正如向美国证券交易委员会提交的那样 2024年11月12日

 

美国
证券交易委员会
华盛顿特区20549

 

FOm N-CSR

 

经认证的股东报告

企业投资公司

 

811-05518

投资公司法文件号

 

成果预算制 基金公司

(章程中规定的注册人的确切名称)

 

东615 密西根街

密尔沃基, WI 53202

(主要行政办公室地址)(邮政编码)

 

史蒂文 丰满,总统

转交美国银行全球基金服务

东密西根街615号

威斯康星州密尔沃基53202

(Name和服务代理人地址)

 

(609) 731-6256

注册人的电话号码,包括地区代码

 

财年结束日期:8月31日

 

报告期日期:2024年8月31日

 
 

项目1.向股东报告。

 

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Abbey Capital Futures Strategy Fund
image
Class I | ABYIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Futures Strategy Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/. You can also request this information by contacting us at 1-844-261-6484
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$178
1.79%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw negative performance for the one-year period ended August 31, 2024. The Fund’s Diversified Trendfollowing trading advisers were the primary source of negative performance at the trading style level.
At the market sector level, the Fund saw losses in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets. This uncertainty contributed to a lack of clear price trends and several price reversals that proved challenging for some of the Fund’s underlying trading advisers. Performance across energy and metals markets was also negative.
The Fund did capture gains in agricultural commodities and equities. Strong price uptrends in cocoa were the primary source of gains within agricultural commodities. Meanwhile, long positions across equity indices also resulted in gains as global stocks reached new record highs during the period.
Top Contributors
Agricultural Commodities
Equity indices
Top Detractors
Currencies
Fixed Income
Energy
Metals
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $1,000,000 chart reflects a hypothetical $1,000,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
Abbey Capital Futures Strategy Fund  PAGE 1  TSR-AR-74925K367

 
CUMULATIVE PERFORMANCE (Initial Investment of $1,000,000)
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ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
10 Years
Class I
-1.32
3.72
4.06
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$2,713,572,669
Number of Holdings
1,015
Net Advisory Fee
$46,899,087
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
7.5%
Currency
19.1%
Energy
12.8%
Equity
27.8%
Fixed Income
21.9%
Metals
10.8%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ or upon request at 1-844-261-6482.
On April 29, 2024, QMS Capital Management LP began serving as a trading adviser to the Fund.
Abbey Capital Futures Strategy Fund  PAGE 2  TSR-AR-74925K367

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Futures Strategy Fund  PAGE 3  TSR-AR-74925K367
1000000118455211646931106459112126412404951223305131799315515461508779148886310000001004779113090913145021572953161890819740442589268229855526650493388219

 
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Abbey Capital Futures Strategy Fund
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Class A | ABYAX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Futures Strategy Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/. You can also request this information by contacting us at 1-844-261-6484.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class A
$202
2.04%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw negative performance for the one-year period ended August 31, 2024. The Fund’s Diversified Trendfollowing trading advisers were the primary source of negative performance at the trading style level.
At the market sector level, the Fund saw losses in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets. This uncertainty contributed to a lack of clear price trends and several price reversals that proved challenging for some of the Fund’s underlying trading advisers. Performance across energy and metals markets was also negative.
The Fund did capture gains in agricultural commodities and equities. Strong price uptrends in cocoa were the primary source of gains within agricultural commodities. Meanwhile, long positions across equity indices also resulted in gains as global stocks reached new record highs during the period.
Top Contributors
Agricultural Commodities
Equity indices
Top Detractors
Currencies
Fixed Income
Energy
Metals
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
Abbey Capital Futures Strategy Fund  PAGE 1  TSR-AR-74925K375

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
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ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
10 Years
Class A (without sales charge)
-1.67
3.42
3.79
Class A (with sales charge)
-7.36
2.21
3.18
S&P 500 Total Returns Index
27.14
15.92
12.98
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$2,713,572,669
Number of Holdings
1,015
Net Advisory Fee
$46,899,087
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
7.5%
Currency
19.1%
Energy
12.8%
Equity
27.8%
Fixed Income
21.9%
Metals
10.8%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ or upon request at 1-844-261-6482.
Abbey Capital Futures Strategy Fund  PAGE 2  TSR-AR-74925K375

 
On April 29, 2024, QMS Capital Management LP began serving as a trading adviser to the Fund.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Futures Strategy Fund  PAGE 3  TSR-AR-74925K375
9427111401092410357104691155511365122081433113904136731000010048113091314515730161891974025893229862665033882

 
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Abbey Capital Futures Strategy Fund
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Class C | ABYCX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Futures Strategy Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/. You can also request this information by contacting us at 1-844-261-6484.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class C
$276
2.79%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw negative performance for the one-year period ended August 31, 2024. The Fund’s Diversified Trendfollowing trading advisers were the primary source of negative performance at the trading style level.
At the market sector level, the Fund saw losses in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets. This uncertainty contributed to a lack of clear price trends and several price reversals that proved challenging for some of the Fund’s underlying trading advisers. Performance across energy and metals markets was also negative.
The Fund did capture gains in agricultural commodities and equities. Strong price uptrends in cocoa were the primary source of gains within agricultural commodities. Meanwhile, long positions across equity indices also resulted in gains as global stocks reached new record highs during the period.
Top Contributors
Agricultural Commodities
Equity indices
Top Detractors
Currencies
Fixed Income
Energy
Metals
HOW DID THE FUND PERFORM OVER THE PAST TEN YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
Abbey Capital Futures Strategy Fund  PAGE 1  TSR-AR-74925K359

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
10 Years
Class C (without contingent deferred sales charge)1
-2.29
2.68
3.03
Class C (with contingent deferred sales charge)1
-3.26
2.68
3.03
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 The inception date of Class C Shares of the Fund was October 6, 2015 and the inception date of the Fund was July 1, 2014. 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.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$2,713,572,669
Number of Holdings
1,015
Net Advisory Fee
$46,899,087
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
7.5%
Currency
19.1%
Energy
12.8%
Equity
27.8%
Fixed Income
21.9%
Metals
10.8%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
Abbey Capital Futures Strategy Fund  PAGE 2  TSR-AR-74925K359

 
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/ or upon request at 1-844-261-6482.
On April 29, 2024, QMS Capital Management LP began serving as a trading adviser to the Fund.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/abbey-capital-futures-strategy-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Futures Strategy Fund  PAGE 3  TSR-AR-74925K359
10000117281141910746107851180911526123001432713797134821000010048113091314515730161891974025893229862665033882

 
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Abbey Capital Multi Asset Fund
image
Class I | MAFIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Multi Asset Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/. You can also request this information by contacting us at 1-844-261-6484.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$185
1.79%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw positive performance for the one-year period ended August 31, 2024. The Fund’s Long US Equity strategy was the driver of positive performance, with partially offsetting losses recorded by the Fund’s Managed Futures strategy.
The Fund’s Long US Equity strategy saw positive returns from its allocation to S&P 500 futures. US stocks rallied strongly over the period, outperforming many other global markets. US stocks were supported by strong momentum in technology and artificial intelligence-related stocks as well as solid corporate earnings data. The prospect of a dovish shift in US monetary policy was another tailwind for stocks at times.
For the Fund’s Managed futures strategy, losses occurred in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets, contributing to a lack of clear price trends and several price reversals that proved challenging. Performance in energy markets was also negative for the Managed Futures strategy, with partially offsetting gains recorded in equities, agricultural commodities and metals.
Top Contributors
Equity indices
Agricultural Commodities
Metals
Top Detractors
Currencies
Fixed Income
Energy
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $1,000,000 chart reflects a hypothetical $1,000,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
Abbey Capital Multi Asset Fund  PAGE 1  TSR-AR-74933W882

 
CUMULATIVE PERFORMANCE (Initial Investment of $1,000,000)
image
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception of Class I Shares
(04/11/2018)
Class I
6.88
10.08
10.85
S&P 500 Total Return Index
27.14
15.92
14.46
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,021,674,121
Number of Holdings
557
Net Advisory Fee
$12,621,844
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
4.5%
Currency
16.6%
Energy
7.3%
Equity
50.8%
Fixed Income
13.4%
Metals
7.4%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ or upon request at 1-844-261-6484.
Abbey Capital Multi Asset Fund  PAGE 2  TSR-AR-74933W882

 
Graham Capital Management L.P. began serving as a trading adviser to the Fund on April 4, 2024 and Winton Capital Management Limited began serving as a trading adviser to the Fund on June 13, 2024. In addition, Systematica Investments Limited (acting as the general partner of Systematica Investments LP) began serving as a trading adviser to the Fund on October 22, 2024 (subsequent to the end of the reporting period).
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Multi Asset Fund  PAGE 3  TSR-AR-74933W882
10650001194884136186516304031798498180685019311961100442113259213810451811457160807418644742370405

 
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Abbey Capital Multi Asset Fund
image
Class A | MAFAX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Multi Asset Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/. You can also request this information by contacting us at 1-844-261-6484.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class A
$211
2.04%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw positive performance for the one-year period ended August 31, 2024. The Fund’s Long US Equity strategy was the driver of positive performance, with partially offsetting losses recorded by the Fund’s Managed Futures strategy.
The Fund’s Long US Equity strategy saw positive returns from its allocation to S&P 500 futures. US stocks rallied strongly over the period, outperforming many other global markets. US stocks were supported by strong momentum in technology and artificial intelligence-related stocks as well as solid corporate earnings data. The prospect of a dovish shift in US monetary policy was another tailwind for stocks at times.
For the Fund’s Managed futures strategy, losses occurred in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets, contributing to a lack of clear price trends and several price reversals that proved challenging. Performance in energy markets was also negative for the Managed Futures strategy, with partially offsetting gains recorded in equities, agricultural commodities and metals.
Top Contributors
Equity indices
Agricultural Commodities
Metals
Top Detractors
Currencies
Fixed Income
Energy
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
Abbey Capital Multi Asset Fund  PAGE 1  TSR-AR-74933W700

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception of the Fund
(04/11/2018)
Class A (without sales charge)1
6.61
9.80
10.57
Class A (with sales charge)1
0.50
8.51
9.55
S&P 500 Total Return Index
27.14
15.92
14.46
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 The inception date of Class A Shares of the Fund was February 16, 2022 and the inception date of the Fund was April 11, 2018. Class A Shares performance prior to its inception on February 16, 2022 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,021,674,121
Number of Holdings
557
Net Advisory Fee
$12,621,844
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
4.5%
Currency
16.6%
Energy
7.3%
Equity
50.8%
Fixed Income
13.4%
Metals
7.4%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
Abbey Capital Multi Asset Fund  PAGE 2  TSR-AR-74933W700

 
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ or upon request at 1-844-261-6484.
Graham Capital Management L.P. began serving as a trading adviser to the Fund on April 4, 2024 and Winton Capital Management Limited began serving as a trading adviser to the Fund on June 13, 2024. In addition, Systematica Investments Limited (acting as the general partner of Systematica Investments LP) began serving as a trading adviser to the Fund on October 22, 2024 (subsequent to the end of the reporting period).
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Multi Asset Fund  PAGE 3  TSR-AR-74933W700
1002811223127591523716760168001791011004113261381018115160811864523704

 
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Abbey Capital Multi Asset Fund
image
Class C | MAFCX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Abbey Capital Multi Asset Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/. You can also request this information by contacting us at 1-844-261-6484.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class C
$287
2.79%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund saw positive performance for the one-year period ended August 31, 2024. The Fund’s Long US Equity strategy was the driver of positive performance, with partially offsetting losses recorded by the Fund’s Managed Futures strategy.
The Fund’s Long US Equity strategy saw positive returns from its allocation to S&P 500 futures. US stocks rallied strongly over the period, outperforming many other global markets. US stocks were supported by strong momentum in technology and artificial intelligence-related stocks as well as solid corporate earnings data. The prospect of a dovish shift in US monetary policy was another tailwind for stocks at times.
For the Fund’s Managed futures strategy, losses occurred in fixed income and major currencies. Uncertainty about the timing of potential interest rate cuts by central banks was a key factor influencing these markets, contributing to a lack of clear price trends and several price reversals that proved challenging. Performance in energy markets was also negative for the Managed Futures strategy, with partially offsetting gains recorded in equities, agricultural commodities and metals.
Top Contributors
Equity indices
Agricultural Commodities
Metals
Top Detractors
Currencies
Fixed Income
Energy
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
Abbey Capital Multi Asset Fund  PAGE 1  TSR-AR-74933W809

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception of the Fund
(04/11/2018)
Class C (without contingent deferred sales charge)1
5.93
9.00
9.76
Class C (with contingent deferred sales charge)1
4.93
9.00
9.76
S&P 500 Total Return Index
27.14
15.92
14.46
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 The inception date of Class C Shares of the Fund was November 8, 2021 and the inception date of the Fund was April 11, 2018. Class C Shares performance prior to its inception on November 8, 2021 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,021,674,121
Number of Holdings
557
Net Advisory Fee
$12,621,844
Portfolio Turnover
0%
Visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Market Group
Risk Allocation (% of overall Value at Risk)
Agricultural Products
4.5%
Currency
16.6%
Energy
7.3%
Equity
50.8%
Fixed Income
13.4%
Metals
7.4%
The data shown relates to the positions held by the Fund and its wholly owned and controlled subsidiaries and does not take into account any other assets held by the Fund (primarily cash and cash-equivalents). The Fund is actively managed and percentages may vary over time.
Value at Risk Definition: Value-at-Risk (VaR) expresses market risk as a percentage of a portfolio’s value. The VaR figures quoted are as of August 31, 2024, based on a historic VaR calculation with a 5-year lookback period (1300 days), calculated at the 95th percentile. The historical approach to evaluating a portfolio’s VaR involves applying the current positions to the historical portfolio prices of the corresponding instruments, and then calculating how the current positioning would have performed historically. For any chosen threshold value, the hypothetical returns then provide an estimate of the current VaR figure.
Abbey Capital Multi Asset Fund  PAGE 2  TSR-AR-74933W809

 
MATERIAL FUND CHANGES:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/ or upon request at 1-844-261-6484.
Graham Capital Management L.P. began serving as a trading adviser to the Fund on April 4, 2024 and Winton Capital Management Limited began serving as a trading adviser to the Fund on June 13, 2024. In addition, Systematica Investments Limited (acting as the general partner of Systematica Investments LP) began serving as a trading adviser to the Fund on October 22, 2024 (subsequent to the end of the reporting period).
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.abbeycapital.com/products/mutual-funds/multi-asset-fund/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6484, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Abbey Capital Multi Asset Fund  PAGE 3  TSR-AR-74933W809
1060811784132981576117209171151813111004113261381018115160811864523704

 
image
Adara Smaller Companies Fundtrue
image
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Adara Smaller Companies Fund (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://rbbfund.com/additional-fund-information/. You can also request this information by contacting us at 1-844-261-6482.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Adara Smaller Companies Fund
$87
0.80%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund generated a return of 16.72% for the fiscal year ended August 31, 2024, underperforming the benchmark Russell 2000 Total Return Index, which returned 18.47% over the same period. The Fund’s 1.75% underperformance of the benchmark was due in large part to the Fund’s higher quality bias, which caused the Fund to trail the benchmark during the strong market rally.
U.S. equity markets generated strong gains in the fiscal year as markets reacted positively to lower yields, inflation continued trending lower and the Federal Reserve pivoted away from raising interest rates and toward cutting rates in 2024. A recession did not materialize, and markets benefited from excitement around artificial intelligence.
The Fund’s assets were allocated to five underlying sub-advisers during the fiscal year: microcap managers Driehaus Capital Management LLC (“Driehaus”) and Pacific Ridge Capital Partners LLC (“Pacific Ridge”); small-cap managers Pier Capital LLC (“Pier”) and River Road Asset Management LLC (“River Road”); and tax-loss harvesting manager Aperio Group LLC (“Aperio”). Performance of the Fund’s sub-advisers for the fiscal year was led by Driehaus, with a return of +22.00%, followed in order by Aperio at +20.34%, Pacific Ridge at +17.05%, Pier at +15.42% and River Road at +12.99%. As of August 31, 2024, the Fund’s assets were allocated 25% to Driehaus, 23% to Pacific Ridge, 19% to Aperio, 17% to River Road, 14% to Pier and the remaining 2% in a cash sleeve.
Top Contributors
Crinetics Pharmaceuticals Inc
Heritage Insurance Holdings Inc
FTAI Aviation Ltd.
Top Detractors
Red Robin Gourmet Burgers Inc
Aehr Test Systems
Kimball Electronics Inc
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the Fund. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
Adara Smaller Companies Fund  PAGE 1  TSR-AR-74925K342

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  10/21/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Adara Smaller Companies Fund 10000 10170 10230 10560 10150 10750 10970 10740 11060 11310 11180 10590 10020 10380 10690 10220 9420 9370 10020 10130 10320 10380 10990 11200 11440 10890 11920 12210 12240 12330 12490 12710 12640 13020 13040 12940 13730 13960 14300 14304 14646 14220 14470 14667 15779 16090 16194 17409 17056 15186 14968 13414 14806 15766 15466 15970 15106 16198 16222 15466 15346 15742 16366 16786 16288 15168 11896 13576 14795 15641 16151 17085 16699 17035 20146 21984 23509 25488 25589 26156 26358 26912 26358 27063 26446 27845 27089 27809 24825 24715 24715 22669 22575 20794 22638 22481 20685 22716 23153 22039 23889 23481 22353 21883 21773 23560 24641 23920 22792 21538 23184 25364 24812 25932 26957 25253 26484 26137 28093 27919
Russell 3000 Total Return Index ** 10000 10401 10654 10653 10357 10957 10845 10894 11045 10860 11042 10375 10073 10868 10929 10704 10100 10097 10808 10875 11070 11092 11533 11562 11580 11330 11837 12068 12295 12752 12761 12896 13028 13145 13393 13419 13746 14046 14473 14618 15388 14821 14523 14579 14990 15088 15589 16136 16163 14973 15273 13851 15040 15569 15797 16427 15364 16443 16688 16348 16635 16993 17639 18148 18128 16644 14355 16256 17126 17517 18512 19853 19130 18717 20994 21939 21841 22524 23331 24534 24646 25253 25680 26413 25228 26934 26524 27568 25946 25293 26113 23770 23738 21752 23793 22905 20781 22485 23659 22273 23807 23251 23873 24127 24221 25875 26802 26285 25033 24369 26642 28055 28366 29901 30866 29507 30902 31858 32450 33157
Russell 2000 Total Return Index 10000 10548 10557 10858 10509 11133 11327 11038 11290 11374 11242 10536 10019 10583 10927 10379 9466 9466 10221 10382 10615 10609 11242 11441 11568 11018 12247 12590 12640 12884 12901 13042 12777 13218 13317 13147 13968 14087 14493 14434 14812 14238 14422 14547 15430 15540 15811 16493 16096 14348 14576 12845 14290 15032 14718 15218 14034 15026 15113 14366 14665 15052 15671 16123 15606 14292 11187 12724 13552 14031 14419 15231 14723 15031 17802 19341 20315 21581 21798 22255 22301 22733 21912 22403 21742 22667 21722 22208 20070 20284 20536 18501 18529 17005 18780 18396 16633 18464 18896 17669 19391 19064 18153 17827 17662 19098 20266 19252 18118 16883 18411 20660 19857 20980 21731 20201 21215 21018 23154 22808
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(10/21/2014)
Adara Smaller Companies
16.72
12.54
10.97
Russell 3000 Total Return Index**
26.14
15.19
12.93
Russell 2000 Total Return Index
18.47
9.68
8.72
Visit https://rbbfund.com/additional-fund-information/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2000 Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 2000 Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$603,895,805
Number of Holdings
665
Net Advisory Fee
$3,658,869
Portfolio Turnover
58%
Visit https://rbbfund.com/additional-fund-information/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
First American Treasury Obligations Fund
6.8%
Crinetics Pharmaceuticals, Inc.
0.9%
TransMedics Group, Inc.
0.8%
Build-A-Bear Workshop, Inc.
0.7%
Northwest Pipe Co.
0.7%
Talen Energy Corp.
0.7%
White Mountains Insurance Group Ltd.
0.6%
Barrett Business Services, Inc.
0.6%
Hamilton Beach Brands Holding Co.
0.6%
Northeast Bank
0.6%
Top Sectors
(% of Net Assets)
Consumer, Non-cyclical
23.3%
Financial
20.6%
Industrial
16.6%
Consumer, Cyclical
14.1%
Technology
8.8%
Energy
3.9%
Communications
3.0%
Utilities
1.8%
Basic Materials
1.1%
Cash & Other
6.8%
Material Fund Changes:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://rbbfund.com/additional-fund-information/ or upon request at 1-844-261-6482.
Adara Smaller Companies Fund  PAGE 2  TSR-AR-74925K342

 
During the fiscal year, certain changes occured with respect to personnel of the Fund’s sub-advisers who serve as portfolio managers of the Fund (each, a “PM”). At Aperio, Robert Tymoczko retired from the firm and was removed as a PM. Michael Branch at Aperio was added as a PM. At Pacific Ridge, Mark Cooper transitioned his portfolio management responsibilities and was removed as a PM. At River Road, R. James Shircliff retired from the firm and was removed as a PM.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://rbbfund.com/additional-fund-information/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6482, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Adara Smaller Companies Fund  PAGE 3  TSR-AR-74925K342
105901120012940174091546617085270632248123920279191037511562134191613616348198532641322905262853315710536114411314716493143661523122403183961925222808

