of the financial statements.
74 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August31, 2019 |
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND | Portfolio Of Investments (unaudited) (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Belgium | $ | 658,759 | $ | 658,759 | $ | — | $ | — | ||||||||
Brazil | 1,136,343 | 1,136,343 | — | — | ||||||||||||
Chile | 303,909 | 303,909 | — | — | ||||||||||||
China | 7,501,379 | 5,757,893 | 1,743,486 | — | ||||||||||||
France | 596,145 | 596,145 | — | — | ||||||||||||
Hong Kong | 1,682,669 | 823,329 | 859,340 | — | ||||||||||||
Hungary | 734,291 | — | 734,291 | — | ||||||||||||
India | 2,125,158 | 391,834 | 1,733,324 | — | ||||||||||||
Ireland | 59,835 | — | 59,835 | — | ||||||||||||
Luxembourg | 598,525 | — | 598,525 | — | ||||||||||||
Macao | 1,566,380 | — | 1,566,380 | — | ||||||||||||
Mexico | 1,411,139 | 1,411,139 | — | — | ||||||||||||
Netherlands | 751,591 | 751,591 | — | — | ||||||||||||
Philippines | 528,742 | 232,291 | 296,451 | — | * | |||||||||||
Portugal | 689,590 | — | 689,590 | — | ||||||||||||
Russia | 1,435,337 | 1,030,743 | 404,594 | — | ||||||||||||
Singapore | 2,048,770 | — | 2,048,770 | — | ||||||||||||
South Africa | 4,587,642 | 1,417,062 | 3,170,580 | — | ||||||||||||
South Korea | 576,930 | — | 576,930 | — | ||||||||||||
Taiwan | 636,722 | 636,722 | — | — | ||||||||||||
Thailand | 196,115 | — | 196,115 | — | ||||||||||||
Turkey | 296,644 | — | 296,644 | — | ||||||||||||
United Arab Emirates | 728,739 | — | 728,739 | — | ||||||||||||
United States | 5,541,160 | 5,541,160 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 179,873 | 179,873 | — | — | ||||||||||||
South Korea | 2,352,278 | — | 2,352,278 | — | ||||||||||||
Short-Term Investments | 16,845,457 | 16,845,457 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 856,186 | 104,448 | 751,738 | — | ||||||||||||
Total Assets | $ | 56,626,308 | $ | 37,818,698 | $ | 18,807,610 | $ | — | * | |||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | $ | (774,809 | ) | $ | (159,766 | ) | $ | (615,043 | ) | $ | — | |||||
Total Liabilities | $ | (774,809 | ) | $ | (159,766 | ) | $ | (615,043 | ) | $ | — |
* | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 75
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—76.5% | ||||||||
Belgium—1.2% | ||||||||
Anheuser-Busch InBev - SP ADR | 1,166 | $ | 110,187 | |||||
Brazil—2.7% | ||||||||
Ambev SA | 16,200 | 73,665 | ||||||
Mahle-Metal Leve SA | 11,500 | 64,679 | ||||||
Petroleo Brasileiro SA - SP ADR | 3,598 | 48,753 | ||||||
Qualicorp SA | 6,800 | 46,882 | ||||||
Tupy SA | 5,000 | 21,034 | ||||||
255,013 | ||||||||
Chile—0.5% | ||||||||
Geopark Ltd.* | 3,059 | 52,431 | ||||||
China—16.5% | ||||||||
Agricultural Bank of China Ltd., Class H | 113,000 | 43,443 | ||||||
Alibaba Group Holding Ltd. - SP ADR* | 3,467 | 606,829 | ||||||
Anton Oilfield Services | 470,000 | 47,804 | ||||||
Baidu, Inc. - SP ADR* | 159 | 16,611 | ||||||
China Construction Bank Corp., Class H | 49,000 | 36,413 | ||||||
China Meidong Auto Holdings Ltd. | 54,000 | 45,329 | ||||||
CRRC Corp. Ltd., Class H | 75,000 | 51,482 | ||||||
Momo, Inc. - SP ADR | 1,066 | 39,207 | ||||||
NetEase, Inc. - ADR | 561 | 143,055 | ||||||
Ping An Insurance Group Co. of China Ltd., Class H | 6,500 | 74,575 | ||||||
Sinopec Engineering Group Co. Ltd., Class H | 76,000 | 49,558 | ||||||
Tencent Holdings Ltd. | 6,300 | 260,099 | ||||||
Tencent Holdings Ltd. - ADR | 2,531 | 104,454 | ||||||
Vipshop Holdings Ltd. - ADR* | 4,831 | 40,435 | ||||||
1,559,294 | ||||||||
Egypt—1.1% | ||||||||
Commercial International Bank Egypt SAE | 21,679 | 105,030 | ||||||
France—1.0% | ||||||||
TOTAL SA - SP ADR | 1,967 | 98,193 | ||||||
Hong Kong—4.4% | ||||||||
China Mobile Ltd. - SP ADR | 1,227 | 50,687 | ||||||
Galaxy Entertainment Group Ltd. | 12,000 | 75,102 | ||||||
K Wah International Holdings Ltd. | 138,000 | 71,679 | ||||||
Melco Resorts & Entertainment Ltd. - ADR | 4,170 | 86,736 | ||||||
WH Group Ltd. | 167,000 | 133,828 | ||||||
418,032 | ||||||||
Hungary—1.3% | ||||||||
OTP Bank PLC | 3,074 | 122,575 | ||||||
India—3.7% | ||||||||
Gujarat State Petronet Ltd. | 21,704 | 66,822 | ||||||
Hexaware Technologies Ltd. | 7,935 | 43,022 | ||||||
Reliance Industries Ltd. | 2,588 | 45,270 | ||||||
Tech Mahindra Ltd. | 8,064 | 78,309 | ||||||
Zee Entertainment Enterprises Ltd. | 22,896 | 119,555 | ||||||
352,978 | ||||||||
Ireland—0.1% | ||||||||
Kenmare Resources PLC | 3,241 | 9,966 | ||||||
Japan—1.3% | ||||||||
Suzuki Motor Corp. | 3,200 | 123,200 | ||||||
Luxembourg—1.1% | ||||||||
PLAY Communications SA | 11,562 | 99,881 |
NUMBER OF SHARES | VALUE | |||||||
Macao—2.7% | ||||||||
Wynn Macau Ltd. | 126,400 | $ | 251,896 | |||||
Mexico—2.5% | ||||||||
Concentradora Fibra Danhos SA de CV | 43,900 | 58,376 | ||||||
Credito Real SAB de CV SOFOM ER | 22,400 | 24,835 | ||||||
Fibra Uno Administracion SA de CV | 48,000 | 66,462 | ||||||
Industrias Bachoco SAB de CV | 7,900 | 36,221 | ||||||
Macquarie Mexico Real Estate Management SA de CV | 39,600 | 47,797 | ||||||
233,691 | ||||||||
Netherlands—1.8% | ||||||||
DP Eurasia NV* | 17,325 | 19,437 | ||||||
Heineken NV | 467 | 49,687 | ||||||
Unilever NV - ADR | 1,634 | 101,455 | ||||||
170,579 | ||||||||
Philippines—0.9% | ||||||||
Altus San Nicolas Corp.*‡ | 1,610 | 0 | ||||||
First Gen Corp. | 93,600 | 47,456 | ||||||
Robinsons Land Corp. | 83,600 | 40,148 | ||||||
87,604 | ||||||||
Portugal—1.2% | ||||||||
Jeronimo Martins SGPS SA | 6,879 | 113,518 | ||||||
Russia—1.8% | ||||||||
Sberbank of Russia PJSC - SP ADR | 10,102 | 138,701 | ||||||
Yandex NV, Class A* | 884 | 32,796 | ||||||
171,497 | ||||||||
Singapore—3.5% | ||||||||
DBS Group Holdings Ltd. | 10,900 | 192,201 | ||||||
United Overseas Bank Ltd. | 7,700 | 138,268 | ||||||
330,469 | ||||||||
South Africa—7.8% | ||||||||
Adcock Ingram Holdings Ltd. | 21,269 | 80,861 | ||||||
Astral Foods Ltd. | 7,259 | 75,999 | ||||||
AVI Ltd. | 3,169 | 17,319 | ||||||
Barloworld Ltd. | 7,969 | 58,370 | ||||||
Clover Industries Ltd. | 12,979 | 19,466 | ||||||
Distell Group Holdings Ltd. | 1,768 | 15,152 | ||||||
JSE Ltd. | 4,038 | 34,340 | ||||||
Liberty Holdings Ltd. | 5,667 | 40,957 | ||||||
Naspers Ltd. | 1,552 | 353,182 | ||||||
Oceana Group Ltd. | 9,607 | 44,334 | ||||||
739,980 | ||||||||
South Korea—4.5% | ||||||||
Hana Financial Group, Inc. | 3,440 | 92,404 | ||||||
Innocean Worldwide | 376 | 20,942 | ||||||
KB Financial Group, Inc. | 2,248 | 73,449 | ||||||
Samsung Electronics Co., Ltd. | 5,517 | 200,868 | ||||||
SK Hynix, Inc. | 627 | 40,154 | ||||||
427,817 | ||||||||
Taiwan—2.6% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 17,000 | 139,683 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. - SP ADR | 2,422 | 103,250 | ||||||
242,933 | ||||||||
Thailand—0.4% | ||||||||
Hana Microelectronics PCL | 36,600 | 34,018 |
The accompanying notes are an integral part of the financial statements.
76 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
NUMBER OF SHARES | VALUE | |||||||
Turkey—0.5% | ||||||||
Mavi Giyim Sanayi Ve Ticaret AS, Class B* | 4,849 | $ | 30,733 | |||||
Ulker Biskuvi Sanayi AS* | 6,065 | 18,668 | ||||||
49,401 | ||||||||
United Arab Emirates—1.3% | ||||||||
Aramex PJSC | 41,329 | 47,424 | ||||||
Emaar Malls PJSC | 72,437 | 38,264 | ||||||
First Abu Dhabi Bank PJSC | 8,201 | 34,083 | ||||||
119,771 | ||||||||
United Kingdom—0.6% | ||||||||
Georgia Capital PLC* | 4,757 | 57,767 | ||||||
United States—9.5% | ||||||||
AIR LEASE Corp. | 2,610 | 108,419 | ||||||
Kosmos Energy Ltd. | 7,852 | 49,625 | ||||||
Las Vegas Sands Corp. | 6,336 | 351,458 | ||||||
Micron Technology, Inc.* | 2,823 | 127,797 | ||||||
National Energy Services Reunited Corp.* | 11,949 | 91,529 | ||||||
Philip Morris International, Inc. | 1,944 | 140,143 | ||||||
Wynn Resorts Ltd. | 283 | 31,172 | ||||||
900,143 | ||||||||
TOTAL COMMON STOCKS (Cost $7,313,132) | 7,237,864 |
NUMBER OF SHARES | VALUE | |||||||
PREFERRED STOCKS—0.3% | ||||||||
Brazil—0.3% | ||||||||
Cia Brasileira de Distribuicao, 1.844% | 1,400 | $ | 29,626 | |||||
TOTAL PREFERRED STOCKS (Cost $35,094) | 29,626 | |||||||
SHORT-TERM INVESTMENTS—23.1% | ||||||||
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, Institutional Class, 1.95%(a) | 2,188,667 | 2,188,667 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,188,667) | 2,188,667 | |||||||
TOTAL INVESTMENTS—99.9% (Cost $9,536,893) | 9,456,157 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.1% | 12,112 | |||||||
NET ASSETS—100.0% | $ | 9,468,269 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | Seven-day yield as of August 31, 2019. |
‡ | — | Security has been valued at fair market value using significant unobservable inputs as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of August 31, 2019, these securities amounted to $0 or 0.0% of net assets. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 77
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (continued) |
Contracts For Difference held by the Fund at August 31, 2019, are as follows:
REFERENCE COMPANY | COUNTERPARTY | EXPIRATION DATE | FINANCING RATE | PAYMENT FREQUENCY | NUMBER OF CONTRACTS LONG/ (SHORT) | NOTIONAL AMOUNT | UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Long | ||||||||||||||||||||||||
Austria | ||||||||||||||||||||||||
Erste Group Bank | Goldman Sachs | 9/15/2020 | -0.27 | % | Monthly | 1,443 | $ | 46,413 | $ | (1,405 | ) | |||||||||||||
Bermuda | ||||||||||||||||||||||||
Central European Media Enterprises, Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 10,632 | 49,333 | (780 | ) | ||||||||||||||||
China | ||||||||||||||||||||||||
Alibaba Group - SP ADR | Goldman Sachs | 12/31/2021 | 2.09 | Monthly | 435 | 76,138 | 1,653 | |||||||||||||||||
Hang Lung Properties Ltd. | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 23,000 | 51,878 | (776 | ) | ||||||||||||||||
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 12,300 | 192,727 | 5,736 | |||||||||||||||||
Kweichow Moutai | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 700 | 111,871 | 5,844 | |||||||||||||||||
Shanghai Haohai Biological, Class H | Goldman Sachs | 12/31/2021 | 1.93 | Monthly | 6,500 | 28,964 | (1,354 | ) | ||||||||||||||||
Tencent Holdings Ltd. | Goldman Sachs | 9/15/2020 | 2.09 | Monthly | 2,301 | 94,962 | (222 | ) | ||||||||||||||||
Wuliangye Yibin Co., Ltd., Class A | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 8,700 | 172,268 | 12,644 | |||||||||||||||||
Yantai Jereh Oilfield | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 20,100 | 72,797 | 2,943 | |||||||||||||||||
801,605 | 26,468 | |||||||||||||||||||||||
Hong Kong | ||||||||||||||||||||||||
Champion REIT | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 56,000 | 37,675 | (888 | ) | ||||||||||||||||
Fortune Real Estate Investors NPV REIT | Goldman Sachs | 9/15/2020 | 1.93 | Monthly | 51,000 | 58,515 | (3,967 | ) | ||||||||||||||||
Galaxy Entertainment Group | Goldman Sachs | 9/15/2020 | 2.00 | Monthly | 11,000 | 70,606 | 0 | |||||||||||||||||
WH Group, Ltd. | Goldman Sachs | 9/15/2020 | 2.00 | Monthly | 64,500 | 51,688 | (1,915 | ) | ||||||||||||||||
218,484 | (6,770 | ) | ||||||||||||||||||||||
Israel | ||||||||||||||||||||||||
Gazit-Globe Ltd. | Goldman Sachs | 9/15/2020 | 0.25 | Monthly | 8,677 | 85,621 | 1,416 | |||||||||||||||||
Tamar Petroleum Ltd. | Goldman Sachs | 9/15/2020 | 0.25 | Monthly | 5,504 | 14,766 | 730 | |||||||||||||||||
100,387 | 2,146 | |||||||||||||||||||||||
Mexico | ||||||||||||||||||||||||
Bolsa Mexicana De Valores | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 29,400 | 54,380 | 2,642 | |||||||||||||||||
Russia | ||||||||||||||||||||||||
Gazprom Neft | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 10,990 | 67,968 | (757 | ) | ||||||||||||||||
Serbank PJSC - SP ADR | Goldman Sachs | 12/31/2021 | 2.09 | Monthly | 3,816 | 52,394 | 1,123 | |||||||||||||||||
120,362 | 366 | |||||||||||||||||||||||
South Korea | ||||||||||||||||||||||||
Samsung Electronics Co., Ltd. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 12,420 | 378,407 | (2,815 | ) | ||||||||||||||||
Taiwan | ||||||||||||||||||||||||
Taiwan Semiconductors | Goldman Sachs | 9/15/2020 | 2.09 | Monthly | 657 | 28,008 | 60 | |||||||||||||||||
Tripod Technology Corp. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 14,000 | 50,560 | (302 | ) | ||||||||||||||||
Wiwynn Corp. | Goldman Sachs | 9/15/2020 | 2.17 | Monthly | 3,000 | 41,040 | (1,789 | ) | ||||||||||||||||
119,608 | (2,031 | ) | ||||||||||||||||||||||
United Kingdom | ||||||||||||||||||||||||
El Tullow Oil PLC | Goldman Sachs | 9/15/2020 | 0.71 | Monthly | 9,664 | 24,148 | 61 | |||||||||||||||||
United States | ||||||||||||||||||||||||
Philip Morris International | Goldman Sachs | 9/15/2020 | 2.09 | Monthly | 882 | 63,583 | (2,266 | ) | ||||||||||||||||
Total Long | 1,976,710 | 15,616 | ||||||||||||||||||||||
Net unrealized gain/(loss) on Contracts For Difference | $ | 15,616 |
The accompanying notes are an integral part of the financial statements.
78 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS EMERGING MARKETS FUND | Portfolio Of Investments (unaudited) (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Belgium | $ | 110,187 | $ | 110,187 | $ | — | $ | — | ||||||||
Brazil | 255,013 | 255,013 | — | — | ||||||||||||
Chile | 52,431 | 52,431 | — | — | ||||||||||||
China | 1,559,294 | 950,591 | 608,703 | — | ||||||||||||
Egypt | 105,030 | 105,030 | — | — | ||||||||||||
France | 98,193 | 98,193 | — | — | ||||||||||||
Hong Kong | 418,032 | 137,423 | 280,609 | — | ||||||||||||
Hungary | 122,575 | — | 122,575 | — | ||||||||||||
India | 352,978 | 66,822 | 286,156 | — | ||||||||||||
Ireland | 9,966 | — | 9,966 | — | ||||||||||||
Japan | 123,200 | — | 123,200 | — | ||||||||||||
Luxembourg | 99,881 | — | 99,881 | — | ||||||||||||
Macao | 251,896 | — | 251,896 | — | ||||||||||||
Mexico | 233,691 | 233,691 | — | — | ||||||||||||
Netherlands | 170,579 | 120,892 | 49,687 | — | ||||||||||||
Philippines | 87,604 | 40,148 | 47,456 | — | * | |||||||||||
Portugal | 113,518 | — | 113,518 | — | ||||||||||||
Russia | 171,497 | 171,497 | — | — | ||||||||||||
Singapore | 330,469 | — | 330,469 | — | ||||||||||||
South Africa | 739,980 | 230,248 | 509,732 | — | ||||||||||||
South Korea | 427,817 | — | 427,817 | — | ||||||||||||
Taiwan | 242,933 | 103,250 | 139,683 | — | ||||||||||||
Thailand | 34,018 | — | 34,018 | — | ||||||||||||
Turkey | 49,401 | — | 49,401 | — | ||||||||||||
United Arab Emirates | 119,771 | — | 119,771 | — | ||||||||||||
United Kingdom | 57,767 | 57,767 | — | — | ||||||||||||
United States | 900,143 | 900,143 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 29,626 | 29,626 | — | — | ||||||||||||
Short-Term Investments | 2,188,667 | 2,188,667 | — | — | ||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | 34,852 | 5,478 | 29,374 | — | ||||||||||||
Total Assets | $ | 9,491,009 | $ | 5,857,097 | $ | 3,633,912 | $ | — | * | |||||||
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Contracts For Difference | ||||||||||||||||
Equity Contracts | $ | (19,236 | ) | $ | (3,268 | ) | $ | (15,968 | ) | $ | — | |||||
Total Liabilities | $ | (19,236 | ) | $ | (3,268 | ) | $ | (15,968 | ) | $ | — |
* | Value equals zero as of the end of the reporting period. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 79
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
COMMON STOCKS—83.3% | ||||||||
Bermuda—1.4% | ||||||||
Axis Capital Holdings Ltd. | 2,298 | $ | 141,074 | |||||
Everest Re Group Ltd. | 937 | 221,020 | ||||||
362,094 | ||||||||
Brazil—0.2% | ||||||||
Azul SA - ADR* | 1,276 | 44,813 | ||||||
Canada—3.3% | ||||||||
Barrick Gold Corp. | 18,352 | 355,765 | ||||||
Canadian Natural Resources Ltd. | 5,586 | 133,461 | ||||||
Nutrien Ltd. | 2,293 | 115,475 | ||||||
Stars Group, Inc. (The)* | 6,357 | 96,592 | ||||||
Yamana Gold, Inc. | 47,670 | 172,089 | ||||||
873,382 | ||||||||
Denmark—1.9% | ||||||||
AP Moller-Maersk A/S, Class B | 101 | 107,567 | ||||||
Novo Nordisk A/S, Class B | 7,495 | 390,507 | ||||||
498,074 | ||||||||
Finland—0.7% | ||||||||
Sampo Oyj, Class A | 4,631 | 183,994 | ||||||
France—6.6% | ||||||||
Capgemini SA | 2,383 | 285,929 | ||||||
Cie Generale des Etablissements Michelin SCA | 674 | 70,958 | ||||||
Danone SA | 6,556 | 587,346 | ||||||
Eiffage SA | 1,355 | 140,409 | ||||||
Kering SA | 238 | 115,322 | ||||||
TOTAL SA | 7,169 | 358,009 | ||||||
Vinci SA | 1,603 | 175,139 | ||||||
1,733,112 | ||||||||
Germany—0.8% | ||||||||
HeidelbergCement AG | 3,014 | 209,306 | ||||||
Hong Kong—0.6% | ||||||||
Melco Resorts & Entertainment Ltd. - ADR | 7,619 | 158,475 | ||||||
Hungary–0.5% | ||||||||
OTP Bank PLC | 3,435 | 136,969 | ||||||
Ireland—1.5% | ||||||||
AIB Group PLC | 27,323 | 69,089 | ||||||
Bank of Ireland Group PLC | 19,636 | 74,670 | ||||||
CRH PLC | 7,868 | 263,639 | ||||||
407,398 | ||||||||
Italy—0.2% | ||||||||
Leonardo SpA | 3,620 | 44,481 | ||||||
Japan—7.7% | ||||||||
Asahi Group Holdings Ltd. | 2,200 | 102,565 | ||||||
Bandai Namco Holdings, Inc. | 3,200 | 188,025 | ||||||
Haseko Corp. | 12,100 | 129,781 | ||||||
Hitachi Ltd. | 7,800 | 266,076 | ||||||
Mitsubishi Estate Co. Ltd. | 10,900 | 208,519 | ||||||
Nippon Telegraph & Telephone Corp. | 6,000 | 287,627 | ||||||
Seven & i Holdings Co., Ltd. | 5,200 | 183,905 | ||||||
Shionogi & Co. Ltd. | 2,600 | 139,166 | ||||||
Sony Corp. | 9,100 | 518,358 | ||||||
2,024,022 | ||||||||
Mexico—0.3% | ||||||||
Cemex SAB de CV - SP ADR | 21,614 | 81,053 |
NUMBER OF SHARES | VALUE | |||||||
Netherlands—2.4% | ||||||||
ING Groep NV | 22,249 | $ | 212,559 | |||||
Koninklijke KPN NV | 55,387 | 175,428 | ||||||
NXP Semiconductors NV | 1,315 | 134,314 | ||||||
Royal Dutch Shell PLC, Class A | 3,960 | 110,021 | ||||||
632,322 | ||||||||
South Korea—0.2% | ||||||||
KT Corp. - SP ADR | 5,560 | 62,439 | ||||||
Spain—0.7% | ||||||||
Industria de Diseno Textil SA | 6,090 | 188,447 | ||||||
Sweden—0.6% | ||||||||
Sandvik AB | 10,834 | 155,610 | ||||||
Switzerland—1.7% | ||||||||
Roche Holding AG | 539 | 147,287 | ||||||
STMicroelectronics NV | 6,948 | 123,174 | ||||||
Swiss Re AG | 2,007 | 193,624 | ||||||
464,085 | ||||||||
United Kingdom—5.6% | ||||||||
Avast PLC | 18,116 | 84,013 | ||||||
Aviva PLC | 22,283 | 96,199 | ||||||
Cineworld Group PLC | 43,716 | 116,669 | ||||||
GlaxoSmithKline PLC | 11,151 | 232,379 | ||||||
Imperial Brands PLC | 5,707 | 147,885 | ||||||
Nomad Foods Ltd.* | 6,058 | 122,069 | ||||||
Persimmon PLC | 3,241 | 75,255 | ||||||
Tesco PLC | 49,086 | 131,202 | ||||||
Tullow Oil PLC | 65,544 | 163,781 | ||||||
Unilever PLC | 3,805 | 240,392 | ||||||
Vodafone Group PLC | 44,770 | 84,705 | ||||||
1,494,549 | ||||||||
United States—46.4% | ||||||||
Allstate Corp. (The) | 2,782 | 284,849 | ||||||
Alphabet, Inc., Class C* | 379 | 450,290 | ||||||
American Express Co. | 3,153 | 379,527 | ||||||
Berkshire Hathaway, Inc., Class B* | 3,521 | 716,207 | ||||||
Biogen, Inc.* | 774 | 170,087 | ||||||
CDK Global, Inc. | 2,352 | 101,512 | ||||||
CH Robinson Worldwide, Inc. | 1,794 | 151,575 | ||||||
Chubb Ltd. | 2,041 | 318,967 | ||||||
Cigna Corp. | 1,569 | 241,579 | ||||||
Cisco Systems, Inc. | 5,493 | 257,127 | ||||||
Citigroup, Inc. | 3,402 | 218,919 | ||||||
Comcast Corp., Class A | 9,670 | 427,994 | ||||||
Corteva, Inc. | 6,775 | 198,643 | ||||||
CVS Health Corp. | 6,401 | 389,949 | ||||||
Diamondback Energy, Inc. | 1,583 | 155,261 | ||||||
Dover Corp. | 1,820 | 170,607 | ||||||
DuPont de Nemours, Inc. | 3,843 | 261,055 | ||||||
Eaton Corp. PLC | 3,074 | 248,133 | ||||||
Fox Corp., Class A | 7,780 | 258,063 | ||||||
Goldman Sachs Group Inc., (The) | 907 | 184,946 | ||||||
GrafTech International Ltd. | 4,393 | 53,551 | ||||||
Graphic Packaging Holding Co. | 9,806 | 135,421 | ||||||
Johnson & Johnson | 1,903 | 244,269 | ||||||
Kansas City Southern | 1,363 | 171,465 | ||||||
KAR Auction Services, Inc. | 963 | 25,577 | ||||||
Laboratory Corp. of America Holdings* | 941 | 157,674 | ||||||
Las Vegas Sands Corp. | 1,034 | 57,356 | ||||||
Lear Corp. | 625 | 70,163 |
The accompanying notes are an integral part of the financial statements.
80 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments |
NUMBER OF SHARES | VALUE | |||||||
United States—(continued) | ||||||||
Lennar Corp., Class A | 3,202 | $ | 163,302 | |||||
Marathon Petroleum Corp. | 3,549 | 174,646 | ||||||
Masco Corp. | 3,236 | 131,802 | ||||||
McKesson Corp. | 1,687 | 233,261 | ||||||
Medtronic PLC | 3,699 | 399,085 | ||||||
Microsoft Corp. | 5,321 | 733,553 | ||||||
Molson Coors Brewing Co., Class B | 1,588 | 81,560 | ||||||
Mosaic Co. (The) | 9,105 | 167,441 | ||||||
NetApp, Inc. | 1,261 | 60,604 | ||||||
Oracle Corp. | 6,616 | 344,429 | ||||||
Owens Corning | 2,871 | 164,681 | ||||||
Parsley Energy, Inc., Class A | 8,724 | 156,247 | ||||||
Pfizer, Inc. | 4,533 | 161,148 | ||||||
Philip Morris International, Inc. | 1,096 | 79,011 | ||||||
Pioneer Natural Resources Co. | 1,124 | 138,724 | ||||||
ProPetro Holding Corp.* | 4,146 | 44,155 | ||||||
PulteGroup, Inc. | 5,730 | 193,674 | ||||||
Science Applications International Corp. | 1,962 | 172,676 | ||||||
SYNNEX Corp. | 1,184 | 99,231 | ||||||
TE Connectivity Ltd. | 1,547 | 141,117 | ||||||
Tyson Foods, Inc., Class A | 1,748 | 162,634 | ||||||
United Parcel Service, Inc., Class B | 1,547 | 183,567 | ||||||
United Technologies Corp. | 3,350 | 436,304 | ||||||
Verizon Communications, Inc. | 9,233 | 536,991 | ||||||
Vistra Energy Corp. | 13,834 | 345,158 | ||||||
Wells Fargo & Co. | 5,806 | 270,386 | ||||||
12,276,153 | ||||||||
TOTAL COMMON STOCKS (Cost $21,591,413) | 22,030,778 |
NUMBER OF SHARES | VALUE | |||||||
PREFERRED STOCKS—0.6% | ||||||||
Brazil—0.6% | ||||||||
Petroleo Brasileiro SA, 4.455% | 25,800 | $ | 158,314 | |||||
TOTAL PREFERRED STOCKS (Cost $171,426) | 158,314 | |||||||
INVESTMENT COMPANY—12.8% | ||||||||
United States—12.8% | ||||||||
Campbell Advantage Fund | 250,000 | 3,372,500 | ||||||
TOTAL INVESTMENT COMPANY (Cost $2,500,000) | 3,372,500 | |||||||
SHORT TERM INVESTMENTS—3.1% | ||||||||
First American Treasury Obligations Fund, Class X, 2.02%(a) | 812,203 | 812,203 | ||||||
TOTAL SHORT TERM INVESTMENTS (Cost $812,203) | 812,203 | |||||||
TOTAL INVESTMENTS—100.0% (Cost $25,075,042) | 26,373,795 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2% | 55,181 | |||||||
NET ASSETS—100.0% | $ | 26,428,976 |
ADR | — | American Depositary Receipt |
PLC | — | Public Limited Company |
SP ADR | — | Sponsored American Depositary Receipt |
* | — | Non-income producing. |
(a) | — | 7 day yield as of August 31, 2019. |
Industry classifications may be different than those used for compliance monitoring purposes. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 81
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
BOSTON PARTNERS GLOBAL EQUITY ADVANTAGE FUND | Portfolio Of Investments (concluded) |
A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2019 is as follows (see Notes to Portfolio of Investments):
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Common Stock | ||||||||||||||||
Bermuda | $ | 362,094 | $ | 362,094 | $ | — | $ | — | ||||||||
Brazil | 44,813 | 44,813 | — | — | ||||||||||||
Canada | 873,382 | 873,382 | — | — | ||||||||||||
Denmark | 498,074 | — | 498,074 | — | ||||||||||||
Finland | 183,994 | — | 183,994 | — | ||||||||||||
France | 1,733,112 | — | 1,733,112 | — | ||||||||||||
Germany | 209,306 | — | 209,306 | — | ||||||||||||
Hong Kong | 158,475 | 158,475 | — | — | ||||||||||||
Hungary | 136,969 | — | 136,969 | — | ||||||||||||
Ireland | 407,398 | — | 407,398 | — | ||||||||||||
Italy | 44,481 | — | 44,481 | — | ||||||||||||
Japan | 2,024,022 | — | 2,024,022 | — | ||||||||||||
Mexico | 81,053 | 81,053 | — | — | ||||||||||||
Netherlands | 632,322 | 134,314 | 498,008 | — | ||||||||||||
South Korea | 62,439 | 62,439 | — | — | ||||||||||||
Spain | 188,447 | — | 188,447 | — | ||||||||||||
Sweden | 155,610 | — | 155,610 | — | ||||||||||||
Switzerland | 464,085 | — | 464,085 | — | ||||||||||||
United Kingdom | 1,494,549 | 122,069 | 1,372,480 | — | ||||||||||||
United States | 12,276,153 | 12,276,153 | — | — | ||||||||||||
Preferred Stock | ||||||||||||||||
Brazil | 158,314 | — | 158,314 | — | ||||||||||||
Investment Company | ||||||||||||||||
United States | 3,372,500 | 3,372,500 | — | — | ||||||||||||
Short-Term Investments | 812,203 | 812,203 | — | — | ||||||||||||
Total Assets | $ | 26,373,795 | $ | 18,299,495 | $ | 8,074,300 | $ | — |
The accompanying notes are an integral part of the financial statements.
82 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
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 †^ | $ | 530,383,731 | $ | 253,345,975 | $ | 3,239,131,549 | $ | 1,815,880,775 | |||||||||
Investments purchased with proceeds from securities lending collateral, at value * | 128,381,830 | 34,683,073 | — | 303,800,656 | |||||||||||||
Short-term investments, at value ** | 13,618,474 | 2,791,849 | 12,689,655 | 42,544,557 | |||||||||||||
Foreign currency, at value# | — | — | — | — | |||||||||||||
Offering costs | — | — | — | — | |||||||||||||
Receivables | |||||||||||||||||
Investments sold | — | 6,338,272 | 35,820,307 | 21,551,324 | |||||||||||||
Foreign currency deposits with brokers for securities sold short # | — | 3,111,142 | 262,736,490 | — | |||||||||||||
Deposits with brokers for contracts for difference | — | — | 9,970,000 | — | |||||||||||||
Deposits with brokers for securities sold short | — | 133,503,706 | 1,290,707,674 | — | |||||||||||||
Capital shares sold | 333,418 | 240,888 | 2,102,611 | 1,512,146 | |||||||||||||
Dividends and interest | 660,210 | 491,077 | 7,704,268 | 3,759,692 | |||||||||||||
Due from prime broker | — | — | — | — | |||||||||||||
Due from adviser | — | — | — | — | |||||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 753,070 | — | |||||||||||||
Prepaid expenses and other assets | 41,817 | 25,982 | 149,074 | 104,554 | |||||||||||||
Total assets | 673,419,480 | 434,531,964 | 4,861,764,698 | 2,189,153,704 | |||||||||||||
LIABILITIES | |||||||||||||||||
Securities sold short, at fair value ‡ | — | 141,136,159 | 1,552,390,821 | — | |||||||||||||
Options written, at value +◊ | — | 642,730 | — | — | |||||||||||||
Payables | |||||||||||||||||
Securities lending collateral (Note 8) | 128,381,830 | 34,683,073 | — | 303,800,656 | |||||||||||||
Investments purchased | — | 1,047,001 | 27,546,681 | — | |||||||||||||
Capital shares redeemed | 218,022 | 200,304 | 3,728,144 | 1,701,036 | |||||||||||||
Investment advisory fees | 481,427 | 496,113 | 3,576,465 | 1,176,554 | |||||||||||||
Custodian fees | 2,949 | 78,034 | — | 10,236 | |||||||||||||
Distribution and service fees | 85,675 | 16,394 | 2,659 | 89,522 | |||||||||||||
Dividends on securities sold short | — | 27,482 | 2,737,696 | — | |||||||||||||
Administration and accounting fees | 16,400 | 50,264 | 307,886 | 51,657 | |||||||||||||
Transfer agent fees | 50,188 | 80,830 | 461,102 | 45,020 | |||||||||||||
Audit and tax service fees | — | — | — | — | |||||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 3,203,705 | — | |||||||||||||
Other accrued expenses and liabilities | 51,511 | 84,178 | 508,077 | 87,478 | |||||||||||||
Total liabilities | 129,288,002 | 178,542,562 | 1,594,463,236 | 306,962,159 | |||||||||||||
Net Assets | $ | 544,131,478 | $ | 255,989,402 | $ | 3,267,301,462 | $ | 1,882,191,545 | |||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||
Par value | $ | 23,491 | $ | 14,582 | $ | 215,747 | $ | 75,452 | |||||||||
Paid-in Capital | 461,995,611 | 193,217,312 | 2,757,830,916 | 1,502,196,117 | |||||||||||||
Total Distributable earnings/(loss) | 82,112,376 | 62,757,508 | 509,254,799 | 379,919,976 | |||||||||||||
Net Assets | $ | 544,131,478 | $ | 255,989,402 | $ | 3,267,301,462 | $ | 1,882,191,545 | |||||||||
INSTITUTIONAL CLASS | |||||||||||||||||
Net assets | $ | 421,428,765 | $ | 227,833,809 | $ | 3,212,731,014 | $ | 1,561,229,094 | |||||||||
Shares outstanding | 17,996,631 | 12,841,117 | 212,061,462 | 62,521,767 | |||||||||||||
Net asset value, offering and redemption price per share | $ | 23.42 | $ | 17.74 | $ | 15.15 | $ | 24.97 | |||||||||
INVESTOR CLASS | |||||||||||||||||
Net assets | $ | 122,702,713 | $ | 28,155,593 | $ | 54,570,448 | $ | 320,962,451 | |||||||||
Shares outstanding | 5,494,025 | 1,740,988 | 3,685,106 | 12,930,366 | |||||||||||||
Net asset value, offering and redemption price per share | $ | 22.33 | $ | 16.17 | $ | 14.81 | $ | 24.82 | |||||||||
† | Investments in securities, at cost | $ | 454,108,938 | $ | 208,002,562 | $ | 2,681,582,851 | $ | 1,449,696,606 | ||||||||
^ | Includes market value of securities on loan | $ | 125,319,842 | $ | 34,014,339 | $ | — | $ | 298,505,854 | ||||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | 128,381,830 | $ | 34,683,073 | $ | — | $ | 303,800,656 | ||||||||
** | Short-term investments, at cost | $ | 13,618,474 | $ | 2,791,849 | $ | 12,689,655 | $ | 42,544,557 | ||||||||
# | Foreign currency, at cost | $ | — | $ | 2,987,989 | $ | 265,216,081 | $ | — | ||||||||
‡ | Proceeds received, securities sold short | $ | — | $ | 147,956,248 | $ | 1,474,380,483 | $ | — | ||||||||
+ | Premiums received, options written | $ | — | $ | 807,650 | $ | — | $ | — | ||||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 83
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
STATEMENTS OF ASSETS AND LIABILITIES(CONTINUED) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | |||||||||||
ASSETS | |||||||||||||
Investments in securities, at value †^ | $ | 21,926,185 | $ | 661,246,820 | $ | 607,809,938 | |||||||
Investments purchased with proceeds from securities lending collateral, at value * | 1,998,279 | 8,824,253 | — | ||||||||||
Short-term investments, at value ** | 414,083 | 22,652,473 | 30,159,105 | ||||||||||
Foreign currency, at value# | — | 815,950 | — | ||||||||||
Offering costs | — | — | — | ||||||||||
Investments sold | 96,334 | 168,335 | 1,640,348 | ||||||||||
Foreign currency deposits with brokers for securities sold short # | — | — | 2,117,938 | ||||||||||
Deposits with brokers for contracts for difference | — | — | 2,740,000 | ||||||||||
Deposits with brokers for securities sold short | — | — | 315,279,756 | ||||||||||
Capital shares sold | 328 | 61,377 | 164,220 | ||||||||||
Due from prime broker | — | — | — | ||||||||||
Due from adviser | — | — | — | ||||||||||
Dividends and interest | 31,259 | 2,173,873 | 2,686,470 | ||||||||||
Unrealized appreciation on contracts for difference ◊ | — | — | 173,821 | ||||||||||
Prepaid expenses and other assets | 13,632 | 43,652 | 37,499 | ||||||||||
Total assets | 24,480,100 | 695,986,733 | 962,809,095 | ||||||||||
LIABILITIES | |||||||||||||
Securities sold short, at fair value ‡ | — | — | 312,472,517 | ||||||||||
Options written, at value +◊ | — | — | 9,963,114 | ||||||||||
Payables | |||||||||||||
Securities lending collateral (Note 8) | 1,998,279 | 8,824,253 | — | ||||||||||
Investments purchased | 156,129 | 2,870,848 | 10,626,091 | ||||||||||
Capital shares redeemed | — | 100,020 | 1,200,429 | ||||||||||
Investment advisory fees | 13,509 | 487,468 | 808,279 | ||||||||||
Custodian fees | 1,886 | — | 8,970 | ||||||||||
Distribution and service fees | — | — | 291 | ||||||||||
Dividends on securities sold short | — | — | 760,653 | ||||||||||
Administration and accounting fees | 3,080 | 8,469 | 31,248 | ||||||||||
Transfer agent fees | 2,126 | 15,386 | 79,606 | ||||||||||
Audit and tax service fees | — | — | — | ||||||||||
Unrealized depreciation on contracts for difference ◊ | — | — | 741,386 | ||||||||||
Other accrued expenses and liabilities | 32,187 | 30,984 | 252,361 | ||||||||||
Total liabilities | 2,207,196 | 12,337,428 | 336,944,945 | ||||||||||
Net Assets | $ | 22,272,904 | $ | 683,649,305 | $ | 625,864,150 | |||||||
NET ASSETS CONSIST OF: | |||||||||||||
Par value | $ | 1,689 | $ | 42,976 | $ | 58,287 | |||||||
Paid-in Capital | 24,802,254 | 666,877,517 | 594,477,346 | ||||||||||
Total Distributable earnings/(loss) | (2,531,039 | ) | 16,728,812 | 31,328,517 | |||||||||
Net Assets | $ | 22,272,904 | $ | 683,649,305 | $ | 625,864,150 | |||||||
INSTITUTIONAL CLASS | |||||||||||||
Net assets | $ | 22,272,904 | $ | 683,649,305 | $ | 611,254,077 | |||||||
Shares outstanding | 1,688,578 | 42,975,814 | 56,910,159 | ||||||||||
Net asset value, offering and redemption price per share | $ | 13.19 | $ | 15.91 | $ | 10.74 | |||||||
INVESTOR CLASS | |||||||||||||
Net assets | $ | — | $ | — | $ | 14,610,073 | |||||||
Shares outstanding | — | — | 1,377,327 | ||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | 10.61 | |||||||
† | Investments in securities, at cost | $ | 22,162,551 | $ | 621,853,531 | $ | 560,772,616 | ||||||
^ | Includes market value of securities on loan | $ | 1,939,038 | $ | 8,677,138 | $ | — | ||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | 1,998,279 | $ | 8,824,253 | $ | — | ||||||
** | Short-term investments, at cost | $ | 414,083 | $ | 22,652,473 | $ | 30,159,105 | ||||||
# | Foreign currency, at cost | $ | — | $ | 820,930 | $ | 2,129,990 | ||||||
‡ | Proceeds received, securities sold short | $ | — | $ | — | $ | 313,481,617 | ||||||
+ | Premiums received, options written | $ | — | $ | — | $ | 8,925,175 | ||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
84 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | August 31, 2019 |
STATEMENTS OF ASSETS AND LIABILITIES(CONCLUDED) |
Boston Partners Emerging Markets Long/Short Fund | Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund | |||||||||||
ASSETS | |||||||||||||
Investments in securities, at value †^ | $ | 38,924,665 | $ | 7,267,490 | $ | 25,561,592 | |||||||
Investments purchased with proceeds from securities lending collateral, at value * | — | — | — | ||||||||||
Short-term investments, at value ** | 16,845,457 | 2,188,667 | 812,203 | ||||||||||
Foreign currency, at value# | 37,968 | 8,887 | 27,506 | ||||||||||
Offering costs | — | — | 44,693 | ||||||||||
Receivables | |||||||||||||
Investments sold | 70,193 | 11,181 | — | ||||||||||
Foreign currency deposits with brokers for securities sold short # | — | — | — | ||||||||||
Deposits with brokers for contracts for difference | 2,734,859 | 10,000 | — | ||||||||||
Deposits with brokers for securities sold short | — | — | — | ||||||||||
Capital shares sold | 698 | — | — | ||||||||||
Due from prime broker | 3,716 | — | — | ||||||||||
Due from adviser | — | — | 64,680 | ||||||||||
Dividends and interest | 100,241 | 15,708 | 47,226 | ||||||||||
Unrealized appreciation on contracts for difference ◊ | 856,186 | 34,852 | — | ||||||||||
Prepaid expenses and other assets | 8,709 | 15,502 | — | ||||||||||
Total assets | 59,582,692 | 9,552,287 | 26,557,900 | ||||||||||
LIABILITIES | |||||||||||||
Securities sold short, at fair value ‡ | — | — | — | ||||||||||
Options written, at value +◊ | — | — | — | ||||||||||
Payables | |||||||||||||
Securities lending collateral (Note 8) | — | — | — | ||||||||||
Investments purchased | 141,464 | 9,149 | 96,592 | ||||||||||
Capital shares redeemed | 18,987 | — | — | ||||||||||
Investment advisory fees | 112,359 | 2,021 | — | ||||||||||
Custodian fees | 39,236 | 16,470 | — | ||||||||||
Distribution and service fees | — | — | — | ||||||||||
Dividends on securities sold short | — | — | — | ||||||||||
Administration and accounting fees | 8,294 | 3,667 | — | ||||||||||
Transfer agent fees | 3,549 | 1,228 | 282 | ||||||||||
Audit and tax service fees | — | — | 28,748 | ||||||||||
Unrealized depreciation on contracts for difference ◊ | 774,809 | 19,236 | — | ||||||||||
Other accrued expenses and liabilities | 59,864 | 32,247 | 3,302 | ||||||||||
Total liabilities | 1,158,562 | 84,018 | 128,924 | ||||||||||
Net Assets | $ | 58,424,130 | $ | 9,468,269 | $ | 26,428,976 | |||||||
NET ASSETS CONSIST OF: | |||||||||||||
Par value | $ | 5,592 | $ | 1,031 | $ | 2,500 | |||||||
Paid-in Capital | 62,087,930 | 10,308,360 | 24,997,500 | ||||||||||
Total Distributable earnings/(loss) | (3,669,392 | ) | (841,122 | ) | 1,428,976 | ||||||||
Net Assets | $ | 58,424,130 | $ | 9,468,269 | $ | 26,428,976 | |||||||
INSTITUTIONAL CLASS | |||||||||||||
Net assets | $ | 58,424,130 | $ | 9,468,269 | $ | 26,428,976 | |||||||
Shares outstanding | 5,591,698 | 1,031,375 | 2,500,000 | ||||||||||
Net asset value, offering and redemption price per share | $ | 10.45 | $ | 9.18 | $ | 10.57 | |||||||
INVESTOR CLASS | |||||||||||||
Net assets | $ | — | $ | — | $ | — | |||||||
Shares outstanding | — | — | — | ||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | — | |||||||
† | Investments in securities, at cost | $ | 37,335,125 | $ | 7,348,226 | $ | 24,262,839 | ||||||
^ | Includes market value of securities on loan | $ | — | $ | — | $ | — | ||||||
* | Investments purchased with proceeds from securities lending collateral, at cost | $ | — | $ | — | $ | — | ||||||
** | Short-term investments, at cost | $ | 16,845,457 | $ | 2,188,667 | $ | 812,203 | ||||||
# | Foreign currency, at cost | $ | 35,948 | $ | 8,912 | $ | 27,673 | ||||||
‡ | Proceeds received, securities sold short | $ | — | $ | — | $ | — | ||||||
+ | Premiums received, options written | $ | — | $ | — | $ | — | ||||||
◊ | Primary risk exposure is equity contracts |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 85
BOSTON PARTNERS INVESTMENT FUNDS | For the Year Ended August 31, 2019 |
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 † | $ | 10,868,521 | $ | 6,593,570 | $ | 101,702,277 | $ | 42,097,007 | |||||||||
Interest | 412,423 | 111,800 | 2,290,237 | 980,579 | |||||||||||||
Income from securities loaned (Note 8) | 261,942 | 162,205 | — | 546,484 | |||||||||||||
Prime broker interest income | — | 392,444 | 30,163,787 | — | |||||||||||||
Total investment income | 11,542,886 | 7,260,019 | 134,156,301 | 43,624,070 | |||||||||||||
Expenses | |||||||||||||||||
Advisory fees (Note 2) | 5,585,191 | 9,477,404 | 60,698,375 | 14,296,702 | |||||||||||||
Transfer agent fees (Note 2) | 472,292 | 273,566 | 2,669,544 | 1,132,895 | |||||||||||||
Distribution fees (Investor Class) (Note 2) | 324,992 | 95,054 | 213,020 | 976,084 | |||||||||||||
Administration and accounting fees (Note 2) | 170,642 | 164,664 | 1,530,127 | 572,982 | |||||||||||||
Printing and shareholder reporting fees | 59,034 | 44,983 | 311,364 | 168,708 | |||||||||||||
Registration fees | 50,898 | 42,328 | 92,233 | 85,561 | |||||||||||||
Legal fees | 37,346 | 35,459 | 383,919 | 135,195 | |||||||||||||
Director’s fees | 33,445 | 34,774 | 326,620 | 117,798 | |||||||||||||
Audit and tax service fees | 32,326 | 46,872 | 62,309 | 33,752 | |||||||||||||
Custodian fees (Note 2) | 26,569 | 187,175 | 677,915 | 73,082 | |||||||||||||
Officer’s fees | 21,142 | 23,085 | 223,319 | 81,579 | |||||||||||||
Other expenses | 15,370 | 19,037 | 164,249 | 60,153 | |||||||||||||
Offering expense | — | — | — | — | |||||||||||||
Dividend expense on securities sold short | — | 935,801 | 37,367,180 | — | |||||||||||||
Total expenses before waivers and/or reimbursements | 6,829,247 | 11,380,202 | 104,720,174 | 17,734,491 | |||||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) n | (406,176 | ) | (45,543 | ) | — | (476,070 | ) | ||||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 6,423,071 | 11,334,659 | 104,720,174 | 17,258,421 | |||||||||||||
Net investment income/(loss) | 5,119,815 | (4,074,640 | ) | 29,436,127 | 26,365,649 | ||||||||||||
Net realized gain/(loss) from: | |||||||||||||||||
Investment securities | 4,896,309 | 31,719,433 | 155,212,640 | 29,067,545 | |||||||||||||
Purchased options ** | — | (115,263 | ) | — | — | ||||||||||||
Securities sold short | — | (13,433,345 | ) | (133,964,592 | ) | — | |||||||||||
Options written ** | — | 4,364,136 | — | — | |||||||||||||
Contracts for difference ** | — | — | 33,921,788 | — | |||||||||||||
Foreign currency transactions | (31 | ) | (84,511 | ) | (22,189,984 | ) | 9,235 | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||||||
Investment securities | (73,206,238 | ) | (124,100,712 | ) | (713,775,653 | ) | (181,342,148 | ) | |||||||||
Purchased options ** | — | 122,212 | — | — | |||||||||||||
Securities sold short | — | 68,181,026 | 320,184,385 | — | |||||||||||||
Options written ** | — | (2,935,010 | ) | — | — | ||||||||||||
Contracts for difference ** | — | — | 1,203,275 | — | |||||||||||||
Foreign currency translation | 26 | 59,009 | 13,612,377 | (133 | ) | ||||||||||||
Net realized and unrealized gain/(loss) | (68,309,934 | ) | (36,223,025 | ) | (345,795,764 | ) | (152,265,501 | ) | |||||||||
Net increase/(decrease) in net assets resulting from operations | $ | (63,190,119 | ) | $ | (40,297,665 | ) | $ | (316,359,637 | ) | $ | (125,899,852 | ) | |||||
† | Net of foreign withholding taxes of | $ | (22,993 | ) | $ | (83,198 | ) | $ | (2,263,919 | ) | $ | (166,421 | ) | ||||
n | Includes Acquired fund fees and expenses. See Note 2 for more details. | ||||||||||||||||
** | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
86 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | For the Year Ended August 31, 2019 |
STATEMENTS OF OPERATIONS(CONTINUED) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | Boston Partners Global Long/Short Fund | |||||||||||
Investment Income | |||||||||||||
Dividends † | $ | 352,836 | $ | 16,532,434 | $ | 18,960,431 | |||||||
Interest | 13,090 | 563,241 | 653,973 | ||||||||||
Income from securities loaned (Note 8) | 18,743 | 89,395 | — | ||||||||||
Prime broker interest income | — | — | 6,168,564 | ||||||||||
Total investment income | 384,669 | 17,185,070 | 25,782,968 | ||||||||||
Expenses | |||||||||||||
Advisory fees (Note 2) | 205,271 | 6,208,800 | 12,334,955 | ||||||||||
Transfer agent fees (Note 2) | 13,065 | 409,457 | 517,800 | ||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | 50,020 | ||||||||||
Administration and accounting fees (Note 2) | 25,762 | 194,270 | 260,689 | ||||||||||
Printing and shareholder reporting fees | 108 | 19,175 | 74,550 | ||||||||||
Registration fees | 24,168 | 28,668 | 59,034 | ||||||||||
Legal fees | 1,348 | 42,022 | 60,761 | ||||||||||
Director’s fees | 1,523 | 36,598 | 49,312 | ||||||||||
Audit and tax service fees | 31,498 | 39,754 | 55,628 | ||||||||||
Custodian fees (Note 2) | 10,821 | 105,139 | 80,526 | ||||||||||
Officer’s fees | 806 | 25,698 | 34,369 | ||||||||||
Other expenses | 2,320 | 17,590 | 19,671 | ||||||||||
Offering expense | — | — | — | ||||||||||
Dividend expense on securities sold short | — | — | 6,817,313 | ||||||||||
Total expenses before waivers and/or reimbursements | 316,690 | 7,127,171 | 20,414,628 | ||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2) n | (35,330 | ) | (608,508 | ) | — | ||||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 281,360 | 6,518,663 | 20,414,628 | ||||||||||
Net investment income/(loss) | 103,309 | 10,666,407 | 5,368,340 | ||||||||||
Net realized gain/(loss) from: | |||||||||||||
Investment securities | (1,256,510 | ) | (23,736,886 | ) | (16,141,448 | ) | |||||||
Purchased options ** | — | — | — | ||||||||||
Securities sold short | — | — | (370,518 | ) | |||||||||
Options written ** | — | — | 1,774,280 | ||||||||||
Contracts for difference ** | — | — | 2,283,557 | ||||||||||
Foreign currency transactions | — | (120,449 | ) | (744,996 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||
Investment securities | (4,803,121 | ) | (38,407,882 | ) | (66,208,382 | ) | |||||||
Purchased options ** | — | — | — | ||||||||||
Securities sold short | — | — | 30,318,772 | ||||||||||
Options written ** | — | — | (1,461,900 | ) | |||||||||
Contracts for difference ** | — | — | (232,794 | ) | |||||||||
Foreign currency translation | — | (18,332 | ) | (63,207 | ) | ||||||||
Net realized and unrealized gain/(loss) | (6,059,631 | ) | (62,283,549 | ) | (50,846,636 | ) | |||||||
Net increase/(decrease) in net assets resulting from operations | $ | (5,956,322 | ) | $ | (51,617,142 | ) | $ | (45,478,296 | ) | ||||
† | Net of foreign withholding taxes of | $ | (1,772 | ) | $ | (737,759 | ) | $ | (641,652 | ) | |||
n | Includes Acquired fund fees and expenses. See Note 2 for more details. | ||||||||||||
** | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 87
BOSTON PARTNERS INVESTMENT FUNDS | For the Year Ended August 31, 2019 |
STATEMENTS OF OPERATIONS(CONCLUDED) |
Boston Partners Emerging Markets Long/Short Fund | Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund* | |||||||||||
Investment Income | |||||||||||||
Dividends † | $ | 1,074,163 | $ | 186,690 | $ | 125,334 | |||||||
Interest | 368,913 | 35,078 | 6,224 | ||||||||||
Income from securities loaned (Note 8) | — | — | — | ||||||||||
Prime broker interest income | 388 | — | — | ||||||||||
Total investment income | 1,443,464 | 221,768 | 131,558 | ||||||||||
Expenses | |||||||||||||
Advisory fees (Note 2) | 1,117,812 | 75,861 | 67,086 | ||||||||||
Transfer agent fees (Note 2) | 17,585 | 1,103 | 454 | ||||||||||
Distribution fees (Investor Class) (Note 2) | — | — | — | ||||||||||
Administration and accounting fees (Note 2) | 72,369 | 29,242 | 3,231 | ||||||||||
Printing and shareholder reporting fees | 4,912 | 761 | 3,505 | ||||||||||
Registration fees | 26,895 | 24,823 | 6,438 | ||||||||||
Legal fees | 49,894 | 4,744 | 1,315 | ||||||||||
Director’s fees | 3,007 | 1,598 | — | ||||||||||
Audit and tax service fees | 51,105 | 41,611 | 28,748 | ||||||||||
Custodian fees (Note 2) | 128,443 | 73,864 | 1,113 | ||||||||||
Officer’s fees | 2,771 | 273 | — | ||||||||||
Other expenses | 1,039 | 3,842 | 928 | ||||||||||
Offering expense | — | — | 14,627 | ||||||||||
Dividend expense on securities sold short | — | — | — | ||||||||||
Total expenses before waivers and/or reimbursements | 1,475,832 | 257,722 | 127,445 | ||||||||||
Less: waivers and/or reimbursements net of amounts recouped (Note 2)n | (291,221 | ) | (162,027 | ) | (110,276 | ) | |||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 1,184,611 | 95,695 | 17,169 | ||||||||||
Net investment income/(loss) | 258,853 | 126,073 | 114,389 | ||||||||||
Net realized gain/(loss) from: | |||||||||||||
Investment securities | (4,454,275 | ) | (991,542 | ) | (5,486 | ) | |||||||
Purchased options ** | — | — | — | ||||||||||
Securities sold short | 16,209 | — | — | ||||||||||
Options written ** | — | — | — | ||||||||||
Contracts for difference ** | 431,402 | 291,449 | — | ||||||||||
Foreign currency transactions | (192,682 | ) | (5,125 | ) | 21,320 | ||||||||
Net change in unrealized appreciation/(depreciation) on: | |||||||||||||
Investment securities | 4,216,421 | 751,459 | 1,298,753 | ||||||||||
Purchased options ** | — | — | — | ||||||||||
Securities sold short | — | — | — | ||||||||||
Options written ** | — | — | — | ||||||||||
Contracts for difference ** | (252,699 | ) | (1,400 | ) | — | ||||||||
Foreign currency translation | 27,281 | 1,744 | — | ||||||||||
Net realized and unrealized gain/(loss) | (208,343 | ) | 46,585 | 1,314,587 | |||||||||
Net increase/(decrease) in net assets resulting from operations | $ | 50,510 | $ | 172,658 | $ | 1,428,976 | |||||||
† | Net of foreign withholding taxes of | $ | (105,522 | ) | $ | (18,186 | ) | $ | (4,754 | ) | |||
* | The Fund commenced operations on May 29, 2019. | ||||||||||||
n | Includes Acquired fund fees and expenses. See Note 2 for more details. | ||||||||||||
** | Primary risk exposure is equity contracts. |
The accompanying notes are an integral part of the financial statements.
88 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | |
STATEMENTS OF CHANGES IN NET ASSETS |
Boston Partners Small Cap Value Fund II | Boston Partners Long/Short Equity Fund | |||||||||||||||
For the Year Ended August 31, 2019 | For the Year Ended August 31, 20181 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 20182 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 5,119,815 | $ | 4,165,801 | $ | (4,074,640 | ) | $ | (14,763,953 | ) | ||||||
Net realized gain/(loss) from investments and foreign currency | 4,896,278 | 35,653,755 | 22,450,450 | 47,534,690 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (73,206,212 | ) | 45,398,570 | (58,673,475 | ) | (37,259,134 | ) | |||||||||
Net increase/(decrease) in net assets resulting from operations | (63,190,119 | ) | 85,218,126 | (40,297,665 | ) | (4,488,397 | ) | |||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (24,782,416 | ) | (18,300,268 | ) | (39,629,576 | ) | (6,788,431 | ) | ||||||||
Investor Class | (7,438,014 | ) | (6,400,727 | ) | (3,570,596 | ) | (720,622 | ) | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | (32,220,430 | ) | (24,700,995 | ) | (43,200,172 | ) | (7,509,053 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 118,504,503 | 137,345,450 | 38,668,117 | 102,603,910 | ||||||||||||
Reinvestment of distributions | 24,557,730 | 18,092,538 | 33,235,863 | 5,867,217 | ||||||||||||
Shares redeemed | (123,812,685 | ) | (86,288,343 | ) | (418,406,076 | ) | (304,621,729 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 29,276,394 | 30,319,317 | 4,437,809 | 4,713,036 | ||||||||||||
Reinvestment of distributions | 7,318,410 | 6,316,311 | 3,529,676 | 716,185 | ||||||||||||
Shares redeemed | (36,795,840 | ) | (67,753,640 | ) | (27,469,487 | ) | (38,713,922 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | 19,048,512 | 38,031,633 | (366,004,098 | ) | (229,435,303 | ) | ||||||||||
Total increase/(decrease) in net assets | (76,362,037 | ) | 98,548,764 | (449,501,935 | ) | (241,432,753 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of period | 620,493,515 | 521,944,751 | 705,491,337 | 946,924,090 | ||||||||||||
End of period | $ | 544,131,478 | $ | 620,493,515 | $ | 255,989,402 | $ | 705,491,337 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 4,956,178 | 5,166,089 | 2,095,949 | 4,718,662 | ||||||||||||
Shares reinvested | 1,148,094 | 703,990 | 1,866,135 | 270,753 | ||||||||||||
Shares redeemed | (5,270,333 | ) | (3,235,880 | ) | (22,879,083 | ) | (14,202,057 | ) | ||||||||
Net increase/(decrease) | 833,939 | 2,634,199 | (18,916,999 | ) | (9,212,642 | ) | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 1,325,727 | 1,188,640 | 263,262 | 235,731 | ||||||||||||
Shares reinvested | 358,044 | 256,656 | 217,077 | 35,827 | ||||||||||||
Shares redeemed | (1,629,801 | ) | (2,664,694 | ) | (1,607,980 | ) | (1,953,565 | ) | ||||||||
Net increase/(decrease) | 53,970 | (1,219,398 | ) | (1,127,641 | ) | (1,682,007 | ) |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders was as follows: Institutional class had $(3,131,857) of net investment income and $(15,168,411) of net realized capital gains, and Investor class had $(786,948) of net investment income and $(5,613,779) of net realized capital gains during the year ended August 31, 2018. Undistributed/accumulated income net investment income/(loss) as of August 31, 2018 was $881,294. |
(2) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders was as follows: Institutional class had $(6,788,431) of net realized capital gains and Investor class had $(720,622) of net realized capital gains during the year ended August 31, 2018. Undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $(9,628,861). |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 89
BOSTON PARTNERS INVESTMENT FUNDS | |
STATEMENTS OF CHANGES IN NET ASSETS(CONTINUED) |
Boston Partners Long/Short Research Fund | Boston Partners All-Cap Value Fund | |||||||||||||||
For the Year Ended August 31, 2019 | For the Year Ended August 31, 20181 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 20182 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 29,436,127 | $ | (11,588,999 | ) | $ | 26,365,649 | $ | 16,073,569 | |||||||
Net realized gain/(loss) from investments and foreign currency | 32,979,852 | 397,873,928 | 29,076,780 | 86,287,963 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (378,775,616 | ) | (240,490,868 | ) | (181,342,281 | ) | 157,628,381 | |||||||||
Net increase/(decrease) in net assets resulting from operations | (316,359,637 | ) | 145,794,061 | (125,899,852 | ) | 259,989,913 | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (288,844,600 | ) | — | (94,784,961 | ) | (62,734,347 | ) | |||||||||
Investor Class | (5,365,883 | ) | — | (24,143,563 | ) | (18,907,620 | ) | |||||||||
Net decrease in net assets from dividends and distributions to shareholders | (294,210,483 | ) | — | (118,928,524 | ) | (81,641,967 | ) | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 888,216,598 | 1,725,502,798 | 383,982,359 | 566,133,074 | ||||||||||||
Reinvestment of distributions | 123,003,382 | — | 80,182,626 | 52,423,689 | ||||||||||||
Shares redeemed | (3,836,061,077 | ) | (1,590,765,868 | ) | (568,063,951 | ) | (272,556,668 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 22,919,651 | 41,658,580 | 46,250,282 | 167,523,956 | ||||||||||||
Reinvestment of distributions | 5,351,175 | — | 23,512,998 | 18,427,873 | ||||||||||||
Shares redeemed | (81,360,293 | ) | (139,470,682 | ) | (203,556,917 | ) | (142,782,079 | ) | ||||||||
Net increase/(decrease) in net assets from capital transactions | (2,877,930,564 | ) | 36,924,828 | (237,692,603 | ) | 389,169,845 | ||||||||||
Total increase/(decrease) in net assets | (3,488,500,684 | ) | 182,718,889 | (482,520,979 | ) | 567,517,791 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 6,755,802,146 | 6,573,083,257 | 2,364,712,524 | 1,797,194,733 | ||||||||||||
End of period | $ | 3,267,301,462 | $ | 6,755,802,146 | $ | 1,882,191,545 | $ | 2,364,712,524 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 57,905,304 | 102,372,358 | 15,591,415 | 21,023,815 | ||||||||||||
Shares reinvested | 8,361,889 | — | 3,484,686 | 2,009,340 | ||||||||||||
Shares redeemed | (253,044,783 | ) | (94,541,695 | ) | (23,090,761 | ) | (10,090,987 | ) | ||||||||
Net increase/(decrease) | (186,777,590 | ) | 7,830,663 | (4,014,660 | ) | 12,942,168 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 1,485,426 | 2,523,186 | 1,831,239 | 6,274,736 | ||||||||||||
Shares reinvested | 371,609 | — | 1,026,320 | 709,583 | ||||||||||||
Shares redeemed | (5,461,987 | ) | (8,459,226 | ) | (8,369,542 | ) | (5,334,043 | ) | ||||||||
Net increase/(decrease) | (3,604,952 | ) | (5,936,040 | ) | (5,511,983 | ) | 1,650,276 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $286,748. |
(2) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders were as follows: Institutional class had $(10,210,846) of net investment income and $(52,523,501) of net realized capital gains, and Investor class had $(2,182,624) of net investment income and $(16,724,996) of net realized capital gains during the year ended August 31, 2018. Undistributed/accumulated income net investment income/(loss) as of August 31, 2018 was $11,901,867. |
The accompanying notes are an integral part of the financial statements.
90 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | |
STATEMENTS OF CHANGES IN NET ASSETS(CONTINUED) |
WPG Partners Small/Micro Cap Value Fund | Boston Partners Global Equity Fund | |||||||||||||||
For the Year Ended August 31, 2019 | For the Year Ended August 31, 20181 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 20182 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 103,309 | $ | 74,602 | $ | 10,666,407 | $ | 5,648,895 | ||||||||
Net realized gain/(loss) from investments and foreign currency | (1,256,510 | ) | 2,038,801 | (23,857,335 | ) | 46,424,704 | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (4,803,121 | ) | 2,659,733 | (38,426,214 | ) | 7,281,436 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | (5,956,322 | ) | 4,773,136 | (51,617,142 | ) | 59,355,035 | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (1,821,699 | ) | (2,123,333 | ) | (51,164,406 | ) | (12,913,571 | ) | ||||||||
Investor Class | — | — | — | — | ||||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (1,821,699 | ) | (2,123,333 | ) | (51,164,406 | ) | (12,913,571 | ) | ||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 140,303 | 504,946 | 230,742,522 | 46,439,179 | ||||||||||||
Reinvestment of distributions | 1,747,841 | 2,038,894 | 50,626,116 | 12,899,308 | ||||||||||||
Shares redeemed | (4,272,967 | ) | (3,539,266 | ) | (161,208,686 | ) | (30,033,769 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | — | — | — | — | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase/(decrease) in net assets from capital transactions | (2,384,823 | ) | (995,426 | ) | 120,159,952 | 29,304,718 | ||||||||||
Total increase/(decrease) in net assets | (10,162,844 | ) | 1,654,377 | 17,378,404 | 75,746,182 | |||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 32,435,748 | 30,781,371 | 666,270,901 | 590,524,719 | ||||||||||||
End of period | $ | 22,272,904 | $ | 32,435,748 | $ | 683,649,305 | $ | 666,270,901 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 10,622 | 29,909 | 13,882,358 | 2,527,611 | ||||||||||||
Shares reinvested | 132,714 | 123,869 | 3,304,577 | 711,097 | ||||||||||||
Shares redeemed | (306,458 | ) | (210,808 | ) | (9,780,418 | ) | (1,624,118 | ) | ||||||||
Net increase/(decrease) | (163,122 | ) | (57,030 | ) | 7,406,517 | 1,614,590 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | — | — | — | — | ||||||||||||
Shares reinvested | — | — | — | — | ||||||||||||
Shares redeemed | — | — | — | — | ||||||||||||
Net increase/(decrease) | — | — | — | — |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders were $(107,927) of net investment income and $(2,015,406) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $84,436. |
(2) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders were $(4,011,353) of net investment income and $(8,902,218) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $5,216,327. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 91
BOSTON PARTNERS INVESTMENT FUNDS | |
STATEMENTS OF CHANGES IN NET ASSETS(CONTINUED) |
Boston Partners Global Long/Short Fund | Boston Partners Emerging Markets Long/Short Fund | |||||||||||||||
For the Year Ended August 31, 2019 | For the Year Ended August 31, 20181 | For the Year Ended August 31, 2019 | For the Year Ended August 31, 20182 | |||||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||||||
Net investment income/(loss) | $ | 5,368,340 | $ | (996,353 | ) | $ | 258,853 | $ | (308,213 | ) | ||||||
Net realized gain/(loss) from investments and foreign currency | (13,199,125 | ) | 35,621,213 | (4,199,346 | ) | 8,592 | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | (37,647,511 | ) | (17,081,700 | ) | 3,991,003 | (5,868,792 | ) | |||||||||
Net increase/(decrease) in net assets resulting from operations | (45,478,296 | ) | 17,543,160 | 50,510 | (6,168,413 | ) | ||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||
Institutional Class | (16,137,470 | ) | — | (318,952 | ) | (3,359,798 | ) | |||||||||
Investor Class | (390,012 | ) | — | — | — | |||||||||||
Net decrease in net assets from dividends and distributions to shareholders | (16,527,482 | ) | — | (318,952 | ) | (3,359,798 | ) | |||||||||
Capital transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares sold | 278,122,015 | 287,667,267 | 14,109,573 | 28,375,843 | ||||||||||||
Reinvestment of distributions | 14,614,857 | — | 312,795 | 3,358,724 | ||||||||||||
Shares redeemed | (534,235,179 | ) | (399,562,572 | ) | (13,974,868 | ) | (20,790,252 | ) | ||||||||
Investor Class | ||||||||||||||||
Proceeds from shares sold | 5,601,799 | 11,181,778 | — | — | ||||||||||||
Reinvestment of distributions | 384,274 | — | — | — | ||||||||||||
Shares redeemed | (13,841,421 | ) | (21,869,620 | ) | — | — | ||||||||||
Net increase/(decrease) in net assets from capital transactions | (249,353,655 | ) | (122,583,147 | ) | 447,500 | 10,944,315 | ||||||||||
Total increase/(decrease) in net assets | (311,359,433 | ) | (105,039,987 | ) | 179,058 | 1,416,104 | ||||||||||
Net assets: | ||||||||||||||||
Beginning of period | 937,223,583 | 1,042,263,570 | 58,245,072 | 56,828,968 | ||||||||||||
End of period | $ | 625,864,150 | $ | 937,223,583 | $ | 58,424,130 | $ | 58,245,072 | ||||||||
Share transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 25,515,260 | 24,582,710 | 1,390,778 | 2,360,400 | ||||||||||||
Shares reinvested | 1,371,000 | — | 32,314 | 294,625 | ||||||||||||
Shares redeemed | (49,275,262 | ) | (34,220,197 | ) | (1,385,704 | ) | (1,789,266 | ) | ||||||||
Net increase/(decrease) | (22,389,002 | ) | (9,637,487 | ) | 37,388 | 865,759 | ||||||||||
Investor Class | ||||||||||||||||
Shares sold | 528,313 | 967,934 | — | — | ||||||||||||
Shares reinvested | 36,459 | — | — | — | ||||||||||||
Shares redeemed | (1,290,716 | ) | (1,888,526 | ) | — | — | ||||||||||
Net increase/(decrease) | (725,944 | ) | (920,592 | ) | — | — |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $334,771. |
(2) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders were $(1,225,534) of net investment income and $(2,134,264) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $(645,034). |
The accompanying notes are an integral part of the financial statements.
92 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | |
STATEMENTS OF CHANGES IN NET ASSETS(CONCLUDED) |
Boston Partners Emerging Markets Fund | Boston Partners Global Equity Advantage Fund | |||||||||||
For the Year Ended August 31, 2019 | For the Period Ended August 31, 2018*1 | For the Period Ended August 31, 2019** | ||||||||||
Increase/(decrease) in net assets from operations: | ||||||||||||
Net investment income/(loss) | $ | 126,073 | $ | 42,575 | $ | 114,389 | ||||||
Net realized gain/(loss) from investments and foreign currency | (705,218 | ) | (202,512 | ) | 15,834 | |||||||
Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation | 751,803 | (816,489 | ) | 1,298,753 | ||||||||
Net increase/(decrease) in net assets resulting from operations | 172,658 | (976,426 | ) | 1,428,976 | ||||||||
Dividends and distributions to shareholders: | ||||||||||||
Institutional Class | — | (37,354 | ) | — | ||||||||
Net decrease in net assets from dividends and distributions to shareholders | — | (37,354 | ) | — | ||||||||
Capital transactions: | ||||||||||||
Institutional Class | ||||||||||||
Proceeds from shares sold | 1,000,000 | 9,272,037 | 25,000,000 | |||||||||
Reinvestment of distributions | — | 37,354 | — | |||||||||
Shares redeemed | — | — | — | |||||||||
Net increase/(decrease) in net assets from capital transactions | 1,000,000 | 9,309,391 | 25,000,000 | |||||||||
Total increase/(decrease) in net assets | 1,172,658 | 8,295,611 | 26,428,976 | |||||||||
Net assets: | ||||||||||||
Beginning of period | 8,295,611 | — | — | |||||||||
End of period | $ | 9,468,269 | $ | 8,295,611 | $ | 26,428,976 | ||||||
Share transactions: | ||||||||||||
Institutional Class | ||||||||||||
Shares sold | 122,398 | 905,226 | 2,500,000 | |||||||||
Shares reinvested | — | 3,751 | — | |||||||||
Shares redeemed | — | — | — | |||||||||
Net increase/(decrease) | 122,398 | 908,977 | 2,500,000 |
* | The Fund commenced operations on October 17, 2017. |
** | The Fund commenced operations on May 29, 2019. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 9 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders was $(37,354) of net investment income, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $(28,752). |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 93
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 | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 27.74 | $0.23 | $ | (3.12 | ) | $ | (2.89 | ) | $ | (0.12 | ) | $ | (1.31 | ) | $ | (1.43 | ) | $— | |||||||||||||
8/31/18 | 24.96 | 0.21 | 3.75 | 3.96 | (0.20 | ) | (0.98 | ) | (1.18 | ) | — | |||||||||||||||||||||
8/31/17 | 23.00 | 0.13 | 2.38 | 2.51 | (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 | ) | — | |||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 26.53 | $0.16 | $ | (2.99 | ) | $ | (2.83 | ) | $ | (0.06 | ) | $ | (1.31 | ) | $ | (1.37 | ) | $— | |||||||||||||
8/31/18 | 23.92 | 0.14 | 3.59 | 3.73 | (0.14 | ) | (0.98 | ) | (1.12 | ) | — | |||||||||||||||||||||
8/31/17 | 22.06 | 0.07 | 2.29 | 2.36 | (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 | ) | — | |||||||||||||||||||
Boston Partners Long/Short Equity Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 20.51 | $(0.18 | ) | $ | (1.06 | ) | $ | (1.24 | ) | $— | $ | (1.53 | ) | $ | (1.53 | ) | $— | ||||||||||||||
8/31/18 | 20.96 | (0.35 | ) | 0.07 | (0.28 | ) | — | (0.17 | ) | (0.17 | ) | — | ||||||||||||||||||||
8/31/17 | 20.09 | (0.26 | ) | 1.13 | 0.87 | — | — | — | — | |||||||||||||||||||||||
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 | |||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 18.88 | $(0.20 | ) | $ | (0.98 | ) | $ | (1.18 | ) | $— | $ | (1.53 | ) | $ | (1.53 | ) | $— | ||||||||||||||
8/31/18 | 19.36 | (0.38 | ) | 0.07 | (0.31 | ) | — | (0.17 | ) | (0.17 | ) | — | ||||||||||||||||||||
8/31/17 | 18.60 | (0.29 | ) | 1.05 | 0.76 | — | — | — | — | |||||||||||||||||||||||
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 | |||||||||||||||||||
Boston Partners Long/Short Research Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 16.64 | $0.09 | $ | (0.79 | ) | $ | (0.70 | ) | $ | (0.01 | ) | $ | (0.78 | ) | $ | (0.79 | ) | $— | |||||||||||||
8/31/18 | 16.27 | (0.03 | ) | 0.40 | 0.37 | — | — | — | — | |||||||||||||||||||||||
8/31/17 | 15.23 | (0.12 | ) | 1.16 | 1.04 | — | — | — | — | |||||||||||||||||||||||
8/31/16 | 15.20 | (0.06 | )4 | 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 | ||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
8/31/19 | $ | 16.31 | $0.06 | $ | (0.78 | ) | $ | (0.72 | ) | $— | $ | (0.78 | ) | $ | (0.78 | ) | $— | |||||||||||||||
8/31/18 | 15.99 | (0.08 | ) | 0.40 | 0.32 | — | — | — | — | |||||||||||||||||||||||
8/31/17 | 15.00 | (0.15 | ) | 1.14 | 0.99 | — | — | — | — | |||||||||||||||||||||||
8/31/16 | 15.01 | (0.09 | )4 | 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 |
* | Calculated based on average shares outstanding for the period. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Small Cap Value Fund II and BP Long/Short Research Fund. There was a 2.00% redemption fee on shares redeemed that were held 365 days or less on the BP Long/Short Equity Fund. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
94 | Annual Report 2019
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 any5 | 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 | |||||||||||||||||||||||||
$ | 23.42 | (9.92 | %) | $421,429 | 1.10 | % | N/A | 1.16 | % | 0.97 | % | 29 | % | |||||||||||||||||||
27.74 | 16.25 | 476,179 | 1.10 | N/A | 1.14 | 0.78 | 40 | |||||||||||||||||||||||||
24.96 | 10.92 | 362,674 | 1.10 | N/A | 1.18 | 0.53 | 24 | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
$ | 22.33 | (10.20 | %) | $122,703 | 1.35 | % | N/A | 1.41 | % | 0.72 | % | 29 | % | |||||||||||||||||||
26.53 | 15.94 | 144,315 | 1.35 | N/A | 1.39 | 0.53 | 40 | |||||||||||||||||||||||||
23.92 | 10.68 | 159,271 | 1.35 | N/A | 1.43 | 0.28 | 24 | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
$ | 17.74 | (6.05 | %) | $227,834 | 2.67 | % | 2.45 | % | 2.68 | % | (0.94 | %) | 64 | % | ||||||||||||||||||
20.51 | (1.38 | ) | 651,325 | 3.01 | 2.37 | 3.01 | (1.62 | ) | 58 | |||||||||||||||||||||||
20.96 | 4.33 | 858,821 | 2.80 | 2.39 | 2.80 | (1.21 | ) | 63 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 16.17 | (6.27 | %) | $28,156 | 2.92 | % | 2.70 | % | 2.93 | % | (1.19 | %) | 64 | % | ||||||||||||||||||
18.88 | (1.65 | ) | 54,167 | 3.26 | 2.62 | 3.26 | (1.87 | ) | 58 | |||||||||||||||||||||||
19.36 | 4.09 | 88,103 | 3.05 | 2.64 | 3.05 | (1.46 | ) | 63 | ||||||||||||||||||||||||
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 | |||||||||||||||||||||||
$ | 15.15 | (4.05 | %) | $ | 3,212,731 | 2.15 | % | 1.38 | % | 2.15 | % | 0.62 | % | 60 | % | |||||||||||||||||
16.64 | 2.27 | 6,636,897 | 2.09 | 1.34 | 2.09 | (0.19 | ) | 60 | ||||||||||||||||||||||||
16.27 | 6.83 | 6,361,628 | 2.23 | 1.37 | 2.23 | (0.75 | ) | 54 | ||||||||||||||||||||||||
15.23 | 4.10 | 6,403,404 | 2.51 | 1.41 | 2.51 | (0.38 | )4 | 53 | ||||||||||||||||||||||||
15.20 | 1.73 | 6,738,894 | 2.43 | 1.39 | 2.43 | (0.92 | ) | 62 | ||||||||||||||||||||||||
$ | 14.81 | (4.27 | %) | $54,570 | 2.40 | % | 1.63 | % | 2.40 | % | 0.37 | % | 60 | % | ||||||||||||||||||
16.31 | 2.00 | 118,905 | 2.34 | 1.59 | 2.34 | (0.44 | ) | 60 | ||||||||||||||||||||||||
15.99 | 6.60 | 211,455 | 2.48 | 1.63 | 2.48 | (1.00 | ) | 54 | ||||||||||||||||||||||||
15.00 | 3.88 | 259,400 | 2.76 | 1.66 | 2.76 | (0.63 | )4 | 53 | ||||||||||||||||||||||||
15.01 | 1.41 | 300,586 | 2.68 | 1.64 | 2.68 | (1.17 | ) | 62 |
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 | 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. |
5 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 95
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS(CONTINUED) | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss)* | Net Realized and Unrealized Gain/ (Loss) on Investments | Net Increase/ (Decrease) in Net Assets Resulting from Operations | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | Redemption Fees*^ | |||||||||||||||||||||||||
Boston Partners All-Cap Value Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
8/31/19 | $27.86 | $0.34 | $(1.76 | ) | $(1.42 | ) | $(0.29 | ) | $(1.18 | ) | $(1.47 | ) | $— | |||||||||||||||||||
8/31/18 | 25.57 | 0.22 | 3.20 | 3.42 | (0.18 | ) | (0.95 | ) | (1.13 | ) | — | |||||||||||||||||||||
8/31/17 | 23.12 | 0.20 | 3.17 | 3.37 | (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 | ) | — | ||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||||||
8/31/19 | $27.69 | $0.27 | $(1.75 | ) | $(1.48 | ) | $(0.21 | ) | $(1.18 | ) | $(1.39 | ) | $— | |||||||||||||||||||
8/31/18 | 25.42 | 0.16 | 3.18 | 3.34 | (0.12 | ) | (0.95 | ) | (1.07 | ) | — | |||||||||||||||||||||
8/31/17 | 23.00 | 0.14 | 3.15 | 3.29 | (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 | ) | — | ||||||||||||||||||||
WPG Partners Small/Micro Cap Value Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
8/31/19 | $17.52 | $0.06 | $(3.36 | ) | $(3.30 | ) | $(0.05 | ) | $(0.98 | ) | $(1.03 | ) | $— | |||||||||||||||||||
8/31/18 | 16.13 | 0.04 | 2.50 | 2.54 | (0.06 | ) | (1.09 | ) | (1.15 | ) | — | |||||||||||||||||||||
8/31/17 | 15.50 | 0.05 | 0.65 | 0.70 | (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 | ||||||||||||||||||
Boston Partners Global Equity Fund | ||||||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||||||
8/31/19 | $18.73 | $0.25 | $(1.79 | ) | $(1.54 | ) | $(0.18 | ) | $(1.10 | ) | $(1.28 | ) | $— | |||||||||||||||||||
8/31/18 | 17.39 | 0.16 | 1.56 | 1.72 | (0.12 | ) | (0.26 | ) | (0.38 | ) | — | |||||||||||||||||||||
8/31/17 | 15.60 | 0.14 | 1.95 | 2.09 | (0.30 | ) | — | (0.30 | ) | — | ||||||||||||||||||||||
8/31/16 | 14.66 | 0.35 | 5 | 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 | ) | — |
* | Calculated based on average shares outstanding. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Global Equity Fund. The WPG Small/Micro Cap Value Fund had a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
96 | Annual Report 2019
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 any6 | 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 | |||||||||||||||||||||||||
$ | 24.97 | (4.65 | %) | $1,561,229 | 0.80 | % | N/A | 0.82 | % | 1.34 | % | 33 | % | |||||||||||||||||||
27.86 | 13.70 | 1,853,976 | 0.80 | N/A | 0.80 | 0.83 | 33 | |||||||||||||||||||||||||
25.57 | 14.88 | 1,370,288 | 0.80 | N/A | 0.88 | 0.83 | 27 | |||||||||||||||||||||||||
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 | |||||||||||||||||||||||||
$ | 24.82 | (4.90 | %) | $320,962 | 1.05 | % | N/A | 1.07 | % | 1.09 | % | 33 | % | |||||||||||||||||||
27.69 | 13.44 | 510,737 | 1.05 | N/A | 1.05 | 0.58 | 33 | |||||||||||||||||||||||||
25.42 | 14.56 | 426,904 | 1.05 | N/A | 1.13 | 0.58 | 27 | |||||||||||||||||||||||||
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 | |||||||||||||||||||||||||
$ | 13.19 | (18.85 | %) | $22,273 | 1.10 | % | N/A | 1.23 | % | 0.40 | % | 79 | % | |||||||||||||||||||
17.52 | 16.16 | 32,436 | 1.09 | N/A | 1.11 | 0.23 | 80 | |||||||||||||||||||||||||
16.13 | 4.50 | 30,781 | 1.10 | N/A | 1.29 | 0.30 | 78 | |||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
$ | 15.91 | (7.92 | %) | $683,649 | 0.95 | % | N/A | 1.03 | % | 1.55 | % | 97 | % | |||||||||||||||||||
18.73 | 9.93 | 666,271 | 0.95 | N/A | 1.03 | 0.88 | 80 | |||||||||||||||||||||||||
17.39 | 13.59 | 590,525 | 0.95 | N/A | 1.04 | 0.84 | 83 | |||||||||||||||||||||||||
15.60 | 6.90 | 415,999 | 0.95 | N/A | 1.10 | 2.38 | 5 | 80 | ||||||||||||||||||||||||
14.66 | (1.75 | ) | 279,978 | 0.95 | N/A | 1.24 | 0.86 | 98 |
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. |
5 | 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%. |
6 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 97
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS(CONTINUED) | Per Share Operating Performance |
Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
Net Asset Value, Beginning of Period | Net Investment Income/ (Loss)* | Net Realized and Unrealized Gain/ (Loss) on Investments | Net Increase/ (Decrease) in Net Assets Resulting from Operations | Dividends to Shareholders from Net Investment Income | Distributions to Shareholders from Net Realized Gains | Total Dividend and Distributions to Shareholders | ||||||||||||||||||||||
Boston Partners Global Long/Short Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
8/31/19 | $ | 11.52 | $0.07 | $(0.65 | ) | $(0.58 | ) | $— | $(0.20 | ) | $ | (0.20 | ) | |||||||||||||||
8/31/18 | 11.34 | (0.01 | ) | 0.19 | 0.18 | — | — | — | ||||||||||||||||||||
8/31/17 | 10.90 | (0.11 | ) | 0.57 | 0.46 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
8/31/16 | 10.55 | 0.05 | 7 | 0.34 | 0.39 | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||
8/31/15 | 10.30 | (0.13 | ) | 0.38 | 0.25 | — | — | — | ||||||||||||||||||||
Investor Class | ||||||||||||||||||||||||||||
8/31/19 | $ | 11.40 | $0.05 | $(0.84 | ) | $(0.79 | ) | $— | $— | $— | ||||||||||||||||||
8/31/18 | 11.25 | (0.04 | ) | 0.19 | 0.15 | — | — | — | ||||||||||||||||||||
8/31/17 | 10.85 | (0.13 | ) | 0.54 | 0.41 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
8/31/16 | 10.51 | 0.02 | 7 | 0.36 | 0.38 | — | (0.04 | ) | (0.04 | ) | ||||||||||||||||||
8/31/15 | 10.29 | (0.16 | ) | 0.38 | 0.22 | — | — | — | ||||||||||||||||||||
Boston Partners Emerging Markets Long/Short Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
8/31/19 | $ | 10.49 | $0.04 | $(0.03 | ) | $0.01 | $— | $(0.05 | ) | $ | (0.05 | ) | ||||||||||||||||
8/31/18 | 12.12 | (0.05 | ) | (0.87 | ) | (0.92 | ) | (0.26 | ) | (0.45 | ) | (0.71 | ) | |||||||||||||||
8/31/17 | 11.15 | (0.07 | ) | 1.96 | 1.89 | (0.82 | ) | (0.10 | ) | (0.92 | ) | |||||||||||||||||
12/15/15** through 8/31/16 | 10.00 | (0.09 | ) | 1.24 | 1.15 | — | — | — | ||||||||||||||||||||
Boston Partners Emerging Markets Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
8/31/19 | $9.13 | $0.13 | $(0.08 | ) | $0.05 | $— | $— | $— | ||||||||||||||||||||
10/17/17** through 8/31/18 | $ | 10.00 | $0.05 | $(0.86 | ) | $(0.81 | ) | $ | (0.06 | ) | $— | $ | (0.06 | ) | ||||||||||||||
Boston Partners Global Equity Advantage Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
5/29/19** through 8/31/19 | $ | 10.00 | $0.05 | $0.52 | $0.57 | $— | $— | $— |
* | Calculated based on average shares outstanding, unless otherwise noted. |
** | Commencement of operations. |
^ | Effective January 1, 2016, the Funds do not impose a redemption fee. Prior to January 1, 2016, there was a 1.00% redemption fee on shares redeemed that were held 60 days or less on BP Global Long/Short Fund. The redemption fees were retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. |
The accompanying notes are an integral part of the financial statements.
98 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS | |
FINANCIAL HIGHLIGHTS(CONCLUDED) | Per Share Operating Performance |
Redemption Fees*^ | 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 any8 | Ratio of Expenses to Average Net Assets With Waivers, Reimbursements and Recoupments if any (Excluding Dividend and Interest Expense) | Ratio of Expenses to Average Net Assets Without Waivers, Reimbursements and Recoupments if any | Ratio of Net Investment Income/(Loss) to Average Net Assets With Waivers and Reimbursements | Portfolio Turnover Rate | ||||||||||||||||||||||||||||
$ | — | $ | 10.74 | (5.00 | %) | $611,254 | 2.47 | % | 1.65 | % | 2.47 | % | 0.69 | % | 99 | % | ||||||||||||||||||||
— | 11.52 | 1.59 | 913,237 | 2.34 | 1.65 | 2.34 | (0.11 | ) | 85 | |||||||||||||||||||||||||||
— | 11.34 | 4.26 | 1,008,234 | 2.63 | 1.70 | 2.63 | (0.94 | ) | 109 | |||||||||||||||||||||||||||
— | 4 | 10.90 | 3.74 | 853,621 | 2.99 | 1.74 | 2.99 | 0.47 | 7 | 137 | ||||||||||||||||||||||||||
— | 4 | 10.55 | 2.43 | 317,600 | 3.09 | 1.96 | 3.05 | (1.27 | ) | 132 | ||||||||||||||||||||||||||
$ | — | $ | 10.61 | (5.14 | %) | $14,610 | 2.72 | % | 1.90 | % | 2.72 | % | 0.44 | % | 99 | % | ||||||||||||||||||||
— | 11.40 | 1.33 | 23,987 | 2.59 | 1.90 | 2.59 | (0.36 | ) | 85 | |||||||||||||||||||||||||||
— | 11.25 | 3.92 | 34,030 | 2.88 | 1.95 | 2.88 | (1.17 | ) | 109 | |||||||||||||||||||||||||||
— | 4 | 10.85 | 3.66 | 31,294 | 3.24 | 1.99 | 3.24 | 0.22 | 7 | 137 | ||||||||||||||||||||||||||
— | 4 | 10.51 | 2.14 | 59,919 | 3.34 | 2.21 | 3.30 | (1.52 | ) | 132 | ||||||||||||||||||||||||||
$ | — | $ | 10.45 | 0.18 | % | $58,424 | 1.96 | % | 1.96 | % | 2.44 | % | 0.43 | % | 186 | % | ||||||||||||||||||||
— | 10.49 | (8.11 | ) | 58,245 | 2.00 | 2.00 | 2.37 | (0.47 | ) | 222 | ||||||||||||||||||||||||||
— | 12.12 | 18.71 | 56,829 | 2.13 | 2.06 | 2.99 | (0.60 | ) | 184 | |||||||||||||||||||||||||||
— | 11.15 | 11.50 | 10,938 | 3.87 | 5 | 2.10 | 5 | 7.82 | 5 | (1.26 | )5 | 229 | 3,6 | |||||||||||||||||||||||
$ | — | $9.18 | 0.55 | % | $9,468 | 1.07 | % | N/A | 2.89 | % | 1.41 | % | 155 | % | ||||||||||||||||||||||
$ | — | $9.13 | (8.11 | %) | $8,296 | 1.10 | %5 | N/A | 2.95 | %5 | 0.58 | %5 | 146 | %6 | ||||||||||||||||||||||
$ | — | $ | 10.57 | 5.70 | % | $26,429 | 0.25 | % | N/A | 1.88 | % | 1.69 | % | 16 | % |
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. |
5 | Annualized. |
6 | Not Annualized. |
7 | 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. |
8 | Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place. |
The accompanying notes are an integral part of the financial statements.
Annual Report 2019 | 99
BOSTON PARTNERS INVESTMENT FUNDS
August 31, 2019
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 thirty-three separate investment portfolios, including Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”), Boston Partners Emerging Markets Long/Short Fund (“BP Emerging Markets Long/Short Fund”), Boston Partners Emerging Markets Fund (“BP Emerging Markets Fund”) and Boston Partners Global Equity Advantage Fund (“BP Global Equity Advantage Fund”) (collectively the “BP Funds”), and WPG Partners Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund” and, collectively with the BP Funds, the “Funds”). As of the end of the reporting period, the Funds (other than the WPG Small/Micro Cap Value Fund, BP Emerging Markets Long/Short Fund, BP Emerging Markets Fund and BP Global Equity Advantage Fund) each offer two classes of shares, Institutional Class and Investor Class. As of the end of the reporting period, Investor Class shares of the BP Global Equity Fund have not been issued. The WPG Small/Micro Cap Value Fund, BP Emerging Markets Long/Short Fund, BP Emerging Markets Fund and BP Global Equity Advantage Fund are single class funds, offering only the Institutional Class of shares.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of BP Small Cap Value Fund II and BP All-Cap Value Fund is to seek long-term growth of capital primarily through investment in equity securities. The investment objective of BP Global Equity Fund, BP Global/Long Short Fund, BP Emerging Markets Fund, BP Emerging Markets Long/Short Fund and BP Global Equity Advantage Fund is to seek long-term capital growth. The investment objective of BP Long/Short Equity Fund is to seek long-term capital appreciation while reducing exposure to general equity market risk. The investment objective of WPG Small/Micro Cap Value Fund is to seek appreciation by investing primarily in common stocks, securities convertible into common stocks and in special situations. The investment objective of BP Long/Short Research Fund is to seek long-term total return.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services-Investment Companies.”
The end of the reporting period for the Funds is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION—Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using
100 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS— The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
• Level 1 — | Prices are determined using quoted prices in active markets for identical securities. | |
• Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | |
• Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
A summary of the inputs used to value each Fund’s investments as of the end of the reporting period is included in each Fund’s Portfolio of Investments.
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal year, the Funds had no significant level 3 investments or transfers.
USE OF ESTIMATES— The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES— The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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. Offering costs are estimated for a new fund and accrued over a 12 month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including investment advisory, offering costs, and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS— Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.
U.S. TAX STATUS— No provision is made for U.S. income taxes as it is each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Annual Report 2019 | 101
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
FOREIGN CURRENCY TRANSLATION— Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.
CASH AND CASH EQUIVALENTS— Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER— In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
CURRENCY RISK— The Funds invest in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Funds may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Funds’ NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Funds are determined on the basis of U.S. dollars, the Funds may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Funds’ holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Funds’ holdings in foreign securities.
EMERGING MARKETS RISK— The BP Emerging Markets Long/Short Fund and the BP Emerging Markets Fund invest in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.
FOREIGN SECURITIES MARKET RISK— Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.
OPTIONS WRITTEN— The Funds may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write OTC options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Funds’ written options are exchange-traded options.
102 | Annual Report2019
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
During the current fiscal period, the Funds’ average quarterly volume of options transactions was as follows:
FUND | PURCHASED OPTIONS (COST) | WRITTEN OPTIONS (PROCEEDS) | ||||||
BP Long/Short Equity Fund | $ | — | $ | 2,347,593 | ||||
BP Global Long/Short Fund | — | 7,237,648 |
SHORT SALES— When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them.
In accordance with the terms of its prime brokerage agreements, a Fund may receive rebate income or be charged a fee for borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these prime broker charges on a net basis as interest income or interest expense. During the current fiscal period, the BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund had net income/(charges) of $473,306, $30,748,311, $6,175,759 and $2,235 respectively, on borrowed securities. Such amounts are included in prime broker interest income on the Statements of Operations.
As of the end of the reporting period, BP Long/Short Equity Fund, BP Long/Short Research Fund and BP Global Long/Short Fund had securities sold short valued at $141,136,159, $1,552,390,821 and $312,472,517, respectively, for which securities of $102,912,031, $1,101,082,190 and $205,196,651 and deposits of $136,614,848, $1,553,444,164 and $317,397,694, respectively, were pledged as collateral.
In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Long/Short Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.
The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Long/Short Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the current fiscal period:
BP LONG/SHORT EQUITY FUND | BP LONG/SHORT RESEARCH FUND | |||||||||||||||||||
DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||||||
340 | EUR 166,404 | 0.03 | % | 221 | AUD 2,777,228 | 1.72 | % | |||||||||||||
360 | USD 2,966,687 | 2.72 | % | 256 | CAD 12,107,635 | 2.17 | % | |||||||||||||
277 | CHF 3,898,083 | 0.38 | % | |||||||||||||||||
278 | DKK 9,131,983 | 0.12 | % | |||||||||||||||||
166 | EUR 2,150,405 | 0.03 | % | |||||||||||||||||
188 | GBP 1,253,712 | 1.09 | % | |||||||||||||||||
260 | HKD 13,843,297 | 1.56 | % | |||||||||||||||||
236 | ILS 8,211,962 | 0.67 | % | |||||||||||||||||
163 | JPY 421,771,104 | 0.36 | % | |||||||||||||||||
234 | MXN 7,366,783 | 8.63 | % | |||||||||||||||||
293 | NOK 18,468,355 | 1.34 | % | |||||||||||||||||
131 | SEK 9,380,089 | 0.13 | % | |||||||||||||||||
180 | SGD 2 | 0.00 | % | |||||||||||||||||
127 | USD 37,707,260 | 2.61 | % |
Annual Report 2019 | 103
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
BP GLOBAL LONG/SHORT FUND | BP EMERGING MARKETS LONG/SHORT FUND | |||||||||||||||||||
DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | DAYS UNITIZED | AVERAGE DAILY BORROWINGS | WEIGHTED AVERAGE INTEREST RATE | |||||||||||||||
99 | AUD 103,961 | 1.72 | % | 4 | AUD 1,955 | 1.66 | % | |||||||||||||
143 | CAD 49,139 | 2.17 | % | 100 | CAD 18,687 | 2.14 | % | |||||||||||||
46 | CHF 103,301 | 0.39 | % | 39 | EUR 3,050 | 0.01 | % | |||||||||||||
83 | EUR 41,091 | 0.02 | % | 39 | GBP 2,292 | 1.10 | % | |||||||||||||
176 | GBP 47,445 | 1.09 | % | 58 | HKD 149,497 | 1.23 | % | |||||||||||||
127 | HKD 352,225 | 1.95 | % | 30 | ILS 29,398 | 0.66 | % | |||||||||||||
279 | JPY 6,502,181 | 0.36 | % | 59 | JPY 1,594,878 | 0.35 | % | |||||||||||||
48 | MXN 710,312 | 8.40 | % | 36 | NOK 53,203 | 1.16 | % | |||||||||||||
17 | NOK 433,199 | 1.03 | % | 35 | SGD 3,750 | 1.75 | % | |||||||||||||
35 | SEK 434,510 | 0.21 | % | 280 | USD 81,206 | 2.69 | % | |||||||||||||
43 | SGD 41,134 | 2.10 | % | |||||||||||||||||
78 | USD 877,609 | 2.77 | % |
The BP Long/Short Equity Fund, BP Long/Short Research Fund, BP Global Long/Short Fund and BP Emerging Markets Long/Short Fund incurred interest expense during the current fiscal period on such borrowings, in the amount of $80,862, $584,524, $7,195 and $1,847, respectively.
CONTRACTS FOR DIFFERENCE— The BP Global Long/Short Fund, BP Long/Short Research Fund, BP Emerging Markets Long/Short Fund and BP Emerging Markets Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFD.
CFDs are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statements of Operations. Periodic payments made or received are recorded as realized gains or losses. Entering into CFDs involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contract may default on its obligation to perform and that there may be unfavorable changes in market conditions. CFDs outstanding at period end, if any, are listed on the Portfolio of Investments. As of the end of the reporting period, BP Long/Short Research Fund, BP Global Long/Short Fund, BP Emerging Markets Long/Short Fund and BP Emerging Markets Fund had cash deposits for contracts for difference of $9,970,000, $2,740,000, $2,734,859 and $10,000, respectively, which were pledged as collateral. In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian. As of the end of the reporting period, the BP Long/Short Research Fund, BP Global Long/Short Fund, BP Emerging Markets Long/Short Fund and the BP Emerging Markets Fund held CFDs.
During the current fiscal period, the average volume of CFDs was as follows:
FUND | NOTIONAL AMOUNT LONG | NOTIONAL AMOUNT SHORT | ||||||
BP Long/Short Research Fund | $ | 43,991,304 | $ | 114,280,588 | ||||
BP Global Long/Short Fund | — | 22,782,053 | ||||||
BP Emerging Markets Long/Short Fund | 17,386,031 | 22,551,212 | ||||||
BP Emerging Markets Fund | 1,497,836 | — |
104 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
The following is a summary of CFD’s that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) as of the end of the reporting period:
GROSS AMOUNT NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | GROSS AMOUNT NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||||||||||||||||||||||||
FUND | GROSS AMOUNTS OF RECOGNIZED ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED | NET AMOUNT1 | GROSS AMOUNTS OF RECOGNIZED LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL PLEDGED2 | NET AMOUNT3 | ||||||||||||||||||||||||
BP Long/Short Research Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 382,286 | $ | 382,286 | $ | — | $ | — | $ | 984,650 | $ | 382,286 | $ | — | $ | 602,364 | ||||||||||||||||
Macquarie | 370,784 | 370,784 | — | — | 2,219,055 | 370,784 | 1,848,271 | — | ||||||||||||||||||||||||
Total | $ | 753,070 | $ | 753,070 | $ | — | $ | — | $ | 3,203,705 | $ | 753,070 | $ | 1,848,271 | $ | 602,364 | ||||||||||||||||
BP Global Long/Short Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 157,295 | $ | 157,295 | $ | — | $ | — | $ | 229,302 | $ | 157,295 | $ | — | $ | 72,007 | ||||||||||||||||
Macquarie | — | — | — | — | 387,481 | — | 387,481 | — | ||||||||||||||||||||||||
Morgan Stanley | 16,526 | 16,526 | — | — | 124,603 | 16,526 | 108,077 | — | ||||||||||||||||||||||||
Total | $ | 173,821 | $ | 173,821 | $ | — | $ | — | $ | 741,386 | $ | 173,821 | $ | 495,558 | $ | 72,007 | ||||||||||||||||
BP Emerging Markets Long/Short Fund | ||||||||||||||||||||||||||||||||
Citibank | $ | 54,405 | $ | — | $ | — | $ | 54,405 | $ — | $ | — | $ | — | $ | — | |||||||||||||||||
Goldman Sachs | 772,479 | 621,512 | — | 150,967 | 621,512 | 621,512 | — | — | ||||||||||||||||||||||||
Macquarie | — | — | — | — | 99,515 | — | 99,515 | — | ||||||||||||||||||||||||
Morgan Stanley | 29,302 | 29,302 | — | — | 53,782 | 29,302 | 24,480 | — | ||||||||||||||||||||||||
Total | $ | 856,186 | $ | 650,814 | $ | — | $ | 205,372 | $ | 774,809 | $ | 650,814 | $ | 123,995 | $ | — | ||||||||||||||||
BP Emerging Markets Fund | ||||||||||||||||||||||||||||||||
Goldman Sachs | $ | 34,852 | $ | 19,236 | $ | — | $ | 15,616 | $ | 19,236 | $ | 19,236 | $ | — | $ | — | ||||||||||||||||
Total | $ | 34,852 | $ | 19,236 | $ | — | $ | 15,616 | $ | 19,236 | $ | 19,236 | $ | — | $ | — |
1 | Net amount represents the net amount receivable from the counterparty in the event of default. |
2 | Actual collateral pledged may be more than the amount shown. |
3 | Net amount represents the net amount payable to the counterparty in the event of default. |
2. INVESTMENT ADVISERS AND OTHER SERVICES
Boston Partners Global Investors, Inc. (“Boston Partners” or the “Adviser”) serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. Campbell & Company Investment Adviser LLC is a co-adviser to BP Global Equity Advantage Fund and is entitled to 50% of the Advisory Fee payable by the Fund.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: short sale dividend expense, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation for all the Funds (other than the BP Global Equity Advantage Fund) is in effect until February 29, 2020 and may not be terminated without the approval of the Board. For the BP Global Equity Advantage Fund the contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after these dates.
EXPENSE CAPS | ||||||||||||
FUND | ADVISORY FEE | INSTITUTIONAL CLASS | INVESTOR CLASS | |||||||||
BP Small Cap Value Fund II | 1.00 | % | 1.10 | % | 1.35 | % | ||||||
BP Long/Short Equity Fund | 2.25 | 2.50 | 2.75 | |||||||||
BP Long/Short Research Fund | 1.25 | 1.50 | 1.75 | |||||||||
BP All-Cap Value Fund | 0.70 | 0.80 | 1.05 | |||||||||
WPG Partners Small/Micro Cap Value Fund* | 0.80 | 1.10 | N/A | |||||||||
BP Global Equity Fund | 0.90 | 0.95 | 1.20 | |||||||||
BP Global Long/Short Fund | 1.50 | 2.00 | 2.25 | |||||||||
BP Emerging Markets Long/Short Fund | 1.85 | 2.00 | N/A | |||||||||
BP Emerging Markets Fund | 0.85 | 1.10 | N/A | |||||||||
BP Global Equity Advantage Fund | 1.00 | 1.05 | N/A |
* | 0.80% of net asset up to $500 million, 0.75% of net assets in excess of $500 million. |
Annual Report 2019 | 105
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
The Adviser may recoup from each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, short sale dividend expense, taxes, interest expense, and any extraordinary expenses) to exceed the Expense Caps of each class of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the Expense Caps that are currently in effect, if different.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
FUND | GROSS ADVISORY FEES | WAIVERS AND/OR REIMBURSEMENTS* | RECOUPMENTS | NET ADVISORY FEES | ||||||||||||
BP Small Cap Value Fund II | $ | 5,585,191 | $ | 406,176 | $ | — | $ | 5,179,015 | ||||||||
BP Long/Short Equity Fund | 9,477,404 | 45,543 | — | 9,431,861 | ||||||||||||
BP Long/Short Research Fund | 60,698,375 | — | — | 60,698,375 | ||||||||||||
BP All-Cap Value Fund | 14,296,702 | 476,070 | — | 13,820,632 | ||||||||||||
WPG Partners Small/Micro Cap Value Fund | 205,271 | 35,330 | — | 169,941 | ||||||||||||
BP Global Equity Fund | 6,208,800 | 608,508 | — | 5,600,292 | ||||||||||||
BP Global Long/Short Fund | 12,334,955 | — | — | 12,334,955 | ||||||||||||
BP Emerging Markets Long/Short Fund | 1,117,812 | 291,221 | — | 826,591 | ||||||||||||
BP Emerging Markets Fund | 75,861 | 162,027 | — | (86,166 | ) | |||||||||||
BP Global Equity Advantage Fund | 67,086 | 110,276 | — | (43,190 | ) |
As of the end of the reporting period, the Funds had amounts available for recoupment as follows:
FUND | August 31, 2020 | August 31, 2021 | August 31, 2022* | TOTAL | ||||||||||||
BP Small Cap Value Fund II | $374,241 | $242,966 | $406,176 | $1,023,383 | ||||||||||||
WPG Partners Small/Micro Cap Value Fund | 64,536 | 5,324 | 35,330 | 105,190 | ||||||||||||
BP Global Equity Fund | 407,721 | 523,243 | 608,508 | 1,539,472 | ||||||||||||
BP Emerging Markets Long/Short Fund | 220,693 | 245,314 | 291,221 | 757,228 | ||||||||||||
BP Emerging Markets Fund | — | 135,327 | 162,027 | 297,354 | ||||||||||||
BP Global Equity Advantage Fund | — | — | 110,276 | 110,276 |
* | Includes Acquired fund fees and expenses. Acquired fund fees and expenses are indirect fees and expenses that the Fund incurs from investing in the shares of other mutual funds, including money market funds and exchange traded funds. |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
The Board has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class Shares of each BP Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Quasar Distributors, LLC (the “Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class Shares. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of the Investor Class Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class Shares, all as set forth in the Plans.
3. DIRECTOR AND OFFICER COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
106 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments and derivative transactions) of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
BP Small Cap Value Fund II | $ | 156,877,252 | $ | 161,441,454 | ||||
BP Long/Short Equity Fund | 268,011,318 | 622,738,437 | ||||||
BP Long/Short Research Fund | 2,845,861,671 | 5,565,824,886 | ||||||
BP All-Cap Value Fund | 657,226,034 | 1,004,535,429 | ||||||
WPG Partners Small/Micro Cap Value Fund | 20,007,817 | 24,171,003 | ||||||
BP Global Equity Fund | 727,449,425 | 641,744,012 | ||||||
BP Global Long/Short Fund | 777,149,459 | 1,012,991,459 | ||||||
BP Emerging Markets Long/Short Fund | 77,758,121 | 74,484,518 | ||||||
BP Emerging Markets Fund | 11,964,489 | 11,227,129 | ||||||
BP Global Equity Advantage Fund | 28,309,881 | 4,071,306 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. CAPITAL SHARE TRANSACTIONS
As of the end of the reporting period, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class Shares of the BP Long/Short Research Fund, BP Global Long/Short Fund and WPG Small/Micro Cap Value Fund, which have 750,000,000 shares, 300,000,000 shares and 50,000,000 shares, respectively, of $0.001 par value common stock authorized.
6. RESTRICTED SECURITIES
Each Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities, if applicable, is included at the end of each Fund’s Schedule of Investments.
As of the end of the reporting period, the Funds did not hold any restricted securities that were illiquid.
7. FEDERAL INCOME TAX INFORMATION
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
FUND | FEDERAL TAX COST | UNREALIZED APPRECIATION | UNREALIZED (DEPRECIATION) | NET UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||
BP Small Cap Value Fund II | $ | 599,495,329 | $ | 131,314,739 | $ | (58,426,033 | ) | $ | 72,888,706 | |||||||
BP Long/Short Equity Fund | 247,983,787 | 87,033,784 | (39,452,643 | ) | 47,581,141 | |||||||||||
BP Long/Short Research Fund | 2,726,429,191 | 841,854,826 | (399,406,473 | ) | 442,448,353 | |||||||||||
BP All-Cap Value Fund | 1,801,762,297 | 444,465,843 | (84,002,152 | ) | 360,463,691 | |||||||||||
WPG Small/Micro Cap Value Fund | 25,824,714 | 3,529,481 | (5,015,108 | ) | (1,485,627 | ) | ||||||||||
BP Global Equity Fund | 661,735,055 | 76,232,977 | (45,244,486 | ) | 30,988,491 | |||||||||||
BP Global Long/Short Fund | 599,215,773 | 113,789,998 | (78,107,558 | ) | 35,682,440 | |||||||||||
BP Emerging Markets Long/Short Fund | 54,685,462 | 3,451,610 | (2,403,883 | ) | 1,047,727 | |||||||||||
BP Emerging Markets Fund | 9,660,420 | 480,064 | (684,327 | ) | (204,263 | ) | ||||||||||
BP Global Equity Advantage Fund | 25,073,341 | 2,056,439 | (755,985 | ) | 1,300,454 |
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
Annual Report 2019 | 107
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
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, 2019 were reclassified among the following accounts. They are primarily attributable to net investment loss and investments in partnerships.
FUND | DISTRIBUTABLE EARNINGS/(LOSS) | PAID-IN CAPITAL | ||||||
BP Small Cap Value Fund II | $ | 18,364 | $ | (18,364 | ) | |||
BP Long/Short Equity Fund | 8,915,498 | (8,915,498 | ) | |||||
BP Long/Short Research Fund | (46,998 | ) | 46,998 | |||||
BP All-Cap Value Fund | — | — | ||||||
WPG Small/Micro Cap Value Fund | — | — | ||||||
BP Global Equity Fund | (25,182 | ) | 25,182 | |||||
BP Global Long/Short Fund | 24,109 | (24,109 | ) | |||||
BP Emerging Markets Long/Short Fund | — | — | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Global Equity Advantage Fund | — | — |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED ORDINARY INCOME | UNDISTRIBUTED LONG-TERM CAPITAL GAINS | CAPITAL LOSS CARRYFORWARDS | QUALIFIED LATE-YEAR LOSS DEFERRAL | OTHER UNREALIZED | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||||||||
BP Small Cap Value Fund II | $ | 3,499,675 | $ | 5,723,995 | $ | — | $ | — | $ | — | $ | 72,888,706 | ||||||||||||
BP Long/Short Equity Fund | — | 17,464,056 | — | (2,410,207 | ) | — | 47,703,659 | |||||||||||||||||
BP Long/Short Research Fund | 40,240,287 | 29,081,478 | — | — | — | 439,933,034 | ||||||||||||||||||
BP All-Cap Value Fund | 15,793,774 | 3,662,526 | — | — | — | 360,463,676 | ||||||||||||||||||
WPG Small/Micro Cap Value Fund | 108,852 | — | (1,154,264 | ) | — | — | (1,485,627 | ) | ||||||||||||||||
BP Global Equity Fund | 8,404,858 | — | — | (22,648,665 | ) | — | 30,972,619 | |||||||||||||||||
BP Global Long/Short Fund | 7,319,397 | — | (10,180,630 | ) | — | (1,447,880 | ) | 35,637,630 | ||||||||||||||||
BP Emerging Markets Long/Short Fund | 1,235,926 | — | (5,957,120 | ) | — | — | 1,051,802 | |||||||||||||||||
BP Emerging Markets Fund | 362,973 | — | (1,000,266 | ) | — | — | (203,829 | ) | ||||||||||||||||
BP Global Equity Advantage Fund | 136,742 | — | (8,220 | ) | — | — | 1,300,454 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and 2018 was as follows:
2019 | 2018 | |||||||||||||||||||||||
FUND | ORDINARY INCOME | LONG-TERM GAINS | TOTAL | ORDINARY INCOME | LONG-TERM GAINS | TOTAL | ||||||||||||||||||
BP Small Cap Value Fund II | $ | 11,884,149 | $ | 20,336,281 | $ | 32,220,430 | $ | 8,031,025 | $ | 16,669,970 | $ | 24,700,995 | ||||||||||||
BP Long/Short Equity Fund | — | 43,200,172 | 43,200,172 | — | 7,509,053 | 7,509,053 | ||||||||||||||||||
BP Long/Short Research Fund | 5,587,801 | 288,622,682 | 294,210,483 | — | — | — | ||||||||||||||||||
BP All-Cap Value Fund | 22,851,076 | 96,077,448 | 118,928,524 | 25,614,028 | 56,027,939 | 81,641,967 | ||||||||||||||||||
WPG Small/Micro Cap Value Fund | 1,612,257 | 209,442 | 1,821,699 | 1,314,493 | 808,840 | 2,123,333 | ||||||||||||||||||
BP Global Equity Fund | 17,841,138 | 33,323,268 | 51,164,406 | 5,246,460 | 7,667,111 | 12,913,571 | ||||||||||||||||||
BP Global Long/Short Fund | — | 16,527,482 | 16,527,482 | — | — | — | ||||||||||||||||||
BP Emerging Markets Long/Short Fund | — | 318,952 | 318,952 | 3,252,965 | 106,833 | 3,359,798 | ||||||||||||||||||
BP Emerging Markets Fund | — | — | — | 37,354 | — | 37,354 | ||||||||||||||||||
BP Global Equity Advantage Fund | — | — | — |
108 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
August 31, 2019
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019.
For the fiscal year ended August 31, 2019, the following Funds deferred to September 1, 2019, the following qualified late-year losses.
FUND | LATE-YEAR ORDINARY LOSS DEFERRAL | POST-OCTOBER CAPITAL LOSS DEFERRAL | ||||||
BP Small Cap Value Fund II | $ | — | $ | — | ||||
BP Long/Short Equity Fund | 2,410,207 | — | ||||||
BP Long/Short Research Fund | — | — | ||||||
BP All-Cap Value Fund | — | — | ||||||
WPG Small/Micro Cap Value Fund | — | — | ||||||
BP Global Equity Fund | — | 22,648,665 | ||||||
BP Global Long/Short Fund | — | — | ||||||
BP Emerging Markets Long/Short Fund | — | — | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Global Equity Advantage Fund | — | — |
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2019 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law.
As of August 31, 2019, the WPG Small/Micro Cap Value Fund had short-term post-enactment capital losses of $721,223 and long-term post-enactment capital losses of $433,041. The BP Global Long/Short Fund had short-term post-enactment capital losses of $10,180,630. The BP Emerging Markets Long/Short Fund had short-term post-enactment capital losses of $4,713,024 and long-term post-enactment capital losses of $1,244,096. The BP Emerging Markets Fund had short-term post-enactment capital losses of $738,136 and long-term post-enactment capital losses of $262,130. The BP Global Equity Advantage Fund had short-term post-enactment capital losses of $8,220. The capital losses can be carried forward for an unlimited period.
8. SECURITIES LENDING
Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Boston Partners to be of good standing and only when, in Boston Partners’ judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. Investments purchased with proceeds from securities lending are overnight and continuous. During the current fiscal period, the Funds participated in securities lending. The market value of securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such loans were as follows:
FUND | MARKET VALUE OF SECURITIES LOANED | MARKET VALUE OF COLLATERAL | INCOME RECEIVED FROM SECURITIES LENDING | |||||||||
BP Small Cap Value Fund II | $125,319,842 | $128,381,830 | $261,942 | |||||||||
BP Long/Short Equity Fund | 34,014,339 | 34,683,073 | 162,205 | |||||||||
BP All-Cap Value Fund | 298,505,854 | 303,800,656 | 546,484 | |||||||||
WPG Small/Micro Cap Value Fund | 1,939,038 | 1,998,279 | 18,743 | |||||||||
BP Global Equity Fund | 8,677,138 | 8,824,253 | 89,395 |
Annual Report 2019 | 109
BOSTON PARTNERS INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS(CONCLUDED)
August 31, 2019
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNT NOT OFFSET IN THE 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 | $ | 125,319,842 | — | $ | 125,319,842 | $ | (125,319,842 | ) | — | — | ||||||||||||||
BP Long/Short Equity Fund | 34,014,339 | — | 34,014,339 | (34,014,339 | ) | — | — | |||||||||||||||||
BP All-Cap Value Fund | 298,505,854 | — | 298,505,854 | (298,505,854 | ) | — | — | |||||||||||||||||
WPG Small/Micro Cap Value Fund | 1,939,038 | — | 1,939,038 | (1,939,038 | ) | — | — | |||||||||||||||||
BP Global Equity Fund | 8,677,138 | — | 8,677,138 | (8,677,138 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statement of Assets and Liabilites. Actual collateral received may be more than the amount shown. |
9. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES
In August 2018, FASB issued Accounting Standards Update 2018-13,Fair Value Measurement (Topic 820):Disclosure Framework –Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Funds’ financial statements and has elected to early adopt the removed and modified disclosure effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
10. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were the following subsequent events:
Effective October 1, 2019, BP Small Cap Value Fund II compensates the Adviser for its services at the annual rate of 0.95% of the Fund’s average daily net assets, payable on a monthly basis in arrears. Prior to October 1, 2019, the Fund’s management fee was 1.00%.
Effective October 1, 2019, BP Emerging Markets Long/Short Fund compensates the Adviser for its services at the annual rate of 1.50% of the Fund’s average daily net assets, payable on a monthly basis in arrears. Prior to October 1, 2019, the Fund’s management fee was 1.85%. In addition, the Adviser has agreed to waive its advisory fee and/or reimburse expenses of the BP Emerging Markets Long/Short Fund in order to limit Total Annual Fund Operating Expenses (excluding short sale dividend expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.50% of the Fund’s average daily net assets attributable to Institutional Class shares.
110 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of The RBB Fund, Inc. and Shareholders of 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, 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, Boston Partners Emerging Markets Fund and Boston Partners Global Equity Advantage Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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, 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, Boston Partners Emerging Markets Fund and Boston Partners Global Equity Advantage Fund (collectively referred to as the “Funds”) (ten of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the portfolios of investments, as of August 31, 2019, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (ten of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual portfolio constituting The RBB Fund, Inc. | Statement of operations | Statements of changes in net assets | Financial highlights |
Boston Partners Small Cap Value Fund II Boston Partners Long/Short Equity Fund | For the year ended August 31, 2019 | For each of the two years in the period ended August 31, 2019 | For each of the five years in the period ended August 31, 2019 |
Boston Partners Long/Short Research Fund | |||
Boston Partners All-Cap Value Fund | |||
WPG Partners Small/Micro Cap Value Fund | |||
Boston Partners Global Equity Fund | |||
Boston Partners Global Long/Short Fund | |||
Boston Partners Emerging Markets | For the year ended August 31, 2019 | For each of the two years in the period ended August 31, 2019 | For each of the three years in the period ended August 31, 2019 and the period December 15, 2015 (commencement of operations) to August 31, 2016 |
Boston Partners Emerging Markets Fund | For the year ended August 31, 2019 | For the year ended August 31, 2019 and the period October 17, 2017 (commencement of operations) to August 31, 2018 | |
Boston Partners Global Equity Advantage Fund | For the period May 29, 2019 (commencement of operations) to August 31, 2019 |
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from
Annual Report 2019 | 111
BOSTON PARTNERS INVESTMENT FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM(CONCLUDED)
brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Boston Partners investment companies since 2007.
Philadelphia, Pennsylvania
October 30, 2019
112 | Annual Report2019
BOSTON PARTNERS INVESTMENT FUNDS
SHAREHOLDER TAX INFORMATION
(UNAUDITED)
Certain tax information regarding each Fund is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by each of the Funds:
ORDINARY INCOME | LONG-TERM CAPITAL GAINS | |||||||
BP Small Cap Value Fund II | $11,884,149 | $ 20,336,281 | ||||||
BP Long/Short Equity Fund | — | 43,200,172 | ||||||
BP Long/Short Research Fund | 5,587,801 | 288,622,682 | ||||||
BP All-Cap Value Fund | 22,851,076 | 96,077,448 | ||||||
WPG Small/Micro Cap Value Fund | 1,612,257 | 209,442 | ||||||
BP Global Equity Fund | 17,841,138 | 33,323,268 | ||||||
BP Global Long/Short Fund | — | 16,527,482 | ||||||
BP Emerging Markets Long/Short Fund. | — | 318,952 | ||||||
BP Emerging Markets Fund | — | — | ||||||
BP Global Equity Advantage Fund | — | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Under the Jobs and Growth Tax relief Reconciliation Act of 2003 the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
BP Small Cap Value Fund II | 47.96 | % | ||||||
BP Long/Short Equity Fund | 0.00 | % | ||||||
BP Long/Short Research Fund | 100.00 | % | ||||||
BP All-Cap Value Fund | 100.00 | % | ||||||
WPG Small/Micro Cap Value Fund | 14.39 | % | ||||||
BP Global Equity Fund | 68.51 | % | ||||||
BP Global Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Fund | 0.00 | % | ||||||
BP Global Equity Advantage Fund | 0.00 | % |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:
BP Small Cap Value Fund II | 46.41 | % | ||||||
BP Long/Short Equity Fund | 0.00 | % | ||||||
BP Long/Short Research Fund | 100.00 | % | ||||||
BP All-Cap Value Fund | 100.00 | % | ||||||
WPG Small/Micro Cap Value Fund | 14.34 | % | ||||||
BP Global Equity Fund | 29.54 | % | ||||||
BP Global Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Fund | 0.00 | % | ||||||
BP Global Equity Advantage Fund | 0.00 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
BP Small Cap Value Fund II | 0.00 | % | ||||||
BP Long/Short Equity Fund | 0.00 | % | ||||||
BP Long/Short Research Fund | 2.67 | % | ||||||
BP All-Cap Value Fund | 0.00 | % | ||||||
WPG Small/Micro Cap Value Fund | 0.00 | % | ||||||
BP Global Equity Fund | 1.01 | % | ||||||
BP Global Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Fund | 0.00 | % | ||||||
BP Global Equity Advantage Fund | 0.00 | % |
Annual Report 2019 | 113
BOSTON PARTNERS INVESTMENT FUNDS
SHAREHOLDER TAX INFORMATION(CONCLUDED)
(UNAUDITED)
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
BP Small Cap Value Fund II | 79.81 | % | ||||||
BP Long/Short Equity Fund | 0.00 | % | ||||||
BP Long/Short Research Fund | 0.00 | % | ||||||
BP All-Cap Value Fund | 3.10 | % | ||||||
WPG Small/Micro Cap Value Fund | 94.77 | % | ||||||
BP Global Equity Fund | 58.91 | % | ||||||
BP Global Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Long/Short Fund | 0.00 | % | ||||||
BP Emerging Markets Fund | 0.00 | % | ||||||
BP Global Equity Advantage Fund | 0.00 | % |
Pursuant to Section 853 of the Internal Revenue Code, the following Portfolios elect to pass-through to shareholders the credit for taxes paid to eligible foreign countries, which may be less than the actual amount paid for financial statement purposes.
PER SHARE | ||||||||||||||||||||
FUND | GROSS FOREIGN SOURCE INCOME | FOREIGN TAXES PASSTHROUGH | GROSS FOREIGN SOURCE INCOME | FOREIGN TAXES PASSTHROUGH | SHARES OUTSTANDING AT 8/31/2019 | |||||||||||||||
BP Emerging Markets Fund | 395,286 | 18,024 | 0.3832606525 | 0.017475690 | 1,031,376 |
Because each Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
114 | Annual Report2019
BOSTON PARTNERS INVESTMENT FUNDS
(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 (888) 261-4073 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
Quarterly Portfolio Schedule
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its reports on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
Boston Partners Funds Approval of Investment Advisory Agreements
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between Boston Partners and the Company (the “Investment Advisory Agreements”) on behalf of the Boston Partners Small Cap Value Fund II, Boston Partners All-Cap Value Fund, Boston Partners Long/Short Equity Fund, Boston Partners Long/Short Research Fund, 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, and the Boston Partners Emerging Markets Fund (each a “Fund” and together the “Funds”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreements, the Board considered information provided by Boston Partners with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and Boston Partners with respect to the Funds, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Boston Partners’ services provided to the Funds; (ii) descriptions of the experience and qualifications of Boston Partners personnel providing those services; (iii) Boston Partners’ investment philosophies and processes; (iv) Boston Partners’ assets under management and client descriptions; (v) Boston Partners’ soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Boston Partners’ current advisory fee arrangements with the Company and other similarly managed clients; (vii) Boston Partners’ compliance procedures; (viii) Boston Partners’ financial information, insurance coverage and profitability analysis related to providing advisory services to the Funds; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Broadridge/Lipper comparing each Fund’s management fees and total expense ratio to those each Fund’s respective Lipper Group and comparing the performance of each Fund to the performance of each Fund’s respective Lipper Group; and (xi) a report comparing the performance of each Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Boston Partners. The Directors concluded that Boston Partners had substantial resources to provide services to the Funds and that Boston Partners’ services had been acceptable.
The Directors also considered the investment performance of the Funds. Information on the Funds’ investment performance was provided for the one-, three-, and five-year periods ended March 31, 2019, as applicable. The Directors considered the Funds’ investment performance in light of their investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Lipper Groups was acceptable.
In reaching this conclusion, the Directors noted that the Boston Partners All-Cap Value Fund outperformed its benchmark, the Russell 3000 Value Index for the five-year and since-inception periods ended March 31, 2019. The Directors also noted that the Boston Partners All-Cap Value Fund ranked in the 3rd quintile in its Lipper Performance Group for the three-, four- and five-year periods ended December 31, 2018, and ranked in the 3rd quintile in its Lipper Performance Universe for the four- and five-year periods ended December 31, 2018.
The Directors noted that the Boston Partners Long/Short Equity Fund outperformed its primary benchmark, the S&P 500 Index, for the since-inception period ended March 31, 2019. The Directors noted that the Boston Partners Long/Short Equity Fund’s performance ranked in the 2nd quintile in its Lipper Performance Group for the three-year period ended December 31, 2018 and ranked in the 4th quintile in its Lipper Performance Universe for the three-, four- and five-year periods ended December 31, 2018.
The Directors noted that the WPG Partners Small/Micro Cap Value Fund outperformed its primary benchmark, the Russell 2000 Value Index, for the year-to-date and since-inception periods ended March 31, 2019. The Directors noted that the WPG Partners Small/Micro
Annual Report 2019 | 115
BOSTON PARTNERS INVESTMENT FUNDS
OTHER INFORMATION (CONTINUED)
(UNAUDITED)
Cap Value Fund’s performance ranked in the 4th quintile in its Lipper Performance Group for the one- and five-year periods, and in the 5th quintile in its Lipper Performance Universe for the one-, two-, three-, four-year and five-year periods ended December 31, 2018.
Next, the Directors also reviewed the performance of the Boston Partners Long/Short Research Fund, noting that the Fund had underperformed its benchmark for the year-to-date, one-, three-, and five-year and since inception periods ended March 31, 2019. However, the Directors noted that the Boston Partners Long/Short Research Fund ranked within the 2nd quintile in its Lipper Performance Group for the five-year period ended December 31, 2018. In addition, the Directors noted that the Fund ranked in the 3rd quintile for the five-year period ended December 31, 2018 in its Lipper Performance Universe.
The Directors next reviewed the performance of the Boston Partners Small Cap Value Fund II, which outperformed its benchmark, the Russell 2000 Value Index, for the since-inception period ended March 31, 2019. The Directors noted that the Boston Partners Small Cap Value Fund ranked within the 1st quintile in its Lipper Performance Group for the four-year period ended December 31, 2018. In addition, the Directors noted that the Fund ranked in the 2nd quintile for the four- and five-year periods ended December 31, 2018 in its Lipper Performance Universe.
The Directors also considered the performance of the Boston Partners Global Equity Fund, which underperformed its benchmark, the MSCI World Index, for the year-to-date, one-year, three-year, five-year and since- inception periods ended March 31, 2019. They also noted that Fund ranked in the 1st quintile for the four-year period ended December 31, 2018 in its Lipper Performance Group, and ranked in the 2nd quintile for the four-year and five-year periods ended December 31, 2018 in its Lipper Performance Universe.
The Directors noted that the Boston Partners Global Long/Short Fund had outperformed its benchmark, the MSCI World Index, for the one-year period ended March 31, 2019. They noted that for the four-year period ended December 31, 2018, the Fund ranked in the 1st quintile in its Lipper Performance Group and ranked in the 3rd quintile for the four-year period ended December 31, 2018 in its Lipper Performance Universe.
The Directors then reviewed the performance of the Boston Partners Emerging Markets Long/Short Fund, which underperformed its benchmark, the MSCI Emerging Markets Index, for the year-to-date, one-year, three-year and since-inception periods ended March 31, 2019. The Directors also noted that the Boston Partners Emerging Markets Long/Short Fund ranked in the 3rd quintile in its Lipper Performance Group for the two-year, three-year and since-inception periods ended December 31, 2018, and ranked in the 3rd quintile in its Lipper Performance Universe for the three-year and since-inception periods ended December 31, 2018.
Finally, the Directors noted that the Boston Partners Emerging Markets Fund had outperformed its benchmark, the MSCI Emerging Markets Index, for the year-to-date period ended March 31, 2019. They also noted that Fund ranked in the 5th quintile for the one-year and since-inception periods ended December 31, 2018 in both its Lipper Performance Group and Lipper Performance Universe.
The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreements. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that Boston Partners had contractually agreed to waive management fees and reimburse expenses through at least February 29, 2020 to limit total annual operating expenses to agreed upon levels for each Fund.
After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering Boston Partners’ services, the Directors concluded that the investment advisory fees paid by the Funds were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2020.
Boston Partners Global Equity Advantage Fund
As required by the 1940 Act, the Board, including all of the Independent Directors, considered the approval of the investment advisory agreement among Boston Partners, Campbell & Company Investment Adviser LLC (“Campbell”) and the Company (the “Investment Advisory Agreement”) on behalf of the Boston Partners Global Equity Advantage Fund (the “Fund”), at a meeting of the Board held on February 6-7, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an initial period ending August 16, 2020. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment. In approving the Investment Advisory Agreement, the Board considered information provided by Boston Partners and Campbell with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Investment Advisory Agreement between the Company, Boston Partners and Campbell with respect to the Fund, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services to be provided to the Fund by Boston Partners and Campbell; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) the investment philosophy and process of Boston Partners and Campbell; (iv) assets under management and client descriptions of Boston Partners and Campbell; (v) soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions of Boston Partners and Campbell; (vi) the advisory fee arrangements and other similarly managed clients, as applicable; (vii) compliance procedures of Boston Partners and Campbell; (viii) financial information and insurance coverage; (ix) the
116 | Annual Report2019
BOSTON PARTNERS INVESTMENT FUNDS
OTHER INFORMATION(CONCLUDED)
(UNAUDITED)
extent to which economies of scale are relevant to the Fund; and (x) a report prepared by Broadridge/Lipper comparing the Fund’s proposed management fees and total expense ratio to those of its Lipper Group. The Directors noted that the Fund had not yet commenced operations, and consequently there was no performance information to review with respect to the Fund.
As part of their review, the Directors considered the nature, extent and quality of the services to be provided by Boston Partners and Campbell. The Directors concluded that Boston Partners and Campbell had substantial resources to provide services to the Fund.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees to be paid by the Fund and the Fund’s total operating expense ratio were compared to similar information for funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s actual advisor fees was slightly above the median of its Lipper expense group and considered that the total expenses of the Fund, when taking the contractual expense limitation agreement, was slightly above the median of its Lipper expense group.
After reviewing the information regarding costs, profitability and economies of scale of Boston Partners and Campbell, and after considering the services to be provided by Boston Partners and Campbell, the Directors concluded that the investment advisory fees to be paid by the Fund to Boston Partners and Campbell were fair and reasonable and that the Investment Advisory Agreement should be approved for an initial period ending August 16, 2020.
Annual Report 2019 | 117
BOSTON PARTNERS INVESTMENT FUNDS
DIRECTORS AND EXECUTIVE OFFICERS
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling 1-888-261-4073.
Name, Address, and Age | Position(s) Held with Company | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director* | Other Directorships Held by Director in the Past 5 Years |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52 | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios) (registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman 615 East Michigan Street Milwaukee, WI 53202 Age: 71 | Chairman Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea 615 East Michigan Street Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company). Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
118 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
DIRECTORS AND EXECUTIVE OFFICERS(CONTINUED)
INTERESTED DIRECTOR2
Name, Address, and Age | Position(s) Held with Company | Term of Office and Length of Time Served1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Director* | Other Directorships Held by Director in the Past 5 Years |
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman Director | 2016 to present 1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President Chief Compliance Officer | 2009 to present 2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
Annual Report 2019 | 119
BOSTON PARTNERS INVESTMENT FUNDS
DIRECTORS AND EXECUTIVE OFFICERS(CONCLUDED)
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
120 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
(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 | No | No | |
For joint marketing with other financial companies | No | We don’t share | |
For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | |
For our affiliates’ everyday business purposes – information about your creditworthiness | No | We don’t share | |
For our affiliates to market to you | No | Yes | |
For nonaffiliates to market to you | No | We don’t share | |
Questions? | Call (888) 261-4073 or go to www.boston-partners.com |
Annual Report 2019 | 121
BOSTON PARTNERS INVESTMENT FUNDS
PRIVACY NOTICE(CONTINUED)
(UNAUDITED)
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. |
European Union’s GeneralData ProtectionRegulation | In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to
• Check whether we hold personal information about you and to access such data (in accordance with our policy) • Request the correction of personal information about you that is inaccurate • Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible • Request the erasure of your personal information • Request the restriction of processing concerning you
The legal grounds for processing of your personal information is for contractual necessity and compliance with law.
If you wish to exercise any of your rights above, please call: 1-888-261-4073.
You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us.
|
122 | Annual Report 2019
BOSTON PARTNERS INVESTMENT FUNDS
PRIVACY NOTICE(CONCLUDED)
(UNAUDITED)
What we do (continued) | ||
European Union’s General Data Protection Regulation (continued) | The Boston Partners Investment Funds shall retain your personal data for as long as you are an investor in the Funds and thereafter as long as necessary to comply with applicable laws that require the Funds to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Funds may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Funds do take the security of your personal data seriously. | |
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. | |
Controller | “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the controller or the specific criteria for its nomination may be provided for by European Union or European Member State law. | |
Annual Report 2019 | 123
INVESTMENT ADVISER |
Boston Partners Global Investors, Inc. |
60 East 42nd Street, Suite 1550 |
New York, NY 10165 |
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 |
BOS-AR19 |
Campbell Advantage Fund
of
THE RBB FUND, INC.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Campbell Advantage Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Campbell Advantage Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6488.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Campbell Advantage Fund, you can call 1-844-261-6488 to inform the Campbell Advantage Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Campbell Advantage Fund.
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 Advantage Fund
Annual Report
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in
Campbell Advantage Fund vs. Barclay BTOP50 Index
This chart assumes a hypothetical $10,000 initial investment in the Campbell Advantage Fund (“Fund”) is made on May 31, 2019 (the date on which the Fund commenced investment) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Barclay BTOP50 Index is unmanaged, does not incur expenses and is not available for investment.
Average annual total returns for the period ended AUGUST 31, 2019 | ||
SINCE | ||
Campbell Advantage Fund | 34.90%(1) (2) | |
Barclay BTOP50 Index(3) | 9.14% |
(1) | Inception date of the Fund is May 31, 2019. |
(2) | Not annualized. |
(3) | 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.
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,
1
Campbell Advantage Fund
Annual Report
Performance Data (Concluded)
August 31, 2019 (Unaudited)
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 adviser 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.
2
Campbell Advantage Fund
Fund Expense Examples
August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period. The actual values and expenses are based on the 92-day period from the Fund’s inception on May 31, 2019 through August 31, 2019.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual Total | |
Actual | $ 1,000.00 | $ 1,349.00 | $ 21.97 | 7.42% | 34.90% |
Hypothetical (5% return before expenses) | 1,000.00 | 987.80 | 37.18 | 7.42 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The actual dollar amounts shown are expenses paid during the period for the Fund and multiplied by 92 days, which is based on the date of inception (May 31, 2019). The Fund’s ending account value on the first line in the tables is based on the actual since inception total investment return for the Fund. |
3
Campbell Advantage Fund
Consolidated Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund at August 31, 2019:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 36.9 | % | $ | 1,293,099 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 63.1 | 2,207,552 | ||||||
NET ASSETS | 100.0 | % | $ | 3,500,651 |
The Fund seeks to achieve its investment objective by allocating its assets among derivatives and fixed income securities.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
4
Campbell Advantage Fund
Consolidated Portfolio of Investments
August 31, 2019
Coupon* | Maturity | Par | Value | |||||||
SHORT-TERM INVESTMENTS — 36.9% | ||||||||||
U.S. TREASURY OBLIGATIONS — 36.9% | ||||||||||
United States Treasury Bill | 1.799% | 01/02/20 | $ | 250,000 | $ | 248,435 | ||||
United States Treasury Bill | 1.780% | 02/27/20 | 300,000 | 297,308 | ||||||
United States Treasury Bill | 1.866% | 09/26/19 | 250,000 | 249,692 | ||||||
United States Treasury Bill | 1.858% | 10/17/19 | 250,000 | 249,393 | ||||||
United States Treasury Bill | 1.804% | 01/16/20 | 250,000 | 248,271 | ||||||
1,293,099 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||
(Cost $1,293,302) | 1,293,099 | |||||||||
TOTAL INVESTMENTS — 36.9% | ||||||||||
(Cost $1,293,302) | 1,293,099 | |||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 63.1% | 2,207,552 | |||||||||
NET ASSETS — 100.0% | $ | 3,500,651 |
* | Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the consolidated financial statements.
5
Campbell Advantage Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Futures contracts outstanding as of August 31, 2019 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||
10 Year Mini Japanese Government Bond | Sep-19 | 37 | $ | 3,482,845 | $ | 38,556 | ||||
3-Month Euro Euribor | Sep-20 | 62 | 17,035,213 | 29,706 | ||||||
90-DAY Bank Bill | Dec-19 | 19 | 12,795,561 | 4,336 | ||||||
90-Day Euro | Sep-20 | 24 | 6,000,000 | 15,010 | ||||||
90-Day Sterling | Sep-20 | 61 | 9,278,075 | 14,093 | ||||||
Amsterdam Index | Sep-19 | 1 | 122,669 | 4,361 | ||||||
Australian 10-Year Bond | Sep-19 | 13 | 875,486 | 40,622 | ||||||
Australian 3-Year Bond | Sep-19 | 54 | 3,636,633 | 25,839 | ||||||
CAC40 10 Euro | Sep-19 | 2 | 120,411 | 3,971 | ||||||
Canadian 10-Year Bond | Dec-19 | 10 | 751,089 | 1,415 | ||||||
Euro BUXL 30-Year Bond Futures | Dec-19 | 3 | 329,714 | 854 | ||||||
Euro Stoxx 50 | Sep-19 | 2 | 75,153 | 1,338 | ||||||
Euro-Bobl | Dec-19 | 25 | 2,747,615 | 3,313 | ||||||
Euro-BTP | Dec-19 | 5 | 549,523 | (4,501 | ) | |||||
Euro-Bund | Dec-19 | 9 | 989,141 | 89 | ||||||
Euro-Oat | Dec-19 | 9 | 989,141 | 3,397 | ||||||
Euro-Schatz | Dec-19 | 89 | 9,781,510 | 3,537 | ||||||
FTSE/MIB Index | Sep-19 | 1 | 117,158 | (387 | ) | |||||
Gold 100 Oz | Dec-19 | 3 | 458,820 | 19,003 | ||||||
London Metals Exchange Aluminum | Sep-19 | 5 | 216,563 | (6,439 | ) | |||||
London Metals Exchange Copper | Sep-19 | 1 | 141,706 | (2,897 | ) | |||||
London Metals Exchange Nickel | Sep-19 | 3 | 324,090 | 73,381 | ||||||
London Metals Exchange Nickel | Dec-19 | 2 | 214,740 | 25,667 | ||||||
London Metals Exchange Zinc | Sep-19 | 1 | 55,225 | (1,753 | ) | |||||
Long Gilt | Dec-19 | 8 | 973,437 | 8,399 | ||||||
MSCI Taiwan Index | Sep-19 | 2 | 78,180 | 1,776 | ||||||
Palladium | Dec-19 | 1 | 153,920 | 7,318 | ||||||
Platinum | Oct-19 | 1 | 46,585 | (267 | ) | |||||
S&P/TSX 60 Index | Sep-19 | 1 | 147,439 | 1,979 | ||||||
Silver | Dec-19 | 3 | 275,150 | 8,948 | ||||||
SPI 200 Index | Sep-19 | 2 | 221,262 | 856 | ||||||
U.S. Treasury 10-Year Notes | Dec-19 | 12 | 1,233,998 | 1,035 | ||||||
U.S. Treasury 2-Year Notes | Dec-19 | 15 | 3,068,974 | (811 | ) | |||||
U.S. Treasury 5-Year Notes | Dec-19 | 17 | 1,770,577 | 224 | ||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 5 | 699,916 | 2,491 | ||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 3 | 362,671 | 4,518 | ||||||
$ | 328,977 |
The accompanying notes are an integral part of the consolidated financial statements.
6
Campbell Advantage Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Short Contracts | Expiration | Number of | Notional | Value and | ||||||
Brent Crude | Dec-19 | 1 | $ | (58,460 | ) | $ | (522 | ) | ||
Cattle Feeder Futures | Oct-19 | 2 | (130,800 | ) | 5,094 | |||||
Cocoa | Dec-19 | 2 | (44,440 | ) | 194 | |||||
Coffee | Dec-19 | 2 | (72,638 | ) | 725 | |||||
Corn | Dec-19 | 2 | (36,975 | ) | 7 | |||||
Cotton No.2 | Dec-19 | 8 | (235,320 | ) | 13,946 | |||||
FTSE/JSE TOP 40 | Sep-19 | 2 | (64,442 | ) | (119 | ) | ||||
Hang Seng Index | Sep-19 | 1 | (163,321 | ) | 743 | |||||
IBEX 35 Index | Sep-19 | 1 | (96,678 | ) | (623 | ) | ||||
Lean Hogs | Oct-19 | 2 | (50,820 | ) | 1,754 | |||||
Live Cattle | Oct-19 | 5 | (197,852 | ) | 8,605 | |||||
London Metals Exchange Aluminum | Sep-19 | 5 | (216,563 | ) | 6,638 | |||||
London Metals Exchange Aluminum | Dec-19 | 4 | (175,525 | ) | 3,790 | |||||
London Metals Exchange Copper | Sep-19 | 1 | (141,706 | ) | 3,922 | |||||
London Metals Exchange Copper | Dec-19 | 1 | (141,975 | ) | 2,910 | |||||
London Metals Exchange Nickel | Sep-19 | 3 | (324,090 | ) | (63,923 | ) | ||||
London Metals Exchange Zinc | Sep-19 | 1 | (55,225 | ) | 6,828 | |||||
London Metals Exchange Zinc | Dec-19 | 2 | (110,200 | ) | 3,501 | |||||
Low Sulphur Gasoil G Futures | Oct-19 | 1 | (56,225 | ) | 1,073 | |||||
Natural Gas | Oct-19 | 4 | (91,400 | ) | (6,340 | ) | ||||
Russell 2000 E-Mini | Sep-19 | 1 | (74,710 | ) | (517 | ) | ||||
Soybean | Nov-19 | 3 | (130,350 | ) | 191 | |||||
Sugar No. 11 (World) | Oct-19 | 7 | (87,338 | ) | 5,355 | |||||
Topix Index | Sep-19 | 1 | (142,138 | ) | (2,407 | ) | ||||
Wheat | Dec-19 | 1 | (23,125 | ) | 785 | |||||
WTI Crude | Oct-19 | 1 | (55,100 | ) | (1,892 | ) | ||||
$ | (10,282 | ) | ||||||||
Total Futures Contracts | $ | 318,695 |
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Advantage Fund
Consolidated Portfolio of Investments (Concluded)
August 31, 2019
Forward foreign currency contracts outstanding as of August 31, 2019 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||
AUD | 800,000 | USD | 560,036 | Sep 18 2019 | NatWest | $ | (20,954 | ) | |||||||||||||||
CAD | 1,250,000 | USD | 950,495 | Sep 18 2019 | NatWest | (11,348 | ) | ||||||||||||||||
CHF | 300,000 | USD | 306,816 | Sep 18 2019 | NatWest | (3,187 | ) | ||||||||||||||||
EUR | 750,000 | USD | 855,462 | Sep 18 2019 | NatWest | (29,947 | ) | ||||||||||||||||
GBP | 250,000 | USD | 312,403 | Sep 18 2019 | NatWest | (7,945 | ) | ||||||||||||||||
JPY | 97,500,000 | USD | 916,415 | Sep 18 2019 | NatWest | 2,643 | |||||||||||||||||
NOK | 5,700,000 | USD | 667,308 | Sep 18 2019 | NatWest | (41,457 | ) | ||||||||||||||||
NZD | 950,000 | USD | 634,880 | Sep 18 2019 | NatWest | (35,942 | ) | ||||||||||||||||
SEK | 8,400,000 | USD | 902,202 | Sep 18 2019 | NatWest | (45,228 | ) | ||||||||||||||||
USD | 1,554,470 | AUD | 2,250,000 | Sep 18 2019 | NatWest | 38,302 | |||||||||||||||||
USD | 1,087,991 | CAD | 1,450,000 | Sep 18 2019 | NatWest | (1,421 | ) | ||||||||||||||||
USD | 357,201 | CHF | 350,000 | Sep 18 2019 | NatWest | 2,967 | |||||||||||||||||
USD | 2,147,524 | EUR | 1,900,000 | Sep 18 2019 | NatWest | 56,218 | |||||||||||||||||
USD | 1,679,693 | GBP | 1,350,000 | Sep 18 2019 | NatWest | 35,625 | |||||||||||||||||
USD | 250,541 | JPY | 27,000,000 | Sep 18 2019 | NatWest | (3,967 | ) | ||||||||||||||||
USD | 1,623,048 | NOK | 14,250,000 | Sep 18 2019 | NatWest | 58,421 | |||||||||||||||||
USD | 1,439,878 | NZD | 2,200,000 | Sep 18 2019 | NatWest | 52,864 | |||||||||||||||||
USD | 2,036,025 | SEK | 19,200,000 | Sep 18 2019 | NatWest | 77,227 | |||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 122,871 |
AUD | Australian Dollar | JPY | Japanese Yen | |
CAD | Canadian Dollar | NatWest | National Westminster Bank | |
CHF | Swiss Franc | NOK | Norwegian Krone | |
EUR | Euro | NZD | New Zealand Dollar | |
GBP | British Pound | SEK | Swedish Krona | |
USD | United States Dollar |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Advantage Fund
Consolidated Statement of Assets and Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value (cost $1,293,302) | $ | 1,293,099 | ||
Cash | 926,321 | |||
Foreign currency deposits with broker for future contracts (cost $432,088) | 427,540 | |||
Deposits with brokers: | ||||
Futures contracts | 229,963 | |||
Forward foreign currency contracts | 395,000 | |||
Unrealized appreciation on futures contracts | 412,093 | |||
Unrealized appreciation on forward foreign currency contracts | 324,267 | |||
Offering costs | 33,836 | |||
Total assets | 4,042,119 | |||
LIABILITIES | ||||
Due to broker | 207,593 | |||
Unrealized depreciation on forward foreign currency contracts | 201,396 | |||
Unrealized depreciation on futures contracts | 93,398 | |||
Other accrued expenses and liabilities | 39,081 | |||
Total liabilities | 541,468 | |||
Net assets | $ | 3,500,651 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 260 | ||
Paid-in capital | 2,567,859 | |||
Total distributable earnings/(loss) | 932,532 | |||
Net assets | $ | 3,500,651 | ||
CAPITAL SHARES: | ||||
Net assets | $ | 3,500,651 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 259,515 | |||
Net asset value, offering and redemption price per share | $ | 13.49 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Advantage Fund
Consolidated Statement of Operations
For The Period Ended
August 31, 2019(1)
INVESTMENT INCOME | ||||
Interest | $ | 1,454 | ||
Total investment income | 1,454 | |||
EXPENSES | ||||
Audit and tax service fees | 35,245 | |||
Offering costs | 11,226 | |||
Administration and accounting fees (Note 2) | 4,715 | |||
Custodian fees (Note 2) | 1,829 | |||
Printing and shareholder reporting fees | 1,513 | |||
Registration and filing fees | 703 | |||
Transfer agent fees (Note 2) | 396 | |||
Total expenses | 55,627 | |||
Net investment income/(loss) | (54,173 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Futures contracts | 591,495 | |||
Foreign currency transactions | (2,400 | ) | ||
Forward foreign currency contracts | (71,437 | ) | ||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | (203 | ) | ||
Futures contracts | 318,695 | |||
Foreign currency translations | (4,197 | ) | ||
Forward foreign currency contracts | 122,871 | |||
Net realized and unrealized gain/(loss) on investments | 954,824 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 900,651 |
(1) | Fund commenced operations on May 31, 2019. |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Advantage Fund
Consolidated Statement of Changes in Net Assets
For the | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||
Net investment income/(loss) | $ | (54,173 | ) | |
Net realized gain/(loss) from futures contracts, foreign currency transactions and forward foreign currency contracts | 517,658 | |||
Net change in unrealized appreciation/(depreciation) on investments, future contracts, foreign currency translations and forward foreign currency contracts | 437,166 | |||
Net increase/(decrease) in net assets resulting from operations | 900,651 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 2,600,000 | |||
Net increase/(decrease) in net assets from capital share transactions | 2,600,000 | |||
Total increase/(decrease) in net assets | 3,500,651 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 3,500,651 | ||
SHARE TRANSACTIONS: | ||||
Shares sold | 259,515 | |||
Net increase/(decrease) in shares outstanding | 259,515 |
(1) | Fund commenced operations on May 31, 2019. |
The accompanying notes are an integral part of the consolidated financial statements.
11
Campbell Advantage Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the consolidated financial statements. |
For the | ||||
PER SHARE OPERATING PERFORMANCE | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Net investment income/(loss)(2) | (0.22 | ) | ||
Net realized and unrealized gain/(loss) on investments(3) | 3.71 | |||
Net increase/(decrease) in net assets resulting from operations | 3.49 | |||
Dividends and distributions to shareholders from: | ||||
Net investment income | — | |||
Net realized capital gain | — | |||
Total dividends and distributions to shareholders | — | |||
Net asset value, end of period | $ | 13.49 | ||
Total investment return(4) | 34.90 | %(6) | ||
RATIOS/SUPPLEMENTAL DATA | ||||
Net assets, end of period (000’s omitted) | $ | 3,501 | ||
Ratio of expenses to average net assets with waivers and reimbursements | 7.77 | %(5) | ||
Ratio of expenses to average net assets without waivers and reimbursements | 7.77 | %(5) | ||
Ratio of net investment income/(loss) to average net assets | (7.57 | )%(5) | ||
Portfolio turnover rate | 0 | %(6) |
(1) | The Fund commenced investment operations on May 31, 2019. |
(2) | Calculated based on average shares outstanding for the period. |
(3) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(4) | Total investment return is calculated assuming a purchase of shares on the first day and a sale on the last day of the period reported and is not annualized. |
(5) | Annualized. |
(6) | Not annualized. |
The accompanying notes are an integral part of the consolidated financial statements.
12
Campbell Advantage Fund
Notes To Consolidated Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Campbell Advantage Fund (the “Fund”), which commenced investment operations on May 31, 2019. The Fund’s shares are not registered under the Securities Act of 1933 as amended (the “1933 Act”), and are only offered in private placements to other series of the Company and other persons that are “accredited investors” within the meaning of Regulation D under the 1933 Act.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to seek capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Consolidated Financial Statements is the fiscal period from the Fund’s commencement of investment operations on May 31, 2019 through August 31, 2019 (the “current fiscal period”).
Consolidation of Subsidiary —The Adviser’s Campbell Advantage Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Advantage Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $494,947, which represented 14.09% of the Fund’s net assets.
Portfolio Valuation —The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by theCompany’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
13
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● | Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as the end of the reportinig period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 1,293,099 | $ | 1,293,099 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 199,635 | 199,635 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 15,024 | 15,024 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 197,434 | 197,434 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 324,267 | — | 324,267 | — | ||||||||||||
Total Assets | $ | 2,029,459 | $ | 1,705,192 | $ | 324,267 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (84,033 | ) | $ | (84,033 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (4,053 | ) | (4,053 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (5,312 | ) | (5,312 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (201,396 | ) | — | (201,396 | ) | — | ||||||||||
Total Liabilities | $ | (294,794 | ) | $ | (93,398 | ) | $ | (201,396 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A
14
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative Instruments and Hedging Activities —Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following table lists the fair values of the Fund’s derivative holdings as of the end of the reporting period, grouped by contract type and risk exposure category.
Derivative Type | CONSOLIDATED | Commodity | Equity | Interest | Foreign | Total | |||||||||||||||
Asset Derivatives | |||||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | $ | 199,635 | $ | 15,024 | $ | 197,434 | $ | — | $ | 412,093 | ||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | — | 324,267 | 324,267 | |||||||||||||||
Total Value - Assets |
| $ | 199,635 | $ | 15,024 | $ | 197,434 | $ | 324,267 | $ | 736,360 |
Liability Derivatives | |||||||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | $ | (84,033 | ) | $ | (4,053 | ) | $ | (5,312 | ) | $ | — | $ | (93,398 | ) | ||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | — | (201,396 | ) | (201,396 | ) | |||||||||||||
Total Value - Liabilities |
| $ | (84,033 | ) | $ | (4,053 | ) | $ | (5,312 | ) | $ | (201,396 | ) | $ | (294,794 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments. |
15
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | |||||||||||||||
Realized Gain/(Loss) | |||||||||||||||||||||
Futures Contracts | Net realized gain/ | $ | (20,967 | ) | $ | 26,503 | $ | 585,959 | $ | — | $ | 591,495 | |||||||||
Forward Contracts | Net realized gain/ | — | — | — | (71,437 | ) | (71,437 | ) | |||||||||||||
Total Realized Gain/(Loss) |
| $ | (20,967 | ) | $ | 26,503 | $ | 585,959 | $ | (71,437 | ) | $ | 520,058 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | |||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | |||||||||||||||||||||
Futures Contracts | Net change in | $ | 115,602 | $ | 10,971 | $ | 192,122 | $ | — | $ | 318,695 | ||||||||||
Forward Contracts | Net change in | — | — | — | 122,871 | 122,871 | |||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) |
| $ | 115,602 | $ | 10,971 | $ | 192,122 | $ | 122,871 | $ | 441,566 |
For the fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures | Short Futures | Forward Foreign | Forward Foreign | ||||||||||||
$ | 73,905,173 | $ | (2,024,945 | ) | $ | (10,794,860 | ) | $ | 10,849,969 |
16
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 324,267 | $ | (201,396 | ) | $ | — | $ | 122,871 | $ | 201,396 | $ | (201,396 | ) | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). 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. Offering costsfor a new fund are expensed over a 12-month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including investment advisory, offering costs, and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.
17
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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 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
18
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
Counterparty Risk — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
Futures Contracts— The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
Forward Foreign Currency Contracts— The Fund uses forward foreign currency contracts (“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. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
19
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
2. Investment Adviser and Other Services
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the investment adviser to the Fund. The Adviser is a wholly-owned subsidiary of Campbell & Company, L.P. The Fund does not pay a fee to Campbell for investment advisory services. The Fund is only available for investment to clients of Campbell, including other investment companies advised by Campbell. Such clients have discretion to pay Campbell an amount deemed to be fair and reasonable.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities of the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net | ||||||||||||
$ | 1,736,623 | $ | 172,810 | $ | (203 | ) | $ | 172,607 |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to non-1256 futures and timing difference related to taxable income from a wholly owned controlled foreign corporation. |
20
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to investments in wholly-owned controlled foreign corporation and nondeductible organizational costs were reclassified among the following accounts:
Distributable | PAID-IN | ||||||
$ | 31,881 | $ | (31,881 | ) |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Unrealized | |||||||||
$ | 361,245 | $ | 382,490 | $ | 188,797 |
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 or distributions paid during the current fiscal period ended August 31, 2019.
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 current fiscal period ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. As of August 31, 2019, the Fund had no tax basis qualified late-year losses.
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, 2019, the Fund had no tax basis capital loss carryovers to offset future capital gains.
6. New Accounting Pronouncements and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s consolidated financial statements and has elected to early adopt the removed and modified disclosures effective August 31, 2019. The impact of adoption
21
Campbell Advantage Fund
Notes To Consolidated Financial Statements (Concluded)
August 31, 2019
was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of August 31, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
22
Campbell Advantage Fund
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and
Shareholders of Campbell Advantage Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Campbell Advantage Fund (the “Fund”) (one of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the consolidated portfolio of investments, as of August 31, 2019, and the related consolidated statement of operations, the consolidated statement of changes in net assets and the consolidated financial highlights for the period May 31, 2019 (commencement of operations) to August 31, 2019 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, and the consolidated results of its operations, the consolidated changes in its net assets and its consolidated financial highlights for the period May 31, 2019 (commencement of operations) to August 31, 2019, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the auditor of one or more Campbell & Company investment companies since 2015.
Philadelphia, Pennsylvania
October 30, 2019
23
Campbell Advantage Fund
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the period ended August 31, 2019, the Fund paid no ordinary income distributions to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal tax purposes.
The percentage of ordinary income dividends qualifying for the 15% dividend tax rate is 0.00%.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 0.00%.
The Fund designates 100.00% of the ordinary income distributions as qualified short-term gain pursuant to the American Job Creation Act of 2004.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
24
Campbell Advantage 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 (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Campbell & Company Investment Adviser LLC
Campbell Advantage Fund Approval of Investment Advisory Agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the investment advisory agreement between Campbell and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an initial period ending August 16, 2020. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment. In approving the Investment Advisory Agreement, the Board considered information provided by Campbell with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the proposed Investment Advisory Agreement between the Company and Campbell with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Campbell’s proposed services to be provided to the Fund; (ii) descriptions of the experience and qualifications of Campbell’s personnel providing those services; (iii) Campbell’s investment philosophies and processes; (iv) Campbell’s assets under management and client descriptions; (v) Campbell’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Campbell’s advisory fee arrangement with the Company and other similarly managed clients; (vii) Campbell’s compliance policies and procedures; (viii) Campbell’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; and (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper peer group. The Directors noted that the Fund had not yet commenced operations, and consequently there was no performance information to review with respect to the Fund.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Campbell. The Directors concluded that Campbell had substantial resources to provide services to the Fund.
The Board also considered the proposed advisory fee rate to be payable by the Fund under the proposed Investment Advisory Agreement. In this regard, the Board considered that the Fund does not pay a contractual advisory fee to Campbell for Campbell’s investment advisory and related services.
25
Campbell Advantage Fund
Other Information (Concluded)
(Unaudited)
After reviewing the information regarding the Fund’s costs, Campbell’s estimated profitability and economies of scale, and after considering Campbell’s services, the Directors concluded that the investment advisory fees proposed to be paid by the Fund were fair and reasonable and that the proposed Investment Advisory Agreement for the Fund should be approved for an initial term ending August 16, 2020.
26
Campbell Advantage Fund
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling 1-844-261-6488.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
27
Campbell Advantage Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
28
Campbell Advantage Fund
Company Management (Concluded)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1 | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2 | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
29
Campbell Advantage Fund
Privacy Notice
(Unaudited)
Campbell Advantage Fund
FACTS | WHAT DOES THE Campbell Advantage Fund 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 Campbell Advantage Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does the Campbell | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We do not share. | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We do not share. | |
For our affiliates to market to you | No | We do not share. | |
For nonaffiliates to market to you | No | We do not share. |
Questions? | Call 1-844-261-6488 |
30
Campbell Advantage Fund
Privacy Notice (Concluded)
(Unaudited)
What we do | |
How does the Campbell Advantage Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Campbell Advantage Fund collect my personal information? | We collect your personal information, for example, when you ● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ● sharing for affiliates’ everyday business purposes – information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include Campbell Advantage Fund’s investment adviser, Campbell & Company Investment Adviser LLC. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● The Campbell Advantage Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ● The Campbell Advantage Fund does not jointly market. |
31
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[THIS PAGE INTENTIONALLY LEFT BLANK]
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
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, Suite 2000
Philadelphia, PA 19103-6996
CAAD-AR19
Campbell Dynamic Trend Fund
of
THE RBB FUND, INC.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Campbell Dynamic Trend Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Campbell Dynamic Trend Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6488.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Campbell Dynamic Trend Fund, you can call 1-844-261-6488 to inform the Campbell Dynamic Trend Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Campbell Dynamic Trend Fund.
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
Annual Investment Adviser’s Report
(Unaudited)
The Campbell Dynamic Trend Fund’s (the “Fund”) primary objective is to seek capital appreciation by exploiting the tendency of asset markets to exhibit persistent trends. The Fund trades across global futures and forward markets and can be either long or short, which may result in a low long-term correlation to traditional investments.
PERFORMANCE OF THE FUND
Name | 1 Year | 3 Year | Since Inception | |
Campbell Dynamic Trend Fund - Institutional | 10.90% | 3.25% | 0.70% | |
BofA Merrill Lynch 3-Month Treasury Bill Index | 2.36% | 1.47% | 0.98% | |
Barclay BTOP50 Index | 10.37% | 0.68% | 0.19% | |
SG Trend Index | 12.51% | 1.74% | 1.16% | |
MSCI World Index | -1.68% | 7.55% | 4.92% |
* | The inception date of the Fund is December 31, 2014. Performance information shown for an index is from the inception date of the Fund only and is not the inception date of the index itself. |
PAST PERFORMANCE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
The performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at 1-800-698-7235. Performance would have been lower without fee waivers in effect. As of the most recent prospectus, the gross expense ratio for the Fund is 2.46%.
Returns of the Fund’s shares for the fiscal year ended August 31, 2019 (“Fiscal Year”), 3-year period and since the Fund’s inception are shown in the table above, along with the performance of several industry benchmarks, the 3-month Treasury-Bill Index and the MSCI World Index. The Dynamic Trend Program1 (the “Program”) portion of the Fund uses trend following techniques across multiple time horizons to trade approximately 80 markets in four major asset classes. The Program seeks to identify trends as measured by the historical movement of prices over a given time period and establish positions to profit from their continuation. The Program finished the Fiscal Year with positive performance in fixed income and foreign exchange (FX) and negative performance in equity indices and commodities.
The rally in global fixed income markets led to sizable gains for the Program, which maintained a net long position throughout the fiscal year and profited as prices moved higher. Net long exposure to the US dollar (against other major currencies) also led to profits for the Fund, as the portfolio was well-positioned for price appreciation relative to other currencies. On the negative side, a lack of persistent trends in equity markets and commodities, particularly energies, throughout the year created a difficult environment for trend strategies and led to losses in the Program.
Consistent with the prior fiscal year, both medium-term (1-3 months) and long-term (greater than 3 months) strategies gained in the Program.
FISCAL YEAR 2019 HIGHLIGHTS
Trend following continues to be in focus for our research team, with additional focus on continued enhancements to the risk framework. As you may recall, in November 2016, the risk targeting methodology of the Program changed from constant risk targeting to dynamic risk targeting. This dynamic risk management method is designed specifically to complement long exposure to equities, represented by the S&P 500 Index. The dynamic system allows the Program
1
Campbell Dynamic Trend Fund
Annual Investment Adviser’s Report (Continued)
(Unaudited)
to quickly respond to changing volatility environments by aligning portfolio volatility with equity volatility. The idea is that the framework will increase the portfolio’s target risk level during equity crises and help to maximize the trend program’s impact on investors’ portfolios when it’s needed the most.
So far in 2019, risk in the Program has been generally on the lower end of the volatility band, which is set at approximately 5% annual volatility, with a small rise in volatility in the first quarter when equity volatility spiked and the trend program had a negative correlation to equities. This is a good example of the Program’s ability to modulate between a higher-impact diversifying posture and a more “defensive” risk posture, depending on equity volatility and the trend program’s diversification properties.
The dynamic risk targeting framework has been a very active area of research for Campbell & Company Investment Adviser LLC (the “Manager”) over the past few years and we have been implementing variations of the system across both institutional and private investor channels. Should you have any questions on these developments or anything else regarding the Fund, please feel free to reach out; we welcome the opportunity to share further details and look forward to speaking with you during the coming year.
Past performance does not guarantee future results.
Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
RISK CONSIDERATIONS
Managed futures employ leverage; they are speculative investments that are subject to a significant amount of market risk and they are not appropriate for all investors. Although adding managed futures to a portfolio may provide diversification, managed futures are not a perfect hedging mechanism; there is no guarantee that managed futures will appreciate during periods of inflation or stock and bond market declines.
1 | The Fund pursues its investment objective by (i) investing its assets pursuant to the Campbell Dynamic Trend Program; (ii) allocating up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Offshore Limited (the “Subsidiary”), which is organized under the laws of the Cayman Islands and employs the Manager’s Campbell Dynamic Trend Program (as described below), and (iii) allocating 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 Fund is non-diversified, which means it may be invested in fewer securities at any one time than a diversified fund. |
The Fund’s investment activities involve a significant degree of risk and are suitable only for investors with a high tolerance for investment risk, including the possible loss of principal. The Fund may invest in commodities, futures, forwards, options, swaps and other derivatives based on fixed income securities which are subject to credit and interest rate risk. Foreign currencies and emerging markets involves certain risks such as currency volatility, political and social instability and reduced market liquidity.
To the extent that the Manager misjudges current market conditions, the Fund’s volatility may be amplified by its use of derivatives, and its ability to anticipate price movements in relevant markets, underlying derivative instruments and futures contracts.
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 (the “Code”). To maintain qualification for federal income tax purposes as a regulated investment company under the Code, the Fund must meet certain source-of-income, asset diversification and distribution of its income requirements. If the Fund were to fail to qualify as a RIC and became subject to federal income tax, shareholders of the Fund would be subject to diminished returns.
The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
2
Campbell Dynamic Trend Fund
Annual Investment Adviser’s Report (Concluded)
(Unaudited)
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.
The SG Trend Index is equal-weighted and reconstituted annually. The index calculates the net daily rate of return for a pool of trend following based hedge fund managers.
The MSCI World Index captures large and mid-cap representation across 23 developed markets countries.
S&P 500 Index (total return): The 500 stocks in the S&P 500 are chosen by Standard & Poor’s based on industry representation, liquidity and stability. The stocks in the S&P 500 are not the 500 largest companies, rather the Index is designed to capture the returns of many different sectors of the U.S. economy. This calculation includes reinvestment of dividends and distributions.
Each index is unmanaged and not available for direct investment.
Volatility (Standard Deviation): Standard Deviation is a risk statistic used to measure the degree of variation of returns around the mean return.
The Fund is distributed by Quasar Distributors, LLC.
3
Campbell Dynamic Trend Fund
Annual Report
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in
Campbell Dynamic Trend Fund vs. Barclay BTOP50 Index
This chart assumes a hypothetical $10,000 initial investment in the Fund is made on December 31, 2014 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Barclay BTOP50 Index is unmanaged, does not incur expenses and is not available for investment.
average annual total returns for the period ended AUGUST 31, 2019 | ||||
ONE | THREE | SINCE | ||
Campbell Dynamic Trend Fund | 10.90% | 3.25% | 0.70% | |
Barclay BTOP50 Index(2) | 10.37% | 0.68% | 0.19% |
(1) | Inception date of the Fund is December 31, 2014. |
(2) | 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, 2018, is 2.46% and the Fund’s net operating expense ratio after waivers 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,
4
Campbell Dynamic Trend Fund
Annual Report
Performance Data (Concluded)
August 31, 2019 (Unaudited)
interest or taxes) to 1.25% of the Fund’s average daily net assets. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.