 
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Aquarius International Fundtrue
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Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Aquarius International Fund (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://rbbfund.com/additional-fund-information/. You can also request this information by contacting us at 1-844-261-6482.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Aquarius International Fund
$76
0.69%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund generated a return of 19.53% for the fiscal year ended August 31, 2024, slightly outperforming the 18.79% return of the Fund’s benchmark, the MSCI AC World Index ex USA Gross Index, over the same period.
Developed international equities, as measured by the MSCI EAFE Index, led performance and were up 19.99% for the period. Emerging markets, as measured by the MSCI Emerging Markets Index, were up 15.52% for the period, trailing developed markets. A decline of 1.85% in the U.S. Dollar Index during the period marginally contributed to returns.
The Fund ended the fiscal year with four underlying sub-advisers: international developed markets managers Mawer Investment Management Ltd. (“Mawer”) and Boston Partners Global Investors Inc. (“Boston Partners”); emerging markets manager Driehaus Capital Management LLC (“Driehaus”); and tax-loss harvesting manager Aperio Group, LLC (“Aperio”). Mawer had the strongest performance of the underlying sub-advisers in the 2024 fiscal year with a +22.17% return, followed by Aperio at +20.34%, Boston Partners at +19.11% and Driehaus at +17.82%. The Fund allocated 34% of its assets to each of Mawer and Boston Partners as of the end of the fiscal year, followed by 16% to Driehaus and 13% to Aperio, with the remaining 3% in a cash sleeve.
Top Contributors
Taiwan Semiconductor Manufacturing Co
Rheinmetall
Wolters Kluwer
Top Detractors
PANASONIC HOLDINGS CORP
EDENRED MALAKOFF
RECKITT BENCKISER GROUP PLC
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the Fund. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
Aquarius International Fund  PAGE 1  TSR-AR-74933W502

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  04/17/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Aquarius International Fund 10000 9890 9770 9610 9750 9610 9610 8980 9030 8757 9234 9406 9487 9751 9335 9782 9579 9406 9579 9873 9974 10360 10082 9454 8220 8734 9125 9434 9886 10216 10102 9876 10915 11475 11547 11620 11765 12107 12408 12283 12201 12418 11910 12315 11921 12307 11824 11362 11204 10595 10616 9881 10238 9755 8957 9272 10238 10108 10809 10448 10766 10873 10522 10989 11329 10915 10628 10299 11127 11603 11440 11766 12287 12016 12439 12363 12754 13047
MSCI AC WORLD INDEX ex USA Gross (USD) 10000 9995 9775 9595 9828 9624 9672 8886 8972 8569 9218 9399 9463 9720 9209 9768 9653 9357 9602 9938 10027 10465 10185 9381 8030 8644 8931 9339 9760 10179 9933 9721 11030 11629 11657 11889 12048 12410 12807 12728 12522 12762 12361 12659 12091 12594 12131 11893 11922 11181 11273 10308 10665 10324 9297 9577 10709 10633 11498 11095 11378 11584 11174 11682 12160 11614 11252 10789 11763 12357 12236 12548 12952 12729 13111 13103 13411 13796
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(04/17/2018)
Aquarius International Fund
19.53
6.76
4.26
MSCI AC WORLD INDEX ex USA Gross (USD)
18.79
8.08
5.18
Visit https://rbbfund.com/additional-fund-information/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$581,434,302
Number of Holdings
749
Net Advisory Fee
$2,590,499
Portfolio Turnover
59%
Visit https://rbbfund.com/additional-fund-information/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
First American Treasury Obligations Fund
6.0%
Taiwan Semiconductor Manufacturing Co. Ltd.
3.3%
Samsung Electronics Co. Ltd.
2.6%
BAE Systems PLC
1.8%
AstraZeneca PLC
1.8%
Shell PLC
1.7%
Aon PLC
1.4%
Novartis AG
1.4%
Tencent Holdings Ltd.
1.2%
Wolters Kluwer
1.2%
Top Sectors
(% of Net Assets)
Financial
20.6%
Consumer, Non-cyclical
19.0%
Industrial
14.3%
Technology
11.1%
Consumer, Cyclical
10.1%
Communications
5.2%
Basic Materials
5.1%
Energy
5.0%
Utilities
2.7%
Cash & Other
6.9%
Material Fund Changes:
This is a summary of certain changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://rbbfund.com/additional-fund-information/ or upon request at 1-844-261-6482.
Aquarius International Fund  PAGE 2  TSR-AR-74933W502

 
During fiscal year, certain changes occured with repect to personnel of one of the Fund’s sub-advisers who serve as portfolio managers of the Fund (each, a “PM”). At Aperio, Robert Tymoczko retired from the firm and was removed as a PM. Michael Branch was added as a PM.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://rbbfund.com/additional-fund-information/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6482, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Aquarius International Fund  PAGE 3  TSR-AR-74933W502
96109406102161241897551091513047962493571017912762103241161413796

 
image
Boston Partners All-Cap Value Fund
image
Institutional Class | BPAIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners All-Cap Value Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-all-cap-value-fund-inst/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$88
0.80%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the Russell 3000® Value Index, and the Fund’s broad-based securities market index, the Russell 3000® Index, for the same period.
  
What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?  
Relative to the Russell 3000® Value Index, the biggest contribution to the Fund’s performance came from its holdings in the Materials sector, even though the Fund’s weight in the sector was less than that of the Russell 3000® Value Index. Stock selection in the Consumer Staples and Information Technology sectors also helped. The biggest detractors from relative performance were the Fund’s overweight position in the Health Care sector and disappointing stock selection within the Communication Services sector.
  
How is the Fund currently positioned?
The Fund’s largest sector overweights at the end of the period were in Information Technology, Health Care, and Financials. The Fund held meaningful underweights in the Real Estate, Utilities, and Consumer Staples sectors at the end of the reporting period.
Top Contributors
JPMorgan Chase & Co.
CRH Public Limited Company
Advanced Micro Devices, Inc.
Howmet Aerospace, Inc.
Check Point Software Technology
Top Detractors
Advanced Micro Devices, Inc.
Bristol-Myers Squibb Company
Pfizer, Inc.
Globe Life, Inc.
SLB
Boston Partners All-Cap Value Fund  PAGE 1  TSR-AR-749255139

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners All-Cap Value Fund Institutional Class 100000 97870 99696 102087 102524 98595 105631 104717 105814 107458 105631 106819 100879 97224 105037 106134 103500 96142 95704 102185 104183 107058 105644 110274 112661 112710 109884 117729 118843 120716 124816 124816 124866 126334 128207 130333 129422 133572 135293 138431 140075 147681 142769 139442 140075 140498 139442 145199 147153 147417 135110 138015 123448 134911 138563 137777 144182 134911 144857 146711 140305 144519 147048 153229 157861 151517 137040 112758 125966 131445 130580 136117 141481 137040 135829 156362 164359 163069 173327 183761 191791 198356 195425 194429 197946 191674 201052 193843 206417 204374 203941 206788 195647 202641 185063 196081 190510 176460 199485 209945 201413 211221 206116 200338 201816 195904 209273 216865 213371 208131 200674 213976 226415 228808 235762 246380 232622 239650 237482 248922 254007
Russell 3000® Total Return Index** 100000 97916 100610 103048 103047 100179 105979 104902 105376 106834 105046 106803 100356 97431 105127 105710 103540 97698 97666 104542 105190 107072 107292 111550 111835 112011 109587 114492 116726 118923 123346 123430 124738 126015 127152 129549 129799 132964 135866 139991 141391 148843 143357 140479 141013 144994 145942 150786 156081 156339 144828 147728 133979 145479 150596 152795 158896 148613 159052 161416 158125 160901 164364 170612 175538 175347 160990 138851 157241 165650 169437 179058 192030 185038 181044 203069 212204 211260 217864 225673 237306 238389 244268 248398 255482 244019 260521 256556 266658 250969 244647 252583 229916 229607 210399 230138 221549 201005 217489 228841 215441 230280 224897 230911 233371 234279 250277 259248 254244 242133 235715 257695 271363 274371 289223 298552 285415 298900 308153 313882 320715
Russell 3000® Value Total Return Index 100000 97572 100111 101963 102754 98633 103391 102228 102933 104140 102231 102409 96395 93451 100356 100935 98510 93301 93328 100129 102234 103844 104702 107933 108903 108758 106930 113646 116636 117331 121344 120125 119954 119550 121672 123226 121673 125645 126500 130357 132023 136870 130312 128301 128858 130132 130495 135441 137534 137529 130023 133778 120700 130356 134585 135105 139919 130756 140071 141168 136768 141788 143865 148241 152392 148786 134374 110757 123280 127464 126875 131754 137295 133749 132359 150619 156773 155960 165740 175412 182183 186534 184472 185398 189158 182760 191885 185137 196545 191520 189636 194884 183627 187194 170707 182338 176885 161221 177977 188753 180861 190689 184105 182513 184852 177910 189859 196977 191411 183873 177128 190638 201941 201587 208975 219350 209719 216542 214415 226123 231651
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
19.04
12.60
9.77
Russell 3000® Total Return Index**
26.14
15.19
12.36
Russell 3000® Value Total Return Index
21.02
11.11
8.76
Visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund-inst/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 3000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 3000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,492,964,230
Number of Holdings
113
Net Advisory Fee
$9,219,182
Portfolio Turnover
24%
Visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund-inst/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Alphabet, Inc.
2.4%
JPMorgan Chase & Co.
2.2%
Johnson & Johnson
2.1%
AbbVie, Inc.
2.0%
Corpay, Inc.
2.0%
Oracle Corp.
2.0%
Check Point Software Technologies Ltd.
2.0%
CRH PLC
1.9%
NVR, Inc.
1.9%
Booking Holdings, Inc.
1.8%
Top Sectors
(% of net assets)
Financials
25.4%
Health Care
20.0%
Information Technology
16.5%
Industrials
14.2%
Consumer Discretionary
7.2%
Communication Services
4.9%
Energy
4.3%
Consumer Staples
3.4%
Materials
2.9%
Cash & Other
1.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Boston Partners All-Cap Value Fund  PAGE 2  TSR-AR-749255139

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund-inst/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners All-Cap Value Fund  PAGE 3  TSR-AR-749255139
10000010087911266112942214715314030514148119794619051021337125400710000010035611183512979915608115812519203025548222154925424432071510000096395108903121673137534136768137295189158176885191411231651

 
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Boston Partners All-Cap Value Fund
image
Investor Class | BPAVX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners All-Cap Value Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-all-cap-value-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$115
1.05%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the Russell 3000® Value Index, and the Fund’s broad-based securities market index, the Russell 3000® Index, for the same period.
  
What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?  
Relative to the Russell 3000® Value Index, the biggest contribution to the Fund’s performance came from its holdings in the Materials sector, even though the Fund’s weight in the sector was less than that of the Russell 3000® Value Index. Stock selection in the Consumer Staples and Information Technology sectors also helped. The biggest detractors from relative performance were the Fund’s overweight position in the Health Care sector and disappointing stock selection within the Communication Services sector.
  
How is the Fund currently positioned?
The Fund’s largest sector overweights at the end of the period were in Information Technology, Health Care, and Financials. The Fund held meaningful underweights in the Real Estate, Utilities, and Consumer Staples sectors at the end of the reporting period.
Top Contributors
JPMorgan Chase & Co.
CRH Public Limited Company
Advanced Micro Devices, Inc.
Howmet Aerospace, Inc.
Check Point Software Technology
Top Detractors
Advanced Micro Devices, Inc.
Bristol-Myers Squibb Company
Pfizer, Inc.
Globe Life, Inc.
SLB
Boston Partners All-Cap Value Fund  PAGE 1  TSR-AR-749255121

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners All-Cap Value Fund Investor Class 10000 9786 9965 10201 10244 9850 10546 10455 10565 10730 10542 10656 10066 9699 10473 10578 10315 9579 9535 10178 10373 10656 10515 10978 11212 11212 10929 11709 11813 11995 12409 12399 12404 12546 12733 12940 12844 13253 13420 13733 13891 14644 14154 13818 13881 13918 13812 14381 14570 14591 13370 13655 12215 13343 13700 13622 14253 13332 14309 14493 13856 14269 14515 15124 15579 14945 13516 11121 12424 12961 12870 13413 13939 13499 13379 15390 16179 16052 17055 18081 18863 19507 19211 19113 19455 18829 19750 19037 20264 20063 20020 20289 19195 19879 18151 19226 18676 17296 19550 20563 19726 20685 20182 19607 19753 19164 20474 21214 20857 20348 19614 20910 22120 22348 23024 24053 22708 23391 23171 24288 24773
Russell 3000® Total Return Index** 10000 9792 10061 10305 10305 10018 10598 10490 10538 10683 10505 10680 10036 9743 10513 10571 10354 9770 9767 10454 10519 10707 10729 11155 11184 11201 10959 11449 11673 11892 12335 12343 12474 12601 12715 12955 12980 13296 13587 13999 14139 14884 14336 14048 14101 14499 14594 15079 15608 15634 14483 14773 13398 14548 15060 15279 15890 14861 15905 16142 15813 16090 16436 17061 17554 17535 16099 13885 15724 16565 16944 17906 19203 18504 18104 20307 21220 21126 21786 22567 23731 23839 24427 24840 25548 24402 26052 25656 26666 25097 24465 25258 22992 22961 21040 23014 22155 20101 21749 22884 21544 23028 22490 23091 23337 2328 25028 25925 25424 24213 23571 25769 27136 27437 28922 29855 28542 29890 30815 31388 32071
Russell 3000® Value Total Return Index 10000 9757 10011 10196 10275 9863 10339 10223 10293 10414 10223 10241 9640 9345 10036 10093 9851 9330 9333 10013 10223 10384 10470 10793 10890 10876 10693 11365 11664 11733 12134 12012 11995 11955 12167 12323 12167 12564 12650 13036 13202 13687 13031 12830 12886 13013 13049 13544 13753 13753 13002 13378 12070 13036 13458 13510 13992 13076 14007 14117 13677 14179 14387 14824 15239 14879 13437 11076 12328 12746 12688 13175 13729 13375 13236 15062 15677 15596 16574 17541 18218 18653 18447 18540 18916 18276 19188 18514 19654 19152 18964 19488 18363 18719 17071 18234 17688 16122 17798 18875 18086 19069 18411 18251 18485 17791 18986 19698 19141 18387 17713 19064 20194 20159 20897 21935 20972 21654 21441 22612 23165
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Investor Class
18.77
12.32
9.50
Russell 3000® Total Return Index**
26.14
15.19
12.36
Russell 3000® Value Total Return Index
21.02
11.11
8.76
Visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 3000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 3000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,492,964,230
Number of Holdings
113
Net Advisory Fee
$9,219,182
Portfolio Turnover
24%
Visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Alphabet, Inc.
2.4%
JPMorgan Chase & Co.
2.2%
Johnson & Johnson
2.1%
AbbVie, Inc.
2.0%
Corpay, Inc.
2.0%
Oracle Corp.
2.0%
Check Point Software Technologies Ltd.
2.0%
CRH PLC
1.9%
NVR, Inc.
1.9%
Booking Holdings, Inc.
1.8%
Top Sectors
(% of net assets)
Financials
25.4%
Health Care
20.0%
Information Technology
16.5%
Industrials
14.2%
Consumer Discretionary
7.2%
Communication Services
4.9%
Energy
4.3%
Consumer Staples
3.4%
Materials
2.9%
Cash & Other
1.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Boston Partners All-Cap Value Fund  PAGE 2  TSR-AR-749255121

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-all-cap-value-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners All-Cap Value Fund  PAGE 3  TSR-AR-749255121
10000100661121212844145701385613939194551867620857247731000010036111841298015608158131920325548221552542432071100009640108901216713753136771372918916176881914123165

 
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Boston Partners Small Cap Value Fund II
image
Institutional Class | BPSIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Small Cap Value Fund II (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii-inst/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$108
0.99%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the broad equity market, as measured by the Russell 3000® Index, and the returns of the Russell 2000® Value Index (the “Index”) for the same period.
  What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?
Relative to the Index, the biggest contribution to the Fund’s performance came from its holdings in the Industrials sector, where the Fund held a meaningful overweight. Stock selection in the Information Technology and Financials sectors also helped. The biggest detractors from relative performance were the Fund’s holdings in the Communication Services and Materials sectors.
  
How is the Fund currently positioned?
The Fund’s largest sectors overweight at the end of the period were in Industrials, Information Technology, and Consumer Discretionary. The Fund’s largest underweights at the end of the period were in Real Estate and Utilities.
Top Contributors
SLM Corp
Evercore, Inc. Class A
Viper Energy, Inc.
BGC Group, Inc. Class A
Brink’s Company
Top Detractors
Extreme Networks
Piedmont Lithium
Belden, Inc.
Solo Brands, Inc. Class A
Atkore, Inc.
Boston Partners Small Cap Value Fund II  PAGE 1  TSR-AR-749255345

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Small Cap Value II Fund Institutional Class 100000 94437 99029 99029 100625 97158 102426 103956 103371 104226 104722 103371 98554 94232 99094 101255 96265 89721 90338 98020 99632 100628 100106 106319 109069 109022 105323 117605 121266 121654 122720 121411 122090 119327 123689 124513 120975 129069 130523 132947 133128 135207 128870 130796 130137 136423 136119 138806 140631 137235 125321 125169 111370 124298 129436 124460 131384 120728 129544 132411 126678 131979 133926 139010 142572 137086 122403 86995 98188 102233 105724 110046 116695 111487 113758 134593 144856 146917 159954 171153 178563 183187 180346 177337 180179 175944 182463 173939 182205 176714 179758 178087 166628 172119 156482 169970 164181 147650 165136 170627 161270 177179 175768 164991 160885 154663 169417 179745 175960 169353 161527 170828 188164 181278 188309 198167 187947 196934 193818 211576 209546
Russell 3000® Total Return Index** 100000 97916 100610 103048 103047 100179 105979 104902 105376 106834 105046 106803 100356 97431 105127 105710 103540 97698 97666 104542 105190 107072 107292 111550 111835 112011 109587 114492 116726 118923 123346 123430 124738 126015 127152 129549 129799 132964 135866 139991 141391 148843 143357 140479 141013 144994 145942 150786 156081 156339 144828 147728 133979 145479 150596 152795 158896 148613 159052 161416 158125 160901 164364 170612 175538 175347 160990 138851 157241 165650 169437 179058 192030 185038 181044 203069 212204 211260 217864 225673 237306 238389 244268 248398 255482 244019 260521 256556 266658 250969 244647 252583 229916 229607 210399 230138 221549 201005 217489 228841 215441 230280 224897 230911 233371 234279 250277 259248 254244 242133 235715 257695 271363 274371 289223 298552 285415 298900 308153 313882 320715
Russell 2000® Value Total Return Index 100000 93254 99768 99304 102018 97772 102312 104038 101816 102660 102794 99959 95050 91759 96897 99652 94398 88057 88657 96006 98039 99837 100140 105543 108166 109019 105435 119430 124361 123474 125260 124200 124689 120806 125032 125823 122731 131420 131593 135401 134109 135761 128973 130568 132832 140559 141410 143907 147335 143679 130815 132924 116857 129639 134677 130794 135740 124653 132593 132806 125394 131833 135026 138188 143026 135311 122163 92022 103374 106341 109419 111676 117693 112216 116230 138669 149654 157528 172327 181333 185001 190757 189602 182815 187710 183949 190963 184440 191962 180770 183761 187357 172817 176133 158734 174102 168596 151416 170478 175686 164159 179825 175679 163081 159014 155886 168270 180968 172262 163290 153550 167372 188203 179654 185531 193662 181323 189803 186604 209346 205416
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
19.09
10.59
7.68
Russell 3000® Total Return Index**
26.14
15.19
12.36
Russell 2000® Value Total Return Index
19.25
10.38
7.46
Visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii-inst/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 2000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$600,174,202
Number of Holdings
175
Net Advisory Fee
$4,608,246
Portfolio Turnover
55%
Visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii-inst/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Federal Agricultural Mortgage Corp.
1.8%
Brink’s Co.
1.8%
SLM Corp.
1.7%
Viper Energy, Inc.
1.3%
InterDigital, Inc.
1.3%
Western Alliance Bancorp
1.2%
FirstCash Holdings, Inc.
1.2%
Preferred Bank
1.2%
Wintrust Financial Corp.
1.1%
Beacon Roofing Supply, Inc.
1.1%
Top Sectors*
(% of net assets)
Financials
30.2%
Industrials
22.2%
Consumer Discretionary
12.6%
Information Technology
8.8%
Energy
6.8%
Health Care
5.5%
Communication Services
3.8%
Materials
2.9%
Consumer Staples
2.3%
Cash & Other
4.9%
* The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and  Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank  Global Fund Services.
Boston Partners Small Cap Value Fund II  PAGE 2  TSR-AR-749255345

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii-inst/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Small Cap Value Fund II  PAGE 3  TSR-AR-749255345
1000009855410906912097514063112667811669518017916418117596020954610000010035611183512979915608115812519203025548222154925424432071510000095050108166122731147335125394117693187710168596172262205416

 
image
Boston Partners Small Cap Value Fund II
image
Investor Class | BPSCX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Small Cap Value Fund II (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$136
1.24%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the broad equity market, as measured by the Russell 3000® Index, and the returns of the Russell 2000® Value Index (the “Index”) for the same period.
  What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?
Relative to the Index, the biggest contribution to the Fund’s performance came from its holdings in the Industrials sector, where the Fund held a meaningful overweight. Stock selection in the Information Technology and Financials sectors also helped. The biggest detractors from relative performance were the Fund’s holdings in the Communication Services and Materials sectors.
  