An investment in the Fund is speculative and involves substantial risk. The Fund is not suitable for all investors. It is possible that an investor may lose some or all of its investment. The Fund invests in long and short positions in futures, forwards and spot contracts, each of which may be tied to commodities, financial indices and instruments, foreign currencies, or equity indices. The Fund also invests in investment grade fixed income securities of all durations and maturities. The Fund may be more volatile than investments in traditional securities. Losses on futures and other derivatives can be caused by unanticipated market movements and may be potentially unlimited. Commodities, currencies, foreign investments, and interest rate-linked instruments each entail special risks. The Fund is non-diversified; therefore gains or losses on a single holding may have a relatively great impact on the Fund. A more complete description of the Fund’s risks can be found in its prospectus, which should be read carefully before investing.
Portfolio composition is subject to change.
5
Campbell Dynamic Trend Fund
Fund Expense Example
August 31, 2019 (Unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual Six- | |
Actual | $ 1,000.00 | $ 1,188.80 | $6.90 | 1.25% | 18.88% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,018.90 | 6.36 | 1.25 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) 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. |
6
Campbell Dynamic Trend Fund
Consolidated Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a consolidated summary of the portfolio holdings of the Fund at August 31, 2019:
% of Net | Value | |||||||
SHORT-TERM INVESTMENTS: | ||||||||
U.S. Treasury Obligations | 80.8% | $ | 21,422,836 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES (including futures and forward foreign currency contracts) | 19.2 | 5,102,512 | ||||||
NET ASSETS | 100.0% | $ | 26,525,348 |
The Fund seeks to achieve its investment objective by allocating its assets among derivatives and fixed income securities.
As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.
Portfolio holdings are subject to change at any time.
Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.
The accompanying notes are an integral part of the consolidated financial statements.
7
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments
August 31, 2019
Coupon* | Maturity | Par | Value | |||||||||||||
SHORT-TERM INVESTMENTS — 80.8% | ||||||||||||||||
U.S. TREASURY OBLIGATIONS — 80.8% | ||||||||||||||||
United States Treasury Bill | 1.812% | 01/02/20 | $ | 6,590,000 | $ | 6,548,741 | ||||||||||
United States Treasury Bill | 2.186% | 02/27/20 | 3,450,000 | 3,419,043 | ||||||||||||
United States Treasury Bill | 2.438% | 09/26/19 | 3,545,000 | 3,540,634 | ||||||||||||
United States Treasury Bill | 1.855% | 10/17/19 | 4,320,000 | 4,309,519 | ||||||||||||
United States Treasury Bill | 1.967% | 01/16/20 | 3,630,000 | 3,604,899 | ||||||||||||
21,422,836 | ||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||||
(Cost $21,408,255) | 21,422,836 | |||||||||||||||
TOTAL INVESTMENTS — 80.8% | ||||||||||||||||
(Cost $21,408,255) | 21,422,836 | |||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 19.2% | 5,102,512 | |||||||||||||||
NET ASSETS — 100.0% | $ | 26,525,348 |
* | Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments. |
The accompanying notes are an integral part of the consolidated financial statements.
8
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Futures contracts outstanding as of August 31, 2019 were as follows:
Long Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
10 Year Mini Japanese Government Bond | Sep-19 | 72 | $ | 6,777,427 | $ | 104,017 | ||||||||||
3-Month Euro Euribor | Sep-20 | 202 | 55,501,824 | 128,253 | ||||||||||||
90-DAY Bank Bill | Dec-19 | 75 | 50,508,792 | 26,764 | ||||||||||||
90-Day Euro | Sep-20 | 50 | 12,500,000 | 46,029 | ||||||||||||
90-Day Sterling | Sep-20 | 147 | 22,358,639 | 32,470 | ||||||||||||
Amsterdam Index | Sep-19 | 2 | 245,338 | 8,723 | ||||||||||||
Australian 10-Year Bond | Sep-19 | 28 | 1,885,662 | 125,199 | ||||||||||||
Australian 3-Year Bond | Sep-19 | 109 | 7,340,611 | 76,695 | ||||||||||||
CAC40 10 Euro | Sep-19 | 4 | 240,823 | 7,936 | ||||||||||||
Canadian 10-Year Bond | Dec-19 | 21 | 1,577,287 | 2,640 | ||||||||||||
DJIA Mini E-CBOT | Sep-19 | 1 | 132,030 | (4,352 | ) | |||||||||||
Euro BUXL 30-Year Bond Futures | Dec-19 | 5 | 549,523 | 1,423 | ||||||||||||
Euro-Bobl | Dec-19 | 50 | 5,495,230 | 6,615 | ||||||||||||
Euro-BTP | Dec-19 | 10 | 1,099,046 | (9,002 | ) | |||||||||||
Euro-Bund | Dec-19 | 18 | 1,978,283 | 166 | ||||||||||||
Euro-Oat | Dec-19 | 19 | 2,088,187 | 7,177 | ||||||||||||
Euro-Schatz | Dec-19 | 235 | 25,827,582 | 9,417 | ||||||||||||
Euro-Stoxx 50 | Sep-19 | 5 | 187,882 | (4,304 | ) | |||||||||||
FTSE 100 Index | Sep-19 | 1 | 87,372 | (3,840 | ) | |||||||||||
FTSE/MIB Index | Sep-19 | 1 | 117,158 | (4,344 | ) | |||||||||||
Gold 100 Oz | Dec-19 | 6 | 917,640 | 55,785 | ||||||||||||
London Metals Exchange Aluminum | Sep-19 | 11 | 476,438 | (13,218 | ) | |||||||||||
London Metals Exchange Copper | Sep-19 | 3 | 425,119 | (19,815 | ) | |||||||||||
London Metals Exchange Nickel | Sep-19 | 7 | 756,210 | 162,511 | ||||||||||||
London Metals Exchange Nickel | Dec-19 | 5 | 536,850 | 62,121 | ||||||||||||
London Metals Exchange Zinc | Sep-19 | 7 | 386,575 | (56,366 | ) | |||||||||||
Long Gilt | Dec-19 | 16 | 1,946,875 | 17,309 | ||||||||||||
MSCI Singapore Exchange ETS | Sep-19 | 1 | 25,689 | 387 | ||||||||||||
MSCI Taiwan Index | Sep-19 | 5 | 195,450 | 4,441 | ||||||||||||
Nasdaq 100 E-Mini | Sep-19 | 1 | 153,815 | (5,187 | ) | |||||||||||
OMX Stockholm 30 Index | Sep-19 | 1 | 16,045 | 547 | ||||||||||||
Palladium | Dec-19 | 2 | 307,840 | 14,745 | ||||||||||||
Platinum | Oct-19 | 1 | 46,585 | (297 | ) | |||||||||||
S&P 500 E-Mini | Sep-19 | 1 | 146,240 | (4,812 | ) | |||||||||||
S&P/TSX 60 Index | Sep-19 | 2 | 294,878 | 3,959 | ||||||||||||
Silver | Dec-19 | 6 | 550,250 | 21,720 | ||||||||||||
SPI 200 Index | Sep-19 | 4 | 442,524 | (4,990 | ) | |||||||||||
U.S. Treasury 10-Year Notes | Dec-19 | 24 | 2,467,988 | 2,578 | ||||||||||||
U.S. Treasury 2-Year Notes | Dec-19 | 32 | 6,547,150 | (1,796 | ) | |||||||||||
U.S. Treasury 5-Year Notes | Dec-19 | 34 | 3,541,154 | 479 | ||||||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Dec-19 | 11 | 1,539,816 | 5,481 | ||||||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Dec-19 | 7 | 846,235 | 11,324 | ||||||||||||
$ | 814,588 |
The accompanying notes are an integral part of the consolidated financial statements.
9
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments (Continued)
August 31, 2019
Short Contracts | Expiration | Number of | Notional | Value and | ||||||||||||
Brent Crude | Dec-19 | 2 | $ | (116,920 | ) | $ | (1,043 | ) | ||||||||
Cattle Feeder Futures | Oct-19 | 5 | (327,000 | ) | 19,748 | |||||||||||
Cocoa | Dec-19 | 3 | (66,660 | ) | (589 | ) | ||||||||||
Coffee | Dec-19 | 4 | (145,275 | ) | 4,638 | |||||||||||
Corn | Dec-19 | 4 | (73,950 | ) | 1 | |||||||||||
Cotton No.2 | Dec-19 | 17 | (500,055 | ) | 49,074 | |||||||||||
FTSE/JSE TOP 40 | Sep-19 | 4 | (128,883 | ) | (1,491 | ) | ||||||||||
Gasoline RBOB | Oct-19 | 1 | (64,247 | ) | 1,577 | |||||||||||
Hang Seng Index | Sep-19 | 1 | (163,321 | ) | (450 | ) | ||||||||||
IBEX 35 Index | Sep-19 | 1 | (96,678 | ) | (4,129 | ) | ||||||||||
Lean Hogs | Oct-19 | 4 | (101,640 | ) | 5,278 | |||||||||||
Live Cattle | Oct-19 | 10 | (395,700 | ) | 25,101 | |||||||||||
London Metals Exchange Aluminum | Sep-19 | 11 | (476,438 | ) | 28,285 | |||||||||||
London Metals Exchange Aluminum | Dec-19 | 9 | (394,931 | ) | 8,228 | |||||||||||
London Metals Exchange Copper | Sep-19 | 3 | (425,119 | ) | 25,556 | |||||||||||
London Metals Exchange Copper | Dec-19 | 2 | (283,950 | ) | 5,821 | |||||||||||
London Metals Exchange Nickel | Sep-19 | 7 | (756,210 | ) | (161,902 | ) | ||||||||||
London Metals Exchange Zinc | Sep-19 | 7 | (386,575 | ) | 53,845 | |||||||||||
London Metals Exchange Zinc | Dec-19 | 4 | (220,400 | ) | 6,760 | |||||||||||
Low Sulphur Gasoil G Futures | Oct-19 | 3 | (168,675 | ) | 1,845 | |||||||||||
Natural Gas | Oct-19 | 8 | (182,800 | ) | (13,849 | ) | ||||||||||
Nikkie 225 (Osaka Securities Exchange) | Sep-19 | 1 | (97,284 | ) | 1,741 | |||||||||||
Russell 2000 E-Mini | Sep-19 | 1 | (74,710 | ) | 733 | |||||||||||
Soybean | Nov-19 | 5 | (217,250 | ) | 4,036 | |||||||||||
Sugar No. 11 (World) | Oct-19 | 14 | (174,675 | ) | 14,697 | |||||||||||
Topix Index | Sep-19 | 1 | (142,138 | ) | 3,048 | |||||||||||
Wheat | Dec-19 | 3 | (69,375 | ) | 2,516 | |||||||||||
WTI Crude | Oct-19 | 2 | (110,200 | ) | (845 | ) | ||||||||||
$ | 78,230 | |||||||||||||||
Total Futures Contracts | $ | 892,818 |
The accompanying notes are an integral part of the consolidated financial statements.
10
Campbell Dynamic Trend Fund
Consolidated Portfolio of Investments (Concluded)
August 31, 2019
Forward foreign currency contracts outstanding as of August 31, 2019 were as follows:
Currency Purchased | Currency Sold | Expiration | Counterparty | Unrealized | |||||||||||||||||||||||||
AUD | 1,400,000 | USD | 981,759 | Sep 18 2019 | UBS | $ | (38,366 | ) | |||||||||||||||||||||
CAD | 3,350,000 | USD | 2,547,163 | Sep 18 2019 | UBS | (30,247 | ) | ||||||||||||||||||||||
CHF | 1,300,000 | USD | 1,339,726 | Sep 18 2019 | UBS | (24,001 | ) | ||||||||||||||||||||||
EUR | 1,600,000 | USD | 1,820,067 | Sep 18 2019 | UBS | (58,968 | ) | ||||||||||||||||||||||
GBP | 200,000 | USD | 244,575 | Sep 18 2019 | UBS | (1,009 | ) | ||||||||||||||||||||||
JPY | 225,000,000 | USD | 2,111,303 | Sep 18 2019 | UBS | 9,600 | |||||||||||||||||||||||
NOK | 13,050,000 | USD | 1,523,216 | Sep 18 2019 | UBS | (90,348 | ) | ||||||||||||||||||||||
NZD | 2,050,000 | USD | 1,374,347 | Sep 18 2019 | UBS | (81,902 | ) | ||||||||||||||||||||||
SEK | 16,200,000 | USD | 1,737,394 | Sep 18 2019 | UBS | (84,659 | ) | ||||||||||||||||||||||
USD | 2,990,427 | AUD | 4,300,000 | Sep 18 2019 | UBS | 92,863 | |||||||||||||||||||||||
USD | 2,814,545 | CAD | 3,750,000 | Sep 18 2019 | UBS | (2,898 | ) | ||||||||||||||||||||||
USD | 1,424,492 | CHF | 1,400,000 | Sep 18 2019 | UBS | 7,557 | |||||||||||||||||||||||
USD | 4,423,654 | EUR | 3,900,000 | Sep 18 2019 | UBS | 130,974 | |||||||||||||||||||||||
USD | 3,144,890 | GBP | 2,500,000 | Sep 18 2019 | UBS | 100,319 | |||||||||||||||||||||||
USD | 738,716 | JPY | 79,500,000 | Sep 18 2019 | UBS | (10,670 | ) | ||||||||||||||||||||||
USD | 3,457,201 | NOK | 30,150,000 | Sep 18 2019 | UBS | 146,780 | |||||||||||||||||||||||
USD | 2,990,801 | NZD | 4,550,000 | Sep 18 2019 | UBS | 122,203 | |||||||||||||||||||||||
USD | 4,034,267 | SEK | 37,800,000 | Sep 18 2019 | UBS | 177,884 | |||||||||||||||||||||||
Total Forward Foreign Currency Contracts | $ | 365,112 |
AUD | Australian Dollar | JPY | Japanese Yen | |
CAD | Canadian Dollar | NOK | Norwegian Krone | |
CHF | Swiss Franc | NZD | New Zealand Dollar | |
EUR | Euro | SEK | Swedish Krona | |
GBP | British Pound | UBS | Union Bank of Switzerland | |
USD | United States Dollar |
The accompanying notes are an integral part of the consolidated financial statements.
11
Campbell Dynamic Trend Fund
Consolidated Statement of Assets and Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value (cost $21,408,255) | $ | 21,422,836 | ||
Cash | 2,245,498 | |||
Foreign currency deposits with broker for future contracts (cost $958,373) | 946,757 | |||
Deposits with brokers: | ||||
Forward foreign currency contracts | 1,175,000 | |||
Future contracts | 311,533 | |||
Unrealized appreciation on futures contracts | 1,209,439 | |||
Unrealized appreciation on forward foreign currency contracts | 788,180 | |||
Prepaid expenses and other assets | 16,233 | |||
Total assets | 28,115,476 | |||
LIABILITIES | ||||
Due to broker | 761,291 | |||
Payables for: | ||||
Advisory fees | 12,288 | |||
Unrealized depreciation on futures contracts | 316,621 | |||
Unrealized depreciation on forward foreign currency contracts | 423,068 | |||
Other accrued expenses and liabilities | 76,860 | |||
Total liabilities | 1,590,128 | |||
Net assets | $ | 26,525,348 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 2,717 | ||
Paid-in capital | 23,154,999 | |||
Total distributable earnings/(loss) | 3,367,632 | |||
Net assets | $ | 26,525,348 | ||
CAPITAL SHARES: | ||||
Net assets | $ | 26,525,348 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,716,733 | |||
Net asset value, offering and redemption price per share | $ | 9.76 |
The accompanying notes are an integral part of the consolidated financial statements.
12
Campbell Dynamic Trend Fund
Consolidated Statement of Operations
For The Year Ended
August 31, 2019
INVESTMENT INCOME | ||||
Interest | $ | 442,786 | ||
Total investment income | 442,786 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 245,846 | |||
Audit and tax service fees | 53,360 | |||
Administration and accounting fees (Note 2) | 48,363 | |||
Registration and filing fees | 28,716 | |||
Legal fees | 17,424 | |||
Officer fees | 15,453 | |||
Transfer agent fees (Note 2) | 10,362 | |||
Director fees | 10,346 | |||
Custodian fees (Note 2) | 3,201 | |||
Other expenses | 8,133 | |||
Total expenses before waivers and/or reimbursements | 441,204 | |||
Less: waivers and/or reimbursements (Note 2) | (147,518 | ) | ||
Net expenses after waivers and/or reimbursements | 293,686 | |||
Net investment income/(loss) | 149,100 | |||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | (235 | ) | ||
Futures contracts | 1,475,118 | |||
Foreign currency transactions | 18,420 | |||
Forward foreign currency contracts | 229,449 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 15,064 | |||
Futures contracts | 558,291 | |||
Foreign currency translations | (10,338 | ) | ||
Forward foreign currency contracts | 188,972 | |||
Net realized and unrealized gain/(loss) from investments | 2,474,741 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,623,841 |
The accompanying notes are an integral part of the consolidated financial statements.
13
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) | $ | 149,100 | $ | 7,684 | ||||
Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts | 1,722,752 | 26,542 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, future contracts, foreign currency translations and forward foreign currency contracts | 751,989 | 382,034 | ||||||
Net increase/(decrease) in net assets resulting from operations | 2,623,841 | 416,260 | ||||||
Dividends and Distributions to Shareholders From: | ||||||||
Total distributable earnings | (476,308 | ) | (204,171 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (476,308 | ) | (204,171 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold | 8 | 14,357,238 | ||||||
Proceeds from reinvestment of distributions | 476,308 | 204,171 | ||||||
Shares redeemed | (4,742 | ) | — | |||||
Net increase/(decrease) in net assets from capital share transactions | 471,574 | 14,561,409 | ||||||
Total increase/(decrease) in net assets | 2,619,107 | 14,773,498 | ||||||
Net Assets: | ||||||||
Beginning of period | 23,906,241 | 9,132,743 | ||||||
End of period | $ | 26,525,348 | $ | 23,906,241 | ||||
Share Transactions: | ||||||||
Shares sold | 1 | 1,624,061 | ||||||
Shares reinvested | 57,180 | 22,660 | ||||||
Shares redeemed | (574 | ) | — | |||||
Net increase/(decrease) in shares outstanding | 56,607 | 1,646,721 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders from net realized capital gains were $(204,171) during the year ended August 31, 2018, and accumulated net investment income/(loss) as of August 31, 2018 was $(107,454). |
The accompanying notes are an integral part of the consolidated financial statements.
14
Campbell Dynamic Trend Fund
Consolidated Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.99 | $ | 9.01 | $ | 9.26 | $ | 9.71 | $ | 10.00 | ||||||||||
Net investment income/(loss)(2) | 0.06 | 0.01 | (0.07 | ) | (0.11 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.88 | 0.17 | (0.18 | ) | (0.21 | ) | (0.21 | ) | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.94 | 0.18 | (0.25 | ) | (0.32 | ) | (0.29 | ) | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.03 | ) | — | — | — | — | ||||||||||||||
Net realized capital gains | (0.14 | ) | (0.20 | ) | — | (0.13 | ) | — | ||||||||||||
Total dividends and distributions to shareholders | (0.17 | ) | (0.20 | ) | — | (0.13 | ) | — | ||||||||||||
Net asset value, end of period | $ | 9.76 | $ | 8.99 | $ | 9.01 | $ | 9.26 | $ | 9.71 | ||||||||||
Total investment return/(loss)(3) | 10.90 | % | 2.01 | % | (2.70 | )% | (3.36 | )% | (2.90 | )%(6) | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 26,525 | $ | 23,906 | $ | 9,133 | $ | 9,386 | $ | 9,715 | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements | 1.25 | %(4) | 1.25 | %(4) | 1.27 | %(4) | 1.25 | % | 1.26 | %(4)(5) | ||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements | 1.88 | % | 2.46 | % | 3.47 | % | 4.04 | % | 4.39 | %(5) | ||||||||||
Ratio of net investment income/(loss) to average net assets | 0.64 | % | 0.06 | % | (0.80 | )% | (1.13 | )% | (1.25 | )%(5) | ||||||||||
Portfolio turnover rate | 0 | % | 0 | % | 0 | % | 0 | % | 0 | %(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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | 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.
15
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Campbell Dynamic Trend Fund (the “Fund”), which commenced investment operations on December 31, 2014.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to seek capital appreciation.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Consolidated Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
Consolidation of Subsidiary —The Adviser’s Campbell Dynamic Trend Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Core Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $924,242, which represented 3.48% of the Fund’s net assets.
Portfolio Valuation —The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by theCompany’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements —The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
16
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Short-Term Investments | $ | 21,422,836 | $ | 21,422,836 | $ | — | $ | — | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 573,888 | 573,888 | — | — | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 31,515 | 31,515 | — | — | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 604,036 | 604,036 | — | — | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 788,180 | — | 788,180 | — | ||||||||||||
Total Assets | $ | 23,420,455 | $ | 22,632,275 | $ | 788,180 | $ | — |
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (267,924 | ) | $ | (267,924 | ) | $ | — | $ | — | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (37,899 | ) | (37,899 | ) | — | — | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (10,798 | ) | (10,798 | ) | — | — | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (423,068 | ) | — | (423,068 | ) | — | ||||||||||
Total Liabilities | $ | (739,689 | ) | $ | (316,621 | ) | $ | (423,068 | ) | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end
17
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
Disclosures about Derivative Instruments and Hedging Activities —Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.
During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investment in the Subsidiary), to gain investment exposure in accordance with its investment objective.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
The following table lists the fair values of the Fund’s derivative holdings as of August 31, 2019, grouped by contract type and risk exposure category.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized appreciation on futures contracts | $ | 573,888 | $ | 31,515 | $ | 604,036 | $ | — | $ | 1,209,439 | |||||||||||||
Forward Contracts (a) | Unrealized appreciation on forward foreign currency contracts | — | — | — | 788,180 | 788,180 | ||||||||||||||||||
Total Value - Assets | $ | 573,888 | $ | 31,515 | $ | 604,036 | $ | 788,180 | $ | 1,997,619 | ||||||||||||||
Liability Derivatives | ||||||||||||||||||||||||
Futures Contracts (a) | Unrealized depreciation on futures contracts | $ | (267,924 | ) | $ | (37,899 | ) | $ | (10,798 | ) | $ | — | $ | (316,621 | ) | |||||||||
Forward Contracts (a) | Unrealized depreciation on forward foreign currency contracts | — | — | — | (423,068 | ) | (423,068 | ) | ||||||||||||||||
Total Value - Liabilities | $ | (267,924 | ) | $ | (37,899 | ) | $ | (10,798 | ) | $ | (423,068 | ) | $ | (739,689 | ) |
(a) | This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments. |
18
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Realized Gain (Loss) | ||||||||||||||||||||||||
Futures Contracts | Net realized gain/ (loss) from futures contracts | $ | (790,807 | ) | $ | (1,732,439 | ) | $ | 3,998,364 | $ | — | $ | 1,475,118 | |||||||||||
Forward Contracts | Net realized gain/ (loss) from forward foreign currency contracts | — | — | — | 229,449 | 229,449 | ||||||||||||||||||
Total Realized Gain/(Loss) | $ | (790,807 | ) | $ | (1,732,439 | ) | $ | 3,998,364 | $ | 229,449 | $ | 1,704,567 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
Derivative Type | Consolidated | Commodity | Equity | Interest | Foreign | Total | ||||||||||||||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||||||||||||||||||
Futures Contracts | Net change in unrealized appreciation/ (depreciation) on futures contracts | $ | 144,769 | $ | (195,424 | ) | $ | 608,946 | $ | — | $ | 558,291 | ||||||||||||
Forward Contracts | Net change in unrealized appreciation/ (depreciation) on forward foreign currency contracts | — | — | — | 188,972 | 188,972 | ||||||||||||||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | 144,769 | $ | (195,424 | ) | $ | 608,946 | $ | 188,972 | $ | 747,263 |
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
Long Futures | Short Futures | Forward Foreign | Forward Foreign | ||||||||||||
$233,316,096 | $(33,201,842) | $(49,676,188) | $49,831,755 |
19
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).
Gross Amount Not | Gross Amount Not | |||||||||||||||||||||||||||||||||
Description | Gross Amount | Financial | Collateral | Net | Gross Amount | Financial | Collateral | Net | ||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||||||||
Forward Foreign Currency Contracts | $ | 788,180 | $ | (423,068 | ) | $ | — | $ | 365,112 | $ | 423,068 | $ | (423,068 | ) | $ | — | $ | — |
(1) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(2) | Actual collateral pledged may be more than the amount shown. |
(3) | Net amount represents the net amount payable to the counterparty in the event of default. |
Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). 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.
20
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
For tax purposes, the Subsidiary is an exempted Cayman 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.
21
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
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 off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
22
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
2. Investment Adviser and Other Services
Campbell & Company Investment Adviser LLC (“Campbell” or the “Adviser”) serves as the investment adviser to the Fund. The Adviser is a wholly-owned subsidiary of Campbell & Company, L.P. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue this arrangement at any time after December 31, 2020.
Advisory Fee | Expense Cap |
1.05% | 1.25% |
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:
Gross | Waivers and/or | Net |
$245,846 | $(147,518) | $98,328 |
If at any time the Fund’s total annual Fund operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement.
As of the end of the reporting period, the Fund had amounts available for recoupment as follows:
Expiration | |||
August 31, | August 31, | August 31, | Total |
$199,666 | $149,574 | $147,518 | $496,758 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
23
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.
3. Director and Officer Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.
4. Purchases and Sales of Investment Securities
During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities of the Fund.
5. Federal Income Tax Information
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):
Federal Tax | Unrealized | Unrealized | Net |
$23,402,805 | $365,608 | $(1,069,031) | $(704,023) |
(a) | The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to non-1256 futures and timing difference related to taxable income from a wholly owned controlled foreign corporation. |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
The following permanent differences as of August 31, 2019, primarily attributable to investments in wholly-owned controlled foreign corporation were reclassified among the following accounts:
Distributable | PAID-IN |
$784,067 | $(784,067) |
24
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Continued)
August 31, 2019
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Unrealized |
$1,253,945 | $1,668,266 | $445,421 |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Subsidiary for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018, were as follows:
Ordinary | Long-Term | Total | |
2019 | $297,388 | $178,920 | $476,308 |
2018 | $204,171 | $— | $204,171 |
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. As of August 31, 2019, the Fund had no tax basis qualified late-year losses.
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, 2019, the Fund had no tax basis capital loss carryovers to offset future capital gains.
6. New Accounting Pronouncements and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s consolidated financial statements and has elected to early adopt the removed and modified disclosures effective August 31, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of August 31, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the
25
Campbell Dynamic Trend Fund
Notes To Consolidated Financial Statements (Concluded)
August 31, 2019
total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.
26
Campbell Dynamic Trend Fund
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and
Shareholders of Campbell Dynamic Trend Fund
Opinion on the Financial Statements
We have audited the accompanying consolidated statement of assets and liabilities of Campbell Dynamic Trend Fund (the “Fund”) (one of the portfolios constituting The RBB Fund Inc. (the “Company”)), including the consolidated portfolio of investments, as of August 31, 2019, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the four years in the period then ended and the period December 31, 2014 (commencement of operations) to August 31, 2015 and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the consolidated financial position of the Fund (one of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, the consolidated results of its operations for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and its consolidated financial highlights for each of the four years in the period then ended and the period December 31, 2014 (commencement of operations) to August 31, 2015, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Campbell & Company investment companies since 2015.
Philadelphia, Pennsylvania
October 30, 2019
27
Campbell Dynamic Trend Fund
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the period ended August 31, 2019, the Fund paid $297,388 of ordinary income distributions to its shareholders. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal tax purposes.
The percentage of ordinary income dividends qualifying for the 15% dividend tax rate is 0.00%.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 0.00%.
The Fund designates 68.81% of the ordinary income distributions as qualified short-term gain pursuant to the American Job Creation Act of 2004.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
28
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 1-844-261-6488 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 (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Campbell Dynamic Trend Approval of Investment Advisory Agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Campbell and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement, the Board considered information provided by Campbell with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement between the Company and Campbell with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Campbell’s services to be provided to the Fund; (ii) descriptions of the experience and qualifications of Campbell’s personnel providing those services; (iii) Campbell’s investment philosophies and processes; (iv) Campbell’s assets under management and client descriptions; (v) Campbell’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Campbell’s advisory fee arrangement with the Company and other similarly managed clients; (vii) Campbell’s compliance policies and procedures; (viii) Campbell’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper peer group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Campbell. The Directors concluded that Campbell had substantial resources to provide services to the Fund and that Campbell’s services had been acceptable.
The Directors also considered the investment performance of the Fund. The Directors noted that the Fund had outperformed its benchmark index (Barclays BTOP50 Index) for the year-to-date, three-year and since inception periods ended March 31, 2019. The Directors noted that the Fund ranked in the 1st quintile within its Lipper Performance Group for the one-year period ended December 31, 2018, and in the 3rd quintile within its Lipper Performance Universe for the one-year and two-year periods ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) was compared to similar information for mutual funds advised by other,
29
Campbell Dynamic Trend Fund
Other Information (Concluded)
(Unaudited)
unaffiliated investment advisory firms. The Directors noted that the actual advisory fee of the Fund ranked in the 1st quintile of the Fund’s Lipper Expense Group and Lipper Expense Universe. In addition, the Directors noted that Campbell had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to the extent that total annual Fund operating expenses exceeded 1.25% of the Fund’s average daily net assets.
After reviewing the information regarding the Fund’s costs, Campbell’s estimated profitability and economies of scale, and after considering Campbell’s services, the Directors concluded that the investment advisory fee to be paid by the Fund was fair and reasonable and that the Investment Advisory Agreement should be approved for an additional annual period ending August 16, 2020.
30
Campbell Dynamic Trend Fund
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (844)-261-6488.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
Arnold M. Reichman | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
31
Campbell Dynamic Trend Fund
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
32
Campbell Dynamic Trend Fund
Company Management (Concluded)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1 | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2 | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
33
Campbell Dynamic Trend Fund
Privacy Notice
(Unaudited)
Campbell Dynamic Trend Fund
FACTS | WHAT DOES THE Campbell Dynamic Trend Fund 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 Campbell Dynamic Trend Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does the Campbell | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We do not share. | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We do not share. | |
For our affiliates to market to you | No | We do not share. | |
For nonaffiliates to market to you | No | We do not share. |
Questions? | Call 1-844-261-6488 |
34
Campbell Dynamic Trend Fund
Privacy Notice (Concluded)
(Unaudited)
What we do | |
How does the Campbell Dynamic Trend Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Campbell Dynamic Trend Fund collect my personal information? | We collect your personal information, for example, when you ● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ● sharing for affiliates’ everyday business purposes – information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include Campbell Dynamic Trend Fund’s investment adviser, Campbell & Company Investment Adviser LLC. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● The Campbell Dynamic Trend Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ● The Campbell Dynamic Trend Fund does not jointly market. |
35
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[THIS PAGE INTENTIONALLY LEFT BLANK]
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, Suite 2000
Philadelphia, PA 19103-6996
CADT-AR19
FREE MARKET U.S. EQUITY FUND
FREE MARKET INTERNATIONAL EQUITY FUND
FREE MARKET FIXED INCOME FUND
of
The RBB Fund, Inc.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-866-780-0357 ext. 3863.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-866-780-0357 ext. 3863 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
FREE MARKET FUNDS
Annual Investment Adviser’s Report
AUGUST 31, 2019 (Unaudited)
Dear Shareholder,
The Free Market Funds (the “Funds”) have continued to gain new shareholders and have approximately $8 billion in assets. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies.
Over the twelve months ended August 31, 2019, investors experienced a downturn in the equity markets. The Free Market U.S. Equity Fund (FMUEX) returned -12.09%, while the Free Market International Equity Fund (FMNEX) returned -11.66%. On the fixed income side, the Free Market Fixed Income Fund (FMFIX) was up 5.11%.
FMUEX was buoyed by U.S. large company stocks, which led the way with a return of 2.92% as measured by the S&P 500® Index. However, micro- cap stocks contributed the most to the negative performance with a return of -20.75% as measured by the CRSP U.S. Micro Cap Index. Small cap companies also contributed to the negative performance with the Russell 2000® Index returning -12.89% for the twelve months ended August 31, 2019. International stocks over the twelve months ended August 31, 2019 saw negative performance in all areas. The MSCI EAFE Small Cap Index returned -9.16%, while international large cap companies, as represented by the MSCI EAFE Index, returned -3.26% for the same period. In addition, the performance of the Free Market International Fund was also affected by the emerging markets allocation of the portfolio, which returned -4.36% over the twelve months ended August 31, 2019, as measured by the MSCI Emerging Markets Index. The bond markets had positive performance over the same period, with corporate holdings doing slightly better than government holdings. The FTSE World Government Bond 1-5 Years Currency Hedged U.S. Dollar Index posted a gain of 5.33%, while the Bloomberg Barclays U.S. Government/Credit Intermediate Bond Index posted a gain of 8.12%.
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 seek to 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.
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
Annual Investment Adviser’s Report (continued)
AUGUST 31, 2019 (Unaudited)
The CRSP U.S. Micro Cap Index includes the smallest U.S. companies, with a target of including the bottom 2% of investable market capitalization.
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.
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 MSCI EAFE Small Cap Index is an equity index that captures small cap representation across Developed Markets countries around the world, excluding the U.S. and Canada. With 2,341 constituents, the index covers approximately 14% of the free float-adjusted market capitalization in each country.
MSCI EAFE Index is an equity index which captures large and mid cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. With 923 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The MSCI Emerging Markets Index captures large and mid-cap representation across 26 Emerging Markets (EM) countries. With 1,202 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The FTSE World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 30 years of history available. The WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating, including the FTSE World Government Bond 1-5 Year Currency Hedged U.S. Dollar Index.
The Bloomberg Barclays US Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
One cannot invest directly in an index. Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
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. The Free Market International Equity Fund invests 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. The Free Market Fixed Income Fund’s investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. The Free Market Funds invest in mutual funds and ETFs. The performance of the Funds will depend on how successfully the investment adviser(s) to the underlying investment companies pursue their investment strategies.
Shares of the Funds are distributed by Quasar Distributors, LLC.
2
FREE MARKET FUNDS
Annual Investment Adviser’s Report (continued)
AUGUST 31, 2019 (Unaudited)
Free Market U.S. Equity Fund—Investment Review
The twelve-month period ended August 31, 2019, saw some periods of noticeable volatility in domestic equity markets. After logging strong returns in 2017, global equity markets delivered negative returns in U.S. dollar terms in 2018, with most downward movement coming at the end of 2018. Common news stories over the past twelve months have included reports on global economic growth, corporate earnings, record low unemployment in the U.S., the implementation of Brexit, U.S. trade wars with China and other countries, and a flattening U.S. Treasury yield curve. The performance of U.S. equities in 2019 have reversed course from the end of 2018 and have shown strong positive performance despite noticeable volatility.
For the twelve months ended August 31, 2019, the Free Market U.S. Equity Fund provided a total return of -12.09% at net asset value. This compares with a return of -7.14% over the same period for the Fund’s benchmark, the Russell 2500® Index.
As a result of the Free Market U.S. Equity Fund’s diversified investment approach, performance principally was determined by broad structural trends in equity markets, rather than the behavior of a limited number of stocks. Among the most important factors explaining differences in the behavior of diversified equity funds, like the Free Market U.S. Equity Fund, are company size and company value/growth characteristics of the underlying fund holdings. Size is measured by market capitalization and “value” classification is a function of stock price relative to one or more fundamental characteristics.
U.S. large company stocks performed better than U.S. small company stocks. The Russell 2000® Index returned -12.89%, while the S&P 500® Index was up 2.92% for the twelve month period ended August 31, 2019. Furthermore, for the same time-period, the Russell 2000® Value Index returned -14.89% and the Russell 1000® Value Index returned 0.62%.
In summary, U.S. large cap stocks performed better than small cap stocks and U.S. growth stocks outperformed U.S. value stocks, which also contributed to returns of the Fund.
Today’s environment underscores that markets are highly unpredictable over the short term. In other words, anything can happen, so a balanced, diversified, long-term approach is favored.
3
FREE MARKET FUNDS
Annual Investment Adviser’s Report (continued)
AUGUST 31, 2019 (Unaudited)
Free Market International Equity Fund—Investment Review
The global markets experienced a roller coaster ride during the twelve-month period ended August 31, 2019. 2018 ended with international equity markets faring better then U.S. markets and outpacing the performance of the U.S. markets. However, with the continued talk of trade wars, international stocks have underperformed U.S. equities so far in 2019.
For the twelve months ended August 31, 2019, the Free Market International Equity Fund was down -11.66%. This compares with a return of -2.90% over the same period for the Fund’s benchmark, the MSCI World (ex USA) Index, which captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries excluding the United States.
As a result of the Free Market International Equity Fund’s diversified investment approach, performance principally was determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. Among the most important factors explaining differences in the behavior of diversified international equity funds, like the Free Market International Equity Fund, are company size and company value/growth characteristics of the underlying fund holdings and broad exposure to emerging market equities.
International large company stocks fared better than international small company stocks. The MSCI EAFE Small Cap Index returned -9.16% for the twelve months ended August 31, 2019, while the MSCI EAFE Index returned -3.26% for the same period. Furthermore, for the same time period, the MSCI EAFE Value Index declined by -7.42%, while the MSCI EAFE Small Cap Value Index was down -9.39% and the MSCI Emerging Markets Index was down -4.36%.
In summary, factors that contributed to the Fund’s underperformance compared to its benchmark can largely be explained by its tilt toward small cap and value stocks.
Today’s environment underscores that markets are highly unpredictable over the short term. In other words, anything can happen, so a balanced, diversified, long-term approach is favored.
4
FREE MARKET FUNDS
Annual Investment Adviser’s Report (Concluded)
AUGUST 31, 2019 (Unaudited)
Free Market Fixed Income Fund—Investment Review
The U.S. economy grew modestly during the twelve months ended August 31, 2019. Total unemployment continued to remain low and many economists consider it at or near full employment. Monetary policy remains accommodative. The Federal Open Market Committee (or the “Fed”) reversed course in 2019 after more than three years of gradual interest rate hikes, announcing America’s first rate cut since 2008. The Fed cited lackluster inflation and “the implications of global developments.” While rates remain low, this continues to keep the return of fixed income low relative to historic norms on both domestic and foreign issues. The broad proxy for the U.S. bond market, the Barclays Capital U.S. Aggregate Bond Index gained 10.17%, while the Barclays Global Aggregate Bond Index (hedged) returned 10.74% for the twelve-month period ended August 31, 2019. As a result of the decrease in interest rates, short-term bonds were outperformed by ones with a longer maturity. The Bloomberg Barclays U.S. Government/Credit 1-3 Years Index returned 4.62% while long-term government bonds, which is defined as U.S. government issued debt with 10+ year maturity, lost 33.28%.
The Free Market Fixed Income Fund focuses on mutual funds that invest in global high quality and shorter-term government and corporate fixed income assets. For the twelve-month period ended August 31, 2019, the Free Market Fixed Income Fund returned 5.11%. This compares with a return of 5.33% over the same period for the fund’s benchmark, the FTSE World Government Bond 1-5 Year Currency Hedged U.S. Dollar Index.
The Free Market Fixed Income Fund performed as expected, and slightly underperformed its benchmark for the period. A contributing factor to the performance of the Fund compared to its benchmark was the Fund’s slightly lower exposure to certain global markets and exposure to shorter term maturities.
The Russell 2500® Index consists of the smallest 2,500 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
Russell 2000® Value 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, with relatively low price-to-book ratios and lower forecasted growth values.
Russell 1000® Value Index consists of the largest 1,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization, with relatively low price-to-book ratios and lower forecasted growth values.
The MSCI World ex USA Index captures large and mid cap representation across 22 of 23 developed markets (DM) countries*--excluding the United States. With 1,013 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI EAFE Small Cap Value Index captures small cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada.
MSCI EAFE Value Index captures large and mid cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
* | Developed Markets countries include: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the UK. |
Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.
Bloomberg Barclays Global Aggregate Bond Index is a flagship measure of global investment grade debt from twenty-four local currency markets.
Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales.
5
FREE MARKET FUNDS
PERFORMANCE DATA
AUGUST 31, 2019 (Unaudited)
Free Market U.S. Equity Fund
Comparison of Change in Value of $10,000 Investment in
Free Market U.S. Equity Fund vs. Russell 2500® Index and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is a professionally managed mutual fund while the Russell 2500® Index and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 Year | 5 Years | 10 Years | Since | |
Free Market U.S. Equity Fund | -12.09% | 4.84% | 11.19% | 7.80%(1) |
Russell 2500® Index | -7.14% | 7.06% | 12.65% | 8.23% |
Composite Index(2) | -6.39% | 6.99% | 11.67% | 7.17% |
(1) | The Fund commenced operations on December 31, 2007. |
(2) | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, 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 0.86% (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 $16.90 per share on August 31, 2019.
Portfolio composition is subject to change.
The Free Market U.S. Equity Fund’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
6
FREE MARKET FUNDS
PERFORMANCE DATA (CONtinued)
AUGUST 31, 2019 (Unaudited)
Free Market International Equity Fund
Comparison of Change in Value of $10,000 Investment in
Free Market International Equity Fund vs. MSCI World (excluding U.S.) Index and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is a professionally managed mutual fund while the MSCI World (excluding U.S.) Index and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 Year | 5 Years | 10 Years | Since | |
Free Market International Equity Fund | -11.66% | 0.00% | 4.41% | 1.98%(1) |
MSCI World (excluding U.S.) Index | -2.90% | 1.64% | 4.91% | 4.75% |
Composite Index(2) | -6.29% | 1.81% | 5.25% | 1.59% |
(1) | The Fund commenced operations on December 31, 2007. |
(2) | The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index and MSCI Emerging Markets Free Index, each weighted 25%, 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 1.03% (included in the ratio is 0.46% 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 $9.09 per share on August 31, 2019.
Portfolio composition is subject to change.
The Free Market International Equity Fund’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
7
FREE MARKET FUNDS
PERFORMANCE DATA (CONCLUDED)
AUGUST 31, 2019 (Unaudited)
Free Market Fixed Income Fund
Comparison of Change in Value of $10,000 Investment in
Free Market Fixed Income Fund vs. FTSE World Government Bond Index 1-5 Years and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Fund made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is a professionally managed mutual fund while the FTSE World Government Bond Index 1-5 Years and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 Year | 5 Years | 10 Years | Since | |
Free Market Fixed Income Fund | 5.11% | 1.54% | 1.54% | 1.76%(1) |
FTSE World Government Bond Index 1-5 Years | 5.33% | 1.99% | 1.90% | 2.33% |
Composite Index(2) | 6.50% | 2.13% | 2.22% | 2.53% |
(1) | The Fund commenced operations on December 31, 2007. |
(2) | The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Capital Aggregate Bond Index, each weighted 25%, 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 0.73% (included in the ratio is 0.18% 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 $10.47 per share on August 31, 2019.
Portfolio composition is subject to change.
The Free Market Fixed Income Fund’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur expenses of the underlying funds in addition to the Fund’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Fund.
8
FREE MARKET FUNDS
Fund Expense ExampleS
AUGUST 31, 2019 (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 March 1, 2019 through August 31, 2019, and held for the entire period.
Actual Expenses
The first section of the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical EXAMPLES for Comparison Purposes
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Free Market U.S. Equity Fund | $ 1,000.00 | $ 952.10 | $ 2.76 | 0.56% | -4.79% |
Free Market International Equity Fund | 1,000.00 | 942.90 | 2.84 | 0.58% | -5.71 |
Free Market Fixed Income Fund | 1,000.00 | 1,035.30 | 2.87 | 0.56% | 3.53 |
Hypothetical (5% return before expenses) | |||||
Free Market U.S. Equity Fund | $ 1,000.00 | $ 1,022.38 | $ 2.85 | 0.56% | N/A |
Free Market International Equity Fund | 1,000.00 | 1,022.28 | 2.96 | 0.58% | N/A |
Free Market Fixed Income Fund | 1,000.00 | 1,022.38 | 2.85 | 0.56% | N/A |
* | Expenses are equal to each Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. Each Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for each Fund for the period March 1, 2019 through August 31, 2019. 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: |
PORTFOLIO | RANGE OF WEIGHTED |
Free Market U.S. Equity Fund | 0.00% - 0.13% |
Free Market International Equity Fund | 0.00% - 0.27% |
Free Market Fixed income Fund | 0.00% - 0.07% |
9
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
DOMESTIC EQUITY FUNDS — 99.9% | ||||||||
iShares Core S&P 500 ETF | 143,450 | $ | 42,213,031 | |||||
U.S. Large Cap Value Portfolio III (a) | 33,790,289 | 807,925,806 | ||||||
U.S. Large Cap Value Series (b) | 1,423,796 | 69,281,910 | ||||||
U.S. Large Company Portfolio (a) | 17,288,632 | 391,414,630 | ||||||
U.S. Micro Cap Portfolio (c) | 22,103,403 | 432,784,640 | ||||||
U.S. Small Cap Portfolio (c) | 13,509,147 | 433,508,531 | ||||||
U.S. Small Cap Value Portfolio (c) | 23,540,113 | 717,738,059 | ||||||
TOTAL DOMESTIC EQUITY FUNDS | ||||||||
(Cost $2,348,699,744) | 2,894,866,607 | |||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||
STIT-Government & Agency Portfolio, 2.02%* | 525,969 | 525,969 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $525,969) | 525,969 | |||||||
TOTAL INVESTMENTS — 99.9% | ||||||||
(Cost $2,349,225,713) | 2,895,392,576 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 3,625,469 | |||||||
NET ASSETS — 100.0% | $ | 2,899,018,045 |
Portfolio Holdings Summary Table
% of | Value | |||||||
Domestic Equity Funds | 99.9 | % | $ | 2,894,866,607 | ||||
Short-Term Investments | 0.0 | 525,969 | ||||||
Other Assets In Excess Of Liabilities | 0.1 | 3,625,469 | ||||||
NET ASSETS | 100.0 | % | $ | 2,899,018,045 |
* | Seven-day yield as of August 31, 2019. |
(a) | A portfolio of Dimensional Investment Group Inc. |
(b) | A portfolio of DFA Investment Trust Company. |
(c) | A portfolio of DFA Investment Dimensions Group Inc. |
ETF Exchange-Traded Fund
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
10
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Portfolio of Investments
August 31, 2019
Number of | Value | |||||||
INTERNATIONAL EQUITY FUNDS — 99.9% | ||||||||
Asia Pacific Small Company Portfolio (a) | 1,383,150 | $ | 27,925,792 | |||||
Canadian Small Company Series (b) | 2,614,099 | 26,835,136 | ||||||
Continental Small Company Portfolio (a) | 1,305,503 | 30,587,941 | ||||||
Continental Small Company Series (b) | 464,912 | 39,892,256 | ||||||
DFA International Small Cap Value Portfolio (a) | 49,957,438 | 861,765,811 | ||||||
DFA International Value Portfolio III (c) | 31,541,356 | 427,700,790 | ||||||
DFA International Value Series (b) | 10,023,939 | 217,719,963 | ||||||
Emerging Markets Portfolio (a) | 4,267,392 | 111,848,357 | ||||||
Emerging Markets Small Cap Portfolio (a) | 5,464,530 | 104,755,042 | ||||||
Emerging Markets Value Portfolio, Class Institutional (a) | 4,037,956 | 105,471,406 | ||||||
Japanese Small Company Portfolio (a) | 2,144,193 | 48,415,882 | ||||||
Large Cap International Portfolio (a) | 4,997,042 | 107,486,371 | ||||||
United Kingdom Small Company Portfolio (a) | 139,396 | 3,525,323 | ||||||
United Kingdom Small Company Series (b) | 583,473 | 37,493,807 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $2,212,198,368) | 2,151,423,877 | |||||||
SHORT-TERM INVESTMENTS — 0.0% | ||||||||
STIT-Government & Agency Portfolio 2.02%* | 792,111 | 792,111 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $792,111) | 792,111 | |||||||
TOTAL INVESTMENTS — 99.9% | ||||||||
(Cost $2,212,990,479) | 2,152,215,988 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1% | 2,691,741 | |||||||
NET ASSETS — 100.0% | $ | 2,154,907,729 |
Portfolio Holdings Summary Table
% of | Value | |||||||
International Equity Funds | 99.9 | % | $ | 2,151,423,877 | ||||
Short-Term Investments | 0.0 | 792,111 | ||||||
Other Assets In Excess Of Liabilities | 0.1 | 2,691,741 | ||||||
NET ASSETS | 100.0 | % | $ | 2,154,907,729 |
* | Seven-day yield as of August 31, 2019. |
(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.
11
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
FIXED INCOME FUNDS — 99.5% | ||||||||
DFA Five-Year Global Fixed Income Portfolio (a) | 62,617,915 | $ | 687,544,710 | |||||
DFA Inflation-Protected Securities Portfolio (a) | 11,159,950 | 136,820,986 | ||||||
DFA Intermediate Government Fixed Income Portfolio (a) | 12,527,374 | 164,860,240 | ||||||
DFA One-Year Fixed Income Portfolio (a) | 38,586,806 | 397,829,972 | ||||||
DFA Short-Term Government Portfolio (a) | 10,378,360 | 109,906,832 | ||||||
DFA Two-Year Global Fixed Income Portfolio (a) | 41,173,889 | 412,150,624 | ||||||
iShares Intermediate-Term Corporate Bond ETF | 2,838,608 | 165,462,460 | ||||||
iShares Short-Term Corporate Bond ETF | 12,280,920 | 660,467,878 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $2,691,939,094) | 2,735,043,702 | |||||||
SHORT-TERM INVESTMENTS — 0.3% | ||||||||
STIT-Government & Agency Portfolio, 2.02%* | 8,921,033 | 8,921,033 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $8,921,033) | 8,921,033 | |||||||
TOTAL INVESTMENTS — 99.8% | ||||||||
(Cost $2,700,860,127) | 2,743,964,735 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 4,628,462 | |||||||
NET ASSETS — 100.0% | $ | 2,748,593,197 |
Portfolio Holdings Summary Table
% of | Value | |||||||
Fixed Income Funds | 99.5 | % | $ | 2,735,043,702 | ||||
Short-Term Investments | 0.3 | 8,921,033 | ||||||
Other Assets In Excess Of Liabilities | 0.2 | 4,628,462 | ||||||
NET ASSETS | 100.0 | % | $ | 2,748,593,197 |
* | Seven-day yield as of August 31, 2019. |
(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.
12
FREE MARKET FUNDS
Statements of Assets and Liabilities
August 31, 2019
Free Market | Free Market | Free Market | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value (cost $2,348,699,744, $2,212,198,368 and $2,691,939,094, respectively) | $ | 2,894,866,607 | $ | 2,151,423,877 | $ | 2,735,043,702 | ||||||
Short-term investments, at value (cost $525,969, $792,111 and $8,921,033, respectively) | 525,969 | 792,111 | 8,921,033 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | 3,443,433 | 2,677,556 | 3,241,734 | |||||||||
Receivable for Investments Sold | 3,000,000 | 2,175,812 | 3,481,980 | |||||||||
Dividends receivable | 2,804 | 4,207 | 726,429 | |||||||||
Prepaid expenses and other assets | 100,128 | 76,324 | 35,651 | |||||||||
Total assets | 2,901,938,941 | 2,157,149,887 | 2,751,450,529 | |||||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Capital shares redeemed | 1,482,506 | 1,038,602 | 1,542,105 | |||||||||
Advisory fees | 1,221,709 | 904,568 | 1,155,748 | |||||||||
Administration and accounting fees | 66,780 | 46,622 | 64,971 | |||||||||
Transfer agent fees | 8,161 | 5,562 | 8,369 | |||||||||
Other accrued expenses and liabilities | 141,740 | 246,804 | 86,139 | |||||||||
Total liabilities | 2,920,896 | 2,242,158 | 2,857,332 | |||||||||
Net assets | $ | 2,899,018,045 | $ | 2,154,907,729 | $ | 2,748,593,197 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 171,558 | $ | 237,031 | $ | 262,406 | ||||||
Paid-in capital | 2,208,126,001 | 2,176,704,087 | 2,701,014,131 | |||||||||
Total distributable earnings/(loss) | 690,720,486 | (22,033,389 | ) | 47,316,660 | ||||||||
Net assets | $ | 2,899,018,045 | $ | 2,154,907,729 | $ | 2,748,593,197 | ||||||
CAPITAL SHARES: | ||||||||||||
Net assets | $ | 2,899,018,045 | $ | 2,154,907,729 | $ | 2,748,593,197 | ||||||
Shares outstanding ($0.001 par value, 700,000,000 shares authorized) | 171,558,382 | 237,031,187 | 262,405,867 | |||||||||
Net asset value, offering and redemption price per share | $ | 16.90 | $ | 9.09 | $ | 10.47 |
The accompanying notes are an integral part of the financial statements.
13
FREE MARKET FUNDS
Statements of Operations
For the Year Ended August 31, 2019
Free Market | Free Market | Free Market | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 46,110,300 | $ | 61,790,963 | $ | 89,200,947 | ||||||
Total investment income | 46,110,300 | 61,790,963 | 89,200,947 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 15,044,625 | 10,918,207 | 13,861,501 | |||||||||
Administration and accounting fees (Note 2) | 789,804 | 561,758 | 728,466 | |||||||||
Legal fees | 180,925 | 140,216 | 166,638 | |||||||||
Director fees | 175,050 | 123,607 | 177,055 | |||||||||
Officer fees | 126,461 | 89,081 | 113,869 | |||||||||
Transfer agent fees (Note 2) | 105,139 | 75,562 | 100,539 | |||||||||
Printing and shareholder reporting fees | 95,258 | 97,567 | 104,414 | |||||||||
Custodian fees (Note 2) | 90,083 | 62,189 | 73,992 | |||||||||
Registration and filing fees | 46,478 | 38,746 | 41,842 | |||||||||
Audit and tax service fees | 35,079 | 36,973 | 32,746 | |||||||||
Other expenses | 160,045 | 552,572 | 121,988 | |||||||||
Total expenses | 16,848,947 | 12,696,478 | 15,523,050 | |||||||||
Net investment income/(loss) | 29,261,353 | 49,094,485 | 73,677,897 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 10,266,962 | (12,894,699 | ) | (4,010,184 | ) | |||||||
Capital gain distributions from non-affiliated fund investments | 133,324,026 | 45,136,774 | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | (581,363,813 | ) | (358,297,896 | ) | 70,689,707 | |||||||
Net realized and unrealized gain/(loss) on investments | (437,772,825 | ) | (326,055,821 | ) | 66,679,523 | |||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (408,511,472 | ) | $ | (276,961,336 | ) | $ | 140,357,420 |
The accompanying notes are an integral part of the financial statements.
14
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) | $ | 29,261,353 | $ | 23,676,276 | ||||
Net realized gain/(loss) from investments | 143,590,988 | 131,813,660 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (581,363,813 | ) | 405,839,915 | |||||
Net increase/(decrease) in net assets resulting from operations | (408,511,472 | ) | 561,329,851 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (152,180,367 | ) | (111,719,472 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (152,180,367 | ) | (111,719,472 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 493,291,119 | 601,886,011 | ||||||
Reinvestment of distributions | 152,020,397 | 111,642,406 | ||||||
Shares redeemed | (599,160,819 | ) | (474,574,738 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 46,150,697 | 238,953,679 | ||||||
Total increase/(decrease) in net assets | (514,541,142 | ) | 688,564,058 | |||||
NET ASSETS: | ||||||||
Beginning of period | 3,413,559,187 | 2,724,995,129 | ||||||
End of period | $ | 2,899,018,045 | $ | 3,413,559,187 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 27,816,897 | 31,610,207 | ||||||
Dividends and distributions reinvested | 9,871,455 | 5,913,263 | ||||||
Shares redeemed | (33,724,694 | ) | (24,797,240 | ) | ||||
Net increase/(decrease) in shares outstanding | 3,963,658 | 12,726,230 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(30,989,004) of net investment income and $(80,730,468) of net realized capital gains during the year ended August 31, 2018 and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $6,007,061. |
The accompanying notes are an integral part of the financial statements.
15
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) | $ | 49,094,485 | $ | 44,957,757 | ||||
Net realized gain/(loss) from investments | 32,242,075 | 42,573,743 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (358,297,896 | ) | (67,682,280 | ) | ||||
Net increase/(decrease) in net assets resulting from operations | (276,961,336 | ) | 19,849,220 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (79,655,266 | ) | (75,446,630 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (79,655,266 | ) | (75,446,630 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 485,774,033 | 490,778,322 | ||||||
Reinvestment of distributions | 79,625,037 | 75,430,897 | ||||||
Shares redeemed | (366,737,622 | ) | (387,816,762 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 198,661,448 | 178,392,457 | ||||||
Total increase/(decrease) in net assets | (157,955,154 | ) | 122,795,047 | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,312,862,883 | 2,190,067,836 | ||||||
End of period | $ | 2,154,907,729 | $ | 2,312,862,883 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 50,409,472 | 43,547,885 | ||||||
Dividends and distributions reinvested | 9,173,392 | 6,687,136 | ||||||
Shares redeemed | (38,353,563 | ) | (34,040,963 | ) | ||||
Net increase/(decrease) in shares outstanding | 21,229,301 | 16,194,058 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(52,597,992) of net investment income and $(22,848,638) of net realized capital gains during the year ended August 31, 2018 and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $8,072,040. |
The accompanying notes are an integral part of the financial statements.
16
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) | $ | 73,677,897 | $ | 27,376,112 | ||||
Net realized gain/(loss) from investments | (4,010,184 | ) | 513,655 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 70,689,707 | (36,113,722 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 140,357,420 | (8,223,955 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (71,911,632 | ) | (26,506,192 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (71,911,632 | ) | (26,506,192 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 444,155,401 | 738,587,984 | ||||||
Reinvestment of distributions | 71,902,811 | 26,506,000 | ||||||
Shares redeemed | (703,532,146 | ) | (365,774,582 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (187,473,934 | ) | 399,319,402 | |||||
Total increase/(decrease) in net assets | (119,028,146 | ) | 364,589,255 | |||||
NET ASSETS: | ||||||||
Beginning of period | 2,867,621,343 | 2,503,032,088 | ||||||
End of period | $ | 2,748,593,197 | $ | 2,867,621,343 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 43,458,650 | 72,300,803 | ||||||
Dividends and distributions reinvested | 7,147,651 | 2,596,009 | ||||||
Shares redeemed | (68,815,440 | ) | (35,849,154 | ) | ||||
Net increase/(decrease) in shares outstanding | (18,209,139 | ) | 39,047,658 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(23,965,853) of net investment income and $(2,540,339) of net realized capital gains during the year ended August 31, 2018 and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $6,289,498. |
The accompanying notes are an integral part of the financial statements.
17
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.37 | $ | 17.60 | $ | 16.18 | $ | 16.08 | $ | 17.37 | ||||||||||
Net investment income/(loss)(1) | 0.17 | 0.15 | 0.12 | 0.18 | 0.13 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | (2.73 | ) | 3.34 | 2.13 | 1.18 | (0.71 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (2.56 | ) | 3.49 | 2.25 | 1.36 | (0.58 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.15 | ) | (0.20 | ) | (0.15 | ) | (0.15 | ) | (0.11 | ) | ||||||||||
Net realized capital gains | (0.76 | ) | (0.52 | ) | (0.68 | ) | (1.11 | ) | (0.60 | ) | ||||||||||
Total dividends and distributions to shareholders | (0.91 | ) | (0.72 | ) | (0.83 | ) | (1.26 | ) | (0.71 | ) | ||||||||||
Net asset value, end of period | $ | 16.90 | $ | 20.37 | $ | 17.60 | $ | 16.18 | $ | 16.08 | ||||||||||
Total investment return/(loss)(2) | (12.09 | )% | 20.11 | % | 13.97 | % | 9.10 | % | (3.55 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,899,018 | $ | 3,413,559 | $ | 2,724,995 | $ | 2,303,041 | $ | 1,971,430 | ||||||||||
Ratio of expenses to average net assets(3) | 0.55 | % | 0.55 | % | 0.56 | % | 0.59 | % | 0.60 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 0.96 | % | 0.76 | % | 0.72 | % | 1.15 | % | 0.74 | % | ||||||||||
Portfolio turnover rate | 7 | % | 2 | % | 5 | % | 1 | % | 6 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
18
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.72 | $ | 10.97 | $ | 9.24 | $ | 9.28 | $ | 10.92 | ||||||||||
Net investment income/(loss)(1) | 0.21 | 0.22 | 0.14 | 0.23 | 0.17 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | (1.47 | ) | (0.10 | ) | 1.89 | 0.05 | (1.39 | ) | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.26 | ) | 0.12 | 2.03 | 0.28 | (1.22 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.18 | ) | (0.26 | ) | (0.19 | ) | (0.16 | ) | (0.22 | ) | ||||||||||
Net realized capital gains | (0.19 | ) | (0.11 | ) | (0.11 | ) | (0.16 | ) | (0.20 | ) | ||||||||||
Total dividends and distributions to shareholders | (0.37 | ) | (0.37 | ) | (0.30 | ) | (0.32 | ) | (0.42 | ) | ||||||||||
Net asset value, end of period | $ | 9.09 | $ | 10.72 | $ | 10.97 | $ | 9.24 | $ | 9.28 | ||||||||||
Total investment return/(loss)(2) | (11.66 | )% | 0.98 | % | 22.50 | % | 3.13 | % | (11.25 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,154,908 | $ | 2,312,863 | $ | 2,190,068 | $ | 1,672,452 | $ | 1,443,094 | ||||||||||
Ratio of expenses to average net assets(3) | 0.58 | % | 0.57 | % | 0.58 | % | 0.63 | % | 0.64 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets(3) | 2.22 | % | 1.93 | % | 1.42 | % | 2.60 | % | 1.72 | % | ||||||||||
Portfolio turnover rate | 4 | % | 3 | % | 2 | % | 1 | % | 3 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
19
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.22 | $ | 10.36 | $ | 10.43 | $ | 10.25 | $ | 10.31 | ||||||||||
Net investment income/(loss)(1) | 0.27 | 0.10 | 0.10 | 0.06 | 0.06 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.24 | (0.14 | ) | (0.06 | ) | 0.17 | (0.02 | ) | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.51 | (0.04 | ) | 0.04 | 0.23 | 0.04 | ||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.09 | ) | (0.11 | ) | (0.03 | ) | (0.07 | ) | ||||||||||
Net realized capital gains | — | (2) | (0.01 | ) | — | (0.02 | ) | (0.03 | ) | |||||||||||
Total dividends and distributions to shareholders | (0.26 | ) | (0.10 | ) | (0.11 | ) | (0.05 | ) | (0.10 | ) | ||||||||||
Net asset value, end of period | $ | 10.47 | $ | 10.22 | $ | 10.36 | $ | 10.43 | $ | 10.25 | ||||||||||
Total investment return/(loss)(3) | 5.11 | % | (0.35 | )% | 0.39 | % | 2.26 | % | 0.37 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,748,593 | $ | 2,867,621 | $ | 2,503,032 | $ | 2,126,457 | $ | 2,004,504 | ||||||||||
Ratio of expenses to average net assets(4) | 0.55 | % | 0.55 | % | 0.56 | % | 0.59 | % | 0.60 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets(4) | 2.62 | % | 1.02 | % | 0.94 | % | 0.54 | % | 0.55 | % | ||||||||||
Portfolio turnover rate | 3 | % | 0 | % | 0 | % | 31 | % | 2 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
20
FREE MARKET FUNDS
Notes to Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund (each a “Fund,” 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 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Free Market U.S. Equity and Free Market International Equity’s investment objective is to seek long-term capital appreciation. Free Market Fixed Income’s investment objective is to seek total return (consisting of current income and capital appreciation).
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
Investment Company Securities – The Funds pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Fund invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Fund will incur higher expenses, many of which may be duplicative. Furthermore, because the Funds invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Fund’s assets among the ETFs and underlying funds. Accordingly, the Funds’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Funds allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Funds invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”). Information about DFA Underlying Funds’ risks may be found in such DFA Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund’s annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the SEC’s website at http://www.sec.gov.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Fund’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
21
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
August 31, 2019
● Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
FREE MARKET U.S. EQUITY FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Domestic Equity Funds | $ | 2,894,866,607 | $ | 2,825,584,697 | $ | — | $ | — | $ | 69,281,910 | ||||||||||
Short-Term Investments | 525,969 | 525,969 | — | — | — | |||||||||||||||
Total Investments** | $ | 2,895,392,576 | $ | 2,826,110,666 | $ | — | $ | — | $ | 69,281,910 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
FREE MARKET INTERNATIONAL EQUITY FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
International Equity Funds | $ | 2,151,423,877 | $ | 1,829,482,715 | $ | — | $ | — | $ | 321,941,162 | ||||||||||
Short-Term Investments | 792,111 | 792,111 | — | — | — | |||||||||||||||
Total Investments** | $ | 2,152,215,988 | $ | 1,830,274,826 | $ | — | $ | — | $ | 321,941,162 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
FREE MARKET FIXED INCOME FUND
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Fixed Income Funds | $ | 2,735,043,702 | $ | 2,735,043,702 | $ | — | $ | — | $ | — | ||||||||||
Short-Term Investments | 8,921,033 | 8,921,033 | — | — | — | |||||||||||||||
Total Investments** | $ | 2,743,964,735 | $ | 2,743,964,735 | $ | — | $ | — | $ | — |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
22
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
August 31, 2019
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Funds had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Funds’ pro-rata expenses of the underlying mutual funds in which each Fund invests.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Fund with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
23
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
August 31, 2019
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss for such claims is considered to be remote.
For additional information about the DFA Underlying Funds’ valuation policies, refer to the DFA Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following tables.
AVERAGE DAILY NET ASSETS | ADVISORY FEE |
For the first $1 billion | 0.50% |
Over $1 billion to $3 billion | 0.49 |
Over $3 billion to $5 billion | 0.48 |
Over $5 billion | 0.47 |
The Adviser has voluntarily agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses exceed the rates (“Expense Caps”) shown in the following table annually of each Fund’s average daily net assets. The Adviser may not recoup waived management fees or reimbursed expenses. The Adviser may discontinue these arrangements at any time.
FUND | EXPENSE CAPS |
Free Market U.S. Equity Fund | 1.13% |
Free Market International Equity Fund | 1.35 |
Free Market Fixed Income Fund | 1.00 |
During the current fiscal period, investment advisory fees accrued were as follows:
FUND | ADVISORY FEES | |||
Free Market U.S. Equity Fund | $ | 15,044,625 | ||
Free Market International Equity Fund | 10,918,207 | |||
Free Market Fixed Income Fund | 13,861,501 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
24
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
August 31, 2019
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
3. | Director and Officer Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
4. | Purchases and Sales of Investment Securities |
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
Purchases | Sales | |||||||
Free Market U.S. Equity Fund | $ | 272,049,405 | $ | 217,947,682 | ||||
Free Market International Equity Fund | 289,173,561 | 85,673,731 | ||||||
Free Market Fixed Income Fund | 73,331,578 | 254,414,714 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. | Federal Income Tax Information |
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
Federal | Unrealized | Unrealized | Net Unrealized | |||||||||||||
Free Market U.S. Equity Fund | $ | 2,357,630,963 | $ | 620,058,550 | $ | (82,296,937 | ) | $ | 537,761,613 | |||||||
Free Market International Equity Fund | 2,213,510,609 | 150,189,673 | (211,484,294 | ) | (61,294,621 | ) | ||||||||||
Free Market Fixed Income Fund | 2,702,108,933 | 50,143,778 | (8,287,976 | ) | 41,855,802 |
25
FREE MARKET FUNDS
Notes to Financial Statements (Continued)
August 31, 2019
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to redesignation of dividends paid and reclassifications of short-term capital gain distributions, were reclassified among the following accounts:
DISTRIBUTABLE | Paid-In | |||||||
Free Market U.S. Equity Fund | $ | — | $ | — | ||||
Free Market International Equity Fund | — | — | ||||||
Free Market Fixed Income Fund | — | — |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | NET Unrealized | |||||||||||||
Free Market U.S. Equity Fund | $ | 10,063,577 | $ | 142,895,296 | $ | — | $ | 537,761,613 | ||||||||
Free Market International Equity Fund | 11,943,351 | 27,317,881 | — | (61,294,621 | ) | |||||||||||
Free Market Fixed Income Fund | 8,644,451 | — | (3,183,593 | ) | 41,855,802 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The tax character of distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018, were as follows:
Ordinary | Long-Term | Total | |||||||||||
Free Market U.S. Equity Fund | 2019 | $ | 25,649,464 | $ | 126,530,903 | $ | 152,180,367 | ||||||
2018 | 30,989,004 | 80,730,468 | 111,719,472 | ||||||||||
Free Market International Equity Fund | 2019 | 39,266,954 | 40,388,312 | 79,655,266 | |||||||||
2018 | 53,071,580 | 22,375,050 | 75,446,630 | ||||||||||
Free Market Fixed Income Fund | 2019 | 71,322,944 | 588,688 | 71,911,632 | |||||||||
2018 | 23,965,853 | 2,540,339 | 26,506,192 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
The Funds are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2019, the Free Market Fixed Income Fund had $3,181,593 in capital loss carryforwards.
6. | NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES |
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13
26
FREE MARKET FUNDS
Notes to Financial Statements (Concluded)
August 31, 2019
are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Funds’ financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statements of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
27
FREE MARKET FUNDS
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Free Market U.S. Equity Fund, Free Market International Equity Fund, and Free Market Fixed Income Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Free Market U.S. Equity Fund, Free Market International Equity Fund, and Free Market Fixed Income Fund (the “Funds”), three separately managed portfolios of The RBB Fund, Inc., as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian, investment adviser of the underlying funds and transfer agent. We believe that our audits provide a reasonable basis for our opinions.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Matson Money, Inc. investment companies since 2008.
28
FREE MARKET FUNDS
SHAREHOLDER TAX INFORMATION
(UNAUDITED)
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2019 were as follows:
Ordinary | Long-Term | Total | ||||||||||
Free Market U.S. Equity Fund | $ | 25,649,464 | $ | 126,530,903 | $ | 152,180,367 | ||||||
Free Market International Equity Fund | 39,266,954 | 40,388,312 | 79,655,266 | |||||||||
Free Market Fixed Income Fund | 71,322,944 | 588,688 | 71,911,632 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) are 0.20% and 0.28% for the Free Market U.S. Equity Fund and the Free Market International Equity Fund, respectively.
The percentage of total ordinary income dividends qualifying for the 15% dividend income tax rate is 100% for the Free Market U.S. Equity Fund and 85.12% for the Free Market International Equity Fund.
The percentage of total ordinary dividends qualifying for the corporate dividends received deduction is 100% for the Free Market U.S. Equity Fund.
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is 43.58% for the Free Market Fixed Income Fund. A total of 15.75% of the dividend distributed during the fiscal year was derived from U.S. Government securities, which is generally exempt from state income tax for the Free Market Fixed Income Fund.
Because each Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Funds, if any. The Free Market International Equity Fund passed through foreign tax credits of $4,852,263 and earned $58,199,364 of gross foreign source income during the fiscal year.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
29
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) as an exhibit to its reports on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
Free Market Funds Approval of Investment Advisory Agreements
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between Matson Money and the Company (the “Investment Advisory Agreements”) on behalf of the Free Market U.S. Equity Fund, Free Market International Equity Fund and Free Market Fixed Income Fund (each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreements, the Board considered information provided by Matson Money with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and Matson Money with respect to the Funds, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Matson Money’s services provided to the Funds; (ii) descriptions of the experience and qualifications of Matson Money’s personnel providing those services; (iii) Matson Money’s investment philosophies and processes; (iv) Matson Money’s assets under management and client descriptions; (v) Matson Money’s current advisory fee arrangements with the Company and other similarly managed clients; (vi) Matson Money’s compliance procedures; (vii) Matson Money’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Funds; (viii) the extent to which economies of scale are relevant to the Funds; (ix) a report prepared by Broadridge/Lipper comparing each Fund’s management fees and total expense ratio to those of its respective Lipper Group and comparing the performance of each Fund to the performance of its respective Lipper Group; and (x) a report comparing the performance of each Fund to the performance of its primary and composite benchmarks.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Matson Money. The Directors concluded that Matson Money had substantial resources to provide services to the Funds and that Matson Money’s services had been acceptable.
The Directors also considered the investment performance of the Funds and Matson Money. Information on the Funds’ investment performance was provided for the since inception and for one, three- and five-year periods, and for the quarter ended March 31, 2019. The Directors considered the Funds’ investment performance in light of their investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Lipper Groups was acceptable.
30
FREE MARKET FUNDS
Other Information (Concluded)
(Unaudited)
In reaching this conclusion, the Directors observed that the Free Market U.S. Equity Fund had underperformed its benchmark for the year-to-date and one-, three-, five-, and since inception periods ended March 31, 2019. The Directors also noted that the Free Market U.S. Equity Fund ranked in the 3rd quintile in its Performance Universe and Performance Group for the three-year period ended December 31, 2018.
The Directors noted the Free Market International Equity Fund had outperformed its benchmark for the since-inception period ended March 31, 2019. The Directors also noted that the Free Market International Equity Fund ranked in the 1st quintile in its Performance Universe for the four- and five-year periods ended December 31, 2018 and in the 3rd and 4th quintile in its Performance Group for the same periods ended December 31, 2018.
The Directors noted the Free Market Fixed Income Fund had outperformed its benchmark for the year-to-date and one-year periods ended March 31, 2019. The Directors also noted that the Free Market Fixed Income Fund ranked in the 1st quintile in its Performance Universe for the one-year period ended December 31, 2018, and in the 2nd quintile in its Performance Group for the one-year period ended December 31, 2018.
The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreements. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the contractual advisor fee of the Free Market International Equity Fund ranked in the 1st quintile of its Lipper Expense Group, and the contractual advisor fee of each of the Free Market U.S. Equity Fund and Free Market Fixed Income Fund ranked in the 2nd quintile of each Fund’s respective Lipper Expense Group. In addition, the Directors took note that Matson Money had voluntarily agreed to waive its advisory fee and reimburse expenses in order to limit total annual Fund 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.
After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering Matson Money’s services, the Directors concluded that the investment advisory fees paid by the Funds were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one year period ending August 16, 2020.
31
FREE MARKET FUNDS
COMPANY MANAGEMENT
(UNAUDITED)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling 866-780-0357, ext. 3863.
Name, Address, and Age | Position(s) Held with Company | Term of Office and Length of Time Served1 | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Director* | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52
| Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
32
FREE MARKET FUNDS
COMPANY MANAGEMENT (CONTINUED)
(UNAUDITED)
Name, Address, and Age | Position(s) Held with Company | Term of Office and Length of Time Served1 | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Director* | Other |
INDEPENDENT DIRECTORS | |||||
Arnold M. Reichman 615 East Michigan Street Milwaukee, WI 53202 Age: 71 | Chairman | 2005 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea 615 East Michigan Street Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman | 2016 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President | 2009 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
33
FREE MARKET FUNDS
COMPANY MANAGEMENT (CONTINUED)
(UNAUDITED)
Name, Address, and Age | Position(s) Held with Company | Term of Office and Length of Time Served1 | Principal Occupation(s) | Number of Portfolios in Fund Complex Overseen by Director* | Other |
OFFICERS | |||||
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
34
FREE MARKET FUNDS
COMPANY MANAGEMENT (CONCLUDED)
(UNAUDITED)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
35
FREE MARKET FUNDS
PRIVACY NOTICE
(UNAUDITED)
FACTS | WHAT DO THE FREE MARKET 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 Free Market Funds choose to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Do the Free Market Funds share? | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | Yes | No | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call (866) 780-0357 Ext. 3863 or go to www.MatsonMoney.com |
36
FREE MARKET FUNDS
PRIVACY NOTICE (CONCLUDED)
(UNAUDITED)
What we do |
|
How does the Free Market 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 does the Free Market 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 McGriff Video Productions and Matson Money, Inc. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Free Market Funds don’t share with nonaffiliates so they can market to you. The 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 Free Market 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. |
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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, Suite 2000
Philadelphia, PA 19103-6996
FMFI-AR19
MATSON MONEY U.S. EQUITY VI PORTFOLIO
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
MATSON MONEY FIXED INCOME VI PORTFOLIO
of
The RBB Fund, Inc.
Annual Report
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Portfolios’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolios electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-866-780-0357 ext. 3863.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Portfolios, you can call 1-866-780-0357 ext. 3863 to inform the Portfolios that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all portfolios held in your account if you invest through your financial intermediary or all portfolios held with the portfolios complex if you invest directly with the Portfolios.
This report is submitted for the general information of the shareholders of the Portfolios. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolios.
MATSON MONEY VI PORTFOLIOS
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Dear Shareholder,
The Matson Money VI Portfolios (the “Portfolios”) have continued to see new shareholders since their launch in February 2014 and assets remained above the $70 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 twelve months ended August 31, 2019, investors experienced a downturn in the equity markets. The Matson Money U.S. Equity VI Portfolio (FMVUX) returned -11.89%, while the Matson Money International Equity VI Portfolio (FMVIX) returned -11.62%. On the fixed income side, the Matson Money Fixed Income VI Portfolio (FMVFX) was up 4.98%.
FMVUX was buoyed by U.S. large company stocks, which led the way with a return of 2.92% as measured by the S&P 500® Index. However, micro-cap stocks contributed the most to the negative performance with a return of -20.75% as measured by the CRSP U.S. Micro Cap Index. Small cap companies also contributed to the negative performance with the Russell 2000® Index returning -12.89% for the twelve months ended August 31, 2019. International stocks over the twelve months ended August 31, 2019 saw negative performance in all areas. The MSCI EAFE Small Cap Index returned -9.16%, while international large cap companies, as represented by the MSCI EAFE Index, returned -3.26% for the same period. In addition, the performance of the Matson Money International VI Portfolio was also affected by the emerging markets allocation of the portfolio, which returned -4.36% over the twelve months ended August 31, 2019, as measured by the MSCI Emerging Markets Index. The bond markets had positive performance over the same period, with corporate holdings doing slightly better than government holdings. The FTSE World Government Bond 1-5 Years Currency Hedged U.S. Dollar Index posted a gain of 5.33% while the Bloomberg Barclays U.S. Government/Credit Intermediate Bond Index posted a gain of 8.12%.
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 seek to 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.
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
Annual Investment Adviser’s Report (CONtinued)
August 31, 2019 (Unaudited)
The CRSP U.S. Micro Cap Index includes the smallest U.S. companies, with a target of including the bottom 2% of investable market capitalization.
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.
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 MSCI EAFE Small Cap Index is an equity index that captures small cap representation across Developed Markets countries around the world, excluding the U.S. and Canada. With 2,341 constituents, the index covers approximately 14% of the free float-adjusted market capitalization in each country.
MSCI EAFE Index is an equity index that captures large and mid cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. With 923 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The MSCI Emerging Markets Index captures large and mid-cap representation across 26 Emerging Markets (EM) countries. With 1,202 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
The FTSE World Government Bond Index (WGBI) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 30 years of history available. The WGBI provides a broad benchmark for the global sovereign fixed income market. Sub-indices are available in any combination of currency, maturity, or rating, including the FTSE World Government Bond 1-5 Year Currency Hedged U.S. Dollar Index.
The Bloomberg Barclays US Government/Credit Bond Index is a broad-based flagship benchmark that measures the non-securitized component of the US Aggregate Index. It includes investment grade, US dollar-denominated, fixed-rate Treasuries, government-related and corporate securities.
One cannot invest directly in an index. Opinions expressed are subject to change at any time, are not guaranteed and should not be considered investment advice.
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. The Matson Money International Equity VI Portfolio invests 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. The Matson Money Fixed Income VI Portfolio’s investments in debt securities will typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. The Portfolios invest in mutual funds and ETFs. The performance of the Portfolios will depend on how successfully the investment adviser(s) to the underlying investment companies pursue their investment strategies.
Shares of the Funds are distributed by Quasar Distributors, LLC.
2
MATSON MONEY VI PORTFOLIOS
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
Matson Money U.S. Equity VI Portfolio
The twelve month period ended August 31, 2019, saw some periods of noticeable volatility in domestic equity markets. After logging strong returns in 2017, global equity markets delivered negative returns in U.S. dollar terms in 2018, with most downward movement coming at the end of 2018. Common news stories over the past twelve months have included reports on global economic growth, corporate earnings, record low unemployment in the U.S., the implementation of Brexit, U.S. trade wars with China and other countries, and a flattening U.S. Treasury yield curve. The performance of U.S. equities in 2019 have reversed course from the end of 2018 and have shown strong positive performance despite noticeable volatility.
For the twelve months ended August 31, 2019, the Matson Money U.S. Equity VI Portfolio provided a total return of -11.89% at net asset value. This compares with a return of -7.14% over the same period for the Portfolio’s benchmark, the Russell 2500® Index.
As a result of the Matson Money U.S. Equity VI Portfolio’s diversified investment approach, performance principally was determined by broad structural trends in equity markets, rather than the behavior of a limited number of stocks. Among the most important factors explaining differences in the behavior of diversified equity funds, like the Matson Money U.S. Equity VI Portfolio, are company size and company value/growth characteristics of the underlying fund holdings. Size is measured by market capitalization and “value” classification is a function of stock price relative to one or more fundamental characteristics.
U.S. large company stocks performed better than U.S. small company stocks. The Russell 2000® Index returned -12.89% while the S&P 500® Index was up 2.92% for the twelve-month period ended August 31, 2019. Furthermore, for the same time-period, the Russell 2000® Value Index returned -14.89% and the Russell 1000® Value Index returned 0.62%.
In summary, U.S. large cap stocks performed better than small cap stocks and U.S. growth stocks outperformed U.S. value stocks, which also contributed to returns of the Portfolio.
Today’s environment underscores that markets are highly unpredictable over the short term. In other words, anything can happen, so a balanced, diversified, long-term approach is favored.
The Russell 2500® Index consists of the smallest 2,500 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
Russell 2000® Value 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, with relatively low price-to-book ratios and lower forecasted growth values.
Russell 1000® Value Index consists of the largest 1,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization, with relatively low price-to-book ratios and lower forecasted growth values.
Growth stocks typically are more volatile than value stocks; however, value stocks have a lower expected growth rate in earnings and sales.
3
MATSON MONEY VI PORTFOLIOS
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
Matson Money International Equity VI Portfolio
The global markets experienced a roller coaster ride during the twelve-month period ended August 31, 2019. 2018 ended with international equity markets faring better then U.S. markets and outpacing the performance of the U.S. markets. However, with the continued talk of trade wars, international stocks have underperformed U.S. equities so far in 2019.
For the twelve months ended August 31, 2019, the Matson Money International Equity VI Portfolio was down -11.62%. This compares with a return of -2.90% over the same period for the Fund’s benchmark, the MSCI World (ex USA) Index, which captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries excluding the United States.
As a result of the Matson Money International Equity VI Portfolio’s diversified investment approach, performance principally was determined by broad structural trends in global equity markets, rather than the behavior of a limited number of stocks. Among the most important factors explaining differences in the behavior of diversified international equity funds, like the Matson Money International Equity VI Portfolio, are company size and company value/growth characteristics of the underlying fund holdings and broad exposure to emerging markets equities.
International large company stocks fared better than international small company stocks. The MSCI EAFE Small Cap Index returned -9.16% for the twelve-months ended August 31, 2019, while the MSCI EAFE Index returned -3.26% for the same period. Furthermore, for the same time period, the MSCI EAFE Value Index declined by -7.42% while the MSCI EAFE Small Cap Value Index was down -9.39% and the MSCI Emerging Markets Index was down -4.36%.
In summary, factors that contributed to the Portfolio’s underperformance compared to its benchmark can largely be explained by its tilt toward small cap and value stocks.
Today’s environment underscores that markets are highly unpredictable over the short term. In other words, anything can happen, so a balanced, diversified, long-term approach is favored.
MSCI EAFE Small Cap Value Index is captures small cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada.
MSCI EAFE Value Index is captures large and mid-cap securities exhibiting overall value style characteristics across Developed Markets countries* around the world, excluding the U.S. and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
* | Developed Markets countries include: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the UK. |
The MSCI World ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries*--excluding the United States. With 1,013 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country.
4
MATSON MONEY VI PORTFOLIOS
Annual Investment Adviser’s Report (Concluded)
August 31, 2019 (Unaudited)
Matson Money Fixed Income VI Portfolio
The U.S. economy grew modestly during the twelve months ended August 31, 2019. Total unemployment continued to remain low and many economists consider it at or near full employment. Monetary policy remains accommodative. The Federal Open Market Committee (or the “Fed”) reversed course in 2019 after more than three years of gradual interest rate hikes, announcing America’s first rate cut since 2008. The Fed cited lackluster inflation and “the implications of global developments.” While rates remain low, this continues to keep the return of fixed income low relative to historic norms on both domestic and foreign issues. The broad proxy for the U.S. bond market, the Barclays Capital U.S. Aggregate Bond Index gained 10.17%, while the Barclays Global Aggregate Bond Index (hedged) returned 10.74% for the twelve-month period ended August 31, 2019. As a result of the decrease in interest rates, short-term bonds were outperformed by ones with a longer maturity. The Bloomberg Barclays U.S. Government/Credit 1-3 Years Index returned 4.62% while long-term government bonds, which is defined as U.S. government issued debt with 10+ year maturity, lost 33.28%.
The Matson Money Fixed Income VI Portfolio focuses on mutual funds that invest in global high quality and shorter-term government and corporate fixed income assets. For the twelve-months ended August 31, 2019, the Fund returned 4.98%. This compares with a return of 5.33% over the same period for the fund’s benchmark, the FTSE World Government Bond 1-5 Year Currency Hedged U.S. Dollar Index.
The Matson Money Fixed Income VI Portfolio performed as expected, and slightly underperformed its benchmark for the period. A contributing factor to the performance of the Portfolio compared to its benchmark was the Portfolio’s slightly lower exposure to certain global markets and exposure to shorter term maturities.
Bloomberg Barclays US Aggregate Bond Index a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.
Bloomberg Barclays Global Aggregate Bond Index a flagship measure of global investment grade debt from twenty-four local currency markets.
5
MATSON MONEY VI PORTFOLIOS
Performance Data
August 31, 2019 (Unaudited)
Matson Money U.S. Equity VI Portfolio
Comparison of Change in Value of $10,000 Investment in
Matson Money U.S. Equity VI Portfolio vs. Russell 2500® Index and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Portfolio made on February 18, 2014 (commencement of operations) and reflects Portfolio expenses. Investors should note that the Portfolio is a professionally managed mutual fund while the Russell 2500® Index and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 YEAR | 3 YEARS | 5 YEARS | SINCE | |
Matson Money U.S. Equity VI Portfolio | -11.89% | 6.12% | 4.53% | 5.39%(1) |
Russell 2500® Index | -7.14% | 9.04% | 7.06% | 6.96%(3) |
Composite Index(2) | -6.39% | 8.51% | 6.99% | 7.22%(3) |
(1) | The Portfolio commenced operations on February 18, 2014. |
(2) | The Composite Index is comprised of the S&P 500® Index, Russell 1000® Value Index, Russell 2000® Index and Russell 2000® Value Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(3) | 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 5.11%. |
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 1.03% (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 $27.08 per share on August 31, 2019.
Portfolio composition is subject to change.
The Matson Money U.S. Equity VI Portfolio’s underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
6
MATSON MONEY VI PORTFOLIOS
Performance Data (Continued)
August 31, 2019 (Unaudited)
Matson Money International Equity VI Portfolio
Comparison of Change in Value of $10,000 Investment in
Matson Money International Equity VI Portfolio vs. MSCI World (excluding U.S.) Index and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Portfolio made on February 18, 2014 (commencement of operations) and reflects Portfolio expenses. Investors should note that the Portfolio is a professionally managed mutual fund while the MSCI World (excluding U.S.) Index and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 YEAR | 3 YEARS | 5 YEARS | SINCE | |
Matson Money International Equity VI Portfolio | -11.62% | 2.90% | -0.31% | 0.31%(1) |
MSCI World (excluding U.S.) Index | -2.90% | 5.93% | 1.64% | 1.92%(3) |
Composite Index(2) | -6.29% | 5.59% | 1.81% | 2.30%(3) |
(1) | The Portfolio commenced operations on February 18, 2014. |
(2) | The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index, and MSCI Emerging Markets Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(3) | 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 0.03%. |
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 1.27% (included in the ratio is 0.48% 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 $22.27 per share on August 31, 2019.
Portfolio composition is subject to change.
The Matson Money International Equity VI Portfolio’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Portfolio will incur the expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
7
MATSON MONEY VI PORTFOLIOS
Performance Data (Concluded)
August 31, 2019 (Unaudited)
Matson Money Fixed Income VI Portfolio
Comparison of Change in Value of $10,000 Investment in
Matson Money Fixed Income VI Portfolio vs. FTSE World Government Bond Index 1-5 Years and Composite Index
The chart assumes a hypothetical $10,000 minimum initial investment in the Portfolio made on February 18, 2014 (commencement of operations) and reflects Portfolio expenses. Investors should note that the Portfolio is a professionally managed mutual fund while the FTSE World Government Bond Index 1-5 years and Composite Index are unmanaged, do not incur sales charges and/or expenses and are not available for investment.
Average Annual Total Returns for the Periods Ended August 31, 2019 | ||||
1 YEAR | 3 YEARS | 5 YEARS | SINCE | |
Matson Money Fixed Income VI Portfolio | 4.98% | 1.53% | 1.23% | 1.17%(1) |
FTSE World Government Bond Index 1-5 Years | 5.33% | 2.24% | 1.99% | 1.97%(3) |
Composite Index(2) | 6.50% | 2.20% | 2.13% | 2.13%(3) |
(1) | The Portfolio commenced operations on February 18, 2014. |
(2) | The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Capital Intermediate Government Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Aggregate Bond Index, each weighted 25%, 25%, 25% and 25%, respectively. |
(3) | Index information is not available as of the date of the inception of the Portfolio. The average annual returns for the FTSE World Government Bond Index 1-5 Years (formerly known as the Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index), and the Composite Index are presented as of March 1, 2014. If the Portfolio had commenced operations on March 1, 2014, its average annual return since inception would have been 1.13%. |
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 0.88% (included in the ratio is 0.17% 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 $25.38 per share on August 31, 2019.
Portfolio composition is subject to change.
The Matson Money Fixed Income VI Portfolio’s underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Portfolio will incur expenses of the underlying funds in addition to the Portfolio’s expenses. The foregoing is not intended to be a complete discussion of all risks associated with the investment strategies of the Portfolio.
8
MATSON MONEY VI PORTFOLIOS
Fund Expense ExampleS
August 31, 2019 (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 March 1, 2019 through August 31, 2019, and held for the entire period.
ACTUAL EXPENSES
The first section of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING | ENDING | EXPENSES | ANNUALIZED | ACTUAL SIX- | |
Actual | |||||
Matson Money U.S. Equity VI Portfolio | $ 1,000.00 | $ 954.20 | $ 3.94 | 0.80% | -4.58% |
Matson Money International Equity VI Portfolio | 1,000.00 | 942.80 | 4.51 | 0.92% | -5.72% |
Matson Money Fixed Income VI Portfolio | 1,000.00 | 1,034.70 | 3.95 | 0.77% | 3.47% |
9
MATSON MONEY VI PORTFOLIOS
Fund Expense ExampleS (CONCLUDED)
August 31, 2019 (Unaudited)
BEGINNING | ENDING | EXPENSES | ANNUALIZED | ACTUAL SIX- | |
Hypothetical (5% return before expenses) | |||||
Matson Money U.S. Equity VI Portfolio | $ 1,000.00 | $ 1,021.17 | $ 4.08 | 0.80% | N/A |
Matson Money International Equity VI Portfolio | 1,000.00 | 1,020.57 | 4.69 | 0.92% | N/A |
Matson Money Fixed Income VI Portfolio | 1,000.00 | 1,021.32 | 3.92 | 0.77% | N/A |
* | Expenses are equal to each Portfolio’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. Fees and expenses presented for a Portfolio do not reflect any fees and expenses imposed on shares of the Portfolio purchased through variable annuity contracts, variable life insurance policies, and certain qualified pension and retirement plans, which would increase overall fees and expenses. If such fees and expenses had been included, the expenses would have been higher. Each Portfolio’s ending account value in the first section in the table is based on the actual six-month total investment return for each Portfolio for the period March 1, 2019 through August 31, 2019. 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: |
PORTFOLIO | RANGE OF WEIGHTED |
Matson Money U.S. Equity VI Portfolio | 0.01% - 0.08% |
Matson Money International Equity VI Portfolio | 0.01% - 0.19% |
Matson Money Fixed Income VI Portfolio | 0.00% - 0.04% |
10
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Portfolio of Investments
August 31, 2019
NUMBER OF | VALUE | |||||||
DOMESTIC EQUITY FUNDS — 99.3% | ||||||||
U.S. Large Cap Value Portfolio III (a) | 271,025 | $ | 6,480,211 | |||||
U.S. Large Company Portfolio (a) | 152,712 | 3,457,393 | ||||||
U.S. Micro Cap Portfolio (b) | 190,497 | 3,729,940 | ||||||
U.S. Small Cap Portfolio (b) | 116,399 | 3,735,230 | ||||||
U.S. Small Cap Value Portfolio (b) | 82,114 | 2,503,650 | ||||||
VA U.S. Large Value Portfolio (b) | 40,293 | 1,005,312 | ||||||
VA U.S. Targeted Value Portfolio (b) | 231,770 | 3,745,406 | ||||||
TOTAL DOMESTIC EQUITY FUNDS | ||||||||
(Cost $25,091,746) | 24,657,142 | |||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
STIT-Government & Agency Portfolio, 2.02%* | 228,677 | 228,677 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $228,677) | 228,677 | |||||||
TOTAL INVESTMENTS — 100.2% | ||||||||
(Cost $25,320,423) | 24,885,819 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (47,173 | ) | ||||||
NET ASSETS — 100.0% | $ | 24,838,646 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% OF | VALUE | |||||||
Domestic Equity Funds | 99.3 | % | $ | 24,657,142 | ||||
Short-Term Investments | 0.9 | 228,677 | ||||||
Liabilities In Excess Of Other Assets | (0.2 | ) | (47,173 | ) | ||||
NET ASSETS | 100.0 | % | $ | 24,838,646 |
* | Seven-day yield as of August 31, 2019. |
(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.
11
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
August 31, 2019
NUMBER OF | VALUE | |||||||
INTERNATIONAL EQUITY FUNDS — 99.3% | ||||||||
DFA International Small Cap Value Portfolio (a) | 296,060 | $ | 5,107,033 | |||||
DFA International Value Portfolio III (b) | 405,248 | 5,495,169 | ||||||
Emerging Markets Portfolio (a) | 36,892 | 966,926 | ||||||
Emerging Markets Small Cap Portfolio (a) | 46,625 | 893,803 | ||||||
Emerging Markets Value Portfolio, Class Institutional (a) | 34,325 | 896,558 | ||||||
Large Cap International Portfolio (a) | 34,149 | 734,549 | ||||||
VA International Small Portfolio (a) | 273,893 | 3,092,254 | ||||||
VA International Value Portfolio (a) | 81,990 | 916,647 | ||||||
TOTAL INTERNATIONAL EQUITY FUNDS | ||||||||
(Cost $19,726,007) | 18,102,939 | |||||||
SHORT-TERM INVESTMENTS — 0.9% | ||||||||
STIT-Government & Agency Portfolio 2.02%* | 167,465 | 167,465 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $167,465) | 167,465 | |||||||
TOTAL INVESTMENTS — 100.2% | ||||||||
(Cost $19,893,472) | 18,270,404 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% | (42,040 | ) | ||||||
NET ASSETS — 100.0% | $ | 18,228,364 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% OF | VALUE | |||||||
International Equity Funds | 99.3 | % | $ | 18,102,939 | ||||
Short-Term Investments | 0.9 | 167,465 | ||||||
Liabilities In Excess Of Other Assets | (0.2 | ) | (42,040 | ) | ||||
NET ASSETS | 100.0 | % | $ | 18,228,364 |
* | Seven-day yield as of August 31, 2019. |
(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.
12
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
August 31, 2019
NUMBER OF | VALUE | |||||||
FIXED INCOME FUNDS — 98.8% | ||||||||
DFA Five-Year Global Fixed Income Portfolio (a) | 270,167 | $ | 2,966,435 | |||||
DFA Inflation-Protected Securities Portfolio (a) | 120,231 | 1,474,031 | ||||||
DFA Intermediate Government Fixed Income Portfolio (a) | 134,649 | 1,771,977 | ||||||
DFA One-Year Fixed Income Portfolio (a) | 330,095 | 3,403,284 | ||||||
DFA Short-Term Government Portfolio (a) | 111,968 | 1,185,737 | ||||||
DFA Two-Year Global Fixed Income Portfolio (a) | 443,569 | 4,440,128 | ||||||
iShares Intermediate-Term Corporate Bond ETF | 30,823 | 1,796,673 | ||||||
iShares Short-Term Corporate Bond ETF | 132,622 | 7,132,411 | ||||||
VA Global Bond Portfolio (a) | 414,099 | 4,447,418 | ||||||
VA Short-Term Fixed Portfolio (a) | 56,985 | 590,933 | ||||||
TOTAL FIXED INCOME FUNDS | ||||||||
(Cost $28,748,577) | 29,209,027 | |||||||
SHORT-TERM INVESTMENTS — 1.3% | ||||||||
STIT-Government & Agency Portfolio, 2.02%* | 380,728 | 380,728 | ||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $380,728) | 380,728 | |||||||
TOTAL INVESTMENTS — 100.1% | ||||||||
(Cost $29,129,305) | 29,589,755 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (43,478 | ) | ||||||
NET ASSETS — 100.0% | $ | 29,546,277 |
PORTFOLIO HOLDINGS SUMMARY TABLE | ||||||||
% OF | VALUE | |||||||
Fixed Income Funds | 98.8 | % | $ | 29,209,027 | ||||
Short-Term Investments | 1.3 | 380,728 | ||||||
Liabilities In Excess Of Other Assets | (0.1 | ) | (43,478 | ) | ||||
NET ASSETS | 100.0 | % | $ | 29,546,277 |
* | Seven-day yield as of August 31, 2019. |
(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.
13
MATSON MONEY VI PORTFOLIOS
Statements of Assets and Liabilities
August 31, 2019
MATSON MONEY | MATSON MONEY | MATSON MONEY | ||||||||||
ASSETS | ||||||||||||
Investments in non-affiliated funds, at value (cost $25,091,746, $19,726,007 and $28,748,577 respectively) | $ | 24,657,142 | $ | 18,102,939 | $ | 29,209,027 | ||||||
Short-term investments, at value (cost $228,677, $167,465 and $380,728 respectively) | 228,677 | 167,465 | 380,728 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | 1,193 | 1,044 | 309 | |||||||||
Dividends receivable | 410 | 296 | 6,739 | |||||||||
Prepaid expenses and other assets | 683 | 594 | 1,328 | |||||||||
Total assets | 24,888,105 | 18,272,338 | 29,598,131 | |||||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Advisory fees | 10,570 | 7,710 | 12,554 | |||||||||
Capital shares redeemed | 3,543 | 2,081 | 4,170 | |||||||||
Administration and accounting fees | 1,869 | 3,076 | 1,747 | |||||||||
Transfer agent fees | 1,550 | 211 | 280 | |||||||||
Other accrued expenses and liabilities | 31,927 | 30,896 | 33,103 | |||||||||
Total liabilities | 49,459 | 43,974 | 51,854 | |||||||||
Net assets | $ | 24,838,646 | $ | 18,228,364 | $ | 29,546,277 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par Value | $ | 917 | $ | 818 | $ | 1,164 | ||||||
Paid-in capital | 24,066,776 | 19,666,184 | 29,082,996 | |||||||||
Total distributable earnings/(loss) | 770,953 | (1,438,638 | ) | 462,117 | ||||||||
Net assets | $ | 24,838,646 | $ | 18,228,364 | $ | 29,546,277 | ||||||
CAPITAL SHARES: | ||||||||||||
Net assets | $ | 24,838,646 | $ | 18,228,364 | $ | 29,546,277 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 917,164 | 818,418 | 1,164,367 | |||||||||
Net asset value, offering and redemption price per share | $ | 27.08 | $ | 22.27 | $ | 25.38 |
The accompanying notes are an integral part of the financial statements.
14
MATSON MONEY VI PORTFOLIOS
Statements of Operations
For the Year ended August 31, 2019
MATSON MONEY | MATSON MONEY | MATSON MONEY | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends from non-affiliated funds | $ | 357,652 | $ | 475,628 | $ | 913,677 | ||||||
Total investment income | 357,652 | 475,628 | 913,677 | |||||||||
EXPENSES: | ||||||||||||
Advisory fees (Note 2) | 120,925 | 88,520 | 145,871 | |||||||||
Audit and tax services fees | 28,767 | 29,587 | 30,844 | |||||||||
Administration and accounting fees (Note 2) | 20,307 | 19,546 | 21,464 | |||||||||
Custodian fees (Note 2) | 5,326 | 5,975 | 7,928 | |||||||||
Printing and shareholder reporting fees | 2,533 | 2,211 | 508 | |||||||||
Legal fees | 1,231 | 1,017 | 1,415 | |||||||||
Director fees | 1,190 | 952 | 1,570 | |||||||||
Transfer agent fees (Note 2) | 1,098 | 1,435 | 1,847 | |||||||||
Officer fees | 943 | 654 | 1,099 | |||||||||
Other expenses | 1,697 | 2,773 | 2,593 | |||||||||
Total expenses | 184,017 | 152,670 | 215,139 | |||||||||
Net investment income/(loss) | 173,635 | 322,958 | 698,538 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from: | ||||||||||||
Non-affiliated funds | 474,120 | (14,811 | ) | (107,605 | ) | |||||||
Capital gain distributions from non-affiliated fund investments | 1,009,348 | 434,297 | — | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||
Non-affiliated funds | (4,653,103 | ) | (2,901,806 | ) | 806,827 | |||||||
Net realized and unrealized gain/(loss) on investments | (3,169,635 | ) | (2,482,320 | ) | 699,222 | |||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (2,996,000 | ) | $ | (2,159,362 | ) | $ | 1,397,760 |
The accompanying notes are an integral part of the financial statements.
15
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) | $ | 173,635 | $ | 133,464 | ||||
Net realized gain/(loss) from investments | 1,483,468 | 1,321,912 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (4,653,103 | ) | 2,620,038 | |||||
Net increase/(decrease) in net assets resulting from operations | (2,996,000 | ) | 4,075,414 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (1,492,480 | ) | (1,117,121 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (1,492,480 | ) | (1,117,121 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,127,036 | 5,389,578 | ||||||
Reinvestment of distributions | 1,492,480 | 1,117,121 | ||||||
Shares redeemed | (4,473,056 | ) | (3,377,340 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 3,146,460 | 3,129,359 | ||||||
Total increase/(decrease) in net assets | (1,342,020 | ) | 6,087,652 | |||||
NET ASSETS: | ||||||||
Beginning of period | 26,180,666 | 20,093,014 | ||||||
End of period | $ | 24,838,646 | $ | 26,180,666 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 217,464 | 173,254 | ||||||
Dividends and distributions reinvested | 60,645 | 36,235 | ||||||
Shares redeemed | (151,435 | ) | (108,191 | ) | ||||
Net increase/(decrease) in shares outstanding | 126,674 | 101,298 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(231,177) of net investment income and $(885,944) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $2,903. |
The accompanying notes are an integral part of the financial statements.
16
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) | $ | 322,958 | $ | 279,674 | ||||
Net realized gain/(loss) from investments | 419,486 | 326,547 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (2,901,806 | ) | (522,361 | ) | ||||
Net increase/(decrease) in net assets resulting from operations | (2,159,362 | ) | 83,860 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (583,676 | ) | (444,060 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (583,676 | ) | (444,060 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,202,703 | 4,595,893 | ||||||
Reinvestment of distributions | 583,676 | 444,060 | ||||||
Shares redeemed | (2,765,350 | ) | (1,748,286 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 3,021,029 | 3,291,667 | ||||||
Total increase/(decrease) in net assets | 277,991 | 2,931,467 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 17,950,373 | 15,018,906 | ||||||
End of period | $ | 18,228,364 | $ | 17,950,373 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 220,374 | 168,646 | ||||||
Dividends and distributions reinvested | 27,364 | 16,147 | ||||||
Shares redeemed | (115,569 | ) | (63,221 | ) | ||||
Net increase/(decrease) in shares outstanding | 132,169 | 121,572 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(308,131) of net investment income and $(135,929) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $24,686. |
The accompanying notes are an integral part of the financial statements.
17
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) | $ | 698,538 | $ | 261,719 | ||||
Net realized gain/(loss) from investments | (107,605 | ) | 2,110 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 806,827 | (387,918 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 1,397,760 | (124,089 | ) | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (655,301 | ) | (276,025 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (655,301 | ) | (276,025 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,862,802 | 6,535,549 | ||||||
Reinvestment of distributions | 655,301 | 276,025 | ||||||
Shares redeemed | (8,119,491 | ) | (2,023,015 | ) | ||||
Net increase/(decrease) in net assets from capital shares | (1,601,388 | ) | 4,788,559 | |||||
Total increase/(decrease) in net assets | (858,929 | ) | 4,388,445 | |||||
NET ASSETS: | ||||||||
Beginning of period | 30,405,206 | 26,016,761 | ||||||
End of period | $ | 29,546,277 | $ | 30,405,206 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 236,411 | 264,067 | ||||||
Dividends and distributions reinvested | 27,045 | 11,180 | ||||||
Shares redeemed | (328,248 | ) | (81,618 | ) | ||||
Net increase/(decrease) in shares outstanding | (64,792 | ) | 193,629 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 6 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders were $(240,545) of net investment income and $(35,480) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $81,787. |
The accompanying notes are an integral part of the financial statements.
18
MATSON MONEY VI PORTFOLIOS
MATSON MONEY U.S. EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 33.12 | $ | 29.15 | $ | 26.80 | $ | 25.65 | $ | 26.79 | ||||||||||
Net investment income/(loss)(1) | 0.21 | 0.18 | 0.14 | 0.19 | 0.03 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | (4.34 | ) | 5.40 | 3.44 | 1.96 | (1.07 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (4.13 | ) | 5.58 | 3.58 | 2.15 | (1.04 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.33 | ) | (0.21 | ) | (0.15 | ) | (0.10 | ) | ||||||||||
Net realized capital gains | (1.64 | ) | (1.28 | ) | (1.02 | ) | (0.85 | ) | — | |||||||||||
Total dividends and distributions to shareholders | (1.91 | ) | (1.61 | ) | (1.23 | ) | (1.00 | ) | (0.10 | ) | ||||||||||
Net asset value, end of period | $ | 27.08 | $ | 33.12 | $ | 29.15 | $ | 26.80 | $ | 25.65 | ||||||||||
Total investment return/(loss)(2) | (11.89 | )% | 19.56 | % | 13.42 | % | 8.68 | % | (3.92 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 24,839 | $ | 26,181 | $ | 20,093 | $ | 17,491 | $ | 13,598 | ||||||||||
Ratio of expenses to average net assets with waivers, if any(3) | 0.76 | % | 0.73 | % | 0.81 | % | 0.93 | % | 1.13 | % | ||||||||||
Ratio of expenses to average net assets without waivers, if any(3) | 0.76 | % | 0.73 | % | 0.81 | % | 0.93 | % | 1.44 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(3) | 0.72 | % | 0.58 | % | 0.49 | % | 0.74 | % | 0.12 | % | ||||||||||
Portfolio turnover rate | 17 | % | 12 | % | 21 | % | 7 | % | 14 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(3) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
19
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 26.16 | $ | 26.60 | $ | 22.54 | $ | 22.48 | $ | 25.82 | ||||||||||
Net investment income/(loss)(1) | 0.43 | 0.47 | 0.29 | 0.44 | 0.22 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | (3.51 | ) | (0.13 | ) | 4.51 | 0.10 | (3.26 | ) | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | (3.08 | ) | 0.34 | 4.80 | 0.54 | (3.04 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.39 | ) | (0.54 | ) | (0.44 | ) | (0.24 | ) | (0.30 | ) | ||||||||||
Net realized capital gains | (0.42 | ) | (0.24 | ) | (0.30 | ) | (0.24 | ) | — | (2) | ||||||||||
Total dividends and distributions to shareholders | (0.81 | ) | (0.78 | ) | (0.74 | ) | (0.48 | ) | (0.30 | ) | ||||||||||
Net asset value, end of period | $ | 22.27 | $ | 26.16 | $ | 26.60 | $ | 22.54 | $ | 22.48 | ||||||||||
Total investment return/(loss)(3) | (11.62 | )% | 1.13 | % | 21.90 | % | 2.47 | % | (11.77 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 18,228 | $ | 17,950 | $ | 15,019 | $ | 12,567 | $ | 9,641 | ||||||||||
Ratio of expenses to average net assets with waivers, if any(4) | 0.86 | % | 0.79 | % | 0.88 | % | 1.02 | % | 1.35 | % | ||||||||||
Ratio of expenses to average net assets without waivers, if any(4) | 0.86 | % | 0.79 | % | 0.88 | % | 1.02 | % | 1.67 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(4) | 1.82 | % | 1.70 | % | 1.22 | % | 2.03 | % | 0.91 | % | ||||||||||
Portfolio turnover rate | 13 | % | 8 | % | 21 | % | 5 | % | 15 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
20
MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
FOR THE | FOR THE | FOR THE | FOR THE | FOR THE | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 24.74 | $ | 25.12 | $ | 25.31 | $ | 24.93 | $ | 25.08 | ||||||||||
Net investment income/(loss)(1) | 0.59 | 0.23 | 0.18 | 0.05 | 0.03 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments | 0.61 | (0.36 | ) | (0.13 | ) | 0.36 | (0.04 | ) | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 1.20 | (0.13 | ) | 0.05 | 0.41 | (0.01 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.56 | ) | (0.22 | ) | (0.12 | ) | — | (0.14 | ) | |||||||||||
Net realized capital gains | — | (2) | (0.03 | ) | (0.12 | ) | (0.03 | ) | — | |||||||||||
Total dividends and distributions to shareholders | (0.56 | ) | (0.25 | ) | (0.24 | ) | (0.03 | ) | (0.14 | ) | ||||||||||
Net asset value, end of period | $ | 25.38 | $ | 24.74 | $ | 25.12 | $ | 25.31 | $ | 24.93 | ||||||||||
Total investment return/(loss)(3) | 4.98 | % | (0.50 | )% | 0.19 | % | 1.66 | % | (0.06 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 29,546 | $ | 30,405 | $ | 26,017 | $ | 21,927 | $ | 18,098 | ||||||||||
Ratio of expenses to average net assets with waivers, if any(4) | 0.74 | % | 0.71 | % | 0.77 | % | 0.85 | % | 1.00 | % | ||||||||||
Ratio of expenses to average net assets without waivers, if any(4) | 0.74 | % | 0.71 | % | 0.77 | % | 0.85 | % | 1.37 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets with waivers(4) | 2.39 | % | 0.93 | % | 0.70 | % | 0.21 | % | 0.10 | % | ||||||||||
Portfolio turnover rate | 19 | % | 2 | % | 11 | % | 40 | % | 11 | % |
(1) | The selected per share data is calculated using the average shares outstanding method for the period. |
(2) | Amount less than $(0.005) per share. |
(3) | Total investment return/(loss) is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | The Portfolio also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. |
The accompanying notes are an integral part of the financial statements.
21
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Matson Money U.S. Equity VI Portfolio, the Matson Money International Equity VI Portfolio and the Matson Money Fixed Income VI Portfolio (each a “Portfolio,” 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 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Matson Money U.S. Equity VI Portfolio and Matson Money International Equity VI Portfolio’s investment objective is to seek long-term capital appreciation. Matson Money Fixed Income VI Portfolio’s investment objective is to seek total return (consisting of current income and capital appreciation).
The Portfolios are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Portfolios is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
INVESTMENT COMPANY SECURITIES — The Portfolios pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Portfolio invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Portfolio will incur higher expenses, many of which may be duplicative. Furthermore, because the Portfolios invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Portfolio’s assets among the ETFs and underlying funds. Accordingly, the Portfolios’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Portfolios allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Portfolios invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”). Information about DFA Underlying Funds’ risks may be found in such DFA Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Fund’s annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the SEC’s website at http://www.sec.gov.
PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Portfolio’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.
22
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (continued)
August 31, 2019
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Portfolios’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Portfolios’ investments carried at fair value:
MATSON MONEY U.S. EQUITY VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Domestic Equity Funds | $ | 24,657,142 | $ | 19,906,424 | $ | — | $ | — | $ | 4,750,718 | ||||||||||
Short-Term Investments | 228,677 | 228,677 | — | — | — | |||||||||||||||
Total Investments** | $ | 24,885,819 | $ | 20,135,101 | $ | — | $ | — | $ | 4,750,718 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
International Equity Funds | $ | 18,102,939 | $ | 14,094,038 | $ | — | $ | — | $ | 4,008,901 | ||||||||||
Short-Term Investments | 167,465 | 167,465 | — | — | — | |||||||||||||||
Total Investments** | $ | 18,270,404 | $ | 14,261,503 | $ | — | $ | — | $ | 4,008,901 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
23
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
August 31, 2019
MATSON MONEY FIXED INCOME VI PORTFOLIO
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | ||||||||||||||||
Fixed Income Funds | $ | 29,209,027 | $ | 24,170,676 | $ | — | $ | — | $ | 5,038,351 | ||||||||||
Short-Term Investments | 380,728 | 380,728 | — | — | — | |||||||||||||||
Total Investments** | $ | 29,589,755 | $ | 24,551,404 | $ | — | $ | — | $ | 5,038,351 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolios’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolios may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Portfolio to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Portfolio had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Portfolio had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Portfolios had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Portfolios record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Portfolio’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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
24
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
August 31, 2019
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 recorded on the ex-dividend date for each Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Portfolio’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Portfolios may enter into contracts that provide general indemnifications. Each Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future, and, therefore, cannot be estimated; however, the Portfolios expect the risk of material loss for such claims to be remote.
For additional information about the DFA Underlying Funds’ valuation policies, refer to the DFA Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com.
2. | Investment Adviser and Other Services |
Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as the investment adviser to each Portfolio. Each Portfolio compensates the Adviser for its services at an annual rate based on each Portfolio’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
AVERAGE DAILY NET ASSETS | ADVISORY FEE | |||
For the first $1 billion | 0.50 | % | ||
Over $1 billion to $5 billion | 0.49 | |||
Over $5 billion | 0.47 |
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Portfolio operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Portfolio’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause total annual Portfolio operating expenses to exceed the Expense Caps: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. The Adviser may not recoup waived management fees or reimbursed expenses. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
PORTFOLIO | EXPENSE CAPS | |||
Matson Money U.S. Equity VI Portfolio | 1.13 | % | ||
Matson Money International Equity VI Portfolio | 1.35 | |||
Matson Money Fixed Income VI Portfolio | 1.00 |
25
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (Continued)
August 31, 2019
During the current fiscal period, investment advisory fees accrued were as follows:
PORTFOLIO | ADVISORY FEES | |||
Matson Money U.S. Equity VI Portfolio | $ | 120,925 | ||
Matson Money International Equity VI Portfolio | 88,520 | |||
Matson Money Fixed Income VI Portfolio | 145,871 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services serves as administrator for the Portfolios. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Portfolios. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Portfolios’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
3. | Director and Officer Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Portfolios or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. | Purchases and Sales of Investment Securities |
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Portfolios were as follows:
PURCHASES | SALES | |||||||
Matson Money U.S. Equity VI Portfolio | $ | 6,924,508 | $ | 4,089,304 | ||||
Matson Money International Equity VI Portfolio | 5,423,882 | 2,221,809 | ||||||
Matson Money Fixed Income VI Portfolio | 5,410,636 | 7,027,643 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. | Federal Income Tax Information |
The Portfolios have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Portfolios to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Portfolios
26
MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (CONTINUED)
August 31, 2019
have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Portfolios are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Portfolio were as follows:
FEDERAL TAX | UNREALIZED | UNREALIZED | NET | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 25,412,032 | $ | 1,124,735 | $ | (1,650,948 | ) | $ | (526,213 | ) | ||||||
Matson Money International Equity VI Portfolio | 20,248,576 | 247,045 | (2,225,217 | ) | (1,978,172 | ) | ||||||||||
Matson Money Fixed Income VI Portfolio | 29,221,031 | 503,412 | (134,688 | ) | 368,724 |
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.
Permanent differences as of August 31, 2019, primarily attributable to reclassifications of short-term capital gains distributions, were reclassified among the following accounts:
Distributable | Paid-In | |||||||
Matson Money U.S. Equity VI Portfolio | $ | — | $ | — | ||||
Matson Money International Equity VI Portfolio | — | — | ||||||
Matson Money Fixed Income VI Portfolio | — | — |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | Net | |||||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 23,345 | $ | 1,273,821 | $ | — | $ | (526,213 | ) | |||||||
Matson Money International Equity VI Portfolio | 76,860 | 462,674 | — | (1,978,172 | ) | |||||||||||
Matson Money Fixed Income VI Portfolio | 130,403 | — | (37,010 | ) | 368,724 |
The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.
The Portfolios are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2019, the Matson Money Fixed Income VI Portfolio had $37,010 in capital loss carryforwards.
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MATSON MONEY VI PORTFOLIOS
Notes to Financial Statements (concluded)
August 31, 2019
The tax character of distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018 were as follows:
ORDINARY | LONG-TERM | TOTAL | |||||||||||
Matson Money U.S. Equity VI Portfolio | 2019 | $ | 212,548 | $ | 1,279,932 | $ | 1,492,480 | ||||||
2018 | 231,177 | 885,944 | 1,117,121 | ||||||||||
Matson Money International Equity VI Portfolio | 2019 | 279,032 | 304,644 | 583,676 | |||||||||
2018 | 308,131 | 135,929 | 444,060 | ||||||||||
Matson Money Fixed Income VI Portfolio | 2019 | 649,922 | 5,379 | 655,301 | |||||||||
2018 | 240,545 | 35,480 | 276,025 |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
6. | New Accounting Pronouncements AND REGULATORY UPDATES |
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Portfolios’ financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. | 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.
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MATSON MONEY VI PORTFOLIOS
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio, and Matson Money Fixed Income VI Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio, and Matson Money Fixed Income VI Portfolio (the “Funds”), three separately managed portfolios of The RBB Fund, Inc., as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian, investment adviser of the underlying funds and transfer agent. We believe that our audits provide a reasonable basis for our opinions.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Matson Money, Inc. investment companies since 2008.
29
MATSON MONEY VI PORTFOLIOS
Shareholder Tax Information
(Unaudited)
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2019 were as follows:
Ordinary | Long-Term | Total | ||||||||||
Matson Money U.S. Equity VI Portfolio | $ | 212,548 | $ | 1,279,932 | $ | 1,492,480 | ||||||
Matson Money International Equity VI Portfolio | 279,032 | 304,644 | 583,676 | |||||||||
Matson Money Fixed Income VI Portfolio | 649,922 | 5,379 | 655,301 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The percentage of total ordinary income dividends qualifying for the 15% dividend income tax rate is 100% for the Matson Money U.S. Equity VI Portfolio and 97.43% for the Matson Money International Equity VI Portfolio.
The percentage of total ordinary dividends qualifying for the corporate dividends received deduction is 100% for the Matson Money U.S. Equity VI Portfolio.
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is 53.55% for the Matson Money Fixed Income VI Portfolio.
Because each Portfolio’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Portfolios, if any. The Matson Money International Equity VI Portfolio passed through foreign tax credits of $40,212 and earned $449,040 of gross foreign source income during the fiscal year.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Portfolios.
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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) as an exhibit to its reports on Form N-PORT. The Company’s Form N-PORT is available on the SEC website at http://www.sec.gov.
Matson Money VI Portfolios Approval of Investment Advisory Agreements
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between Matson Money and the Company (the “Investment Advisory Agreements”) on behalf of the Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio and Matson Money Fixed Income VI Portfolio (each a “Portfolio” and collectively the “Portfolios”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreements, the Board considered information provided by Matson Money with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and Matson Money with respect to the Portfolios, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Matson Money’s services provided to the Portfolios; (ii) descriptions of the experience and qualifications of Matson Money’s personnel providing those services; (iii) Matson Money’s investment philosophies and processes; (iv) Matson Money’s assets under management and client descriptions; (v) Matson Money’s current advisory fee arrangements with the Company and other similarly managed clients; (vi) Matson Money’s compliance procedures; (vii) Matson Money’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Portfolios; (viii) the extent to which economies of scale are relevant to the Portfolios; (ix) a report prepared by Broadridge/Lipper comparing each Portfolio’s management fees and total expense ratio to those of its respective Lipper Group and comparing the performance of each Portfolio to the performance of its respective Lipper Group; and (x) a report comparing the performance of each Portfolio to the performance of its primary and composite benchmarks.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Matson Money. The Directors concluded that Matson Money had substantial resources to provide services to the Portfolios and that Matson Money’s services had been acceptable.
The Directors also considered the investment performance of the Portfolios and Matson Money. Information on the Portfolios’ investment performance was provided for the since inception and for one, three- and five-year periods, and for the quarter ended March 31, 2019. The Directors considered the Portfolios’ investment performance in light of their investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Portfolios as compared to their respective benchmarks and Lipper Groups was acceptable.
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MATSON MONEY VI PORTFOLIOS
Other Information (Concluded)
(Unaudited)
In reaching this conclusion, the Directors observed that the Matson Money U.S. Equity VI Portfolio had underperformed its benchmark for the year-to-date and one-, three-, five-year and since-inception periods ended March 31, 2019. The Directors also noted that the Matson Money U.S. Equity VI Portfolio ranked in the 4th quintile in its Performance Group for the three- and four-year periods ended December 31, 2018, and the 3rd quintile in its Performance Universe for the three- and four-year periods ended December 31, 2018.
Directors also considered that the Matson Money International Equity VI Portfolio had underperformed its benchmark for the year-to-date and one-, three-, five-year and since-inception periods ended March 31, 2019. The Directors also noted that the Matson Money International Equity VI Portfolio ranked in the 1st quintile in its Performance Group for the three-year, four-year and since inception periods ended December 31, 2018, and the 1st quintile in its Performance Universe for the four-year and since inception periods ended December 31, 2018.
The Directors noted the Matson Money Fixed Income VI Portfolio had outperformed its benchmark for the year-to-date period ended March 31, 2019. The Directors also noted that the Matson Money Fixed Income VI Portfolio ranked in the 1st quintile in its Performance Group for the one-year period ended December 31, 2018, and the 2nd quintile in its Performance Universe for the one-year period ended December 31, 2018.
The Board also considered the advisory fee rates payable by the Portfolios under the Investment Advisory Agreements. In this regard, information on the fees paid by the Portfolios and the Portfolios’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the contractual advisor fee of the Matson Money U.S. Equity VI Portfolio ranked in the 1st quintile of its Lipper Expense Group, and the contractual advisor fee of each of the Matson Money International Equity VI Portfolio and Matson Money Fixed Income VI Portfolio ranked in the 2nd quintile of each Portfolio’s respective Lipper Expense Group. In addition, the Directors noted that Matson Money had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to the extent that total annual fund operating expenses exceed 1.13%, 1.35% and 1.00% for the Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio, and Matson Money Fixed Income VI Portfolio, respectively.
After reviewing the information regarding the Portfolios’ costs, profitability and economies of scale, and after considering Matson Money’s services, the Directors concluded that the investment advisory fees paid by the Portfolios were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one year period ending August 16, 2020.
32
MATSON MONEY VI PORTFOLIOS
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling 866-780-0357, ext. 3863.
Name, Address, and Age | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52 | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company)(until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios)_(registered investment company); Independence Blue Cross (healthcare insurance). |
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MATSON MONEY VI PORTFOLIOS
Company Management (Continued)
(Unaudited)
Name, Address, and Age | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Arnold M. Reichman 615 East Michigan Street Milwaukee, WI 53202 Age: 71 | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company)(until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management)(until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director - Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
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MATSON MONEY VI PORTFOLIOS
Company Management (CONTINUED)
(Unaudited)
Name, Address, and Age | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered
35
MATSON MONEY VI PORTFOLIOS
Company Management (Concluded)
(Unaudited)
investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
36
MATSON MONEY VI PORTFOLIOS
Privacy Notice
(Unaudited)
FACTS | WHAT DO THE MATSON MONEY VI PORTFOLIOS 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 Matson Money VI Portfolios choose to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Do the Matson Money VI Portfolios share? | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | Yes | No | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We don’t share. | |
For our affiliates to market to you | No | We don’t share. | |
For nonaffiliates to market to you | No | We don’t share. |
Questions? | Call (866) 780-0357 Ext. 3863 or go to www.MatsonMoney.com |
37
MATSON MONEY VI PORTFOLIOS
Privacy Notice (Concluded)
(Unaudited)
What we do | |
How do the Matson Money VI Portfolios 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 Matson Money VI Portfolios 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 McGriff Video Productions and Matson Money, Inc. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Matson Money VI Portfolios don’t share with nonaffiliates so they can market to you. The Portfolios 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 Matson Money VI Portfolios 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. |
38
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, Suite 2000
Philadelphia, PA 19103-6996
MMFI-AR19
ANNUAL
report 2019
MFAM Funds
Series of The RBB Fund Inc.
8/31/19
MFAM Global Opportunities Fund (formerly, Motley Fool Global Opportunities Fund) | |
MFAM Mid-Cap Growth Fund (formerly, MFAM Small-Mid Cap Growth Fund) |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-888-863-8803.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-888-863-8803 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.
MFAM Global Opportunities Fund (FOOLX) For the past year, the Global Opportunities Fund returned 4.74% (for the Investor Share class) while our benchmark declined 0.81%. Over those twelve months, we saw two months with losses exceeding 5% and four months with gains exceeding 5%. Once again, a long-term mindset has proven critical to our approach.
The former MFAM Emerging Markets Fund was combined into the Global Opportunities Fund in July. This changes nothing about the goals and objectives of the Global Opportunities Fund, but we inherited a few investments that were new to the Fund, increasing our holdings from 50 at the end of last year to 58 at the end of this year. Don’t worry, the same investment team managed both Funds and we still like all of these companies.
Aside from the new companies entering the portfolio from the Emerging Markets Fund, we added six new companies to the Global Opportunities Fund in the past year, sold out of thirteen, and kept our annual turnover ratio at 11%.
It’s no surprise that our best performers in the past year include high-growth technology companies including Paycom Software (61% for the year), MercadoLibre (+74%), and Everbridge (+81% from our initial purchase). But, believe it or not, the highest returner for the Fund in the last year was the 84% gain we earned from coffee purveyor Starbucks. |
MFAM Mid-Cap Growth Fund (TMFGX) We’re not happy with the overall performance of the Mid-Cap Growth Fund over the past year, but we still believe in our approach of holding high quality businesses for the long run. For every investment like SBA Communications (up 69% this year) or Paycom Software (up 61% this year), we seemed to also hold investments like GrubHub (down 59%) and Align Technology (down 53%). We will continue to stick with our time-tested approach.
In the past year, we sold out of twelve companies while adding only two new positions, ending with 33 different holdings in the Mid-Cap Growth Fund. This is mostly because of our switch from a focus on small- and mid-cap investments to only mid-cap investments, which led us to cutting a few companies that remained too small. This allowed us to concentrate even more in our Top Ten ideas, which constitued 49% of the portfolio versus 42% six months ago.
Our two new investments this year, Axon Enterprise and Tyler Technologies, have something in common: they both sell their products to local governments. Axon sells its Taser products as well as other evidence-gathering software and equipment, while Tyler is a producer of resource-planning software for governments of all sizes. We like that both of these companies are utilizing software to provide more efficient mission-critical services to jurisdictions that frequently need to remain mindful of their budgets. |
Table of Contents |
Letter to Shareholders | 1 |
Portfolio Characteristics | 5 |
Fund Expense Examples | 11 |
Schedules of Investments | 13 |
Financial Statements | 20 |
Notes to Financial Statements | 30 |
Report of Independent Registered Public Accounting Firm | 43 |
Shareholder Tax Information | 44 |
Notice to Shareholders | 45 |
Directors and Officers | 50 |
MFAM FUNDS
August 31, 2019 (Unaudited)
Bryan Hinmon
Chief Investment Officer,
MFAM Funds
“I have been impressed with the urgency of doing. Knowing is not enough; we must apply. Being willing is not enough; we must do.”
— Leonardo da Vinci
Dear Fellow Shareholder,
Earlier this year MFAM celebrated its 10-year anniversary! We have learned a lot over the past decade about running an asset-management business, and we are proud of what we have accomplished so far. Although there have been bumps along the way, we can look back and feel confident that our approach to investing your (and our own!) hard-earned capital has been sound and rooted in sensible principles that work over the long term.
Since their respective inception dates, the MFAM Global Opportunities Fund has returned 12.82% annually, versus its benchmark’s return of 10.33%, while the MFAM Mid-Cap Growth Fund (together with the MFAM Global Opportunities Fund, the “Funds”) has returned 12.22%, versus its benchmark’s return of 13.56%.i We are convinced, now more than ever, that patiently owning a focused number of special businesses with a broad stakeholder mentality and a promising trajectory can achieve attractive capital appreciation in a risk-aware, tax-efficient way. Performance under this mandate can always vary, but 10 years in, we are proving that, over longer periods, we are right to be confident in the efficacy of this active investing approach.
RESULTS AND MARKET COMMENTARY
For the fiscal year ended August 31, 2019, the MFAM Global Opportunities Fund returned 4.74%, versus a 0.81% loss from its benchmark. The MFAM Mid-Cap Growth Fund fell 6.13%, versus its benchmark’s return of 5.96%.ii
If you didn’t look at your account statement over the past 12 months or just followed the oft-cited U.S. large cap indices, you might think it was a yawner of a year. U.S. large-cap stocks rose less than 1%. But digging a little deeper, we find there was quite a bit more going on.
Between the end of September and the end of December 2018, U.S. stocks fell by more than 20%. That’s bear-market territory for anyone fond of arbitrary definitions. As the severity of the move might suggest, a multitude of things combined to ignite fears. China, tariffs, Brexit, global economic weakness, and a flattening yield curve proved to be a potent cocktail. U.S. large caps held up best, as foreign and smaller domestic stocks suffered the most pain.
As quickly as the freefall happened, the period between January and May 2019 brought us right back to where things started. Oddly, though, there was little resolution to any of the fears that seemed to precipitate the market decline in late 2018. We can’t offer a clear explanation for market moves like this, and most times we don’t think it’s worth trying too hard to do so. Sometimes market moves are just that – market moves. The rest of the year, after all that, was up and down, with little to show for it.
All the same, you can see a clear division in performance for the 12 months in growth versus value stocks. Regardless of which market cap or geographical area you look at, growth outperformed value, and by a meaningful margin. That point is particularly relevant to the performance of the Funds, given our preference for owning of the types of businesses that more often classify as growth stocks than value. Broadly speaking, the outperformance of growth helped our Funds. Both developed and emerging foreign stocks underperformed the U.S. markets, which created headwinds for the MFAM Global Opportunities Fund that we were able to overcome.
i | Returns are for the investor share class, net of fees and expenses. The MFAM Global Opportunities Fund has an inception date of 6/16/2009. Its benchmark is the FTSE Global All Cap Net Tax Index. The MFAM Mid-Cap Growth Fund has an inception date of 11/1/2010. Its benchmark is the Russell Midcap Growth Index. |
ii | Returns are for the investor share class, net of fees and expenses. The benchmark of the MFAM Global Opportunities Fund is the FTSE Global All Cap Net Tax Index. The benchmark of the MFAM Mid Cap Growth Fund is the Russell Midcap Growth Index. |
1 |
MFAM FUNDS
Letter to Shareholders (continued)
August 31, 2019 (Unaudited)
With these macro influences laid out, we should reiterate that our portfolios are focused and built from the bottom up on a case-by-case analysis of individual businesses, and that we place an overwhelming emphasis on business quality as we define it. We expect our Funds to, and they often do, perform differently from their respective benchmarks.
FIVE LESSONS FROM LEONARDO
One of my favorite reads over the past year was Walter Issacson’s Leonardo da Vinci biography. Leonardo (1452-1519) is best known as the painter and sculptor responsible for the Mona Lisa, The Last Supper, and The Vitruvian Man, but he was a student and master of so much more. Music, engineering, city planning, science, weaponry, and anatomy would have all been skills heavily endorsed on his LinkedIn profile. Leonardo seemed to do it all and do it well.
I admit to a bias for Renaissance thinkers. I firmly believe that a broad base of knowledge is one of the greatest keys to success in life and business. A latticework mental constitution and a related ability to make connections across disciplines are among the tools that reliably give our investing team unique insights into the businesses we study. In support of my desire to live a varied and successful life, I read with an eye toward potential connections. The following are five lessons I took from Leonardo’s life, thinking, and practice that apply to how our team engages in investment research.
1. | Surround yourself with curious people. Leonardo spent the bulk of his life in Florence, Milan, and Rome, and not only did living in those bustling cities expose him to the wonders of the day, it allowed him to live and work in close quarters with others engaging in apprenticeship. The result was a constant exposure to smart people with diverse interests learning different trades. This helped Leonardo appreciate the wonders of the world and gave him an unquenchable thirst for learning. While the Renaissance provided the perfect backdrop for that way of life, the principle holds true even today. We find that building a team of individuals from different backgrounds, bound by curiosity, pushes us all forward and gives us an unquenchable thirst for studying businesses. |
2. | Few things have sharp edges. Leonardo pioneered the painting technique known assfumato. The word comes from the Italian wordfumo, meaning smoke, in reference to the ability to soften artistic edges with a seeming haze or smoke. You can see this technique when looking at the facial features in his work. There are no sharp edges that signify a starting and stopping of a feature; rather, the natural contours elegantly evolve. Similarly in investing, things are rarely black and white. We never have perfect information to make decisions. Our job is to make consistently good decisions despite uncertainty. Leonardo’ssfumato helps remind me of that. |
3. | Engage your imagination in fantasy. Among the things Leonardo obsessed over was a flying machine. That may not sound crazy until you consider that he lived in the late 1400s, putting him a solid four centuries ahead of Orville’s and Wilbur’s Wright Flyer. He sketched countless versions of his flying machine, primarily inspired by his detailed study of birds in flight. At the same time, fantastical, or at least ill-fitting, landscapes also found their way into his sketches and paintings. Not being constrained by what is conventionally believed to be possible helped Leonardo develop his creativity. When we analyze businesses, we allow ourselves to imagine whatmight be. Doing so helps us exit staid, linear thinking and take positions that could be worth owning for the next decade as they help define the world we might one day inhabit. |
4. | Keep notes. Leonardo, like many of his time, wrote down everything. He kept many notebooks, and more than 7,000 pages of them remain. They included sketches, musings, poems, grocery lists, dreams, fears, finances, and to-do lists. Those pages make Leonardo feel human and accessible: He made spelling and math errors just like we all do. But the regular practice of documenting helped his ideas, concepts, and drafts evolve, solidify, and improve. For our purposes, it may not be enough to merely spend time thinking about an investment thesis. Writing it down adds clarity, traceability, and refinement. It helps expose poor thinking and therefore reduce risk. Writing is, and should remain, an important part of our research process. |
5. | Try right to left. I write left-handed, and in the rare instance I’m using a pen and paper, I usually smudge every line I write. It’s a disaster. Leonardo was also left-handed and often wrote backwards, from right to left across the page. He would also write in mirror script, such that you could read the writing if you held it up to a mirror. One theory suggests that he wrote this way to make his ideas harder to steal. But as a left-hander, I’ll posit another, less exciting explanation: Writing right to left was just a smudge-fighting quirk he picked up as a youngster and didn’t care to change. We may never know the real reason. Regardless, my takeaway is that Leonardo wasn’t afraid to question convention and do things his way. If writing backwards worked for him, then that’s what he did. That attitude reflects independent thinking and fearlessness. As focused investors with a penchant for assigning value to qualitative factors, we must have that same independence and fearlessness. |
2 |
MFAM FUNDS
Letter to Shareholders (continued)
August 31, 2019 (Unaudited)
HOW NOT TO FOLLOW LEONARDO
There are far more than five ways we should look to walk in Leonardo’s footsteps. But we should also remember that he was not infallible. He was a perfectionist. He was notorious for delivering work late and completed very few works. His desire for perfection, in some ways, limited his contribution to the world. We should all appreciate the demanding standards he held himself to but acknowledge the unfortunate reality that Leonardo died with a few lifetimes’ worth of unfinished works. Perfection can be the enemy of progress and contribution.
With that frame of mind, and guided by Leonardo’s successes, we are pleased with the progress of our Funds during the fiscal year ended August 31, 2019. Certainly, our efforts in managing your capital were not perfect, but we are confident the way we invested was consistent with our promises and indicated progress. Similarly, we believe that the focused group of businesses we own are of high quality, healthy, and helping to shape a better world. Each embraces the urgency of doing something important, not in pursuit of perfection, but toward progress and contribution.
Thank you for your continued trust.
Onward,
Bryan Hinmon
Chief Investment Officer, MFAM Funds
3 |
MFAM FUNDS
Letter to Shareholders (conCLUDED)
August 31, 2019 (Unaudited)
Past performance does not guarantee future results. There can be no guarantee that any strategy (risk management or otherwise) will be successful. All investing involves risk, including potential loss of principal. Securities in a Fund may not match those in an index and performance of the Fund will be different. You cannot invest directly into an index.
The Letter to Shareholders seeks to describe some of the Adviser’s current opinions and views of the financial markets. Although the Adviser believes it has a reasonable basis for any opinions or views expressed, actual results may differ, sometimes significantly so, from those expected or expressed. The securities held by the Funds that are discussed in the Letter to Shareholders were held during the period covered by the annual report. They do not comprise the entire investment portfolio of the Funds, may be sold at any time, and may no longer be held by the Funds. The opinions of the Adviser with respect to those securities may change at any time.
New to investing? Reading your first mutual fund annual report?
Welcome! Here are some important things you need to know. Mutual fund investing offers many potential benefits. But there also are risks. Financial gain is not guaranteed when it comes to investing in equity securities. It’s possible to lose money, including your principal — especially during the short term.
We focus on the stocks of high quality businesses. Even the best businesses in the world fall in price — and sometimes a lot. Over the longer term, stock prices usually reflect business values, but the relationship is much more tenuous in the short term.
We also construct focused portfolios. This means we’re likely to own far fewer securities than are in the “market” or our benchmark. This could result in higher volatility or performance that is worse from the market and benchmark. To be fair, it could also result in lower volatility and performance that is better.
Our funds may invest in foreign companies and in companies with small market capitalization. There are certain risks associated with these types of investments. The risks are described on pages 6 and 9 of this report. Additional risk information is provided in section 2 of the Notes to Financial Statements. |
4 |
MFAM Global Opportunities Fund
(formerly, Motley Fool Global Opportunities Fund)
(Unaudited)
Average Annual Total Returns for the periods ended August 31, 2019 | |||||
One | Five | TEN | Since | Inception | |
Investor Shares* | 4.74% | 8.94% | 11.96% | 12.82% | 6/16/2009 |
Institutional Shares* | 4.94% | 9.11% | N/A | 9.57% | 6/17/2014 |
FTSE Global All Cap Net Tax Index** | -0.81% | 5.78% | 9.12% | —(1) | — |
Fund Expense Ratios(2): Investor Shares: Gross 1.26% and Net 1.15%; Institutional Shares: Gross 1.06% and Net 0.95% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mfamfunds.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
(1) | The index returned 10.33% from the inception date of the Investor Shares and 5.91% from the inception date of the Institutional Shares. |
(2) | The expense ratios of the Fund are set forth according to the December 31, 2018 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. |
* | The MFAM Global Opportunities Fund operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. |
** | The FTSE Global All Cap Net Tax Index is a market-capitalization weighted index representing the performance of large, mid and small cap companies in Developed and Emerging markets. The index is comprised of approximately 7,900 securities from 49 countries and captures 98% of the world’s investable market capitalization. Fair value prices and foreign exchange as of 4 pm ET are used in the calculation of this index, and returns are adjusted for withholding taxes applicable to dividends received by a U.S. Regulated Investment Company domiciled in the United States. The index is unmanaged and not available for direct investments. Its performance does not reflect deductions for fees, expenses or taxes. |
5 |
MFAM Global Opportunities Fund
Portfolio Characteristics (Continued)
(Unaudited)
The investment objective of the MFAM Global Opportunities Fund is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies located anywhere in the world. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of Motley Fool Asset Management, LLC (the “Adviser”), high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.
The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.
The allocations to various sectors, countries, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns.
The following tables show the top ten holdings, sector allocations, and top ten countries in which the Fund was invested in as of August 31, 2019. Portfolio holdings are subject to change without notice.
Top Ten Holdings | % OF NET |
Mastercard, Inc., Class A | 5.3% |
Amazon.com, Inc. | 5.1 |
Medtronic PLC | 4.5 |
Starbucks Corp. | 3.8 |
Atlassian Corp., PLC, Class A | 3.6 |
SBA Communications Corp. | 3.2 |
Everbridge, Inc. | 3.2 |
NMC Health PLC | 3.0 |
American Tower Corp. | 3.0 |
MercadoLibre, Inc. | 3.0 |
37.7% |
6 |
MFAM Global Opportunities Fund
Portfolio Characteristics (Concluded)
(Unaudited)
The MFAM Global Opportunities Fund uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”). We believe that this makes the SOI classifications more standard with the rest of the industry.
Sector Allocation | % OF Net |
Information Technology | 25.5% |
Consumer Discretionary | 19.2 |
Health Care | 13.3 |
Industrials | 9.4 |
Real Estate | 9.3 |
Communication Services | 9.0 |
Financials | 6.9 |
Consumer Staples | 5.1 |
97.7% |
Top ten Countries | % OF Net |
United States | 54.3% |
China | 5.7 |
Ireland | 4.5 |
Australia | 3.6 |
Indonesia | 3.3 |
United Arab Emirates | 3.1 |
Japan | 3.0 |
Argentina | 3.0 |
Philippines | 2.3 |
India | 2.3 |
85.1% |
* | As of the date of this report, the Fund had a holding of 2.3% in the U.S. Bank Money Market Deposit Account. |
7 |
MFAM Mid-Cap Growth Fund
(formerly, MFAM Small-Mid Cap Growth Fund)
Portfolio Characteristics
(Unaudited)
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Five | Since | Inception | |
Investor Shares* | -6.13% | 8.10% | 12.22% | 11/1/2010 |
Institutional Shares* | -5.97% | 8.31% | 8.52% | 6/17/2014 |
Russell Midcap® Growth Index** | 5.96% | 10.72% | —(1) | — |
Russell 2500 Growth Index*** | -3.70% | 9.65% | —(2) | — |
Fund Expense Ratios(3): Investor Shares: Gross 1.26% and Net 1.15%; Institutional Shares: Gross 1.17% and Net 0.95% |
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mfamfunds.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
(1) | The index returned 13.56% from the inception date of the Investor Shares and 11.02% from the inception date of the Institutional Shares. |
(2) | The index returned 13.15% from the inception date of the Investor Shares and 9.62% from the inception date of the Institutional Shares. |
(3) | The expense ratios of the Fund are set forth according to the December 31, 2018 Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. |
* | The MFAM Mid-Cap Growth Fund operated as a series of The Motley Fool Funds Trust (the “Predecessor Fund”) prior to December 21, 2016 at which time the Predecessor Fund was reorganized into the Fund. The performance shown for periods prior to December 21, 2016 represents the performance of the Predecessor Fund. These returns reflect expense waivers by the Fund’s investment adviser. Without these waivers, returns would have been lower. |
** | The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap® Growth Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market. |
*** | Effective December 31, 2018, the Fund discontinued the use of the Russell 2500 Growth Index and replaced it with the Russell MidCap® Growth Index. The Adviser believes that the use of the Russell MidCap® Growth Index provides a better comparative benchmark because it more appropriately reflects the securities in which the Fund may invest.The Russell 2500 Growth Index is an unmanaged, free float-adjusted, market capitalization weighted index that is designed to measure the performance of the small and mid-cap growth segment of the U.S. stock market. The Russell 2500 Growth Index is a subset of the Russell 3000® Index. It includes approximately 2,500 of the smallest securities based on a combination of their market cap and current index membership. The Fund may invest in companies that are not included within the Russell 2500 |
8 |
MFAM Mid-Cap Growth Fund
Portfolio Characteristics (continued)
(Unaudited)
Growth Index and its investment portfolio is not weighted in terms of issuers the same as the Russell 2500 Growth Index. For this reason, the Fund’s investment performance should not be expected to track, and may exceed or trail, the Russell 2500 Growth Index. The index is unmanaged and not available for direct investment. Its performance does not reflect deductions for fees, expenses or taxes.
The investment objective of the MFAM Mid-Cap Growth Fund is to achieve long-term capital appreciation, and it pursues this objective by investing primarily in common stocks of companies organized in the United States. The Fund seeks long-term growth by identifying and acquiring securities of companies that are, in the view of the Adviser, high quality. To identify these high-quality businesses, the Adviser engages in research to evaluate each company under consideration using four criteria: management, culture, and incentives; the economics of the business; competitive advantage; and trajectory. The Adviser’s approach prizes a long-term mindset and a balance of qualitative and quantitative factors.
The Fund will invest in areas of the market, that, in the view of the Adviser, offer the greatest potential for long-term capital appreciation, and it does not attempt to match the allocations of its benchmark. As such, significant deviation from the benchmark is expected from time to time, especially over shorter time frames.
The allocations to various sectors, or any other macro-economic designation, are the byproduct of rigorous bottom-up analysis rather than an intentional top-down opinion of asset classes. While market conditions are constantly changing, exposure to equity market risk is needed to consistently achieve equity-like returns. The Adviser views its time as best spent focused on evaluating businesses and seeking to minimize company-specific risk in order to pursue its objective of long-term capital appreciation.
Although the MFAM Mid-Cap Growth Fund may invest in companies with any market capitalization, the Adviser expects that investments in the securities of companies having smaller- and mid-market capitalizations will be important components of the Fund’s investment program. Investments in securities of these companies may involve greater risk than do investments in larger, more established companies. Small- and mid-cap stocks tend to be more volatile and less liquid than their large-cap counterparts.
The following tables show the top ten holdings, and sector allocations in which the Fund was invested in as of August 31, 2019. Portfolio holdings are subject to change without notice.
Top ten Holdings | % OF Net |
Paycom Software, Inc. | 6.6% |
XPO Logistics, Inc. | 5.7 |
SBA Communications Corp. | 5.4 |
Cooper Companies, Inc. (The) | 5.4 |
Paylocity Holding Corp. | 5.4 |
ResMed, Inc. | 5.2 |
Church & Dwight Co., Inc. | 4.2 |
LCI Industries | 4.0 |
Splunk, Inc. | 3.6 |
Jones Lang LaSalle, Inc. | 3.6 |
49.1% |
9 |
MFAM Mid-Cap Growth Fund
Portfolio Characteristics (CONCLUDED)
(Unaudited)
The MFAM Mid-Cap Growth Fund uses the Global Industry Classification StandardSM (“GICS SM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”). We believe that this makes the SOI classifications more standard with the rest of the industry.
Sector Allocation | % OF Net |
Information Technology | 23.8% |
Consumer Discretionary | 18.5 |
Health Care | 17.7 |
Industrials | 15.6 |
Real Estate | 11.2 |
Consumer Staples | 6.3 |
Financials | 4.7 |
97.8% |
10 |
mfam Funds
August 31, 2019 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory fees and other Fund expenses. These examples are intended to help you to 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 March 1, 2019 to August 31, 2019, and held for the entire period.
Actual Expenses
The first section of the accompanying tables provide information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses attributable to your investment during this period.
Hypothetical EXAMPLES for Comparison Purposes
The second section of the accompanying tables provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are provided to enable you to compare the ongoing costs of investing in the Fund as compared to the costs of investing in other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the 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 section of the accompanying tables are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Do you know how many times a fund, or the market, has returned a smooth 5% over a long period of time? Never. But we have to pick some example. In reality, the market’s returns are always far bumpier, with the market returning 20% one year, followed by a loss of 10% the next year, followed by a 3% gain, etc. These variations affect actual expenses as well. Happily, over almost all time periods of 20 years or longer, according to the research of University of Pennsylvania’s Jeremy Siegel and others, the domestic market’s returns have been at least 5% per year on average. |
| Beginning | Ending | Expenses | Annualized | Actual |
MFAM Global Opportunities Fund | |||||
Actual | |||||
Investor Shares | $1,000.00 | $1,090.80 | $6.06 | 1.15% | 9.08% |
Institutional Shares | 1,000.00 | 1,092.30 | 5.01 | 0.95 | 9.23 |
Hypothetical (5% return before expenses) | |||||
Investor Shares | $1,000.00 | $1,019.41 | $5.85 | 1.15% | N/A |
Institutional Shares | 1,000.00 | 1,020.42 | 4.84 | 0.95 | N/A |
11 |
mfam Funds
Fund Expense Examples (Concluded)
August 31, 2019 (Unaudited)
| Beginning | Ending | Expenses | Annualized | Actual |
MFAM Mid-Cap Growth Fund | |||||
Actual | |||||
Investor Shares | $1,000.00 | $1,039.80 | $5.91 | 1.15% | 3.98% |
Institutional Shares | 1,000.00 | 1,040.80 | 4.89 | 0.95 | 4.08 |
Hypothetical (5% return before expenses) | |||||
Investor Shares | $1,000.00 | $1,019.41 | $5.85 | 1.15% | N/A |
Institutional Shares | 1,000.00 | 1,020.42 | 4.84 | 0.95 | N/A |
(1) | Expenses are equal to each Fund’s annualized expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Each Fund’s ending account value in the first section of the tables are based on the actual six-month total investment return for the Fund. |
(2) | These ratios reflect expenses waived by the Funds’ investment adviser. Without these waivers, the Funds’ expenses would have been higher and the ending account values would have been lower. |
12 |
MFAM Global Opportunities Fund
Schedule of Investments
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Aerospace & Defense — 1.8% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 150,000 | $ | 8,995,500 | |||||
Banks — 3.5% | ||||||||
Bank of Georgia Group PLC (Georgia) | 293,132 | 4,840,672 | ||||||
Credicorp Ltd. (Peru) | 5,000 | 1,035,600 | ||||||
HDFC Bank., Ltd., ADR (India) | 105,350 | 11,356,730 | ||||||
17,233,002 | ||||||||
Beverages — 1.4% | ||||||||
Anheuser-Busch InBev SA/NV, SP ADR (Belgium) (a) | 70,500 | 6,662,250 | ||||||
Coca-Cola Icecek AS (Turkey) | 20,000 | 118,606 | ||||||
6,780,856 | ||||||||
Capital Markets — 0.7% | ||||||||
Georgia Capital PLC (Georgia)* | 293,132 | 3,559,687 | ||||||
Consumer Finance — 1.3% | ||||||||
Gentera SAB de CV (Mexico) | 8,550,000 | 6,365,092 | ||||||
Diversified Financial Services — 1.4% | ||||||||
Banco Latinoamerico de Comercio Exterior SA, Class E (Panama) (a) | 379,029 | 6,871,796 | ||||||
Diversified Telecommunication Services — 0.1% | ||||||||
Telkom SA SOC Ltd. (South Africa) | 100,000 | 525,757 | ||||||
Electronic Equipment, Instruments & Components — 2.3% | ||||||||
IPG Photonics Corp. (United States) (a)* | 72,000 | 8,908,560 | ||||||
Lagercrantz Group AB, Class B (Sweden) | 29,296 | 374,875 | ||||||
NLight, Inc. (United States) (a)* | 155,000 | 2,002,600 | ||||||
11,286,035 | ||||||||
Entertainment — 1.7% | ||||||||
Vivendi SA (France) | 305,000 | 8,529,000 | ||||||
Equity Real Estate Investment (REITS) — 5.3% | ||||||||
American Tower Corp. (United States) | 64,000 | 14,732,160 | ||||||
Equinix, Inc. (United States) | 20,000 | 11,125,600 | ||||||
25,857,760 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 3.2% | ||||||||
SBA Communications Corp. (United States) | 60,000 | 15,745,800 | ||||||
See Notes to Financial Statements.
13 |
MFAM Global Opportunities Fund
Schedule of Investments (continued)
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Food & Staples Retailing — 2.6% | ||||||||
Costco Wholesale Corp. (United States) | 40,000 | $ | 11,790,400 | |||||
CP ALL PCL, NVDR (Thailand) | 190,000 | 520,914 | ||||||
Georgia Healthcare Group PLC (Georgia) (b) | 90,000 | 248,592 | ||||||
12,559,906 | ||||||||
Food Products — 1.2% | ||||||||
Nippon Indosari Corpindo Tbk PT (Indonesia) | 64,257,500 | 5,843,650 | ||||||
Health Care Equipment & Supplies — 9.3% | ||||||||
Align Technology, Inc. (United States)* | 40,500 | 7,415,955 | ||||||
Medtronic PLC (Ireland) | 205,272 | 22,146,796 | ||||||
ResMed, Inc. (United States) (a) | 102,000 | 14,208,600 | ||||||
Top Glove Corp., Bhd (Malaysia) | 1,600,000 | 1,805,176 | ||||||
45,576,527 | ||||||||
Health Care Providers & Services — 3.3% | ||||||||
NMC Health PLC (United Arab Emirates) | 485,482 | 14,820,073 | ||||||
Odontoprev SA (Brazil) | 350,000 | 1,425,863 | ||||||
16,245,936 | ||||||||
Hotels, Restaurants & Leisure — 7.4% | ||||||||
Ctrip.com International Ltd., ADR (China) | 234,052 | 7,578,604 | ||||||
Starbucks Corp. (United States) (a) | 195,000 | 18,829,200 | ||||||
Yum China Holdings, Inc. (China) | 214,751 | 9,756,138 | ||||||
36,163,942 | ||||||||
Interactive Media & Services — 4.1% | ||||||||
Alphabet, Inc., Class C (United States)* | 9,024 | 10,721,415 | ||||||
Tencent Holding Ltd. (China) | 225,600 | 9,314,016 | ||||||
20,035,431 | ||||||||
Internet & Direct Marketing Retail — 9.7% | ||||||||
Alibaba Group Holding Ltd., SP ADR (China)* | 7,200 | 1,260,216 | ||||||
Amazon.com, Inc. (United States)* | 14,150 | 25,134,504 | ||||||
GrubHub, Inc. (United States) (a)* | 50,000 | 2,967,000 | ||||||
MercadoLibre, Inc. (Argentina)* | 24,387 | 14,500,510 | ||||||
Zooplus AG (Germany)* | 32,200 | 4,267,947 | ||||||
48,130,177 | ||||||||
See Notes to Financial Statements.
14 |
MFAM Global Opportunities Fund
Schedule of Investments (continued)
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
IT Services — 7.5% | ||||||||
Mastercard, Inc., Class A (United States) | 93,300 | $ | 26,251,821 | |||||
PayPal Holdings, Inc. (United States)* | 94,900 | 10,348,845 | ||||||
36,600,666 | ||||||||
Life Sciences Tools & Services — 0.7% | ||||||||
Horizon Discovery Group PLC (United Kingdom)* | 2,135,499 | 3,672,659 | ||||||
Machinery — 0.6% | ||||||||
Fanuc Corp. (Japan) | 16,000 | 2,770,760 | ||||||
Media — 0.4% | ||||||||
System1 Group PLC (United Kingdom) | 700,000 | 1,865,349 | ||||||
Multiline Retail — 2.1% | ||||||||
Mitra Adiperkasa Tbk PT (Indonesia) | 146,430,000 | 10,217,858 | ||||||
Real Estate Management & Development — 0.9% | ||||||||
Jones Lang LaSalle, Inc. (United States) (a) | 30,000 | 4,021,500 | ||||||
Lippo Karawaci Tbk PT (Indonesia) | 10,000,000 | 178,885 | ||||||
4,200,385 | ||||||||
Semiconductors & Semiconductor Equipment — 2.1% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd., SP ADR (Taiwan) (a) | 242,500 | 10,337,775 | ||||||
Software — 13.4% | ||||||||
Atlassian Corp., PLC, Class A (Australia)* | 132,000 | 17,755,320 | ||||||
Douzone Bizon Co., Ltd. (South Korea) | 187,798 | 8,915,301 | ||||||
Everbridge, Inc. (United States) (a)* | 180,000 | 15,516,000 | ||||||
Paycom Software, Inc. (United States)* | 55,000 | 13,756,600 | ||||||
Splunk, Inc. (United States)* | 93,300 | 10,432,806 | ||||||
66,376,027 | ||||||||
Trading Companies & Distributors — 4.5% | ||||||||
Fastenal Co. (United States) | 248,000 | 7,593,760 | ||||||
Watsco, Inc. (United States) (a) | 90,000 | 14,719,500 | ||||||
22,313,260 | ||||||||
See Notes to Financial Statements.
15 |
MFAM Global Opportunities Fund
Schedule of Investments (concluded)
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Transportation Infrastructure — 2.5% | ||||||||
DP World PLC (United Arab Emirates) | 42,000 | $ | 588,987 | |||||
International Container Terminal Services, Inc. (Philippines) | 4,395,000 | 11,467,258 | ||||||
12,056,245 | ||||||||
Wireless Telecommunication Services — 2.7% | ||||||||
Safaricom PLC (Kenya) | 4,000,000 | 1,087,923 | ||||||
SoftBank Group Corp. (Japan) | 260,000 | 11,781,566 | ||||||
Vodacom Group Ltd. (South Africa) | 50,000 | 379,551 | ||||||
13,249,040 | ||||||||
Total Common Stocks (Cost $293,624,628) | 479,965,878 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 8.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27% | 39,823,962 | 39,823,962 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $39,823,962) | 39,823,962 | |||||||
Short-Term Investments — 2.3% | ||||||||
U.S. Bank Money Market Deposit Account, 2.11% (United States) (c) | 11,315,239 | 11,315,239 | ||||||
Total Short-Term Investments (Cost $11,315,239) | 11,315,239 | |||||||
Total Investments (Cost $344,763,829) — 108.1% | 531,105,079 | |||||||
Liabilities in Excess of Other Assets — (8.1)% | (39,885,518 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 19,646,139 shares outstanding) | $ | 491,219,561 |
* | Non-income producing security. |
ADR — American Depositary Receipt
NVDR — Non-Voting Depository Receipt
PLC — Public Limited Company
SP ADR — Sponsored ADR
(a) | All or a portion of the security is on loan. At August 31,2019, the market value of securities on loan was $38,734,299. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of August 31, 2019, the total market value of Rule 144A securities was $248,592 and represents 0.1% of net assets. |
(c) | The rate shown is as of August 31, 2019. |
See Notes to Financial Statements.
16 |
MFAM Mid-Cap Growth Fund
Schedule of Investments
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Common Stocks — 97.8% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 90,000 | $ | 5,397,300 | |||||
Air Freight & Logistics — 7.2% | ||||||||
CH Robinson Worldwide, Inc. (United States) (a) | 46,000 | 3,886,540 | ||||||
XPO Logistics, Inc. (United States) (a)* | 215,000 | 15,234,900 | ||||||
19,121,440 | ||||||||
Auto Components — 7.0% | ||||||||
Gentex Corp. (United States) (a) | 300,000 | 7,980,000 | ||||||
LCI Industries (United States) (a) | 124,670 | 10,565,783 | ||||||
18,545,783 | ||||||||
Automobiles — 2.0% | ||||||||
Thor Industries, Inc. (United States) (a) | 115,000 | 5,279,650 | ||||||
Banks — 0.7% | ||||||||
SVB Financial Group (United States)* | 10,000 | 1,946,200 | ||||||
Capital Markets — 0.6% | ||||||||
Diamond Hill Investment Group, Inc. (United States) | 12,539 | 1,691,511 | ||||||
Electronic Equipment, Instruments & Components — 2.3% | ||||||||
IPG Photonics Corp. (United States) (a)* | 49,500 | 6,124,635 | ||||||
Equity Real Estate Investment Trusts (REITs) — 7.5% | ||||||||
SBA Communications Corp. (United States) | 55,000 | 14,433,650 | ||||||
STAG Industrial, Inc. (United States) | 195,000 | 5,670,600 | ||||||
20,104,250 | ||||||||
Food Products — 2.1% | ||||||||
McCormick & Co., Inc. (United States) (a) | 34,000 | 5,537,580 | ||||||
Health Care Equipment & Supplies — 16.0% | ||||||||
Align Technology, Inc. (United States)* | 41,000 | 7,507,510 | ||||||
Cooper Companies, Inc. (The) (United States) | 46,400 | 14,372,400 | ||||||
ResMed, Inc. (United States) | 99,000 | 13,790,700 | ||||||
Varian Medical Systems, Inc. (United States)* | 67,000 | 7,097,310 | ||||||
42,767,920 | ||||||||
Health Care Technology — 1.6% | ||||||||
Teladoc, Inc. (United States) (a)* | 75,000 | 4,341,000 | ||||||
See Notes to Financial Statements.
17 |
MFAM Mid-Cap Growth Fund
Schedule of Investments (continued)
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Common Stocks (continued) | ||||||||
Hotels, Restaurants & Leisure — 3.0% | ||||||||
Texas Roadhouse, Inc. (United States) | 154,929 | $ | 7,972,646 | |||||
Household Products — 4.2% | ||||||||
Church & Dwight Co., Inc. (United States) | 141,600 | 11,296,848 | ||||||
Insurance — 3.4% | ||||||||
Markel Corp. (United States)* | 7,900 | 9,030,332 | ||||||
Internet & Direct Marketing Retail — 2.0% | ||||||||
GrubHub, Inc. (United States) (a)* | 90,000 | 5,340,600 | ||||||
IT Services — 2.7% | ||||||||
Broadridge Financial Solutions, Inc. (United States) | 55,000 | 7,119,200 | ||||||
Leisure Products — 2.8% | ||||||||
Hasbro, Inc. (United States) | 68,615 | 7,579,899 | ||||||
Machinery — 1.4% | ||||||||
Proto Labs, Inc. (United States)* | 40,000 | 3,789,600 | ||||||
Real Estate Management & Development — 3.6% | ||||||||
Jones Lang LaSalle, Inc. (United States) | 72,500 | 9,718,625 | ||||||
Software — 19.0% | ||||||||
Alarm.com Holdings, Inc. (United States) (a)* | 80,000 | 3,808,000 | ||||||
Everbridge, Inc. (United States)* | 60,000 | 5,172,000 | ||||||
Paycom Software, Inc. (United States)* | 70,000 | 17,508,400 | ||||||
Paylocity Holding Corp. (United States)* | 131,000 | 14,307,820 | ||||||
Splunk, Inc. (United States)* | 87,000 | 9,728,340 | ||||||
50,524,560 | ||||||||
Specialty Retail — 1.7% | ||||||||
Tractor Supply Co. (United States) | 44,800 | 4,564,224 | ||||||
Trading Companies & Distributors — 5.0% | ||||||||
Fastenal Co. (United States) (a) | 193,500 | 5,924,970 | ||||||
Watsco, Inc. (United States) (a) | 45,000 | 7,359,750 | ||||||
13,284,720 | ||||||||
Total Common Stocks (Cost $152,740,729) | 261,078,523 | |||||||
See Notes to Financial Statements.
18 |
MFAM Mid-Cap Growth Fund
Schedule of Investments (concluded)
August 31, 2019
| Number of | Value | ||||||
| ||||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 23.2% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27% | 61,809,204 | $ | 61,809,204 | |||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $61,809,204) | 61,809,204 | |||||||
Short-Term Investments — 2.3% | ||||||||
U.S. Bank Money Market Deposit Account, 2.11% (United States) (b) | 6,072,753 | 6,072,753 | ||||||
Total Short-Term Investments (Cost $6,072,753) | 6,072,753 | |||||||
Total Investments (Cost $220,622,686) — 123.3% | 328,960,480 | |||||||
Liabilities in Excess of Other Assets — (23.3)% | (62,132,412 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 10,985,413 shares outstanding) | $ | 266,828,068 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $60,815,473. |
(b) | The rate shown is as of August 31, 2019. |
See Notes to Financial Statements.
19 |
MFAM Funds
STATEMENTS of Assets and Liabilities
August 31, 2019
| MFAM | MFAM | ||||||
ASSETS | ||||||||
Investments in securities of unaffiliated issuers, at value^ (cost $293,624,628 and $152,740,729 respectively) | $ | 479,965,878 | $ | 261,078,523 | ||||
Investments purchased with proceeds from securities lending collateral (cost $39,823,962 and $61,809,204 respectively) | 39,823,962 | 61,809,204 | ||||||
Short-term investments, at value (cost $11,315,239 and $6,072,753, respectively) | 11,315,239 | 6,072,753 | ||||||
Foreign currency, at value (cost $345,870 and $0, respectively) | 337,609 | — | ||||||
Receivables for: | ||||||||
Dividends and tax reclaims | 398,906 | 144,033 | ||||||
Shares of beneficial interest sold | 152,475 | 40,153 | ||||||
Investments sold | 13,337 | — | ||||||
Prepaid expenses and other assets | 40,500 | 23,282 | ||||||
Total assets | 532,047,906 | 329,167,948 | ||||||
LIABILITIES | ||||||||
Payables for: | ||||||||
Securities lending collateral (see Note 6) | 39,823,962 | 61,809,204 | ||||||
Advisory fees | 345,133 | 186,389 | ||||||
Shareholder service fee | 334,902 | 194,572 | ||||||
Shares of beneficial interest redeemed | 238,239 | 77,129 | ||||||
Other accrued expenses and liabilities | 86,109 | 72,586 | ||||||
Total liabilities | 40,828,345 | 62,339,880 | ||||||
Net assets | $ | 491,219,561 | $ | 266,828,068 | ||||
NET ASSETS CONSIST OF: | ||||||||
Par value | $ | 19,646 | $ | 10,985 | ||||
Paid-in-capital | 283,721,883 | 151,174,357 | ||||||
Total distributable earnings/(losses) | 207,478,032 | 115,642,726 | ||||||
Net assets | $ | 491,219,561 | $ | 266,828,068 | ||||
NET ASSET VALUE: | ||||||||
Investor Shares: | ||||||||
Net assets applicable to capital shares outstanding | $ | 398,459,160 | $ | 237,622,798 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 15,948,930 | 9,792,181 | ||||||
Net asset value, offering and redemption price per share | $ | 24.98 | $ | 24.27 | ||||
Institutional Shares: | ||||||||
Net assets applicable to capital shares outstanding | $ | 92,760,401 | $ | 29,205,270 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 3,697,209 | 1,193,233 | ||||||
Net asset value, offering and redemption price per share | $ | 25.09 | $ | 24.48 | ||||
^ Includes market value of securities on loan | $ | 38,734,299 | $ | 60,815,473 |
The accompanying notes are an integral part of these financial statements.
20 |
MFAM Funds
Statements of Operations
for the year ended August 31, 2019
| MFAM | MFAM | ||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 5,269,645 | $ | 2,832,550 | ||||
Less foreign taxes withheld | (317,724 | ) | — | |||||
Securities lending income | 124,792 | 130,703 | ||||||
Total investment income | 5,076,713 | 2,963,253 | ||||||
EXPENSES | ||||||||
Advisory fees | 3,771,657 | 2,396,553 | ||||||
Shareholder service fees - Investor Shares | 439,287 | 289,894 | ||||||
Administration and accounting services fees | 163,728 | 102,945 | ||||||
Transfer agent fees and shareholder account services | 127,085 | 103,393 | ||||||
Legal fees | 67,629 | 39,457 | ||||||
Custodian fees | 57,261 | 8,998 | ||||||
Registration and filing fees | 54,307 | 55,351 | ||||||
Printing and shareholder reporting fees | 38,338 | 30,228 | ||||||
Officer fees | 37,931 | 21,595 | ||||||
Director fees | 29,259 | 15,055 | ||||||
Audit and tax service fees | 14,876 | 21,469 | ||||||
Other expenses | 39,190 | 35,656 | ||||||
Total expenses | 4,840,548 | 3,120,594 | ||||||
Expense fees waived/reimbursed net of amount recaptured | (85,701 | ) | (61,733 | ) | ||||
Net expenses after waivers/reimbursements | 4,754,847 | 3,058,861 | ||||||
Net investment income/(loss) | 321,866 | (95,608 | ) | |||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||
Net realized gain/(loss) from: | ||||||||
Investments | 26,578,849 | 10,362,234 | ||||||
Foreign currency transactions | (31,594 | ) | — | |||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||
Investments | (9,132,774 | ) | (33,172,145 | ) | ||||
Foreign currency translation | 1,379 | — | ||||||
Net realized and unrealized gain/(loss) | 17,415,860 | (22,809,911 | ) | |||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 17,737,726 | $ | (22,905,519 | ) |
The accompanying notes are an integral part of these financial statements.
21 |
MFAM Global Opportunities Fund
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
OPERATIONS | ||||||||
Net investment income/(loss) | $ | 321,866 | $ | (181,076 | ) | |||
Net realized gain/(loss) from investments and foreign currency transactions | 26,547,255 | 28,035,141 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation and assets and liabilities denominated in foreign currencies | (9,131,395 | ) | 59,944,229 | |||||
Net increase/(decrease) in net assets resulting from operations | 17,737,726 | 87,798,294 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Investor Shares | (25,506,618 | ) | (43,115,726 | ) | ||||
Institutional Shares | (5,479,614 | ) | (7,996,409 | ) | ||||
Total dividends and distributions to shareholders | (30,986,232 | ) | (51,112,135 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Proceeds from shares sold | 30,163,818 | 42,484,213 | ||||||
Proceeds from shares issued - fund reorganization (Note 8) | 34,248,442 | — | ||||||
Reinvestment of dividends | 24,943,644 | 42,328,884 | ||||||
Shares redeemed | (72,750,604 | ) | (60,158,888 | ) | ||||
Redemption fees (1) | — | 8,008 | ||||||
Total from Investor Shares | 16,605,300 | 24,662,217 | ||||||
Institutional Shares | ||||||||
Proceeds from shares sold | 19,592,058 | 11,443,903 | ||||||
Reinvestment of dividends | 5,390,526 | 7,910,044 | ||||||
Shares redeemed | (9,304,532 | ) | (6,961,572 | ) | ||||
Redemption fees (1) | — | 262 | ||||||
Total from Institutional Shares | 15,678,052 | 12,392,637 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 32,283,352 | 37,054,854 | ||||||
Total increase/(decrease) in net assets | 19,034,846 | 73,741,013 | ||||||
NET ASSETS: | ||||||||
Beginning of period | $ | 472,184,715 | $ | 398,443,702 | ||||
End of period (2) | $ | 491,219,561 | $ | 472,184,715 |
(1) | Effective December 31, 2017, the Fund eliminated the redemption fee. |
(2) | Including undistributed/accumulated net investment income/(loss). |
(3) | The following information was previously reported on the August 31, 2018 financial statements. See Note 7 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018, were as follows: |
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Net Investment Income | ||||
Investor Shares | $ | (740,296 | ) | |
Institutional Shares | (84,137 | ) | ||
Total net investment income | $ | (824,433 | ) | |
Net realized capital gains | ||||
Investor Shares | $ | (42,375,430 | ) | |
Institutional Shares | (7,912,272 | ) | ||
Total net realized capital gains | $ | (50,287,702 | ) | |
Undistributed/accumulated net investment income/(loss) | $ | — |
The accompanying notes are an integral part of these financial statements.