How is the Fund currently positioned?
The Fund’s largest sectors overweight at the end of the period were in Industrials, Information Technology, and Consumer Discretionary. The Fund’s largest underweights at the end of the period were in Real Estate and Utilities.
Top Contributors
SLM Corp
Evercore, Inc. Class A
Viper Energy, Inc.
BGC Group, Inc. Class A
Brink’s Company
Top Detractors
Extreme Networks
Piedmont Lithium
Belden, Inc.
Solo Brands, Inc. Class A
Atkore, Inc.
Boston Partners Small Cap Value Fund II  PAGE 1  TSR-AR-749255337

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Small Cap Value II Fund Investor Class 10000 9440 9899 9899 10052 9706 10229 10384 10318 10402 10449 10313 9832 9398 9884 10094 9593 8939 9003 9760 9923 10016 9967 10582 10852 10847 10474 11698 12057 12092 12197 12067 12127 11851 12282 12363 12011 12810 12950 13186 13202 13407 12772 12966 12898 13517 13480 13748 13926 13585 12404 12383 11016 12293 12797 12305 12988 11929 12803 13077 12506 13027 13217 13722 14069 13525 12070 8581 9681 10076 10420 10844 11497 10981 11199 13250 14252 14459 15735 16838 17557 18011 17729 17430 17706 17287 17919 17080 17891 17349 17639 17479 16345 16881 15341 16659 16092 14466 16179 16715 15798 17349 17203 16143 15745 15128 16567 17575 17203 16554 15785 16693 18383 17706 18390 19346 18345 19218 18910 20640 20437
Russell 3000® Total Return Index** 10000 9792 10061 10305 10305 10018 10598 10490 10538 10683 10505 10680 10036 9743 10513 10571 10354 9770 9767 10454 10519 10707 10729 11155 11184 11201 10959 11449 11673 11892 12335 12343 12474 12601 12715 12955 12980 13296 13587 13999 14139 14884 14336 14048 14101 14499 14594 15079 15608 15634 14483 14773 13398 14548 15060 15279 15890 14861 15905 16142 15813 16090 16436 17061 17554 17535 16099 13885 15724 16565 16944 17906 19203 18504 18104 20307 21220 21126 21786 22567 23731 23839 24427 24840 25548 24402 26052 25656 26666 25097 24465 25258 22992 22961 21040 23014 22155 20101 21749 22884 21544 23028 22490 23091 23337 23428 25028 25925 25424 24213 23571 25769 27136 27437 28922 29855 28542 29890 30815 31388 32071
Russell 2000® Value Total Return Index 10000 9325 9977 9930 10202 9777 10231 10404 10182 10266 10279 9996 9505 9176 9690 9965 9440 8806 8866 9601 9804 9984 10014 10554 10817 10902 10544 11943 12436 12347 12526 12420 12469 12081 12503 12582 12273 13142 13159 13540 13411 13576 12897 13057 13283 14056 14141 14391 14733 14368 13081 13292 11686 12964 13468 13079 13574 12465 13259 13281 12539 13183 13503 13819 14303 13531 12216 9202 10337 10634 10942 11168 11769 11222 11623 13867 14965 15753 17233 18133 18500 19076 18960 18281 18771 18395 19096 18444 19196 18077 18376 18736 17282 17613 15873 17410 16860 15142 17048 17569 16416 17982 17568 16308 15901 15589 16827 18097 17226 16329 15355 16737 18820 17965 18553 19366 18132 18980 18660 20935 20542
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Investor Class
18.80
10.32
7.41
Russell 3000® Total Return Index**
26.14
15.19
12.36
Russell 2000® Value Total Return Index
19.25
10.38
7.46
Visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 2000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$600,174,202
Number of Holdings
175
Net Advisory Fee
$4,608,246
Portfolio Turnover
55%
Visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Federal Agricultural Mortgage Corp.
1.8%
Brink’s Co.
1.8%
SLM Corp.
1.7%
Viper Energy, Inc.
1.3%
InterDigital, Inc.
1.3%
Western Alliance Bancorp
1.2%
FirstCash Holdings, Inc.
1.2%
Preferred Bank
1.2%
Wintrust Financial Corp.
1.1%
Beacon Roofing Supply, Inc.
1.1%
Top Sectors*
(% of net assets)
Financials
30.2%
Industrials
22.2%
Consumer Discretionary
12.6%
Information Technology
8.8%
Energy
6.8%
Health Care
5.5%
Communication Services
3.8%
Materials
2.9%
Consumer Staples
2.3%
Cash & Other
4.9%
* The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and  Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank  Global Fund Services.
Boston Partners Small Cap Value Fund II  PAGE 2  TSR-AR-749255337

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-small-cap-value-fund-ii/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Small Cap Value Fund II  PAGE 3  TSR-AR-749255337
1000098321085212011139261250611497177061609217203204371000010036111841298015608158131920325548221552542432071100009505108171227314733125391176918771168601722620542

 
image
WPG Partners Select Small Cap Value Fund
image
Institutional | WPGSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the WPG Partners Select Small Cap Value Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/affiliates/wpg-select-small-cap-value-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional
$120
1.10%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the return of the Russell 2000® Value Index (the “Index”), as well as the Funds broad-based securities market index, the Russell 3000® Index, for the same period.
What factors influenced performance?
The U.S. economy generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of Federal Reserve’s pivot to an easing policy, the backdrop for equities was constructive during the period.
  
What were the top contributors and detractors?
Compared to the Index, stock selection within the Materials, Financials, and Health Care sectors were the top contributors to performance. Stock-picking within the Information Technology and Consumer Staples sectors represented the most significant drag on results.
  
How is the Fund currently positioned?
As of the end of the report period, the Fund held large overweight positions in the Information Technology, Materials, and Health Care sectors, and similarly sized underweights in the Real Estate, Utilities, and Energy sectors.
Top Contributors
Tenet Healthcare Corporation
Rayonier Advanced Materials, Inc.
BGC Group, Inc. Class A
Gildan Activewear Inc.
↑↑
Kemper Corp
Top Detractors
Treehouse Foods, Inc.
Kosmos Energy Ltd.
Sight Sciences, Inc.
8X8, Inc.
Enovis Corporation
WPG Partners Select Small Cap Value Fund  PAGE 1  TSR-AR-74933W676

 
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  12/29/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
WPG Partners Select Small Cap Value Fund Institutional 100000 99900 98200 105200 107700 101000 102300 90300 96300 94000 87400 99700 103600 103357 110968 109666 108865 112270 109265 118279 122586 118379 112070 105660 112771 123749 123865 125600 133811 126062 134274 130920 140981 139825
Russell 3000® Total Return Index** 100000 99528 93672 91312 94274 85814 85699 78529 85897 82691 75023 81176 85413 80411 85950 83941 86185 87103 87442 93413 96762 94894 90374 87978 96182 101284 102406 107949 111432 106528 111562 115015 117153 119704
Russell 2000® Value Total Return Index 100000 99881 94057 95614 97485 89919 91645 82592 90588 87723 78784 88702 91412 85415 93566 91408 84854 82738 81110 87553 94160 89631 84963 79894 87086 97925 93477 96535 100766 94345 98757 97093 108926 106881
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(12/29/2021)
Institutional Class
18.12
13.37
Russell 3000® Total Return Index**
26.14
6.96
Russell 2000® Value Total Return Index
19.25
2.52
Visit https://www.bostonpartners.com/affiliates/wpg-select-small-cap-value-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 2000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$123,629,636
Number of Holdings
42
Net Advisory Fee
$877,619
Portfolio Turnover
160%
Visit https://www.bostonpartners.com/affiliates/wpg-select-small-cap-value-fund/ for more recent performance information.
WPG Partners Select Small Cap Value Fund  PAGE 2  TSR-AR-74933W676

 
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Kemper Corp.
4.7%
BGC Group, Inc.
4.7%
Arcosa, Inc.
4.7%
Enovis Corp.
4.6%
Clarivate PLC
4.3%
Nomad Foods Ltd.
3.7%
Gildan Activewear, Inc.
3.6%
Air Lease Corp.
3.5%
Rayonier Advanced Materials, Inc.
3.3%
Tower Semiconductor Ltd.
3.3%
Top Sectors
(% of net assets)
Financials
26.3%
Industrials
13.4%
Information Technology
12.6%
Health Care
12.4%
Materials
8.7%
Consumer Discretionary
7.0%
Real Estate
6.4%
Consumer Staples
4.9%
Energy
3.0%
Cash & Other
5.3%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/affiliates/wpg-select-small-cap-value-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
WPG Partners Select Small Cap Value Fund  PAGE 3  TSR-AR-74933W676
9400011837913982582691948941197048772389631106881

 
image
WPG Partners Small Cap Value Diversified Fund
image
Institutional | WPGTX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the WPG Partners Small Cap Value Diversified Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/affiliates/wpg-small-cap-value-diversified-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional
$122
1.10%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, outperforming the return of the Russell 2000®Value Index (the “Index”). However, the Fund’s returns for the period did trail the broad stock market, as represented by the Russell 3000® Index.
  
What factors influenced performance?
The U.S. economy generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of Federal Reserve’s pivot to an easing policy, the backdrop for equities was constructive during the period.
  
What were the top contributors and detractors?
Compared to the Index, stock selection within the Energy, Industrials, and Health Care sectors were the top contributors to Fund performance. Stock-picking within the Consumer Staples sector was the most significant drag on results.
  
How is the Fund currently positioned?
As of the end of the reporting period, the Fund held large overweight positions in the Industrials and Materials sectors, and similarly sized underweights in the Financials and Real Estate sectors.
Top Contributors
Tenet Healthcare Corporation
Kodiak Gas Services, Inc.
Gildan Activewear Inc.
Stelco Holdings, Inc.
Scorpio Tankers Inc.
Top Detractors
Piedmont Lithium, Inc.
Kosmos Energy Ltd.
Treehouse Foods, Inc.
Pacira Biosciences, Inc.
Savers Value Village, Inc.
WPG Partners Small Cap Value Diversified Fund  PAGE 1  TSR-AR-74925K706

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
WPG Partners Small Cap Value Diversified Fund Institutional 100000 92850 93242 92409 94871 89175 94926 96602 95373 93419 92972 89175 85992 80632 84596 86216 81838 75162 74126 82759 84370 86327 85579 89262 89204 89780 85406 94902 97899 98188 98303 96512 95240 92524 95934 94894 93218 99517 100557 103331 103464 102845 97036 95058 98025 104082 103711 106368 108284 105256 94440 94687 80943 91869 96799 92868 97132 88471 93268 93334 87872 92269 93201 95999 99840 93081 83646 63972 72538 74345 75683 76218 80032 75148 77690 91475 98530 103379 116782 124661 129712 134157 130857 126412 130184 131329 136649 130723 138004 134791 144019 148598 140191 145591 129254 139644 136158 123034 139917 145659 140820 152340 151373 145653 145412 140095 151695 157898 151534 144687 138081 148715 160953 159565 164684 176311 167287 175096 171712 183426 183339
Russell 3000® Total Return Index** 100000 97916 100610 103048 103047 100179 105979 104902 105376 106834 105046 106803 100356 97431 105127 105710 103540 97698 97666 104542 105190 107072 107292 111550 111835 112011 109587 114492 116726 118923 123346 123430 124738 126015 127152 129549 129799 132964 135866 139991 141391 148843 143357 140479 141013 144994 145942 150786 156081 156339 144828 147728 133979 145479 150596 152795 158896 148613 159052 161416 158125 160901 164364 170612 175538 175347 160990 138851 157241 165650 169437 179058 192030 185038 181044 203069 212204 211260 217864 225673 237306 238389 244268 248398 255482 244019 260521 256556 266658 250969 244647 252583 229916 229607 210399 230138 221549 201005 217489 228841 215441 230280 224897 230911 233371 234279 250277 259248 254244 242133 235715 257695 271363 274371 289223 298552 285415 298900 308153 313882 320715
Russell 2000® Value Total Return Index 100000 93254 99768 99304 102018 97772 102312 104038 101816 102660 102794 99959 95050 91759 96897 99652 94398 88057 88657 96006 98039 99837 100140 105543 108166 109019 105435 119430 124361 123474 125260 124200 124689 120806 125032 125823 122731 131420 131593 135401 134109 135761 128973 130568 132832 140559 141410 143907 147335 143679 130815 132924 116857 129639 134677 130794 135740 124653 132593 132806 125394 131833 135026 138188 143026 135311 122163 92022 103374 106341 109419 111676 117693 112216 116230 138669 149654 157528 172327 181333 185001 190757 189602 182815 187710 183949 190963 184440 191962 180770 183761 187357 172817 176133 158734 174102 168596 151416 170478 175686 164159 179825 175679 163081 159014 155886 168270 180968 172262 163290 153550 167372 188203 179654 185531 193662 181323 189803 186604 209346 205416
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
20.99
15.85
6.25
Russell 3000® Total Return Index**
26.14
15.19
12.36
Russell 2000® Value Total Return Index
19.25
10.38
7.46
Visit https://www.bostonpartners.com/affiliates/wpg-small-cap-value-diversified-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2000 Value Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the Russell 2000 Value Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$33,078,153
Number of Holdings
96
Net Advisory Fee
$189,474
Portfolio Turnover
74%
Visit https://www.bostonpartners.com/affiliates/wpg-small-cap-value-diversified-fund/ for more recent performance information.
WPG Partners Small Cap Value Diversified Fund  PAGE 2  TSR-AR-74925K706

 
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Tenet Healthcare Corp.
2.9%
Gildan Activewear, Inc.
2.5%
Kemper Corp.
2.3%
Brixmor Property Group, Inc.
2.3%
Arcosa, Inc.
2.2%
Clarivate PLC
2.1%
Enovis Corp.
2.0%
Nomad Foods Ltd.
1.9%
Stelco Holdings, Inc.
1.9%
BGC Group, Inc.
1.9%
Top Sectors
(% of net assets)
Industrials
20.6%
Financials
19.1%
Materials
10.3%
Energy
8.4%
Consumer Discretionary
8.4%
Health Care
8.1%
Information Technology
7.7%
Real Estate
5.9%
Utilities
4.0%
Cash & Other
7.5%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/affiliates/wpg-small-cap-value-diversified-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
WPG Partners Small Cap Value Diversified Fund  PAGE 3  TSR-AR-74925K706
100000859928920493218108284878728003213018413615815153418333910000010035611183512979915608115812519203025548222154925424432071510000095050108166122731147335125394117693187710168596172262205416

 
image
Boston Partners Global Sustainability Fund
image
Institutional Class | BPGSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Global Sustainability Fund (the “Fund”) for the period of   September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/global-sus-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$100
0.90%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the MSCI World Index - Net Return (the “Index”) for the same period.
What factors influenced performance?
Global economies generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of central banks’ pivot to easing policies, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Relative to the Index, the biggest contribution to Fund performance came from its holdings in the Financial sector, where the Fund also held a meaningful overweight. Stock selection in Industrials also helped. The biggest detractors from relative performance were the Fund’s stock selection and large underweight in the Information Technology sector. Stock selection in the Energy and Communication Services sectors also detracted from performance versus the Index.
How is the Fund currently positioned?
The Fund’s largest sector overweights at the end of the period were in the Industrials, Consumer Staples, and Financials sectors. The Fund’s largest underweights were in the Real Estate and Utilities sectors.
Top Contributors
Dell Technologies, Inc. Class C
Rheinmetall AG
Mitsubishi Heavy Industries Ltd.
JPMorgan Chase & Co.
Hitachi Ltd.
Top Detractors
SLB
Panasonic Holdings Corporation
Halliburton Company
WH Smith PLC
Koninklijke Ahold Delhaize N.V
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
Boston Partners Global Sustainability Fund  PAGE 1  TSR-AR-74933W684

 
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  12/29/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Global Sustainability Fund Institutional Class 100000 99600 99100 97200 96800 92100 94800 86000 90100 86200 79600 88400 95800 93453 99237 98324 97613 97918 95280 101063 104716 101469 98831 94366 103296 108801 108595 111583 118280 114158 120649 117043 121680 123122
MSCI World Index - Gross Return (USD)** 100000 99641 94389 92032 94615 86793 86926 79427 85756 82204 74596 79974 85574 81972 87794 85718 88429 90024 89194 94622 97825 95528 91441 88809 97181 101986 103233 107650 111170 107091 111945 114260 116299 119413
MSCI World Index - Net Return (USD) 100000 99636 94364 91978 94502 86651 86717 79205 85494 81920 74304 79640 85178 81561 87331 85232 87866 89406 88513 93867 97020 94702 90617 87988 96237 100961 102173 106505 109927 105844 110570 112820 114808 117843
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(12/29/2021)
Institutional Class
21.34
8.10
MSCI World Index - Gross Return (USD)**
25.00
6.87
MSCI World Index - Net Return (USD)
24.43
6.34
Visit https://www.bostonpartners.com/fund/global-sus-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the MSCI World Index - Gross Return replaced the MSCI World Index - Net Return as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the MSCI World Index - Net Return as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$11,397,468
Number of Holdings
85
Net Advisory Fee
$26,963
Portfolio Turnover
73%
Visit https://www.bostonpartners.com/fund/global-sus-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
SPIE SA
2.4%
JPMorgan Chase & Co.
2.3%
Deutsche Telekom AG
2.2%
Sumitomo Mitsui Financial Group, Inc.
2.0%
Tesco PLC
2.0%
Rheinmetall AG
2.0%
Alphabet, Inc.
1.9%
Cie de Saint-Gobain SA
1.9%
Kansai Paint Co., Ltd.
1.9%
Informa PLC
1.9%
Top Sectors
(% of net assets)
Financials
22.5%
Industrials
20.5%
Health Care
16.0%
Consumer Staples
11.6%
Communication Services
8.8%
Information Technology
6.8%
Consumer Discretionary
5.3%
Energy
3.8%
Materials
2.9%
Cash & Other
1.8%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/global-sus-fund/.
Boston Partners Global Sustainability Fund  PAGE 2  TSR-AR-74933W684

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Global Sustainability Fund  PAGE 3  TSR-AR-74933W684
8620010146912312282204955281194138192094702117843

 
image
Boston Partners Global Equity Fund
image
Institutional Class | BPGIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Global Equity Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-global-equity-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$106
0.95%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the MSCI World Index - Net Return (the “Index”) for the same period.
What factors influenced performance?
Global economies generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of central banks’ pivot to easing policies, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Compared with the Index, the biggest detractor from relative performance was the Fund’s significant underweight position in the Information Technology sector; disappointing stock selection within the Energy sector also weighed on returns. The biggest contribution to performance was strong stock picking in the Financial sector, where the Fund held an overweight position. Stock selection in the Consumer Staples and Materials sectors also contributed to Fund performance for the period.
How is the Fund currently positioned?
As of the end of the reporting period, the Fund held significant overweight positions in the Financials and Industrials sectors, and meaningful underweights in the Information Technology and Communication Services sectors.
Top Contributors
Rheinmetall AG
CRH Public Limited Company
JPMorgan Chase & Co.
Mitsubishi Heavy Industries Ltd.
US Foods Holding Corp.
Top Detractors
Reckitt Benckiser Group PLC
SLB
STMicroelectronics NV
Cisco Systems, Inc.
Kering SA
Boston Partners Global Equity Fund  PAGE 1  TSR-AR-74925K557

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Global Equity Fund Institutional Class 96087 97370 99230 97911 96571 102938 101463 104814 106087 103943 104345 94359 100056 100994 98694 92500 91356 98626 99569 100983 99098 103272 105695 102868 105291 107080 109618 112362 113185 114831 117301 117575 119633 121828 124366 127384 128895 135336 130085 127424 127424 126654 126024 130155 131485 121683 121963 111951 119845 122122 121742 125917 116960 124019 123108 124171 127055 128952 132968 128349 116030 93701 102402 107175 108869 112257 112719 110178 129966 137304 137854 145866 154742 159063 165582 161969 160712 159220 163933 156863 167185 167265 166545 164786 157350 164706 147916 155272 136562 153753 166385 162050 172193 170002 167811 169272 162131 171869 177874 168947 162456 176251 184910 183503 188881 199554 193597 202780 195748 205511
MSCI World Index - Gross Return (USD)** 97327 97980 99990 98419 96659 102370 100834 103250 103694 101325 103177 92880 100267 99817 98103 92259 91629 97914 99525 100175 99101 103314 104049 102062 103585 106101 108687 111756 113026 114756 117294 117790 120646 123637 126005 128799 130582 137506 131867 129078 130641 131584 131569 135711 138277 128156 129679 119868 129235 133186 135026 139891 131945 140695 141432 141622 145265 149380 153913 153019 140151 121695 135056 141670 145477 152485 157183 152402 171952 179302 177563 182173 188339 197190 200146 203194 206884 203384 214959 210320 219372 207809 202620 208307 191086 191377 174869 188802 164233 176072 188401 180471 193290 188718 194687 198199 196372 208323 215373 201318 195525 213956 224534 227280 237005 244755 235774 246461 251557 256047
MSCI World Index - Net Return (USD) 97286 97915 99878 98267 96486 102139 100541 102899 103253 100852 102662 92333 99650 99154 97411 91583 90902 97070 98606 99160 98049 102191 102820 100830 102280 104727 107255 110230 111404 113054 115445 115890 118663 121497 123793 126476 128186 134954 129364 126544 127998 128800 128739 132760 135151 125227 126649 117019 126124 129916 131623 136290 128426 136889 137567 137621 141123 145053 149398 148489 135938 117948 130833 137153 140781 147516 151943 147282 166114 173157 171436 175829 181679 190134 192873 195748 199254 195734 206821 202289 210934 199774 194721 200065 183445 183584 167681 180995 157306 168603 180326 172668 184885 180441 186016 189277 187387 198720 205396 191841 186274 203738 213740 216305 225476 232722 224077 234083 238846 243055
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
22.17
11.75
7.73
MSCI World Index - Gross Return (USD)**
25.00
13.66
10.15
MSCI World - Net Return (USD)
24.43
13.11
9.57
Visit https://www.bostonpartners.com/fund/bp-global-equity-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the MSCI World Index - Gross Return replaced the MSCI World Index - Net Return as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the MSCI World Index - Net Return as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$244,647,495
Number of Holdings
106
Net Advisory Fee
$1,627,577
Portfolio Turnover
48%
Visit https://www.bostonpartners.com/fund/bp-global-equity-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
CRH PLC
2.4%
JPMorgan Chase & Co.
1.9%
Tesco PLC
1.9%
Siemens AG
1.8%
Samsung Electronics Co., Ltd.
1.7%
ING Groep NV
1.6%
Sony Group Corp.
1.5%
US Foods Holding Corp.
1.5%
Shell PLC
1.5%
Fidelity National Information Services, Inc.
1.5%
Top Sectors
(% of net assets)
Financials
24.5%
Industrials
17.6%
Health Care
10.7%
Consumer Staples
10.5%
Information Technology
6.8%
Energy
6.6%
Consumer Discretionary
6.4%
Materials
5.5%
Utilities
3.6%
Cash & Other
7.8%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Boston Partners Global Equity Fund  PAGE 2  TSR-AR-74925K557

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-global-equity-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Global Equity Fund  PAGE 3  TSR-AR-74925K557
100000982461050221192901311351207551166461629111494351722742104751000009639210345312087613745413860616273421209718098321031726290310000095869102276118830134402134753157372204213173428200490249479

 
image
Boston Partners Long/Short Equity Fund
image
Institutional Class | BPLSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Long/Short Equity Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-long-short-equity-fund-inst/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$228
2.04%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the return of its benchmark, the S&P 500 Index for the same period.
What factors influenced performance?
The U.S. economy generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of Federal Reserve’s pivot to an easing policy, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Overall, the Fund’s short positions generally contributed to its returns relative to the benchmark, the S&P 500 Index, while the Funds long positions generally detracted. Regarding specific sectors, security selection within the long portfolio’s Information Technology and Communication Services sector allocations weighed on returns. Within the short portfolio, Consumer Discretionary, Information Technology, and Industrials sector positions all boosted relative results.
How is the Fund currently positioned?
As of the end of reporting period the Funds, largest relative overweight long positions were in the Financials and Health Care sectors, and it had no long exposure to Utilities. The Fund’s largest short positions were in the Consumer Discretionary and Information Technology sectors.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Long/Short Equity Fund Institutional Class 96380 95364 94481 94874 91215 91071 90975 94344 93333 92082 89146 92611 97521 95788 93837 96204 96730 101621 104357 104620 102410 104357 105409 104883 113035 114929 115771 116717 114456 111457 107513 110300 112562 114929 113772 114876 118108 120811 114185 112012 114185 113549 111004 112913 108831 105597 105862 99839 104791 103927 103754 105539 99551 103985 104561 104791 105770 106173 108940 103668 98015 87724 95220 95410 94712 95537 92679 93568 100795 102018 94413 105078 115568 120202 126059 118715 121425 123873 125185 123086 134691 140082 139808 139625 138346 143463 134508 138894 126924 137341 145474 144386 152213 149741 147475 147990 141914 149638 153963 152624 151801 160039 166335 168364 171026 175590 169758 175717 173815 183451
S&P 500 Total Return Index 98598 101006 103722 103461 100355 106123 104445 105447 106803 104735 106929 97992 106258 106574 104893 99688 99553 106307 106719 108635 108917 112932 113112 111049 115162 117438 119665 124417 124562 125841 127612 128409 131049 134162 137292 141503 143077 151268 145693 141990 142535 145968 146866 152332 158191 147378 150382 136804 147766 152511 155474 161770 151489 162166 164496 164920 168492 174608 179878 179808 165006 144626 163166 170937 174336 184166 189904 184853 205088 212973 210823 216637 226125 238192 239856 245456 251286 246884 264181 262351 274108 259924 252142 261503 238700 239138 219398 239628 208686 225582 238188 224465 238569 232748 241293 245060 246125 262387 270817 253798 248462 271153 283471 288235 303626 313395 300594 315499 326820 330798
Boston Partners Long/Short Equity Fund  PAGE 1  TSR-AR-749255261

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
23.51
13.30
6.67
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund-inst/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$62,893,716
Number of Holdings
193
Net Advisory Fee
$965,071
Portfolio Turnover
35%
Visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund-inst/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
BGC Group, Inc.
3.2%
Fairfax Financial Holdings Ltd.
2.9%
Canadian Natural Resources Ltd.
2.7%
Check Point Software Technologies Ltd.
2.1%
Alphabet, Inc.
2.0%
Newmark Group, Inc.
2.0%
Catalyst Pharmaceuticals, Inc.
1.8%
Sterling Infrastructure, Inc.
1.7%
PetIQ, Inc.
1.6%
Lantheus Holdings, Inc.
1.6%
Top Sectors
(% of net assets)
Financials
18.8%
Health Care
14.5%
Information Technology
11.4%
Industrials
9.7%
Energy
5.2%
Consumer Discretionary
5.0%
Consumer Staples
4.8%
Real Estate
2.9%
Communication Services
2.8%
Materials
2.6%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund-inst/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Long/Short Equity Fund  PAGE 2  TSR-AR-749255261
1000009160010567211024810872510214296236124223134600154375190677100000100478113091131450157295161891197404258927229856266505338822

 
image
Boston Partners Long/Short Equity Fund
image
Investor Class | BPLEX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Long/Short Equity Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-long-short-equity-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$256
2.29%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the return of its benchmark, the S&P 500 Index for the same period.
What factors influenced performance?
The U.S. economy generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of Federal Reserve’s pivot to an easing policy, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Overall, the Fund’s short positions generally contributed to its returns relative to the benchmark, the S&P 500 Index, while the Funds long positions generally detracted. Regarding specific sectors, security selection within the long portfolio’s Information Technology and Communication Services sector allocations weighed on returns. Within the short portfolio, Consumer Discretionary, Information Technology, and Industrials sector positions all boosted relative results.
How is the Fund currently positioned?
As of the end of reporting period the Funds, largest relative overweight long positions were in the Financials and Health Care sectors, and it had no long exposure to Utilities. The Fund’s largest short positions were in the Consumer Discretionary and Information Technology sectors.

HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Long/Short Equity Fund Investor Class 10000 9634 9531 9438 9479 9110 9094 9079 9418 9315 9187 8894 9135 9238 9721 9546 9348 9585 9636 10117 10388 10416 10190 10382 10512 10484 10427 11236 11422 11507 11597 11371 11072 10676 10953 11173 10942 11405 11286 11394 11713 11975 11319 11097 11308 11245 10989 11177 10761 10772 10453 10476 9874 10360 10273 10254 10429 9836 10273 10323 10086 10348 10441 10479 10747 10226 9670 8648 9385 9406 9329 9406 9482 9128 9211 9918 10038 9289 10337 11366 11815 12395 11666 11935 12205 12165 12295 12085 13221 13747 13716 13695 13568 14073 13190 13621 13190 12443 13453 14252 14136 14900 14658 14427 14476 13882 14633 15058 15094 14924 14839 15627 16244 16447 16698 17151 16573 17151 16963 17901 18605
S&P 500 Total Return Index 10000 9860 10101 10372 10346 10036 10612 10444 10545 10680 10474 10693 10048 9799 10626 10657 10489 9969 9955 10631 10672 10864 10892 11293 11309 11311 11105 11516 11744 11967 12442 12456 12584 12761 12841 13105 13145 13416 13729 14150 14308 15127 14569 14199 14254 14597 14687 15233 15730 15819 14738 15038 13680 14777 15251 15547 16177 15149 16217 16450 16189 16492 16849 17461 17988 17981 16501 14463 16317 17094 17434 18417 19740 18990 18485 20509 21297 21082 21664 22612 23819 23986 24546 25129 25893 24688 26418 26235 27411 25992 25214 26150 23870 23914 21940 23963 22986 20869 22558 23819 22446 23857 23275 24129 24506 24612 26239 27082 26650 25380 24846 27115 28347 28824 30363 31339 30059 31550 32682 33080 33882
Boston Partners Long/Short Equity Fund  PAGE 1  TSR-AR-749255253

 
 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Investor Class
23.26
13.01
6.40
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$62,893,716
Number of Holdings
193
Net Advisory Fee
$965,071
Portfolio Turnover
35%
Visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund/ for more recent performance information.

WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
BGC Group, Inc.
3.2%
Fairfax Financial Holdings Ltd.
2.9%
Canadian Natural Resources Ltd.
2.7%
Check Point Software Technologies Ltd.
2.1%
Alphabet, Inc.
2.0%
Newmark Group, Inc.
2.0%
Catalyst Pharmaceuticals, Inc.
1.8%
Sterling Infrastructure, Inc.
1.7%
PetIQ, Inc.
1.6%
Lantheus Holdings, Inc.
1.6%
Top Sectors
(% of net assets)
Financials
18.8%
Health Care
14.5%
Information Technology
11.4%
Industrials
9.7%
Energy
5.2%
Consumer Discretionary
5.0%
Consumer Staples
4.8%
Real Estate
2.9%
Communication Services
2.8%
Materials
2.6%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-long-short-equity-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Long/Short Equity Fund  PAGE 2  TSR-AR-749255253
100009135105121094210761100869482122051319015094186051000010048113091314515730161891974025893229862665033882

 
image
Boston Partners Long/Short Research Fund
image
Institutional Class | BPIRX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Long/Short Research Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-ls-research-fund-inst/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$208
1.90%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the return of its benchmark, the S&P 500 Index for the same time period.
  
What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?
Relative to the Fund’s benchmark, the Fund’s short positions across several sectors made a positive contribution to performance on balance. The Fund’s underweight long positions in certain sectors and stock selection in others contributed to its relative underperformance.
  
How is the Fund currently positioned?
The Fund’s largest short positions by sector at the end of the period were in Financials, Industrials, and Consumer Discretionary. The Fund’s largest long positions by sector at the end of the period were in Financials, Industrials, and Information Technology.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Long/Short Research Fund Institutional Class 100000 98877 99736 101255 102128 99518 103534 102864 103266 105474 103801 104136 101727 100054 104604 104471 103677 99505 98879 103121 103051 104511 102495 104581 105902 105137 104581 107154 107432 108962 110769 110283 109935 110769 111395 113273 113134 113968 114594 116680 118279 122730 119740 117375 116471 115706 114177 116680 115706 116819 111534 111813 105750 110586 110660 109853 112125 107728 111979 113225 111026 113738 114617 116742 119049 115525 108928 97008 99107 98283 97233 98133 99782 97533 97158 105855 109228 105180 111102 116725 121223 125046 124597 123922 126096 126321 130594 128795 135221 138350 139364 139534 137419 142240 134544 136827 135136 130316 139534 144607 143987 144805 141735 140712 140610 136925 142145 143270 144805 143884 142759 147773 150818 154694 157658 164041 159824 164953 164611 169057 172021
S&P 500 Total Return Index 100000 98598 101006 103722 103461 100355 106123 104445 105447 106803 104735 106929 100478 97992 106258 106574 104893 99688 99553 106307 106719 108635 108917 112932 113091 113112 111049 115162 117438 119665 124417 124562 125841 127612 128409 131049 131450 134162 137292 141503 143077 151268 145693 141990 142535 145968 146866 152332 157295 158191 147378 150382 136804 147766 152511 155474 161770 151489 162166 164496 161891 164920 168492 174608 179878 179808 165006 144626 163166 170937 174336 184166 197404 189904 184853 205088 212973 210823 216637 226125 238192 239856 245456 251286 258927 246884 264181 262351 274108 259924 252142 261503 238700 239138 219398 239628 229856 208686 225582 238188 224465 238569 232748 241293 245060 246125 262387 270817 266505 253798 248462 271153 283471 288235 303626 313395 300594 315499 326820 330798 338822
Boston Partners Long/Short Research Fund  PAGE 1  TSR-AR-74925K581

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
18.79
9.14
5.57
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.bostonpartners.com/fund/bp-ls-research-fund-inst/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$591,951,816
Number of Holdings
407
Net Advisory Fee
$7,466,784
Portfolio Turnover
53%
Visit https://www.bostonpartners.com/fund/bp-ls-research-fund-inst/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
JPMorgan Chase & Co.
1.8%
AbbVie, Inc.
1.5%
UnitedHealth Group, Inc.
1.5%
Wells Fargo & Co.
1.4%
Alphabet, Inc.
1.3%
Booking Holdings, Inc.
1.2%
Frontdoor, Inc.
1.1%
Amgen, Inc.
1.1%
Bank of America Corp.
1.0%
Kinross Gold Corp.
0.9%
Top Sectors
(% of net assets)
Financials
15.6%
Industrials
14.5%
Health Care
11.2%
Information Technology
10.7%
Energy
4.8%
Communication Services
3.7%
Utilities
3.7%
Consumer Discretionary
3.7%
Consumer Staples
3.1%
Materials
2.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-ls-research-fund-inst/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Long/Short Research Fund  PAGE 2  TSR-AR-74925K581
10000010172710590211313411570611102699782126096135136144805172021100000100478113091131450157295161891197404258927229856266505338822

 
image
Boston Partners Long/Short Research Fund
image
Investor Class | BPRRX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Long/Short Research Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-ls-research-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$235
2.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the return of its benchmark, the S&P 500 Index for the same time period.
  
What factors influenced performance?
The U.S. stock market was propelled higher during the past 12 months by a combination of solid economic growth, rapidly declining inflation, and the likelihood of Federal Reserve interest rate cuts. Although stocks experienced periodic bouts of volatility, the overall direction of the U.S. stock market was positive.
  
What were the top contributors and detractors?
Relative to the Fund’s benchmark, the Fund’s short positions across several sectors made a positive contribution to performance on balance. The Fund’s underweight long positions in certain sectors and stock selection in others contributed to its relative underperformance.
  
How is the Fund currently positioned?
The Fund’s largest short positions by sector at the end of the period were in Financials, Industrials, and Consumer Discretionary. The Fund’s largest long positions by sector at the end of the period were in Financials, Industrials, and Information Technology.
Top Contributors
Andrada Mining Ltd.
JP Morgan Chase & Co.
Dell Technologies Inc.
Broadcom, Inc.
Wells Fargo & Company
Top Detractors
Palantir Technologies, Inc.
Glacier Bancorp, Inc.
Commonwealth Bank of Australia
Freshpet, Inc.
KB Home
Boston Partners Long/Short Research Fund  PAGE 1  TSR-AR-74925K573

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Long/Short Research Fund Investor Class 10000 9880 9967 10120 10201 9945 10343 10269 10310 10526 10357 10384 10141 9972 10431 10411 10331 9916 9853 10267 10267 10408 10197 10408 10534 10457 10401 10654 10682 10829 11005 10956 10913 11005 11061 11244 11229 11307 11370 11574 11728 12164 11869 11630 11538 11461 11307 11553 11454 11560 11033 11061 10461 10935 10942 10861 11076 10646 11068 11187 10965 11224 11313 11520 11746 11398 10740 9569 9773 9690 9576 9667 9833 9607 9569 10415 10748 10347 10929 11481 11919 12290 12244 12176 12396 12403 12826 12645 13269 13586 13671 13689 13475 13954 13192 13406 13244 12773 13663 14168 14097 14170 13879 13775 13754 13401 13900 14014 14160 14056 13941 14440 14727 15110 15400 16015 15597 16096 16050 16491 16769
S&P 500 Total Return Index 10000 9860 10101 10372 10346 10036 10612 10444 10545 10680 10474 10693 10048 9799 10626 10657 10489 9969 9955 10631 10672 10864 10892 11293 11309 11311 11105 11516 11744 11967 12442 12456 12584 12761 12841 13105 13145 13416 13729 14150 14308 15127 14569 14199 14254 14597 14687 15233 15730 15819 14738 15038 13680 14777 15251 15547 16177 15149 16217 16450 16189 16492 16849 17461 17988 17981 16501 14463 16317 17094 17434 18417 19740 18990 18485 20509 21297 21082 21664 22612 23819 23986 24546 25129 25893 24688 26418 26235 27411 25992 25214 26150 23870 23914 21940 23963 22986 20869 22558 23819 22446 23857 23275 24129 24506 24612 26239 27082 26650 25380 24846 27115 28347 28824 30363 31339 30059 31550 32682 33080 33882
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Investor Class
18.43
8.87
5.31
S&P 500 Total Return Index
27.14
15.92
12.98
Visit https://www.bostonpartners.com/fund/bp-ls-research-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$591,951,816
Number of Holdings
407
Net Advisory Fee
$7,466,784
Portfolio Turnover
53%
Visit https://www.bostonpartners.com/fund/bp-ls-research-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
JPMorgan Chase & Co.
1.8%
AbbVie, Inc.
1.5%
UnitedHealth Group, Inc.
1.5%
Wells Fargo & Co.
1.4%
Alphabet, Inc.
1.3%
Booking Holdings, Inc.
1.2%
Frontdoor, Inc.
1.1%
Amgen, Inc.
1.1%
Bank of America Corp.
1.0%
Kinross Gold Corp.
0.9%
Top Sectors
(% of net assets)
Financials
15.6%
Industrials
14.5%
Health Care
11.2%
Information Technology
10.7%
Energy
4.8%
Communication Services
3.7%
Utilities
3.7%
Consumer Discretionary
3.7%
Consumer Staples
3.1%
Materials
2.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-ls-research-fund/.
Boston Partners Long/Short Research Fund  PAGE 2  TSR-AR-74925K573

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Long/Short Research Fund  PAGE 3  TSR-AR-74925K573
1000010141105341122911454109659833123961324414160167691000010048113091314515730161891974025893229862665033882

 
image
Boston Partners Global Long/Short Fund
image
Institutional Class | BGLSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Global Long/Short Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-global-ls-fund-inst/. You can also request this information by contacting us at 1-888-261-4073.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$193
1.78%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the MSCI World Index - Net Return (the “Index”) for the same period.
What factors influenced performance?
Global economies generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of central banks’ pivot to easing policies, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Overall, the Fund’s short positions generally contributed to returns relative to the Index, while its long positions generally detracted. Regarding specific sectors, security selection within the long portfolio’s Information Technology, Communication Services, and Health Care sector allocations weighed on returns. Within the short portfolio, Consumer Discretionary, Materials, and Consumer Staples sector positions all boosted relative results.
How is the Fund currently positioned?
As of the end of the reporting period, the Fund held relative overweight long positions in the Energy and Materials sectors, and had no long exposure to Real Estate. The Fund’s largest short positions at the end of the reporting period were in the Financials, Information Technology, and Consumer Discretionary sectors.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  31-08-2014 30-09-2014 31-10-2014 30-11-2014 31-12-2014 31-01-2015 28-02-2015 31-03-2015 30-04-2015 31-05-2015 30-06-2015 31-07-2015 31-08-2015 30-09-2015 31-10-2015 30-11-2015 31-12-2015 31-01-2016 29-02-2016 31-03-2016 30-04-2016 31-05-2016 30-06-2016 31-07-2016 31-08-2016 30-09-2016 31-10-2016 30-11-2016 31-12-2016 31-01-2017 28-02-2017 31-03-2017 30-04-2017 31-05-2017 30-06-2017 31-07-2017 31-08-2017 30-09-2017 31-10-2017 30-11-2017 31-12-2017 31-01-2018 28-02-2018 31-03-2018 30-04-2018 31-05-2018 30-06-2018 31-07-2018 31-08-2018 30-09-2018 31-10-2018 30-11-2018 31-12-2018 31-01-2019 28-02-2019 31-03-2019 30-04-2019 31-05-2019 30-06-2019 31-07-2019 31-08-2019 30-09-2019 31-10-2019 30-11-2019 31-12-2019 31-01-2020 29-02-2020 31-03-2020 30-04-2020 31-05-2020 30-06-2020 31-07-2020 31-08-2020 30-09-2020 31-10-2020 30-11-2020 31-12-2020 31-01-2021 28-02-2021 31-03-2021 30-04-2021 31-05-2021 30-06-2021 31-07-2021 31-08-2021 30-09-2021 31-10-2021 30-11-2021 31-12-2021 31-01-2022 28-02-2022 31-03-2022 30-04-2022 31-05-2022 30-06-2022 31-07-2022 31-08-2022 30-09-2022 31-10-2022 30-11-2022 31-12-2022 31-01-2023 28-02-2023 31-03-2023 30-04-2023 31-05-2023 30-06-2023 31-07-2023 31-08-2023 30-09-2023 31-10-2023 30-11-2023 31-12-2023 31-01-2024 29-02-2024 31-03-2024 30-04-2024 31-05-2024 30-06-2024 31-07-2024 31-08-2024
Boston Partners Global Long/Short Fund Institutional Class 1,00,000 98,737 98,639 99,417 98,542 97,959 1,01,166 99,514 1,02,818 1,04,665 1,03,596 1,04,665 1,02,527 1,01,458 1,04,568 1,04,956 1,04,999 1,03,145 1,00,803 1,03,633 1,03,828 1,05,584 1,04,901 1,05,682 1,06,365 1,06,560 1,05,877 1,06,170 1,07,472 1,07,961 1,09,624 1,09,526 1,09,526 1,10,504 1,09,917 1,10,895 1,10,895 1,11,873 1,13,340 1,15,002 1,15,589 1,17,936 1,15,491 1,13,144 1,12,949 1,11,384 1,10,504 1,12,851 1,12,655 1,13,633 1,10,504 1,09,233 1,04,932 1,08,320 1,07,523 1,06,925 1,07,722 1,05,131 1,07,523 1,07,523 1,07,024 1,08,718 1,08,818 1,08,121 1,09,753 1,05,916 1,00,262 90,468 96,122 96,930 97,738 99,454 98,141 96,122 94,708 1,04,200 1,09,219 1,07,199 1,13,261 1,20,333 1,22,152 1,26,597 1,22,960 1,23,162 1,23,061 1,23,162 1,24,375 1,21,849 1,28,517 1,35,893 1,37,610 1,36,297 1,38,217 1,44,279 1,39,631 1,38,924 1,37,913 1,35,792 1,46,198 1,48,825 1,49,230 1,49,953 1,47,577 1,48,817 1,48,094 1,48,713 1,53,671 1,53,877 1,52,225 1,55,013 1,53,257 1,59,041 1,61,698 1,62,746 1,63,689 1,71,758 1,70,710 1,75,531 1,74,378 1,76,474 1,78,674
MSCI World Index - Gross Return (USD)** 1,00,000 97,327 97,980 99,990 98,419 96,659 1,02,370 1,00,834 1,03,250 1,03,694 1,01,325 1,03,177 96,392 92,880 1,00,267 99,817 98,103 92,259 91,629 97,914 99,525 1,00,175 99,101 1,03,314 1,03,453 1,04,049 1,02,062 1,03,585 1,06,101 1,08,687 1,11,756 1,13,026 1,14,756 1,17,294 1,17,790 1,20,646 1,20,876 1,23,637 1,26,005 1,28,799 1,30,582 1,37,506 1,31,867 1,29,078 1,30,641 1,31,584 1,31,569 1,35,711 1,37,454 1,38,277 1,28,156 1,29,679 1,19,868 1,29,235 1,33,186 1,35,026 1,39,891 1,31,945 1,40,695 1,41,432 1,38,606 1,41,622 1,45,265 1,49,380 1,53,913 1,53,019 1,40,151 1,21,695 1,35,056 1,41,670 1,45,477 1,52,485 1,62,734 1,57,183 1,52,402 1,71,952 1,79,302 1,77,563 1,82,173 1,88,339 1,97,190 2,00,146 2,03,194 2,06,884 2,12,097 2,03,384 2,14,959 2,10,320 2,19,372 2,07,809 2,02,620 2,08,307 1,91,086 1,91,377 1,74,869 1,88,802 1,80,983 1,64,233 1,76,072 1,88,401 1,80,471 1,93,290 1,88,718 1,94,687 1,98,199 1,96,372 2,08,323 2,15,373 2,10,317 2,01,318 1,95,525 2,13,956 2,24,534 2,27,280 2,37,005 2,44,755 2,35,774 2,46,461 2,51,557 2,56,047 2,62,903
MSCI World - Net Return (USD) 1,00,000 97,286 97,915 99,878 98,267 96,486 1,02,139 1,00,541 1,02,899 1,03,253 1,00,852 1,02,662 95,869 92,333 99,650 99,154 97,411 91,583 90,902 97,070 98,606 99,160 98,049 1,02,191 1,02,276 1,02,820 1,00,830 1,02,280 1,04,727 1,07,255 1,10,230 1,11,404 1,13,054 1,15,445 1,15,890 1,18,663 1,18,830 1,21,497 1,23,793 1,26,476 1,28,186 1,34,954 1,29,364 1,26,544 1,27,998 1,28,800 1,28,739 1,32,760 1,34,402 1,35,151 1,25,227 1,26,649 1,17,019 1,26,124 1,29,916 1,31,623 1,36,290 1,28,426 1,36,889 1,37,567 1,34,753 1,37,621 1,41,123 1,45,053 1,49,398 1,48,489 1,35,938 1,17,948 1,30,833 1,37,153 1,40,781 1,47,516 1,57,372 1,51,943 1,47,282 1,66,114 1,73,157 1,71,436 1,75,829 1,81,679 1,90,134 1,92,873 1,95,748 1,99,254 2,04,213 1,95,734 2,06,821 2,02,289 2,10,934 1,99,774 1,94,721 2,00,065 1,83,445 1,83,584 1,67,681 1,80,995 1,73,428 1,57,306 1,68,603 1,80,326 1,72,668 1,84,885 1,80,441 1,86,016 1,89,277 1,87,387 1,98,720 2,05,396 2,00,490 1,91,841 1,86,274 2,03,738 2,13,740 2,16,305 2,25,476 2,32,722 2,24,077 2,34,083 2,38,846 2,43,055 2,49,479
Boston Partners Global Long/Short Fund  PAGE 1  TSR-AR-74925K466