22 |
MFAM Global Opportunities Fund
Statements of Changes in Net Assets (CONCLUDED)
| FOR THE | FOR THE | ||||||
SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Shares sold | 1,263,891 | 1,726,902 | ||||||
Shares issued - fund reorganization (Note 8) | 1,324,511 | — | ||||||
Shares reinvested | 1,243,452 | 1,874,618 | ||||||
Shares redeemed | (3,061,321 | ) | (2,447,827 | ) | ||||
Net increase/(decrease) in shares | 770,533 | 1,153,693 | ||||||
Institutional Shares | ||||||||
Shares sold | 780,843 | 458,054 | ||||||
Shares reinvested | 267,919 | 349,692 | ||||||
Shares redeemed | (392,999 | ) | (282,356 | ) | ||||
Net increase/(decrease) in shares | 655,763 | 525,390 |
The accompanying notes are an integral part of these financial statements.
23 |
MFAM Mid-Cap Growth Fund
Statements of Changes in Net Assets
| FOR THE | FOR THE | ||||||
OPERATIONS | ||||||||
Net investment income/(loss) | $ | (95,608 | ) | $ | (582,238 | ) | ||
Net realized gain/(loss) from investments and foreign currency transactions | 10,362,234 | 13,478,362 | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation, and assets and liabilities denominated in foreign currencies | (33,172,145 | ) | 60,454,237 | |||||
Net increase/(decrease) in net assets resulting from operations | (22,905,519 | ) | 73,350,361 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Investor Shares | (12,316,953 | ) | (12,858,211 | ) | ||||
Institutional Shares | (1,326,095 | ) | (1,293,569 | ) | ||||
Total dividends and distributions to shareholders | (13,643,048 | ) | (14,151,780 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Proceeds from shares sold | 14,948,879 | 69,130,104 | ||||||
Reinvestment of dividends | 12,059,665 | 12,578,509 | ||||||
Shares redeemed | (59,835,799 | ) | (42,324,699 | ) | ||||
Redemption fees (1) | — | 3,475 | ||||||
Total from Investor Shares | (32,827,255 | ) | 39,387,389 | |||||
Institutional Shares | ||||||||
Proceeds from shares sold | 4,273,474 | 5,927,695 | ||||||
Reinvestment of dividends | 1,319,604 | 1,293,568 | ||||||
Shares redeemed | (3,619,952 | ) | (2,345,507 | ) | ||||
Redemption fees (1) | — | — | ||||||
Total from Institutional Shares | 1,973,126 | 4,875,756 | ||||||
Net increase/(decrease) in net assets from capital share transactions | (30,854,129 | ) | 44,263,145 | |||||
Total increase/(decrease) in net assets | (67,402,696 | ) | 103,461,726 | |||||
NET ASSETS: | ||||||||
Beginning of period | $ | 334,230,764 | $ | 230,769,038 | ||||
End of period (2) | $ | 266,828,068 | $ | 334,230,764 |
(1) | Effective December 31, 2017, the Fund eliminated the redemption fee. |
(2) | Including undistributed/accumulated net investment income/(loss). |
(3) | The following information was previously reported on the August 31, 2018 financial statements. See Note 7 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018, were as follows: |
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||
Net Investment Income | ||||
Investor Shares | $ | — | ||
Institutional Shares | — | |||
Total net investment income | $ | — | ||
Net realized capital gains | ||||
Investor Shares | $ | (12,858,211 | ) | |
Institutional Shares | (1,293,569 | ) | ||
Total net realized capital gains | $ | (14,151,780 | ) | |
Undistributed/accumulated net investment income/(loss) | $ | (438,175 | ) |
The accompanying notes are an integral part of these financial statements.
24 |
MFAM Mid-Cap Growth Fund
Statements of Changes in Net Assets (CONCLUDED)
| FOR THE | FOR THE | ||||||
SHARE TRANSACTIONS: | ||||||||
Investor Shares | ||||||||
Shares sold | 618,514 | 2,730,967 | ||||||
Shares reinvested | 591,450 | 520,849 | ||||||
Shares redeemed | (2,534,744 | ) | (1,683,331 | ) | ||||
Net increase/(decrease) in shares | (1,324,780 | ) | 1,568,485 | |||||
Institutional Shares | ||||||||
Shares sold | 171,612 | 230,304 | ||||||
Shares reinvested | 64,246 | 53,255 | ||||||
Shares redeemed | (154,018 | ) | (92,122 | ) | ||||
Net increase/(decrease) in shares | 81,840 | 191,437 |
The accompanying notes are an integral part of these financial statements.
25 |
MFAM Global Opportunities Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| YEARs ENDED | Fiscal | Years Ended October 31, | |||||||||||||||||||||
Investor Shares | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | 2014 | ||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.91 | $ | 24.09 | $ | 20.36 | $ | 20.32 | $ | 21.00 | $ | 19.24 | ||||||||||||
Net investment income/(loss)(3) | 0.01 | (0.02 | ) | 0.03 | 0.04 | 0.05 | 0.11 | |||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.79 | 4.94 | 4.30 | 0.01 | (0.29 | ) | 1.87 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.80 | 4.92 | 4.33 | 0.05 | (0.24 | ) | 1.98 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.05 | ) | (0.04 | ) | — | * | (0.11 | ) | (0.04 | ) | |||||||||||||
Net realized capital gains | (1.73 | ) | (3.05 | ) | (0.56 | ) | (0.01 | ) | (0.33 | ) | (0.18 | ) | ||||||||||||
Total dividends and distributions to shareholders | (1.73 | ) | (3.10 | ) | (0.60 | ) | (0.01 | ) | (0.44 | ) | (0.22 | ) | ||||||||||||
Redemption and small-balance account fees | — | — | * | — | * | — | * | — | * | — | * | |||||||||||||
Net asset value, end of period | $ | 24.98 | $ | 25.91 | $ | 24.09 | $ | 20.36 | $ | 20.32 | $ | 21.00 | ||||||||||||
Total investment return/(loss)(4) | 4.74 | % | 22.32 | % | 21.91 | %(5) | 0.25 | % | (1.13 | )% | 10.43 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 398,459 | $ | 393,197 | $ | 337,821 | $ | 353,118 | $ | 393,611 | $ | 413,624 | ||||||||||||
Ratio of expenses to average net assets | 1.10 | % | 1.06 | % | 1.15 | %(6) | 1.14 | % | 1.15 | % | 1.26 | % | ||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 1.11 | % | 1.06 | % | 1.15 | %(6) | 1.14 | % | 1.13 | % | 1.23 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.05 | % | (0.06 | )% | 0.18 | %(6) | 0.20 | % | 0.23 | % | 0.55 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.04 | % | (0.06 | )% | 0.18 | %(6) | 0.20 | % | 0.25 | % | 0.59 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 38 | %(5) | 26 | % | 21 | % | 24 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Global Opportunities Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. During the year ended October 31, 2013, 0.06% of the Fund’s total investment return was attributable to redemption and small-balance account fees received. Excluding this item, the total return would have been 25.08%. For the year ended August 31, 2018, the fiscal period ended August 31, 2017 and the years ended October 31, 2016, October 31, 2015 and October 31, 2014, redemption and small-balance account fees received had no effect on the Fund’s Investor Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
26 |
MFAM Global Opportunities Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| YEARs ENDED | Fiscal | Years Ended | Period | ||||||||||||||||||||
Institutional Shares | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | 2014(3) | ||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.97 | $ | 24.09 | $ | 20.40 | $ | 20.35 | $ | 21.01 | $ | 20.36 | ||||||||||||
Net investment income/(loss)(4) | 0.05 | 0.02 | 0.09 | 0.08 | 0.10 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain/(loss) from investments | 0.80 | 4.94 | 4.25 | 0.02 | (0.31 | ) | 0.62 | |||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.85 | 4.96 | 4.34 | 0.10 | (0.21 | ) | 0.65 | |||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | (0.03 | ) | (0.09 | ) | (0.04 | ) | (0.12 | ) | — | ||||||||||||||
Net realized capital gains | (1.73 | ) | (3.05 | ) | (0.56 | ) | (0.01 | ) | (0.33 | ) | — | |||||||||||||
Total dividends and distributions to shareholders | (1.73 | ) | (3.08 | ) | (0.65 | ) | (0.05 | ) | (0.45 | ) | — | |||||||||||||
Redemption and small-balance account fees | — | — | * | — | * | — | * | — | * | — | * | |||||||||||||
Net asset value, end of period | $ | 25.09 | $ | 25.97 | $ | 24.09 | $ | 20.40 | $ | 20.35 | $ | 21.01 | ||||||||||||
Total investment return/(loss)(5) | 4.94 | % | 22.48 | % | 21.97 | %(6) | (0.47 | )% | (0.97 | )% | 3.19 | %(6) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 92,760 | $ | 78,987 | $ | 60,623 | $ | 7,243 | $ | 7,726 | $ | 4,038 | ||||||||||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | % | 0.95 | %(7) | 0.95 | % | 0.95 | % | 0.95 | %(7) | ||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.99 | % | 1.06 | % | 1.17 | %(7) | 2.12 | % | 2.14 | % | 3.78 | %(7) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.19 | % | 0.07 | % | 0.48 | %(7) | 0.39 | % | 0.46 | % | 0.39 | %(7) | ||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.15 | % | (0.04 | )% | 0.26 | %(7) | (0.78 | )% | 0.73 | % | (2.43 | )%(7) | ||||||||||||
Portfolio turnover rate | 11 | % | 15 | % | 38 | %(6) | 26 | % | 21 | % | 24 | %(6) |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Global Opportunities Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Commenced operations on June 17, 2014. Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. |
(4) | Per share data calculated using average shares outstanding method. |
(5) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. Redemption and small-balance account fees received had no effect on the Fund’s Institutional Shares total investment return. |
(6) | Not annualized. |
(7) | Annualized. |
The accompanying notes are an integral part of these financial statements.
27 |
MFAM Mid-Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| YEARs ENDED | Fiscal | Years Ended October 31, | |||||||||||||||||||||
Investor Shares | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | 2014 | ||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.32 | $ | 22.04 | $ | 18.29 | $ | 18.72 | $ | 18.59 | $ | 17.25 | ||||||||||||
Net investment income/ (loss)(3) | (0.01 | ) | (0.06 | ) | (0.05 | ) | (0.05 | ) | 0.03 | 0.07 | ||||||||||||||
Net realized and unrealized gain/(loss) from investments | (1.88 | ) | 6.69 | 3.80 | (0.35 | ) | 0.14 | 1.51 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.89 | ) | 6.63 | 3.75 | (0.40 | ) | 0.17 | 1.58 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (0.03 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||
Net realized capital gains | (1.16 | ) | (1.35 | ) | — | — | — | (0.22 | ) | |||||||||||||||
Total dividends and distributions to shareholders | (1.16 | ) | (1.35 | ) | — | (0.03 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||
Redemption and small-balance account fees | — | — | * | — | * | — | * | — | * | 0.01 | ||||||||||||||
Net asset value, end of period | $ | 24.27 | $ | 27.32 | $ | 22.04 | $ | 18.29 | $ | 18.72 | $ | 18.59 | ||||||||||||
Total investment return/(loss)(4) | (6.13 | )% | 30.88 | % | 20.50 | %(5) | (2.15 | )% | 0.91 | % | 9.35 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 237,623 | $ | 303,669 | $ | 210,404 | $ | 205,149 | $ | 238,482 | $ | 231,600 | ||||||||||||
Ratio of expenses to average net assets | 1.10 | % | 1.12 | % | 1.15 | %(6) | 1.15 | % | 1.15 | % | 1.27 | % | ||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 1.12 | % | 1.06 | % | 1.16 | %(6) | 1.17 | % | 1.16 | % | 1.30 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets | (0.05 | )% | (0.22 | )% | (0.30 | )%(6) | (0.29 | )% | 0.17 | % | 0.38 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | (0.07 | )% | (0.16 | )% | (0.31 | )%(6) | (0.31 | )% | 0.17 | % | 0.36 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 19 | % | 24 | %(5) | 21 | % | 30 | % | 18 | % |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Small-Mid Cap Growth Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Per share data calculated using average shares outstanding method. |
(4) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. For the year ended October 31, 2014, 0.06% of the Fund’s Investor Shares total investment return was attributable to redemption and small-balance account fees received. Excluding this item, the total investment return would have been 9.29%. For the year ended August 31, 2018, the fiscal period ended August 31, 2017 and years ended October 31, 2016 and October 31, 2015, redemption and small-balance account fees received had no effect on the Fund’s Investor Shares total investment return. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
28 |
MFAM Mid-Cap Growth Fund
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| YEARs ENDED | Fiscal | Years Ended | Period | ||||||||||||||||||||
Institutional Shares | 2019 | 2018 | 2017(1)(2) | 2016 | 2015 | 2014(3) | ||||||||||||||||||
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.50 | $ | 22.14 | $ | 18.34 | $ | 18.75 | $ | 18.61 | $ | 17.94 | ||||||||||||
Net investment income/(loss)(4) | 0.02 | (0.01 | ) | (0.03 | ) | (0.02 | ) | 0.07 | 0.02 | |||||||||||||||
Net realized and unrealized gain/(loss) from investments | (1.88 | ) | 6.72 | 3.83 | (0.33 | ) | 0.13 | 0.65 | ||||||||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.86 | ) | 6.71 | 3.80 | (0.35 | ) | 0.20 | 0.67 | ||||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (0.06 | ) | (0.06 | ) | — | ||||||||||||||||
Net realized capital gains | (1.16 | ) | (1.35 | ) | — | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | (1.16 | ) | (1.35 | ) | — | (0.06 | ) | (0.06 | ) | — | ||||||||||||||
Redemption and small-balance account fees | — | — | * | — | * | — | * | — | * | — | * | |||||||||||||
Net asset value, end of period | $ | 24.48 | $ | 27.50 | $ | 22.14 | $ | 18.34 | $ | 18.75 | $ | 18.61 | ||||||||||||
Total investment return/(loss)(5) | (5.97 | )% | 31.10 | % | 20.72 | %(6) | (1.89 | )% | 1.04 | % | 3.73 | %(6) | ||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 29,205 | $ | 30,562 | $ | 20,365 | $ | 5,502 | $ | 7,010 | $ | 2,798 | ||||||||||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | % | 0.95 | %(7) | 0.95 | % | 0.95 | % | 0.95 | %(7) | ||||||||||||
Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.98 | % | 1.17 | % | 1.47 | %(7) | 2.40 | % | 2.45 | % | 4.93 | %(7) | ||||||||||||
Ratio of net investment income/(loss) to average net assets | 0.10 | % | (0.05 | )% | (0.15 | )%(7) | (0.08 | )% | 0.35 | % | 0.27 | %(7) | ||||||||||||
Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees) | 0.07 | % | (0.26 | )% | (0.67 | )%(7) | (1.53 | )% | (1.15 | )% | (3.71 | )%(7) | ||||||||||||
Portfolio turnover rate | 4 | % | 19 | % | 24 | %(6) | 21 | % | 30 | % | 18 | %(6) |
* | Amount represents less than $0.005 per share. |
(1) | The Fund changed its fiscal year end to August 31 during the period. |
(2) | Effective as of December 21, 2016, the Fund acquired all the assets and liabilities of the Motley Fool Small-Mid Cap Growth Fund, a series of The Motley Fool Funds Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performances of the Predecessor Fund. |
(3) | Commenced operations on June 17, 2014. Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily indicative of future ratios. |
(4) | Per share data calculated using average shares outstanding method. |
(5) | Total investment return/(loss) reflects the rate an investor would have earned on an investment in the Fund during the period. Redemption and small-balance account fees received had no effect on the Fund’s Institutional Shares total investment return. |
(6) | Not annualized. |
(7) | Annualized. |
The accompanying notes are an integral part of these financial statements.
29 |
MFAM FUNDS
August 31, 2019
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 thirty-three separate investment portfolios, including the MFAM Global Opportunities Fund (“Global Opportunities Fund”) (formerly known as Motley Fool Global Opportunities Fund) and MFAM Mid-Cap Growth Fund (“Mid-Cap Growth Fund”) (formerly known as MFAM Small-Mid Cap Growth Fund) (each a “Fund” and together the “Funds”), which became series of RBB at the close of business on December 21, 2016. On July 12, 2019, the MFAM Emerging Markets Fund (the “Emerging Markets Fund”) was reorganized into the Global Opportunities Fund. More information about this reorganization is available in Note 8. As of August 31, 2019, the Global Opportunities Fund and Mid-Cap Growth Fund each offer two classes of shares, Investor and Institutional.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
Prior to December 21, 2016, the Funds were diversified series (the “Predecessor Funds”) of The Motley Fool Funds Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on November 7, 2008, as a statutory trust under the laws of the State of Delaware. Each of the Predecessor Funds was reorganized into a corresponding Fund on December 21, 2016 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of each Predecessor Fund was assumed by its corresponding Fund. Performance and accounting information prior to December 21, 2016 included herein is that of the relevant Predecessor Fund.
The investment objective of each Fund is to achieve long-term capital appreciation. The Global Opportunities Fund pursues its objective by investing primarily in common stocks of United States companies and of companies that are organized under the laws of other countries around the world. The Mid-Cap Growth Fund pursues its objective by investing primarily in common stocks of companies that are organized in the United States and that are engaged in a broad range of industries.
Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds
30 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● | Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
You’d think that it would be easy to determine what a share of the Fund is worth – just add up the value of everything it holds, and then divide by the number of shares. It’s not that simple, though. Some foreign markets have different operating hours (when it’s daytime in Chicago, for example, it is night in Shanghai). That means that when we calculate a Fund’s value at the end of the day, the market quotations for some of the securities held by the Fund could be several hours old, and intervening events may have affected what the stocks are worth. In addition, characteristics of the relevant markets and stocks might, in some cases, cast doubt on a particular valuation. For these reasons, we may rely on a pricing service to determine the value of particular securities. It is possible that when a Fund buys or sells the securities, the price on the real market will be different from the value used for the fair-value pricing. |
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
GLOBAL OPPORTUNITIES FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 479,965,878 | $ | 389,143,964 | $ | 90,821,914 | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 39,823,962 | — | — | — | 39,823,962 | |||||||||||||||
Short-Term Investments | 11,315,239 | 11,315,239 | — | — | — | |||||||||||||||
Total Investments* | $ | 531,105,079 | $ | 400,459,203 | $ | 90,821,914 | $ | — | $ | 39,823,962 |
31 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
MID-CAP GROWTH FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 261,078,523 | $ | 261,078,523 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds From Securities Lending Collateral | 61,809,204 | — | — | — | 61,809,204 | |||||||||||||||
Short-Term Investments | 6,072,753 | 6,072,753 | — | — | — | |||||||||||||||
Total Investments* | $ | 328,960,480 | $ | 267,151,276 | $ | — | $ | — | $ | 61,809,204 |
* | Please refer to the Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
The Funds did not have any Level 3 transfers during the current fiscal period.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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
32 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
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 — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on ex dividend date. All dividends and other distributions will be reinvested in Fund shares unless a shareholder chooses either to (1) receive dividends in cash, while reinvesting capital gains distributions in additional Fund shares; or (2) receive all distributions in cash. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.
When a Fund pays a dividend or other distribution, its net asset value (NAV) per share will decline by the per-share amount of the distribution. Investors are no poorer for this “distribution drop,” however. As this section explains, investors may elect to reinvest their dividend and distribution payments. Doing so would allow them to acquire additional shares at the post-distribution NAV per share. They may also choose to receive a check in the amount of their portion of the dividend or distribution. |
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — 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 from such claims is considered remote.
FOREIGN CURRENCY TRANSLATION — The books and records of the Funds are maintained in U.S. dollars as follows: (1) the values of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales and income are translated at the rates of exchange prevailing on the respective dates of such transactions. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement from foreign currency transactions are reported in the Statements of Operations for the current period. The Funds do not isolate the portion of gains and losses on investments.
2. Investment Policies and Practices
The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.
When we say that the Funds may invest in other types of securities and in other asset classes, the “may” is well worth emphasizing, as the Funds’ primary focus is the common stocks of companies that the Adviser believes are both high-quality and available at a reasonable price. |
FOREIGN SECURITIES — The Global Opportunities Fund and the Mid-Cap Growth Fund may invest, in equity and fixed-income securities of foreign companies, including companies located in both developed and emerging-market countries. Investment in foreign securities may include the purchase of American Depositary Receipts (“ADRs”) and other depositary receipts (European Depositary Receipts (“EDRs”) and Global Depositary Receipts (“GDRs”)) that represent indirect interests
33 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
in securities of foreign issuers. A significant portion of a Fund’s exposure to foreign investments may be composed of such investments. Investments in foreign securities are affected by risk factors generally not associated with investments in the securities of U.S. companies in the U.S. With respect to such securities, there may be more limited information publicly available concerning the issuer than would be the case with respect to domestic securities, foreign issuers may use different accounting standards, and foreign trading markets may not be as liquid as are U.S. markets. Foreign securities also involve such risks as currency risks, possible imposition of withholding or confiscatory taxes, possible currency transfer restrictions, expropriation or other adverse political or economic developments, and the difficulty of enforcing obligations in other countries. These risks may be greater in emerging-market countries and in less-developed countries.
If a Fund holds a foreign stock, and the stock is traded on a foreign exchange, with its price denominated in that foreign currency, the value of the stock will change, for the Fund, whenever the relative value of the U.S. dollar and that foreign currency change. To take an imaginary example, if the Fund holds shares in Ruritania Telecom, traded on the Ruritanian Stock Exchange, those shares will be worth more to the Fund if the value of the Ruritanian ploof increases against the U.S. dollar, and vice versa, all other things being equal. |
The purchase of securities denominated in foreign currencies will subject the value of the Funds’ investments in those securities to fluctuations caused by changes in foreign exchange rates. To hedge against the effects of changes in foreign exchange rates, the Funds may enter into forward foreign currency exchange contracts (“forward contracts”). These contracts represent agreements to exchange an amount of currency at an agreed-upon future date and rate. The Funds will generally use forward contracts only to “lock in” the price in U.S. dollars of a foreign security that a Fund plans to purchase or to sell. In certain limited cases, it may use such contracts to hedge against an anticipated substantial decline in the price of a foreign currency against the U.S. dollar that would adversely affect the U.S. dollar value of foreign securities held by the Fund. Forward contracts will not be used in all cases and, in any event, cannot completely protect the Funds against all changes in the values of foreign securities resulting from fluctuations in foreign exchange rates. The Funds will not enter into a forward contract if, as a result, forward contracts would represent more than 20% of a Fund’s total assets. For hedging purposes, the Funds may also use options on foreign currencies, which expose the Funds to certain risks.
Some foreign securities are traded in the U.S. in the form of ADRs. ADRs are receipts typically issued by a U.S. bank or company evidencing ownership of the underlying securities of foreign issuers. EDRs and GDRs are receipts typically issued by foreign banks or trust companies, evidencing ownership of underlying securities issued by either a foreign or U.S. issuer. Generally, depositary receipts in registered form are designed for use in the U.S. and depositary receipts in bearer form are designed for use in securities markets outside the U.S. Depositary receipts may not necessarily be denominated in the same currency as the underlying securities into which they may be converted. Depositary receipts generally involve the same risks as other investments in foreign securities. However, holders of ADRs and other depositary receipts may not have all the legal rights of shareholders and may experience difficulty in receiving shareholder communications.
TYPES OF FIXED-INCOME SECURITIES — A Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities (“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by Standard & Poor’s® Ratings Services (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.
34 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
PARTICIPATORY NOTES — A participatory note, as used by a Fund, is an instrument used by investors to obtain exposure to an equity investment, including common stocks and warrants, in a local market where direct ownership is not permitted (or is impractical.) In countries where direct ownership by a foreign investor, such as a Fund, is not allowed by local law, such as Saudi Arabia, an investor may gain exposure to the market through a participatory note, which derives its value from a group of underlying equity securities. A participatory note is intended (disregarding the effect of any fees and expenses) to reflect the performance of the underlying equity securities on a one-to-one basis so that investors will not normally gain more in absolute terms than they would have made had they invested in the underlying securities directly, and will not normally lose more than they would have lost had they invested in the underlying securities directly.
In addition to providing access to otherwise closed markets, participatory notes can also provide a less expensive option to direct investment (where ownership by foreign investors is permitted) by reducing registration and transaction costs in acquiring and selling local registered shares. The Funds’ investment manager also believes that participatory notes can offer greater liquidity in markets that restrict the ability of the Funds to dispose of an investment by either restricting transactions by size or requiring registration and/or regulatory approvals.
The purchase of participatory notes involves risks that are in addition to the risks normally associated with a direct investment in the underlying securities. The Fund is subject to the risk that the issuer of the participatory note (i.e., the issuing bank or broker-dealer), which is the only responsible party under the note, is unable or refuses to perform under the terms of the participatory note, also known as counterparty risk.
While the holder of a participatory note is entitled to receive from the bank or broker-dealer any dividends or other distributions paid on the underlying securities, the holder is not entitled to the same rights as an owner of the underlying securities, such as voting rights.
Participatory notes may not be traded on exchanges, are privately issued, and may be illiquid. To the extent a participatory note is determined to be illiquid, it would be subject to the Fund’s limitation on investments in illiquid securities. There can be no assurance that the trading price or value of participatory notes will equal the value of the underlying value of the equity securities they seek to replicate.
REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.
REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.
The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.
35 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent. During the current fiscal period, the Global Opportunities Fund and Mid-Cap Growth Fund invested in REITs.
TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.
3. INVESTMENT adviser and other services
Each Fund pays all of its expenses other than those expressly assumed by Motley Fool Asset Management (“MFAM” or the “Adviser”). Expenses of each Fund are deducted from the Funds’ total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Funds in accordance with the Funds’ investment objective and policies and formulates a continuing investment strategy for the Funds pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of the Funds. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, LLC, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to pay, waive or absorb a portion of the operating expenses of each Fund’s share classes to the extent that total annual Fund operating expenses of the Investor and Institutional Shares of each Fund (as applicable) (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
EXPENSE CAPS | |||
FUND | ADVISORY | INVESTOR | INSTITUTIONAL |
Global Opportunities Fund | 0.85% | 1.15% | 0.95% |
Mid-Cap Growth Fund | 0.85% | 1.15% | 0.95% |
36 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
During the current fiscal period, investment advisory fees accrued and waived were as follows:
FUND | GROSS | RECOUPMENT/ | NET | |||||||||
Global Opportunities Fund | $ | 3,771,657 | $ | (85,701 | ) | $ | 3,685,956 | |||||
Mid-Cap Growth Fund | 2,396,553 | (61,733 | ) | 2,334,820 |
The Adviser may recover from the Investor and Institutional Shares of each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, taxes, interest expense, acquired fund fees and expenses, and any extraordinary expenses) to exceed the expense limits of the Investor and Institutional Class, respectively, of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the expense limits that are currently in effect, if different. The Global Opportunities Fund Investor Class and Institutional Class had expense fees waived in the amount of $53,407 and $32,294 respectively. The Mid-Cap Growth Fund Investor Class and Institutional Class had expense fees waived in the amount of $52,799 and $8,934 respectively. Previously waived fees subject to future recovery by the Adviser are as follows:
EXPIRATION | ||||||||||||||||
FUND | AUGUST 31, | AUGUST 31, | AUGUST 31, | TOTAL | ||||||||||||
Global Opportunities Fund - Investor Class | $ | — | $ | — | $ | 53,407 | $ | 53,407 | ||||||||
Global Opportunities Fund - Institutional Class | 83,548 | 80,089 | 32,294 | 195,931 | ||||||||||||
Mid-Cap Growth Fund - Investor Class | — | — | 52,799 | 52,799 | ||||||||||||
Mid-Cap Growth Fund - Institutional Class | 73,109 | 56,058 | 8,934 | 138,101 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Foreside Funds Distributors, LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for these services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. An employee of Vigilant Compliance, LLC serves as the Chief Compliance Officer of the Adviser. Neither the Funds nor the Company compensate this individual or Vigilant Compliance, LLC for services provided to Motley Fool Asset Management. For Director and Officer compensation amounts, please refer to the Statements of Operations.
37 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
SHAREHOLDER SERVICING FEE — Effective February 1, 2019, the Funds have entered into a shareholder servicing agreement (the “Agreement”) with the Adviser, under which the Adviser provides, or arranges for others to provide, certain specified shareholder services. As compensation for the provision of shareholder services, the Funds may pay servicing fees at an annual rate of 0.20% of the average daily net assets of the Investor Shares. Payments to the Adviser under the Agreement may reimburse the Adviser for payments it makes to selected brokers, dealers and administrators which have entered into service agreements with the Adviser for services provided to shareholders of the Funds. The services provided by such intermediaries are primarily designed to assist shareholders of the Funds and include the furnishing of office space and equipment, telephone facilities, personnel, and assistance to the Fund in servicing such shareholders. Services provided by such intermediaries also include the provision of support services to the Funds and include establishing and maintaining shareholders’ accounts and record processing, purchase and redemption transactions, answering routine client inquiries regarding the Funds, and providing such other personal services to shareholders as the Funds may reasonably request. During the current fiscal period, the Funds incurred shareholder servicing fees as follows:
FUND | SHAREHOLDER | |||
Global Opportunities Fund – Investor Shares | $ | 439,287 | ||
Mid-Cap Growth Fund – Investor Shares | 289,894 |
REDEMPTION FEE — Prior to January 1, 2018, the Funds imposed a redemption fee of 2.00% on redemptions/exchanges of Fund shares held less than 90 days. The redemption fee is calculated as a percentage of the net asset value of the total redemption proceeds and is retained by the Funds and accounted for as additional paid-in capital. Certain exceptions to the imposition of the redemption fee exist. Effective January 1, 2018, the Funds have eliminated their redemption fees. Please see the Funds’ prospectus for more information.
SMALL-BALANCE ACCOUNT FEE — The Funds charge a small-balance account fee of $24 annually if the value of an account is less than $10,000. The fee is assessed by redeeming shares from that account. Certain exceptions to the imposition of the small-balance account fee exist. Please see the Funds’ prospectus for more information.
TRANSACTIONS WITH AFFILIATES — Advisers to investment companies, including MFAM Funds, are permitted under 17a-7 of the 1940 Act to purchase or sell securities directly between affiliated clients. When affecting these “cross” transactions, Rule 17a-7 imposes restrictions on how the trades are processed and reported. The specified conditions within Rule 17a-7 are outlined in procedures established by or under the direction of the Board of Directors. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another Fund complies with Rule 17a-7 under the 1940 Act.
During the current fiscal period, the Funds did not engage in any security transactions with affiliates.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales and maturities of investment securities of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Global Opportunities Fund | $ | 50,140,321 | $ | 80,425,247 | ||||
Mid-Cap Growth Fund | 11,060,354 | 53,814,643 |
There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.
38 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
5. Federal Income tax information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
FUND | FEDERAL | UNREALIZED | UNREALIZED | NET UNREALIZED | ||||||||||||
Global Opportunities Fund | $ | 344,921,692 | $ | 205,351,208 | $ | (19,176,727 | ) | $ | 186,174,481 | |||||||
Mid-Cap Growth Fund | 220,622,686 | 110,762,131 | (2,424,337 | ) | 108,337,794 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019 were reclassified among the following accounts:
FUND | DISTRIBUTABLE | PAID-IN | ||||||
Global Opportunities Fund | $ | (38 | ) | $ | 38 | |||
Mid-Cap Growth Fund | 36,888 | (36,888 | ) |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL | QUALIFIED | UNREALIZED | TOTAL | ||||||||||||||||||
Global Opportunities Fund | $ | 290,272 | $ | 21,013,279 | $ | — | $ | — | $ | 186,174,481 | $ | 207,478,032 | ||||||||||||
Mid-Cap Growth Fund | — | 7,801,827 | — | (496,895 | ) | 108,337,794 | 115,642,726 |
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.
39 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 30, 2018 were as follows:
FUND | TAX | ORDINARY | LONG-TERM | TOTAL | ||||||||||||
Global Opportunities Fund | 2019 | $ | — | $ | 30,986,233 | $ | 30,986,233 | |||||||||
Global Opportunities Fund | 2018 | 2,302,285 | 48,809,850 | 51,112,135 | ||||||||||||
Mid-Cap Growth Fund | 2019 | — | 13,643,048 | 13,643,048 | ||||||||||||
Mid-Cap Growth Fund | 2018 | — | 14,151,780 | 14,151,780 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. The Mid-Cap Growth Fund deferred qualified late-year losses of $496,895 which will be treated as arising on the first business day of the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2019, the Funds had no unexpiring short-term losses.
6. SECURITIES LENDING
The Funds 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 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds are determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:
FUND | MARKET VALUE | MARKET VALUE | INCOME | |||||||||
Global Opportunities Fund | $ | 38,734,299 | $ | 39,823,962 | $ | 124,792 | ||||||
Mid-Cap Growth Fund | 60,815,473 | 61,809,204 | 130,703 |
40 |
MFAM FUNDS
Notes to Financial Statements (continued)
August 31, 2019
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS | NET AMOUNT | GROSS AMOUNT NOT OFFSET IN THE | ||||||||||||||||||||||
| GROSS | STATEMENTS | STATEMENTS | FINANCIAL | CASH | NET AMOUNT2 | ||||||||||||||||||
Global Opportunities Fund | $ | 38,734,299 | $ | — | $ | 38,734,299 | $ | (38,734,299 | ) | $ | — | $ | — | |||||||||||
Mid-Cap Growth Fund | 60,815,473 | — | 60,815,473 | (60,815,473 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
7. NEW ACCOUNTING PRONOUNCEMENTS and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Funds’ financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components thereof, of distributable earnings on the Statements of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
41 |
MFAM FUNDS
Notes to Financial Statements (CONCLUDED)
August 31, 2019
8. FUND REORGANIZATION
After the close of business on July 12, 2019, the Global Opportunities Fund acquired the net assets of the Emerging Markets Fund pursuant to a Plan of Reorganization as approved by the Board on February 7, 2019. The reorganization was accomplished with tax-free exchanges resulting in the following issuances of shares by the Global Opportunities Fund in exchange for the outstanding shares of the Emerging Markets Fund:
PROCEEDS FROM | SHARES | EXCHANGE |
$34,248,443 | 1,324,511 | 0.55551989 |
The Emerging Markets Fund’s net assets at the reorganization date of $34,248,443, including $7,812,944 of unrealized appreciation, were combined with those of the Global Opportunities Fund. Assuming the acquisition had been completed on September 1, 2018, the beginning of the annual reporting period of the Global Opportunities Fund, pro forma results of operations for the fiscal year ended August 31, 2019 would include net investment income of $532,376, and net realized and unrealized gain on investments of $18,978,831 resulting in an increase in net assets from operations of $19,511,207. Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization date, it is not practicable to separate the amounts of revenue and earnings of the Emerging Markets Fund that have been included in the Global Opportunities Fund’s Statement of Operations since the reorganization date. Prior to the reorganization, the net assets of the Global Opportunities Fund totaled $479,450,455. Immediately after the reorganization, the net assets of the Global Opportunities Fund totaled $513,698,898.
9. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
42 |
MFAM FUNDS
Report of Independent Registered
Public Accounting Firm
To the Board of Directors of
The RBB Fund, Inc.
and the Shareholders of the MFAM Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of the MFAM Global Opportunities Fund (formerly, Motley Fool Global Opportunities Fund) and MFAM Mid-Cap Growth Fund (formerly, MFAM Small-Mid Cap Growth Fund) (the “Funds”), each a series of The RBB Fund, Inc. (the “Trust”), including the schedules of investments, as of August 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the two years in the period then ended, for the period ended August 31, 2017 and for each of the three years in the period ended October 31, 2016, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2019, the results of their operations, the changes in their net assets, and their financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2011.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP |
Philadelphia, Pennsylvania
October 30, 2019
43 |
MFAM FUNDS
Shareholder Tax Information (Unaudited)
Certain tax information regarding the Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable period ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Funds:
FUND | ORDINARY | LONG-TERM |
Global Opportunities Fund | $ — | $ 30,986,233 |
Mid-Cap Growth Fund | — | 13,643,048 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Jobs and Growth Tax relief Reconciliation Act of 2003 the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
Global Opportunities Fund | 0.00% |
Mid-Cap Growth Fund | 0.00% |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for the Funds are as follows:
Global Opportunities Fund | 0.00% |
Mid-Cap Growth Fund | 0.00% |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
44 |
MFAM FUNDS
Notice to Shareholders (Unaudited)
Information on Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the U.S. SEC’s website at http://www.sec.gov.
Quarterly Schedule of Investments
The Company files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). Shareholders can obtain the Form N-Q (i) without charge, upon request, by calling (888) 863-8803; (ii) on the SEC’s website at http://www.sec.gov; and (iii) on the Funds website at http://www.mfamfunds.com.
Approval of Investment Advisory Agreement
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between the Adviser and the Company (the “Investment Advisory Agreements”) on behalf of the MFAM Global Opportunities Fund and the MFAM Mid-Cap Growth Fund (each a “Fund” and together the “Funds”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangements. In approving the Investment Advisory Agreements, the Board considered information provided by the Adviser with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and the Adviser with respect to the Funds, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of the Adviser’s services provided to the Funds; (ii) descriptions of the experience and qualifications of the Adviser’s personnel providing those services; (iii) the Adviser’s investment philosophies and processes; (iv) the Adviser’s assets under management and client descriptions; (v) the Adviser’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) the Adviser’s advisory fee arrangement with the Company and other similarly managed clients; (vii) the Adviser’s compliance policies and procedures; (viii) the Adviser’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Funds; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Broadridge/Lipper comparing each Fund’s management fees and total expense ratio to those of its Lipper peer group; and (xi) a report comparing the performance of the Funds to the performance of their respective benchmarks.
As part of their review, the Directors considered the nature, extent and quality of the services provided by the Adviser. The Directors concluded that the Adviser had substantial resources to provide services to the Funds and that the Adviser’s services had been acceptable.
The Directors also considered the investment performance of the Funds and the Adviser. The Directors considered the Funds’ investment performance in light of their investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to its respective benchmark and Lipper Group was acceptable.
In reaching this conclusion, the Directors observed that the MFAM Global Opportunities Fund had outperformed its benchmark for the year-to-date, one-year, three-year, five-year and since-inception periods ended March 31, 2019. The Directors also noted that the MFAM Global Opportunities Fund ranked in the 1st quintile in its Lipper Performance Group for the one-year, three-year and five-year periods ended December 31, 2018, and ranked in the 1st quintile in its Lipper Performance Universe for the one-year, two-year and three-year periods ended December 31, 2018.
45 |
MFAM FUNDS
Notice to Shareholders (Concluded) (Unaudited)
The Directors noted the MFAM Mid-Cap Growth Fund had underperformed its benchmark for the year-to-date, one-year, three-year, five-year and since-inception periods ended March 31, 2019. The Directors also noted that the MFAM Mid-Cap Growth Fund ranked in the 1st quintile in its Lipper Performance Group and its Lipper Performance Universe for the two-year period ended December 31, 2018.
The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreements. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the actual advisory fee of the MFAM Global Opportunities Fund ranked in the 3rd quintile of its Lipper Expense Group and in the 4th quintile of its Lipper Expense Universe, and the actual advisor fee of the MFAM Mid-Cap Growth Fund ranked in the 4th quintile of its Lipper Expense Group and in the 5th quintile of its Lipper Expense Universe. The Directors noted that the Adviser had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to the extent that total annual Fund operating expenses exceed 1.15% and 0.95% for Investor Shares and Institutional Shares, respectively, of the MFAM Global Opportunities Fund and the MFAM Mid-Cap Growth Fund.
After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering the Adviser’s services, the Directors concluded that the investment advisory fees paid by the Funds were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one year period ending August 16, 2020.
46 |
MFAM FUNDS
PRIVACY NOTICE (Unaudited)
What Does Motley Fool 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 type of personal information we collect and share depend on the product or service you have with us. This information can include:
● | Social Security number and transaction history |
● | Account balances and checking account information |
● | Account transactions and wire transfer instructions |
When you are no longer a 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 Motley Fool Asset Management chooses to share; and whether you can limit this sharing.
Reasons we share your personal information | Does MFAM share? | Can you limit this sharing? |
For our everyday business purposes — | Yes | No |
For our marketing purposes — | Yes | Yes |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our affiliates to market to you | Yes | Yes |
For nonaffiliates to market to you | No | We don’t share |
Visit us online: http://www.mfamfunds.com/website-privacy-policy/
Please note:
● | If you are a new customer, we can begin sharing your information 30 days from the days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. |
47 |
MFAM FUNDS
PRIVACY NOTICE (Continued) (Unaudited)
However, you can contact us at any time to limit our sharing.
Questions: Call 1-888-863-8803 or go to www.mfamfunds.com
What we do:
How does MFAM protect my personal information?
We collect your personal information, for example, when you:
● | Open an account or provide account information |
● | Make deposits or withdrawals from your account |
● | Make a wire transfer or tell us where to send the money |
We also collect your personal information from 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 |
● | Make deposits or withdrawals from your account |
● | Sharing for nonaffiliates to market to you |
State laws and individual companies may give you additional rights to limit sharing.
What happens when I limit sharing for an account I hold jointly with someone else?
Your choices will apply to everyone on your account.
EUROPEAN UNION’S GENERAL DATA PROTECTION REGULATION
In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to
● | Check whether we hold personal information about you and to access such data (in accordance with our policy) |
● | Request the correction of personal information about you that is inaccurate |
● | Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible |
● | Request the erasure of your personal information |
● | Request the restriction of processing concerning you |
The legal grounds for processing of your personal information is for contractual necessity and compliance with law.
If you wish to exercise any of your rights above, please call: 1-888-863-8803.
You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us.
The MFAM Funds shall retain your personal data for as long as you are an investor in the Funds and thereafter as long as necessary to comply with applicable laws that require the Funds to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Funds may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Funds do take the security of your personal data seriously.
Definitions:
Affiliates - Companies related by common ownership or control. They can be financial and nonfinancial companies.
Our affiliates include companies with a Motley Fool name; financial companies such as Motley Fool Asset Management, LLC; and nonfinancial companies such as The Motley Fool, LLC and The Motley Fool Holdings, Inc.
48 |
MFAM FUNDS
PRIVACY NOTICE (concluded) (Unaudited)
Nonaffiliates - Companies not related by common ownership or control. They can be financial and nonfinancial companies.
Motley Fool Asset Management does not share with nonaffiliates so they can market to you.
Joint marketing - A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
Motley Fool Asset Management doesn’t jointly market.
Controller - “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the controller or the specific criteria for its nomination may be provided for by European Union or European Member State law.
49 |
MFAM FUNDS
Directors and Officers (Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (888) 863-8803.
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
50 |
MFAM FUNDS
DIRECTORS AND OFFICERS (CONTINUED) (Unaudited)
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
Arnold M. Reichman | Chairman Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman Director | 2016 to present 1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC | President Chief Compliance Officer | 2009 to present 2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
51 |
MFAM FUNDS
DIRECTORS AND OFFICERS (CONTINUED) (Unaudited)
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2 . | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
52 |
MFAM FUNDS
DIRECTORS AND OFFICERS (CONCLUDED) (Unaudited)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
53 |
Investment Adviser
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Administrator and Transfer Agent
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P.O. Box 701
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Custodian
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Distributor
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Berwyn, PA 19312
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
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Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
54 |
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Stay informed about your investment!
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ANNUAL
report 2019
Motley Fool ETFs
Series of The RBB Fund Inc.
8/31/19
Motley Fool 100 Index ETF | |
MFAM Small-Cap Growth ETF (formerly, Motley Fool Small-Cap Growth ETF) |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-888-863-8803.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-888-863-8803 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.
This report contains information for two ETFs that are very different. The Motley Fool 100 Index ETF — as you’d expect from its name — is designed to track the returns of the Motley Fool 100 Index. Our other ETF, the MFAM Small-Cap Growth ETF, is an actively managed ETF that isn’t designed to track much of anything. |
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Motley Fool 100 Index ETF (TMFC) For the year ended August 31, the Motley Fool 100 Index ETF gained 2.27%. This covers three months where we lost more than 5% and three months where we gained more than 5%. The Motley Fool endorses long-term investing, and frankly, it’s because we have absolutely no skill at predicting this short-term volatility.
In the past year, five companies held by the Motley Fool 100 Index ETF gained more than 50% for us. But it wasn’t all roses; we also had one investment decline more than 50% and two others lose more than 40%.
The Motley Fool 100 Index ETF remains heavily overweight in a handful of industries. Information Technology companies were 34.7% of the portfolio and Communications Services companies (like Facebook or Netflix) were another 18.4%.
Remember, the Motley Fool 100 Index is market-cap weighted. That means that after the best companies in The Motley Fool’s investment universe are identified, the position size within the Motley Fool 100 Index ETF is determined by which companies currently are the most valuable in the market. That’s why Microsoft was 9.8% of the ETF as of August 31 and the ten largest holdings combined were 54.7% of the ETF. | |
MFAM Small-Cap Growth ETF (MFMS) The debut year for the MFAM Small-Cap Growth ETF went very well. Of the 32 companies we held at inception, 6 gained more than 50% (including 2 that doubled in value). It was a good year for the Software & Services companies with four of our top performers, Everbridge, Paylocity, Q2 Holdings, and Smartsheet, included in that Industry Group.
During the year, new investments were made in ADMA Biologics, Antares Pharma, Goosehead Insurance, GrubHub, Heska, and PTC Therapeutics.
Of the Top 10 holdings at inception, eight remain on that list. The two newcomers are iRhythm Technologies and Q2 Holdings. |
Table of Contents |
Letter to Shareholders | 1 |
Portfolio Characteristics | 5 |
Fund Expense Examples | 9 |
Schedules of Investments | 11 |
Financial Statements | 20 |
Notes to Financial Statements | 26 |
Report of Independent Registered Public Accounting Firm | 35 |
Shareholder Tax Information | 36 |
Notice to Shareholders | 37 |
Directors and Officers | 42 |
Motley Fool ETFs
Letter to Shareholders
AUGUST 31, 2019 (Unaudited)
Bryan Hinmon Chief Investment Officer, MFAM Funds |
“I have been impressed with the urgency of doing. Knowing is not enough; we must apply. Being willing is not enough; we must do.”
– Leonardo da Vinci
Dear Fellow Shareholder,
Earlier this year MFAM celebrated its 10-year anniversary! We have learned a lot over the past decade about running an asset-management business, and we are proud of what we have accomplished so far. Although there have been bumps along the way, we can look back and feel confident that our approach to investing your (and our own!) hard-earned capital has been sound and rooted in sensible principles that work over the long term.
RESULTS AND MARKET COMMENTARY
For the fiscal year ended August 31, 2019, the Motley Fool 100 Index ETF (the “Fool 100 ETF”) returned 1.93% based on market price and 2.27% based on its net asset value. During the same period, the Motley Fool 100 Index returned 2.84%. The difference in the Fool 100 ETF’s net asset value return and the return of the Motley Fool 100 Index can be explained by the Fool 100 ETF’s management fee and approximately 0.07% of tracking error. The MFAM Small-Cap Growth ETF (the “Small-Cap Growth ETF”) returned 16.69% based on market price and 16.65% based on its net asset value for the fiscal year. The Russell 2000 Growth Total Return Index returned 7.58% for the same period.i
If you didn’t look at your account statement over the past 12 months or just followed the oft-cited U.S. large cap indices, you might think it was a yawner of a year. U.S. large-cap stocks (as measured by the S&P 500) rose less than 1%. But digging a little deeper, we find there was quite a bit more going on.
Between the end of September and the end of December 2018, U.S. stocks (as measured by the S&P 500) fell by more than 20%. That’s bear-market territory for anyone fond of arbitrary definitions. As the severity of the move might suggest, a multitude of things combined to ignite fears. China, tariffs, Brexit, global economic weakness, and a flattening yield curve proved to be a potent cocktail. U.S. large caps held up best, as foreign and smaller domestic stocks suffered the most pain.
As quickly as the freefall happened, the period between January and May 2019 brought us right back to where things started. Oddly, though, there was little resolution to any of the fears that seemed to precipitate the market decline in late 2018. We can’t offer a clear explanation for market moves like this, and most times we don’t think it’s worth trying too hard to do so. Sometimes market moves are just that – market moves. The rest of the year, after all that, was up and down, with little to show for it.
All the same, you can see a clear division in performance for the 12 months in growth versus value stocks. Regardless of which market cap or geographical area you look at, growth outperformed value, and by a meaningful margin. That point is particularly relevant to the performance of the Fool 100 ETF and Small-Mid Cap Growth ETF (“the Funds”), given our preference for owning of the types of businesses that more often classify as growth stocks than value. And while the Motley Fool 100 Index, the index that the Motley Fool 100 ETF tracks, does not strictly limit itself to growth stocks, it has skewed in that direction. Broadly speaking, the outperformance of growth, therefore, helped our Funds. Large caps outperformed mid-caps, which outperformed small caps. The timing of the launch of the Small-Cap Growth ETF initially seemed tenuous, but as luck would have it, we avoided some of the pain in September and October while benefiting from the recovery at the end of 2018.
FIVE LESSONS FROM LEONARDO
One of my favorite reads over the past year was Walter Issacson’sLeonardo da Vincibiography. Leonardo (1452-1519) is best known as the painter and sculptor responsible for theMona Lisa,The Last Supper, andThe Vitruvian Man, but he was a student and master of so much more. Music, engineering, city planning, science, weaponry, and anatomy would have all been skills heavily endorsed on his LinkedIn profile. Leonardo seemed to do it all and do it well.
i | Returns are net of fees and expenses. The Motley Fool 100 Index ETF seeks results that correspond (before fees and expenses) of the Motley Fool 100 Index. The benchmark of the MFAM Small-Cap Growth ETF is the Russell 2000 Growth Index. The MFAM Small-Cap Growth ETF began trading on 10/29/2018, so fiscal year returns cited are for the period 10/29/2018 to 8/31/2019. 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. It is not possible to invest in an index. |
1 |
Motley Fool ETFs
Letter to Shareholders (continued)
AUGUST 31, 2019 (Unaudited)
I admit to a bias for Renaissance thinkers. I firmly believe that a broad base of knowledge is one of the greatest keys to success in life and business. A latticework mental constitution and a related ability to make connections across disciplines are among the tools that reliably give our investing team unique insights into the businesses we study. In support of my desire to live a varied and successful life, I read with an eye toward potential connections. The following are five lessons I took from Leonardo’s life, thinking, and practice that apply to how our team engages in investment research.
1. | Surround yourself with curious people. Leonardo spent the bulk of his life in Florence, Milan, and Rome, and not only did living in those bustling cities expose him to the wonders of the day, it allowed him to live and work in close quarters with others engaging in apprenticeship. The result was a constant exposure to smart people with diverse interests learning different trades. This helped Leonardo appreciate the wonders of the world and gave him an unquenchable thirst for learning. While the Renaissance provided the perfect backdrop for that way of life, the principle holds true even today. We find that building a team of individuals from different backgrounds, bound by curiosity, pushes us all forward and gives us an unquenchable thirst for studying businesses. |
2. | Few things have sharp edges. Leonardo pioneered the painting technique known assfumato. The word comes from the Italian wordfumo, meaning smoke, in reference to the ability to soften artistic edges with a seeming haze or smoke. You can see this technique when looking at the facial features in his work. There are no sharp edges that signify a starting and stopping of a feature; rather, the natural contours elegantly evolve. Similarly in investing, things are rarely black and white. We never have perfect information to make decisions. Our job is to make consistently good decisions despite uncertainty. Leonardo’ssfumato helps remind me of that. |
3. | Engage your imagination in fantasy. Among the things Leonardo obsessed over was a flying machine. That may not sound crazy until you consider that he lived in the late 1400s, putting him a solid four centuries ahead of Orville’s and Wilbur’s Wright Flyer. He sketched countless versions of his flying machine, primarily inspired by his detailed study of birds in flight. At the same time, fantastical, or at least ill-fitting, landscapes also found their way into his sketches and paintings. Not being constrained by what is conventionally believed to be possible helped Leonardo develop his creativity. When we analyze businesses, we allow ourselves to imagine whatmight be. Doing so helps us exit staid, linear thinking and take positions that could be worth owning for the next decade as they help define the world we might one day inhabit. |
4. | Keep notes. Leonardo, like many of his time, wrote down everything. He kept many notebooks, and more than 7,000 pages of them remain. They included sketches, musings, poems, grocery lists, dreams, fears, finances, and to-do lists. Those pages make Leonardo feel human and accessible: He made spelling and math errors just like we all do. But the regular practice of documenting helped his ideas, concepts, and drafts evolve, solidify, and improve. For our purposes, it may not be enough to merely spend time thinking about an investment thesis. Writing it down adds clarity, traceability, and refinement. It helps expose poor thinking and therefore reduce risk. Writing is, and should remain, an important part of our research process. |
5. | Try right to left. I write left-handed, and in the rare instance I’m using a pen and paper, I usually smudge every line I write. It’s a disaster. Leonardo was also left-handed and often wrote backwards, from right to left across the page. He would also write in mirror script, such that you could read the writing if you held it up to a mirror. One theory suggests that he wrote this way to make his ideas harder to steal. But as a left-hander, I’ll posit another, less exciting explanation: Writing right to left was just a smudge-fighting quirk he picked up as a youngster and didn’t care to change. We may never know the real reason. Regardless, my takeaway is that Leonardo wasn’t afraid to question convention and do things his way. If writing backwards worked for him, then that’s what he did. That attitude reflects independent thinking and fearlessness. As focused investors with a penchant for assigning value to qualitative factors, we must have that same independence and fearlessness. |
HOW NOT TO FOLLOW LEONARDO
There are far more than five ways we should look to walk in Leonardo’s footsteps. But we should also remember that he was not infallible. He was a perfectionist. He was notorious for delivering work late and completed very few works. His desire for perfection, in some ways, limited his contribution to the world. We should all appreciate the demanding standards he held himself to but acknowledge the unfortunate reality that Leonardo died with a few lifetimes’ worth of unfinished works. Perfection can be the enemy of progress and contribution.
2 |
Motley Fool ETFs
Letter to Shareholders (continued)
AUGUST 31, 2019 (Unaudited)
With that frame of mind, and guided by Leonardo’s successes, we are pleased with the progress of our Funds during the fiscal year ended August 31, 2019. Certainly, our efforts in managing your capital were not perfect, but we are confident the way we invested was consistent with our promises and indicated progress. Similarly, we believe that the focused group of businesses we own are of high quality, healthy, and helping to shape a better world. Each embraces the urgency of doing something important, not in pursuit of perfection, but toward progress and contribution.
Thank you for your continued trust.
Onward,
Bryan Hinmon
Chief Investment Officer, MFAM Funds
3 |
Motley Fool ETFs
Letter to Shareholders (concluded)
AUGUST 31, 2019 (Unaudited)
Past performance does not guarantee future results.
This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
The value of the Funds’ investments may decrease, which will cause the value of the Funds’ shares to decrease. As a result, you may lose money on your investment in the Funds, and there can be no assurance that the Funds will achieve its investment objective. Investing involves risk. Principal loss is possible. The Funds are non-diversified, which means the NAV, market price and total returns may fluctuate or fall more than a diversified fund. Gains or losses on a single stock may have a greater impact on the Funds. The MFAM Small-Cap Growth ETF is actively managed. The Motley Fool 100 Index ETF is not actively managed and the Adviser does not attempt to take defensive positions in any market conditions, including adverse markets. The Motley Fool 100 Index is comprised of the 100 largest U.S. companies that are either active recommendations of The Motley Fool LLC’s newsletter or are among the 150 highest rated U.S. companies in The Motley Fool LLC’s analyst opinion database, and are weighted based on their market value relative to the total market value of other companies in the Index. Changes in The Motley Fool LLC’s recommendations or rankings methodologies may have an adverse effect on the Funds. Factors that affect a security’s value can change over time, and these changes may not be reflected in the Index methodology. The MFAM Small-Cap Growth ETF is recently organized, with no operating history. As a result, prospective investors have a limited track record on which to base their investment decision. In addition, there can be no assurance that the Fund will grow to, or maintain, an economically viable size. This Fund invests primarily in particular market capitalizations, including small-cap stocks, thus its performance will be especially sensitive to market conditions that particularly affect smaller capitalization companies. The stocks of quality growth companies can continue to be undervalued by the market for long periods of time. As a consequence of its investing style the Fund may underperform the market and its peers over short timeframes.
As with all ETFs, shares of the Funds may be bought and sold in the secondary market at market prices. Although it is expected that the market price of shares will approximate the Funds’ NAV, there may be times when the market price of shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of shares or during periods of market volatility. Shares are not individually redeeming from the Funds and brokerage commissions will reduce returns.
Funds holdings and/or security allocations are subject to change at any time and are not recommendations to buy or sell any security. Please see the schedule of investments in this report for a full list of Funds holdings.
Diversification does not assure a profit nor protect against loss in a declining market.
The Russell 2000 Growth Total Return® Index measures the performance of those companies included in the Russell 2000 Index with higher price-to-book ratios and higher forecasted earnings growth rates. The Russell 2000 Index measures the performance of approximately 2,000 companies with small-market capitalizations. It is not possible to invest directly in an index.
The Motley Fool 100 Index was established by The Motley Fool in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters.
The Motley Fool 100 Index ETF and MFAM Small-Cap Growth ETF are distributed by Quasar Distributors, LLC.
Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.
4 |
Motley Fool 100 Index ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED August 31, 2019 | |||
One | Since | Inception | |
Motley Fool 100 Index ETF | 2.27% | 8.01% | 1/29/2018 |
Motley Fool 100 Index* | 2.84% | 8.53%(1) | — |
S&P 500® Total Return Index** | 2.92% | 3.69%(1) | — |
Fund Expense Ratio(2) | 0.50% |
The graph below shows the performance of $10,000 invested in the Fund at inception. The results shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Fund returns are based on the net asset value and do not include brokerage commissions that may be payable on secondary market transactions.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.
(1) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(2) | The expense ratio of the Fund is set forth according to the December 31, 2018 Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio. |
* | The Motley Fool 100 Index (“Fool 100 Index”) was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (“Adviser”), in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company included in the Fool 100 Index is incorporated and listed in the U.S. The Fool 100 Index is calculated and administered by Solactive AG (the “Index Calculation Agent”), which is not affiliated with the Fund, the Adviser or The Motley Fool. Additional information regarding the Fool 100 Index, including its value, is available on the websites of the Fund at www.mfamfunds.com and the Index Calculation Agent, at www.solactive.com. You cannot invest directly in an index. |
** | The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date. The S&P 500® Index is a market-capitalization-weighted index of 500 US stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on the 1st of January, 1923, though expanded to 500 stocks on March 4, 1957. |
5 |
Motley Fool 100 Index ETF
Portfolio Characteristics (Continued)
(Unaudited)
The following tables show the top ten holdings and sector allocations, in which the Motley Fool 100 Index ETF was invested in as of August 31, 2019. Portfolio holdings are subject to change without notice.
Top TEN Holdings | % OF Net |
Microsoft Corp. | 9.8% |
Apple, Inc. | 8.8 |
Amazon.com, Inc. | 8.1 |
Alphabet, Inc., Class C | 7.8 |
Facebook, Inc., Class A | 4.9 |
Berkshire Hathaway, Inc., Class B | 4.5 |
Visa, Inc., Class A | 3.6 |
Mastercard, Inc., Class A | 2.6 |
Walt Disney Co. (The) | 2.3 |
Home Depot, Inc. (The) | 2.3 |
54.7% |
The Motley Fool 100 Index ETF uses the Global Industry Classification StandardSM (“GICSSM”) as the basis for the classification of securities on the Schedule of Investments (“SOI”). We believe that this makes the SOI classifications more standard with the rest of the industry.
Sector Allocation | % OF Net |
Information Technology | 34.7% |
Communication Services | 18.4 |
Consumer Discretionary | 16.7 |
Health Care | 10.3 |
Financials | 8.7 |
Industrials | 4.8 |
Real Estate | 2.2 |
Consumer Staples | 1.7 |
Materials | 1.0 |
Utilities | 1.0 |
Energy | 0.4 |
99.9% |
6 |
MFAM Small-Cap Growth ETF
Portfolio Characteristics
(Unaudited)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2019 | ||
Since | Inception | |
MFAM Small-Cap Growth ETF | 16.65% | 10/29/2018 |
Russell 2000 Growth Total Return® Index* | 7.58%(1) | — |
Fund Expense Ratio(2) | 0.85% |
The graph below shows the performance of $10,000 invested in the Fund at inception. The results shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Fund returns are based on the net asset value and do not include brokerage commissions that may be payable on secondary market transactions.
The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.
(1) | Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself. |
(2) | The expense ratio of the Fund is set forth according to the December 31, 2018 Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio. |
* | The Russell 2000 Growth Index Total Return® measures the performance of those companies included in the Russell 2000 Index with higher price-to-book ratios and higher forecasted earnings growth rates. The Russell 2000 Index measures the performance of approximately 2,000 companies with small-market capitalizations. |
7 |
MFAM Small-Cap Growth ETF
Portfolio Characteristics (CONCLUDED)
(Unaudited)
The following tables show the top ten holdings and sector allocations, in which the MFAM Small-Cap Growth ETF was invested in as of August 31, 2019. Portfolio holdings are subject to change without notice.
Top TEN Holdings | % OF Net |
Paylocity Holding Corp. | 7.0% |
Everbridge, Inc. | 5.9 |
Q2 Holdings, Inc. | 4.4 |
Trex Co, Inc. | 4.3 |
Watsco, Inc. | 4.3 |
Penumbra, Inc. | 3.7 |
Newmark Group, Inc., Class A | 3.6 |
Smartsheet, Inc., Class A | 3.5 |
Teladoc, Inc. | 3.5 |
iRhythm Technologies, Inc. | 3.5 |
43.7% |
The MFAM Small-Cap Growth ETF uses GICSSM as the basis for the classification of securities on the Schedule of Investments. We believe that this makes the SOI classifications more standard with the rest of the industry.
Sector Allocation | % OF Net |
Health Care | 30.9% |
Information Technology | 26.4 |
Industrials | 18.4 |
Real Estate | 9.7 |
Consumer Discretionary | 5.7 |
Financials | 2.3 |
93.4% |
8 |
Motley Fool ETFs
Fund Expense Examples
AUGUST 31, 2019 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares, and (2) ongoing costs, including management fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other ETFs.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Examples for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Do you know how many times a fund, or the market, has returned a smooth 5% over a long period of time? Never. But we have to pick some example. In reality, the market’s returns are always far bumpier, with the market returning 20% one year, followed by a loss of 10% the next year, followed by a 3% gain,etc. These variations affect actual expenses as well. Happily, over almost all time periods of 20 years or longer, according to the research of University of Pennsylvania’s Jeremy Siegel and others, the domestic market’s returns have been at least 5% per year on average. |
9 |
Motley Fool ETFs
Fund Expense Examples (Concluded)
AUGUST 31, 2019 (Unaudited)
| Beginning | Ending | Expenses | Annualized | Actual Six-Month Total Investment Returns |
Motley Fool 100 Index ETF | |||||
Actual | $1,000.00 | $ 1,082.00 | $2.62 | 0.50% | 8.20% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,022.68 | 2.55 | 0.50 | N/A |
MFAM Small-Cap Growth ETF | |||||
Actual | $1,000.00 | $ 985.70 | $4.25 | 0.85% | -1.43% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,020.92 | 4.33 | 0.85 | N/A |
* | Expenses are equal to each Fund’s annualized expense ratio for the period March 1, 2019 through August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. Each Fund’s ending account value in the first section in the table is based on the actual six-month total investment return for the Fund. |
10 |
Motley Fool 100 Index ETF
Schedule of Investments
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks — 99.9% | ||||||||
Air Freight & Logistics — 0.4% | ||||||||
FedEx Corp. (United States) | 4,476 | $ | 709,938 | |||||
Airlines — 0.6% | ||||||||
Delta Air Lines, Inc. (United States) | 10,896 | 630,442 | ||||||
Southwest Airlines Co. (United States) | 9,452 | 494,529 | ||||||
1,124,971 | ||||||||
Automobiles — 0.7% | ||||||||
Ford Motor Co. (United States) | 67,723 | 621,020 | ||||||
Tesla, Inc. (United States) (a)* | 3,113 | 702,324 | ||||||
1,323,344 | ||||||||
Beverages — 0.3% | ||||||||
Monster Beverage Corp. (United States)* | 9,107 | 534,308 | ||||||
Biotechnology — 4.4% | ||||||||
AbbVie, Inc. (United States) | 28,026 | 1,842,429 | ||||||
Amgen, Inc. (United States) | 10,324 | 2,153,793 | ||||||
Biogen, Inc. (United States)* | 3,296 | 724,296 | ||||||
Celgene Corp. (United States)* | 12,891 | 1,247,849 | ||||||
Gilead Sciences, Inc. (United States) | 21,775 | 1,383,584 | ||||||
Vertex Pharmaceuticals, Inc. (United States)* | 4,263 | 767,425 | ||||||
8,119,376 | ||||||||
Capital Markets — 1.6% | ||||||||
BlackRock, Inc. (United States) | 2,535 | 1,071,189 | ||||||
Charles Schwab Corp. (The) (United States) | 23,299 | 891,653 | ||||||
Moody’s Corp. (United States) | 3,214 | 692,874 | ||||||
Nasdaq, Inc. (United States) | 2,839 | 283,446 | ||||||
2,939,162 | ||||||||
Chemicals — 0.5% | ||||||||
Ecolab, Inc. (United States) | 4,828 | 996,065 | ||||||
Commercial Services & Supplies — 0.4% | ||||||||
Cintas Corp. (United States) | 1,759 | 464,024 | ||||||
Copart, Inc. (United States)* | 3,933 | 296,509 | ||||||
760,533 |
The accompanying notes are an integral part of these financial statements.
11 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Communications Equipment — 0.5% | ||||||||
Arista Networks, Inc. (United States)* | 1,152 | $ | 261,066 | |||||
Corning, Inc. (United States) (a) | 12,863 | 358,235 | ||||||
Palo Alto Networks, Inc. (United States) (a)* | 1,667 | 339,434 | ||||||
958,735 | ||||||||
Consumer Finance — 1.1% | ||||||||
American Express Co. (United States) | 14,341 | 1,726,226 | ||||||
Synchrony Financial (United States) | 12,022 | 385,305 | ||||||
2,111,531 | ||||||||
Distributors — 1.2% | ||||||||
NIKE, Inc., Class B (United States) | 26,690 | 2,255,305 | ||||||
Diversified Financial Services — 1.2% | ||||||||
CME Group, Inc. (United States) | 6,242 | 1,356,324 | ||||||
Intercontinental Exchange, Inc. (United States) | 9,586 | 896,099 | ||||||
2,252,423 | ||||||||
Electric Utilities — 1.0% | ||||||||
NextEra Energy, Inc. (United States) | 8,388 | 1,837,643 | ||||||
Electrical Equipment — 0.3% | ||||||||
Roper Technologies, Inc. (United States) | 1,772 | 649,899 | ||||||
Entertainment — 2.3% | ||||||||
Walt Disney Co. (The) (United States) | 31,739 | 4,356,495 | ||||||
Equity Real Estate Investment (REITs) — 2.2% | ||||||||
Alexandria Real Estate Equities, Inc. (United States) | 2,064 | 309,270 | ||||||
American Tower Corp. (United States) | 7,990 | 1,839,218 | ||||||
Crown Castle International Corp. (United States) | 7,491 | 1,087,468 | ||||||
Equinix, Inc. (United States) | 1,484 | 825,520 | ||||||
4,061,476 | ||||||||
Food & Staples Retailing — 1.9% | ||||||||
Costco Wholesale Corp. (United States) | 7,523 | 2,217,480 | ||||||
CVS Health Corp. (United States) | 22,486 | 1,369,847 | ||||||
3,587,327 | ||||||||
Food Products — 0.2% | ||||||||
McCormick & Co., Inc. (United States) (a) | 2,326 | 378,836 |
The accompanying notes are an integral part of these financial statements.
12 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Health Care Equipment & Supplies — 1.7% | ||||||||
Align Technology, Inc. (United States) (a)* | 1,484 | $ | 271,735 | |||||
Becton Dickinson and Co. (United States) (a) | 4,305 | 1,093,126 | ||||||
IDEXX Laboratories, Inc. (United States) (a)* | 1,397 | 404,767 | ||||||
Intuitive Surgical, Inc. (United States)* | 1,947 | 995,579 | ||||||
ResMed, Inc. (United States) (a) | 2,425 | 337,802 | ||||||
3,103,009 | ||||||||
Health Care Providers & Services — 2.7% | ||||||||
HCA Healthcare, Inc. (United States) | 5,630 | 676,726 | ||||||
McKesson Corp. (United States) | 3,241 | 448,133 | ||||||
UnitedHealth Group, Inc. (United States) | 16,662 | 3,898,908 | ||||||
5,023,767 | ||||||||
Health Care Technology — 0.4% | ||||||||
Cerner Corp. (United States) | 5,513 | 379,901 | ||||||
Veeva Systems, Inc., Class A (United States)* | 2,653 | 425,488 | ||||||
805,389 | ||||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||
Chipotle Mexican Grill, Inc. (United States) (a)* | 483 | 404,957 | ||||||
Marriott International, Inc., Class A (United States) | 5,560 | 700,894 | ||||||
Starbucks Corp. (United States) (a) | 20,858 | 2,014,048 | ||||||
3,119,899 | ||||||||
Industrial Conglomerates — 0.8% | ||||||||
3M Co. (United States) | 9,552 | 1,544,749 | ||||||
Insurance — 4.8% | ||||||||
Aflac, Inc. (United States) | 12,897 | 647,172 | ||||||
Berkshire Hathaway, Inc., Class B (United States)* | 40,688 | 8,276,346 | ||||||
8,923,518 | ||||||||
Interactive Media & Services — 13.0% | ||||||||
Alphabet, Inc., Class C (United States)* | 12,191 | 14,484,127 | ||||||
Facebook, Inc., Class A (United States)* | 48,560 | 9,016,135 | ||||||
Twitter, Inc. (United States)* | 14,017 | 597,825 | ||||||
24,098,087 |
The accompanying notes are an integral part of these financial statements.
13 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Internet & Direct Marketing Retail — 11.2% | ||||||||
Altaba, Inc. (United States)* | 8,669 | $ | 602,409 | |||||
Amazon.com, Inc. (United States)* | 8,518 | 15,130,438 | ||||||
Booking Holdings, Inc. (United States)* | 716 | 1,407,950 | ||||||
eBay, Inc. (United States) | 14,654 | 590,410 | ||||||
Expedia, Inc. (United States) | 2,464 | 320,566 | ||||||
Match Group, Inc. (United States) (a) | 5,205 | 441,384 | ||||||
Netflix, Inc. (United States)* | 7,264 | 2,133,800 | ||||||
20,626,957 | ||||||||
IT Services — 9.0% | ||||||||
Automatic Data Processing, Inc. (United States) (a) | 7,595 | 1,289,935 | ||||||
Cognizant Technology Solutions Corp., Class A (United States) | 9,381 | 575,900 | ||||||
Mastercard, Inc., Class A (United States) | 17,334 | 4,877,267 | ||||||
PayPal Holdings, Inc. (United States)* | 20,937 | 2,283,180 | ||||||
Square, Inc., Class A (United States)* | 7,356 | 454,895 | ||||||
Twilio, Inc., Class A (United States)* | 2,400 | 313,128 | ||||||
Visa, Inc., Class A (United States) (a) | 37,089 | 6,706,433 | ||||||
16,500,738 | ||||||||
Life Sciences Tools & Services — 0.4% | ||||||||
Illumina, Inc. (United States)* | 2,468 | 694,347 | ||||||
Machinery — 0.2% | ||||||||
Cummins, Inc. (United States) | 2,570 | 383,624 | ||||||
Media — 0.4% | ||||||||
Discovery, Inc., Class A (United States) (a)* | 11,655 | 321,678 | ||||||
Sirius XM Holdings, Inc. (United States) (a) | 83,097 | 512,709 | ||||||
834,387 | ||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||
Kinder Morgan, Inc. (United States) | 38,781 | 786,091 | ||||||
Professional Services — 0.2% | ||||||||
CoStar Group, Inc. (United States)* | 644 | 395,976 | ||||||
Road & Rail — 1.5% | ||||||||
Uber Technologies, Inc. (United States) (a)* | 27,616 | 899,453 |
The accompanying notes are an integral part of these financial statements.
14 |
Motley Fool 100 Index ETF
Schedule of Investments (continued)
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Union Pacific Corp. (United States) | 11,843 | $ | 1,918,092 | |||||
2,817,545 | ||||||||
Semiconductors & Semiconductor Equipment — 2.0% | ||||||||
Broadcom, Inc. (United States) | 6,344 | 1,793,068 | ||||||
NVIDIA Corp. (United States) | 9,354 | 1,566,889 | ||||||
Xilinx, Inc. (United States) | 3,947 | 410,725 | ||||||
3,770,682 | ||||||||
Software — 15.2% | ||||||||
Activision Blizzard, Inc. (United States) | 12,349 | 624,859 | ||||||
Adobe Systems, Inc. (United States)* | 7,905 | 2,249,052 | ||||||
Electronic Arts, Inc. (United States)* | 4,865 | 455,753 | ||||||
Intuit, Inc. (United States) | 4,403 | 1,269,649 | ||||||
Microsoft Corp. (United States) | 132,371 | 18,248,666 | ||||||
Salesforce.com, Inc. (United States)* | 13,446 | 2,098,517 | ||||||
ServiceNow, Inc. (United States)* | 3,157 | 826,629 | ||||||
Splunk, Inc. (United States)* | 2,499 | 279,438 | ||||||
Synopsys, Inc. (United States)* | 2,559 | 362,892 | ||||||
VMware, Inc., Class A (United States)* | 7,056 | 998,001 | ||||||
Workday, Inc., Class A (United States)* | 3,944 | 699,192 | ||||||
28,112,648 | ||||||||
Specialty Retail — 3.8% | ||||||||
AutoZone, Inc. (United States)* | 437 | 481,439 | ||||||
Home Depot, Inc. (The) (United States) | 18,922 | 4,312,513 | ||||||
Sherwin-Williams Co. (The) (United States) | 1,631 | 859,129 | ||||||
TJX Cos, Inc. (The) (United States) | 21,268 | 1,169,102 | ||||||
Ulta Beauty, Inc. (United States)* | 1,023 | 243,198 | ||||||
7,065,381 | ||||||||
Technology Hardware, Storage & Peripherals — 8.8% | ||||||||
Apple, Inc. (United States) | 78,549 | 16,396,318 | ||||||
Trading Companies & Distributors — 0.3% | ||||||||
TransDigm Group, Inc. (United States) | 910 | 489,871 | ||||||
Wireless Telecommunication Services — 0.6% | ||||||||
T-Mobile US, Inc. (United States)* | 14,928 | 1,165,130 | ||||||
Total Common Stocks (Cost $164,507,559) | 185,615,480 |
The accompanying notes are an integral part of these financial statements.
15 |
Motley Fool 100 Index ETF
Schedule of Investments (concluded)
AUGUST 31, 2019
| Number of | Value | ||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 8.5% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27% | 15,785,227 | $ | 15,785,227 | |||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $15,785,227) | 15,785,227 | |||||||
Short-Term Investments — 0.1% | ||||||||
First American Treasury Obligations Fund Class X, 2.00% (United States) (b) | 179,667 | 179,667 | ||||||
Total Short-Term Investments (Cost $179,667) | 179,667 | |||||||
Total Investments (Cost $180,472,453) — 108.5% | 201,580,374 | |||||||
Liabilities in Excess of Other Assets — (8.5)% | (15,709,639 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 8,275,000 shares outstanding) | $ | 185,870,735 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $15,417,163. |
(b) | Seven-day yield as of August 31, 2019. |
The accompanying notes are an integral part of these financial statements.
16 |
MFAM Small-Cap Growth ETF
Schedule of Investments
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks — 93.4% | ||||||||
Aerospace & Defense — 2.5% | ||||||||
Axon Enterprise, Inc. (United States) (a)* | 29,328 | $ | 1,758,800 | |||||
Auto Components — 2.9% | ||||||||
Fox Factory Holding Corp. (United States)* | 28,184 | 2,030,375 | ||||||
Biotechnology — 9.2% | ||||||||
ADMA Biologics, Inc. (United States) (a)* | 451,000 | 2,020,480 | ||||||
Akcea Therapeutics, Inc. (United States) (a)* | 63,074 | 1,328,339 | ||||||
Editas Medicine, Inc. (United States) (a)* | 35,383 | 878,560 | ||||||
Spark Therapeutics, Inc. (United States)* | 23,593 | 2,298,194 | ||||||
6,525,573 | ||||||||
Building Products — 4.3% | ||||||||
Trex Co, Inc. (United States)* | 35,876 | 3,068,474 | ||||||
Electronic Equipment, Instruments & Components — 2.9% | ||||||||
NLight, Inc. (United States) (a)* | 158,966 | 2,053,841 | ||||||
Equity Real Estate Investment Trusts (REITs) — 2.6% | ||||||||
STAG Industrial, Inc. (United States) | 64,825 | 1,885,111 | ||||||
Health Care Equipment & Supplies — 14.0% | ||||||||
Antares Pharma, Inc. (United States)* | 595,200 | 1,928,448 | ||||||
Globus Medical, Inc., Class A (United States)* | 37,216 | 1,900,621 | ||||||
Heska Corp. (United States)* | 14,879 | 1,044,357 | ||||||
iRhythm Technologies, Inc. (United States)* | 32,491 | 2,473,215 | ||||||
Penumbra, Inc. (United States) (a)* | 17,934 | 2,610,294 | ||||||
9,956,935 | ||||||||
Health Care Providers & Services — 4.2% | ||||||||
BioTelemetry, Inc. (United States)* | 29,786 | 1,181,015 | ||||||
HealthEquity, Inc. (United States)* | 30,458 | 1,807,987 | ||||||
2,989,002 | ||||||||
Health Care Technology — 3.5% | ||||||||
Teladoc, Inc. (United States) (a)* | 43,310 | 2,506,783 | ||||||
Insurance — 2.3% | ||||||||
Goosehead Insurance, Inc., Class A (United States) (a) | 35,000 | 1,618,400 | ||||||
Internet & Direct Marketing Retail — 2.8% | ||||||||
GrubHub, Inc. (United States) (a)* | 34,160 | 2,027,054 |
The accompanying notes are an integral part of these financial statements.
17 |
MFAM Small-Cap Growth ETF
Schedule of Investments (continued)
AUGUST 31, 2019
| Number of | Value | ||||||
Common Stocks (continued) | ||||||||
Machinery — 4.6% | ||||||||
John Bean Technologies Corp. (United States) | 17,568 | $ | 1,797,558 | |||||
Proto Labs, Inc. (United States)* | 15,418 | 1,460,701 | ||||||
3,258,259 | ||||||||
Real Estate Management & Development — 7.1% | ||||||||
Jones Lang LaSalle, Inc. (United States) | 18,422 | 2,469,469 | ||||||
Newmark Group, Inc., Class A (United States) | 295,399 | 2,564,064 | ||||||
5,033,533 | ||||||||
Road & Rail — 2.8% | ||||||||
Landstar System, Inc. (United States) | 17,690 | 1,972,789 | ||||||
Software — 23.4% | ||||||||
Alarm.com Holdings, Inc. (United States)* | 39,704 | 1,889,911 | ||||||
Everbridge, Inc. (United States) (a)* | 48,806 | 4,207,077 | ||||||
Paylocity Holding Corp. (United States)* | 45,750 | 4,996,815 | ||||||
Q2 Holdings, Inc. (United States)* | 34,892 | 3,138,535 | ||||||
Smartsheet, Inc., Class A (United States)* | 51,899 | 2,522,291 | ||||||
16,754,629 | ||||||||
Trading Companies & Distributors — 4.3% | ||||||||
Watsco, Inc. (United States) | 18,544 | 3,032,871 | ||||||
Total Common Stocks (Cost $61,036,132) | 66,472,429 | |||||||
Investments Purchased with Proceeds from Securities Lending Collateral — 21.1% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27% | 14,992,353 | 14,992,353 | ||||||
Total Investments Purchased with Proceeds from Securities Lending Collateral (Cost $14,992,353) | 14,992,353 | |||||||
Short-Term Investments — 6.6% | ||||||||
First American Treasury Obligations Fund Class X, 2.00% (United States) (b) | 4,676,150 | 4,676,150 | ||||||
Total Short-Term Investments (Cost $4,676,150) | 4,676,150 |
The accompanying notes are an integral part of these financial statements.
18 |
MFAM Small-Cap Growth ETF
Schedule of Investments (concluded)
AUGUST 31, 2019
| Number of | Value | ||||||
Total Investments (Cost $80,704,635) — 121.1% | $ | 86,140,932 | ||||||
Liabilities in Excess of Other Assets — (21.1)% | (14,987,602 | ) | ||||||
NET ASSETS — 100.0% | ||||||||
(Applicable to 3,050,000 shares outstanding) | $ | 71,153,330 |
* | Non-income producing security. |
(a) | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $14,580,470. |
(b) | Seven-day yeild as of August 31, 2019. |
The accompanying notes are an integral part of these financial statements.
19 |
Motley Fool ETFs
Statements of Assets and Liabilities
AUGUST 31, 2019
Motley | MFAM | |||||||
ASSETS | ||||||||
Investments in securities at value (cost $164,507,559 and $61,036,132, respectively)^ | $ | 185,615,480 | $ | 66,472,429 | ||||
Investments purchased with proceeds from securities lending collateral, at value (cost $15,785,227 and $14,992,353, respectively) | 15,785,227 | 14,992,353 | ||||||
Short-term investments, at value (cost $179,667 and $4,676,150, respectively) | 179,667 | 4,676,150 | ||||||
Receivables for: | ||||||||
Investments sold | 1,099,110 | — | ||||||
Dividends | 180,411 | 56,514 | ||||||
Total assets | 202,859,895 | 86,197,446 | ||||||
LIABILITIES | ||||||||
Payables for: | ||||||||
Securities lending collateral (see Note 7) | 15,785,227 | 14,992,353 | ||||||
Capital shares redeemed | 1,125,080 | — | ||||||
Advisory fees | 78,853 | 51,763 | ||||||
Total liabilities | 16,989,160 | 15,044,116 | ||||||
Net assets | $ | 185,870,735 | $ | 71,153,330 | ||||
NET ASSETS CONSIST OF: | ||||||||
Par value | $ | 8,275 | $ | 3,050 | ||||
Paid-in capital | 165,501,371 | 64,771,846 | ||||||
Total distributable earnings/(losses) | 20,361,089 | 6,378,434 | ||||||
Net assets | $ | 185,870,735 | $ | 71,153,330 | ||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 8,275,000 | 3,050,000 | ||||||
Net asset value, price per share | 22.46 | 23.33 | ||||||
^ Includes market value of securities on loan | $ | 15,417,163 | $ | 14,580,470 |
The accompanying notes are an integral part of these financial statements.
20 |
Motley Fool ETFs
Statements of Operations
FOR the Year ended AUGUST 31, 2019
| Motley | MFAM | ||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 1,904,434 | $ | 304,465 | ||||
Securities lending income | 31,999 | 137,547 | ||||||
Total investment income | 1,936,433 | 442,012 | ||||||
EXPENSES | ||||||||
Advisory fees (Note 3) | 812,537 | 447,308 | ||||||
Total expenses | 812,537 | 447,308 | ||||||
Net investment income/(loss) | 1,123,896 | (5,296 | ) | |||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||
Net realized gain/(loss) from investments | (1,164,313 | ) | 947,433 | |||||
Net realized gain/(loss) from redemption in-kind | 796,378 | 471,741 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 5,164,818 | 5,436,297 | ||||||
Net realized and unrealized gain/(loss) on investments | 4,796,883 | 6,855,471 | ||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,920,779 | $ | 6,850,175 |
* | Inception date of the Fund was October 29, 2018. |
The accompanying notes are an integral part of these financial statements.