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
17.38
10.79
5.98
MSCI World Index - Gross Return (USD)**
25.00
13.66
10.15
MSCI World Index - Net Return (USD)
24.43
13.11
9.57
Visit https://www.bostonpartners.com/fund/bp-global-ls-fund-inst/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the MSCI World Index - Gross Return replaced the MSCI World Index - Net Return as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the MSCI World Index - Net Return as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$178,648,373
Number of Holdings
162
Net Advisory Fee
$2,462,427
Portfolio Turnover
198%
Visit https://www.bostonpartners.com/fund/bp-global-ls-fund-inst/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
iShares 1-3 Year Treasury Bond ETF
4.5%
Oracle Corp.
3.4%
Cenovus Energy, Inc.
2.8%
Samsung Electronics Co., Ltd.
2.8%
Everest Group Ltd.
2.5%
Sandoz Group AG
2.3%
Beazley PLC
2.3%
Kinross Gold Corp.
2.0%
Teck Resources Ltd.
1.9%
Enel SpA
1.7%
Top Sectors
(% of net assets)
Financials
12.5%
Information Technology
12.3%
Health Care
9.9%
Materials
8.7%
Industrials
6.4%
Consumer Discretionary
5.4%
Energy
5.4%
Utilities
3.2%
Consumer Staples
2.6%
Communication Services
2.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Material Fund Changes:
This is a summary of certain changes to the Fund since September 1, 2023.
At a meeting of the Board of Directors of The RBB Fund, Inc. (the “Board”) held on May 15-16, 2024, the Board unanimously voted to approve, subject to shareholder approval, an Agreement and Plan of Reorganization (the “Plan of Reorganization”) whereby the Fund would be reorganized into the John Hancock Disciplined Value Global Long/Short Fund (the “Successor Fund”), a newly-organized series of John Hancock Investment Trust. At a special meeting of shareholders of the Fund held on September 17, 2024, the Plan of Reorganization was approved by the Fund’s shareholders. The reorganization contemplated by the Plan of Reorganization (the “Reorganization”) occurred as of 4:00 p.m. Eastern time on October 18, 2024, at which time the following actions, among others, occurred:
 
 
• The Fund transferred all of its assets to the Successor Fund and the Successor Fund assumed all of the Fund’s known liabilities.
• The Successor Fund issued Class I shares to the Fund in an amount equal to the value of the Fund’s net assets attributable to its Institutional Class shares. These shares were distributed to the Fund’s Institutional Class shareholders in proportion to their holdings on the Reorganization date.
• Shareholders of the Fund became shareholders of the Successor Fund.
 
Boston Partners Global Long/Short Fund  PAGE 2  TSR-AR-74925K466

 
Following the Reorganization:
 
 
•  John Hancock Investment Management LLC serves as the investment adviser of the Successor Fund and Boston Partners Global Investors, Inc. (“Boston Partners”), which served as the investment adviser of the Fund, serves as the Successor Fund’s sub-adviser.
• The Successor Fund is managed by the same portfolio managers from Boston Partners (Christopher K. Hart, CFA and Joshua M. Jones, CFA), plus one additional portfolio manager from Boston Partners (Soyoun Song), as the Fund, using substantially similar investment strategies and portfolio management techniques.
• The total annual operating expenses of Class I shares of the Successor Fund are lower than the total annual operating expenses of the Institutional Class shares of the Fund.
 
For more complete information, please review the prospectus of the Successor Fund at https://www.jhinvestments.com/resources/all-resources/fund-documents/prospectus/john-hancock-disciplined-value-global-long-short-fund-prospectus/ or upon request at (800) 225-5291.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-global-ls-fund-inst/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Global Long/Short Fund  PAGE 3  TSR-AR-74925K466
100000102527106365110895112655107024981411230611379131522251786741000009639210345312087613745413860616273421209718098321031726290310000095869102276118830134402134753157372204213173428200490249479

 
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Boston Partners Global Long/Short Fund
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Investor Class | BGRSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Global Long/Short Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-global-ls-fund/. You can also request this information by contacting us at 1-888-261-4073.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$220
2.03%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund posted a sizable gain, although it did trail the returns of the MSCI World Index - Net Return (the “Index”) for the same period.
What factors influenced performance?
Global economies generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of central banks’ pivot to easing policies, the backdrop for equities was constructive during the period.
What were the top contributors and detractors?
Overall, the Fund’s short positions generally contributed to returns relative to the Index, while its long positions generally detracted. Regarding specific sectors, security selection within the long portfolio’s Information Technology, Communication Services, and Health Care sector allocations weighed on returns. Within the short portfolio, Consumer Discretionary, Materials, and Consumer Staples sector positions all boosted relative results.
How is the Fund currently positioned?
As of the end of the reporting period, the Fund held relative overweight long positions in the Energy and Materials sectors, and had no long exposure to Real Estate. The Fund’s largest short positions at the end of the reporting period were in the Financials, Information Technology, and Consumer Discretionary sectors.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  31-08-2014 30-09-2014 31-10-2014 30-11-2014 31-12-2014 31-01-2015 28-02-2015 31-03-2015 30-04-2015 31-05-2015 30-06-2015 31-07-2015 31-08-2015 30-09-2015 31-10-2015 30-11-2015 31-12-2015 31-01-2016 29-02-2016 31-03-2016 30-04-2016 31-05-2016 30-06-2016 31-07-2016 31-08-2016 30-09-2016 31-10-2016 30-11-2016 31-12-2016 31-01-2017 28-02-2017 31-03-2017 30-04-2017 31-05-2017 30-06-2017 31-07-2017 31-08-2017 30-09-2017 31-10-2017 30-11-2017 31-12-2017 31-01-2018 28-02-2018 31-03-2018 30-04-2018 31-05-2018 30-06-2018 31-07-2018 31-08-2018 30-09-2018 31-10-2018 30-11-2018 31-12-2018 31-01-2019 28-02-2019 31-03-2019 30-04-2019 31-05-2019 30-06-2019 31-07-2019 31-08-2019 30-09-2019 31-10-2019 30-11-2019 31-12-2019 31-01-2020 29-02-2020 31-03-2020 30-04-2020 31-05-2020 30-06-2020 31-07-2020 31-08-2020 30-09-2020 31-10-2020 30-11-2020 31-12-2020 31-01-2021 28-02-2021 31-03-2021 30-04-2021 31-05-2021 30-06-2021 31-07-2021 31-08-2021 30-09-2021 31-10-2021 30-11-2021 31-12-2021 31-01-2022 28-02-2022 31-03-2022 30-04-2022 31-05-2022 30-06-2022 31-07-2022 31-08-2022 30-09-2022 31-10-2022 30-11-2022 31-12-2022 31-01-2023 28-02-2023 31-03-2023 30-04-2023 31-05-2023 30-06-2023 31-07-2023 31-08-2023 30-09-2023 31-10-2023 30-11-2023 31-12-2023 31-01-2024 29-02-2024 31-03-2024 30-04-2024 31-05-2024 30-06-2024 31-07-2024 31-08-2024
Boston Partners Global Long/Short Fund Investor Class 10,000 9,864 9,854 9,932 9,845 9,786 10,097 9,942 10,262 10,447 10,340 10,437 10,214 10,107 10,418 10,457 10,461 10,266 10,041 10,324 10,334 10,500 10,432 10,510 10,578 10,588 10,529 10,549 10,680 10,719 10,885 10,875 10,875 10,963 10,905 11,002 10,993 11,100 11,247 11,403 11,452 11,686 11,442 11,208 11,188 11,032 10,944 11,169 11,139 11,237 10,934 10,797 10,377 10,706 10,626 10,567 10,646 10,387 10,626 10,616 10,567 10,726 10,736 10,666 10,820 10,448 9,885 8,910 9,463 9,553 9,624 9,794 9,664 9,463 9,322 10,247 10,740 10,539 11,132 11,826 11,997 12,439 12,077 12,097 12,077 12,087 12,198 11,957 12,610 13,334 13,495 13,364 13,545 14,139 13,686 13,606 13,505 13,304 14,310 14,571 14,599 14,661 14,435 14,548 14,476 14,538 15,020 15,041 14,877 15,144 14,969 15,524 15,784 15,877 15,971 16,762 16,658 17,116 17,002 17,200 17,408
MSCI World Index - Gross Return (USD)** 10,000 9,733 9,798 9,999 9,842 9,666 10,237 10,083 10,325 10,369 10,132 10,318 9,639 9,288 10,027 9,982 9,810 9,226 9,163 9,791 9,953 10,018 9,910 10,331 10,345 10,405 10,206 10,359 10,610 10,869 11,176 11,303 11,476 11,729 11,779 12,065 12,088 12,364 12,600 12,880 13,058 13,751 13,187 12,908 13,064 13,158 13,157 13,571 13,745 13,828 12,816 12,968 11,987 12,923 13,319 13,503 13,989 13,195 14,070 14,143 13,861 14,162 14,527 14,938 15,391 15,302 14,015 12,170 13,506 14,167 14,548 15,249 16,273 15,718 15,240 17,195 17,930 17,756 18,217 18,834 19,719 20,015 20,319 20,688 21,210 20,338 21,496 21,032 21,937 20,781 20,262 20,831 19,109 19,138 17,487 18,880 18,098 16,423 17,607 18,840 18,047 19,329 18,872 19,469 19,820 19,637 20,832 21,537 21,032 20,132 19,552 21,396 22,453 22,728 23,700 24,476 23,577 24,646 25,156 25,605 26,290
MSCI World Index - Net Return (USD) 10,000 9,729 9,792 9,988 9,827 9,649 10,214 10,054 10,290 10,325 10,085 10,266 9,587 9,233 9,965 9,915 9,741 9,158 9,090 9,707 9,861 9,916 9,805 10,219 10,228 10,282 10,083 10,228 10,473 10,725 11,023 11,140 11,305 11,545 11,589 11,866 11,883 12,150 12,379 12,648 12,819 13,495 12,936 12,654 12,800 12,880 12,874 13,276 13,440 13,515 12,523 12,665 11,702 12,612 12,992 13,162 13,629 12,843 13,689 13,757 13,475 13,762 14,112 14,505 14,940 14,849 13,594 11,795 13,083 13,715 14,078 14,752 15,737 15,194 14,728 16,611 17,316 17,144 17,583 18,168 19,013 19,287 19,575 19,925 20,421 19,573 20,682 20,229 21,093 19,977 19,472 20,007 18,344 18,358 16,768 18,099 17,343 15,731 16,860 18,033 17,267 18,488 18,044 18,602 18,928 18,739 19,872 20,540 20,049 19,184 18,627 20,374 21,374 21,631 22,548 23,272 22,408 23,408 23,885 24,306 24,948
Boston Partners Global Long/Short Fund  PAGE 1  TSR-AR-74925K458

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Investor Class
17.02
10.50
5.70
MSCI World Index - Gross Return (USD)**
25.00
13.66
10.15
MSCI World - Net Return (USD)
24.43
13.11
9.57
Visit https://www.bostonpartners.com/fund/bp-global-ls-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the MSCI World Index - Gross Return replaced the MSCI World Index - Net Return as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the MSCI World Index - Net Return as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$178,648,373
Number of Holdings
162
Net Advisory Fee
$2,462,427
Portfolio Turnover
198%
Visit https://www.bostonpartners.com/fund/bp-global-ls-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
iShares 1-3 Year Treasury Bond ETF
4.5%
Oracle Corp.
3.4%
Cenovus Energy, Inc.
2.8%
Samsung Electronics Co., Ltd.
2.8%
Everest Group Ltd.
2.5%
Sandoz Group AG
2.3%
Beazley PLC
2.3%
Kinross Gold Corp.
2.0%
Teck Resources Ltd.
1.9%
Enel SpA
1.7%
Top Sectors
(% of net assets)
Financials
12.5%
Information Technology
12.3%
Health Care
9.9%
Materials
8.7%
Industrials
6.4%
Consumer Discretionary
5.4%
Energy
5.4%
Utilities
3.2%
Consumer Staples
2.6%
Communication Services
2.2%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
Material Fund Changes:
This is a summary of certain changes to the Fund since September 1, 2023.
At a meeting of the Board of Directors of The RBB Fund, Inc. (the “Board”) held on May 15-16, 2024, the Board unanimously voted to approve, subject to shareholder approval, an Agreement and Plan of Reorganization (the “Plan of Reorganization”) whereby the Fund would be reorganized into the John Hancock Disciplined Value Global Long/Short Fund (the “Successor Fund”), a newly-organized series of John Hancock Investment Trust. At a special meeting of shareholders of the Fund held on September 17, 2024, the Plan of Reorganization was approved by the Fund’s shareholders. The reorganization contemplated by the Plan of Reorganization (the “Reorganization”) occurred as of 4:00 p.m. Eastern time on October 18, 2024, at which time the following actions, among others, occurred:
 
 
• The Fund transferred all of its assets to the Successor Fund and the Successor Fund assumed all of the Fund’s known liabilities.
• The Successor Fund issued Class A shares to the Fund in an amount equal to the value of the Fund’s net assets attributable to its Investor Class shares. These shares were distributed to the Fund’s Investor Class shareholders in proportion to their holdings on the Reorganization date.
• Shareholders of the Fund became shareholders of the Successor Fund.
 
Boston Partners Global Long/Short Fund  PAGE 2  TSR-AR-74925K458

 
Following the Reorganization:
 
 
•  John Hancock Investment Management LLC serves as the investment adviser of the Successor Fund and Boston Partners Global Investors, Inc. (“Boston Partners”), which served as the investment adviser of the Fund, serves as the Successor Fund’s sub-adviser.
• The Successor Fund is managed by the same portfolio managers from Boston Partners (Christopher K. Hart, CFA and Joshua M. Jones, CFA), plus one additional portfolio manager from Boston Partners (Soyoun Song), as the Fund, using substantially similar investment strategies and portfolio management techniques.
• The total annual operating expenses of Class A shares of the Successor Fund are lower than the total annual operating expenses of the Investor Class shares of the Fund.
 
For more complete information, please review the prospectus of the Successor Fund at https://www.jhinvestments.com/resources/all-resources/fund-documents/prospectus/john-hancock-disciplined-value-global-long-short-fund-prospectus/ or upon request at (800) 225-5291.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-global-ls-fund/.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Global Long/Short Fund  PAGE 3  TSR-AR-74925K458
100001021410578109931113910567966412077135051487717408100009639103451208813745138611627321210180982103226290100009587102281188313440134751573720421173432004924948

 
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Boston Partners Emerging Markets Dynamic Equity Fund
image
Institutional Class | BELSX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Boston Partners Emerging Markets Dynamic Equity Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.bostonpartners.com/fund/bp-emerging-markets-de-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$146
1.45%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12 months ended August 31, 2024, the Fund underperformed the MSCI Emerging Market Index - Net Return (the “Index”).
What factors influenced performance?
Global economies generally continued to expand during the past 12 months, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of central banks’ pivot to easing policies, the backdrop for equities was constructive during the period. The Fund’s allocation to certain sectors and stock selection within sectors both negatively impacted performance.
What were the top contributors and detractors?
Relative to the Index, the Fund’s overweight in the Materials sector and stock selection within that sector were among the biggest detractors during the year. Conversely, the Fund’s short positions within the Materials sector represented one of the strongest positive contributors to performance relative to the Index.
How is the Fund currently positioned?
The Fund’s largest short positions by sector at the end of the period were in Information Technology, Industrials, and Consumer Discretionary. The Fund’s largest long positions by sector at the end of the reporting period were in Information Technology, Consumer Discretionary, and Consumer Services.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  01/03/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Boston Partners Emerging Markets Dynamic Equity Fund Institutional Class 100000 99250 104030 102624 100469 100281 98407 94189 95595 94096 94658 94189 93346 97001 97563 98126 99531 103280 104217 104499 105436 100375 102148 105219 107573 111770 113919 116580 117194 121698 124052 123950 124154 124666 127463 133765 128658 127245 124529 121812 118552 118661 113988 114206 105295 107143 104136 111785 111238 113752 117139 109818 115500 116483 114189 113752 116483 117576 122315 119413 116288 108253 114614 115395 119971 125105 125328 123989 125774 131689 136766 136161 142086 139910 140514 140151 140031 139547 138338 134952 133017 129026 128987 132980 131649 127777 125357 123542 117855 121243 123784 126688 125962 124268 123164 121958 121505 122862 127234 125877 128892 132510 129948 127988 126028 131606 131455 130249 134470 138842 143063 143364 140199 135375 131304
MSCI Emerging Market - Gross Return (USD) 100000 98598 106206 101974 99403 92574 84233 81729 87565 84155 82326 76990 76873 87064 87555 84306 87758 92225 94548 95792 96029 91614 91880 96912 99886 102433 104697 107814 108972 115556 118176 117733 121868 122119 126566 137125 130820 128421 127877 123376 118332 121036 117799 117213 107015 111433 108548 118061 118337 119353 121889 113083 120232 118861 113100 115296 120170 120013 129046 123035 116554 98632 107683 108533 116567 127088 129929 127875 130529 142609 153161 157896 159113 156749 160673 164436 164775 153782 157856 151638 153156 146927 149755 146932 142558 139387 131655 132267 123587 123387 123948 109479 106095 121847 120200 129703 121302 125028 123635 121594 126326 134277 126044 122798 118041 127507 132539 126397 132432 135771 136407 137218 142717 143241 145602
MSCI Emerging Market - Net Return (USD) 100000 98578 106160 101909 99262 92381 84026 81498 87311 83906 82035 76713 76588 86722 87194 83941 87296 91689 93968 95176 95403 91011 91212 96204 99149 101652 103877 106948 108025 114464 117017 116552 120638 120880 125219 135656 129399 126993 126431 121952 116885 119452 116222 115606 105538 109888 106977 116343 116605 117583 120059 111347 118296 116850 111153 113275 118051 117889 126684 120778 114409 96788 105651 106462 114288 124501 127253 125212 127792 139611 149875 154469 155651 153300 157117 160761 161038 150200 154132 148006 149466 143375 146065 143300 139017 135877 128319 128884 120319 120024 120525 106395 103092 118382 116719 125935 117769 121336 119961 117946 122424 130045 122034 118843 114226 123367 128190 122238 128053 131226 131813 132557 137786 138196 140427
Boston Partners Emerging Markets Dynamic Equity Fund  PAGE 1  TSR-AR-74925K326