21 |
Motley Fool 100 Index ETF
Statements of Changes in Net Assets
| FOR THE | For the | ||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 1,123,896 | $ | 411,326 | ||||
Net realized gain/(loss) from investments | (367,935 | ) | 197,085 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 5,164,818 | 15,943,103 | ||||||
Net increase/(decrease) in net assets resulting from operations | 5,920,779 | 16,551,514 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (793,681 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (793,681 | ) | — | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 45,942,865 | 131,864,333 | ||||||
Shares redeemed | (6,078,625 | ) | (7,536,450 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 39,864,240 | 124,327,883 | ||||||
Total increase/(decrease) in net assets | 44,991,338 | 140,879,397 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 140,879,397 | — | ||||||
End of period | $ | 185,870,735 | $ | 140,879,397 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 2,200,000 | 6,750,000 | ||||||
Shares redeemed | (300,000 | ) | (375,000 | ) | ||||
Net increase/(decrease) in shares outstanding | 1,900,000 | 6,375,000 |
(1) | Inception date of the Fund was January 29, 2018. |
(2) | The following information was previously reported in the August 31, 2018 financial statements. See Note 8 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $408,899. |
The accompanying notes are an integral part of these financial statements.
22 |
MFAM Small-Cap Growth ETF
Statement of Changes in Net Assets
| FOR THE | |||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||
Net investment income/(loss) | $ | (5,296 | ) | |
Net realized gain/(loss) from investments | 1,419,174 | |||
Net change in unrealized appreciation/(depreciation) on investments | 5,436,297 | |||
Net increase/(decrease) in net assets resulting from operations | 6,850,175 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 68,046,763 | |||
Shares redeemed | (3,743,608 | ) | ||
Net increase/(decrease) in net assets from capital share transactions | 64,303,155 | |||
Total increase/(decrease) in net assets | 71,153,330 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 71,153,330 | ||
SHARES TRANSACTIONS: | ||||
Shares sold | 3,225,000 | |||
Shares redeemed | (175,000 | ) | ||
Net increase/(decrease) in shares outstanding | 3,050,000 |
* | Inception date of the Fund was October 29, 2018. |
The accompanying notes are an integral part of these financial statements.
23 |
Motley Fool 100 Index ETF
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
| YEAR ENDED | For the | ||||||
| 2019 | 2018(1) | ||||||
PER SHARE OPERATING PERFORMANCE | ||||||||
Net asset value, beginning of period | $ | 22.10 | $ | 20.00 | ||||
Net investment income/(loss)(2) | 0.15 | 0.08 | ||||||
Net realized and unrealized gain/(loss) from investments | 0.32 | 2.02 | ||||||
Net increase/(decrease) in net assets resulting from operations | 0.47 | 2.10 | ||||||
Dividends and distributions to shareholders from: | ||||||||
Net investment income | (0.11 | ) | — | |||||
Total dividends and distributions to shareholders | (0.11 | ) | — | |||||
Net asset value, end of period | $ | 22.46 | $ | 22.10 | ||||
Market value, end of period | $ | 22.42 | $ | 22.13 | ||||
Total investment return/(loss) on net asset value(3) | 2.27 | % | 10.49 | %(5) | ||||
Total investment return/(loss) on market price(4) | 1.93 | % | 10.65 | %(5) | ||||
RATIO/SUPPLEMENTAL DATA | ||||||||
Net assets, end of period (000’s omitted) | $ | 185,871 | $ | 140,879 | ||||
Ratio of expenses to average net assets | 0.50 | % | 0.50 | %(6) | ||||
Ratio of net investment income/(loss) to average net assets | 0.69 | % | 0.68 | %(6) | ||||
Portfolio turnover rate | 26 | % | 10 | %(5) |
(1) | Inception date of the Fund was January 29, 2018. |
(2) | Per share data calculated using average shares outstanding method. |
(3) | Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
24 |
MFAM Small-Cap Growth ETF
Financial Highlights
Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.
| FOR THE | |||
| 2019(1) | |||
PER SHARE OPERATING PERFORMANCE | ||||
Net asset value, beginning of period | $ | 20.00 | ||
Net investment income/(loss)(2) | — | (3) | ||
Net realized and unrealized gain/(loss) from investments | 3.33 | |||
Net increase/(decrease) in net assets resulting from operations | 3.33 | |||
Net asset value, end of period | $ | 23.33 | ||
Market value, end of period | $ | 23.34 | ||
Total investment return/(loss) on net asset value(4) | 16.65 | %(6) | ||
Total investment return/(loss) on market price(5) | 16.69 | %(6) | ||
RATIO/SUPPLEMENTAL DATA | ||||
Net assets, end of period (000’s omitted) | $ | 71,153 | ||
Ratio of expenses to average net assets | 0.85 | %(7) | ||
Ratio of net investment income/(loss) to average net assets | (0.01 | )%(7) | ||
Portfolio turnover rate | 21 | %(6) |
(1) | Inception date of the Fund was October 29, 2018. |
(2) | Per share data calculated using average shares outstanding method. |
(3) | Amount rounds to less than 0.01 per share. |
(4) | Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period. |
(6) | Not annualized. |
(7) | Annualized. |
The accompanying notes are an integral part of these financial statements.
25 |
Motley Fool ETFs
Notes to Financial Statements
AUGUST 31, 2019
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 thirty-three separate investment portfolios, including the Motley Fool 100 Index ETF (the “Fool 100 Fund”) and the MFAM Small-Cap Growth ETF (“Small-Cap Growth Fund”) (formerly known as the Motley Fool Small-Cap Growth ETF) (each a “Fund” and together the “Funds”). The Fool 100 Fund and Small-Cap Growth Fund commenced investment operations on January 29, 2018 and October 29, 2018, respectively.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the Fool 100 Fund is to achieve investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool 100 Index (the “Fool 100 Index”). The Fool 100 Index was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of the Adviser, in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company include in the Fool 100 Index is incorporated and listed in the U.S. The investment objective of the Small-Cap Growth Fund is to achieve long-term capital appreciation.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Funds is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● | Level 1 – Prices are determined using quoted prices in active markets for identical securities. |
● | Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
26 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
● | Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:
FOOL 100 FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 185,615,480 | $ | 185,615,480 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 15,785,227 | — | — | — | 15,785,227 | |||||||||||||||
Short-Term Investments | 179,667 | 179,667 | — | — | — | |||||||||||||||
Total Investments* | $ | 201,580,374 | $ | 185,795,147 | $ | — | $ | — | $ | 15,785,227 |
SMALL-CAP GROWTH FUND
| TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | INVESTMENTS | |||||||||||||||
Common Stocks | $ | 66,472,429 | $ | 66,472,429 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 14,992,353 | — | — | — | 14,992,353 | |||||||||||||||
Short-Term Investments | 4,676,150 | 4,676,150 | — | — | — | |||||||||||||||
Total Investments* | $ | 86,140,932 | $ | 71,148,579 | $ | — | $ | — | $ | 14,992,353 |
* | Please refer to the Schedule of Investments for further details. |
^ | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
27 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Funds had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Expenses and fees, including investment advisory fees, are accrued daily and taken into account for the purpose of determining the NAV of each Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on ex dividend date. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Funds’ intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
2. Investment Policies and Practices
The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.
TYPES OF FIXED-INCOME SECURITIES — Each Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities (“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by S&P Global Ratings (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations
28 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.
REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.
REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.
The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.
REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent.
TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.
3. INVESTMENT adviser and other services
Each Fund pays all of its expenses other than those expressly assumed by Motley Fool Asset Management, LLC (the “Adviser”). Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreements between the Adviser and the Company on behalf of each Fund. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF
29 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.50% for the Fool 100 Fund and 0.85% for the Small-Cap Growth Fund; based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears. From the Advisory Fee, the Adviser pays most of the expenses of each Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services. However, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, fees and expenses of independent directors and their independent counsel, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.
During the current fiscal period, investment advisory fees accrued were as follows:
FUND | ADVISORY FEES | |||
Fool 100 Fund | $ | 812,537 | ||
Small-Cap Growth Fund | 447,308 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for its services provided.
DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. Employees of Vigilant Compliance, LLC serve as President, Chief Compliance Officer and Assistant Treasurer of the Company. Vigilant Compliance, LLC is compensated for these services provided to the Company. An employee of RBB serves as Treasurer and Secretary, and is compensated for services provided. Under the Funds’ unitary fee, the Adviser compensates the Directors and Officers for their services. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Adviser. Neither the Funds nor the Company compensate this individual or Vigilant Compliance, LLC for the services provided to Motley Fool Asset Management.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Fool 100 Fund | $ | 44,189,429 | $ | 42,804,980 | ||||
Small-Cap Growth Fund | 12,048,677 | 14,385,904 |
There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.
30 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
During the current fiscal period, aggregate purchases and sales and maturities of in-kind transactions of the Funds were as follows:
FUND | PURCHASES | SALES | ||||||
Fool 100 Fund | $ | 44,759,731 | $ | 5,961,941 | ||||
Small-Cap Growth Fund | 65,577,670 | 3,636,121 |
5. Federal Income tax information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
FUND | FEDERAL | UNREALIZED | UNREALIZED | NET UNREALIZED | ||||||||||||
Fool 100 Fund | $ | 181,090,529 | $ | 25,678,612 | $ | (5,188,767 | ) | $ | 20,489,845 | |||||||
Small-Cap Growth Fund | 80,736,339 | 10,131,888 | (4,727,295 | ) | 5,404,593 |
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, 2019, primarily attributable to foreign currency transactions and in-kind redemptions gains, were reclassified among the following accounts:
FUND | DISTRIBUTABLE | PAID-IN | ||||||
Fool 100 Fund | $ | (761,873 | ) | $ | 761,873 | |||
Small-Cap Growth Fund | (471,741 | ) | 471,741 |
31 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | UNDISTRIBUTED | UNDISTRIBUTED | CAPITAL | QUALIFIED | OTHER | UNREALIZED | Total | |||||||||||||||||||||
Fool 100 Fund | $ | 741,541 | $ | — | $ | (870,297 | ) | $ | — | $ | — | $ | 20,489,845 | $ | 20,361,089 | |||||||||||||
Small-Cap Growth Fund | 966,352 | 12,785 | — | (5,296 | ) | — | 5,404,593 | 6,378,434 |
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 periods ended August 31, 2019 and August 31, 2018 were as follows:
FUND | Tax | ORDINARY | LONG-TERM | TOTAL | |||||||||
Fool 100 Fund | 2019 | $ | 793,681 | $ | — | $ | 793,681 | ||||||
Fool 100 Fund | 2018 | — | — | — | |||||||||
Small-Cap Growth Fund | 2019 | — | — | — | |||||||||
Small-Cap Growth Fund | 2018 | N/A | * | N/A | * | N/A | * |
* | The Small-Cap Growth Fund had not commenced operations as of August 31, 2018. |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. The Small-Cap Growth Fund deferred qualified late-year losses of $5,296 which will be treated as arising on the first business day of the following fiscal year.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2019, the Fool 100 Fund had unexpiring short-term losses of $870,297.
6. SHARE TRANSACTIONS
Shares of the Funds are listed and trade on the Cboe BZX Exchange, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors
32 |
Motley Fool ETFs
Notes to Financial Statements (continued)
AUGUST 31, 2019
do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.
Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $250, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets. Each Fund may issue an unlimited number of shares of beneficial interest, with $0.001 par value per share. Shares of each Fund have equal rights and privileges.
7. SECURITIES LENDING
The Funds may make secured loans of its portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:
FUND | MARKET VALUE | MARKET VALUE | INCOME | |||||||||
Fool 100 Fund | $ | 15,417,163 | $ | 15,785,227 | $ | 31,999 | ||||||
Small-Cap Growth Fund | 14,580,470 | 14,992,353 | 137,547 |
33 |
Motley Fool ETFs
Notes to Financial Statements (concluded)
AUGUST 31, 2019
Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds’ under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:
GROSS AMOUNTS NOT OFFSET IN THE | ||||||||||||||||||||||||
FUND | GROSS | GROSS | NET AMOUNTS | FINANCIAL | CASH | NET | ||||||||||||||||||
Fool 100 Fund | $ | 15,417,163 | $ | — | $ | 15,417,163 | $ | (15,417,163 | ) | $ | — | $ | — | |||||||||||
Small-Cap Growth Fund | 14,580,470 | — | 14,580,470 | (14,580,470 | ) | — | — |
1 | Amount disclosed is limited to the amount of assets presented in the Statements of Assets and Liabilities. Actual collateral received may be more than the amount shown. |
2 | Net amount represents the net amount receivable from the counterparty in the event of default. |
8. New accounting pronouncements and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Funds’ financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
9. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.
34 |
Motley Fool ETFs
Report of Independent Registered
Public Accounting Firm
To the Board of Directors of
The RBB Fund, Inc.
and the Shareholders of the Motley Fool ETFs
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of the Motley Fool 100 Index ETF and MFAM Small-Cap Growth ETF (the “Funds”), each a series of The RBB Fund, Inc., including the schedules of investments, as of August 31, 2019, with respect to Motley Fool 100 Index ETF, the related statement of operations for the year then ended, the statements of changes in net assets and financial highlights for the year then ended and for the period January 29, 2018 (commencement of operations) through August 31, 2018, with respect to MFAM Small-Cap Growth ETF, the related statement of operations, statement of changes in net assets, and financial highlights for the period October 29, 2018 (commencement of operations) through August 31, 2019, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of August 31, 2019, the results of their operations, the changes in their net assets, and the financial highlights for the period indicated above, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the auditor of one or more of the funds in the Trust since 2011.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Funds’ internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP |
Philadelphia, Pennsylvania
October 30, 2019
35 |
MOTLEY FOOL ETFS
Shareholder Tax Information (Unaudited)
Certain tax information regarding the Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable period ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Funds:
FUND | ORDINARY | LONG-TERM |
Fool 100 Fund | $ 793,681 | $ — |
Small-Cap Growth Fund | — | — |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Jobs and Growth Tax relief Reconciliation Act of 2003 the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
Fool 100 Fund | 100.00% |
Small-Cap Growth Fund | 0.00% |
The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for the Funds are as follows:
Fool 100 Fund | 100.00% |
Small-Cap Growth Fund | 0.00% |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
36 |
Motley Fool ETFs
Notice to Shareholders
(Unaudited)
Information on Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the SEC’s website at http://www.sec.gov.
Quarterly Schedule of Investments
The Company files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). Shareholders can obtain the Form N-Q (i) without charge, upon request, by calling (888) 863-8803; and (ii) on the SEC’s website at http://www.sec.gov.
APPROVAL OF INVESTMENT ADVISORY AGREEMENT
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between the Adviser and the Company (the “Investment Advisory Agreements”) on behalf of the Motley Fool 100 Index ETF and MFAM Small-Cap Growth ETF (each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreements, the Board considered information provided by the Adviser with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and the Adviser with respect to the Funds, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of the Adviser’s services provided to the Funds; (ii) descriptions of the experience and qualifications of the Adviser’s personnel providing those services; (iii) the Adviser’s investment philosophies and processes; (iv) the Adviser’s assets under management and client descriptions; (v) the Adviser’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) the Adviser’s advisory fee arrangement with the Company and other similarly managed clients; (vii) the Adviser’s compliance policies and procedures; (viii) the Adviser’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Funds; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Broadridge/Lipper comparing each Fund’s management fees and total expense ratio to those of its Lipper peer group; and (xi) a report comparing the performance of the Funds to the performance of their respective benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by the Adviser. The Directors concluded that the Adviser had substantial resources to provide services to the Funds and that the Adviser’s services had been acceptable.
The Directors also considered the investment performance of the Funds and the Adviser. The Directors considered the Funds’ investment performance in light of their investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Lipper Groups was acceptable.
In reaching this conclusion, the Directors noted the performance of the Motley Fool 100 Index ETF. The Directors considered that because the Motley Fool 100 Index ETF was designed to track the performance of its index, the relevant consideration was the extent to which the Fund tracked its index before fees and expenses. The Board also noted that the performance of the index did not take into account the expenses incurred when purchasing or selling securities, which expenses would lower the performance of a fund seeking to replicate some or all of the holdings of the index. The Board noted that for the year-to-date, one-year and since inception periods ended March 31, 2019, the Motley Fool 100 Index ETF’s performance was in line with its index before fees and expenses. The Directors also noted that the Motley Fool 100 Index ETF ranked in the 2nd quintile in its Lipper Performance Group for the since-inception period ended December 31, 2018, and ranked in the 1st quintile in its Lipper Performance Universe for the since-inception period ended December 31, 2018.
37 |
Motley Fool ETFs
Notice to Shareholders (ConCLUDED)
(Unaudited)
The Directors noted the MFAM Small-Cap Growth ETF had outperformed its benchmark for the year-to-date and since-inception periods ended March 31, 2019. The Directors also noted that the MFAM Small-Cap Growth ETF ranked in the 1st quintile in its Lipper Performance Group for the since-inception period ended December 31, 2018, and ranked in the 1st quintile in its Lipper Performance Universe for the since-inception period ended December 31, 2018.
The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreements. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the actual advisor fee of the Motley Fool 100 Index ETF ranked in the 4th quintile of its Lipper Expense Group and in the 5th quintile of its Lipper Expense Universe, and the actual advisor fee of the MFAM Small-Cap Growth ETF ranked in the 5th quintile of its Lipper Expense Group and in the 5th quintile of its Lipper Expense Universe. The Board also took into consideration that the advisory fee for the Motley Fool 100 Index ETF and the MFAM Small-Cap Growth ETF was a “unitary fee,” meaning those Funds paid no expenses other than the advisory fee and certain other costs such as interest, brokerage and extraordinary expenses. The Board noted that MFAM continued to be responsible for compensating the Company’s other service providers and paying other expenses of the Motley Fool 100 Index ETF and the MFAM Small-Cap Growth ETF out of its own fees and resources.
After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering MFAM’s services, the Directors concluded that the investment advisory fees paid by the Funds were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one year period ending August 16, 2020.
Frequency Distributions of Premiums and Discounts
Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.mfamfunds.com.
38 |
Motley Fool ETFs
PRIVACY NOTICE
(Unaudited)
What Does Motley Fool 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 type of personal information we collect and share depend on the product or service you have with us. This information can include:
● | Social Security number and transaction history |
● | Account balances and checking account information |
● | Account transactions and wire transfer instructions |
When you are no longer a 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 Motley FoolAsset Management chooses to share; and whether you can limit this sharing.
Reasons we share your personal information | Does Motley Fool Asset Management share? | Can you limit this sharing? |
For our everyday business purposes — | Yes | No |
For our marketing purposes — | Yes | Yes |
For joint marketing with other financial companies | No | We don’t share |
For our affiliates’ everyday business purposes — | Yes | No |
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share |
For our affiliates to market to you | Yes | Yes |
For nonaffiliates to market to you | No | We don’t share |
Visit us online: https://www.mfamfunds.com/website-privacy-policy/
Please note:
● | If you are a new customer, we can begin sharing your information 30 days from the days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. |
39 |
Motley Fool ETFs
PRIVACY NOTICE (Continued)
(Unaudited)
However, you can contact us at any time to limit our sharing.
Questions: Call 1-888-863-8803 or go to www.mfamfunds.com
What we do:
How does Motley Fool Asset Management protect my personal information?
We collect your personal information, for example, when you:
● | Open an account or provide account information |
● | Make deposits or withdrawals from your account |
● | Make a wire transfer or tell us where to send the money |
We also collect your personal information from 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 |
● | Make deposits or withdrawals from your account |
● | Sharing for nonaffiliates to market to you |
State laws and individual companies may give you additional rights to limit sharing.
What happens when I limit sharing for an account I hold jointly with someone else?
Your choices will apply to everyone on your account.
EUROPEAN UNION’S GENERAL DATA PROTECTION REGULATION
In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to
● | Check whether we hold personal information about you and to access such data (in accordance with our policy) |
● | Request the correction of personal information about you that is inaccurate |
● | Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible |
● | Request the erasure of your personal information |
● | Request the restriction of processing concerning you |
The legal grounds for processing of your personal information is for contractual necessity and compliance with law.
If you wish to exercise any of your rights above, please call: 1-888-863-8803.
You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us.
The MFAM Funds shall retain your personal data for as long as you are an investor in the Funds and thereafter as long as necessary to comply with applicable laws that require the Funds to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Funds may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Funds do take the security of your personal data seriously.
Definitions:
Affiliates - Companies related by common ownership or control. They can be financial and nonfinancial companies.
Our affiliates include companies with a Motley Fool name; financial companies such as Motley Fool Asset Management, LLC; and nonfinancial companies such as The Motley Fool, LLC and The Motley Fool Holdings, Inc.
40 |
Motley Fool ETFs
PRIVACY NOTICE (Concluded)
(Unaudited)
Nonaffiliates - Companies not related by common ownership or control. They can be financial and nonfinancial companies.
Motley Fool Asset Management does not share with nonaffiliates so they can market to you.
Joint marketing - A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
Motley Fool Asset Management doesn’t jointly market.
Controller - “Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European Union or European Member State law, the controller or the specific criteria for its nomination may be provided for by European Union or European Member State law.
41 |
Motley Fool ETFs
Directors and Officers
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (888) 863-8803.
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company)(until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
42 |
Motley Fool ETFs
Directors and Officers (CONTINUED)
(Unaudited)
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
Arnold M. Reichman | Chairman Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company)(until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management)(until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman Director | 2016 to present 1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE | President Chief Compliance Officer | 2009 to present 2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
43 |
Motley Fool ETFs
Directors and Officers (CONTINUED)
(Unaudited)
Name, Address, | Positions(s) | Term of | Principal Occupation(s) | Number of | Other |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
44 |
Motley Fool ETFs
Directors and Officers (CONCLUDED)
(Unaudited)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
45 |
Investment Adviser
Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212
Principal Underwriter
Quasar Distributors, LLC
777 East Wisconsin Avenue, Floor 6
Milwaukee, WI 53202
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St. Suite 2900
Philadelphia, PA 19102-2529
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
46 |
Stay informed about your investment!
Shareholders like you are very important to us, we’d love to hear your feedback and answer questions! If you have a question or comment please send it to fundservice@mfamfunds.com.
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ORINDA FUNDS
Annual Report
AUGUST 31, 2019
Orinda Income Opportunities Fund
of
the RBB Fund, Inc.
Class I Shares – OIOIX
Class A Shares – OIOAX
Class D Shares – OIODX
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-855-467-4632.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-855-467-4632 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund. |
Table of Contents
Commentary | 1 |
Performance Data | 5 |
Fund Expense Examples | 8 |
Allocation of Portfolio Assets | 9 |
Schedule of Investments | 10 |
Schedule of Securities Sold Short | 16 |
Financial Statements | 17 |
Statement of Assets and Liabilities | 17 |
Statement of Operations | 19 |
Statements of Changes in Net Assets | 20 |
Statement of Cash Flows | 22 |
Financial Highlights | 24 |
Notes to Financial Statements | 27 |
Report of Independent Registered Public Accounting Firm | 39 |
Shareholder Tax Information | 40 |
Notice to Shareholders | 41 |
Management | 43 |
Privacy Notice | 47 |
Orinda Income Opportunities Fund Commentary |
Dear Shareholder,
The fiscal year started out with the continuation of 2 plus years of generally rising interest rates before interest rates made a dramatic reversal. The 10-year Treasury yield continued to move higher, peaking at 3.24% in early November as the Federal Reserve (“Fed”) raised rates in September and again in December, only to reverse course and lower rates in July of this year. The yield on the 10-year Treasury began falling well before the first Fed rate cut and ended the fiscal year at just 1.50%. While the Orinda Income Opportunities Fund (the “Fund”) delivered a positive return over the year, it underperformed the broader bond market, which had very strong performance in the second half of the fiscal year as the Fed reversed course and yields dropped dramatically. Our preferred and fixed income securities generated positive gross returns, contributing 4.09% to the gross performance of the Fund during the fiscal year. Our common stock securities and investments in closed-end funds and ETF’s were also up, contributing 2.26% to gross performance, while hedging positions did not have a significant impact on the Fund’s gross returns.
Fund net exposure varied significantly during the year based on the large sell-off of assets in the first part of the fiscal year, followed by a strong rebound in the second half of the year. The Fund started the year with net exposure of just over 100% and remained relatively stable until late December, when we began increasing net exposure, which peaked at 118% in early January. Following the strong rebound in the Fund’s positions, we lowered net exposure back down to 105% by the end of March. At fiscal year-end, net exposure was 103%. With the rate reversal of the Fed in the second half of the fiscal year, we anticipate that the Fund’s net exposure will generally be between 90%-105% over the coming fiscal year, but changing market conditions may warrant otherwise.
Shown below is the Fund’s performance for the fiscal year ended August 31, 2019, as well as the performance for the Bloomberg Barclays Capital U.S. Aggregate Bond Index.
ORINDA INCOME OPPORTUNITIES FUND | |||||
Annualized Returns | 1 year | 3 years | 5 years | Since | Since |
PERFORMANCE AT NAV without sales charge | |||||
A share | 3.82% | 3.67% | 3.20% | 4.06% | N/A |
I share | 4.17% | 4.00% | 3.52% | 4.38% | N/A |
D share (commenced 9/27/13) | 3.12% | 2.97% | 2.52% | N/A | 3.53% |
Bloomberg Barclays Capital U.S. Aggregate Bond Index | 10.17% | 3.09% | 3.34% | 3.56% | 3.61% |
PERFORMANCE AT MOPincludes maximum sales charge | |||||
A share | -1.36% | 1.92% | 2.14% | 3.20% | N/A |
1. | The Orinda Income Opportunities Fund, a series of Advisor Series Trust (the “Predecessor Fund”) reorganized into the Fund following the close of business on April 28, 2017. The Predecessor Fund’s Class I and Class A shares commenced operations on June 28, 2013. |
2. | The Predecessor Fund’s Class D shares commenced operations on September 27, 2013. |
Total Annual Fund Operating Expenses (what an investor would pay as of 12/31/18):
A share 2.10%; I share 1.95%; D share 2.95%.
Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-877-903-1313 or visiting www.orindafunds.com. Performance data shown at MOP (Maximum Offering Price) reflects the Class A maximum sales charge of 5.00%. Performance data shown at NAV (Net Asset Value) does not reflect the deduction of the sales load. If reflected, the load would reduce the performance quoted. Investment performance reflects fee waivers in effect. In the absence of such waivers total return would be reduced.
1
Orinda Income Opportunities Fund Commentary (Continued)
|
Until December 31, 2020, Orinda Asset Management, LLC (the “Adviser”) has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class I, Class A and Class D shareholders of average daily net assets of 1.40%, 1.70%, and 2.40%, respectively (excluding acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes). There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2020. For more detailed review of fund expenses, please refer to the prospectus by visiting www.orindafunds.com.
DISTRIBUTION RATE as of 6/30/2019 |
Distribution rate is calculated by dividing the current distribution paid for the quarter (annualized at a quarterly rate) by the NAV at 6/30/19. The Fund’s distribution rate includes a return of capital component. The 30-Day SEC yield is based on a 30-day period and is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.
Market Outlook
The fourth quarter of 2018 saw a widespread sell-off of risk assets as markets judged the global economy to be weakening and monetary policy to have finally tightened enough to choke off the longest economic recovery on record. Both risky bonds and stocks cheapened significantly in the ensuing flight to quality. A rhetorical policy shift signaled in the Fed’s December meeting changed the outlook significantly, paving the way for the re-ignition of risk sentiment in 2019. Globally, central banks followed suit, pushing the policy environment to unequivocal accommodation for the first time since the current rate hiking cycle began in late 2015.
The first half of 2019 marked one of the broadest, strongest rallies across nearly all asset classes in a decade. After a much-anticipated Fed rate cut in July, President Trump surprised markets by threatening new China tariffs. Risky asset markets declined in response to this development. The S&P 500 Index was down nearly 2% for the month of August 2019, which constituted the worst August in four years. The Fed followed up with another 25 basis point rate cut in September, though a number of Federal Open Market Committee members dissented, perhaps tacitly agreeing with former New York Fed president Bill Dudley’s assertion that monetary policymakers should not enable the president’s trade wars.
International trade flashpoints are nearly impossible to predict. We believe, however, that the fundamental picture for economic growth is far weaker than at this time last year. The 30-year Treasury rate hit an all-time bottom of 1.94% on August 28, 2019, and a closely-watched recession indicator, the spread between 2-year and 10-year rates, turned negative on the day before. Naturally, these dramatic swings in the yield curve partly reflect the influence of technical, momentum factors. But we believe that they also hint at growing unease about the prospects for the economic expansion in this, its eleventh summer.
At the same time as equities were registering new highs, economic fundamentals told a different story. Consistently soft inflation data, a slowdown in company earnings and guidance, and weakening manufacturing Purchasing Managers’ Index numbers (with the U.S. joining the Euro area and Japan in contraction) signaled a downturn in global growth. Headline U.S. GDP numbers remained
2
Orinda Income Opportunities Fund Commentary (Continued)
|
above 3%, but, after stripping out government spending, trade, and inventories, domestic GDP looked tepid at 1%. Likely spooked by the consistently worsening trade narrative, business capital expenditure also slowed. The U.S. economy has been on a tax cuts-fueled sugar high for nearly two years; a return to trend seems inevitable. What markets are debating is whether there will be a “soft landing” or an official recession in the next twelve months.
The employment picture looked marginally better as August payrolls saw modest growth, though July’s strong numbers were revised downward. The U.S. consumer was once again looked to as the primary indicator of the global recovery, but even here there were signs of trouble. Consumer sentiment surveys, typically backward-looking, were beginning to show declining sentiment. In August, the University of Michigan survey of consumers posted its largest decline since December 2012. With less space for monetary stimulus in 2019 than in 2007, one must consider the recession-fighting policy toolbox. With a Fed funds rate of 2%, several measures of yield curve inversion suggest policy is still too tight. Mario Draghi, President of the European Central Bank (“ECB”), is leaving office in September with a new bout of quantitative easing, but there are fewer and fewer German bonds that the ECB does not already own. German 30-year bund rates touched negative in August and more than half of all Eurozone sovereign bonds are currently in negative territory. Corporations and even some Danish homeowners are able to borrow in (nominally) negative terms.
Most forecasters see a 12-month recession probability of 25-to-50%. To our mind, the question is not if, but when. The last time the Fed nailed a soft-landing was in 1994 and the Fed funds rate began that hiking cycle at 3%. The odds in 2020 don’t look as good. We have recently argued that the largest risk to our portfolios is a surprise bounce in inflation numbers and a spring in long rates back to “normalized” levels of 3.5 or 4%. Given trends in demography, business spending, fiscal impulse, and the broader labor market (once wages and hours worked are considered), we believe this scenario has a low probability. Our main market prediction remains the continued gradual “Japanification” of developed markets, including the United States. Thus, over the intermediate term, we take some comfort in investing in rate sensitive areas of the economy, such as real estate and infrastructure, even after the MSCI US REIT Index returned over 20% for the first eight months of 2019. But valuations for defensive assets are very rich across the board. There is little room for a mistake, and recent price action suggests the bond market is vulnerable to a correction. An investment thesis that is predicated on rates continuing to fall may well be correct but is, in our judgment, unnecessarily reckless
Despite these concerns, we believe the valuation picture for risk assets is shakier now than it was heading into 2019. A spread of 220 basis points for the ICE BAML U.S. High Yield BB Index is close to an all-time high. The S&P 500’s Cyclically Adjusted Price/Earning Ratio is above 30, just off of its post-crisis high. Markets have settled into a pattern over the last year of steady appreciation, punctuated by sudden reversals. Domestic money market accounts in the U.S. hold $3.5 trillion, and as the Fed lowers rates, some of that capital will certainly need to be spent. Our bet is, as those funds are deployed, investors will continue to favor (very) late cycle assets: utilities, staples, real estate, and parts of the healthcare sector. More importantly, we believe that markets will emphasize areas insulated from trade uncertainty and focus on businesses with highly visible earnings growth, lower levels of debt, and strong interest coverage. The watch phrase for 2020 will be “proceed with caution”.
Paul Gray
Portfolio Manager
The information provided herein represents the opinions of Orinda Asset Management, LLC and is not intended to be a forecast of future events, a guarantee of future results, investment advice or a recommendation to buy or sell any security.
This report is intended for shareholders of the Fund and may not be used as sales literature unless preceded or accompanied by a current prospectus.
The Fund can make short sales of securities, which involves the risk that losses in securities may exceed the original amount invested. The Fund may use leverage which may exaggerate the effect of any increase or decrease in the value of portfolio securities or the set asset value of the Fund, and money borrowed will be subject to interest costs. Investments in smaller and medium companies involve greater risks such as limited liquidity and greater volatility. Investments in foreign securities involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for emerging markets. Investments in debt securities
3
Orinda Income Opportunities Fund COMMENTARY (CONCLUDED)
|
typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund may use certain types of investment derivatives such as futures, forwards, and swaps. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Investments in asset backed and mortgage backed securities include additional risks that investors should be aware of such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. To the extent that a master limited partnership’s (“MLP’s”) interests are all in a particular industry, the MLP will be negatively impacted by economic events adversely impacting that industry. The risks of investing in an MLP are generally those involved in investing in a partnership as opposed to a corporation. Exchange-traded funds (“ETFs”) are typically open-end investment companies that are bought and sold on a national securities exchange. When the Fund invests in an ETF, it will bear additional expenses based on its pro rata share of the ETF’s operating expenses, including the potential duplication of management fees. The risk of owning an ETF generally reflects the risks of owning the underlying securities it holds. Rule 144A securities carry the risk that the trading market may not continue and the Fund might be unable to dispose of these securities promptly or at reasonable prices and might thereby experience difficulty satisfying redemption requirements. The risk exists that the market value of initial public offering (“IPO”) shares will fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, and the small number of shares available for trading and limited information about the issuer. The purchase of IPO shares may involve high transaction costs. IPO shares are subject to market risk and liquidity risk. The Fund is non-diversified, which means that there is no restriction on how much the Fund may invest in the securities of an issuer under the Investment Company Act of 1940. Some of the risks involved in investing in REITs include a general decline in the value of real estate, fluctuations in rental income, changes in interest rates, increases in property taxes, increased operating costs, overbuilding, changes in zoning laws, and changes in consumer demand for real estate.
Fund holdings and sector allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security. Please refer to the Schedule of Investments for a complete listing of Fund holdings.
INDICES / DEFINITIONS
The Bloomberg Barclays Capital U.S. Aggregate Bond Index* is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration U.S. investment grade debt securities.
The S&P 500 Index* is an unmanaged index with no defined investment objective and is comprised of common stocks designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index includes the reinvestment of dividends.
The MSCI U.S. REIT Index* is a free float-adjusted market capitalization weighted index that is comprised of equity Real Estate Investment Trusts (REITs). The index is based on the MSCI USA Investable Market Index (IMI), its parent index, which captures the large, mid and small cap segments of the U.S. market.
The ICE BAML U.S. High Yield BB Index* tracks the performance of US dollar denominated below investment-grade-rated corporate debt publicly issued in the US domestic market. This index includes only securities with a given investment grade rating of BB.
The federal funds rate is the interest rate at which depository institutions (banks and credit unions) lend reserve balances to other depository institutions overnight, on an uncollateralized basis. Yield is the income return on an investment. This refers to the interest or dividends received from a security and is usually expressed annually as a percentage based on the investment’s cost, its current market value or its face value. Basis point is a unit of measure used to describe the percentage change in the value or rate of a financial instrument. One basis point is equivalent to 0.01%. The Purchasing Managers’ Index is an index of the prevailing direction of economic trends in the manufacturing and service sectors. The S&P 500 Cyclically Adjusted Price/Earnings Ratio is a valuation measure usually applied to the S&P 500 equity market. It is defined as the price of a stock divided by the average of ten years of earnings, adjusted for inflation.
Orinda Asset Management, LLC is the investment adviser to the Orinda Income Opportunities Fund, which is distributed by Quasar Distributors, LLC.
* | One cannot invest directly in an index. |
4
Orinda Income Opportunities Fund Performance Data August 31, 2019 (Unaudited) |
Comparison of the change in value of a $100,000 investment in the
Orinda Income Opportunities Fund – Class I and
the Bloomberg Barclays U.S. Aggregate Bond Index
This chart illustrates the performance of a hypothetical $100,000 investment made in the Fund on June 28, 2013, the Fund’s inception date. Returns reflect the reinvestment of dividends and capital gain distributions. Fee waivers are in effect. In the absence of fee waivers, returns would be reduced. The performance data and graph do not reflect the deduction of taxes that a shareholder may pay on dividends, capital gain distributions, or redemption of Fund shares. This chart does not imply any future performance.
Average Annual Total Returns for the Periods ended AUGUST 31, 2019 | |||||
One | Three | Five | Since | ||
Class I Shares (No Load) | 4.17% | 4.00% | 3.52% | 4.38% | |
Bloomberg Barclays U.S. Aggregate Bond Index | 10.17% | 3.09% | 3.34% | 3.56% |
(1) | Inception date of Class I Shares of the Fund was June 28, 2013. |
Until December 31, 2020, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class I Shares of average daily net assets of 1.40% (excluding certain items discussed below). 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 the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2020. The Fund’s expense ratio for the Class I Shares, as stated in the current prospectus, is 1.95%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
5
Orinda Income Opportunities Fund Performance Data (Continued) August 31, 2019 (Unaudited) |
Comparison of the change in value of a $10,000 investment in the
Orinda Income Opportunities Fund – Class A and
the Bloomberg Barclays U.S. Aggregate Bond Index
This chart illustrates the performance of a hypothetical $10,000 investment made in the Fund on June 28, 2013, the Fund’s inception date. Returns reflect the reinvestment of dividends and capital gain distributions. Fee waivers are in effect. In the absence of fee waivers, returns would be reduced. The performance data and graph do not reflect the deduction of taxes that a shareholder may pay on dividends, capital gain distributions, or redemption of Fund shares. This chart does not imply any future performance.
Average Annual Total Returns for the Periods ended AUGUST 31, 2019 | |||||
One | Three | Five | Since | ||
Class A Shares (No Load) | 3.82% | 3.67% | 3.20% | 4.06% | |
Class A Shares (Load) | -1.36% | 1.92% | 2.14% | 3.20% | |
Bloomberg Barclays U.S. Aggregate Bond Index | 10.17% | 3.09% | 3.34% | 3.56% |
(1) | Inception date of Class A Shares of the Fund was June 28, 2013. |
Until December 31, 2020, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class A Shares of average daily net assets of 1.70% (excluding certain items discussed below). 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 the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2020. The Fund’s expense ratio for the Class A Shares, as stated in the current prospectus, is 2.10%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
6
Orinda Income Opportunities Fund Performance Data (CONCLUDED) August 31, 2019 (Unaudited) |
Comparison of the change in value of a $10,000 investment in the
Orinda Income Opportunities Fund – Class D and
the Bloomberg Barclays U.S. Aggregate Bond Index
This chart illustrates the performance of a hypothetical $10,000 investment made in the Fund on September 27, 2013, the Fund’s inception date. Returns reflect the reinvestment of dividends and capital gain distributions. Fee waivers are in effect. In the absence of fee waivers, returns would be reduced. The performance data and graph do not reflect the deduction of taxes that a shareholder may pay on dividends, capital gain distributions, or redemption of Fund shares. This chart does not imply any future performance.
Average Annual Total Returns for the Periods ended AUGUST 31, 2019 | |||||
One | Three | Five | Since | ||
Class D Shares (No Load) | 3.12% | 2.97% | 2.52% | 3.53% | |
Bloomberg Barclays U.S. Aggregate Bond Index | 10.17% | 3.09% | 3.34% | 3.61% |
(1) | Inception date of Class D Shares of the Fund was September 27, 2013. |
Until December 31, 2020, the Adviser has agreed to waive its fees to the extent necessary to maintain annualized expense ratios for the Class D Shares of average daily net assets of 2.40% (excluding certain items discussed below). 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 the Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes. There can be no assurance that the Adviser will continue such waiver for the Fund after December 31, 2020. The Fund’s expense ratio for the Class D Shares, as stated in the current prospectus, is 2.95%.
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 1-855-467-4632.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market capitalization-weighted index, comprised predominately of U.S. traded investment grade bonds with maturities of one year or more. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, and corporate bonds. The index is representative of intermediate duration US investment grade debt securities. It is not possible to invest directly in an index.
7
Orinda Income Opportunities Fund Fund Expense Examples August 31, 2019 (Unaudited) |
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 to August 31, 2019.
ACTUAL EXPENSES
The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and 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 the other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or exchange fees. Therefore, the second section of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning | Ending | Expenses | ANNUALIZED | ACTUAL |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,044.80 | $ 7.99 | 1.55% | 4.48% |
Class A Shares | 1,000.00 | 1,043.50 | 9.53 | 1.85 | 4.35 |
Class D Shares | 1,000.00 | 1,027.15 | 10.90 | 2.55 | 4.00 |
| |||||
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,017.39 | $ 7.88 | 1.55% | N/A |
Class A Shares | 1,000.00 | 1,015.88 | 9.40 | 1.85 | N/A |
Class D Shares | 1,000.00 | 1,012.35 | 12.93 | 2.55 | N/A |
* | Expenses are equal to the Fund’s Class I Shares, Class A Shares and Class D Shares annualized six-month expense ratios for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for the Fund’s respective share classes. |
8
Orinda Income Opportunities Fund Allocation of Portfolio Assets August 31, 2019 (Unaudited) |
Percentages represent market value as a percentage of net assets.
9
Orinda Income Opportunities Fund Schedule of Investments AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Energy - 2.7% | ||||||||
Buckeye Partners LP (a) | 110,000 | $ | 4,513,300 | |||||
Energy Transfer Equity LP (a) | 240,000 | 3,266,400 | ||||||
7,779,700 | ||||||||
Industrials - 0.3% | ||||||||
Macquarie Infrastructure Corp. | 20,000 | 756,400 | ||||||
Real Estate - 0.6% | ||||||||
Brookfield Property Partners LP | 75,000 | 1,412,250 | ||||||
Summit Industrial Income REIT (b) | 50,000 | 485,579 | ||||||
1,897,829 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $10,103,110) | 10,433,929 | |||||||
REITS - 63.3% |
|
| ||||||
Financials - 31.2% | ||||||||
AGNC Investment Corp. - Series C, 7.00% (3 Month LIBOR USD + 5.11%) (a)(c) | 58,526 | 1,542,745 | ||||||
AGNC Investment Corp. - Series D, 6.88% (3 Month LIBOR USD + 4.33%) (c) | 65,000 | 1,702,350 | ||||||
Annaly Capital Management, Inc. - Series F, 6.95% (3 Month LIBOR USD + 4.99%) (a)(c) | 166,503 | 4,274,132 | ||||||
Annaly Capital Management, Inc. - Series G, 6.50% (3 Month LIBOR USD + 4.17%) (c) | 38,970 | 963,728 | ||||||
Annaly Capital Management, Inc. - Series I, 6.75% (3 Month LIBOR USD + 4.99%) (c) | 175,800 | 4,465,320 | ||||||
Apollo Commercial Real Estate Finance, Inc. (a) | 263,244 | 4,883,176 | ||||||
Arbor Realty Trust, Inc. (a) | 301,685 | 3,786,147 | ||||||
ARMOUR Residential REIT, Inc. - Series B, 7.88% | 113,237 | 2,830,925 | ||||||
Blackstone Mortgage Trust, Inc. (a) | 135,000 | 4,698,000 | ||||||
Chimera Investment Corp. - Series A, 8.00% (a) | 106,825 | 2,772,109 | ||||||
Chimera Investment Corp. - Series B, 8.00% (3 Month LIBOR USD + 5.79%) (a)(c) | 121,888 | 3,181,277 | ||||||
Chimera Investment Corp. - Series C, 7.75% (3 Month LIBOR USD + 4.74%) (c) | 135,468 | 3,457,143 | ||||||
Chimera Investment Corp. - Series D, 8.00% (3 Month LIBOR USD + 5.38%) (a)(c) | 146,447 | 3,778,333 | ||||||
Colony Credit Real Estate, Inc. | 116,912 | 1,464,907 | ||||||
Exantas Capital Corp. | 131,448 | 1,473,532 | ||||||
Exantas Capital Corp., 8.63% (3 Month LIBOR USD + 5.93%) (c) | 60,000 | 1,576,800 | ||||||
Granite Point Mortgage Trust, Inc. (a) | 190,000 | 3,475,100 | ||||||
Invesco Mortgage Capital, Inc. - Series C, 7.50% (3 Month LIBOR USD + 5.29%) (c) | 117,639 | 3,126,845 | ||||||
KKR Real Estate Finance Trust, Inc. | 50,000 | 945,500 | ||||||
Ladder Capital Corp. | 3,570 | 59,905 | ||||||
National Retail Properties, Inc. - Series E, 5.70% | 4,965 | 124,721 | ||||||
New Residential Investment Corp. | 265,800 | 3,739,806 | ||||||
New Residential Investment Corp. - Series A, 7.50% (3 Month LIBOR USD + 5.80%) (c) | 113,700 | 3,006,228 | ||||||
New Residential Investment Corp. - Series B, 7.13% (3 Month LIBOR USD + 5.64%) (c) | 118,325 | 2,967,591 | ||||||
New York Mortgage Trust, Inc. - Series B, 7.75% | 1,429 | 35,239 | ||||||
New York Mortgage Trust, Inc. - Series D, 8.00% (3 Month LIBOR USD + 5.70%) (c) | 13,819 | 344,784 | ||||||
Pebblebrook Hotel Trust | 90,000 | 2,427,300 | ||||||
PennyMac Mortgage Investment Trust - Series A, 8.13% (3 Month LIBOR USD + 5.83%) (a)(c) | 88,379 | 2,364,138 | ||||||
PennyMac Mortgage Investment Trust - Series B, 8.00% (3 Month LIBOR USD + 5.99%) (a)(c) | 162,406 | 4,188,451 | ||||||
Ready Capital Corp. | 70,186 | 1,030,331 | ||||||
RLJ Lodging Trust | 30,000 | 486,300 |
The accompanying notes are an integral part of these financial statements.
10
Orinda Income Opportunities Fund Schedule Of Investments (Continued) AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Financials - 31.2% (Continued) | ||||||||
Starwood Property Trust, Inc. | 210,000 | $ | 4,920,300 | |||||
TPG RE Finance Trust, Inc. (a) | 141,200 | 2,740,692 | ||||||
Two Harbors Investment Corp. - Series A, 8.13% (3 Month LIBOR USD + 5.66%) (a)(c) | 77,466 | 2,232,570 | ||||||
Two Harbors Investment Corp. - Series B, 7.63% (3 Month LIBOR USD + 5.35%) (c) | 2,700 | 71,442 | ||||||
Two Harbors Investment Corp. - Series C, 7.25% (3 Month LIBOR USD + 5.01%) (a)(c) | 77,619 | 1,983,165 | ||||||
Two Harbors Investment Corp. - Series D, 7.75% | 5,500 | 140,319 | ||||||
Two Harbors Investment Corp. - Series E, 7.50% (a) | 93,366 | 2,350,022 | ||||||
89,611,373 | ||||||||
Real Estate - 32.1% | ||||||||
American Homes 4 Rent - Series D, 6.50% | 179,399 | 4,960,382 | ||||||
American Homes 4 Rent - Series E, 6.35% | 16,181 | 447,405 | ||||||
American Homes 4 Rent - Series F, 5.88% | 6,029 | 157,598 | ||||||
American Homes 4 Rent - Series G, 5.88% | 5,191 | 139,275 | ||||||
American Homes 4 Rent - Series H, 6.25% | 19,659 | 544,751 | ||||||
Armada Hoffler Properties, Inc. - Series A, 6.75% | 35,000 | 938,350 | ||||||
Ashford Hospitality Trust, Inc. - Series D, 8.45% (a) | 26,695 | 652,960 | ||||||
Ashford Hospitality Trust, Inc. - Series F, 7.38% (a) | 104,645 | 2,168,244 | ||||||
Ashford Hospitality Trust, Inc. - Series H, 7.50% | 158,983 | 3,311,616 | ||||||
Ashford Hospitality Trust, Inc. - Series I, 7.50% (a) | 131,647 | 2,721,143 | ||||||
Bluerock Residential Growth REIT, Inc. (a) | 125,000 | 1,546,250 | ||||||
Bluerock Residential Growth REIT, Inc. - Series C, 7.65% | 6,174 | 162,189 | ||||||
Bluerock Residential Growth REIT, Inc. - Series D, 7.13% | 53,500 | 1,364,464 | ||||||
Braemar Hotels & Resorts, Inc. - Series D, 8.25% | 33,300 | 864,405 | ||||||
Brookfield Property REIT, Inc. | 20,000 | 376,400 | ||||||
Brookfield Property REIT, Inc., 6.38% | 7,955 | 204,046 | ||||||
City Office REIT, Inc. - Series A, 6.63% | 76,926 | 1,983,922 | ||||||
Colony Capital, Inc. - Series B, 8.25% | 31,342 | 773,521 | ||||||
Colony Capital, Inc. - Series E, 8.75% (a) | 183,484 | 4,570,586 | ||||||
Colony Capital, Inc. - Series G, 7.50% | 30,346 | 696,744 | ||||||
Colony Capital, Inc. - Series H, 7.13% (a) | 167,228 | 3,585,368 | ||||||
Colony Capital, Inc. - Series I, 7.15% (a) | 136,860 | 2,967,125 | ||||||
Colony Capital, Inc. - Series J, 7.13% | 141,048 | 3,049,458 | ||||||
Digital Realty Trust, Inc. - Series G, 5.88% | 21,600 | 549,504 | ||||||
Digital Realty Trust, Inc. - Series K, 5.85% | 50,000 | 1,373,500 | ||||||
Global Medical REIT, Inc. - Series A, 7.50% (a) | 10,000 | 266,310 | ||||||
Global Net Lease, Inc. - Series A, 7.25% (a) | 122,780 | 3,138,257 | ||||||
Hersha Hospitality Trust - Series E, 6.50% (a) | 80,892 | 2,027,154 | ||||||
Independence Realty Trust, Inc. (a) | 93,808 | 1,304,869 | ||||||
Investors Real Estate Trust - Series C, 6.63% (a) | 67,500 | 1,760,690 | ||||||
Iron Mountain, Inc. | 115,000 | 3,662,750 | ||||||
iStar, Inc. - Series D, 8.00% (a) | 103,258 | 2,677,480 | ||||||
iStar, Inc. - Series I, 7.50% | 55,000 | 1,414,600 | ||||||
Jernigan Capital, Inc. - Series B, 7.00% | 11,800 | 306,564 | ||||||
Kimco Realty Corp. - Series K, 5.63% | 567 | 14,288 | ||||||
Kimco Realty Corp. - Series L, 5.13% | 5,000 | 125,950 | ||||||
Kimco Realty Corp. - Series M, 5.25% | 5,602 | 143,635 | ||||||
Macerich Co. (The) | 50,000 | 1,426,500 |
The accompanying notes are an integral part of these financial statements.
11
Orinda Income Opportunities Fund Schedule Of Investments (Continued) AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Real Estate - 32.1% (Continued) | ||||||||
Medical Properties Trust, Inc. | 40,000 | $ | 743,600 | |||||
Monmouth Real Estate Investment Corp. - Series C, 6.13% | 80,202 | 1,997,030 | ||||||
National Health Investors, Inc. | 5,000 | 414,800 | ||||||
National Retail Properties, Inc. - Series F, 5.20% | 6,617 | 166,815 | ||||||
National Storage Affiliates Trust - Series A, 6.00% | 99,086 | 2,597,044 | ||||||
Office Properties Income Trust, 5.88% | 14,627 | 380,009 | ||||||
Pebblebrook Hotel Trust - Series C, 6.50% | 10,282 | 263,836 | ||||||
Pebblebrook Hotel Trust - Series E, 6.38% | 48,380 | 1,234,174 | ||||||
Pennsylvania Real Estate Investment Trust | 290,000 | 1,490,600 | ||||||
Pennsylvania Real Estate Investment Trust - Series B, 7.38% | 2,048 | 40,550 | ||||||
Pennsylvania Real Estate Investment Trust - Series C, 7.20% | 18,430 | 342,982 | ||||||
QTS Realty Trust, Inc. - Series A, 7.13% | 88,528 | 2,401,765 | ||||||
QTS Realty Trust, Inc. - Series B, 6.50% | 10,085 | 1,188,820 | ||||||
Rexford Industrial Realty, Inc. - Series A, 5.88% | 40,800 | 1,066,920 | ||||||
Rexford Industrial Realty, Inc. - Series B, 5.88% | 2,600 | 70,148 | ||||||
RLJ Lodging Trust - Series A, 1.95% | 177,477 | 4,797,203 | ||||||
Saul Centers, Inc. - Series C, 6.88% | 5,000 | 126,950 | ||||||
Seritage Growth Properties - Series A, 7.00% | 56,000 | 1,422,366 | ||||||
Simon Property Group, Inc. | 12,000 | 1,787,280 | ||||||
SL Green Realty Corp. - Series I, 6.50% | 4,406 | 113,366 | ||||||
Spirit Realty Capital, Inc. - Series A, 6.00% | 3,000 | 76,320 | ||||||
Summit Hotel Properties, Inc. | 24,100 | 268,956 | ||||||
Summit Hotel Properties, Inc. - Series E, 6.25% | 45,125 | 1,184,531 | ||||||
Sunstone Hotel Investors, Inc. - Series E, 6.95% | 40,000 | 1,068,400 | ||||||
UMH Properties, Inc. - Series C, 6.75% | 70,300 | 1,834,830 | ||||||
UMH Properties, Inc. - Series D, 6.38% (a) | 73,964 | 1,870,550 | ||||||
VEREIT, Inc. | 205,000 | 1,998,750 | ||||||
Vornado Realty Trust - Series L, 5.40% | 17,874 | 455,430 | ||||||
Vornado Realty Trust - Series M, 5.25% | 13,018 | 333,391 | ||||||
Washington Prime Group, Inc. | 350,000 | 1,130,500 | ||||||
Washington Prime Group, Inc. - Series H, 7.50% | 27,475 | 580,822 | ||||||
Washington Real Estate Investment Trust | 10,000 | 264,900 | ||||||
WPT Industrial Real Estate Investment Trust (b) | 12,300 | 170,478 | ||||||
92,262,369 | ||||||||
TOTAL REITS | ||||||||
(Cost $173,533,337) | 181,873,742 | |||||||
PREFERRED STOCKS - 30.9% |
|
| ||||||
Consumer Discretionary - 0.9% | ||||||||
Ford Motor Co., 6.20% | 90,000 | 2,472,300 | ||||||
Energy - 9.5% | ||||||||
Crestwood Equity Partners LP, 9.25% | 360,000 | 3,312,000 | ||||||
DCP Midstream LP - Series B, 7.88% (3 Month LIBOR USD + 4.92%) (a)(c) | 95,000 | 2,282,850 | ||||||
DCP Midstream LP - Series C, 7.95% (3 Month LIBOR USD + 4.88%) (c) | 4,800 | 115,200 |
The accompanying notes are an integral part of these financial statements.
12
Orinda Income Opportunities Fund Schedule Of Investments (Continued) AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Energy - 9.5% (Continued) | ||||||||
Energy Transfer Operating LP - Series C, 7.38% (3 Month LIBOR USD + 4.53%) (a)(c) | 149,605 | $ | 3,590,520 | |||||
Energy Transfer Operating LP - Series D, 7.63% (3 Month LIBOR USD + 4.74%) (a)(c) | 180,918 | 4,432,491 | ||||||
Energy Transfer Operating LP - Series E, 7.60% (3 Month LIBOR USD + 5.16%)(c) | 36,500 | 911,770 | ||||||
GasLog Partners LP - Series A, 8.63% (3 Month LIBOR USD + 6.31%) (a)(c) | 41,500 | 1,053,270 | ||||||
GasLog Partners LP - Series B, 8.20% (3 Month LIBOR USD + 5.84%) (a)(c) | 46,000 | 1,104,681 | ||||||
GasLog Partners LP - Series C, 8.50% (3 Month LIBOR USD + 5.32%) (c) | 25,000 | 604,750 | ||||||
NGL Energy Partners LP - Series B, 9.00% (3 Month LIBOR USD + 7.21%) (c) | 99,760 | 2,513,952 | ||||||
NuStar Energy LP - Series A, 8.50% (3 Month LIBOR USD + 6.77%) (a)(c) | 60,000 | 1,384,800 | ||||||
NuStar Energy LP - Series B, 7.63% (3 Month LIBOR USD + 5.64%) (a)(c) | 25,000 | 516,000 | ||||||
NuStar Energy LP - Series C, 9.00% (3 Month LIBOR USD + 6.88%) (a)(c) | 50,000 | 1,186,000 | ||||||
Teekay LNG Partners LP - Series B, 8.50% (3 Month LIBOR USD + 6.24%) (a)(c) | 103,714 | 2,616,704 | ||||||
Tsakos Energy Navigation Ltd. - Series E, 9.25% (3 Month LIBOR USD + 6.88%) (c) | 19,100 | 412,835 | ||||||
Tsakos Energy Navigation Ltd. - Series F, 9.50% (T-BILL 1MO + 6.54%) (c) | 59,256 | 1,305,410 | ||||||
27,343,233 | ||||||||
Financials - 11.7% | ||||||||
Affiliated Managers Group, Inc., 5.88% | 61,493 | 1,649,242 | ||||||
AG Mortgage Investment Trust, Inc. - Series A, 8.25% | 11,000 | 283,800 | ||||||
AG Mortgage Investment Trust, Inc. - Series B, 8.00% | 41,819 | 1,088,130 | ||||||
AGNC Investment Corp. - Series B, 7.75% (a) | 60,491 | 1,544,335 | ||||||
American International Group, Inc. - Series A, 5.85% | 26,920 | 740,031 | ||||||
Annaly Capital Management, Inc. - Series D, 7.50% | 37,684 | 950,767 | ||||||
Arbor Realty Trust, Inc. - Series A, 8.25% | 24,800 | 642,025 | ||||||
Arbor Realty Trust, Inc. - Series B, 7.75% | 18,323 | 470,535 | ||||||
Arbor Realty Trust, Inc. - Series C, 8.50% (a) | 27,810 | 733,628 | ||||||
Athene Holding Ltd. - Series A, 6.35% (3 Month LIBOR USD + 4.25%)(c) | 40,000 | 1,137,200 | ||||||
Bank of America Corp. - Series KK, 5.38% | 82,000 | 2,163,160 | ||||||
Capstead Mortgage Corp. - Series E, 7.50% | 45,293 | 1,155,425 | ||||||
Carlyle Group (The), LP - Series A, 5.88% | 52,452 | 1,328,085 | ||||||
Cowen, Inc., 7.35% | 40,000 | 1,038,000 | ||||||
GMAC Capital Trust I - Series 2, 7.94% (3 Month LIBOR USD + 5.79%) (c) | 110,000 | 2,882,000 | ||||||
Invesco Mortgage Capital, Inc. - Series A, 7.75% (a) | 77,700 | 2,059,050 | ||||||
Invesco Mortgage Capital, Inc. - Series B, 7.75% (3 Month LIBOR USD + 5.18%) (a)(c) | 152,692 | 4,220,407 | ||||||
KeyCorp - Series G, 5.63% | 50,000 | 1,344,000 | ||||||
Merchants Bancorp/IN - Series B, 6.00% (3 Month LIBOR USD + 4.57%) (c) | 30,000 | 776,400 | ||||||
MFA Financial, Inc. - Series B, 7.50% (a) | 75,737 | 1,929,021 | ||||||
Oaktree Capital Group LLC - Series B, 6.55% | 60,000 | 1,579,800 | ||||||
Ready Capital Corp., 7.00% | 49,941 | 1,335,422 | ||||||
Voya Financial, Inc. - Series B, 5.35% (5 Year CMT Rate + 3.21%) (c) | 65,000 | 1,778,400 | ||||||
Wells Fargo Real Estate Investment Group - Series A, 6.38% | 30,374 | 775,752 | ||||||
33,604,615 | ||||||||
Industrials - 0.7% | ||||||||
Seaspan Corp. - Series H, 7.88% | 44,575 | 1,115,266 | ||||||
Seaspan Corp. - Series I, 8.00% (3 Month LIBOR USD + 5.01%) (c) | 30,000 | 765,600 | ||||||
1,880,866 | ||||||||
Real Estate - 6.7% | ||||||||
Ashford Hospitality Trust, Inc. - Series G, 7.38% (a) | 160,776 | 3,323,240 | ||||||
Bluerock Residential Growth REIT, Inc. - Series A, 8.25% | 67,991 | 1,816,720 |
The accompanying notes are an integral part of these financial statements.
13
Orinda Income Opportunities Fund Schedule Of Investments (Continued) AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Real Estate - 6.7% (Continued) | ||||||||
Brookfield Property Partners LP - Series A-1, 6.50% | 60,200 | $ | 1,559,180 | |||||
Brookfield Property Partners LP - Series A-2, 6.38% | 35,000 | 900,200 | ||||||
Hersha Hospitality Trust - Series D, 6.50% | 80,424 | 1,990,494 | ||||||
iStar, Inc. - Series G, 7.65% | 53,525 | 1,370,775 | ||||||
Landmark Infrastructure Partners LP - Series B, 7.90% | 51,884 | 1,354,172 | ||||||
Summit Hotel Properties, Inc. - Series D, 6.45% | 12,079 | 314,658 | ||||||
UMH Properties, Inc. - Series B, 8.00% (a) | 40,190 | 1,037,304 | ||||||
VEREIT, Inc. - Series F, 6.70% (a) | 220,782 | 5,565,914 | ||||||
19,232,657 | ||||||||
Utilities - 1.4% | ||||||||
CMS ENERGY Corp., 5.88% | 25,000 | 688,500 | ||||||
Sempra Energy, 5.75% | 130,000 | 3,484,000 | ||||||
4,172,500 | ||||||||
TOTAL PREFERRED STOCKS | ||||||||
(Cost $84,078,859) | 88,706,171 | |||||||
CONVERTIBLE PREFERRED STOCKS - 0.9% |
|
| ||||||
Real Estate - 0.9% | ||||||||
CorEnergy Infrastructure Trust, Inc. - Series A, 7.38% | 100,597 | 2,654,755 | ||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | ||||||||
(Cost $2,501,118) | 2,654,755 | |||||||
| PRINCIPAL | |||||||
CSAIL 2018-C14 Commercial Mortgage Trust, 3.954%, 11/17/2051 (d) | $ | 2,000,000 | 1,592,212 | |||||
TOTAL MORTGAGE BACKED SECURITIES | ||||||||
(Cost $1,513,216) | 1,592,212 | |||||||
CORPORATE BONDS - 0.7% |
|
| ||||||
Financials - 0.5% | ||||||||
Goldman Sachs Group Inc. (The), 5.50% (5 Year CMT Rate + 3.62%), 08/10/2168 (c) | 500,000 | 524,360 | ||||||
Lloyds Banking Group Plc, 6.75% (5 Year CMT Rate + 4.82%), 12/27/2166 (b)(c) | 1,000,000 | 1,015,000 | ||||||
1,539,360 | ||||||||
Real Estate - 0.2% | ||||||||
CBL & Associates Properties, Inc., 5.25%, 12/02/2023 | ||||||||
1,000,000 | 640,000 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Cost $2,397,534) | 2,179,360 | |||||||
The accompanying notes are an integral part of these financial statements.
14
Orinda Income Opportunities Fund Schedule Of Investments (Concluded) AUGUST 31, 2019 |
| NUMBER of |
| ||||||
iShares Preferred & Income Securities ETF | 100,000 | $ | 3,741,000 | |||||
NETLease Corporate Real Estate ETF | 15,000 | 411,485 | ||||||
Vanguard Real Estate ETF | 50,000 | 4,611,000 | ||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $8,705,724) | 8,763,485 | |||||||
CLOSED-END MUTUAL FUNDS - 3.3% |
|
| ||||||
Brookfield Real Assets Income Fund, Inc. | 100,098 | 2,233,187 | ||||||
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. | 46,243 | 1,170,410 | ||||||
Cohen & Steers REIT and Preferred and Income Fund, Inc. | 6,654 | 156,635 | ||||||
Cohen & Steers Select Preferred and Income Fund, Inc. | 30,425 | 894,799 | ||||||
Nuveen Preferred Income Opportunities Fund (a) | 324,500 | 3,225,530 | ||||||
Oaktree Specialty Lending Corp. | 359,200 | 1,864,248 | ||||||
TOTAL CLOSED-END MUTUAL FUNDS | ||||||||
(Cost $8,582,805) | 9,544,809 | |||||||
PURCHASED OPTIONS - 0.1% | CONTRACTS |
| ||||||
Put Options - 0.1% | ||||||||
CorEnergy Infrastructure Trust, Inc., Expires 9/20/2019, Strike Price $50.00 | 500 | 240,000 | ||||||
TOTAL PURCHASED OPTIONS | ||||||||
(Cost $171,021) | 240,000 | |||||||
| NUMBER OF | |||||||
First American Treasury Obligations Fund, 2.02% (e) | 172,800 | 172,800 | ||||||
TOTAL SHORT TERM INVESTMENTS | ||||||||
(Cost $172,800) | 172,800 | |||||||
TOTAL INVESTMENTS | ||||||||
(Cost $291,759,524) - 106.6% | 306,161,263 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (6.6)% | (18,903,690 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 287,257,573 |
Percentages are stated as a percent of net assets.
(a) | All or a portion of the security has been segregated for open short positions. |
(b) | U.S. traded security of a foreign issuer or corporation. |
(c) | Variable Rate Security. The rate shown represents the rate at August 31, 2019. |
(d) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. As of August 31, 2019 the total market value of Rule 144A securities was $1,592,212 and represents 0.6% of net assets. |
(e) | Seven-day yield as of August 31, 2019. |
Industry classifications may be different than those used for compliance monitoring purposes.
The accompanying notes are an integral part of these financial statements.
15
Orinda Income Opportunities Fund Schedule of Securities Sold Short AUGUST 31, 2019 |
| NUMBER of |
| ||||||
Finance and Insurance - (1.8%) | ||||||||
iShares Mortgage Real Estate ETF | (126,210) | $ | (5,098,884 | ) | ||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Proceeds $5,206,176) | (5,098,884 | ) | ||||||
REITS - (1.3%) |
|
| ||||||
Financials - (0.8%) | ||||||||
Ashford Hospitality Trust, Inc. | (330,000) | (924,000 | ) | |||||
CorEnergy Infrastructure Trust, Inc. | (32,010) | (1,443,971 | ) | |||||
(2,367,971 | ) | |||||||
Real Estate - (0.5%) | ||||||||
Seritage Growth Properties | (38,668) | (1,511,532 | ) | |||||
TOTAL REITS | ||||||||
(Proceeds $3,820,886) | (3,879,503 | ) | ||||||
TOTAL SECURITIES SOLD SHORT | ||||||||
(Proceeds $9,027,062) - (3.1%) | $ | (8,978,387 | ) |
The accompanying notes are an integral part of these financial statements.
16
Orinda Income Opportunities Fund Statement of Assets and Liabilities AUGUST 31, 2019 |
ASSETS | ||||
Investments in securities, at value (cost $291,586,724) | $ | 305,988,463 | ||
Short-term investments, at value (cost $172,800) | 172,800 | |||
Receivables for: | ||||
Deposit at brokers | 15,563,167 | |||
Dividends and interest | 1,503,802 | |||
Capital shares sold | 325,198 | |||
Investments sold | 216,629 | |||
Return of capital | 187,139 | |||
Prepaid expenses and other assets | 61,949 | |||
Total assets | 324,019,147 | |||
LIABILITIES | ||||
Securities sold short, at fair value (proceeds $9,027,062) | 8,978,387 | |||
Payables for: | ||||
Loans payable | 25,629,936 | |||
Investments purchased | 1,487,293 | |||
Advisory fees | 241,352 | |||
Capital shares redeemed | 202,451 | |||
Distribution and service fees | 90,111 | |||
Other accrued expenses and liabilities | 132,044 | |||
Total liabilities | 36,761,574 | |||
Net assets | 287,257,573 | |||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 13,179 | ||
Paid-in capital | 299,793,569 | |||
Total distributable earnings/(loss) | (12,549,175 | ) | ||
Net assets | $ | 287,257,573 |
The accompanying notes are an integral part of these financial statements.
17
Orinda Income Opportunities Fund Statement of Assets And Liabilities (Concluded) AUGUST 31, 2019 |
CLASS I SHARES: | ||||
Net assets | $ | 206,355,215 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 9,453,520 | |||
Net asset value and redemption price per share | $ | 21.83 | ||
CLASS A SHARES: | ||||
Net assets | $ | 62,963,216 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 2,892,156 | |||
Net asset value and redemption price per share | $ | 21.77 | ||
Maximum offering price per share (net asset value divided by 95.00%) | $ | 22.92 | ||
CLASS D SHARES: | ||||
Net assets | $ | 17,939,142 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 833,715 | |||
Net asset value and redemption price per share | $ | 21.52 |
The accompanying notes are an integral part of these financial statements.
18
Orinda Income Opportunities Fund Statement of Operations For the Year Ended AUGUST 31, 2019 |
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $6,713) | $ | 15,551,885 | ||
Interest income | 401,022 | |||
Total investment income | 15,952,907 | |||
EXPENSES | ||||
Advisory fees (Note 2) | $ | 2,582,065 | ||
Interest expense | 1,112,482 | |||
Transfer agent fees (Note 2) | 205,838 | |||
Distribution fees - Class D Shares | 189,780 | |||
Distribution fees - Class A Shares | 133,192 | |||
Dividend expense on securities sold-short | 166,218 | |||
Administration and accounting fees (Note 2) | 106,758 | |||
Legal fees | 94,988 | |||
Printing and shareholder reporting fees | 64,463 | |||
Registration and filing fees | 64,025 | |||
Shareholder service fees - Class I Shares | 60,490 | |||
Shareholder service fees - Class A Shares | 20,404 | |||
Shareholder services fee - Class D Shares | 6,567 | |||
Officer fees | 48,972 | |||
Custodian fees (Note 2) | 33,177 | |||
Audit and tax service fees | 25,593 | |||
Director fees | 20,289 | |||
Other expenses | 13,987 | |||
Total expenses | 4,949,288 | |||
Net investment income/(loss) | $ | 11,003,619 | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from: | ||||
Investments | $ | (4,152,270 | ) | |
Purchased options | (474,841 | ) | ||
Foreign currency | (30 | ) | ||
Securities sold short | (357,953 | ) | ||
Written options | 299,407 | |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investments | 4,015,493 | |||
Purchased options | 68,979 | |||
Foreign currency | (47 | ) | ||
Securities sold short | 618,141 | |||
Written options | 8,802 | |||
Net realized and unrealized gain/(loss) from investments | 25,681 | |||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 11,029,300 |
The accompanying notes are an integral part of these financial statements.
19
Orinda Income Opportunities Fund Statements of Changes in Net Assets |
Year Ended | Year ended | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 11,003,619 | $ | 10,257,218 | ||||
Net realized gain/(loss) from investments | (4,685,687 | ) | 366,380 | |||||
Net change in unrealized appreciation/(depreciation) on investments | 4,711,368 | (6,832,121 | ) | |||||
Net increase/(decrease) in net assets resulting from operations | 11,029,300 | 3,791,477 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | ||||||||
Class I Shares | (9,733,463 | ) | (9,743,270 | ) | ||||
Class A Shares | (2,571,480 | ) | (3,521,733 | ) | ||||
Class D Shares | (857,891 | ) | (901,477 | ) | ||||
Return of Capital | ||||||||
Class I Shares | (3,102,273 | ) | (3,841,630 | ) | ||||
Class A Shares | (859,712 | ) | (1,512,445 | ) | ||||
Class D Shares | (325,181 | ) | (429,227 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (17,450,000 | ) | (19,949,782 | ) | ||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 85,831,269 | 87,993,743 | ||||||
Reinvestment of distributions | 11,254,854 | 11,829,623 | ||||||
Shares redeemed | (78,486,579 | ) | (91,103,369 | ) | ||||
Total from Class I Shares | 18,599,544 | 8,719,997 | ||||||
Class A Shares | ||||||||
Proceeds from shares sold | 46,532,905 | 38,525,832 | ||||||
Reinvestment of distributions | 2,657,581 | 4,713,495 | ||||||
Shares redeemed | (31,708,424 | ) | (103,727,248 | ) | ||||
Total from Class A Shares | 17,482,062 | (60,487,921 | ) | |||||
Class D Shares | ||||||||
Proceeds from shares sold | 3,124,304 | 2,988,921 | ||||||
Reinvestment of distributions | 792,806 | 1,049,718 | ||||||
Shares redeemed | (5,784,042 | ) | (4,832,896 | ) | ||||
Total from Class D Shares | (1,866,932 | ) | (794,257 | ) | ||||
Net increase/(decrease) in net assets from capital share transactions | 34,214,674 | (52,562,181 | ) | |||||
Total increase/(decrease) in net assets | 27,793,974 | (68,720,486 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 259,463,599 | 328,184,085 | ||||||
End of period | $ | 287,257,573 | $ | 259,463,599 |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 8 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders were $(14,166,480) of net investment income and $ (5,783,302) of net return of capital during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $(68,353). |
The accompanying notes are an integral part of these financial statements.
20
Orinda Income Opportunities Fund Statements Of Changes in Net Assets (Concluded) |
Year Ended | year ended | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 4,033,999 | 3,923,521 | ||||||
Dividends and distributions reinvested | 537,883 | 531,446 | ||||||
Shares redeemed | (3,703,738 | ) | (4,124,638 | ) | ||||
Net increase/(decrease) | 868,144 | 330,329 | ||||||
Class A Shares | ||||||||
Shares sold | 2,227,152 | 1,709,837 | ||||||
Dividends and distributions reinvested | 126,349 | 209,201 | ||||||
Shares redeemed | (1,499,752 | ) | (4,704,402 | ) | ||||
Net increase/(decrease) | 853,749 | (2,785,364 | ) | |||||
Class D Shares | ||||||||
Shares sold | 147,051 | 135,346 | ||||||
Dividends and distributions reinvested | 38,364 | 47,747 | ||||||
Shares redeemed | (273,788 | ) | (221,741 | ) | ||||
Net increase/(decrease) | (88,373 | ) | (38,648 | ) | ||||
Net increase/(decrease) in shares outstanding | 1,633,520 | (2,493,683 | ) |
The accompanying notes are an integral part of these financial statements.
21
Orinda Income Opportunities Fund Statement of Cash Flows |
Year Ended | ||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
Net increase/(decrease) in net assets resulting from operations | $ | 11,029,300 | ||
Adjustments to reconcile net increase/(decrease) in net assets from operations to net cash used in operating activities: | ||||
Purchases of investments | (400,868,204 | ) | ||
Purchases to cover securities sold short | (265,849,393 | ) | ||
Written options closed or exercised | (10,869 | ) | ||
Proceeds from sales of long-term investments | 364,924,724 | |||
Proceeds from securities sold short | 257,807,414 | |||
Premiums received on written options | 310,276 | |||
Purchases of short-term investments, net | 8,817,429 | |||
Return of capital and capital gain distributions received from underlying investments | 8,820,251 | |||
Proceeds from litigation income | 44,757 | |||
Amortization and accretion of premium and discount | (28,584 | ) | ||
Net realized gain/(loss) on investments | 4,152,231 | |||
Net realized gain/(loss) on purchased options | 474,841 | |||
Net realized gain/(loss) on short transactions | 357,953 | |||
Net realized gain/(loss) on written options | (299,407 | ) | ||
Net realized gain/(loss) on foreign currency translation | 30 | |||
Change in unrealized appreciation/(depreciation) on investments | (4,015,493 | ) | ||
Change in unrealized appreciation/(depreciation) on purchased options | (68,979 | ) | ||
Change in unrealized appreciation/(depreciation) on foreign currency | 47 | |||
Change in unrealized appreciation/(depreciation) on short transactions | (618,141 | ) | ||
Change in unrealized appreciation/(depreciation) on written options | (8,802 | ) | ||
Increases/(decreases) in operating assets: | ||||
Increase/(decrease) in dividends and interest receivable | (624,332 | ) | ||
Increase/(decrease) in deposits at broker for short sales | 8,210,653 | |||
Increase/(decrease) in receivable for investment securities sold | (86,482 | ) | ||
Increase/(decrease) in prepaid expenses and other assets | (24,176 | ) | ||
Increases/(decreases) in operating liabilities: | ||||
Increase/(decrease) in payable for investment securities purchased | 1,428,109 | |||
Increase/(decrease) in payable to advisor | 23,067 | |||
Increase/(decrease) in payable for distribution and service fees | (68,568 | ) | ||
Increase/(decrease) in other accrued expenses | 9,140 | |||
Net cash used in operating activities | (6,161,208 | ) | ||
CASH FLOWS FROM FINANCING ACTIVITIES: | ||||
Proceeds from shares sold | 135,913,516 | |||
Payment on shares redeemed | (115,967,917 | ) | ||
Cash distributions paid to shareholders | (2,744,759 | ) | ||
Increase/(decrease) in loan payable | (11,039,632 | ) | ||
Net cash provided by financing activities | 6,161,208 | |||
Net change in cash | — | |||
CASH: | ||||
Beginning balance | — | |||
Ending balance | $ | — |
The accompanying notes are an integral part of these financial statements.
22
Orinda Income Opportunities Fund Statement Of Cash Flows (concluded) |
Year Ended | ||||
SUPPLEMENTAL DISCLOSURES: | ||||
Cash paid for interest | $ | 1,112,482 | ||
Non-cash financing activities - distributions reinvested | 14,705,241 | |||
Non-cash financing activities - increase/(decrease) in receivable for Fund shares sold | (425,038 | ) | ||
Non-cash financing activities - increase/(decrease) in payable for Fund shares redeemed | 11,128 |
The accompanying notes are an integral part of these financial statements.
23
Orinda Income Opportunities Fund Financial Highlights |
For a capital share outstanding throughout the period
CLASS I SHARES | ||||||||||||||||||||||||
Year Ended | Year Ended | Six Months | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Net asset value – Beginning of period | $ | 22.50 | $ | 23.42 | $ | 23.66 | $ | 21.36 | $ | 25.29 | $ | 25.60 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income/(loss)(1) | 0.95 | 0.86 | 0.63 | 1.10 | 0.99 | 1.15 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.12 | ) | (0.17 | ) | (0.02 | ) | 2.90 | (3.36 | ) | 0.12 | ||||||||||||||
Total from investment operations | 0.83 | 0.69 | 0.61 | 4.00 | (2.37 | ) | 1.27 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (1.14 | ) | (1.15 | ) | (0.63 | ) | (1.10 | ) | (1.02 | ) | (1.39 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
Return of capital | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.60 | ) | (0.54 | ) | (0.18 | ) | ||||||||||||
Total distributions | (1.50 | ) | (1.61 | ) | (0.85 | ) | (1.70 | ) | (1.56 | ) | (1.58 | ) | ||||||||||||
Net asset value – End of period | $ | 21.83 | $ | 22.50 | $ | 23.42 | $ | 23.66 | $ | 21.36 | $ | 25.29 | ||||||||||||
Total return/(loss) | 4.17 | % | 3.24 | % | 2.62 | %(4) | 19.29 | % | (9.81 | )% | 5.08 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 206,355 | $ | 193,184 | $ | 193,361 | $ | 180,360 | $ | 121,400 | $ | 151,017 | ||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 1.79 | % | 1.92 | % | 1.82 | %(5) | 2.01 | % | 1.85 | % | 1.64 | % | ||||||||||||
After Recoupments/Reimbursements | 1.79 | % | 1.92 | % | 1.82 | %(5) | 2.01 | % | 1.84 | % | 1.70 | % | ||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.50 | % | 0.63 | % | 0.55 | %(5) | 0.68 | % | 0.49 | % | 0.27 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 4.43 | % | 3.83 | % | 5.33 | %(5) | 4.68 | % | 4.21 | % | 4.71 | % | ||||||||||||
After Recoupments/Reimbursements | 4.43 | % | 3.83 | % | 5.33 | %(5) | 4.68 | % | 4.22 | % | 4.65 | % | ||||||||||||
Portfolio turnover rate | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % | 185 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
24
Orinda Income Opportunities Fund Financial Highlights (Continued) |
For a capital share outstanding throughout the period
CLASS A SHARES | ||||||||||||||||||||||||
Year Ended | Year Ended | Six Months | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Net asset value – Beginning of period | $ | 22.46 | $ | 23.33 | $ | 23.58 | $ | 21.31 | $ | 25.25 | $ | 25.57 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income/(loss)(1) | 0.85 | 0.77 | 0.59 | 1.03 | 0.93 | 0.97 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.10 | ) | (0.14 | ) | (0.02 | ) | 2.88 | (3.37 | ) | 0.22 | ||||||||||||||
Total from investment operations | 0.75 | 0.63 | 0.57 | 3.91 | (2.44 | ) | 1.19 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (1.08 | ) | (1.04 | ) | (0.60 | ) | (1.04 | ) | (0.96 | ) | (1.32 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
Return of capital | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.60 | ) | (0.54 | ) | (0.18 | ) | ||||||||||||
Total distributions | (1.44 | ) | (1.50 | ) | (0.82 | ) | (1.64 | ) | (1.50 | ) | (1.51 | ) | ||||||||||||
Net asset value – End of period | $ | 21.77 | $ | 22.46 | $ | 23.33 | $ | 23.58 | $ | 21.31 | $ | 25.25 | ||||||||||||
Total return/(loss) | 3.82 | % | 2.94 | % | 2.49 | %(4) | 18.90 | % | (10.09 | )% | 4.79 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 62,963 | $ | 45,783 | $ | 112,549 | $ | 101,270 | $ | 66,375 | $ | 74,834 | ||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 2.04 | % | 2.07 | % | 2.12 | %(5) | 2.29 | % | 2.15 | % | 1.96 | % | ||||||||||||
After Recoupments/Reimbursements | 2.04 | % | 2.07 | % | 2.12 | %(5) | 2.29 | % | 2.15 | % | 2.00 | % | ||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.46 | % | 0.51 | % | 0.55 | %(5) | 0.66 | % | 0.48 | % | 0.28 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 3.96 | % | 3.37 | % | 5.03 | %(5) | 4.34 | % | 3.97 | % | 4.53 | % | ||||||||||||
After Recoupments/Reimbursements | 3.96 | % | 3.37 | % | 5.03 | %(5) | 4.34 | % | 3.97 | % | 4.49 | % | ||||||||||||
Portfolio turnover rate | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % | 185 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
25
Orinda Income Opportunities Fund Financial Highlights (CONCLUDED) |
For a capital share outstanding throughout the period
CLASS D SHARES | ||||||||||||||||||||||||
Year Ended | Year Ended | Six Months | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
Net asset value – Beginning of period | $ | 22.23 | $ | 23.18 | $ | 23.49 | $ | 21.25 | $ | 25.17 | $ | 25.51 | ||||||||||||
Income from Investment Operations: | ||||||||||||||||||||||||
Net investment income/(loss) (1) | 0.73 | 0.63 | 0.51 | 0.87 | 0.82 | 0.92 | ||||||||||||||||||
Net realized and unrealized gain/(loss) on investments | (0.13 | ) | (0.16 | ) | (0.02 | ) | 2.88 | (3.37 | ) | 0.07 | ||||||||||||||
Total from investment operations | 0.60 | 0.47 | 0.49 | 3.75 | (2.55 | ) | 0.99 | |||||||||||||||||
Less Distributions: | ||||||||||||||||||||||||
Dividends from net investment income | (0.95 | ) | (0.96 | ) | (0.58 | ) | (0.90 | ) | (0.83 | ) | (1.14 | ) | ||||||||||||
Distributions from net realized gains | — | — | — | — | — | (0.01 | ) | |||||||||||||||||
Return of capital | (0.36 | ) | (0.46 | ) | (0.22 | ) | (0.61 | ) | (0.54 | ) | (0.18 | ) | ||||||||||||
Total distributions | (1.31 | ) | (1.42 | ) | (0.80 | ) | (1.51 | ) | (1.37 | ) | (1.33 | ) | ||||||||||||
Net asset value – End of period | $ | 21.52 | $ | 22.23 | $ | 23.18 | $ | 23.49 | $ | 21.25 | $ | 25.17 | ||||||||||||
Total return/(loss) | 3.12 | % | 2.23 | % | 2.13 | %(4) | 18.10 | % | (10.56 | )% | 3.97 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 17,939 | $ | 20,497 | $ | 22,274 | $ | 23,963 | $ | 21,405 | $ | 23,336 | ||||||||||||
Ratio of operating expenses to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 2.80 | % | 2.93 | % | 2.79 | %(5) | 2.98 | % | 2.81 | % | 2.70 | % | ||||||||||||
After Recoupments/Reimbursements | 2.80 | % | 2.93 | % | 2.79 | %(5) | 2.98 | % | 2.67 | % | 2.76 | % | ||||||||||||
Ratio of interest expense and dividends on short positions to average net assets | 0.52 | % | 0.64 | % | 0.55 | %(5) | 0.67 | % | 0.49 | % | 0.27 | % | ||||||||||||
Ratio of net investment income/(loss) to average net assets: | ||||||||||||||||||||||||
Before Recoupments/Reimbursements | 3.43 | % | 2.90 | % | 4.36 | %(5) | 3.76 | % | 3.32 | % | 3.75 | % | ||||||||||||
After Recoupments/Reimbursements | 3.43 | % | 2.90 | % | 4.36 | %(5) | 3.76 | % | 3.46 | % | 3.69 | % | ||||||||||||
Portfolio turnover rate | 131 | % | 102 | % | 46 | %(4) | 121 | % | 127 | % | 185 | % |
(1) | Calculated based on average shares outstanding during the period. |
(2) | Effective as of the close of business on April 28, 2017, the Fund acquired all the assets and liabilities of the Orinda Income Opportunities Fund, a series of Advisors Series Trust (the “Predecessor Fund”). The financial highlights for the periods prior to that date reflect the performance of the Predecessor Fund. |
(3) | The Fund changed its fiscal year end to August 31. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
26
Orinda Income Opportunities Fund Notes to Financial Statements AUGUST 31, 2019 |
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 thirty-three separate investment portfolios, including the Orinda Income Opportunities Fund (the “Fund”), which became a series of RBB as of the close of business on April 28, 2017. The Fund is authorized to offer three classes of shares, Class I Shares, Class A Shares and Class D Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.00%. Front-end sales charges may be reduced or waived under certain circumstances. Class I Shares, Class A Shares and Class D Shares commenced investment operations on June 28, 2013, June 28, 2013 and September 27, 2013, respectively.