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
Since Inception
(03/01/2015)2
Institutional Class
1.04
2.83
2.91
MSCI Emerging Market - Gross Return (USD)1
15.52
5.18
4.03
MSCI Emerging Market - Net Return (USD)
15.07
4.79
3.64
Visit https://www.bostonpartners.com/fund/bp-emerging-markets-de-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 Effective with this report, and pursuant to new regulatory requirements, the MSCI Emerging Markets Index - Gross Return replaced the MSCI Emerging Markets Index - Net Return as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the MSCI Emerging Markets Index - Net Return as an additional benchmark.
2 The 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.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$59,967,605
Number of Holdings
354
Net Advisory Fee
$662,894
Portfolio Turnover
202%
Visit https://www.bostonpartners.com/fund/bp-emerging-markets-de-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
BlackRock Liquidity Funds Treasury Trust Fund Portfolio
4.4%
Federated Hermes U.S. Treasury Cash Reserves
4.4%
Goldman Sachs Financial Square Funds - Treasury Instruments Fund
4.4%
Fidelity Treasury Portfolio
4.4%
America Movil SAB de CV
2.5%
JD.com, Inc.
2.4%
Wuxi NCE Power Co. Ltd.
2.1%
Taiwan Semiconductor Manufacturing Co. Ltd.
2.0%
Kumho Petrochemical Co. Ltd.
1.9%
COSCO SHIPPING Holdings Co. Ltd.
1.6%
Top Sectors
(% of net assets)
Materials
9.7%
Information Technology
9.7%
Industrials
9.1%
Consumer Staples
7.5%
Consumer Discretionary
7.0%
Communication Services
6.4%
Financials
5.0%
Health Care
3.2%
Real Estate
2.2%
Energy
0.3%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/fund/bp-emerging-markets-de-fund/.
Boston Partners Emerging Markets Dynamic Equity Fund  PAGE 2  TSR-AR-74925K326

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Boston Partners Emerging Markets Dynamic Equity Fund  PAGE 3  TSR-AR-74925K326
9840710421712405211398811418912532813833812378412994813130484233945481181761177991131001299291578561239481260441456028402693968117017116222111153127253154132120525122034140427

 
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WPG Partners Select Hedged Fund
image
Institutional | WPGHX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the WPG Partners Select Hedged Fund (the “Fund”) for the period of  May 3, 2024, to August 31, 2024 (the “period”). You can find additional information about the Fund at https://www.bostonpartners.com/affiliates/wpg-select-hedged-fund/. You can also request this information by contacting us at 1-888-261-4073.
WHAT WERE THE FUND COSTS FOR THE PERIOD? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional
$86a
2.54%
a Amount shown reflects the expenses of the Fund from inception date through August 31, 2024. Expenses would be higher if the Fund had been in operations for the full year.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the period ended August 31, 2024, the Fund posted a modest gain, although it trailed the returns of the Russell 2000 Value Index the (“Index”), as well as the Fund’s broad-based securities market index, the Russell 3000 Index, for the same period.

What factors influenced performance?
The U.S. economy generally continued to expand during the period, as inflation rates dropped significantly, which offered some relief to consumers. While there remained some concern about the timing and pace of Federal Reserve’s pivot to an easing policy, the backdrop for equities was constructive during the period.
  
What were the top contributors and detractors?
Overall, the Fund’s short positions generally contributed to returns relative to the Index, while its long positions generally detracted. Regarding specific sectors, security selection within the long portfolio’s Information Technology and Financials sector allocations weighed on returns. Within the short portfolio, Industrials, Materials, and Consumer Staples sector positions all boosted relative results.
  
How is the Fund currently positioned?
As of the end of the reporting period, the Fund’s largest relative overweight long positions were in Information Technology and Materials, and it has no long exposure to Utilities. The Fund’s largest short positions were in the Industrials, Consumer Discretionary, and Financials sectors.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
WPG Partners Select Hedged Fund  PAGE 1  TSR-AR-74933W247

 
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  03/05/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
WPG Partners Select Hedged Fund Institutional 100000 104000 102400 103600 104100
Russell 3000® Total Return Index 100000 102720 105900 107868 110216
Russell 2000® Value Total Return Index 100000 101020 99318 111422 109330
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(05/03/2024)
Institutional Class
4.10
Russell 3000® Total Return Index
10.22
Russell 2000® Value Total Return Index
9.33
Visit https://www.bostonpartners.com/affiliates/wpg-select-hedged-fund/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$53,925,425
Number of Holdings
109
Net Advisory Fee
$155,515
Portfolio Turnover
36%
Visit https://www.bostonpartners.com/affiliates/wpg-select-hedged-fund/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Kemper Corp.
4.7%
BGC Group, Inc.
4.7%
Arcosa, Inc.
4.7%
Enovis Corp.
4.6%
Clarivate PLC
4.3%
Nomad Foods Ltd.
3.8%
Gildan Activewear, Inc.
3.6%
Air Lease Corp.
3.5%
Rayonier Advanced Materials, Inc.
3.4%
Tower Semiconductor Ltd.
3.4%
Top Sectors
(% of net assets)
Financials
17.9%
Health Care
8.1%
Materials
7.0%
Real Estate
5.2%
Information Technology
3.7%
Energy
3.0%
Communication Services
2.1%
Consumer Staples
-1.2%
Consumer Discretionary
-5.3%
Industrials
-9.1%
The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.bostonpartners.com/affiliates/wpg-select-hedged-fund/.
WPG Partners Select Hedged Fund  PAGE 2  TSR-AR-74933W247

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-888-261-4073, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
WPG Partners Select Hedged Fund  PAGE 3  TSR-AR-74933W247
104100110216109330

 
image
Campbell Systematic Macro Fund
image
Class A | EBSAX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Campbell Systematic Macro Fund (the “Fund”) for the period of  September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://www.campbell.com/systematicmacro. You can also request this information by contacting us at 1-844-261-6488.
This report describes changes to the Fund that occurred during the reporting period.  
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class A
$203
2.00%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund produced net gains during the 12-month period ended August 31, 2024, outperforming the SG CTA Index, which returned -0.65% over the same period.
POSITIONING
The exposures affecting performance included gains in equity index derivatives and losses in commodity futures, fixed income futures, and foreign exchange forwards. For the majority of the reporting period, the Fund maintained a net long position in equity index derivatives, a net short position in fixed income futures, and varied positioning in commodity futures and foreign exchange forwards.
WHAT FACTORS INFLUENCED PERFORMANCE?
From a strategy perspective, the Fund trades a variety of systematic models which are grouped into momentum, quant macro, and short-term strategies. Momentum strategies were the most profitable strategies during the period, primarily gaining in equity indices and commodities and experiencing losses in fixed income and foreign exchange. Short-term strategies were also profitable, gaining in equity indices and fixed income markets and experiencing losses in foreign exchange and commodities. Finally, the quant macro strategies were unprofitable during the period, with losses in commodities, equity indices and fixed income more than offsetting gains in foreign exchange.
Top Contributors
S&P 500 Index Futures +1.6%
Nikkei Index Futures +1.4%
Corn Futures +1.4%
Silver Futures +1.3%
New Zealand Dollar Forwards +1.2%
Top Detractors
Long Gilt Futures -1.2%
Australian 10 Year 6% Bond Futures -1.3%
Gold Futures -1.5%
Euro Forwards -1.8%
Canadian Dollar Forwards -2.1%
Campbell Systematic Macro Fund  PAGE 1  TSR-AR-74933W841

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Campbell Systematic Macro Fund Class A 9647 10223 10409 10984 11410 12060 12010 12266 11814 11696 10712 10879 10958 10987 10830 11351 10974 11244 11335 10944 10292 10162 10533 10944 10473 10152 9841 9661 9701 9420 9811 9691 9811 9711 9340 9380 9471 9380 9962 10022 10072 10703 9571 9701 9681 9270 9551 9280 9541 9511 9060 9030 9348 9222 9337 9770 10056 9873 10432 10992 11494 11197 10706 10683 10421 10962 11124 11070 11002 10827 10597 10556 10219 10151 10205 10381 10746 10543 10813 11327 11624 11962 11895 11989 11854 11773 11935 11597 11701 12366 12395 13509 14478 14276 14999 14782 15404 15982 16112 15597 15282 15415 16128 15846 15846 16045 15830 15448 15547 16112 15813 15362 14959 14942 15497 15749 15867 15615 15884 16271 16035
S&P 500 Total Return Index 10000 9860 10101 10372 10346 10036 10612 10444 10545 10680 10474 10693 10048 9799 10626 10657 10489 9969 9955 10631 10672 10864 10892 11293 11309 11311 11105 11516 11744 11967 12442 12456 12584 12761 12841 13105 13145 13416 13729 14150 14308 15127 14569 14199 14254 14597 14687 15233 15730 15819 14738 15038 13680 14777 15251 15547 16177 15149 16217 16450 16189 16492 16849 17461 17988 17981 16501 14463 16317 17094 17434 18417 19740 18990 18485 20509 21297 21082 21664 22612 23819 23986 24546 25129 25893 24688 26418 26235 27411 25992 25214 26150 23870 23914 21940 23963 22986 20869 22558 23819 22446 23857 23275 24129 24506 24612 26239 27082 26650 25380 24846 27115 28347 28824 30363 31339 30059 31550 32682 33080 33882
BarclayHedge BTOP50 Index 10000 10188 10338 10879 11004 11424 11332 11502 11160 11077 10593 10861 10681 10851 10714 11022 10848 11177 11459 11104 10862 10684 10898 11054 10814 10627 10412 10338 10331 10182 10238 10144 10086 10095 9835 9894 10077 9876 10176 10148 10236 10556 9967 9992 10025 9823 9878 9828 9987 9989 9753 9738 9808 9639 9680 9972 10290 10131 10326 10644 11042 10701 10429 10501 10470 10476 10319 10199 10229 10192 10145 10459 10457 10306 10258 10527 10979 10856 11183 11278 11578 11830 11702 11826 11852 11956 12323 12010 12091 12304 12474 13254 13948 14008 14185 13737 13966 14533 14670 13923 13964 13979 14171 13468 13662 13741 13931 13972 13885 14310 14211 13824 13686 13848 14481 14962 15225 14894 14640 14418 14063
SG CTA Index 10000 10193 10360 10942 11113 11593 11558 11755 11382 11336 10857 11192 10981 11109 10976 11268 11116 11580 11924 11566 11309 11077 11578 11723 11357 11224 10931 10733 10797 10676 10914 10804 10790 10795 10424 10503 10723 10499 10955 10988 11065 11498 10769 10755 10763 10491 10548 10474 10750 10682 10384 10272 10420 10224 10267 10621 10912 10657 10919 11307 11689 11315 11046 11142 11072 11164 10997 11012 11037 10931 10775 11051 10910 10699 10685 10818 11422 11285 11609 11712 12064 12296 12166 12201 12166 12237 12550 12083 12127 12386 12698 13680 14478 14461 14690 14241 14706 15293 15365 14583 14570 14453 14761 13815 14097 14383 14572 14417 14342 14832 14681 14177 14061 14204 14899 15420 15731 15399 15081 14741 14249
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class A (without sales charge)3
3.15
6.89
5.21
Class A (with sales charge)3
-0.47
6.12
4.84
S&P 500 Total Return Index1
27.14
15.92
12.98
BarclayHedge BTOP50 Index
1.28
4.96
3.47
SG CTA Index2
-0.65
4.04
3.60
Visit https://www.campbell.com/systematicmacro for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index is included as a broad-based securities market index that represents the overall applicable domestic equity markets.
2 The SG CTA Index replaced the BarclayHedge BTOP 50 Index as a more narrowly based index that reflects the market sectors in which the Fund invests.
3 The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,244,878,883
Number of Holdings
149
Net Advisory Fee
$15,974,611
Portfolio Turnover (excludes derivatives)
0%
Visit https://www.campbell.com/systematicmacro for more recent performance information.
Campbell Systematic Macro Fund  PAGE 2  TSR-AR-74933W841

 
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United States Treasury Bill
73.1%
NZD/USD FWD 20240918
0.6%
IDR/USD FWD 20240918
0.5%
AUD/USD FWD 20240918
0.4%
NOK/USD FWD 20240918
0.4%
GBP/USD FWD 20240918
0.3%
London Metals - Copper
0.3%
US Cocoa
0.2%
Natural Gas
0.2%
USD/ZAR FWD 20240918
0.1%
AUD   Australian Dollar
GBP   British Pound
IDR      Indonesian Rupiah
NOK   Norwegian Krone
NZD   New Zealand Dollar
USD   United States Dollar
ZAR   South African Rand
Top Sectors
(% of net assets)
U.S. Treasury Bills
73.1%
Cash & Other
26.6%
Futures Contracts
0.2%
Forwards
0.1%
Material Fund Changes:
This is a summary of certain planned changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.campbell.com/systematicmacro or upon request at 1-844-261-6488. The Board of Directors (the “Board”) of The RBB Fund, Inc. (the “Company”) solicited approval from shareholders of the Fund, a series of the Company, for a proposed new investment advisory agreements between Campbell & Company Investment Adviser, LLC (the “Adviser”), the investment adviser of the Fund, and each of the Company, on behalf of the Fund, and the Fund’s subsidiary, Campbell Systematic Macro Offshore Limited (the “Subsidiary”) (collectively, the “New Investment Advisory Agreements”). The New Investment Advisory Agreements are required as a result of the long-planned transition of majority ownership (the “Transition”) of the Adviser’s parent company, Campbell & Company, LP (“Campbell & Company”). The Transition is the result of long-term business continuity and succession planning by Campbell & Company, pursuant to which senior executives and employees will increase their ownership to 80%, by redeeming a portion of the interests held by founder D. Keith Campbell, his family and his related entities, who will continue to own 20% of Campbell & Company. The redemption proceeds will be paid to the Campbell family over a ten-year period based on a percentage of revenues in excess of a threshold designed to protect working capital and reserves, which threshold will be adjusted each year for inflation. As a result, the Transition is expected to further align the interests of Campbell & Company, its executives and employees, and its founder, as they continue to participate in the success of the firm. The new Investment Advisory Agreements are substantially similar to the Adviser’s current agreements on behalf of the Fund and the Subsidiary. There will be no increase in advisory fees. The Adviser’s current portfolio managers will continue to manage the Fund and the Subsidiary according to their current investment objectives and investment strategies. The Adviser does not expect the Transition to have any material impact on the quality of investment advisory services provided to the Fund and the Subsidiary. The Board has unanimously voted to approve the New Investment Advisory Agreements and shareholders of the Fund approved the New Investment Advisory Agreement at a shareholder meeting held on October 25, 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.campbell.com/systematicmacro
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6488, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Campbell Systematic Macro Fund  PAGE 3  TSR-AR-74933W841
964710958104739471954111494102191185415404155471603510000100481130913145157301618919740258932298626650338821000010681108141007799871104210457118521396613885140631000010981113571072310750116891091012166147061434214249

 
image
Campbell Systematic Macro Fund
image
Class C | EBSCX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Campbell Systematic Macro Fund (the “Fund”) for the period of  September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://www.campbell.com/systematicmacro. You can also request this information by contacting us at 1-844-261-6488.
This report describes changes to the Fund that occurred during the reporting period.  
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class C
$278
2.75%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund produced net gains during the 12-month period ended August 31, 2024, outperforming the SG CTA Index, which returned -0.65% over the same period.
POSITIONING
The exposures affecting performance included gains in equity index derivatives and losses in commodity futures, fixed income futures, and foreign exchange forwards. For the majority of the reporting period, the Fund maintained a net long position in equity index derivatives, a net short position in fixed income futures, and varied positioning in commodity futures and foreign exchange forwards.
WHAT FACTORS INFLUENCED PERFORMANCE?
From a strategy perspective, the Fund trades a variety of systematic models which are grouped into momentum, quant macro, and short-term strategies. Momentum strategies were the most profitable strategies during the period, primarily gaining in equity indices and commodities and experiencing losses in fixed income and foreign exchange. Short-term strategies were also profitable, gaining in equity indices and fixed income markets and experiencing losses in foreign exchange and commodities. Finally, the quant macro strategies were unprofitable during the period, with losses in commodities, equity indices and fixed income more than offsetting gains in foreign exchange.
Top Contributors
S&P 500 Index Futures +1.6%
Nikkei Index Futures +1.4%
Corn Futures +1.4%
Silver Futures +1.3%
New Zealand Dollar Forwards +1.2%
Top Detractors
Long Gilt Futures -1.2%
Australian 10 Year 6% Bond Futures -1.3%
Gold Futures -1.5%
Euro Forwards -1.8%
Canadian Dollar Forwards -2.1%
Campbell Systematic Macro Fund  PAGE 1  TSR-AR-74933W817

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Campbell Systematic Macro Fund Class C 10,000 10,579 10,763 11,361 11,792 12,457 12,396 12,652 12,181 12,048 11,035 11,188 11,270 11,290 11,127 11,649 11,263 11,533 11,626 11,211 10,535 10,400 10,774 11,179 10,691 10,369 10,037 9,850 9,881 9,590 9,985 9,860 9,964 9,870 9,486 9,517 9,600 9,507 10,078 10,140 10,182 10,816 9,663 9,798 9,766 9,351 9,621 9,351 9,600 9,559 9,101 9,060 9,386 9,245 9,363 9,786 10,068 9,868 10,432 10,972 11,466 11,172 10,667 10,655 10,376 10,918 11,056 11,001 10,918 10,751 10,515 10,459 10,112 10,029 10,070 10,237 10,584 10,390 10,654 11,154 11,445 11,779 11,709 11,793 11,668 11,570 11,723 11,390 11,475 12,120 12,150 13,230 14,175 13,965 14,671 14,431 15,046 15,601 15,706 15,202 14,873 14,994 15,685 15,409 15,392 15,582 15,357 14,977 15,063 15,599 15,305 14,849 14,450 14,432 14,953 15,197 15,283 15,040 15,301 15,648 15,422
S&P 500 Total Return Index 10,000 9,860 10,101 10,372 10,346 10,036 10,612 10,444 10,545 10,680 10,474 10,693 10,048 9,799 10,626 10,657 10,489 9,969 9,955 10,631 10,672 10,864 10,892 11,293 11,309 11,311 11,105 11,516 11,744 11,967 12,442 12,456 12,584 12,761 12,841 13,105 13,145 13,416 13,729 14,150 14,308 15,127 14,569 14,199 14,254 14,597 14,687 15,233 15,730 15,819 14,738 15,038 13,680 14,777 15,251 15,547 16,177 15,149 16,217 16,450 16,189 16,492 16,849 17,461 17,988 17,981 16,501 14,463 16,317 17,094 17,434 18,417 19,740 18,990 18,485 20,509 21,297 21,082 21,664 22,612 23,819 23,986 24,546 25,129 25,893 24,688 26,418 26,235 27,411 25,992 25,214 26,150 23,870 23,914 21,940 23,963 22,986 20,869 22,558 23,819 22,446 23,857 23,275 24,129 24,506 24,612 26,239 27,082 26,650 25,380 24,846 27,115 28,347 28,824 30,363 31,339 30,059 31,550 32,682 33,080 33,882
BarclayHedge BTOP50 Index 10,000 10,188 10,338 10,879 11,004 11,424 11,332 11,502 11,160 11,077 10,593 10,861 10,681 10,851 10,714 11,022 10,848 11,177 11,459 11,104 10,862 10,684 10,898 11,054 10,814 10,627 10,412 10,338 10,331 10,182 10,238 10,144 10,086 10,095 9,835 9,894 10,077 9,876 10,176 10,148 10,236 10,556 9,967 9,992 10,025 9,823 9,878 9,828 9,987 9,989 9,753 9,738 9,808 9,639 9,680 9,972 10,290 10,131 10,326 10,644 11,042 10,701 10,429 10,501 10,470 10,476 10,319 10,199 10,229 10,192 10,145 10,459 10,457 10,306 10,258 10,527 10,979 10,856 11,183 11,278 11,578 11,830 11,702 11,826 11,852 11,956 12,323 12,010 12,091 12,304 12,474 13,254 13,948 14,008 14,185 13,737 13,966 14,533 14,670 13,923 13,964 13,979 14,171 13,468 13,662 13,741 13,931 13,972 13,885 14,310 14,211 13,824 13,686 13,848 14,481 14,962 15,225 14,894 14,640 14,418 14,063
SG CTA Index 10,000 10,193 10,360 10,942 11,113 11,593 11,558 11,755 11,382 11,336 10,857 11,192 10,981 11,109 10,976 11,268 11,116 11,580 11,924 11,566 11,309 11,077 11,578 11,723 11,357 11,224 10,931 10,733 10,797 10,676 10,914 10,804 10,790 10,795 10,424 10,503 10,723 10,499 10,955 10,988 11,065 11,498 10,769 10,755 10,763 10,491 10,548 10,474 10,750 10,682 10,384 10,272 10,420 10,224 10,267 10,621 10,912 10,657 10,919 11,307 11,689 11,315 11,046 11,142 11,072 11,164 10,997 11,012 11,037 10,931 10,775 11,051 10,910 10,699 10,685 10,818 11,422 11,285 11,609 11,712 12,064 12,296 12,166 12,201 12,166 12,237 12,550 12,083 12,127 12,386 12,698 13,680 14,478 14,461 14,690 14,241 14,706 15,293 15,365 14,583 14,570 14,453 14,761 13,815 14,097 14,383 14,572 14,417 14,342 14,832 14,681 14,177 14,061 14,204 14,899 15,420 15,731 15,399 15,081 14,741 14,249
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class C (without sales charge)3
2.38
6.11
4.43
Class C (with sales charge)3
1.38
6.11
4.43
S&P 500 Total Return Index1
27.14
15.92
12.98
BarclayHedge BTOP50 Index
1.28
4.96
3.47
SG CTA Index2
-0.65
4.04
3.60
Visit https://www.campbell.com/systematicmacro for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index is included as a broad-based securities market index that represents the overall applicable domestic equity markets.
2 The SG CTA Index replaced the BarclayHedge BTOP 50 Index as a more narrowly based index that reflects the market sectors in which the Fund invests.
3 The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,244,878,883
Number of Holdings
149
Net Advisory Fee
$15,974,611
Portfolio Turnover (excludes derivatives)
0%
Visit https://www.campbell.com/systematicmacro for more recent performance information.
Campbell Systematic Macro Fund  PAGE 2  TSR-AR-74933W817