Prior to April 28, 2017, the Fund was a series (the “Predecessor Fund”) of Advisors Series Trust (the “Trust”), an open-end management investment company (or mutual fund) organized on October 3, 1996, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund on April 28, 2017 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to April 28, 2017 included herein is that of the Predecessor Fund.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective is to maximize current income with potential for modest growth of capital.
The Fund is an investment company and follows the accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services-Investment Companies.”
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to
27
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Energy | $ | 7,779,700 | $ | 7,779,700 | $ | — | $ | — | ||||||||
Industrials | 756,400 | 756,400 | — | — | ||||||||||||
Real Estate | 1,897,829 | 1,897,829 | — | — | ||||||||||||
Total Common Stocks | 10,433,929 | 10,433,929 | — | — | ||||||||||||
REITs | ||||||||||||||||
Financials | 89,611,373 | 89,611,373 | — | — | ||||||||||||
Real Estate | 92,262,369 | 92,262,369 | — | — | ||||||||||||
Total REITs | 181,873,742 | 181,873,742 | — | — | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | 2,472,300 | 2,472,300 | — | — | ||||||||||||
Energy | 27,343,233 | 27,343,233 | — | — | ||||||||||||
Financials | 33,604,615 | 33,604,615 | — | — | ||||||||||||
Industrials | 1,880,866 | 1,880,866 | — | — | ||||||||||||
Real Estate | 19,232,657 | 19,232,657 | — | — | ||||||||||||
Utilities | 4,172,500 | 4,172,500 | — | — | ||||||||||||
Total Preferred Stocks | 88,706,171 | 88,706,171 | — | — | ||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Real Estate | 2,654,755 | 2,654,755 | — | — | ||||||||||||
Total Convertible Preferred Stocks | 2,654,755 | 2,654,755 | — | — | ||||||||||||
Mortgage Backed Securities | 1,592,212 | — | 1,592,212 | — | ||||||||||||
Corporate Bonds | ||||||||||||||||
Financials | 1,539,360 | — | 1,539,360 | — | ||||||||||||
Real Estate | 640,000 | — | 640,000 | — | ||||||||||||
Total Corporate Bonds | 2,179,360 | — | 2,179,360 | — |
28
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
FAIR VALUE MEASUREMENTS (continued)
TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | |||||||||||||
Exchange Traded Funds | $ | 8,763,485 | $ | 8,763,485 | $ | — | $ | — | ||||||||
Closed-End Mutual Funds | 9,544,809 | 9,544,809 | — | — | ||||||||||||
Purchased Options | ||||||||||||||||
Put Options | 240,000 | — | 240,000 | — | ||||||||||||
Total Purchased Options | 240,000 | — | 240,000 | — | ||||||||||||
Short-Term Investments | 172,800 | 172,800 | — | — | ||||||||||||
Total Investments in Securities | $ | 306,161,263 | $ | 302,149,691 | $ | 4,011,572 | $ | — | ||||||||
Total Assets | $ | 306,161,263 | $ | 302,149,691 | $ | 4,011,572 | $ | — | ||||||||
Liabilities | ||||||||||||||||
Securities Sold Short | $ | 8,978,387 | $ | 8,978,387 | $ | — | $ | — | ||||||||
Total Liabilities | $ | 8,978,387 | $ | 8,978,387 | $ | — | $ | — |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
Foreign securities that utilize international fair pricing are categorized as Level 2 in the hierarchy.
During the current fiscal period, the Fund had no Level 3 transfers.
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES — The Fund may use derivatives for different purposes, such as a substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to other risks, such as interest rate or currency risk. The various derivative instruments that the Fund may use are options, futures, swaps, and forward foreign currency contracts, among others. The Fund may also use derivatives for leverage, in which case their use would involve leveraging risk. The Fund’s use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of risks, such as liquidity risk, interest rate risk, market risk, credit risk, and management risk. A Fund investing in a derivative instrument could lose more than the principal amount invested.
The Fund has adopted the disclosure provisions of FASB Accounting Standard Codification 815, Derivatives and Hedging (“ASC 815”). ASC 815 requires enhanced disclosures about the Fund’s use of, and accounting for, derivative instruments and the effect of derivative instruments on the Fund’s results of operations and financial position. Tabular disclosure regarding derivative fair value and gain/loss by contract type (e.g., interest rate contracts, foreign exchange contracts, credit contracts, etc.) is required
29
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
and derivatives accounted for as hedging instruments under ASC 815 must be disclosed separately from those that do not qualify for hedge accounting. Even though the Fund may use derivatives in an attempt to achieve an economic hedge, the Fund’s derivatives are not accounted for as hedging instruments under ASC 815 because investment companies account for their derivatives at fair value and record any changes in fair value in current period earnings.
The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.
Derivative Type | Statement | Equity | |||
Asset Derivatives | |||||
Purchased Options | Investments in securities at value | $ | 240,000 | ||
Total Value- Assets | $ | 240,000 |
Derivative Type | Statement | Equity | |||
Liability Derivatives | |||||
Purchased Options | N/A | $ | — | ||
Total Value- Liabilities | $ | — |
The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
DERIVATIVE TYPE | STATEMENT | EQUITY | ||||||
Realized Gain/(Loss) | ||||||||
Purchased Options | Net realized gain/(loss) from investments | $ | (474,841 | ) | ||||
Written Options | Net realized gain/(loss) from written options | 299,407 | ||||||
Total Realized Gain/(Loss) | $ | (175,434 | ) |
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by contract type and risk exposure.
DERIVATIVE TYPE | STATEMENT | EQUITY | ||||||
Change in Unrealized Appreciation/(Depreciation) | ||||||||
Purchased Options | Net change in unrealized appreciation/(depreciation) on investments | $ | 68,979 | |||||
Written Options | Net change in unrealized appreciation/(depreciation) on written options | 8,802 | ||||||
Total Change in Unrealized Appreciation/(Depreciation) | $ | 77,781 |
Average Balance Information
During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:
PURCHASED | WRITTEN |
$ 283,095 | $ (59,625) |
OPTIONS — The Fund may utilize options for hedging purposes as well as direct investment. Some options strategies, including buying puts, tend to hedge the Fund’s investments against price fluctuations. Other strategies, such as writing puts and calls and buying calls, tend to increase market exposure. Options contracts may be combined with each other in order to adjust the risk and return characteristics of each Fund’s overall strategy in a manner deemed appropriate to the Adviser and consistent with each Fund’s investment objective and policies. When a call or put option is written, an amount equal to the premium received is recorded as a liability. The liability is marked-to-market daily to reflect the current fair value of the written option. When a written option expires, a gain is realized in the amount of the premium originally received. If a closing purchase contract is entered into, a gain or loss is realized in the amount of the original premium less the cost of the closing transaction. If a written call option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the security which is purchased upon the exercise of the option.
With options, there is minimal counterparty credit risk to the Fund since the options are covered or secured, which means that the Fund will own the underlying security or, to the extent it does not hold such a portfolio, will maintain a segregated account with the Fund’s custodian consisting of high quality liquid debt obligations equal to the market value of the option, marked to market daily.
Options purchased are recorded as investments and marked-to-market daily to reflect the current fair value of the option contract. If an option purchased expires, a loss is realized in the amount of the cost of the option contract. If a closing transaction is entered into, a gain or loss is realized to the extent that the proceeds from the sale are greater or less than the cost of the option. If a purchase put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a purchased call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid.
FUTURES CONTRACTS AND OPTIONS ON FUTURES CONTRACTS — The Fund is subject to equity price risk, interest rate risk, and foreign currency exchange rate risk in the normal course of pursuing its investment objectives. The Fund uses futures contracts and options on such futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Fund is required to deposit with the broker, either in cash or securities, an
31
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
initial margin deposit in an amount equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Fund. Upon entering into such contracts, the Fund bears the risk of interest or exchange rates or securities prices moving unexpectedly, in which case, the Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. The use of futures contracts, and options on futures contracts, involves the risk of imperfect correlation in movements in the price of futures contracts and options thereon, interest rates and the underlying hedged assets.
LEVERAGE AND SHORT SALES — The Fund may use leverage in connection with its investment activities and may effect short sales of securities. Leverage can increase the investment returns of the Fund if the securities purchased increase in value in an amount exceeding the cost of the borrowing. However, if the securities decrease in value, the Fund will suffer a greater loss than would have resulted without the use of leverage. A short sale is the sale by the Fund of a security which it does not own in anticipation of purchasing the same security in the future at a lower price to close the short position. A short sale will be successful if the price of the shorted security decreases. However, if the underlying security goes up in price during the period in which the short position is outstanding, the Fund will realize a loss. The risk on a short sale is unlimited because the Fund must buy the shorted security at the higher price to complete the transaction. Therefore, short sales may be subject to greater risks than investments in long positions. With a long position, the maximum sustainable loss is limited to the amount paid for the security plus the transaction costs, whereas there is no maximum attainable price of the shorted security. The Fund would also incur increased transaction costs associated with selling securities short. In addition, if the Fund sells securities short, it must maintain a segregated account with its custodian containing cash or high-grade securities equal to (i) the greater of the current market value of the securities sold short or the market value of such securities at the time they were sold short, less (ii) any collateral deposited with the Fund’s broker (not including the proceeds from the short sales). The Fund may be required to add to the segregated account as the market price of a shorted security increases. As a result of maintaining and adding to its segregated account, the Fund may maintain higher levels of cash or liquid assets (for example, U.S. Treasury bills, repurchase agreements, high quality commercial paper and long equity positions) for collateral needs thus reducing its overall managed assets available for trading purposes. The Fund is obligated to pay the counterparty any dividends or interest due on securities sold short. Such dividends and interest are recorded as an expense to the Fund.
MUTUAL FUND AND ETF TRADING RISK — The Fund may invest in other mutual funds that are either open-end or closed-end investment companies as well as ETFs. ETFs are investment companies that are bought and sold on a national securities exchange. Unlike mutual funds, ETFs do not necessarily trade at the net asset values of their underlying securities, which means an ETF could potentially trade above or below the value of the underlying portfolios. Additionally, because ETFs trade like stocks on exchanges, they are subject to trading and commission costs unlike mutual funds. Also, both mutual funds and ETFs have management fees that are part of their costs, and the Fund will indirectly bear its proportionate share of the costs.
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction
32
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund distributes substantially all of its net investment income, if any, quarterly, and net realized capital gains, if any, annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.
The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.
MARKET RISK — The value of the Fund’s shares will fluctuate as a result of the movement of the overall stock market or the value of the individual securities held by the Fund, and you could lose money.
MASTER LIMITED PARTNERSHIP RISK — Investments in securities (units) of MLPs involve risks that differ from an investment in common stock. To the extent that an MLP’s interests are all in a particular industry, the MLP will be negatively impacted by economic events adversely impacting that industry. Additionally, holders of the units of MLPs have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of MLPs.
FOREIGN AND EMERGING MARKET SECURITIES RISK — Foreign investments may carry risks associated with investing outside the United States, such as currency fluctuation, economic or financial instability, lack of timely or reliable financial information or unfavorable political or legal developments. Those risks are increased for investments in emerging markets.
CURRENCY RISK — Changes in foreign currency exchange rates will affect the value of what the Fund owns and the Fund’s share price. Generally, when the U.S. dollar rises in value against a foreign currency, an investment in that country loses value because that currency is worth fewer U.S. dollars. Devaluation of a currency by a country’s government or banking authority also will have a significant impact on the value of any investments denominated in that currency. Currency markets generally are not as regulated as securities markets.
SMALL AND MEDIUM COMPANIES RISK — Investing in securities of small and medium capitalization companies may involve greater volatility than investing in larger and more established companies because small and medium capitalization companies can be subject to more abrupt or erratic share price changes than larger, more established companies.
DERIVATIVES RISK — The Fund’s use of derivatives (which may include options, futures and swaps, among others) may reduce the Fund’s returns and/or increase volatility. Derivatives involve the risk of improper valuation, the risk of ambiguous documentation, and the risk that changes in the value of the derivative may not correlate perfectly with the underlying security.
33
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
Derivatives are also subject to market risk, interest rate risk, credit risk, counterparty risk and liquidity risk. Derivatives may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund’s original investment.
OPTIONS RISK — Purchasing and writing put and call options are highly specialized activities and entail greater than ordinary investment risks. The Fund may not fully benefit from or may lose money on an option if changes in its value do not correspond as anticipated to changes in the value of the underlying securities.
INTEREST RATE RISK — Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. It is likely there will be less governmental action in the near future to maintain low interest rates. The negative impact on fixed income securities from the resulting rate increases for that and other reasons could be swift and significant.
FIXED INCOME SECURITIES RISK — Fixed income securities are subject to interest rate risk and credit risk. There is also the risk that an issuer may “call,” or repay, its high yielding bonds before their maturity dates. Fixed income securities subject to prepayment can offer less potential for gains during a declining interest rate environment and similar or greater potential for loss in a rising interest rate environment. Limited trading opportunities for certain fixed income securities may make it more difficult to sell or buy a security at a favorable price or time.
REAL ESTATE AND REIT CONCENTRATION RISK — The Fund is vulnerable to the risks of the real estate industry, such as the risk that a decline in rental income may occur because of extended vacancies, the failure to collect rents, increased competition from other properties, or poor management. The value and performance of REITs depends on how well the underlying properties owned by the REIT are managed. In addition, the value of an individual REIT’s securities can decline if the REIT fails to continue qualifying for special tax treatment.
CONVERTIBLE BOND RISK — Convertible bonds are hybrid securities that have characteristics of both bonds and common stocks and are therefore subject to both debt security risks and equity risk. Convertible bonds are subject to equity risk especially when their conversion value is greater than the interest and principal value of the bond. The prices of equity securities may rise or fall because of economic or political changes and may decline over short or extended periods of time.
PREFERRED STOCK RISK — Preferred stocks may be more volatile than fixed income securities and are more correlated with the issuer’s underlying common stock than fixed income securities. Additionally, the dividend on a preferred stock may be changed or omitted by the issuer.
INITIAL PUBLIC OFFERING RISK — The Fund may purchase securities of companies that are offered pursuant to an IPO. The risk exists that the market value of IPO shares will fluctuate considerably due to factors such as the absence of a prior public market, unseasoned trading, the small number of shares available for trading and limited information about the issuer. The purchase of IPO shares may involve high transaction costs. IPO shares are subject to market risk and liquidity risk. When the Fund’s asset base is small, a significant portion of the Fund’s performance could be attributable to investments in IPOs, because such investments would have a magnified impact on the Fund. As the Fund’s assets grow, the effect of the Fund’s investments in IPOs on the Fund’s performance probably will decline, which could reduce the Fund’s performance.
PORTFOLIO TURNOVER RISK — A high portfolio turnover rate (100% or more) increases the Fund’s transaction costs (including brokerage commissions and dealer costs), which would adversely impact the Fund’s performance. Higher portfolio turnover may result in the realization of more short-term capital gains than if the Fund had lower portfolio turnover.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
REDEMPTION FEES — The Fund does not charge redemption fees to shareholders.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
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Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
2. INVESTMENT ADVISER AND OTHER SERVICES
Orinda Asset Management, LLC (the “Adviser”) serves as the investment adviser to the Fund. The Adviser furnishes all investment advice, office space, and facilities, and provides most of the personnel needed by the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that the total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the average daily net assets for each class of 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 total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, dividends on securities sold short, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
ADVISORY | EXPENSE CAPS | |||
FEE | CLASS I | CLASS A | CLASS D | |
1.00% | 1.40% | 1.70% | 2.40% |
During the current fiscal period, investment advisory fees accrued were as follows:
ADVISORY |
$ 2,582,065 |
If at any time the Fund’s total annual Fund operating expenses (not including acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the relevant share class’s Expense Cap that was in effect at the time of the waiver or reimbursement. As of August 31, 2019, the Adviser had no fees left to recoup. During the periods ended August 31, 2019, August 31, 2018 and August 31, 2017, the Adviser reimbursed the Fund for shareholder servicing fees in the amount of $— , $— and $8,402, respectively that was a result of the Fund not fully utilizing the fees that had been earned in fiscal year 2017. This amount will not be subject to recoup in the future.
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distrbutor”) serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
The Board has adopted Plans of Distribution for Class A Shares and Class D Shares (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to Class A Shares and Class D Shares of the Fund, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the
35
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class D Shares. The actual amount of such compensation under the Plans is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment in Class A Shares and Class D Shares and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of Class A Shares and Class D Shares, (ii) ongoing servicing and/or maintenance of the accounts of Class A and Class D shareholders, and (iii) sub-transfer agency services, sub-accounting services or administrative services related to the sale of Class A Shares and Class D Shares, all as set forth in the Plans.
3. SHAREHOLDER SERVICING FEE
Prior to January 1, 2019, Class I Shares, Class A Shares and Class D Shares of the Fund paid the Adviser a monthly fee of up to 0.10%, 0.15% and 0.10% respectively of the Fund’s average daily net assets pursuant to a Shareholder Servicing agreement (the “Agreement”). Payments to the Adviser under the Agreement could reimburse the Adviser for payments it made to selected brokers, dealers and administrators which have entered into service agreements with the Adviser for services provided to shareholders of the Fund. The services provided by such intermediaries are primarily designed to assist shareholders of the Fund and include the furnishing of office space and equipment, telephone facilities, personnel, and assistance to the Fund in servicing such shareholders. Services provided by such intermediaries also include the provision of support services to the Fund and include establishing and maintaining shareholders’ accounts and record processing, purchase and redemption transactions, answering routine client inquiries regarding the Fund, and providing such other personal services to shareholders as the Fund may reasonably request. From September 1, 2018 until January 1, 2019, the Fund incurred shareholder servicing fees as follows:
SHAREHOLDER | ||||
Class I | $ | 60,490 | ||
Class A | 20,404 | |||
Class D | 6,567 |
4. DIRECTOR AND OFFICER COMPENSATION
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES | SALES |
$ 398,544,344 | $ 363,515,217 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
36
Orinda Income Opportunities Fund Notes To Financial Statements (Continued) AUGUST 31, 2019 |
6. LEVERAGE & LINE OF CREDIT
The Fund may purchase securities with borrowed money, including bank overdrafts (a form of leverage). The Fund may borrow amounts up to one-third of the value of its assets after giving effect to such borrowing. Leverage exaggerates the effect on the net asset value of any increase or decrease in the market value of the Fund’s portfolio securities. These borrowings will be subject to interest costs, which may or may not be recovered by appreciation of the securities purchased. In certain cases, interest costs may exceed the return received on the securities purchased.
The Fund may also utilize the line of credit for short term financing, if necessary, subject to certain restrictions, in connection with shareholder redemptions. The Fund maintains a separate line of credit with BNP Paribas (acting through its New York Branch). The Fund is charged interest of 1.20% above the one-month London Interbank Offered Rate (“LIBOR”) for borrowings under this agreement. The Fund can borrow up to a maximum of 50% of the market value of assets pledged as collateral. However, depending on the liquidity of the collateral, issuer concentration, debt ratings of fixed income investments, and the share price of equity holdings, the amount eligible to be borrowed can also be less than 50% of the market value of the assets pledged as collateral.
The Fund has pledged a portion of its investment securities as the collateral for their line of credit. As of the end of the reporting period, the value of the investment securities pledged as collateral was $95,449,389. The Fund had an outstanding average daily balance and a weighted average interest rate of $30.8 million and 3.58%, respectively. The maximum amount outstanding for the Fund during the reporting period was $72,279,730.
7. FEDERAL INCOME TAX INFORMATION
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
FEDERAL | UNREALIZED | UNREALIZED | NET |
$ 284,930,630 | $ 19,777,534 | $ (7,525,335) | $ 12,252,199 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019 were reclassified among the following accounts:
Distributable | PAID-IN |
$ 1,513,575 | $ (1,513,575) |
37
Orinda Income Opportunities Fund Notes To Financial Statements (Concluded) AUGUST 31, 2019 |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED | UNDISTRIBUTED | NET | CAPITAL LOSS | TOTAL |
$ — | $ — | $ 12,252,199 | $ (24,801,374) | $ (12,549,175) |
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018, were as follows:
ORDINARY | LONG-TERM | RETURN | ||||||||||
2019 | $ | 13,162,834 | $ | — | $ | 4,287,166 | ||||||
2018 | $ | 14,166,480 | $ | — | $ | 5,783,302 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The Fund is permitted to carryforward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2019, the Fund had $20,134,308 of short-term capital loss carryforwards and $4,667,067 of long-term capital loss carryforwards.
8. NEW ACCOUNTING PRONOUNCEMENTS AND REGULATORY UPDATES
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurements (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of undistributed/accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
9. 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.
38
Orinda Income Opportunities Fund Report of Independent Registered Public Accounting Firm |
To the Board of Directors of
The RBB Fund, Inc.
and the Shareholders of the Orinda Income Opportunities Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities of Orinda Income Opportunities Fund (the “Fund”), a series of The RBB Fund, Inc., including the schedule of investments, as of August 31, 2019, the related statement of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the two years in the period then ended, for the six month period ended August 31, 2017, and for each of the three years in the period ended February 28, 2017, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations, cash flows, the changes in its net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We have served as the Fund’s auditor since 2011.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
TAIT, WELLER & BAKER LLP |
Philadelphia, Pennsylvania
October 30, 2019
39
Orinda Income Opportunities Fund Shareholder Tax Information (Unaudited) |
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Fund:
ORDINARY | LONG-TERM | Return |
$ 13,162,834 | $ — | $ 4,287,166 |
Distributions from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the percentage of ordinary income dividends qualifying for the 15% dividend tax rate is 27.87%.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 23.39%.
The Fund designates 0.00% of the ordinary income distributions as qualified short-term gain pursuant to the American Job Creation Act of 2004.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
40
Orinda Income Opportunities Fund Notice to Shareholders AUGUST 31, 2019 (UNAUDITED) |
How to Obtain a Copy of the Fund’s Proxy Voting Policies
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-855-467-4632 or on the SEC’s website at http://www.sec.gov.
How to Obtain a Copy of the Fund’s Proxy Voting Records for the 12-Month Period Ended June 30, 2019
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-855-467-4632. Furthermore, you can obtain the Fund’s proxy voting records on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov. Information included in the Fund’s Form N-Q is also available, upon request, by calling 1-855-467-4632.
Householding
In an effort to decrease costs, the Fund intends to reduce the number of duplicate prospectuses and annual and semi-annual reports you receive by sending only one copy of each to those addresses shared by two or more accounts and to shareholders the Transfer Agent reasonably believes are from the same family or household. Once implemented, if you would like to discontinue householding for your accounts, please call toll-free at 1-855-467-4632 to request individual copies of these documents. Once the Transfer Agent receives notice to stop householding, the Transfer Agent will begin sending individual copies thirty days after receiving your request. This policy does not apply to account statements.
Approval of Investment Advisory Agreement
As required by the 1940 Act, the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between the Adviser and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement, the Board considered information provided by the Adviser with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement between the Company and the Adviser with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of the Adviser’s services provided to the Fund; (ii) descriptions of the experience and qualifications of the Adviser’s personnel providing those services; (iii) the Adviser’s investment philosophies and processes; (iv) the Adviser’s assets under management and client descriptions; (v) the Adviser’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) the Adviser’s current advisory fee arrangement with the Company and other similarly managed clients; (vii) the Adviser’s compliance procedures; (viii) the Adviser’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Adviser; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
41
Orinda Income Opportunities Fund Notice to Shareholders (Continued) AUGUST 31, 2019 (UNAUDITED) |
As part of their review, the Directors considered the nature, extent and quality of the services provided by the Adviser. The Directors concluded that the Adviser had substantial resources to provide services to the Fund and that the Adviser’s services had been acceptable.
The Directors also considered the investment performance of the Fund and the Adviser. The Directors noted that the Fund had outperformed the Fund’s primary benchmark for the year-to-date and one-, three-, and five-year and since-inception periods ended March 31, 2019. The Directors also considered the Fund’s 2nd quintile ranking within its Lipper Performance Group and Lipper Performance Universe for the five-year period ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) was compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the contractual advisory fees of the Fund were above the peer group median, and the actual advisory fees of the Fund were above the peer group median. In addition, the Directors noted that the Adviser has contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to the extent that total annual Fund operating expenses exceed 1.40%, 1.70% and 2.40% for Class I, Class A and Class D shares of the Fund, respectively.
After reviewing the information regarding the Fund’s costs, profitability and economies of scale, and after considering the Adviser’s services, the Directors concluded that the investment advisory fees paid by the Fund were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one-year period ending August 16, 2020.
42
Orinda Income Opportunities Fund Management (Unaudited) |
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (855) 467-4632.
Name, Address, and Age | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships Held by |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
43
Orinda Income Opportunities Fund MANAGEMENT (Unaudited) (Continued) |
Name, Address, and Age | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships Held by |
Arnold M. Reichman | Chairman
| 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
44
Orinda Income Opportunities Fund MANAGEMENT (Unaudited) (Continued) |
Name, Address, and Age | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships Held by |
OFFICERS | |||||
Salvatore Faia, JD, | President
| 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
Robert Amweg | Assistant | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
45
Orinda Income Opportunities Fund MANAGEMENT (Unaudited) (Continued) |
Name, Address, and Age | Position(s) | Term of | Principal Occupation(s) | Number of | Other Directorships Held by |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
46
Orinda Income Opportunities Fund Privacy Notice (Unaudited) |
FACTS | WHAT DOES THE ORINDA INCOME OPPORTUNITIES FUND 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 Orinda Income Opportunities Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does the Orinda Income Opportunities Fund share? | Can you limit this | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We don’t share. | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We don’t share. | |
For our affiliates to market to you | No | We don’t share. | |
For nonaffiliates to market to you | No | We don’t share. |
Questions? | Call (855) 467-4632 or go to www.orindafunds.com |
47
Orinda Income Opportunities Fund privacy notice (continued) (Unaudited) |
What we do | |
How does the Orinda Income Opportunities Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Orinda Income Opportunities Fund collect my personal information? | We collect your personal information, for example, when you ● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only ● sharing for affiliates’ everyday business purposes – information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. ● Our affiliates include Orinda Investment Partners, LLC (“OIP”) and Orinda Asset Management, LLC (“OAM”). |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ● The Orinda Income Opportunities Fund doesn’t share with nonaffiliates so they can market to you. The Fund 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 Orinda Income Opportunities Fund does not jointly market. |
48
(This Page Intentionally Left Blank.)
Investment Adviser
Orinda Asset Management LLC
3390 Mt. Diablo Boulevard, Suite 250
Lafayette, CA 94549
Distributor
Quasar Distributors, LLC
777 East Wisconsin Avenue, 6th Floor
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Custodian
U.S. Bank National Association
Custody Operations
1555 North River Center Drive, Suite 302
Milwaukee, WI 53212
Independent Registered Public Accounting Firm
Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St Suite 2900
Philadelphia, PA 19102-2529
Legal Counsel
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
OR-AR19
This report is intended for shareholders of the Fund and may not be used as sales literature unless preceded or accompanied by a current prospectus.
Past performance results shown in this report should not be considered a representation of future performance. Share price and returns will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are dated and are subject to change.
|
Schneider |
of The RBB Fund, Inc.
Annual
August 31, 2019 |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-888-520-3277.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-888-520-3277 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.
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
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Dear Fellow Shareholders:
The Schneider Small Cap Value Fund underperformed its benchmark, returning -41.01% versus -14.89% for the Russell 2000 Value Index during the 12 months ended August 31, 2019. Since Inception on September 2, 1998, the Fund has outperformed its benchmark, returning 9.90% versus 8.77% for the Russell 2000 Value Index. Our energy exposure was the main cause of our underperformance versus our index for the fiscal year ended August 31, 2019. Oil prices fell during the period on slowing international economic growth. Oil equities underperformed the actual commodity, continuing a long pattern. Oil prices have more than doubled since early 2016, but energy related equity indexes have barely moved. Further, our stock selection in energy was poor. The valuations of the stocks in the sector reflect a long-term oil price of less than $50/barrel which we believe is too low to sustain the industry.
During the period, the market continued its further sharp rotation away from deep value. Growth equities have outperformed value equities for more than 10 years, a near record streak, similar to the 2000 internet bubble. Inside equity markets there is a huge dispersion of valuation. While this trend has been in place for a while, it has resulted in an all- time high price to earnings ratio premium for slow growing defensive stocks compared to value stocks. Safety and predictability are in fashion, while we believe companies with cyclical or uncertain earnings are priced at recessionary levels. We buy stocks where current pessimism is high, but where we see potential for much higher earnings in the future. We believe that when the global manufacturing slowdown ends, the rotation from unusually expensive “quality” stocks to unusually cheap deep value stocks could be significant.
With Organization of the Petroleum Exporting Countries “OPEC” production down sequentially in the third quarter, we believe global inventories should decline in the second half. The bond flotation of Saudi Aramco, the largest oil company in the world, showed that its largest field, Ghawar, peaked a decade ago. Most of its other production is also in old fields, suggesting consensus views of 12 million barrels per day of capacity may be high. The most production it ever realized, even in the 3-year period of $100 plus oil in 2012 to 2014, was 11 million barrels.
The summer Iranian attacks were an obvious geopolitical escalation that potentially could disrupt oil supplies. There were additional less noticeable developments in a variety of geopolitically unstable exporting countries. Any major interruption in these, or any of the other economically challenged oil producing countries, would likely send prices much higher.
The global oil underinvestment period of 2015-2018 sanctioned a yearly average of about 1 million barrels/day of incremental conventional capacity, less than half the 2009-2014 average. Given that these projects can take 3 to 5 years to begin, we believe this production slowdown will begin in the next couple of years. This small annual amount of incremental conventional capacity, in combination with short cycle U.S. shale growth, we believe will be hard pressed to meet international field decline rates of roughly 2 million barrels/day, much less over 1 million barrels/day of expected incremental demand.
Massive cutbacks in exploration spending has caused international reserve additions to fall well behind production, leading to sharp reductions in overall reserves. Additionally, falling shale capital spending is leading to sharply decelerating U.S. production growth. Finally, the new IMO (International Maritime Organization) shipping rules begin next year with estimates that it will divert up to half a million barrels/day of residual fuel into the power market thus tightening the oil market.
Worries about trade and global economic growth grew. However, tariffed products as of August are only about 1% of U.S. Gross Domestic Product, so the economic impact to the U.S economy is a fraction of that. While international growth is weak, we believe leading economic indicators are not predicting a domestic recession. The strong U.S. consumer is seeing rising wage growth of over 3% with a high savings rate. We believe there are no obvious excesses in the economy that need to be corrected. Internationally, the central banks are collectively in an easing cycle which usually supports sluggish overseas growth.
We appreciate your support and the confidence you have placed in us.
1
SCHNEIDER SMALL CAP VALUE FUND
Annual Investment Adviser’s Report (Concluded)
August 31, 2019 (Unaudited)
Past performance does not guarantee future results.
Mutual fund investing involves risk. Principal loss is possible. Small-capitalization companies tend to have limited liquidity and greater price volatility than large-capitalization companies. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. 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.
Must be preceded or accompanied by a prospectus.
Opinions expressed are those of the Portfolio Manager and are subject to change, are not guaranteed and should not be considered investment advice.
P/E: Price/Earnings: A valuation ratio of a company’s current share price compared to its per-share earnings.
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please see the Schedule of Investments in this report for a complete list of fund holdings.
2
SCHNEIDER SMALL CAP VALUE FUND
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $20,000 Invested in
Schneider Small Cap Value Fund vs. Russell 2000® Value Index
The chart assumes a hypothetical $20,000 minimum initial investment in the Fund made on September 2, 1998 and reflects Fund expenses. Investors should note that the Fund is a professionally managed mutual fund while the Russell 2000® Value Index is unmanaged, does not incur sales charges and/or expenses and is not available for investment.
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED AUGUST 31, 2019 | ||||
1 Year | 5 Years | 10 Years | Since | |
Schneider Small Cap Value Fund | -41.01% | -4.27% | 4.51% | 9.90% |
Russell 2000® Value Index | -14.89% | 4.63% | 10.05% | 8.77%** |
* | 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, the Fund’s investment adviser, has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2020, to the extent that total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) exceed 1.15%. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-888-520-3277. The Fund’s gross and net annual operating expenses, as stated in the current prospectus, are 1.52% and 1.16%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than 30 days are subject to a 1.00% 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.
The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods.
3
SCHNEIDER SMALL CAP VALUE FUND
Fund Expense Example
August 31, 2019 (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. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019, and held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, 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 | Ending | Expenses Paid | Annualized | Actual | |
Actual | $ 1,000.00 | $ 780.00 | $ 5.16 | 1.15% | -22.00% |
Hypothetical (5% return before expenses) | 1,000.00 | 1,019.41 | 5.85 | 1.15 | N/A |
* | Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in the table is based on the actual six-month total investment return for the Fund. |
4
SCHNEIDER SMALL CAP VALUE FUND
Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of | Value | |||||||
COMMON STOCKS: | ||||||||
Oil & Gas | 14.2% | $ | 3,747,406 | |||||
Telecommunications | 10.1 | 2,657,889 | ||||||
Insurance | 9.9 | 2,615,593 | ||||||
Banks | 9.7 | 2,553,383 | ||||||
Chemicals | 8.6 | 2,263,095 | ||||||
Information Technology | 8.2 | 2,174,129 | ||||||
Commercial Services | 8.2 | 2,162,473 | ||||||
Real Estate Investment Trust | 8.1 | 2,135,817 | ||||||
Transportation | 7.7 | 2,024,923 | ||||||
Auto Parts & Equipment | 6.9 | 1,830,407 | ||||||
Plastics Product Manufacturing | 3.0 | 800,004 | ||||||
Manufacturing | 2.4 | 619,713 | ||||||
Semiconductors | 1.5 | 397,853 | ||||||
Retail | 0.8 | 210,048 | ||||||
Oil & Gas Services | 0.4 | 114,773 | ||||||
Pharmaceuticals | 0.2 | 41,274 | ||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 17.3 | 4,578,243 | ||||||
Short-Term Investments | 0.1 | 26,852 | ||||||
Liabilities In Excess Of Other Assets | (17.3) | (4,565,876 | ) | |||||
NET ASSETS | 100.0% | $ | 26,387,999 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
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SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments
August 31, 2019
Number of | Value | |||||||
COMMON STOCKS — 99.9% | ||||||||
Auto Parts & Equipment — 6.9% | ||||||||
Adient PLC | 90,749 | $ | 1,830,407 | |||||
Banks — 9.7% | ||||||||
HomeStreet, Inc.* | 15,264 | 402,512 | ||||||
MidWestOne Financial Group, Inc. | 51,201 | 1,483,293 | ||||||
OFG Bancorp | 12,728 | 261,178 | ||||||
Synovus Financial Corp. | 11,435 | 406,400 | ||||||
2,553,383 | ||||||||
Chemicals — 8.6% | ||||||||
Koppers Holdings, Inc.* | 35,862 | 950,702 | ||||||
Olin Corp.(a) | 17,710 | 300,716 | ||||||
UNIVAR, Inc.*(a) | 30,266 | 585,647 | ||||||
Venator Materials PLC* | 191,045 | 426,030 | ||||||
2,263,095 | ||||||||
Commercial Services — 8.2% | ||||||||
Herc Holdings, Inc.* | 43,407 | 1,791,841 | ||||||
Hudson Global, Inc.* | 29,914 | 370,632 | ||||||
2,162,473 | ||||||||
Information Technology — 8.2% | ||||||||
Intevac, Inc.* | 446,433 | 2,174,129 | ||||||
Insurance — 9.9% | ||||||||
Assured Guaranty Ltd. | 22,826 | 971,246 | ||||||
Brighthouse Financial, Inc.* | 44,709 | 1,576,439 | ||||||
Kingstone Cos., Inc. | 8,394 | 67,908 | ||||||
2,615,593 | ||||||||
Manufacturing — 2.4% | ||||||||
Intrepid Potash, Inc.* | 102,304 | 303,843 | ||||||
Manitowoc Company, Inc., (The)* | 22,176 | 277,200 | ||||||
REV Group, Inc. | 3,000 | 38,670 | ||||||
619,713 | ||||||||
Oil & Gas — 14.2% | ||||||||
C&J Energy Services, Inc.* | 75,164 | 718,568 | ||||||
Chesapeake Energy Corp.(a)* | 294,171 | 423,606 | ||||||
Halcon Resources Corp.* | 441,965 | 50,694 | ||||||
MRC Global, Inc.* | 3,188 | 40,073 | ||||||
SM Energy Co.(a) | 72,000 | 682,560 | ||||||
Transocean Ltd.*(a) | 329,465 | 1,499,066 | ||||||
Whiting Petroleum Corp.*(a) | 50,202 | 332,839 | ||||||
3,747,406 | ||||||||
Oil & Gas Services — 0.4% | ||||||||
Keane Group, Inc.* | 5,000 | $ | 26,500 | |||||
McDermott International, Inc.*(a) | 18,702 | 88,273 | ||||||
114,773 | ||||||||
Pharmaceuticals — 0.2% | ||||||||
Mallinckrodt PLC*(a) | 15,936 | 41,274 | ||||||
Plastics Product Manufacturing — 3.0% | ||||||||
Newell Brands, Inc.(a) | 48,193 | 800,004 | ||||||
Real Estate Investment Trust — 8.1% | ||||||||
Alexander & Baldwin, Inc. | 25,562 | 585,114 | ||||||
Boardwalk Real Estate Investment Trust | 46,991 | 1,550,703 | ||||||
2,135,817 | ||||||||
Retail — 0.8% | ||||||||
Tuesday Morning Corp.*(a) | 150,034 | 210,048 | ||||||
Semiconductors — 1.5% | ||||||||
Kulicke & Soffa Industries, Inc. | 19,100 | 397,853 | ||||||
Telecommunications — 10.1% | ||||||||
Aviat Networks, Inc.* | 183,441 | 2,612,200 | ||||||
UTStarcom Holdings Corp.* | 15,755 | 45,689 | ||||||
2,657,889 | ||||||||
Transportation — 7.7% | ||||||||
Ardmore Shipping Corp.* | 42,863 | 267,465 | ||||||
Scorpio Tankers, Inc. | 65,045 | 1,710,033 | ||||||
Stolt-Nielsen Ltd. | 4,375 | 47,425 | ||||||
2,024,923 | ||||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $36,847,637) | 26,348,780 | |||||||
INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL — 17.3% | ||||||||
Mount Vernon Liquid Assets Portfolio, LLC, 2.27% | 4,578,243 | 4,578,243 | ||||||
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING COLLATERAL | ||||||||
(Cost $4,578,243) | 4,578,243 | |||||||
The accompanying notes are an integral part of the financial statements.
6
SCHNEIDER SMALL CAP VALUE FUND
Portfolio of Investments (concluded)
August 31, 2019
Number of | Value | |||||||
SHORT-TERM INVESTMENTS — 0.1% | ||||||||
First American Government Obligations Fund, Class X, 2.03% (b) | 26,852 | $ | 26,852 | |||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||
(Cost $26,852) | 26,852 | |||||||
TOTAL INVESTMENTS — 117.3% | ||||||||
(Cost $41,452,732) | 30,953,875 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (17.3)% | (4,565,876 | ) | ||||||
NET ASSETS — 100.0% | $ | 26,387,999 |
* | Non-income producing security. |
PLC | Public Limited Company |
(a) | All or a portion of the security is on loan. At August 31, 2019, the market value of securities on loan was $4,315,052. |
(b) | Seven day yield as of August 31, 2019. |
Industry classifications may be different than those used for compliance monitoring purposes.
The accompanying notes are an integral part of the financial statements.
7
SCHNEIDER SMALL CAP VALUE FUND
Statement of Assets and Liabilities
August 31, 2019
ASSETS | ||||
Investments, at value^ (cost $36,847,637) | $ | 26,348,780 | ||
Investments purchased with proceeds from securities lending collateral, at value (cost $4,578,243) | 4,578,243 | |||
Short-term investments, at value (cost $26,852) | 26,852 | |||
Receivables for: | ||||
Dividends | 42,261 | |||
Investments sold | 22,804 | |||
Capital shares sold | 7,500 | |||
Prepaid expenses | 19,704 | |||
Total assets | 31,046,144 | |||
LIABILITIES | ||||
Payables for: | ||||
Securities lending collateral (see Note 6) | 4,578,243 | |||
Advisory fees | 6,364 | |||
Other accrued expenses and liabilities | 73,538 | |||
Total liabilities | 4,658,145 | |||
Net assets | $ | 26,387,999 | ||
NET ASSETS CONSIST OF: | ||||
Par value | $ | 3,447 | ||
Paid-in capital | 46,106,745 | |||
Total distributable earnings/(loss) | (19,722,193 | ) | ||
Net assets | $ | 26,387,999 | ||
CAPITAL SHARES: | ||||
Net assets | $ | 26,387,999 | ||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 3,446,675 | |||
Net asset value, offering and redemption price per share) | $ | 7.66 | ||
^ Includes market value of securities on loan | $ | 4,315,052 |
The accompanying notes are an integral part of the financial statements.
8
SCHNEIDER SMALL CAP VALUE FUND
Statement of Operations
For the Year Ended August 31, 2019
INVESTMENT INCOME | ||||
Dividends (net of foreign withholding taxes of $5,983) | $ | 160,477 | ||
Securities lending income (Note 6) | 47,616 | |||
Total investment income | 208,093 | |||
EXPENSES | ||||
Advisory fees (Note 2) | 341,547 | |||
Administration and accounting services fees (Note 2) | 50,704 | |||
Audit and tax services fees | 39,243 | |||
Transfer agent fees (Note 2) | 33,200 | |||
Legal fees | 26,778 | |||
Registration and filing fees | 26,500 | |||
Custodian fees (Note 2) | 15,718 | |||
Officer fees | 14,961 | |||
Director fees | 11,944 | |||
Insurance expense | 8,126 | |||
Printing and shareholder reporting fees | 3,531 | |||
Other expenses | 23,698 | |||
Total expenses | 595,950 | |||
Less: waivers (Note 2) | (203,171 | ) | ||
Net expenses after waivers | 392,779 | |||
Net investment income/(loss) | (184,686 | ) | ||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||
Net realized gain/(loss) from investments | (6,288,450 | ) | ||
Net change in unrealized appreciation/(depreciation) on investments | (12,602,689 | ) | ||
Net realized and unrealized gain/(loss) on investments | (18,891,139 | ) | ||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (19,075,825 | ) |
The accompanying notes are an integral part of the financial statements.
9
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) | $ | (184,686 | ) | $ | 89,209 | |||
Net realized gain/(loss) from investments | (6,288,450 | ) | 6,075,346 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (12,602,689 | ) | 3,706,524 | |||||
Net increase/(decrease) in net assets resulting from operations | (19,075,825 | ) | 9,871,079 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Total distributable earnings | (6,721,111 | ) | (8,975,989 | ) | ||||
Return of capital | (33,637 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (6,754,748 | ) | (8,975,989 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 370,106 | 620,859 | ||||||
Reinvestment of distributions | 6,588,373 | 7,194,872 | ||||||
Redemption fees* | 259 | 6,043 | ||||||
Shares redeemed | (2,001,836 | ) | (3,126,057 | ) | ||||
Net increase/(decrease) in net assets from capital shares | 4,956,902 | 4,695,717 | ||||||
Total increase/(decrease) in net assets | $ | (20,873,671 | ) | 5,590,807 | ||||
NET ASSETS: | ||||||||
Beginning of period | 47,261,670 | 41,670,863 | ||||||
End of period | $ | 26,387,999 | $ | 47,261,670 | ||||
SHARES TRANSACTIONS: | ||||||||
Shares sold | 38,780 | 40,988 | ||||||
Dividends and distributions reinvested | 697,182 | 497,227 | ||||||
Shares redeemed | (206,998 | ) | (204,987 | ) | ||||
Net increase/(decrease) in shares outstanding | 528,964 | 333,228 |
* | Prior to December 31, 2017, there was a 1.75% redemption fee on shares redeemed which have been held less than one year. Effective December 31, 2017, the Fund has changed its redemption fee to 1.00% on redemptions of Fund shares held less than 30 days. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 7 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Included in total dividends and distributions to shareholders was $(188,429) of net investment income/(loss) and $(8,787,560) of net realized capital gains during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $0. |
The accompanying notes are an integral part of the financial statements.
10
SCHNEIDER SMALL CAP VALUE FUND
Financial Highlights
Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
For the Years Ended August 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.20 | $ | 16.12 | $ | 13.26 | $ | 11.00 | $ | 20.16 | ||||||||||
Net investment income/(loss) (1) | (0.06 | ) | 0.03 | (0.06 | ) | 0.03 | (0.01 | ) | ||||||||||||
Net realized and unrealized gain/(loss) on investments | (6.14 | ) | 3.55 | 2.89 | 2.29 | (4.53 | ) | |||||||||||||
Net increase/(decrease) in net assets resulting from operations | (6.20 | ) | 3.58 | 2.83 | 2.32 | (4.54 | ) | |||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | — | (0.07 | ) | — | (0.03 | ) | — | |||||||||||||
Net realized capital gain | (2.33 | ) | (3.43 | ) | — | (0.03 | ) | (4.58 | ) | |||||||||||
Tax return of capital | (0.01 | ) | — | — | — | (0.04 | ) | |||||||||||||
Total dividends and distributions to shareholders | (2.34 | ) | (3.50 | ) | — | (0.06 | ) | (4.62 | ) | |||||||||||
Redemption fees | — | (2) | — | (2) | 0.03 | — | (2) | — | (2) | |||||||||||
Net asset value, end of period | $ | 7.66 | $ | 16.20 | $ | 16.12 | $ | 13.26 | $ | 11.00 | ||||||||||
Total investment return/(loss) (3) | (41.01 | )% | 24.86 | % | 21.57 | % | 21.15 | % | (25.88 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s) | $ | 26,388 | $ | 47,262 | $ | 41,671 | $ | 36,874 | $ | 30,387 | ||||||||||
Ratio of expenses to average net assets (4) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.74 | % | 1.51 | % | 1.57 | % | 2.13 | % | 1.82 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets (4) | (0.54 | )% | 0.22 | % | (0.37 | )% | 0.23 | % | (0.05 | )% | ||||||||||
Portfolio turnover rate | 66 | % | 84 | % | 138 | % | 114 | % | 89 | % |
(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. |
The accompanying notes are an integral part of the financial statements.
11
SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the Schneider Small Cap Value Fund (the “Fund”), which commenced investment operations on September 2, 1998.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The Fund’s investment objective seeks long-term capital growth.
The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.
The end of the reporting period for the Fund is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies 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 the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
August 31, 2019
The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | Investments | ||||||||||||||||
Common Stocks | $ | 26,348,780 | $ | 26,348,780 | $ | — | $ | — | $ | — | ||||||||||
Investments Purchased with Proceeds from Securities Lending Collateral | 4,578,243 | — | — | — | 4,578,243 | |||||||||||||||
Short-Term Investments | 26,852 | 26,852 | — | — | — | |||||||||||||||
Total Investments** | $ | 30,953,875 | $ | 26,375,632 | $ | — | $ | — | $ | 4,578,243 |
* | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
** | Please refer to the Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had an active market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Fund had no Level 3 transfers.
USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
August 31, 2019
on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
REDEMPTION FEES — Prior to December 31, 2017, the Fund imposed a redemption fee of 1.75% on redemptions of Fund shares held less than one year. Effective December 31, 2017, the Fund has changed its redemption fee to 1.00% on redemptions of Fund shares held less than 30 days. The fees are reflected on the Statement 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.
REITS — The Fund has made certain investments in real estate investment trusts (“REITs”), which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed a REITs’ taxable earnings and profits, resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.
OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.
2. | Investment Adviser and Other Services |
Schneider Capital Management Company (“SCM” or the “Adviser”) serves as the investment adviser to the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes.
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
August 31, 2019
This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020. The Fund will not pay the Adviser at a later time for any amounts it may waive or any amounts that the Adviser has assumed.
Advisory Fee | Expense Cap |
1.00% | 1.15% |
During the current fiscal period, investment advisory fees accrued and waived were as follows:
Gross Advisory | Waivers | Net Advisory |
$341,547 | $(203,171) | $138,376 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.
3. | Director and Officer Compensation |
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.
4. | Purchases and Sales of Investment Securities |
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
Purchases | Sales |
$24,291,643 | $22,258,211 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
August 31, 2019
5. | Federal Income Tax Information |
The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:
Federal Tax | Unrealized | Unrealized | Net |
$42,124,533 | $1,883,832 | $(13,054,490) | $(11,170,658) |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.
Permanent differences as of August 31, 2019, primarily attributable to short-term capital gains being netted against net operating loss, were reclassified among the following accounts:
Distributable | Paid-In |
$— | $— |
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed | Undistributed | Net | Late-Year | Post-October |
$— | $— | $(11,170,658) | $108,837 | $8,442,698 |
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, if applicable, are reportable as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the fiscal years ended August 31, 2019 and August 31, 2018 were as follows:
Ordinary | Long-Term | Return of | Total | |||||||||||||
2019 | $ | 5,151,579 | $ | 1,569,532 | $ | 33,637 | $ | 6,754,748 | ||||||||
2018 | 7,656,035 | 1,319,954 | — | 8,975,989 |
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Continued)
August 31, 2019
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. The Fund deferred qualified late-year losses of $8,551,535 which will be treated as arising on the first business day of the following fiscal year.
Accumulated capital losses represent net capital loss carryforwards as of August 31, 2019 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, 2019, the Fund had no tax basis capital loss carryovers to offset future capital gains.
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 Fund’s 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. Investments purchased with proceeds from securities lending are overnight and continuous. 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 cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:
market Value of | market Value | Income Received |
$4,315,052 | $4,578,243 | $47,616 |
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SCHNEIDER SMALL CAP VALUE FUND
Notes to Financial Statements (Concluded)
August 31, 2019
Securities lending transactions are entered into by the Fund’s securities lending agent on behalf of the Fund under a Master Securities Lending Agreement (“MSLA”), which permits the Fund’s securities lending agent on behalf of the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of 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 the end of the reporting period:
Gross Amount Not Offset in the | |||||
GROSS AMOUNTS OF | GROSS AMOUNTS | NET AMOUNT OF | FINANCIAL | FAIR VALUE CASH | NET |
$4,315,052 | $— | $4,315,052 | $(4,315,052) | $— | $— |
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. | NEW ACCOUNTING PRONOUNCEMENTS and regulatory updates |
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Fund’s financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
8. | 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.
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SCHNEIDER SMALL CAP VALUE FUND
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and Shareholders of Schneider Small Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Schneider Small Cap Value Fund (the “Fund”), a separately managed portfolio of The RBB Fund, Inc., as of August 31, 2019, the related statement of operations for the year ended August 31, 2019, the statement of changes in net assets for each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of August 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended August 31, 2019 and the financial highlights for each of the five years in the period ended August 31, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
Philadelphia, Pennsylvania
October 25, 2019
We have served as the auditor of one or more Schneider Capital Management Company investment companies since 1999.
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SCHNEIDER SMALL CAP VALUE FUND
Shareholder Tax Information
(Unaudited)
Certain tax information regarding the Fund is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2019. During the fiscal year ended August 31, 2019, the following dividends and distributions were paid by the Fund:
ORDINARY | LONG-TERM | TAX RETURN |
$5,151,579 | $1,569,532 | $33,637 |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
The percentage of ordinary income dividends qualifying for the 15% dividend tax rate is 11.28%.
The percentage of ordinary income dividends qualifying for the corporate dividends received deduction is 7.13%.
The Fund designates 100.00% of the ordinary income distributions as qualified short-term gain pursuant to the American Job Creation Act of 2004.
Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Fund, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting. Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Fund.
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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 SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Approval of Investment Advisory Agreement
As required by the 1940 Act, the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between SCM and the Company (the “Investment Advisory Agreement”) on behalf of the Fund, at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement, the Board considered information provided by SCM with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreement between the Company and SCM with respect to the Fund, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of SCM’s services provided to the Fund; (ii) descriptions of the experience and qualifications of SCM’s personnel providing those services; (iii) SCM’s investment philosophies and processes; (iv) SCM’s assets under management and client descriptions; (v) SCM’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) SCM’s current advisory fee arrangements with the Company and other similarly managed clients; (vii) SCM’s compliance procedures; (viii) SCM’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Fund; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Broadridge/Lipper comparing the Fund’s management fees and total expense ratio to those of its Lipper Group and comparing the performance of the Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by SCM. The Directors concluded that SCM had substantial resources to provide services to the Fund and that SCM’s services had been acceptable.
The Directors also considered the investment performance of the Fund and SCM. The Directors noted that the Schneider Small Cap Value Fund had outperformed its benchmark, the Russell 2000 Value Index, for the year-to-date, three-year and since-inception periods ended March 31, 2019. The Directors noted that for the three-year period ended December 31, 2018, the investment performance of the Fund ranked in the 2nd quintile within both of its Lipper Performance Group and Lipper Performance Universe.
The Board also considered the advisory fee rates payable by the Fund under the Investment Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratios (before and after fee waivers and expense reimbursements) was compared to similar information for mutual funds advised by other, unaffiliated investment
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SCHNEIDER SMALL CAP VALUE FUND
Other Information (CONCLUDED)
(Unaudited)
advisory firms. The Directors noted that the advisory fee, after waivers, and actual total expenses of the Fund were all lower than the Fund’s Lipper Expense Group medians. In addition, the Directors noted that SCM had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to the extent that total annual Fund operating expenses exceed 1.15% for the Fund.
After reviewing the information regarding SCM’s costs, profitability and economies of scale, and after considering SCM’s services, the Directors concluded that the investment advisory fees paid by the Fund were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one-year period ending August 16, 2020.
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SCHNEIDER SMALL CAP VALUE FUND
Company Management
(Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive offi cers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (888) 520-3277.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky 615 East Michigan Street Milwaukee, WI 53202 Age: 86 | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall 615 East Michigan Street Milwaukee, WI 53202 Age: 80 | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler 615 East Michigan Street Milwaukee, WI 53202 Age: 52 | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios) (registered investment company). |
Nicholas A. Giordano 615 East Michigan Street Milwaukee, WI 53202 Age: 76 | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
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SCHNEIDER SMALL CAP VALUE FUND
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Arnold M. Reichman 615 East Michigan Street Milwaukee, WI 53202 Age: 71 | Chairman
Director | 2005 to present
1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea 615 East Michigan Street Milwaukee, WI 53202 Age: 59 | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere 615 East Michigan Street Milwaukee, WI 53202 Age: 78 | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky 615 East Michigan Street Milwaukee, WI 53202 Age: 81 | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 56 | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw 615 East Michigan Street Milwaukee, WI 53202 Age: 58 | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
24
SCHNEIDER SMALL CAP VALUE FUND
Company Management (Continued)
(Unaudited)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
OFFICERS | |||||
Robert Amweg Vigilant Compliance, LLC Gateway Corporate Center Suite 216 223 Wilmington West Chester Pike Chadds Ford, PA 19317 Age: 66 | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt 615 East Michigan Street Milwaukee, WI 53202 Age: 36 | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz 615 East Michigan Street Milwaukee, WI 53202 Age: 48 | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 60 | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann One Logan Square Ste. 2000 Philadelphia, PA 19103 Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1 | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2 | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
25
SCHNEIDER SMALL CAP VALUE FUND
Company Management (Concluded)
(Unaudited)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
26
SCHNEIDER SMALL CAP VALUE FUND
Privacy Notice
(Unaudited)
FACTS | WHAT DOES THE SCHNEIDER SMALL CAP VALUE FUND DO WITH YOUR PERSONAL | ||
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. | ||
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
● Social Security number ● account balances ● account transactions ● transaction history ● wire transfer instructions ● checking account information
When you are no longer our customer, we continue to share your information as described in this notice. | ||
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Schneider Small Cap Value Fund chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your personal information | Does the Schneider Small Cap Value Fund share? | Can you limit this sharing? | |
For our everyday business purposes — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | No | We do not share. | |
For our affiliates’ everyday business purposes — | Yes | No | |
For our affiliates’ everyday business purposes — | No | We do not share. | |
For our affiliates to market to you | No | We do not share. | |
For nonaffiliates to market to you | No | We do not share. |
Questions? | Call (888) 520-3277 or go to www.schneidercap.com |
27
SCHNEIDER SMALL CAP VALUE FUND
Privacy Notice (Concluded)
(Unaudited)
What we do | |
How does the Schneider Small Cap Value Fund protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does the Schneider Small Cap Value Fund collect my personal information? | We collect your personal information, for example, when you
● open an account ● provide account information ● give us your contact information ● make a wire transfer ● tell us where to send the money
We also collect your information from others, such as credit bureaus, affiliates, or other companies. |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
● sharing for affiliates’ everyday business purposes – information about your creditworthiness ● affiliates from using your information to market to you ● sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | |
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
● Our affiliates include Schneider Capital Management, the investment adviser to the Schneider Small Cap Value Fund. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● The Schneider Small Cap Value Fund doesn’t share with nonaffiliates so they can market to you. The Schneider Small Cap Value Fund 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 Schneider Small Cap Value Fund does not jointly market. |
28
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[THIS PAGE INTENTIONALLY LEFT BLANK]
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, Suite 2000
Philadelphia, PA 19103-6996
SCH-AR19
SGI U.S. LARGE CAP EQUITY FUND
SGI U.S. SMALL CAP EQUITY FUND
SGI GLOBAL EQUITY FUND
of
The RBB Fund, Inc.
ANNUAL REPORT
August 31, 2019
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-888-251-4847.
You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call 1-888-251-4847 to inform the Funds that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.
This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.
SUMMIT GLOBAL INVESTMENTS
Annual Investment Adviser’s Report
August 31, 2019 (Unaudited)
Dear Shareholders:
We are grateful for the trust you’ve placed in Summit Global Investments (SGI). We know that it’s because of your trust we are able to do what we love and what we enjoy. I write this in every letter because it is true. I want you to know, more than anything else, we, everyone at SGI, are grateful and appreciative of this fact. Life is not easy. I don’t think it was intended to be, but having a job that doesn’t seem like a job but rather more of a passion helps. It can be a drug at times yes but having a life full of purpose and passion brings one direction and often can lead to peace. For me this most often happens when I recognize the face in the mirror is not responsible for all the outcomes. Others, many others, seen and unseen, bless my life daily.
Our equity strategies focus on managing equity risk and hopefully providing strong returns too. We do not walk between the rain drops. The market can make a quick fool out of anyone. This is not the design of SGI. We cannot control return. All we can control is how closely we follow our processes and how well our processes are designed. Do they account for the various market environments? Are they adhered to throughout all environments?
Lately I have heard many ‘market experts’ talk about the latest trend in investing, “ESG” (Environmental, Social and Governance). It seems to be the latest buzz. In addition to the many quantitative factors such as earnings variability, leverage, and volatility, we continually review the idiosyncratic risks associated with each stock. If these risks are deemed by the investment team as elevated with increased downside risks due to ESG issues, we will liquidate our position. We have never held a gambling company, adult content company or tobacco company. We decided to do this before SGI was born and it’s simply a part of our DNA. To see the ‘market experts’ identify this as the latest trend is great. We are humbled to say that we were cool before it was cool.
SGI funds are managed using both quantitative and fundamental disciplines. Our multi-factor quantitative process seeks to identify stocks with excellent risk/reward characteristics while our fundamental process allows us to identify and analyze risks that a purely quantitative process may miss, such as idiosyncratic risks that are not priced into a stock. For example, CEO turnover, aggressive accounting, labor disputes, litigation, investigations, dishonesty, lack of integrity, etc.
MARKET UPDATE
The end of August 2019 marked the 122nd month, or just over ten years, of economic expansion. This exceeds the longest prior post-war expansion from 1991-2001 of 120 months. Although we believe it is showing some growing indications of weakness, there is no explicit rule that states economic expansions have to die of old age. In fact, we believe that the relatively modest pace of this current expansion may indicate that typical excesses which occur late in business cycles have also remained modest, but that is not to suggest that risks don’t exist.
The U.S. has engaged in a tit-for-tat trade dispute with China that has negatively affected both economies, although we believe that it has likely done greater damage to China, due to the relatively larger trade surplus. For example, in the 2nd quarter of 2019 trade talks between the countries broke down. Subsequently, President Trump limited doing business with Huawei, one of the largest technology companies in China. The U.S. also increased tariffs on a much larger portion of imported goods from China. In retaliation, China reduced purchases from American farmers and technology companies, namely Apple. Although trade talks have resumed as of a recent G20 meeting in Osaka, Japan between President Xi Jinping and President Trump, we believe that a quick resolution with a new trade agreement seems unlikely.
President Trump instituted economy-crippling sanctions on Iran and is pressuring other countries to follow suit. In response, Iran threatened to close the Strait of Hormuz, through which passes 30% of the world’s oil. Additionally, Iran seems likely responsible for attacking two oil tankers and downing an American military drone near its border. This conflict remains at risk for escalation, which we believe would subsequently affect the oil and financial markets. Meanwhile, the U.S. did arrive at a new trade agreement with both Mexico and Canada that we believe should positively benefit all three economies.
1
SUMMIT GLOBAL INVESTMENTS
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
The yield curve, which had been flattening steadily over the past year, finally inverted (10-year Treasury bonds /3-year Treasury bonds). The Federal Reserve (the “Fed”) announced a policy reversal by eliminating further short-term interest rate increases for the remainder of 2019 and ending quantitative tightening by September through halting its balance sheet reduction. The U.S. Central bank voted on July 31, 2019 to reduce its benchmark interest rate by 25 basis points moving the target range for the federal funds rate to 2 percent from 2.25 percent.
We believe the U.S. Dollar is a concern because an increasingly dovish Fed may reduce the propensity of foreign investors to invest in U.S. financial assets, stocks and bonds, as the currency declines. We believe a declining U.S. Dollar, while good for exports will harm financial assets due to fewer foreign investors. Precious metals and commodities have reached six-year highs in this unusual environment where much of the global sovereign debt markets continue to have negative yields.
Additional risk to the global economy comes from the manufacturing sector. PMIs (Purchasing Managers Index) for the G7 economies, which includes the countries of Canada, France, Germany, Italy, Japan, the United Kingdom and U.S., have been contracting. Within the G7, only the U.S. and France are currently showing expanding manufacturing sectors, with the remaining G7 economies showing PMIs lower than 50, meaning contraction. Major stock market indices, especially in the U.S., remain near or at all-time highs. On the positive side, unemployment remains near historic lows and housing prices remain firm.
SGI U.S. Large Cap Equity Fund
The fund had positive contributions both from sector allocation and stock selection for the twelve months ended August 31, 2019. The amount the fund invests in an individual sector is determined by the risk and performance expectations of the individual stocks in that sector. The fund was, on average, overweight in consumer staples during the period, which contributed to the outperformance of the fund. Negatively, the strategy was underweight in information technology, and that sector performed very well over the period. Hershey (HSY) has been an investment in the fund throughout the period and has been a positive contributor.
The SGI U.S. Large Cap Equity Fund returned 5.83% (Class I) for the twelve months ended August 31, 2019. The performance of the S&P 500® Index was 2.92% over the same period.
SGI U.S. Small Cap Equity Fund
The fund had positive contributions from the sector allocation and risk management of the fund. However, stock selection proved to be negative. Altogether, the fund outperformed its benchmark for the twelve months ended August 31, 2019. The amount the fund invests in an individual sector is determined by the risk and performance expectations of the individual stocks in that sector. The fund was, on average, overweight in utilities during the year, which contributed to the outperformance of the fund. An underweight in energy also helped the fund outperform. Negatively, the strategy was underweight in information technology, and that sector performed very well over the period. Unitil Corp (UTL) has been an investment in the fund throughout the period and has been a positive contributor.
The SGI U.S. Small Cap Equity Fund returned -12.43% (Class I) for the twelve months ended August 31, 2019. The performance of the Russell 2000® Index was -12.89% over the same period.
SGI Global Equity Fund
The fund had positive contributions from sector allocation, country allocation and stock selection. Specifically, the stock selection was tremendous and was the primary driver of outperformance for the fund. The amount the fund invests in an individual sector or country is determined by the risk and performance expectations of the individual stocks in that sector or country. The fund was consistently underweight in Japan, which was a positive contributor to outperformance. Consumer staples was also overweight during the period, which benefited the fund. Bank of Montreal (BMO) was one of the few holdings that failed to perform in the fund. Both Hershey (HSY) and Starbucks (SBUX) were investments in the fund that had tremendous performance.
2
SUMMIT GLOBAL INVESTMENTS
Annual Investment Adviser’s Report (Continued)
August 31, 2019 (Unaudited)
The SGI Global Equity Fund returned 9.18% (Class I) for the twelve months ended August 31, 2019. The performance of the MSCI ACWI Index was -0.28% over the same period.
OUTLOOK
While the expansion is the longest in history, economic and political storm clouds continue to gather. The Brexit battle in Europe that has been ongoing since the 2016 vote is becoming more uncertain. Prime Minister Boris Johnson has been fighting for his own political survival while the October 31, 2019 deadline to leave the European Union approaches. In the U.S., we have our own political storm where uncertainty will likely accelerate as the 2020 election promises to be divisive and contentious.
Additionally, tensions in the Middle East, especially between Iran and Saudi Arabia, have escalated. Gold prices, typically indicative of economic and political unease, increased 27% in the past year to $1,504 per ounce. Heightened economic and political uncertainty may continue to elevate gold prices.
In the fixed income markets, over $19 trillion of debt have an unprecedented negative yield. With the U.S. and China battling in a trade war, both major economies are showing signs of slowing growth. Interest rates in Europe and Japan are already exhibiting negative yields, as U.S. and Chinese economies slow, we expect longer-term interest rates to remain lower for longer. Even though the Fed just cut short-term interest rates, the futures markets have already priced in a 71% probability of at least one more cut before the end of the year.
However, not all is dire. The stock market remains near its all-time peak. Unemployment remains at 50-year lows and the housing market remains strong. We believe that the banking system in the U.S. is resilient compared to a decade ago. The U.S. Dollar remains strong and the reserve currency of the world. Our outlook remains cautiously optimistic for equites and the U.S. economy.
In the meantime, we will continue to adhere to our disciplined, managed-risk, multi-factor investment processes. Over a full market cycle, this approach (by design) has historically limited downside risks and allowed for participation in market rallies. We believe it is time for investors to be proactively prudent lowering equity market risk by using our risk managed approach. We are grateful for the opportunity to help steward your investments.
Sincerely,
David Harden
President and Chief Investment Officer
Summit Global Investments, LLC
DISCLAIMERS
This material represents the manager’s assessment of the portfolio and market environment at a specific point in time and should not be relied upon by the reader as research or investment advice.
Mutual Fund investing involves risk. Principal loss 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. 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.
3
SUMMIT GLOBAL INVESTMENTS
Annual Investment Adviser’s Report (Concluded)
August 31, 2019 (Unaudited)
Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Schedule of Investments in this report for a complete list of fund holdings. 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.
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 MSCI ACWI Index captures large and mid cap representation across 23 Developed Markets (DM) and 26 Emerging Markets countries. With more than 2, 800 constituents, the index covers approximately 85% of the global investable equity opportunity set.
The Purchasing Managers Index (PMI) is a measure of the prevailing direction of economic trends in manufacturing, based on a monthly survey of supply chain managers across 19 industries, covering both upstream and downstream activity.
“Basis Points” are the percentage change in the value or rate of a financial instrument. One basis point is equivalent to 0.01%
It is not possible to invest directly in an index.
4
SGI U.S. LARGE CAP EQUITY FUND - CLASS I SHARES
Performance Data
August 31, 2019 (Unaudited)
Comparison of Change in Value of $1,000,000 Investment in SGI U.S. Large Cap Equity Fund - Class I Shares
vs. S&P 500® Index
This chart assumes a hypothetical $1,000,000 initial investment in the Fund’s Class I Shares made on February 29, 2012 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | |||||
One | Three | Five | Since | ||
Class I Shares | 5.83% | 12.53% | 11.23% | 12.50% | |
S&P 500® Index(2) | 2.92% | 12.70% | 10.11% | 13.03% |
(1) | Class I Shares of the Fund commenced operations on February 29, 2012. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 0.94% 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, 2020 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, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.98% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
5
SGI U.S. LARGE CAP EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
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.
6
SGI U.S. LARGE CAP EQUITY FUND - CLASS A SHARES
Performance Data (continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in SGI U.S. Large Cap Equity Fund - Class A Shares
vs. S&P 500® Index
This chart assumes a hypothetical $10,000 initial investment, adjusted for the Class A Shares maximum sales charge of 5.25% to a net initial investment of $9,475, in the Fund’s Class A Shares made on October 29, 2015 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Three | Since | ||
Class A Shares (without sales charge) | 5.61% | 12.27% | 11.34% | |
Class A Shares (with sales charge) | 0.04% | 10.28% | 9.79% | |
S&P 500® Index(2) | 2.92% | 12.70% | 11.45% |
(1) | Class A Shares of the Fund commenced operations on October 29, 2015. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 1.27% 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, 2020 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, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled
7
SGI U.S. LARGE CAP EQUITY FUND - CLASS A SHARES
Performance Data (continued)
August 31, 2019 (Unaudited)
to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.
8
SGI U.S. LARGE CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in SGI U.S. Large Cap Equity Fund - Class C Shares
vs. S&P 500® Index
This chart assumes a hypothetical $10,000 initial investment in the Fund’s Class C Shares made on December 31, 2015 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the S&P 500® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Three | Since | ||
Class C Shares | 4.78% | 11.46% | 11.29% | |
S&P 500® Index(2) | 2.92% | 12.70% | 12.57% |
(1) | Class C Shares of the Fund commenced operations on December 31, 2015. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 2.00% 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, 2020 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, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.98% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
9
SGI U.S. LARGE CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
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.
10
SGI U.S. SMALL CAP EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $1,000,000 Investment in SGI U.S. Small Cap Equity Fund - Class I Shares
vs. Russell 2000® Index
This chart assumes a hypothetical $1,000,000 initial investment in the Fund’s Class I Shares made on March 31, 2016 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Three | Since | ||
Class I Shares | -12.43% | 7.14% | 8.74% | |
Russell 2000® Index(2) | -12.89% | 7.89% | 10.47% |
(1) | Class I Shares of the Fund commenced operations on March 31, 2016. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 1.81% and 1.44%, 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, 2020 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, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.23% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
11
SGI U.S. SMALL CAP EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
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
SGI U.S. SMALL CAP EQUITY FUND - CLASS A SHARES (FORMERLY RETAIL CLASS SHARES)
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in SGI U.S. Small Cap Equity Fund - Class A Shares
vs. Russell 2000® Index
This chart assumes a hypothetical $10,000 initial investment in the Fund’s Class A Shares made on March 31, 2016 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Three | Since | ||
Class A Shares (without sales charge) | -12.61% | 6.89% | 8.52% | |
Class A Shares (with sales charge) | -17.17% | 4.98% | 6.83% | |
Russell 2000® Index(2) | -12.89% | 7.89% | 10.47% |
(1) | Class A Shares of the Fund commenced operations on March 31, 2016. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 2.07% and 1.69%, 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, 2020 to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.48% of the Fund’s average daily net assets attributable to Class A Shares. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed 1.48%: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation may not be terminated before December 31, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 1.48% of the Fund’s average daily net assets attributable to Class A Shares, the Adviser is entitled
13
SGI U.S. SMALL CAP EQUITY FUND - CLASS A SHARES (FORMERLY RETAIL CLASS SHARES)
Performance Data (Continued)
August 31, 2019 (Unaudited)
to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
The Fund’s investments will generally consist of securities, which may include common stocks, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change. The Fund evaluates performance as compared to that of the Russell 2000® Index (“Russell 2000®”). The Russell 2000® is a widely recognized, unmanaged index of 2,000 common stocks which are generally representative of the U.S. Small Companies. It is impossible to invest directly in an index.
The Fund invests in equity securities and in stocks of small companies which are subject to market, economic and business risks that may cause their price to rise or fall over time. Stocks of small companies may be more volatile, less liquid or not as readily marketable as those of larger companies. Small companies may also have limited product lines, markets or financial resources and may be dependent on relatively small or inexperienced management groups. Although the Fund seeks lower volatility, there is no guarantee the Fund will perform as expected.
14
SGI U.S. SMALL CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $10,000 Investment in SGI U.S. Small Cap Equity Fund - Class C Shares
vs. Russell 2000® Index
This chart assumes a hypothetical $10,000 initial investment in the Fund’s Class C Shares made on March 31, 2016 (commencement of operations) and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the Russell 2000® Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019 | ||||
One | Three | Since | ||
Class C Shares | -13.30% | 6.04% | 7.68% | |
Russell 2000® Index(2) | -12.89% | 7.89% | 10.47% |
(1) | Class C Shares of the Fund commenced operations on March 31, 2016. |
(2) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 2.82% and 2.44%, 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, 2020 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, 2020 without the approval of the Board of Directors of The RBB Fund, Inc. If at any time the Fund’s total annual Fund operating expenses for a year are less than 2.23% of the Fund’s average daily net assets attributable to Class C Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
15
SGI U.S. SMALL CAP EQUITY FUND - CLASS C SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
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.
16
SGI GLOBAL EQUITY FUND - CLASS I SHARES
Performance Data (Continued)
August 31, 2019 (Unaudited)
Comparison of Change in Value of $1,000,000 Investment in SGI U.S. Small Cap Equity Fund - Class I Shares
vs. MSCI ACWI Index
This chart assumes a hypothetical $1,000,000 minimum initial investment, in the Fund’s Class I Shares made on August 31, 2009 and reflects Fund expenses. Investors should note that the Fund is an actively managed mutual fund while the MSCI ACWI Index is unmanaged, does not incur expenses and is not available for investment.
Average Annual Total Returns for the periods ended August 31, 2019(1) | |||||
One | Five | Ten | Since | ||
Class I Shares(2) | 9.18% | 6.96% | 15.73% | 16.65% | |
MSCI ACWI Index(3) | -0.28% | 5.51% | 8.61% | 11.46% |
(1) | Returns for periods prior to January 3, 2017 were generated under the management of the Fund’s former investment adviser and reflect a previous investment strategy. |
(2) | 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”). |
(3) | 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 (888) 251-4847.
The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2018, are 1.25% 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, 2020 to the extent necessary to ensure that the Fund’s total annual operating expenses (excluding taxes, extraordinary expenses, brokerage commissions and interest) do
17
SGI GLOBAL EQUITY FUND - CLASS I SHARES
Performance Data (CONcluded)
August 31, 2019 (Unaudited)
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, 2020, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination. If at any time the Fund’s total annual Fund operating expenses for a year are less than 0.84% of the Fund’s average daily net assets attributable to Class I Shares, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.
International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing, and other financial practices.
The MSCI ACWI Index (the “Index”) captures large and mid cap representation across 23 Developed Markets (DM) and 24 Emerging Markets (EM) countries. With more than 2,700 constituents, the index covers approximately 85% of the global investable equity opportunity set. It is not possible to invest directly with an index.
18
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples
August 31, 2019 (Unaudited)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments (if applicable); and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2019 through August 31, 2019 and held for the entire period.
Actual Expenses
The first line of the accompanying tables provide information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the accompanying tables provide information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second section of the accompanying tables is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
SGI U.S. Large Cap Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,087.70 | $ 4.63 | 0.88% | 8.77% |
Class A Shares | 1,000.00 | 1,086.10 | 5.94 | 1.13 | 8.61 |
Class C Shares | 1,000.00 | 1,082.10 | 9.87 | 1.88 | 8.21 |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,020.77 | $ 4.48 | 0.88% | N/A |
Class A Shares | 1,000.00 | 1,019.51 | 5.75 | 1.13 | N/A |
Class C Shares | 1,000.00 | 1,015.73 | 9.55 | 1.88 | N/A |
19
SUMMIT GLOBAL INVESTMENTS
Fund Expense Examples (Concluded)
August 31, 2019 (Unaudited)
SGI U.S. Small Cap Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 983.70 | $ 6.15 | 1.23% | -1.63% |
Class A Shares | 1,000.00 | 982.80 | 7.40 | 1.48 | -1.72 |
Class C Shares | 1,000.00 | 978.20 | 11.12 | 2.23 | -2.18 |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,019.00 | $ 6.26 | 1.23% | N/A |
Class A Shares | 1,000.00 | 1,017.74 | 7.53 | 1.48 | N/A |
Class C Shares | 1,000.00 | 1,013.96 | 11.32 | 2.23 | N/A |
SGI Global Equity Fund | |||||
Beginning | Ending | Expenses | Annualized | Actual | |
Actual | |||||
Class I Shares | $ 1,000.00 | $ 1,077.30 | $ 4.40 | 0.84% | 7.73% |
Hypothetical (5% return before expenses) | |||||
Class I Shares | $ 1,000.00 | $ 1,020.97 | $ 4.28 | 0.84% | N/A |
* | Expenses are equal to each Fund’s annualized six-month expense ratio for the period March 1, 2019 to August 31, 2019, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. Each Fund’s ending account values on the first line in the tables is based on the actual six-month total investment return for each Fund. |
20
SGI U.S. LARGE CAP EQUITY FUND
Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Retail | 10.2 | % | $ | 52,638,519 | ||||
Food | 8.3 | 42,728,444 | ||||||
Software | 7.9 | 40,446,632 | ||||||
Electric | 6.7 | 34,316,345 | ||||||
Pharmaceuticals | 5.7 | 29,038,295 | ||||||
REITS | 5.0 | 25,796,142 | ||||||
Chemicals | 3.8 | 19,601,828 | ||||||
Computers | 3.5 | 18,036,771 | ||||||
Commercial Services | 3.2 | 16,621,070 | ||||||
Water | 2.9 | 15,077,628 | ||||||
Insurance | 2.8 | 14,614,957 | ||||||
Home Builders | 2.8 | 14,396,000 | ||||||
Cosmetics & Personal Care | 2.6 | 13,121,518 | ||||||
Lodging | 2.4 | 12,250,582 | ||||||
Diversified Financial Services | 2.2 | 11,340,830 | ||||||
Electronics | 2.1 | 10,942,068 | ||||||
Housewares | 2.1 | 10,830,304 | ||||||
Media | 2.1 | 10,736,322 | ||||||
Healthcare-Products | 2.0 | 10,181,868 | ||||||
Healthcare-Services | 1.7 | 8,549,661 | ||||||
Distribution & Wholesale | 1.7 | 8,486,550 | ||||||
Beverages | 1.5 | 7,875,648 | ||||||
Mining | 1.5 | 7,829,406 | ||||||
Gas | 1.4 | 6,964,260 | ||||||
Telecommunications | 1.3 | 6,767,371 | ||||||
Banks | 1.2 | 6,409,201 | ||||||
Semiconductors | 1.2 | 6,104,724 | ||||||
Real Estate | 1.0 | 5,281,570 | ||||||
Environmental Control | 1.0 | 4,975,950 | ||||||
Machinery-Diversified | 0.9 | 4,728,524 | ||||||
Auto Parts & Equipment | 0.8 | 4,216,407 | ||||||
Oil & Gas | 0.6 | 3,167,417 | ||||||
Apparel | 0.4 | 2,065,140 | ||||||
Internet | 0.4 | 1,936,475 | ||||||
Household Products & Wares | 0.3 | 1,581,600 | ||||||
Aerospace/Defense | 0.2 | 1,190,741 | ||||||
Home Furnishings | 0.2 | 1,028,052 | ||||||
Shipbuilding | 0.2 | 1,003,200 | ||||||
Transportation | 0.2 | 954,737 | ||||||
Iron & Steel | 0.2 | 950,212 | ||||||
EXCHANGE-TRADED FUNDS | 1.5 | 7,666,490 | ||||||
SHORT-TERM INVESTMENTS | 1.8 | 9,345,648 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | 2,403,325 | ||||||
NET ASSETS | 100 | % | $ | 514,198,432 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
21
SGI U.S. LARGE CAP EQUITY FUND
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
COMMON STOCKS - 96.2% | ||||||||
Aerospace/Defense — 0.2% | ||||||||
Lockheed Martin Corp. | 3,100 | $ | 1,190,741 | |||||
Apparel — 0.4% | ||||||||
VF Corp. | 25,200 | 2,065,140 | ||||||
Auto Parts & Equipment — 0.8% | ||||||||
Allison Transmission Holdings, Inc. | 94,900 | 4,216,407 | ||||||
Banks — 1.2% | ||||||||
Northern Trust Corp. | 45,800 | 4,027,194 | ||||||
Regions Financial Corp. | 67,400 | 985,388 | ||||||
Umpqua Holdings Corp. | 88,900 | 1,396,619 | ||||||
6,409,201 | ||||||||
Beverages — 1.5% | ||||||||
PepsiCo, Inc. | 57,600 | 7,875,648 | ||||||
Chemicals — 3.8% | ||||||||
Air Products & Chemicals, Inc. | 16,900 | 3,818,048 | ||||||
Axalta Coating Systems Ltd.* | 269,100 | 7,771,608 | ||||||
CF Industries Holdings, Inc. | 144,000 | 6,939,360 | ||||||
Ecolab, Inc. | 5,200 | 1,072,812 | ||||||
19,601,828 | ||||||||
Commercial Services — 3.2% | ||||||||
Robert Half International, Inc. | 43,700 | 2,336,639 | ||||||
S&P Global, Inc. | 54,900 | 14,284,431 | ||||||
16,621,070 | ||||||||
Computers — 3.5% | ||||||||
Accenture PLC, Class A, (Ireland) | 23,900 | 4,736,263 | ||||||
Amdocs Ltd. | 25,500 | 1,650,870 | ||||||
Apple, Inc. | 19,400 | 4,049,556 | ||||||
Cognizant Technology Solutions Corp. | 123,800 | 7,600,082 | ||||||
18,036,771 | ||||||||
Cosmetics & Personal Care — 2.6% | ||||||||
Colgate-Palmolive Co. | 90,400 | 6,703,160 | ||||||
Estee Lauder Cos, Inc., (The), Class A | 14,200 | 2,811,458 | ||||||
Procter & Gamble Co., (The) | 30,000 | 3,606,900 | ||||||
13,121,518 | ||||||||
Distribution & Wholesale — 1.7% | ||||||||
Copart, Inc.* | 98,800 | 7,448,532 | ||||||
Fastenal Co. | 33,900 | 1,038,018 | ||||||
8,486,550 | ||||||||
Diversified Financial Services — 2.2% | ||||||||
Cboe Global Markets, Inc. | 74,100 | 8,829,756 | ||||||
T Rowe Price Group, Inc. | 22,700 | 2,511,074 | ||||||
11,340,830 | ||||||||
Electric — 6.7% | ||||||||
Avangrid, Inc. | 153,100 | $ | 7,737,674 | |||||
Consolidated Edison, Inc. | 11,600 | 1,031,240 | ||||||
Evergy, Inc. | 154,500 | 10,042,500 | ||||||
OGE Energy Corp. | 161,700 | 6,932,079 | ||||||
Pinnacle West Capital Corp. | 18,400 | 1,753,704 | ||||||
Sempra Energy | 8,200 | 1,161,366 | ||||||
Xcel Energy, Inc. | 88,100 | 5,657,782 | ||||||
34,316,345 | ||||||||
Electronics — 2.1% | ||||||||
Garmin Ltd., (Switzerland) | 21,900 | 1,786,383 | ||||||
Mettler-Toledo International, Inc.* | 1,700 | 1,116,543 | ||||||
National Instruments Corp. | 167,300 | 7,026,600 | ||||||
TE Connectivity Ltd., (Switzerland) | 11,100 | 1,012,542 | ||||||
10,942,068 | ||||||||
Environmental Control — 1.0% | ||||||||
Republic Services, Inc. | 37,700 | 3,364,725 | ||||||
Waste Management, Inc. | 13,500 | 1,611,225 | ||||||
4,975,950 | ||||||||
Food — 8.3% | ||||||||
Flowers Foods, Inc. | 448,000 | 10,214,400 | ||||||
Hershey Co., (The) | 88,000 | 13,946,240 | ||||||
Ingredion, Inc. | 111,300 | 8,600,151 | ||||||
Sysco Corp. | 134,100 | 9,967,653 | ||||||
42,728,444 | ||||||||
Gas — 1.4% | ||||||||
National Fuel Gas Co. | 149,000 | 6,964,260 | ||||||
Healthcare-Products — 2.0% | ||||||||
Baxter International, Inc. | 62,400 | 5,488,080 | ||||||
IDEXX Laboratories, Inc.* | 16,200 | 4,693,788 | ||||||
10,181,868 | ||||||||
Healthcare-Services — 1.7% | ||||||||
Chemed Corp. | 2,900 | 1,245,347 | ||||||
Humana, Inc. | 3,400 | 962,914 | ||||||
UnitedHealth Group, Inc. | 27,100 | 6,341,400 | ||||||
8,549,661 | ||||||||
Home Builders — 2.8% | �� | |||||||
NVR, Inc.* | 4,000 | 14,396,000 | ||||||
Home Furnishings — 0.2% | ||||||||
Dolby Laboratories Inc., Class A | 16,700 | 1,028,052 | ||||||
Household Products & Wares — 0.3% | ||||||||
Clorox Co., (The) | 10,000 | 1,581,600 | ||||||
Housewares — 2.1% | ||||||||
Toro Co., (The) | 150,400 | 10,830,304 |
The accompanying notes are an integral part of the financial statements.