 
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United States Treasury Bill
73.1%
NZD/USD FWD 20240918
0.6%
IDR/USD FWD 20240918
0.5%
AUD/USD FWD 20240918
0.4%
NOK/USD FWD 20240918
0.4%
GBP/USD FWD 20240918
0.3%
London Metals - Copper
0.3%
US Cocoa
0.2%
Natural Gas
0.2%
USD/ZAR FWD 20240918
0.1%
AUD   Australian Dollar
GBP   British Pound
IDR      Indonesian Rupiah
NOK   Norwegian Krone
NZD   New Zealand Dollar
USD   United States Dollar
ZAR   South African Rand
Top Sectors
(% of net assets)
U.S. Treasury Bills
73.1%
Cash & Other
26.6%
Futures Contracts
0.2%
Forwards
0.1%
Material Fund Changes:
This is a summary of certain planned changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.campbell.com/systematicmacro or upon request at 1-844-261-6488. The Board of Directors (the “Board”) of The RBB Fund, Inc. (the “Company”) solicited approval from shareholders of the Fund, a series of the Company, for a proposed new investment advisory agreements between Campbell & Company Investment Adviser, LLC (the “Adviser”), the investment adviser of the Fund, and each of the Company, on behalf of the Fund, and the Fund’s subsidiary, Campbell Systematic Macro Offshore Limited (the “Subsidiary”) (collectively, the “New Investment Advisory Agreements”). The New Investment Advisory Agreements are required as a result of the long-planned transition of majority ownership (the “Transition”) of the Adviser’s parent company, Campbell & Company, LP (“Campbell & Company”). The Transition is the result of long-term business continuity and succession planning by Campbell & Company, pursuant to which senior executives and employees will increase their ownership to 80%, by redeeming a portion of the interests held by founder D. Keith Campbell, his family and his related entities, who will continue to own 20% of Campbell & Company. The redemption proceeds will be paid to the Campbell family over a ten-year period based on a percentage of revenues in excess of a threshold designed to protect working capital and reserves, which threshold will be adjusted each year for inflation. As a result, the Transition is expected to further align the interests of Campbell & Company, its executives and employees, and its founder, as they continue to participate in the success of the firm. The new Investment Advisory Agreements are substantially similar to the Adviser’s current agreements on behalf of the Fund and the Subsidiary. There will be no increase in advisory fees. The Adviser’s current portfolio managers will continue to manage the Fund and the Subsidiary according to their current investment objectives and investment strategies. The Adviser does not expect the Transition to have any material impact on the quality of investment advisory services provided to the Fund and the Subsidiary. The Board has unanimously voted to approve the New Investment Advisory Agreements and shareholders of the Fund approved the New Investment Advisory Agreement at a shareholder meeting held on October 25, 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.campbell.com/systematicmacro
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6488, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Campbell Systematic Macro Fund  PAGE 3  TSR-AR-74933W817
1000011270106919600960011466101121166815046150631542210000100481130913145157301618919740258932298626650338821000010681108141007799871104210457118521396613885140631000010981113571072310750116891091012166147061434214249

 
image
Campbell Systematic Macro Fund
image
Class I | EBSIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Campbell Systematic Macro Fund (the “Fund”) for the period of  September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://www.campbell.com/systematicmacro. You can also request this information by contacting us at 1-844-261-6488.
This report describes changes to the Fund that occurred during the reporting period.  
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$178
1.75%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund produced net gains during the 12-month period ended August 31, 2024, outperforming the SG CTA Index, which returned -0.65% over the same period.
POSITIONING
The exposures affecting performance included gains in equity index derivatives and losses in commodity futures, fixed income futures, and foreign exchange forwards. For the majority of the reporting period, the Fund maintained a net long position in equity index derivatives, a net short position in fixed income futures, and varied positioning in commodity futures and foreign exchange forwards.
WHAT FACTORS INFLUENCED PERFORMANCE?
From a strategy perspective, the Fund trades a variety of systematic models which are grouped into momentum, quant macro, and short-term strategies. Momentum strategies were the most profitable strategies during the period, primarily gaining in equity indices and commodities and experiencing losses in fixed income and foreign exchange. Short-term strategies were also profitable, gaining in equity indices and fixed income markets and experiencing losses in foreign exchange and commodities. Finally, the quant macro strategies were unprofitable during the period, with losses in commodities, equity indices and fixed income more than offsetting gains in foreign exchange.
Top Contributors
S&P 500 Index Futures +1.6%
Nikkei Index Futures +1.4%
Corn Futures +1.4%
Silver Futures +1.3%
New Zealand Dollar Forwards +1.2%
Top Detractors
Long Gilt Futures -1.2%
Australian 10 Year 6% Bond Futures -1.3%
Gold Futures -1.5%
Euro Forwards -1.8%
Canadian Dollar Forwards -2.1%
Campbell Systematic Macro Fund  PAGE 1  TSR-AR-74933W833

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Campbell Systematic Macro Fund Class I 10,000 10,594 10,786 11,390 11,839 12,521 12,460 12,734 12,266 12,144 11,127 11,300 11,392 11,412 11,259 11,799 11,421 11,701 11,805 11,400 10,715 10,580 10,974 11,400 10,912 10,590 10,258 10,082 10,123 9,832 10,237 10,113 10,237 10,144 9,760 9,801 9,895 9,801 10,403 10,476 10,538 11,193 10,009 10,154 10,123 9,708 9,999 9,718 9,988 9,957 9,490 9,459 9,799 9,669 9,799 10,250 10,558 10,356 10,949 11,529 12,063 11,755 11,245 11,233 10,947 11,523 11,691 11,635 11,565 11,382 11,158 11,116 10,765 10,709 10,765 10,947 11,326 11,116 11,396 11,944 12,253 12,603 12,547 12,646 12,519 12,435 12,603 12,253 12,351 13,062 13,092 14,286 15,299 15,103 15,874 15,632 16,297 16,917 17,053 16,503 16,173 16,312 17,075 16,797 16,797 17,005 16,780 16,381 16,485 17,092 16,780 16,300 15,877 15,859 16,459 16,723 16,847 16,600 16,882 17,288 17,041
S&P 500 Total Return Index 10,000 9,860 10,101 10,372 10,346 10,036 10,612 10,444 10,545 10,680 10,474 10,693 10,048 9,799 10,626 10,657 10,489 9,969 9,955 10,631 10,672 10,864 10,892 11,293 11,309 11,311 11,105 11,516 11,744 11,967 12,442 12,456 12,584 12,761 12,841 13,105 13,145 13,416 13,729 14,150 14,308 15,127 14,569 14,199 14,254 14,597 14,687 15,233 15,730 15,819 14,738 15,038 13,680 14,777 15,251 15,547 16,177 15,149 16,217 16,450 16,189 16,492 16,849 17,461 17,988 17,981 16,501 14,463 16,317 17,094 17,434 18,417 19,740 18,990 18,485 20,509 21,297 21,082 21,664 22,612 23,819 23,986 24,546 25,129 25,893 24,688 26,418 26,235 27,411 25,992 25,214 26,150 23,870 23,914 21,940 23,963 22,986 20,869 22,558 23,819 22,446 23,857 23,275 24,129 24,506 24,612 26,239 27,082 26,650 25,380 24,846 27,115 28,347 28,824 30,363 31,339 30,059 31,550 32,682 33,080 33,882
BarclayHedge BTOP50 Index 10,000 10,188 10,338 10,879 11,004 11,424 11,332 11,502 11,160 11,077 10,593 10,861 10,681 10,851 10,714 11,022 10,848 11,177 11,459 11,104 10,862 10,684 10,898 11,054 10,814 10,627 10,412 10,338 10,331 10,182 10,238 10,144 10,086 10,095 9,835 9,894 10,077 9,876 10,176 10,148 10,236 10,556 9,967 9,992 10,025 9,823 9,878 9,828 9,987 9,989 9,753 9,738 9,808 9,639 9,680 9,972 10,290 10,131 10,326 10,644 11,042 10,701 10,429 10,501 10,470 10,476 10,319 10,199 10,229 10,192 10,145 10,459 10,457 10,306 10,258 10,527 10,979 10,856 11,183 11,278 11,578 11,830 11,702 11,826 11,852 11,956 12,323 12,010 12,091 12,304 12,474 13,254 13,948 14,008 14,185 13,737 13,966 14,533 14,670 13,923 13,964 13,979 14,171 13,468 13,662 13,741 13,931 13,972 13,885 14,310 14,211 13,824 13,686 13,848 14,481 14,962 15,225 14,894 14,640 14,418 14,063
SG CTA Index 10,000 10,193 10,360 10,942 11,113 11,593 11,558 11,755 11,382 11,336 10,857 11,192 10,981 11,109 10,976 11,268 11,116 11,580 11,924 11,566 11,309 11,077 11,578 11,723 11,357 11,224 10,931 10,733 10,797 10,676 10,914 10,804 10,790 10,795 10,424 10,503 10,723 10,499 10,955 10,988 11,065 11,498 10,769 10,755 10,763 10,491 10,548 10,474 10,750 10,682 10,384 10,272 10,420 10,224 10,267 10,621 10,912 10,657 10,919 11,307 11,689 11,315 11,046 11,142 11,072 11,164 10,997 11,012 11,037 10,931 10,775 11,051 10,910 10,699 10,685 10,818 11,422 11,285 11,609 11,712 12,064 12,296 12,166 12,201 12,166 12,237 12,550 12,083 12,127 12,386 12,698 13,680 14,478 14,461 14,690 14,241 14,706 15,293 15,365 14,583 14,570 14,453 14,761 13,815 14,097 14,383 14,572 14,417 14,342 14,832 14,681 14,177 14,061 14,204 14,899 15,420 15,731 15,399 15,081 14,741 14,249
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class I3
3.42
7.15
5.47
S&P 500 Total Return Index1
27.14
15.92
12.98
BarclayHedge BTOP50 Index
1.28
4.96
3.47
SG CTA Index2
-0.65
4.04
3.60
Visit https://www.campbell.com/systematicmacro for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
1 Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index is included as a broad-based securities market index that represents the overall applicable domestic equity markets.
2 The SG CTA Index replaced the BarclayHedge BTOP 50 Index as a more narrowly based index that reflects the market sectors in which the Fund invests.
3 The Fund commenced operations on March 8, 2013 as a separate portfolio (the “Predecessor Fund”) of Equinox Funds Trust. Effective May 29, 2020, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. The performance shown for periods prior to May 29, 2020 represents the performance of the Predecessor Fund.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$1,244,878,883
Number of Holdings
149
Net Advisory Fee
$15,974,611
Portfolio Turnover (excludes derivatives)
0%
Visit https://www.campbell.com/systematicmacro for more recent performance information.
Campbell Systematic Macro Fund  PAGE 2  TSR-AR-74933W833

 
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United States Treasury Bill
73.1%
NZD/USD FWD 20240918
0.6%
IDR/USD FWD 20240918
0.5%
AUD/USD FWD 20240918
0.4%
NOK/USD FWD 20240918
0.4%
GBP/USD FWD 20240918
0.3%
London Metals - Copper
0.3%
US Cocoa
0.2%
Natural Gas
0.2%
USD/ZAR FWD 20240918
0.1%
AUD   Australian Dollar
GBP   British Pound
IDR      Indonesian Rupiah
NOK   Norwegian Krone
NZD   New Zealand Dollar
USD   United States Dollar
ZAR   South African Rand
Top Sectors
(% of net assets)
U.S. Treasury Bills
73.1%
Cash & Other
26.6%
Futures Contracts
0.2%
Forwards
0.1%
Material Fund Changes:
This is a summary of certain planned changes to the Fund since September 1, 2023. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://www.campbell.com/systematicmacro or upon request at 1-844-261-6488. The Board of Directors (the “Board”) of The RBB Fund, Inc. (the “Company”) solicited approval from shareholders of the Fund, a series of the Company, for a proposed new investment advisory agreements between Campbell & Company Investment Adviser, LLC (the “Adviser”), the investment adviser of the Fund, and each of the Company, on behalf of the Fund, and the Fund’s subsidiary, Campbell Systematic Macro Offshore Limited (the “Subsidiary”) (collectively, the “New Investment Advisory Agreements”). The New Investment Advisory Agreements are required as a result of the long-planned transition of majority ownership (the “Transition”) of the Adviser’s parent company, Campbell & Company, LP (“Campbell & Company”). The Transition is the result of long-term business continuity and succession planning by Campbell & Company, pursuant to which senior executives and employees will increase their ownership to 80%, by redeeming a portion of the interests held by founder D. Keith Campbell, his family and his related entities, who will continue to own 20% of Campbell & Company. The redemption proceeds will be paid to the Campbell family over a ten-year period based on a percentage of revenues in excess of a threshold designed to protect working capital and reserves, which threshold will be adjusted each year for inflation. As a result, the Transition is expected to further align the interests of Campbell & Company, its executives and employees, and its founder, as they continue to participate in the success of the firm. The new Investment Advisory Agreements are substantially similar to the Adviser’s current agreements on behalf of the Fund and the Subsidiary. There will be no increase in advisory fees. The Adviser’s current portfolio managers will continue to manage the Fund and the Subsidiary according to their current investment objectives and investment strategies. The Adviser does not expect the Transition to have any material impact on the quality of investment advisory services provided to the Fund and the Subsidiary. The Board has unanimously voted to approve the New Investment Advisory Agreements and shareholders of the Fund approved the New Investment Advisory Agreement at a shareholder meeting held on October 25, 2024.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.campbell.com/systematicmacro
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-844-261-6488, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Campbell Systematic Macro Fund  PAGE 3  TSR-AR-74933W833
1000011392109129895998812063107651251916297164851704110000100481130913145157301618919740258932298626650338821000010681108141007799871104210457118521396613885140631000010981113571072310750116891091012166147061434214249

 
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Free Market U.S. Equity Fund
image
Class L | FMUEX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Free Market U.S. Equity Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$59
0.54%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund provided a total return of 20.30% at net asset value. This compares with a return of 26.14% over the same period for the Fund’s benchmark, the Russell 3000® Index.
As a result of the 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 performance of diversified equity funds, like the Fund, are the size and 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 cap stocks performed better than U.S. small cap stocks during the period. The S&P 500® Index returned 27.14%, the Russell 2500® Index returned 17.37%, and the Russell 2000® Index returned 18.47%. Furthermore, for the same time period, the Russell 1000® Value Index returned 21.15% while the Russell 2000® Value returned 19.25% for the twelve months ended August 31, 2024.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Free Market U.S. Equity Fund Class L 10,000 9,562 9,896 9,954 10,089 9,621 10,233 10,251 10,221 10,353 10,311 10,173 9,645 9,286 9,915 10,083 9,658 9,021 9,073 9,756 9,912 10,023 9,977 10,400 10,524 10,589 10,302 11,376 11,708 11,742 11,960 11,885 11,980 11,796 12,048 12,185 11,994 12,675 12,839 13,207 13,281 13,727 13,097 13,034 13,119 13,621 13,649 14,024 14,406 14,194 13,013 13,197 11,705 12,859 13,301 13,062 13,549 12,342 13,279 13,384 12,664 13,174 13,436 13,893 14,335 13,702 12,310 9,683 11,052 11,503 11,669 12,096 12,705 12,207 12,349 14,272 15,148 15,566 16,901 17,857 18,388 18,927 18,726 18,565 18,967 18,493 19,313 18,927 19,958 19,135 19,169 19,404 18,086 18,581 16,794 18,237 17,683 16,047 18,036 18,934 17,892 19,248 18,884 18,283 18,129 17,637 19,084 20,039 19,439 18,620 17,810 19,275 20,952 20,649 21,406 22,419 21,208 22,154 21,956 23,489 23,385
Russell 3000 Total Return1 10,000 9,792 10,061 10,305 10,305 10,018 10,598 10,490 10,538 10,683 10,505 10,680 10,036 9,743 10,513 10,571 10,354 9,770 9,767 10,454 10,519 10,707 10,729 11,155 11,184 11,201 10,959 11,449 11,673 11,892 12,335 12,343 12,474 12,601 12,715 12,955 12,980 13,296 13,587 13,999 14,139 14,884 14,336 14,048 14,101 14,499 14,594 15,079 15,608 15,634 14,483 14,773 13,398 14,548 15,060 15,279 15,890 14,861 15,905 16,142 15,813 16,090 16,436 17,061 17,554 17,535 16,099 13,885 15,724 16,565 16,944 17,906 19,203 18,504 18,104 20,307 21,220 21,126 21,786 22,567 23,731 23,839 24,427 24,840 25,548 24,402 26,052 25,656 26,666 25,097 24,465 25,258 22,992 22,961 21,040 23,014 22,155 20,101 21,749 22,884 21,544 23,028 22,490 23,091 23,337 23,428 25,028 25,925 25,424 24,213 23,571 25,769 27,136 27,437 28,922 29,855 28,542 29,890 30,815 31,388 32,071
Russell 2500 Total Return 10,000 9,486 9,906 9,992 10,128 9,921 10,512 10,652 10,465 10,690 10,615 10,596 9,968 9,522 10,055 10,252 9,835 9,050 9,114 9,873 10,019 10,230 10,226 10,759 10,845 10,897 10,455 11,344 11,564 11,725 12,007 11,999 12,091 11,956 12,255 12,382 12,279 12,836 13,035 13,463 13,508 13,920 13,348 13,476 13,508 14,143 14,245 14,521 15,144 14,914 13,400 13,653 12,157 13,557 14,197 14,080 14,574 13,537 14,497 14,648 14,062 14,311 14,585 15,211 15,533 15,217 13,941 10,916 12,505 13,428 13,816 14,367 15,017 14,629 14,894 17,320 18,638 19,095 20,341 20,675 21,501 21,546 21,801 21,419 21,905 21,216 22,256 21,328 22,027 20,194 20,421 20,746 18,978 19,042 17,223 19,005 18,500 16,738 18,344 19,118 17,981 19,779 19,315 18,591 18,348 18,026 19,562 20,535 19,728 18,626 17,495 19,070 21,114 20,562 21,680 22,575 21,063 21,939 21,610 23,215 23,156
Composite Index2 10,000 9,593 10,032 10,141 10,292 9,922 10,447 10,459 10,386 10,532 10,451 10,415 9,812 9,472 10,116 10,287 9,927 9,290 9,302 10,006 10,161 10,349 10,385 10,851 10,991 11,038 10,723 11,630 11,962 12,030 12,360 12,310 12,381 12,262 12,545 12,694 12,549 13,124 13,257 13,651 13,693 14,153 13,539 13,479 13,591 14,097 14,174 14,570 14,987 14,832 13,652 13,933 12,449 13,631 14,159 14,074 14,594 13,546 14,483 14,592 14,043 14,487 14,799 15,287 15,751 15,326 13,945 11,301 12,717 13,276 13,533 14,021 14,805 14,277 14,338 16,565 17,569 17,937 19,032 19,817 20,484 20,809 20,940 20,730 21,245 20,550 21,585 20,949 21,844 20,590 20,517 21,016 19,333 19,536 17,822 19,425 18,829 17,052 18,840 19,652 18,529 19,954 19,457 19,032 18,974 18,674 20,043 21,065 20,322 19,320 18,431 20,031 21,771 21,409 22,370 23,275 22,009 22,989 22,991 24,640 24,747
Free Market U.S. Equity Fund  PAGE 1  TSR-AR-74925K839

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Free Market U.S. Equity Fund
20.30
13.05
8.87
Russell 3000 Total Return1
26.14
15.19
12.36
Russell 2500 Total Return
17.37
10.49
8.76
Composite Index2
21.77
12.00
9.48
1 Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2500 Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
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%, respectively.
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$4,301,185,599
Number of Holdings
9
Net Advisory Fee
$19,003,981
Portfolio Turnover
4%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
U.S. Small Cap Value Portfolio
25.1%
U.S. Micro Cap Portfolio
15.1%
U.S. Small Cap Portfolio
15.1%
U.S. Large Cap Value Portfolio III
15.0%
iShares MSCI USA Value Factor ETF
9.3%
iShares Core S&P 500 ETF
8.2%
U.S. Large Company Portfolio
6.7%
U.S. Large Cap Value Series
5.6%
Invesco Government & Agency Portfolio
0.1%
Top Sectors
(% of Net Assets)
Finance and Insurance
94.4%
Cash & Other
5.6%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Free Market U.S. Equity Fund  PAGE 2  TSR-AR-74925K839
1000096451052411994144061266412705189671768319439233851000010036111841298015608158131920325548221552542432071100009968108451227915144140621501721905185001972823156100009812109911254914987140431480521245188292032224747