22
SGI U.S. LARGE CAP EQUITY FUND
Portfolio of Investments (CONTINUED)
August 31, 2019
Number | Value | |||||||
Insurance — 2.8% | ||||||||
Allstate Corp., (The) | 35,900 | $ | 3,675,801 | |||||
American International Group, Inc. | 110,400 | 5,745,216 | ||||||
First American Financial Corp. | 48,400 | 2,828,980 | ||||||
Progressive Corp., (The) | 31,200 | 2,364,960 | ||||||
14,614,957 | ||||||||
Internet — 0.4% | ||||||||
Alphabet, Inc., Class A* | 800 | 952,424 | ||||||
Facebook, Inc., Class A* | 5,300 | 984,051 | ||||||
1,936,475 | ||||||||
Iron & Steel — 0.2% | ||||||||
Nucor Corp. | 19,400 | 950,212 | ||||||
Lodging — 2.4% | ||||||||
Choice Hotels International, Inc. | 84,400 | 7,678,712 | ||||||
Extended Stay America, Inc. | 325,400 | 4,571,870 | ||||||
12,250,582 | ||||||||
Machinery-Diversified — 0.9% | ||||||||
Cummins, Inc. | 6,400 | 955,328 | ||||||
Graco, Inc. | 82,800 | 3,773,196 | ||||||
4,728,524 | ||||||||
Media — 2.1% | ||||||||
CBS Corp., Class B | 19,000 | 799,140 | ||||||
Charter Communications, Inc., Class A* | 6,400 | 2,621,376 | ||||||
Comcast Corp., Class A | 110,400 | 4,886,304 | ||||||
Walt Disney Co., (The) | 17,700 | 2,429,502 | ||||||
10,736,322 | ||||||||
Mining — 1.5% | ||||||||
Royal Gold, Inc. | 58,700 | 7,829,406 | ||||||
Oil & Gas — 0.6% | ||||||||
ConocoPhillips | 23,500 | 1,226,230 | ||||||
Exxon Mobil Corp. | 13,800 | 945,024 | ||||||
Phillips 66 | 10,100 | 996,163 | ||||||
3,167,417 | ||||||||
Pharmaceuticals — 5.7% | ||||||||
AbbVie, Inc. | 74,800 | 4,917,352 | ||||||
Bristol-Myers Squibb Co. | 215,100 | 10,339,857 | ||||||
Eli Lilly & Co. | 33,100 | 3,739,307 | ||||||
Jazz Pharmaceuticals PLC, (Ireland)* | 6,700 | 858,605 | ||||||
PRA Health Sciences, Inc.* | 9,900 | 978,516 | ||||||
Zoetis, Inc. | 64,900 | 8,204,658 | ||||||
29,038,295 | ||||||||
Real Estate — 1.0% | ||||||||
Jones Lang LaSalle, Inc. | 39,400 | 5,281,570 | ||||||
REITS — 5.0% | ||||||||
American Tower Corp. | 16,000 | $ | 3,683,040 | |||||
Equity LifeStyle Properties Inc. | 14,400 | 1,939,968 | ||||||
Liberty Property Trust | 19,200 | 1,000,704 | ||||||
Public Storage | 30,500 | 8,074,570 | ||||||
Rayonier, Inc. | 196,000 | 5,252,800 | ||||||
UDR, Inc. | 21,500 | 1,035,870 | ||||||
Weingarten Realty Investors | 49,000 | 1,298,010 | ||||||
WP Carey, Inc. | 39,100 | 3,511,180 | ||||||
25,796,142 | ||||||||
Retail — 10.2% | ||||||||
Costco Wholesale Corp. | 8,500 | 2,505,460 | ||||||
Darden Restaurants, Inc. | 62,700 | 7,585,446 | ||||||
Dollar General Corp. | 28,800 | 4,495,392 | ||||||
Home Depot, Inc., (The) | 26,200 | 5,971,242 | ||||||
Ross Stores, Inc. | 13,600 | 1,441,736 | ||||||
Starbucks Corp. | 43,100 | 4,161,736 | ||||||
TJX Cos, Inc., (The) | 197,900 | 10,878,563 | ||||||
Tractor Supply Co. | 11,800 | 1,202,184 | ||||||
Wal-Mart Stores, Inc. | 126,000 | 14,396,760 | ||||||
52,638,519 | ||||||||
Semiconductors — 1.2% | ||||||||
Teradyne, Inc. | 95,858 | 5,077,599 | ||||||
Texas Instruments, Inc. | 8,300 | 1,027,125 | ||||||
6,104,724 | ||||||||
Shipbuilding — 0.2% | ||||||||
Huntington Ingalls Industries, Inc. | 4,800 | 1,003,200 | ||||||
Software — 7.9% | ||||||||
Aspen Technology, Inc.* | 20,500 | 2,730,600 | ||||||
Cadence Design Systems, Inc.* | 53,600 | 3,670,528 | ||||||
CDK Global, Inc. | 81,700 | 3,526,172 | ||||||
Fidelity National Information Services, Inc. | 8,100 | 1,103,382 | ||||||
Fiserv, Inc.* | 83,700 | 8,950,878 | ||||||
Intuit, Inc. | 26,400 | 7,612,704 | ||||||
Paychex, Inc. | 43,100 | 3,521,270 | ||||||
Synopsys, Inc.* | 65,800 | 9,331,098 | ||||||
40,446,632 | ||||||||
Telecommunications — 1.3% | ||||||||
Cisco Systems, Inc. | 86,700 | 4,058,427 | ||||||
T-Mobile US, Inc.* | 12,800 | 999,040 | ||||||
Verizon Communications, Inc. | 29,400 | 1,709,904 | ||||||
6,767,371 | ||||||||
Transportation — 0.2% | ||||||||
CH Robinson Worldwide, Inc. | 11,300 | 954,737 |
The accompanying notes are an integral part of the financial statements.
23
SGI U.S. LARGE CAP EQUITY FUND
Portfolio of Investments (Concluded)
August 31, 2019
Number | Value | |||||||
Water — 2.9% | ||||||||
American Water Works Co, Inc. | 105,900 | $ | 13,483,188 | |||||
Aqua America, Inc. | 36,000 | 1,594,440 | ||||||
15,077,628 | ||||||||
TOTAL COMMON STOCKS (Cost $419,835,856) | 494,782,969 | |||||||
EXCHANGE-TRADED FUNDS - 1.5% | ||||||||
iShares Core S&P 500 ETF | 13,000 | 3,825,510 | ||||||
Vanguard S&P 500 ETF | 14,300 | 3,840,980 | ||||||
7,666,490 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $7,658,590) | 7,666,490 | |||||||
SHORT-TERM INVESTMENTS - 1.8% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 2.00% (a) | 9,345,648 | 9,345,648 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $9,345,648) | 9,345,648 | |||||||
TOTAL INVESTMENTS - 99.5% (Cost $436,840,094) | 511,795,107 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% | 2,403,325 | |||||||
NET ASSETS - 100.0% | $ | 514,198,432 |
* | Non-income producing security. |
(a) | Seven-day yield as of August 31, 2019. |
ETF Exchange-Traded Fund
PLC Public Limited Company.
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
24
SGI U.S. SMALL CAP EQUITY FUND
Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
REITS | 18.3 | % | $ | 6,936,332 | ||||
Commercial Services | 10.7 | 4,032,453 | ||||||
Banks | 10.4 | 3,920,658 | ||||||
Electric | 7.2 | 2,726,922 | ||||||
Retail | 5.5 | 2,085,747 | ||||||
Investment Companies | 3.8 | 1,446,126 | ||||||
Chemicals | 2.7 | 1,022,772 | ||||||
Pharmaceuticals | 2.4 | 923,530 | ||||||
Food | 2.4 | 900,891 | ||||||
Gas | 2.1 | 789,525 | ||||||
Electronics | 2.0 | 769,541 | ||||||
Water | 2.0 | 756,895 | ||||||
Insurance | 1.9 | 722,734 | ||||||
Internet | 1.9 | 698,412 | ||||||
Healthcare-Services | 1.8 | 662,865 | ||||||
Semiconductors | 1.3 | 479,228 | ||||||
Biotechnology | 1.1 | 407,340 | ||||||
Energy-Alternate Sources | 1.1 | 403,648 | ||||||
Miscellaneous Manufacturing | 1.1 | 400,554 | ||||||
Computers | 1.1 | 397,300 | ||||||
Textiles | 1.0 | 391,820 | ||||||
Home Builders | 1.0 | 381,760 | ||||||
Leisure Time | 1.0 | 380,664 | ||||||
Metal Fabricate/Hardware | 1.0 | 366,459 | ||||||
Communications Equipment | 1.0 | 364,389 | ||||||
Lodging | 0.9 | 355,736 | ||||||
Airlines | 0.9 | 332,108 | ||||||
Oil & Gas Services | 0.9 | 322,376 | ||||||
Software | 0.8 | 317,250 | ||||||
Healthcare-Products | 0.8 | 310,124 | ||||||
Diversified Financial Services | 0.8 | 307,149 | ||||||
Telecommunications | 0.8 | 304,854 | ||||||
Agriculture | 0.8 | 301,456 | ||||||
Forest Products & Paper | 0.8 | 299,766 | ||||||
Machinery-Diversified | 0.8 | 298,984 | ||||||
Cosmetics & Personal Care | 0.8 | 283,968 | ||||||
EXCHANGE-TRADED FUNDS | 3.0 | 1,140,488 | ||||||
SHORT-TERM INVESTMENTS | 1.2 | 438,082 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.9 | 331,715 | ||||||
NET ASSETS | 100 | % | $ | 37,712,621 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
25
SGI U.S. SMALL CAP EQUITY FUND
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
COMMON STOCKS - 94.9% | ||||||||
Agriculture — 0.8% | ||||||||
Limoneira Co. | 16,600 | $ | 301,456 | |||||
Airlines — 0.9% | ||||||||
SkyWest, Inc. | 5,800 | 332,108 | ||||||
Banks — 10.4% | ||||||||
Bryn Mawr Bank Corp. | 9,700 | 330,770 | ||||||
Carolina Financial Corp. | 9,400 | 321,010 | ||||||
First Bancshares, Inc., (The) | 11,800 | 372,172 | ||||||
First Financial Corp. | 9,290 | 377,174 | ||||||
German American Bancorp, Inc. | 11,962 | 365,200 | ||||||
Great Southern Bancorp, Inc. | 6,600 | 371,844 | ||||||
Heritage Commerce Corp. | 28,100 | 325,679 | ||||||
Independent Bank Corp. | 19,100 | 371,113 | ||||||
Opus Bank | 16,800 | 348,768 | ||||||
Preferred Bank | 7,400 | 369,704 | ||||||
QCR Holdings, Inc. | 10,400 | 367,224 | ||||||
3,920,658 | ||||||||
Biotechnology — 1.1% | ||||||||
Emergent BioSolutions, Inc.* | 9,300 | 407,340 | ||||||
Chemicals — 2.7% | ||||||||
American Vanguard Corp. | 26,761 | 379,203 | ||||||
Materion Corp. | 5,720 | 336,565 | ||||||
Sensient Technologies Corp. | 4,700 | 307,004 | ||||||
1,022,772 | ||||||||
Commercial Services — 10.7% | ||||||||
Carriage Services, Inc. | 18,704 | 397,834 | ||||||
Ennis, Inc. | 19,200 | 386,112 | ||||||
ICF International, Inc. | 4,100 | 347,106 | ||||||
International Money Express, Inc.* | 30,000 | 391,200 | ||||||
K12, Inc.* | 14,100 | 371,535 | ||||||
Kelly Services, Inc., Class A | 14,000 | 338,940 | ||||||
SP Plus Corp.* | 11,200 | 386,512 | ||||||
TrueBlue, Inc.* | 15,431 | 299,516 | ||||||
Vectrus, Inc.* | 8,950 | 362,117 | ||||||
Viad Corp. | 5,700 | 368,391 | ||||||
Willdan Group, Inc.* | 10,600 | 383,190 | ||||||
4,032,453 | ||||||||
Communications Equipment — 1.0% | ||||||||
Comtech Telecommunications Corp. | 13,622 | 364,389 | ||||||
Computers — 1.1% | ||||||||
Sykes Enterprises, Inc.* | 13,700 | 397,300 | ||||||
Cosmetics & Personal Care — 0.8% | ||||||||
Edgewell Personal Care Co.* | 10,200 | 283,968 | ||||||
Diversified Financial Services — 0.8% | ||||||||
Provident Financial Services, Inc. | 12,900 | 307,149 | ||||||
Electric — 7.2% | ||||||||
ALLETE, Inc. | 4,400 | $ | 377,212 | |||||
Avista Corp. | 8,400 | 393,960 | ||||||
NorthWestern Corp. | 5,500 | 398,420 | ||||||
Otter Tail Corp. | 7,300 | 369,526 | ||||||
PNM Resources, Inc. | 7,900 | 402,979 | ||||||
Portland General Electric Co. | 6,900 | 392,541 | ||||||
Unitil Corp. | 6,498 | 392,284 | ||||||
2,726,922 | ||||||||
Electronics — 2.0% | ||||||||
Ituran Location and Control Ltd., (Israel) | 14,110 | 363,191 | ||||||
Universal Electronics, Inc.* | 9,000 | 406,350 | ||||||
769,541 | ||||||||
Energy-Alternate Sources — 1.1% | ||||||||
TerraForm Power, Inc. | 23,800 | 403,648 | ||||||
Food — 2.4% | ||||||||
Ingles Markets, Inc., Class A | 12,769 | 496,459 | ||||||
Landec Corp.* | 36,800 | 404,432 | ||||||
900,891 | ||||||||
Forest Products & Paper — 0.8% | ||||||||
Neenah, Inc. | 4,700 | 299,766 | ||||||
Gas — 2.1% | ||||||||
Chesapeake Utilities Corp. | 4,200 | 397,236 | ||||||
Southwest Gas Holdings, Inc. | 4,300 | 392,289 | ||||||
789,525 | ||||||||
Healthcare-Products — 0.8% | ||||||||
Orthofix Medical, Inc.* | 6,100 | 310,124 | ||||||
Healthcare-Services — 1.8% | ||||||||
MEDNAX, Inc.* | 13,900 | 293,012 | ||||||
Triple-S Management Corp.* | 18,024 | 369,853 | ||||||
662,865 | ||||||||
Home Builders — 1.0% | ||||||||
Taylor Morrison Home Corp.* | 16,000 | 381,760 | ||||||
Insurance — 1.9% | ||||||||
FBL Financial Group, Inc., Class A | 6,800 | 368,764 | ||||||
Heritage Insurance Holdings, Inc. | 27,000 | 353,970 | ||||||
722,734 | ||||||||
Internet — 1.9% | ||||||||
ePlus, Inc.* | 4,310 | 352,213 | ||||||
HealthStream, Inc.* | 13,700 | 346,199 | ||||||
698,412 | ||||||||
Investment Companies — 3.8% | ||||||||
Fidus Investment Corp. | 22,548 | 341,377 | ||||||
Gladstone Capital Corp. | 37,995 | 354,113 | ||||||
PennantPark Investment Corp. | 57,677 | 363,942 |
The accompanying notes are an integral part of the financial statements.
26
SGI U.S. SMALL CAP EQUITY FUND
Portfolio of Investments (Concluded)
August 31, 2019
Number | Value | |||||||
Investment Companies — 3.8% (Continued) | ||||||||
Solar Capital Ltd. | 18,900 | $ | 386,694 | |||||
1,446,126 | ||||||||
Leisure Time — 1.0% | ||||||||
Lindblad Expeditions Holdings, Inc.* | 20,400 | 380,664 | ||||||
Lodging — 0.9% | ||||||||
Marcus Corp., (The) | 10,600 | 355,736 | ||||||
Machinery-Diversified — 0.8% | ||||||||
Applied Industrial Technologies, Inc. | 5,600 | 298,984 | ||||||
Metal Fabricate/Hardware — 1.0% | ||||||||
Northwest Pipe Co.* | 15,933 | 366,459 | ||||||
Miscellaneous Manufacturing — 1.1% | ||||||||
Myers Industries, Inc. | 23,800 | 400,554 | ||||||
Oil & Gas Services — 0.9% | ||||||||
Exterran Corp.* | 30,557 | 322,376 | ||||||
Pharmaceuticals — 2.4% | ||||||||
Amphastar Pharmaceuticals, Inc.* | 21,500 | 482,890 | ||||||
BioSpecifics Technologies Corp.* | 8,000 | 440,640 | ||||||
923,530 | ||||||||
REITS — 18.3% | ||||||||
American Assets Trust, Inc. | 8,420 | 394,561 | ||||||
Apple Hospitality REIT, Inc. | 25,000 | 398,250 | ||||||
Ares Commercial Real Estate Corp. | 24,877 | 372,906 | ||||||
CatchMark Timber Trust, Inc. | 39,000 | 386,490 | ||||||
Cherry Hill Mortgage Investment Corp. | 25,800 | 310,374 | ||||||
Chimera Investment Corp. | 18,500 | 352,795 | ||||||
CorEnergy Infrastructure Trust, Inc. | 8,125 | 366,519 | ||||||
Exantas Capital Corp. | 33,470 | 375,199 | ||||||
First Industrial Realty Trust, Inc. | 9,200 | 358,340 | ||||||
Franklin Street Properties Corp. | 49,900 | 377,743 | ||||||
Investors Real Estate Trust | 6,000 | 415,500 | ||||||
iStar, Inc. | 28,100 | 359,680 | ||||||
National Health Investors, Inc. | 4,700 | 389,912 | ||||||
Office Properties Income Trust | 13,146 | 356,388 | ||||||
One Liberty Properties, Inc. | 13,500 | 361,530 | ||||||
Saul Centers, Inc. | 6,482 | 325,591 | ||||||
Summit Hotel Properties, Inc. | 34,100 | 380,556 | ||||||
Urstadt Biddle Properties, Inc., Class A | 16,200 | 340,038 | ||||||
Western Asset Mortgage Capital Corp. | 33,400 | 313,960 | ||||||
6,936,332 | ||||||||
Retail — 5.5% | ||||||||
Foundation Building Materials, Inc.* | 17,589 | $ | 301,299 | |||||
Haverty Furniture Cos, Inc. | 16,800 | 321,720 | ||||||
PC Connection, Inc. | 10,894 | 383,796 | ||||||
Rush Enterprises, Inc., Class A | 10,400 | 375,544 | ||||||
Ruth’s Hospitality Group, Inc. | 17,400 | 338,430 | ||||||
Suburban Propane Partners LP | 15,650 | 364,958 | ||||||
2,085,747 | ||||||||
Semiconductors — 1.3% | ||||||||
Photronics, Inc.* | 44,373 | 479,228 | ||||||
Software — 0.8% | ||||||||
Computer Programs & Systems, Inc. | 15,000 | 317,250 | ||||||
Telecommunications — 0.8% | ||||||||
InterDigital, Inc. | 6,200 | 304,854 | ||||||
Textiles — 1.0% | ||||||||
UniFirst Corp. | 2,000 | 391,820 | ||||||
Water — 2.0% | ||||||||
California Water Service Group | 6,489 | 366,239 | ||||||
Middlesex Water Co. | 6,400 | 390,656 | ||||||
756,895 | ||||||||
TOTAL COMMON STOCKS (Cost $35,333,683) | 35,802,336 | |||||||
EXCHANGE-TRADED FUNDS - 3.0% | ||||||||
iShares Russell 2000 ETF | 3,800 | 565,592 | ||||||
Vanguard Russell 2000 ETF | 4,800 | 574,896 | ||||||
1,140,488 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $1,134,007) | 1,140,488 | |||||||
SHORT-TERM INVESTMENTS - 1.2% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 2.00% (a) | 438,082 | 438,082 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $438,082) | 438,082 | |||||||
TOTAL INVESTMENTS - 99.1% (Cost $36,905,772) | 37,380,906 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.9% | 331,715 | |||||||
NET ASSETS - 100.0% | $ | 37,712,621 |
* | Non-income producing security. |
(a) | Seven-day yield as of August 31, 2019. |
ETF Exchange-Traded Fund
REIT Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
27
SGI GLOBAL EQUITY FUND
Portfolio Holdings Summary Table
August 31, 2019 (Unaudited)
The following table presents a summary by sector of the portfolio holdings of the Fund:
% of Net | Value | |||||||
COMMON STOCKS: | ||||||||
Pharmaceuticals | 14.4 | % | $ | 3,110,464 | ||||
Telecommunications | 12.1 | 2,601,806 | ||||||
Retail | 7.1 | 1,520,196 | ||||||
Banks | 6.8 | 1,460,212 | ||||||
Computers | 5.3 | 1,137,340 | ||||||
Software | 5.2 | 1,124,712 | ||||||
Oil & Gas | 5.0 | 1,081,198 | ||||||
Cosmetics & Personal Care | 3.7 | 791,730 | ||||||
Electric | 3.7 | 786,847 | ||||||
Beverages | 3.6 | 781,797 | ||||||
Insurance | 3.6 | 780,305 | ||||||
Chemicals | 3.5 | 755,520 | ||||||
Transportation | 3.4 | 740,316 | ||||||
REITS | 2.0 | 423,584 | ||||||
Pipelines | 1.9 | 399,672 | ||||||
Healthcare-Products | 1.9 | 399,193 | ||||||
Energy-Alternate Sources | 1.8 | 397,328 | ||||||
Food | 1.8 | 396,200 | ||||||
Engineering & Construction | 1.8 | 380,440 | ||||||
Apparel | 1.8 | 380,250 | ||||||
Media | 1.8 | 377,740 | ||||||
Diversified Financial Services | 1.7 | 376,108 | ||||||
Environmental Control | 1.7 | 367,600 | ||||||
Household Products & Wares | 1.7 | 363,768 | ||||||
Internet | 1.7 | 356,430 | ||||||
SHORT-TERM INVESTMENTS | 0.9 | 198,507 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.1 | 31,036 | ||||||
NET ASSETS | 100 | % | $ | 21,520,299 |
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
28
SGI GLOBAL EQUITY FUND
Portfolio of Investments
August 31, 2019
Number | Value | |||||||
COMMON STOCKS - 99.0% | ||||||||
Apparel — 1.8% | ||||||||
NIKE, Inc., Class B | 4,500 | $ | 380,250 | |||||
Banks — 6.8% | ||||||||
Bank of Montreal, (Canada) | 5,200 | 356,876 | ||||||
Canadian Imperial Bank of Commerce, (Canada) | 4,900 | 379,358 | ||||||
Royal Bank of Canada, (Canada) | 4,900 | 366,324 | ||||||
Toronto-Dominion Bank, (The), (Canada) | 6,600 | 357,654 | ||||||
1,460,212 | ||||||||
Beverages — 3.6% | ||||||||
Coca-Cola Co., (The) | 7,000 | 385,280 | ||||||
PepsiCo, Inc. | 2,900 | 396,517 | ||||||
781,797 | ||||||||
Chemicals — 3.5% | ||||||||
Linde PLC, (Ireland) | 2,000 | 377,820 | ||||||
Nutrien Ltd., (Canada) | 7,500 | 377,700 | ||||||
755,520 | ||||||||
Computers — 5.3% | ||||||||
Check Point Software Technologies Ltd., (Israel)* | 3,390 | 365,103 | ||||||
Genpact Ltd. | 9,400 | 385,024 | ||||||
Infosys Ltd., (India), SP ADR | 33,700 | 387,213 | ||||||
1,137,340 | ||||||||
Cosmetics & Personal Care — 3.7% | ||||||||
Procter & Gamble Co., (The) | 3,280 | 394,354 | ||||||
Unilever, (Netherlands) | 6,400 | 397,376 | ||||||
791,730 | ||||||||
Diversified Financial Services — 1.7% | ||||||||
T Rowe Price Group, Inc. | 3,400 | 376,108 | ||||||
Electric — 3.7% | ||||||||
Fortis Inc., (Canada) | 9,800 | 404,446 | ||||||
Sempra Energy | 2,700 | 382,401 | ||||||
786,847 | ||||||||
Energy-Alternate Sources — 1.8% | ||||||||
Algonquin Power & Utilities Corp., (Canada) | 30,400 | 397,328 | ||||||
Engineering & Construction — 1.8% | ||||||||
Grupo Aeroportuario del Pacifico SAB de CV, (Mexico), ADR | 4,000 | 380,440 | ||||||
Environmental Control — 1.7% | ||||||||
Waste Connections, Inc., (Canada) | 4,000 | 367,600 | ||||||
Food — 1.8% | ||||||||
Hershey Co., (The) | 2,500 | 396,200 | ||||||
Healthcare-Products — 1.9% | ||||||||
Medtronic PLC, (Ireland) | 3,700 | $ | 399,193 | |||||
Household Products & Wares — 1.7% | ||||||||
Clorox Co., (The) | 2,300 | 363,768 | ||||||
Insurance — 3.6% | ||||||||
Berkshire Hathaway, Inc., Class B* | 1,900 | 386,479 | ||||||
Chubb Ltd. | 2,520 | 393,826 | ||||||
780,305 | ||||||||
Internet — 1.7% | ||||||||
Alphabet, Inc., Class C* | 300 | 356,430 | ||||||
Media — 1.8% | ||||||||
Thomson Reuters Corp. | 5,500 | 377,740 | ||||||
Oil & Gas — 5.0% | ||||||||
BP PLC, (United Kingdom), SP ADR | 10,000 | 369,500 | ||||||
Enbridge, Inc., (Canada) | 11,300 | 378,098 | ||||||
Royal Dutch Shell PLC, (Netherlands), SP ADR | 6,000 | 333,600 | ||||||
1,081,198 | ||||||||
Pharmaceuticals — 14.4% | ||||||||
Bristol-Myers Squibb Co. | 8,500 | 408,595 | ||||||
Eli Lilly & Co. | 3,470 | 392,006 | ||||||
GlaxoSmithKline PLC, (United Kingdom), SP ADR | 9,000 | 374,220 | ||||||
Merck & Co., Inc. | 4,700 | 406,409 | ||||||
Novartis AG, (Switzerland), SP ADR | 4,100 | 369,451 | ||||||
Novo Nordisk, (Denmark), SP ADR | 7,700 | 401,247 | ||||||
Pfizer, Inc. | 10,500 | 373,275 | ||||||
Sanofi, (France), ADR | 8,970 | 385,261 | ||||||
3,110,464 | ||||||||
Pipelines — 1.9% | ||||||||
TC Energy Corp., (Canada) | 7,800 | 399,672 | ||||||
REITS — 2.0% | ||||||||
Public Storage | 1,600 | 423,584 | ||||||
Retail — 7.1% | ||||||||
McDonald’s Corp. | 1,720 | 374,908 | ||||||
Starbucks Corp. | 3,900 | 376,584 | ||||||
TJX Cos., Inc., (The) | 7,000 | 384,790 | ||||||
Wal-Mart Stores, Inc. | 3,360 | 383,914 | ||||||
1,520,196 | ||||||||
Software — 5.2% | ||||||||
Microsoft Corp. | 2,700 | 372,222 | ||||||
Nice Ltd., (Isreal), SP ADR | 2,500 | 383,125 | ||||||
SAP SE, (Germany), SP ADR | 3,100 | 369,365 | ||||||
1,124,712 |
The accompanying notes are an integral part of the financial statements.
29
SGI GLOBAL EQUITY FUND
Portfolio of Investments (Concluded)
August 31, 2019
Number | Value | |||||||
Telecommunications — 12.1% | ||||||||
BCE, Inc., (Canada) | 8,280 | $ | 391,810 | |||||
China Mobile Ltd., (China), SP ADR | 8,700 | 359,397 | ||||||
Orange SA, (France), SP ADR | 25,700 | 390,383 | ||||||
Rogers Communications, Inc., (Canada) | 7,200 | 356,544 | ||||||
Telefonica SA, (Spain), SP ADR | 48,300 | 333,270 | ||||||
TELUS Corp. | 10,500 | 380,730 | ||||||
Verizon Communications, Inc. | 6,700 | 389,672 | ||||||
2,601,806 | ||||||||
Transportation — 3.4% | ||||||||
Canadian National Railway Co., (Canada) | 4,000 | 368,560 | ||||||
CH Robinson Worldwide, Inc. | 4,400 | 371,756 | ||||||
740,316 | ||||||||
TOTAL COMMON STOCKS (Cost $19,398,079) | 21,290,756 | |||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio, Class I, 2.00% (a) | 198,507 | 198,507 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $198,507) | 198,507 | |||||||
TOTAL INVESTMENTS - 99.9% (Cost $19,596,586) | 21,489,263 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% | 31,036 | |||||||
NET ASSETS - 100.0% | $ | 21,520,299 |
* | Non-income producing security. |
(a) | Seven-day yield as of August 31, 2019. |
ADR American Depositary Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
SP ADR Sponsored ADR
The accompanying notes are an integral part of the financial statements.
30
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities
August 31, 2019
SGI U.S. | SGI U.S. | SGI Global | ||||||||||
ASSETS | ||||||||||||
Investments, at value (cost $427,494,446, $36,467,690 and $19,398,079, respectively) | $ | 502,449,459 | $ | 36,942,824 | $ | 21,290,756 | ||||||
Short-term investments, at value (cost $9,345,648, $438,082 and $198,507, respectively) | 9,345,648 | 438,082 | 198,507 | |||||||||
Receivables for: | ||||||||||||
Capital shares sold | 2,250,829 | 341,459 | 82,050 | |||||||||
Dividends | 787,150 | 45,804 | 94,539 | |||||||||
Investments sold | — | 260,700 | — | |||||||||
Prepaid expenses and other assets | 57,817 | 29,395 | 12,267 | |||||||||
Total assets | $ | 514,890,903 | $ | 38,058,264 | $ | 21,678,119 | ||||||
LIABILITIES | ||||||||||||
Payables for: | ||||||||||||
Capital shares redeemed | $ | 311,607 | $ | 6,858 | $ | 113,253 | ||||||
Advisory fees | 297,754 | 30,790 | 7,653 | |||||||||
Investments purchased | — | 266,077 | 15 | |||||||||
Other accrued expenses and liabilities | 83,110 | 41,918 | 36,899 | |||||||||
Total liabilities | 692,471 | 345,643 | 157,820 | |||||||||
Net assets | $ | 514,198,432 | $ | 37,712,621 | $ | 21,520,299 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Par value | $ | 28,186 | $ | 3,284 | $ | 660 | ||||||
Paid-in capital | 430,846,822 | 38,344,567 | 19,148,503 | |||||||||
Total distributable earnings/(loss) | 83,323,424 | (635,230 | ) | 2,371,136 | ||||||||
Net assets | $ | 514,198,432 | $ | 37,712,621 | $ | 21,520,299 | ||||||
The accompanying notes are an integral part of the financial statements.
31
SUMMIT GLOBAL INVESTMENTS
Statements of Assets and Liabilities (Concluded)
August 31, 2019
SGI U.S. | SGI U.S. | SGI Global | ||||||||||
CLASS I SHARES: | ||||||||||||
Net assets applicable to Class I Shares | $ | 497,096,606 | $ | 33,706,770 | $ | 21,520,299 | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 27,247,040 | 2,933,784 | 659,787 | |||||||||
Net asset value, offering and redemption price per share | $ | 18.24 | $ | 11.49 | $ | 32.62 | ||||||
CLASS A SHARES: | ||||||||||||
Net assets applicable to Class A Shares | $ | 14,751,376 | $ | 3,891,529 | $ | — | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 806,550 | 339,638 | — | |||||||||
Net asset value and redemption price per share | $ | 18.29 | $ | 11.46 | $ | — | ||||||
Maximum offering price per share (100/94.75 of $18.29 and $11.46, respectively) | $ | 19.30 | $ | 12.09 | $ | — | ||||||
CLASS C SHARES: | ||||||||||||
Net assets applicable to Class C Shares | $ | 2,350,450 | $ | 114,322 | $ | — | ||||||
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) | 132,106 | 10,186 | — | |||||||||
Net asset value, offering and redemption price per share | $ | 17.79 | $ | 11.22 | $ | — |
The accompanying notes are an integral part of the financial statements.
32
SUMMIT GLOBAL INVESTMENTS
Statements of Operations
FOR THE Year ENDED August 31, 2019
SGI U.S. | SGI U.S. | SGI Global | ||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends (net of foreign withholdings taxes of $2,467, $8,715 and $37,828, respectively) | $ | 9,122,212 | $ | 864,486 | $ | 510,827 | ||||||
Total investment income | 9,122,212 | 864,486 | 510,827 | |||||||||
EXPENSES | ||||||||||||
Advisory fees (Note 2) | 3,198,929 | 339,603 | 138,252 | |||||||||
Administration and accounting fees (Note 2) | 182,593 | 20,022 | 10,249 | |||||||||
Transfer agent fees (Note 2) | 164,526 | 22,479 | 2,162 | |||||||||
Legal fees | 107,329 | 10,332 | 7,798 | |||||||||
Registration and filing fees | 55,553 | 45,861 | 22,229 | |||||||||
Officer fees | 46,208 | 4,721 | 3,012 | |||||||||
Director fees | 45,834 | 4,464 | 1,538 | |||||||||
Custodian fees (Note 2) | 41,113 | 8,228 | 779 | |||||||||
Audit and tax service fees | 33,987 | 32,174 | 24,034 | |||||||||
Distribution fees - Class A Shares | 30,829 | 8,714 | — | |||||||||
Distribution fees - Class C Shares | 20,265 | 1,481 | — | |||||||||
Printing and shareholder reporting fees | 26,914 | 6,516 | 4,025 | |||||||||
Other expenses | 38,966 | 6,527 | 5,897 | |||||||||
Total expenses before waivers and/or reimbursements | 3,993,046 | 511,122 | 219,975 | |||||||||
(Waivers and/or reimbursements) net of amounts recouped (Note 2) | 304,597 | (61,230 | ) | (54,073 | ) | |||||||
Net expenses after waivers and/or reimbursements net of amounts recouped | 4,297,643 | 449,892 | 165,902 | |||||||||
Net investment income/(loss) | 4,824,569 | 414,594 | 344,925 | |||||||||
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS | ||||||||||||
Net realized gain/(loss) from investments | 10,735,023 | (817,062 | ) | 2,120,140 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments | 11,308,915 | (4,332,683 | ) | (688,644 | ) | |||||||
Net realized and unrealized gain/(loss) on investments | 22,043,938 | (5,149,745 | ) | 1,431,496 | ||||||||
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 26,868,507 | $ | (4,735,151 | ) | $ | 1,776,421 |
The accompanying notes are an integral part of the financial statements.
33
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 4,824,569 | $ | 1,807,015 | ||||
Net realized gain/(loss) from investments | 10,735,023 | 14,021,158 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | 11,308,915 | 44,648,194 | ||||||
Net increase/(decrease) in net assets resulting from operations | 26,868,507 | 60,476,367 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (17,517,675 | ) | (7,097,851 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (17,517,675 | ) | (7,097,851 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 172,452,578 | 331,945,492 | ||||||
Reinvestment of distributions | 5,036,367 | 6,276,150 | ||||||
Shares redeemed | (126,569,669 | ) | (44,108,500 | ) | ||||
Redemption fees* | — | 1,616 | ||||||
Total from Class I Shares | 50,919,276 | 294,114,758 | ||||||
Class A Shares | ||||||||
Proceeds from shares sold | 7,959,689 | 3,830,562 | ||||||
Reinvestment of distributions | 403,709 | 571,954 | ||||||
Shares redeemed | (3,680,077 | ) | (18,872,102 | ) | ||||
Redemption fees* | — | 3,451 | ||||||
Total from Class A Shares | 4,683,321 | (14,466,135 | ) | |||||
Class C Shares | ||||||||
Proceeds from shares sold | 613,171 | 593,933 | ||||||
Reinvestment of distributions | 62,829 | 90,900 | ||||||
Shares redeemed | (300,742 | ) | (239,527 | ) | ||||
Redemption fees* | — | 162 | ||||||
Total from Class C Shares | 375,258 | 445,468 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 55,977,855 | 280,094,091 | ||||||
Total increase/(decrease) in net assets | 65,328,687 | 333,472,607 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 448,869,745 | 115,397,138 | ||||||
End of period | $ | 514,198,432 | $ | 448,869,745 |
The accompanying notes are an integral part of the financial statements.
34
SGI U.S. LARGE CAP EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 10,188,257 | 20,675,668 | ||||||
Shares reinvested | 323,051 | 400,265 | ||||||
Shares redeemed | (7,611,254 | ) | (2,688,563 | ) | ||||
Total Class I Shares | 2,900,054 | 18,387,370 | ||||||
Class A Shares | ||||||||
Shares sold | 465,645 | 235,589 | ||||||
Shares reinvested | 25,780 | 36,384 | ||||||
Shares redeemed | (214,621 | ) | (1,183,389 | ) | ||||
Total Class A Shares | 276,804 | (911,416 | ) | |||||
Class C Shares | ||||||||
Shares sold | 37,288 | 37,316 | ||||||
Shares reinvested | 4,104 | 5,883 | ||||||
Shares redeemed | (18,244 | ) | (15,118 | ) | ||||
Total Class C Shares | 23,148 | 28,081 | ||||||
Net increase/(decrease) in shares outstanding | 3,200,006 | 17,504,035 |
* | Prior to December 31, 2017, there was a 1.50% redemption fee to the value of shares redeemed or exchanged within 60 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 31, 2017, the Fund eliminated its redemption fee. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 7 for more details on the Securities and Exchange Commission’s (“SEC”) Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018, were as follows: |
Dividends and distributions to shareholders from: | ||||
Net investment income | ||||
Class I Shares | $ | (1,036,799 | ) | |
Class A Shares | (51,814 | ) | ||
Class C Shares | (5,498 | ) | ||
Total net investment income | (1,094,111 | ) | ||
Net realized capital gains | ||||
Class I Shares | (5,396,669 | ) | ||
Class A Shares | (521,669 | ) | ||
Class C Shares | (85,402 | ) | ||
Total net realized capital gains | (6,003,740 | ) | ||
Undistributed/accumulated net investment income/(loss) | 1,541,322 |
The accompanying notes are an integral part of the financial statements.
35
SGI U.S. SMALL CAP EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 414,594 | $ | (20,563 | ) | |||
Net realized gain/(loss) from investments | (817,062 | ) | 1,553,299 | |||||
Net change in unrealized appreciation/(depreciation) on investments | (4,332,683 | ) | 3,523,659 | |||||
Net increase/(decrease) in net assets resulting from operations | (4,735,151 | ) | 5,056,395 | |||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (1,658,610 | ) | (1,849,918 | ) | ||||
Net decrease in net assets from dividends and distributions to shareholders | (1,658,610 | ) | (1,849,918 | ) | ||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 20,004,763 | 20,187,254 | ||||||
Reinvestment of distributions | 838,394 | 1,175,459 | ||||||
Shares redeemed | (12,930,454 | ) | (5,501,102 | ) | ||||
Redemption fees** | — | 197 | ||||||
Total from Class I Shares. | 7,912,703 | 15,861,808 | ||||||
Class A Shares* | ||||||||
Proceeds from shares sold | 2,224,523 | 1,101,638 | ||||||
Reinvestment of distributions | 151,457 | 278,576 | ||||||
Shares redeemed | (1,449,518 | ) | (1,365,801 | ) | ||||
Redemption fees** | — | 101 | ||||||
Total from Class A Shares | 926,462 | 14,514 | ||||||
Class C Shares | ||||||||
Proceeds from shares sold | 14,600 | 64,169 | ||||||
Reinvestment of distributions | 7,326 | 19,328 | ||||||
Shares redeemed | (72,888 | ) | (67,513 | ) | ||||
Redemption fees** | — | 2 | ||||||
Total from Class C Shares | (50,962 | ) | 15,986 | |||||
Net increase/(decrease) in net assets from capital share transactions | 8,788,203 | 15,892,308 | ||||||
Total increase/(decrease) in net assets | 2,394,442 | 19,098,785 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 35,318,179 | 16,219,394 | ||||||
End of period | $ | 37,712,621 | $ | 35,318,179 |
The accompanying notes are an integral part of the financial statements.
36
SGI U.S. SMALL CAP EQUITY FUND
Statements of Changes in Net Assets (Concluded)
For the | For the | |||||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 1,698,457 | 1,580,236 | ||||||
Shares reinvested | 76,496 | 96,507 | ||||||
Shares redeemed | (1,124,567 | ) | (436,132 | ) | ||||
Total Class I Shares | 650,386 | 1,240,611 | ||||||
Class A Shares* | ||||||||
Shares sold | 191,173 | 345,519 | ||||||
Shares reinvested | 13,832 | 22,853 | ||||||
Shares redeemed | (123,219 | ) | (363,573 | ) | ||||
Total Class A Shares | 81,786 | 4,799 | ||||||
Class C Shares | ||||||||
Shares sold | 1,304 | 5,058 | ||||||
Shares reinvested | 680 | 1,601 | ||||||
Shares redeemed | (6,497 | ) | (5,634 | ) | ||||
Total Class C Shares | (4,513 | ) | 1,025 | |||||
Net increase/(decrease) in shares outstanding | 727,659 | 1,246,435 |
* | Formerly Retail Class Shares. |
** | Prior to December 31, 2017, there was a 1.50% redemption fee to the value of shares redeemed or exchanged within 60 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 31, 2017, the Fund eliminated its redemption fee. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 7 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Dividends and distributions to shareholders during the year ended August 31, 2018, and undistributed/accumulated net investment income/(loss) as of August 31, 2018, were as follows: |
Dividends and distributions to shareholders from: | ||||
Net investment income | ||||
Class I Shares | $ | (65,165 | ) | |
Class A Shares | (4,708 | ) | ||
Class C Shares | — | |||
Total net investment income | (69,873 | ) | ||
Net realized capital gains | ||||
Class I Shares | (1,486,849 | ) | ||
Class A Shares | (273,868 | ) | ||
Class C Shares | (19,328 | ) | ||
Total net realized capital gains | (1,780,045 | ) | ||
Undistributed/accumulated net investment income/(loss) | — |
The accompanying notes are an integral part of the financial statements.
37
SGI GLOBAL EQUITY FUND
Statements of Changes in Net Assets
For the | For the | |||||||
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income/(loss) | $ | 344,925 | $ | 258,584 | ||||
Net realized gain/(loss) from investments | 2,120,140 | 1,074,746 | ||||||
Net change in unrealized appreciation/(depreciation) on investments | (688,644 | ) | 960,140 | |||||
Net increase/(decrease) in net assets resulting from operations | 1,776,421 | 2,293,470 | ||||||
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Total distributable earnings | (258,783 | ) | — | |||||
Net decrease in net assets from dividends and distributions to shareholders | (258,783 | ) | — | |||||
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Proceeds from shares sold | 2,899,780 | 896,436 | ||||||
Reinvestment of distributions | 254,839 | — | ||||||
Shares redeemed | (2,681,816 | ) | (6,424,982 | ) | ||||
Redemption fees* | — | 6 | ||||||
Net increase/(decrease) in net assets from capital share transactions | 472,803 | (5,528,540 | ) | |||||
Total increase/(decrease) in net assets | 1,990,441 | (3,235,070 | ) | |||||
NET ASSETS: | ||||||||
Beginning of period | 19,529,858 | 22,764,928 | ||||||
End of period | $ | 21,520,299 | $ | 19,529,858 | ||||
SHARES TRANSACTIONS: | ||||||||
Class I Shares | ||||||||
Shares sold | 93,423 | 30,761 | ||||||
Shares reinvested | 8,846 | — | ||||||
Shares redeemed | (87,129 | ) | (223,043 | ) | ||||
Net increase/(decrease) in shares outstanding | 15,140 | (192,282 | ) |
* | Prior to December 31, 2017, there was a 2.00% redemption fee to the value of shares redeemed or exchanged within 60 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 31, 2017, the Fund eliminated its redemption fee. |
(1) | The following information was previously reported in the August 31, 2018 financial statements. See Note 7 for more details on the SEC’s Final Rule on Disclosure Update and Simplification. Undistributed/accumulated net investment income/(loss) as of August 31, 2018 was $258,784. |
The accompanying notes are an integral part of the financial statements.
38
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.97 | $ | 15.43 | $ | 14.69 | $ | 13.78 | $ | 13.72 | ||||||||||
Net investment income/(loss)(1) | 0.18 | 0.16 | 0.22 | 0.21 | 0.21 | |||||||||||||||
Net realized and unrealized gain/(loss) on investments(2) | 0.75 | 3.52 | 0.90 | 1.66 | 0.44 | |||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.93 | 3.68 | 1.12 | 1.87 | 0.65 | |||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.11 | ) | (0.18 | ) | (0.16 | ) | (0.21 | ) | (0.16 | ) | ||||||||||
Net realized capital gains | (0.55 | ) | (0.96 | ) | (0.22 | ) | (0.75 | ) | (0.43 | ) | ||||||||||
Total dividends and distributions to shareholders | (0.66 | ) | (1.14 | ) | (0.38 | ) | (0.96 | ) | (0.59 | ) | ||||||||||
Net asset value, end of period | $ | 18.24 | $ | 17.97 | $ | 15.43 | $ | 14.69 | $ | 13.78 | ||||||||||
Total investment return/(loss)(3) | 5.83 | % | 24.98 | % | 7.73 | % | 13.99 | % | 4.82 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 497,097 | $ | 437,424 | $ | 91,977 | $ | 106,110 | $ | 72,850 | ||||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 0.93 | % | 0.98 | % | 0.98 | % | 0.98 | % | 0.98 | % | ||||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 0.86 | % | 0.94 | % | 1.14 | % | 1.14 | % | 1.20 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets | 1.07 | % | 0.87 | % | 1.32 | % | 1.49 | % | 1.47 | % | ||||||||||
Portfolio turnover rate(4) | 104 | % | 85 | % | 31 | % | 41 | % | 42 | % |
(1) | The selected per share data is calculated based on average shares outstanding method for the period. |
(2) | The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
39
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements. |
Class A Shares | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 17.99 | $ | 15.40 | $ | 14.67 | $ | 14.69 | ||||||||
Net investment income/(loss)(2) | 0.14 | 0.10 | 0.16 | 0.14 | ||||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 0.76 | 3.55 | 0.92 | 0.79 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.90 | 3.65 | 1.08 | 0.93 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.05 | ) | (0.10 | ) | (0.13 | ) | (0.20 | ) | ||||||||
Net realized capital gains | (0.55 | ) | (0.96 | ) | (0.22 | ) | (0.75 | ) | ||||||||
Total dividends and distributions to shareholders | (0.60 | ) | (1.06 | ) | (0.35 | ) | (0.95 | ) | ||||||||
Net asset value, end of period | $ | 18.29 | $ | 17.99 | $ | 15.40 | $ | 14.67 | ||||||||
Total investment return/(loss)(4) | 5.61 | % | 24.68 | % | 7.48 | % | 6.74 | %(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 14,751 | $ | 9,530 | $ | 22,195 | $ | 19,288 | ||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 1.18 | % | 1.23 | % | 1.23 | % | 1.23 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 1.11 | % | 1.27 | % | 1.39 | % | 1.38 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.84 | % | 0.62 | % | 1.07 | % | 1.15 | %(6) | ||||||||
Portfolio turnover rate(7) | 104 | % | 85 | % | 31 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
40
SGI U.S. LARGE CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements. |
Class C Shares | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 17.59 | $ | 15.15 | $ | 14.51 | $ | 13.57 | ||||||||
Net investment income/(loss)(2) | 0.01 | (0.02 | ) | 0.04 | 0.03 | |||||||||||
Net realized and unrealized gain/(loss) on investments(3) | 0.74 | 3.48 | 0.93 | 0.91 | ||||||||||||
Net increase/(decrease) in net assets resulting from operations | 0.75 | 3.46 | 0.97 | 0.94 | ||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | — | (0.06 | ) | (0.11 | ) | — | ||||||||||
Net realized capital gains | (0.55 | ) | (0.96 | ) | (0.22 | ) | — | |||||||||
Total dividends and distributions to shareholders | (0.55 | ) | (1.02 | ) | (0.33 | ) | — | |||||||||
Net asset value, end of period | $ | 17.79 | $ | 17.59 | $ | 15.15 | $ | 14.51 | ||||||||
Total investment return/(loss)(4) | 4.78 | % | 23.80 | % | 6.74 | % | 6.93 | %(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 2,350 | $ | 1,916 | $ | 1,226 | $ | 373 | ||||||||
Ratio of expenses to average net assets with waivers and/or reimbursements net of amounts recouped | 1.93 | % | 1.98 | % | 1.98 | % | 1.99 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers and/or reimbursements net of amounts recouped | 1.86 | % | 2.00 | % | 2.15 | % | 2.16 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.07 | % | (0.11 | )% | 0.30 | % | 0.32 | %(6) | ||||||||
Portfolio turnover rate(7) | 104 | % | 85 | % | 31 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
41
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 13.82 | $ | 12.39 | $ | 10.83 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | 0.14 | (0.01 | ) | 0.04 | 0.02 | |||||||||||
Net realized and unrealized gain/(loss) on investments(3) | (1.89 | ) | 2.61 | 1.57 | 0.81 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.75 | ) | 2.60 | 1.61 | 0.83 | |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.04 | ) | (0.05 | ) | (0.05 | ) | — | |||||||||
Net realized capital gains | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||
Total dividends and distributions to shareholders | (0.58 | ) | (1.17 | ) | (0.05 | ) | — | |||||||||
Net asset value, end of period | $ | 11.49 | $ | 13.82 | $ | 12.39 | $ | 10.83 | ||||||||
Total investment return/(loss)(4) | (12.43 | )% | 22.26 | % | 14.86 | % | 8.30 | %(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 33,707 | $ | 31,559 | $ | 12,919 | $ | 10,095 | ||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.40 | % | 1.60 | % | 2.21 | % | 4.43 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 1.19 | % | (0.05 | )% | 0.31 | % | 0.53 | %(6) | ||||||||
Portfolio turnover rate(8) | 145 | % | 122 | % | 95 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
42
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements. |
Class A Shares (Formerly Retail Class Shares) | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 13.80 | $ | 12.38 | $ | 10.83 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | 0.11 | (0.03 | ) | 0.01 | 0.01 | |||||||||||
Net realized and unrealized gain/(loss) on investments(3) | (1.88 | ) | 2.59 | 1.57 | 0.82 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.77 | ) | 2.56 | 1.58 | 0.83 | |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net investment income | (0.03 | ) | (0.02 | ) | (0.03 | ) | — | |||||||||
Net realized capital gains | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||
Total dividends and distributions to shareholders | (0.57 | ) | (1.14 | ) | (0.03 | ) | — | |||||||||
Net asset value, end of period | $ | 11.46 | $ | 13.80 | $ | 12.38 | $ | 10.83 | ||||||||
Total investment return/(loss)(4) | (12.61 | )% | 21.90 | % | 14.63 | % | 8.30 | %(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 3,892 | $ | 3,560 | $ | 3,132 | $ | 2,010 | ||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.65 | % | 1.86 | % | 2.44 | % | 4.68 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.94 | % | (0.23 | )% | 0.06 | % | 0.28 | %(6) | ||||||||
Portfolio turnover rate(8) | 145 | % | 122 | % | 95 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
43
SGI U.S. SMALL CAP EQUITY FUND
Financial Highlights (continued)
Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements. |
Class C Shares | ||||||||||||||||
For the | For the | For the | For the | |||||||||||||
Per Share Operating Performance | ||||||||||||||||
Net asset value, beginning of period | $ | 13.59 | $ | 12.27 | $ | 10.80 | $ | 10.00 | ||||||||
Net investment income/(loss)(2) | 0.01 | (0.12 | ) | (0.08 | ) | (0.02 | ) | |||||||||
Net realized and unrealized gain/(loss) on investments(3) | (1.84 | ) | 2.56 | 1.55 | 0.82 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | (1.83 | ) | 2.44 | 1.47 | 0.80 | |||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||
Net realized capital gains | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||
Total dividends and distributions to shareholders | (0.54 | ) | (1.12 | ) | — | (7) | — | |||||||||
Net asset value, end of period | $ | 11.22 | $ | 13.59 | $ | 12.27 | $ | 10.80 | ||||||||
Total investment return/(loss)(4) | (13.30 | )% | 21.05 | % | 13.63 | % | 8.00 | %(5) | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 114 | $ | 200 | $ | 168 | $ | 26 | ||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 2.23 | % | 2.23 | % | 2.23 | % | 2.23 | %(6) | ||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 2.40 | % | 2.61 | % | 2.89 | % | 5.43 | %(6) | ||||||||
Ratio of net investment income/(loss) to average net assets | 0.09 | % | (0.95 | )% | (0.67 | )% | (0.47 | )%(6) | ||||||||
Portfolio turnover rate(8) | 145 | % | 122 | % | 95 | % | 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/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Amount represents less than $0.005 per share. |
(8) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
44
SGI GLOBAL EQUITY FUND
Financial Highlights (concluded)
Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. |
Class I Shares | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Per Share Operating Performance | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.30 | $ | 27.20 | $ | 24.93 | $ | 28.29 | $ | 27.64 | ||||||||||
Net investment income/(loss)(1) | 0.53 | 0.35 | 0.06 | (0.19 | ) | (0.21 | ) | |||||||||||||
Net realized and unrealized gain/(loss) on investments | 2.20 | 2.75 | 2.21 | (1.25 | ) | 3.04 | ||||||||||||||
Net increase/(decrease) in net assets resulting from operations | 2.73 | 3.10 | 2.27 | (1.44 | ) | 2.83 | ||||||||||||||
Dividends and distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.41 | ) | — | — | — | — | ||||||||||||||
Net realized capital gains | — | — | — | (1.93 | ) | (2.18 | ) | |||||||||||||
Total dividends and distributions to shareholders | (0.41 | ) | — | — | (1.93 | ) | (2.18 | ) | ||||||||||||
Redemption fees added to paid-in capital(1) | — | (2) | — | (2) | — | (2) | 0.01 | — | (2) | |||||||||||
Net asset value, end of period | 32.62 | $ | 30.30 | $ | 27.20 | $ | 24.93 | $ | 28.29 | |||||||||||
Total investment return/(loss)(3) | 9.18 | % | 11.36 | % | 9.15 | % | (5.44 | )% | 11.49 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 21,520 | $ | 19,530 | $ | 22,765 | $ | 64,378 | $ | 71,523 | ||||||||||
Ratio of expenses to average net assets with waivers and reimbursements | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||
Ratio of expenses to average net assets without waivers and reimbursements | 1.11 | % | 1.25 | % | 1.32 | % | 1.13 | % | 1.20 | % | ||||||||||
Ratio of net investment income/(loss) to average net assets | 1.75 | % | 1.19 | % | 0.26 | % | (0.76 | )% | (0.77 | )% | ||||||||||
Portfolio turnover rate (4) | 74 | % | 44 | % | 247 | % | 375 | % | 297 | % |
(1) | The selected per share data was calculated based on average shares outstanding method for the period. |
(2) | Amount represents less than $0.005 per share. |
(3) | Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. |
(4) | Portfolio turnover rate is calculated for the Fund, as a whole, for the entire period. |
The accompanying notes are an integral part of the financial statements.
45
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements
August 31, 2019
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 thirty-three separate investment portfolios, including the SGI U.S. Large Cap Equity Fund (formerly known as the Summit Global Investments U.S. Low Volatility Equity Fund), SGI U.S. Small Cap Equity Fund (formerly known as the Summit Global Investments Small Cap Low Volatility Fund and SGI Global Equity Fund (formerly known as the Summit Global Investments Global Low Volatility Fund) (each a “Fund” and, collectively, the “Funds”). The SGI U.S. Large Cap Equity Fund and SGI U.S. Small Cap Equity Fund commenced investment operations on February 29, 2012 and March 31, 2016, respectively.
The Dynamic U.S. Growth Fund (the “Predecessor Fund”), a series of Scotia Institutional Funds, transferred all of its assets and liabilities to the SGI Global Equity 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, Summit Global Investments, LLC (“Summit” or the “Adviser”) took over management of the Fund from its predecessor investment manager.
As of the end of the reporting period, the SGI U.S. Large Cap Equity Fund offers three classes of shares: Class I Shares, Class A Shares and Class C Shares; the SGI U.S. Small Cap Equity Fund offers three classes of shares: Class I Shares, Class A Shares (formerly Retail Class Shares) and Class C Shares and the SGI Global Equity Fund offers three classes of shares: Class I Shares, Class A Shares and Class C Shares. As of the end of the reporting period, Class A Shares and Class C Shares of the SGI Global Equity Fund were not yet operational.
RBB has authorized capital of one hundred billion shares of common stock of which 87.423 billion shares are currently classified into one hundred and eighty-five classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.
The investment objective of the SGI U.S. Large Cap Equity Fund is to outperform the S&P 500® Index over a market cycle while reducing overall volatility. The investment objective of the SGI U.S. Small Cap Equity Fund is to outperform the Russell 2000® Index over a market cycle while reducing overall volatility. The investment objective of the SGI Global Equity Fund is to seek long-term capital appreciation.
The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”
The end of the reporting period for the Funds is August 31, 2019, and the period covered by these Notes to Financial Statements is the fiscal period ended August 31, 2019 (the “current fiscal period”).
Portfolio Valuation— Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. Investments in other open-end investment companies are valued based on
46
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the RBB Fund, Inc.’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
Fair Value Measurements —The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
● Level 1 — | Prices are determined using quoted prices in active markets for identical securities. |
● Level 2 — | Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
● Level 3 — | Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments). |
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of the end of the reporting period, in valuing each Funds’ investments carried at fair value:
Total | Level 1 | Level 2 | Level 3 | |||||||||||||
SGI U.S. Large Cap Equity Fund | ||||||||||||||||
Common Stocks | $ | 494,782,969 | $ | 494,782,969 | $ | — | $ | — | ||||||||
Exchange-Traded Funds | 7,666,490 | 7,666,490 | — | — | ||||||||||||
Short-Term Investments | 9,345,648 | 9,345,648 | — | — | ||||||||||||
Total Investments* | $ | 511,795,107 | $ | 511,795,107 | $ | — | $ | — | ||||||||
SGI U.S. Small Cap Equity Fund | ||||||||||||||||
Common Stocks | $ | 35,802,336 | $ | 35,802,336 | $ | — | $ | — | ||||||||
Exchange-Traded Funds | 1,140,488 | 1,140,488 | — | — | ||||||||||||
Short-Term Investments | 438,082 | 438,082 | — | — | ||||||||||||
Total Investments* | $ | 37,380,906 | $ | 37,380,906 | $ | — | $ | — | ||||||||
SGI Global Equity Fund | ||||||||||||||||
Common Stocks | $ | 21,290,756 | $ | 21,290,756 | $ | — | $ | — | ||||||||
Short-Term Investments | 198,507 | 198,507 | — | — | ||||||||||||
Total Investments* | $ | 21,489,263 | $ | 21,489,263 | $ | — | $ | — |
* | Please refer to Portfolio of Investments for further details. |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
47
SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
During the current fiscal period, the Funds had no Level 3 transfers.
Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.
Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. 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 and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.
Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.
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SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
REDEMPTION/EXCHANGE FEES — Prior to December 31, 2017, the SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund and SGI Global Equity Fund imposed a redemption/exchange fee of 1.50%, 1.50% and 2.00%, respectively, on redemptions/exchanges of Fund shares held less than 60 days. The fees are reflected on the Statements of Changes in Net Assets. Effective December 31, 2017, the Funds have eliminated their redemption/exchange fees.
Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.
2. Investment Adviser and Other Services
Summit serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.
The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2020 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2020.
FUND | ADVISORY FEE | EXPENSE CAPS | ||||||||||||||
CLASS I | CLASS A | CLASS C | ||||||||||||||
SGI U.S. Large Cap Equity Fund | 0.70 | % | 0.98 | % | 1.23 | % | 1.98 | % | ||||||||
SGI U.S. Small Cap Equity Fund | 0.95 | 1.23 | 1.48 | 2.23 | ||||||||||||
SGI Global Equity Fund | 0.70 | 0.84 | 1.09 | 1.84 |
If at any time a Fund’s total annual Fund operating expenses for a year are less than the relevant share class’ Expense Cap, the Adviser is entitled to recoup from the Fund the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such recoupment does not cause the Fund to exceed the relevant share class’ Expense Cap that was in effect at the time of the waiver or reimbursement.
During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed and recoupments were as follows:
FUND | Gross | Waivers AND/OR | RECOUPMENTS | Net | ||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 3,198,929 | $ | — | $ | 304,597 | $ | 3,503,526 | ||||||||
SGI U.S. Small Cap Equity Fund | 339,603 | (61,230 | ) | — | 278,373 | |||||||||||
SGI Global Equity Fund | 138,252 | (54,073 | ) | — | 84,179 |
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SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
As of the end of the reporting period, the Funds had amounts available for recoupment by the Adviser as follows:
EXPIRATION | ||||||||||||
FUND | August 31, | August 31, | August 31, | |||||||||
SGI U.S. Large Cap Equity Fund | $ | — | $ | — | $ | — | ||||||
SGI U.S. Small Cap Equity Fund | 140,932 | 87,054 | 61,230 | |||||||||
SGI Global Equity Fund | 98,278 | 87,592 | 54,073 |
U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.
Quasar Distributors, LLC (the “Distributor”) serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.
For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.
The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from each Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in each Fund’s 12b-1 Plan.
3. DIRECTOR AND OFFICER Compensation
The Directors of the Company receive an annual retainer and meeting fees for meetings attended. 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 Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.
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SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
4. Purchases and Sales of Investment Securities
During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
FUND | Purchases | Sales | ||||||
SGI U.S. Large Cap Equity Fund | $ | 511,536,285 | $ | 468,139,140 | ||||
SGI U.S. Small Cap Equity Fund | 58,190,630 | 50,664,575 | ||||||
SGI Global Equity Fund | 15,116,019 | 14,433,482 |
There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.
5. Federal Income Tax Information
The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.
As of August 31, 2019, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:
FUND | Federal Tax | Unrealized | Unrealized | Net Unrealized | ||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 437,481,737 | $ | 88,739,872 | $ | (14,426,502 | ) | $ | 74,313,370 | |||||||
SGI U.S. Small Cap Equity Fund | 37,028,525 | 2,878,339 | (2,525,958 | ) | 352,381 | |||||||||||
SGI Global Equity Fund | 19,596,586 | 2,403,604 | (510,927 | ) | 1,892,677 |
Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Fund. For the year ended August 31, 2019 there were no permanent differences requiring a reclassification between total distributable earnings/(losses) and paid-in capital.
As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | Undistributed | Undistributed | Qualified | OTHER | Unrealized | |||||||||||||||
SGI U.S. Large Cap Equity Fund | $ | 5,027,617 | $ | 3,982,437 | $ | — | $ | — | $ | 74,313,370 | ||||||||||
SGI U.S. Small Cap Equity Fund | 76,079 | — | (1,047,348 | ) | (16,342 | ) | 352,381 | |||||||||||||
SGI Global Equity Fund | 345,003 | 133,456 | — | — | 1,892,677 |
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SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (Continued)
August 31, 2019
The differences between the book and tax basis components of distributable earnings relate primarily to wash sales and investments in publicly traded partnerships.
The tax character of dividends and distributions paid during the fiscal year ended August 31, 2019 was as follows:
FUND | Ordinary | Long-Term | Total | |||||||||||||
SGI U.S. Large Cap Equity Fund | 2019 | $ | 9,549,200 | $ | 7,968,475 | $ | 17,517,675 | |||||||||
2018 | 1,094,111 | 6,003,740 | 7,097,851 | |||||||||||||
SGI U.S. Small Cap Equity Fund | 2019 | 348,578 | 1,310,032 | 1,658,610 | ||||||||||||
2018 | 1,276,795 | 573,123 | 1,849,918 | |||||||||||||
SGI Global Equity Fund | 2019 | 258,783 | — | 258,783 | ||||||||||||
2018 | — | — | — |
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.
During the period ended August 31, 2019 the SGI Global Equity Fund utilized $1,986,607 of total capital loss carryforwards.
Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2019, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2019. SGI U.S. Small Cap Equity Fund deferred qualified late-year losses of $1,047,348 which will be treated as arising on the first business day of the following fiscal year.
6. NEW ACCOUNTING PRONOUNCEMENTS and regulatory updates
In August 2018, FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all affected entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of additional disclosures, which are required for public companies only, until their effective date. Management evaluated the impact of these changes on the Funds’ financial statements and has elected to early adopt the removed and modified disclosures effective February 28, 2019. The impact of adoption was limited to changes in the financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy. Management is still evaluating the impact of the additional disclosure requirements.
In August 2018, the SEC released its Final Rule on Disclosure Update and Simplification, which amends certain disclosure requirements effective for filings subsequent to November 5, 2018. As of February 28, 2019, management has adopted this amendment. The amendment requires presentation of the total, rather than the components, of distributable earnings on the Statement of Assets and Liabilities. The amendment also requires presentation of the
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SUMMIT GLOBAL INVESTMENTS
Notes to Financial Statements (concluded)
August 31, 2019
total distributions, rather than the components thereof, on the Statements of Changes in Net Assets and removes the requirement for disclosure of accumulated net investment income/(loss) on a book basis. These changes generally simplify the disclosure of information without significantly altering the information provided to investors.
7. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined there were no significant events requiring recognition or disclosure to the financial statements.
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SUMMIT GLOBAL INVESTMENTS
Report of Independent Registered Public Accounting Firm
To the Board of Directors of The RBB Fund, Inc. and
Shareholders of SGI U.S. Large Cap Equity Fund (formerly, Summit Global Investments U.S. Low Volatility Equity Fund), SGI U.S. Small Cap Equity Fund (formerly, Summit Global Investments Small Cap Low Volatility Fund), and SGI Global Equity Fund (formerly, Summit Global Investments Global Low Volatility Fund)
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund and SGI Global Equity Fund (collectively referred to as the “Funds”) (three of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the portfolios of investments, as of August 31, 2019, and the related statements of operations, the statements of changes in net assets, and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds (three of the portfolios constituting The RBB Fund, Inc.) at August 31, 2019, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Individual portfolio constituting | Statement of | Statements of changes | Financial highlights |
SGI U.S. Large Cap Equity Fund | For the year ended August 31, 2019 | For each of the two years in the period ended August 31, 2019 | For each of the five years in the period ended August 31, 2019 |
SGI U.S. Small Cap Equity Fund | For the year ended August 31, 2019 | For each of the two years in the period ended August 31, 2019 | For each of the three years in the period ended August 31, 2019 and the period March 31, 2016 (commencement of operations) to August 31, 2016 |
SGI Global Equity Fund | For the year ended August 31, 2019 | For each of the two years in the period ended August 31, 2019 |
The financial highlights of SGI Global Equity Fund, for each of the periods presented through August 31, 2017, were audited by other auditors whose report dated October 27, 2017, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Company is not required to have, nor were we engaged to perform, an audit of the Company’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control over financial reporting. Accordingly, we express no such opinion.
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SUMMIT GLOBAL INVESTMENTS
Report of Independent Registered Public Accounting Firm (concluded)
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2019, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Summit Global Investments investment companies since 2012.
Philadelphia, Pennsylvania
October 30, 2019
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SUMMIT GLOBAL INVESTMENTS
Shareholder Tax Information (Unaudited)
Certain tax information is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended August 31, 2019. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2019. During the fiscal year ended August 31, 2019, the tax character of distributions paid by the Fund’s were as follows:
Ordinary Income | Long-Term | |||||||
SGI U.S. Large Cap Equity Fund | $ | 9,549,200 | $ | 7,968,475 | ||||
SGI U.S. Small Cap Equity Fund | 348,578 | 1,310,032 | ||||||
SGI Global Equity Fund | 258,783 | — |
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.
Under the Jobs and Growth Tax Relief Reconciliation Act of 2003, the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2019 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:
SGI U.S. Large Cap Equity Fund | 79.80 | % | ||
SGI U.S. Small Cap Equity Fund | 94.52 | % | ||
SGI Global Equity Fund | 100.00 | % |
The percentage of total ordinary income dividends paid qualifying for corporate dividends received deduction for each Fund is as follows:
SGI U.S. Large Cap Equity Fund | 80.97 | % | ||
SGI U.S. Small Cap Equity Fund | 77.48 | % | ||
SGI Global Equity Fund | 84.81 | % |
The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:
SGI U.S. Large Cap Equity Fund | 0.00 | % | ||
SGI U.S. Small Cap Equity Fund | 0.00 | % | ||
SGI Global Equity Fund | 0.00 | % |
The percentage of ordinary income distributions designated as qualified short-term gains pursuant to the American Job Creation Act of 2004 is as follows:
SGI U.S. Large Cap Equity Fund | 69.42 | % | ||
SGI U.S. Small Cap Equity Fund | 7.07 | % | ||
SGI Global Equity Fund | 0.00 | % |
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SUMMIT GLOBAL INVESTMENTS
Shareholder Tax Information (Unaudited) (concluded)
Pursuant to Section 853 of the Internal Revenue Code, the following Portfolios elect to pass-through to shareholders the credit for taxes paid to eligible foreign countries, which may be less than the actual amount paid for financial statement purposes.
Per Share | ||||||||||||||||||||
Gross | Foreign | Gross | Foreign | Shares | ||||||||||||||||
SGI Global Equity Fund | $ | 314,509 | $ | 34,924 | 0.476683 | 0.052933 | 659,787 |
Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2019. The second notification, which will reflect the amount, if any, to be used by calendar year taxpayers on their U.S. federal income tax returns, will be made in conjunction with Form 1099-DIV and will be mailed in January 2020.
Foreign shareholders will generally be subject to U.S. withholding tax on the amount of their ordinary income dividends. They will generally not be entitled to a foreign tax credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g., IRAs and Keoghs) need not be reported as taxable income for U.S. federal income tax purposes. However, some retirement trusts (e.g., corporate, Keogh and 403(b)(7) plans) may need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the tax consequences of their investment in the Funds.
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SUMMIT GLOBAL INVESTMENTS
Other Information (Unaudited)
Proxy Voting
Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve-month period ended June 30 are available without charge, upon request, by calling (855) 744-8500 and on the SEC’s website at http://www.sec.gov.
Quarterly Portfolio Schedules
The Company files 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 (or as an exhibit to its reports on Form N-Q’s successor, Form N-PORT). The Company’s Form N-Q is available on the SEC website at http://www.sec.gov.
Approval of Investment Advisory Agreements
As required by the Investment Company Act of 1940, as amended (the “1940 Act”), the Board of Directors (the “Board”) of the Company, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between Summit and the Company (the “Investment Advisory Agreements”) on behalf of the SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund, and the SGI Global Equity Fund (each a “Fund” and together the “Funds”), at a meeting of the Board held on May 15-16, 2019 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreements, the Board considered information provided by Summit with the assistance and advice of counsel to the Independent Directors and the Company.
In considering the renewal and approval of the Investment Advisory Agreements between the Company and Summit with respect to Funds, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Summit’s services provided to the Funds; (ii) descriptions of the experience and qualifications of Summit’s personnel providing those services; (iii) Summit’s investment philosophies and processes; (iv) Summit’s assets under management and client descriptions; (v) Summit’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Summit’s current advisory fee arrangement with the Company and other similarly managed clients; (vii) Summit’s compliance procedures; (viii) Summit’s financial information, insurance coverage and profitability analysis related to providing advisory services to the Funds; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Broadridge/Lipper comparing the Funds’ management fees and total expense ratio to those of its respective Lipper Group and comparing the performance of each Fund to the performance of its Lipper Group; and (xi) a report comparing the performance of each Fund to the performance of its benchmark.
As part of their review, the Directors considered the nature, extent and quality of the services provided by Summit. The Directors concluded that Summit had substantial resources to provide services to the Funds and that Summit’s services had been acceptable.
The Directors also considered the investment performance of the Funds and Summit. The Directors considered each Fund’s investment performance in light of its investment objective and investment strategies. The Directors noted that the SGI U.S. Large Cap Equity Fund outperformed its benchmark, the S&P 500 Index, for the one- and five-year periods ended March 31, 2019. The Directors also noted that the SGI U.S. Large Cap Equity Fund ranked in the 1st quintile in its Lipper Performance Group for the one-, two-, three-, four-, and five-year periods ended December 31, 2018, and in the 1st quintile in its Lipper Performance Universe for the one-, four-, and five-year periods ended period ended December 31, 2018.
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SUMMIT GLOBAL INVESTMENTS
Other Information (Unaudited) (concluded)
Next, the Directors noted that the SGI U.S. Small Cap Equity Fund’s investment performance underperformed its benchmark, the Russell 2000 Index, for the year-to-date, one-year, three-year, and since-inception periods ended March 31, 2019. The Directors also noted that the SGI U.S. Small Cap Equity Fund ranked in the 1st quintile in its Lipper Performance Group for the since-inception period ended December 31, 2018, and in the 2nd quintile in its Lipper Performance Universe for the one-year period ended December 31, 2018.
Finally, the Directors noted that the SGI Global Equity Fund’s investment performance outperformed its benchmark, the MSCI ACWI Index, for the one-year, five-year, and since inception periods ended March 31, 2019. The Directors also noted that the SGI Global Equity Fund ranked in the 1st quintile in its Lipper Performance Group for the one-, two-, four-, and five-year periods ended December 31, 2018, and in the 1st quintile in its Lipper Performance Universe for the one-year period ended December 31, 2018.
The Board also considered the advisory fee rate payable by the Funds under the Investment Advisory Agreements. In this regard, information on the fees paid by the Funds and each Fund’s total operating expense ratio (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the actual advisory fee of the SGI U.S. Large Cap Equity Fund ranked in the 5th quintile of the Fund’s Lipper Expense Group, the SGI U.S. Small Cap Equity Fund’s actual advisory fee ranked in the 4th quintile of the Fund’s Lipper Expense Group, and the SGI Global Equity Fund’s actual advisory fee ranked in the 1st quintile of the Fund’s Lipper Expense Group. The Directors noted that Summit had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2019 to limit total annual operating expenses to agreed upon levels for each Fund.
After reviewing the information regarding each Fund’s costs, profitability and economies of scale, and after considering Summit’s services, the Directors concluded that the investment advisory fees paid by the Funds were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2020.
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SUMMIT GLOBAL INVESTMENTS
Company Management (Unaudited)
Directors and Executive Officers
The business and affairs of the Company are managed under the direction of the Company’s Board of Directors. The Company is organized under and managed pursuant to Maryland law. The Directors and executive officers of the Company, their ages, business addresses and principal occupations during the past five years are set forth below. The statement of additional information (“SAI”) includes additional information about the Directors and is available without charge, upon request, by calling (855) 744-8500.
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT DIRECTORS | |||||
Julian A. Brodsky | Director | 1988 to present | From 1969 to 2011, Director and Vice Chairman, Comcast Corporation (cable television and communications). | 33 | AMDOCS Limited (service provider to telecommunications companies). |
J. Richard Carnall | Director | 2002 to present | Since 1984, Director of Haydon Bolts, Inc. (bolt manufacturer) and Parkway Real Estate Company (subsidiary of Haydon Bolts, Inc.); since 2004, Director of Cornerstone Bank. | 33 | None |
Gregory P. Chandler | Director | 2012 to present | Since 2009, Chief Financial Officer, Emtec, Inc. (information technology consulting/services). | 33 | Emtec, Inc.; FS Investment Corporation (business development company) (until December 2018); FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios)(registered investment company). |
Nicholas A. Giordano | Director | 2006 to present | Since 1997, Consultant, financial services organizations. | 33 | IntriCon Corporation (biomedical device manufacturer); Kalmar Pooled Investment Trust (registered investment company) (until September 2017); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance). |
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SUMMIT GLOBAL INVESTMENTS
Company Management (Unaudited) (continued)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Arnold M. Reichman | Chairman
Director | 2005 to present 1991 to present | From 2006-2016, Co-Founder and Chief Executive Officer, Lifebooker, LLC (online beauty and health appointment booking service). | 33 | Independent Trustee of EIP Investment Trust (registered investment company). |
Brian T. Shea | Director | 2018 to present | From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983-2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm). | 33 | WisdomTree Investments, Inc. (asset management company) (until March 2019); Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company). |
Robert A. Straniere | Director | 2006 to present | Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm). | 33 | Reich and Tang Group (asset management) (until 2015). |
INTERESTED DIRECTOR2 | |||||
Robert Sablowsky | Vice Chairman
Director | 2016 to present
1991 to present | Since 2002, Senior Director - Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer). | 33 | None |
OFFICERS | |||||
Salvatore Faia, JD, | President
Chief Compliance Officer | 2009 to present
2004 to present | Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company). | N/A | N/A |
James G. Shaw | Treasurer and Secretary | 2016 to present | Since 2016, Treasurer and Secretary of The RBB Fund, Inc.; from 2005 to 2016, Assistant Treasurer of The RBB Fund, Inc.; from 1995 to 2016, Senior Director and Vice President of BNY Mellon Investment Servicing (US) Inc. (financial services company). | N/A | N/A |
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SUMMIT GLOBAL INVESTMENTS
Company Management (Unaudited) (continued)
Name, Address, | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
Robert Amweg | Assistant Treasurer | 2016 to present | Since 2013, Compliance Director, Vigilant Compliance, LLC (investment management services company); since 2012, Consultant to the financial services industry; from 2007 to 2012, Chief Financial Officer and Chief Accounting Officer, Turner Investments, LP (registered investment company). | N/A | N/A |
Jennifer Witt | Assistant Treasurer | 2018 to present | Since 2016, Assistant Vice President, U.S. Bancorp Fund Services, LLC (fund administrative services firm); from 2007 to 2016, Supervisor, Nuveen Investments (registered investment company). | N/A | N/A |
Edward Paz | Assistant Secretary | 2016 to present | Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm). | N/A | N/A |
Michael P. Malloy | Assistant Secretary | 1999 to present | Since 1993, Partner, Drinker Biddle & Reath LLP (law firm). | N/A | N/A |
Jillian L. Bosmann Age: 40 | Assistant Secretary | 2017 to present | Partner, Drinker Biddle & Reath LLP (law firm) (2017-Present); Drinker Biddle & Reath LLP (2006-Present). | N/A | N/A |
* | Each Director oversees 33 portfolios of the Company. |
1. | Subject to the Company’s Retirement Policy, each Director may continue to serve as a Director until the last day of the calendar year in which the applicable Director attains age 75 or until his successor is elected and qualified or his death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Director. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Carnall, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Company or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed. |
2. | Mr. Sablowsky is considered an “interested person” of the Company as that term is defined in the 1940 Act and is referred to as an “Interested Director.” Mr. Sablowsky is considered an “Interested Director” of the Company by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer. |
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SUMMIT GLOBAL INVESTMENTS
Company Management (Unaudited) (Concluded)
Director Experience, Qualifications, Attributes and/or Skills
The information above includes each Director’s principal occupations during the past five years. Each Director possesses extensive additional experience, skills and attributes relevant to his qualifications to serve as a Director. The cumulative background of each Director led to the conclusion that each Director should serve as a Director of the Company. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Straniere has been a practicing attorney for over 30 years and also serves on the boards of an asset management company and another registered investment company. Mr. Brodsky has over 40 years of senior executive level management experience in the cable television and communications industry. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Carnall has decades of senior executive-level management experience in the banking and financial services industry and also serves on the boards of various corporations and a bank. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing and investment services industry and service on securities industry and investment company boards.
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SUMMIT GLOBAL INVESTMENTS
PRIVACY NOTICE (Unaudited)
FACTS | WHAT DOES THE SGI 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 SGI Funds chooses to share; and whether you can limit this sharing. | ||
Reasons we can share your information | Do the SGI Funds share? | Can you limit this sharing? | |
For our everyday business purpose — | Yes | No | |
For our marketing purposes — | Yes | No | |
For joint marketing with other financial companies | Yes | No | |
For affiliates’ everyday business purposes — | Yes | No | |
For affiliates’ everyday business purposes — | No | We don’t share | |
For our affiliates to market to you | No | We don’t share | |
For nonaffiliates to market to you | No | We don’t share |
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SUMMIT GLOBAL INVESTMENTS
PRIVACY NOTICE (Unaudited) (concluded)
Questions? | Call 1-888-251-4847 or go to www.summitglobalinvestments.com |
What we do |
|
How do the SGI 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 SGI 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 Summit Global Investments, LLC, the investment adviser to the SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund and SGI Global Equity Fund. |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
● SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund and SGI Global Equity Fund doesn’t share with nonaffiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● SGI U.S. Large Cap Equity Fund, SGI U.S. Small Cap Equity Fund and SGI Global Equity Fund may share your information with other financial institutions with whom they have joint marketing arrangements who may suggest additional fund services or other investments products which may be of interest to you. We do not currently have any joint marketing arrangements with other financial institutions. |
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Investment Adviser
Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201
Principal Underwriter
Quasar Distributors, LLC
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, Suite 2000
Philadelphia, PA 19103-6996
SGI-AR19
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee. Julian A. Brodsky, Gregory P. Chandler and Nicholas A. Giordano are the registrant’s audit committee financial experts and each of them is “independent.”
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were: |
Fiscal Year 2019 | Fiscal Year 2018 | |
Ernst & Young LLP | $555,375 | $503,650 |
PricewaterhouseCoopers LLP | $262,187 | $255,514 |
Tait, Weller & Baker | $88,900 | $88,300 |
Aggregate Fees | $906,462 | $847,464 |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item were: |
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Fiscal Year 2019 | Fiscal Year 2018 | |
Ernst & Young LLP | $9,300 | $0 |
PricewaterhouseCoopers LLP | $5,000 | $0 |
Tait, Weller & Baker | $2,300 | $0 |
Aggregate Fees | $16,600 | $0 |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were: |
Fiscal Year 2019 | Fiscal Year 2018 | |
Ernst & Young LLP | $150,700 | $128,320 |
PricewaterhouseCoopers LLP | $49,100 | $48,610 |
Tait, Weller & Baker | $17,300 | $17,000 |
Aggregate Fees | $217,100 | $193,930 |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were: |
Fiscal Year 2019 | Fiscal Year 2018 | |
Ernst & Young LLP | $0 | $0 |
PricewaterhouseCoopers LLP | $0 | $0 |
Tait, Weller & Baker | $0 | $0 |
Aggregate Fees | $0 | $0 |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
Pre-Approval of Audit and Permitted Non-Audit Services
1. | Pre-Approval Requirements of the Company. The Committee shall pre-approve all auditing services and permissible non-audit services (e.g., tax services) to be provided to the Company by the Auditor, including the fees associated with those services. |
2. | Pre-Approval Requirements of Affiliates. Additionally, the Committee shall pre-approve any engagement of the Auditor to provide non-audit services to an investment adviser of a Portfolio or to any affiliate of such investment adviser that provides ongoing services to the Company, if the engagement relates directly to the operations and financial reporting of the Company. |
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3. | Delegation. The Committee may delegate to the Chairman of the Committee, or if the Chairman is not available, one or more of its members, the authority to grant pre-approvals. The decisions of any member to whom authority is delegated shall be presented to the full Committee at its next scheduled meeting. |
4. | Prohibited Services. The Committee shall confirm with the Auditor that the Auditor is not performing contemporaneously with the Company’s audit any prohibited non-audit services for the Company, any investment adviser of a Portfolio, or any affiliates of the Company or such investment advisers. The Auditor is responsible for informing the Committee of whether it believes that a particular service is permissible or prohibited pursuant to applicable regulations and standards. |
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | Not applicable. |
(c) | Not applicable. |
(d) | Not applicable. |
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant were: |
Fiscal Year 2019 | Fiscal Year 2018 | |
Ernst & Young LLP | $160,000 | $128,320 |
PricewaterhouseCoopers LLP | $362,923 | $324,610 |
Tait | $19,600 | $17,000 |
Aggregate Fees | $542,523 | $469,930 |
(h) | Not applicable. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6. Investments.
(a) | Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive and Principal Financial Officers have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Senior Officer Code of Ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer pursuant to Rule 30a-2(a) under the 1940 Act is attached hereto.
(a)(3) Not applicable to open-end investment companies.
(a)(4) There was no change in the registrant’s independent public accountant for the period covered by this report.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | The RBB Fund, Inc. | |
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 11/4/2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Salvatore Faia | |
Salvatore Faia, President | ||
(principal executive officer) | ||
Date | 11/4/2019 | |
By (Signature and Title)* | /s/ James Shaw | |
James Shaw, Treasurer | ||
(principal financial officer) | ||
Date | 11/4/2019 |
* | Print the name and title of each signing officer under his or her signature. |
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