 
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Free Market International Equity Fund
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Class L | FMNEX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Free Market International Equity Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$60
0.55%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund provided a total return of 17.86% at net asset value. This compares with a return of 19.45% over the same period for the Fund’s benchmark, the MSCI World (ex USA) Index (Net Dividends), which captures large and mid-cap representation across 22 of 23 Developed Markets (DM) countries excluding the U.S.
As a result of the 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 Fund, are company size and company value/growth characteristics of the underlying fund holdings and broad exposure to emerging market equities.
International value stocks fared better than international growth stocks during the fiscal year. The MSCI EAFE Value Index increased by 20.38%, while the MSCI EAFE Small Cap Value Index returned 16.86% and the MSCI Emerging Markets Index returned 15.07%. Furthermore, the MSCI EAFE Small Cap Index returned 15.08% for the twelve months ended August 31, 2024, while the MSCI EAFE Index returned 19.40% for the same period.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Free Market International Equity Fund Class L 10,000 9,441 9,286 9,231 8,990 8,942 9,516 9,324 9,850 9,860 9,640 9,458 8,875 8,464 8,980 8,865 8,727 8,113 7,984 8,677 8,984 8,826 8,559 9,054 9,153 9,331 9,301 9,192 9,434 9,853 9,965 10,190 10,394 10,589 10,721 11,161 11,212 11,498 11,662 11,723 12,050 12,684 12,040 11,892 12,093 11,734 11,406 11,660 11,322 11,374 10,329 10,276 9,682 10,419 10,606 10,507 10,815 10,045 10,595 10,342 10,001 10,375 10,771 10,881 11,397 10,787 9,885 7,797 8,553 8,948 9,253 9,478 10,031 9,772 9,501 10,991 11,707 11,614 12,265 12,695 13,055 13,578 13,299 13,276 13,485 13,183 13,520 12,741 13,404 13,345 13,145 13,121 12,403 12,697 11,413 11,826 11,378 10,236 10,754 12,073 11,995 12,983 12,666 12,702 13,007 12,385 12,983 13,629 13,178 12,873 12,373 13,251 13,932 13,669 13,969 14,606 14,419 15,144 14,719 15,306 15,531
MSCI WORLD ex USA Index (Net Dividends) 10,000 9,590 9,437 9,553 9,235 9,203 9,753 9,590 10,005 9,918 9,636 9,789 9,076 8,618 9,266 9,118 8,955 8,338 8,222 8,780 9,063 8,960 8,688 9,115 9,124 9,235 9,055 8,910 9,201 9,475 9,584 9,827 10,036 10,371 10,381 10,690 10,687 10,964 11,114 11,227 11,428 11,961 11,393 11,195 11,452 11,235 11,112 11,385 11,170 11,257 10,363 10,353 9,818 10,519 10,789 10,844 11,151 10,624 11,255 11,119 10,846 11,150 11,511 11,655 12,026 11,793 10,747 9,229 9,872 10,292 10,645 10,928 11,492 11,168 10,729 12,376 12,939 12,801 13,127 13,462 13,885 14,368 14,222 14,316 14,546 14,128 14,548 13,868 14,572 13,929 13,712 13,871 12,960 13,068 11,838 12,427 11,846 10,750 11,342 12,550 12,490 13,513 13,198 13,491 13,874 13,269 13,900 14,350 13,795 13,329 12,767 13,967 14,730 14,794 15,046 15,554 15,142 15,721 15,460 15,945 16,477
Composite Index1 10,000 9,480 9,378 9,405 9,121 9,144 9,642 9,499 9,993 9,882 9,640 9,586 8,907 8,513 9,115 8,935 8,829 8,173 8,090 8,785 8,997 8,869 8,656 9,121 9,203 9,351 9,248 9,016 9,266 9,599 9,777 10,023 10,302 10,627 10,657 11,078 11,144 11,368 11,581 11,689 11,963 12,677 12,125 11,906 12,093 11,758 11,506 11,741 11,475 11,523 10,574 10,646 10,145 10,908 11,090 11,121 11,406 10,747 11,331 11,176 10,784 11,119 11,562 11,666 12,212 11,808 10,816 9,093 9,807 10,182 10,581 10,973 11,540 11,265 10,999 12,578 13,309 13,338 13,685 13,902 14,299 14,694 14,513 14,349 14,651 14,201 14,435 13,701 14,295 13,830 13,575 13,541 12,730 12,823 11,642 12,033 11,667 10,456 10,794 12,063 12,093 13,036 12,640 12,799 13,021 12,517 13,045 13,646 13,091 12,721 12,142 13,212 13,919 13,717 13,963 14,446 14,226 14,678 14,549 15,045 15,398
Free Market International Equity Fund  PAGE 1  TSR-AR-74925K821

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Free Market International Equity Fund
17.86
9.20
4.50
MSCI WORLD ex USA Index (Net Dividends)
19.45
8.72
5.12
Composite Index1
17.63
7.38
4.41
1 The Composite Index is comprised comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index and MSCI Emerging Markets Free Index, each weighted 25%, respectively.
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$3,283,448,219
Number of Holdings
11
Net Advisory Fee
$14,615,451
Portfolio Turnover
13%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
DFA International Small Cap Value Portfolio
40.2%
DFA International Value Portfolio III
15.2%
DFA International Value Series
14.9%
Dimensional International Small Cap ETF
8.6%
iShares Core MSCI Emerging Markets ETF
5.1%
iShares Core MSCI EAFE ETF
5.0%
Emerging Markets Small Cap Portfolio
4.8%
Emerging Markets Value Portfolio
4.8%
Canadian Small Company Series
1.3%
Invesco Government & Agency Portfolio
0.1%
Top Sectors
(% of Net Assets)
Finance and Insurance
83.8%
Cash & Other
16.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Free Market International Equity Fund  PAGE 2  TSR-AR-74925K821
100008875915311212113221000110031134851137813178155311000090769124106871117010846114921454611846137951647710000890792031114411475107841154014651116671309115398

 
image
Free Market Fixed Income Fund
image
Class L | FMFIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Free Market Fixed Income Fund (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$57
0.55%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund returned 6.30%. This compares with a return of 7.30% over the same period for the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index.
The Fund focuses on assets that invest in high quality and shorter-term government and corporate fixed income assets, both in the U.S. as well as international.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Free Market Fixed Income Fund Class L 10,000 9,968 9,998 10,036 9,998 10,106 10,057 10,076 10,076 10,066 10,037 10,057 10,037 10,086 10,066 10,047 10,017 10,106 10,135 10,185 10,194 10,185 10,273 10,293 10,263 10,267 10,247 10,139 10,147 10,167 10,187 10,197 10,227 10,256 10,233 10,273 10,303 10,275 10,275 10,255 10,254 10,194 10,174 10,194 10,184 10,214 10,216 10,226 10,266 10,242 10,232 10,252 10,321 10,403 10,424 10,527 10,547 10,619 10,688 10,709 10,792 10,779 10,800 10,800 10,815 10,909 10,971 10,800 10,957 11,020 11,061 11,124 11,114 11,108 11,108 11,150 11,169 11,148 11,085 11,053 11,074 11,095 11,106 11,159 11,148 11,090 11,058 11,069 11,051 10,935 10,871 10,680 10,532 10,564 10,443 10,592 10,422 10,209 10,219 10,368 10,331 10,470 10,373 10,524 10,567 10,545 10,536 10,569 10,590 10,535 10,525 10,719 10,892 10,914 10,892 10,954 10,899 10,976 11,036 11,169 11,258
Bloomberg U.S. Aggregate Bond Index1 10,000 9,932 10,030 10,101 10,110 10,322 10,225 10,273 10,236 10,211 10,100 10,170 10,156 10,224 10,226 10,199 10,166 10,306 10,379 10,474 10,514 10,517 10,706 10,774 10,761 10,755 10,673 10,420 10,435 10,456 10,526 10,520 10,601 10,683 10,672 10,718 10,814 10,763 10,769 10,755 10,805 10,680 10,579 10,647 10,568 10,643 10,630 10,633 10,701 10,632 10,548 10,611 10,806 10,921 10,914 11,124 11,127 11,324 11,466 11,492 11,789 11,727 11,762 11,756 11,748 11,974 12,189 12,118 12,333 12,391 12,469 12,655 12,553 12,546 12,490 12,612 12,630 12,539 12,358 12,204 12,300 12,340 12,427 12,566 12,542 12,433 12,430 12,467 12,435 12,167 12,031 11,697 11,253 11,326 11,148 11,420 11,098 10,618 10,481 10,866 10,817 11,150 10,862 11,138 11,205 11,083 11,044 11,036 10,965 10,687 10,518 10,994 11,415 11,384 11,223 11,327 11,041 11,228 11,334 11,599 11,765
FTSE World Government Bond Index 1-5 Yr Currency-Hedged USD 10,000 9,998 10,022 10,047 10,045 10,101 10,086 10,107 10,106 10,112 10,096 10,123 10,121 10,155 10,157 10,154 10,146 10,222 10,251 10,262 10,262 10,267 10,335 10,338 10,327 10,346 10,326 10,276 10,297 10,300 10,325 10,327 10,357 10,379 10,364 10,390 10,425 10,408 10,421 10,415 10,414 10,383 10,392 10,430 10,423 10,432 10,457 10,457 10,477 10,474 10,496 10,544 10,635 10,674 10,683 10,758 10,777 10,853 10,921 10,937 11,035 11,026 11,041 11,033 11,045 11,124 11,207 11,294 11,320 11,335 11,354 11,374 11,367 11,381 11,385 11,390 11,400 11,397 11,356 11,358 11,365 11,378 11,366 11,404 11,396 11,368 11,311 11,339 11,308 11,237 11,195 11,040 10,956 10,986 10,935 11,032 10,884 10,739 10,746 10,834 10,800 10,912 10,816 10,995 11,037 11,025 10,965 11,013 11,055 11,027 11,064 11,204 11,368 11,400 11,343 11,394 11,345 11,419 11,497 11,644 11,739
Composite Index2 10,000 9,973 10,021 10,056 10,045 10,150 10,101 10,132 10,122 10,120 10,082 10,111 10,107 10,151 10,142 10,122 10,107 10,195 10,229 10,267 10,281 10,276 10,375 10,394 10,377 10,384 10,351 10,236 10,242 10,258 10,288 10,289 10,329 10,364 10,356 10,385 10,431 10,403 10,403 10,389 10,405 10,347 10,315 10,353 10,320 10,368 10,369 10,371 10,416 10,389 10,377 10,423 10,534 10,589 10,595 10,701 10,714 10,825 10,903 10,908 11,055 11,031 11,063 11,058 11,066 11,177 11,300 11,356 11,433 11,461 11,489 11,547 11,520 11,521 11,499 11,534 11,542 11,515 11,449 11,394 11,430 11,451 11,465 11,524 11,514 11,470 11,444 11,459 11,438 11,321 11,263 11,075 10,911 10,964 10,884 11,000 10,853 10,644 10,599 10,771 10,769 10,924 10,796 10,980 11,030 10,982 10,949 10,973 10,980 10,896 10,865 11,091 11,300 11,323 11,255 11,318 11,213 11,325 11,403 11,568 11,682
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Free Market Fixed Income Fund
6.30
0.85
1.19
Bloomberg U.S. Aggregate Bond Index1
7.30
-0.04
1.64
FTSE World Government Bond Index 1-5 Yr Currency-Hedged USD
6.19
1.25
1.62
Composite Index2
6.39
1.11
1.57
1 Effective with this report, and pursuant to new regulatory requirements, the Bloomberg U.S. Aggregate Bond Index replaced the FTSE World Government Bond Index 1-5 Years as the Fund’s primary benchmark to represent a broad-based securities market index.
2 The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Capital Aggregate Bond Index, each weighted 25%, respectively.
Free Market Fixed Income Fund  PAGE 1  TSR-AR-74925K813

 
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$2,890,938,074
Number of Holdings
10
Net Advisory Fee
$13,737,559
Portfolio Turnover
8%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
DFA Two-Year Global Fixed Income Portfolio
25.0%
iShares 1-5 Year Investment Grade Corporate Bond ETF
24.0%
iShares Core International Aggregate Bond ETF
15.1%
DFA One-Year Fixed Income Portfolio
14.4%
iShares 5-10 Year Investment Grade Corporate Bond ETF
6.1%
iShares 3-7 Year Treasury Bond ETF
6.0%
Dimensional Inflation-Protected Securities ETF
5.0%
iShares 1-3 Year Treasury Bond ETF
4.0%
Invesco Government & Agency Portfolio
0.5%
Top Sectors
(% of Net Assets)
Finance and Insurance
99.5%
Cash & Other
0.5%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Free Market Fixed Income Fund  PAGE 2  TSR-AR-74925K813
1000010037102631030310266107921111411148104221059011258100001015610761108141070111789125531254211098109651176510000101211032710425104771103511367113961088411055117391000010107103771043110416110551152011514108531098011682

 
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Matson Money U.S. Equity VI Portfolio
image
Class L | FMVUX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Matson Money U.S. Equity VI Portfolio (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$84
0.76%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund provided a total return of 19.90% at net asset value. This compares with a return of 26.14% over the same period for the Fund’s benchmark, the Russell 3000® Index.
As a result of the Funds’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 performance of diversified equity funds, like the Fund, are the size and 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 cap stocks performed better than U.S. small cap stocks during the period. The S&P 500® Index returned 27.14%, the Russell 2500® Index returned 17.37%, and the Russell 2000® Index returned 18.47%. Furthermore, for the same time period, the Russell 1000® Value Index returned 21.15% while the Russell 2000® Value returned 19.25% for the twelve months ended August 31, 2024.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Matson Money U.S. Equity VI Portfolio Class L 10,000 9,567 9,866 9,910 10,028 9,578 10,189 10,204 10,178 10,298 10,249 10,125 9,608 9,241 9,867 10,024 9,597 8,966 9,024 9,687 9,839 9,936 9,889 10,314 10,443 10,497 10,221 11,257 11,572 11,617 11,828 11,755 11,828 11,642 11,902 12,040 11,845 12,515 12,657 13,035 13,114 13,551 12,935 12,866 12,939 13,397 13,422 13,799 14,162 13,961 12,785 12,969 11,501 12,630 13,077 12,842 13,331 12,160 13,073 13,179 12,478 12,985 13,238 13,681 14,111 13,493 12,120 9,524 10,858 11,302 11,472 11,876 12,475 12,003 12,149 14,048 14,901 15,267 16,581 17,495 18,048 18,571 18,373 18,215 18,626 18,160 18,987 18,586 19,560 18,764 18,835 19,080 17,793 18,273 16,523 17,935 17,390 15,820 17,739 18,622 17,649 18,989 18,620 18,013 17,874 17,376 18,795 19,748 19,153 18,341 17,516 18,923 20,544 20,256 21,022 22,010 20,858 21,768 21,519 23,031 22,965
Russell 3000 Total Return1 10,000 9,792 10,061 10,305 10,305 10,018 10,598 10,490 10,538 10,683 10,505 10,680 10,036 9,743 10,513 10,571 10,354 9,770 9,767 10,454 10,519 10,707 10,729 11,155 11,184 11,201 10,959 11,449 11,673 11,892 12,335 12,343 12,474 12,601 12,715 12,955 12,980 13,296 13,587 13,999 14,139 14,884 14,336 14,048 14,101 14,499 14,594 15,079 15,608 15,634 14,483 14,773 13,398 14,548 15,060 15,279 15,890 14,861 15,905 16,142 15,813 16,090 16,436 17,061 17,554 17,535 16,099 13,885 15,724 16,565 16,944 17,906 19,203 18,504 18,104 20,307 21,220 21,126 21,786 22,567 23,731 23,839 24,427 24,840 25,548 24,402 26,052 25,656 26,666 25,097 24,465 25,258 22,992 22,961 21,040 23,014 22,155 20,101 21,749 22,884 21,544 23,028 22,490 23,091 23,337 23,428 25,028 25,925 25,424 24,213 23,571 25,769 27,136 27,437 28,922 29,855 28,542 29,890 30,815 31,388 32,071
Russell 2500 Total Return 10,000 9,486 9,906 9,992 10,128 9,921 10,512 10,652 10,465 10,690 10,615 10,596 9,968 9,522 10,055 10,252 9,835 9,050 9,114 9,873 10,019 10,230 10,226 10,759 10,845 10,897 10,455 11,344 11,564 11,725 12,007 11,999 12,091 11,956 12,255 12,382 12,279 12,836 13,035 13,463 13,508 13,920 13,348 13,476 13,508 14,143 14,245 14,521 15,144 14,914 13,400 13,653 12,157 13,557 14,197 14,080 14,574 13,537 14,497 14,648 14,062 14,311 14,585 15,211 15,533 15,217 13,941 10,916 12,505 13,428 13,816 14,367 15,017 14,629 14,894 17,320 18,638 19,095 20,341 20,675 21,501 21,546 21,801 21,419 21,905 21,216 22,256 21,328 22,027 20,194 20,421 20,746 18,978 19,042 17,223 19,005 18,500 16,738 18,344 19,118 17,981 19,779 19,315 18,591 18,348 18,026 19,562 20,535 19,728 18,626 17,495 19,070 21,114 20,562 21,680 22,575 21,063 21,939 21,610 23,215 23,156
Composite Index2 10,000 9,593 10,032 10,141 10,292 9,922 10,447 10,459 10,386 10,532 10,451 10,415 9,812 9,472 10,116 10,287 9,927 9,290 9,302 10,006 10,161 10,349 10,385 10,851 10,991 11,038 10,723 11,630 11,962 12,030 12,360 12,310 12,381 12,262 12,545 12,694 12,549 13,124 13,257 13,651 13,693 14,153 13,539 13,479 13,591 14,097 14,174 14,570 14,987 14,832 13,652 13,933 12,449 13,631 14,159 14,074 14,594 13,546 14,483 14,592 14,043 14,487 14,799 15,287 15,751 15,326 13,945 11,301 12,717 13,276 13,533 14,021 14,805 14,277 14,338 16,565 17,569 17,937 19,032 19,817 20,484 20,809 20,940 20,730 21,245 20,550 21,585 20,949 21,844 20,590 20,517 21,016 19,333 19,536 17,822 19,425 18,829 17,052 18,840 19,652 18,529 19,954 19,457 19,032 18,974 18,674 20,043 21,065 20,322 19,320 18,431 20,031 21,771 21,409 22,370 23,275 22,009 22,989 22,991 24,640 24,747
Matson Money U.S. Equity VI Portfolio  PAGE 1  TSR-AR-74925K441

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Matson Money U.S. Equity VI Portfolio
19.90
12.98
8.67
Russell 3000 Total Return1
26.14
15.19
12.36
Russell 2500 Total Return
17.37
10.49
8.76
Composite Index2
21.77
12.00
9.48
1 Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Total Return Index replaced the Russell 2500 Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
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%, respectively.
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$28,304,674
Number of Holdings
8
Net Advisory Fee
$138,890
Portfolio Turnover
8%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
U.S. Large Cap Value Portfolio III
26.1%
U.S. Small Cap Portfolio
15.1%
U.S. Micro Cap Portfolio
15.1%
VA U.S. Targeted Value Portfolio
15.1%
U.S. Large Company Portfolio
13.7%
U.S. Small Cap Value Portfolio
10.1%
VA U.S. Large Value Portfolio
4.0%
STIT-Government & Agency Portfolio
0.9%
Top Sectors
(% of Net Assets)
Finance and Insurance
99.2%
Cash & Other
0.8%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Matson Money U.S. Equity VI Portfolio  PAGE 2  TSR-AR-74925K441
1000096081044311845141621247812475186261739019153229651000010036111841298015608158131920325548221552542432071100009968108451227915144140621501721905185001972823156100009812109911254914987140431480521245188292032224747

 
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Matson Money International Equity VI Portfolio
image
Class L | FMVIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Matson Money International Equity VI Portfolio (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$90
0.83%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund provided a total return of 17.23% at net asset value. This compares with a return of 19.45% 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 U.S.
As a result of the 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 Fund, are company size and company value/growth characteristics of the underlying fund holdings and broad exposure to emerging market equities.
International value stocks fared better than international growth stocks during the fiscal year. The MSCI EAFE Value Index increased by 20.38%, while the MSCI EAFE Small Cap Value Index returned 16.86% and the MSCI Emerging Markets Index returned 15.07%. Furthermore, the MSCI EAFE Small Cap Index returned 15.08% for the twelve months ended August 31, 2024, while the MSCI EAFE Index returned 19.40% for the same period.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Matson Money International Equity VI Portfolio Class L 10,000 9,450 9,292 9,233 8,977 8,930 9,491 9,302 9,816 9,820 9,593 9,412 8,820 8,404 8,910 8,796 8,641 8,035 7,895 8,565 8,857 8,709 8,452 8,929 9,038 9,206 9,178 9,070 9,306 9,712 9,803 10,023 10,226 10,420 10,536 10,967 11,017 11,290 11,460 11,526 11,836 12,471 11,836 11,695 11,874 11,534 11,214 11,465 11,142 11,189 10,175 10,137 9,550 10,271 10,443 10,351 10,651 9,913 10,452 10,191 9,847 10,209 10,594 10,722 11,208 10,626 9,739 7,706 8,422 8,810 9,106 9,309 9,864 9,600 9,337 10,806 11,496 11,406 12,034 12,458 12,798 13,308 13,058 13,015 13,213 12,930 13,256 12,496 13,140 13,085 12,880 12,834 12,137 12,423 11,184 11,581 11,144 10,031 10,532 11,816 11,736 12,699 12,383 12,420 12,710 12,109 12,689 13,305 12,860 12,554 12,052 12,917 13,575 13,318 13,612 14,221 14,029 14,717 14,301 14,856 15,075
MSCI WORLD ex USA Index (Net Dividends) 10,000 9,590 9,437 9,553 9,235 9,203 9,753 9,590 10,005 9,918 9,636 9,789 9,076 8,618 9,266 9,118 8,955 8,338 8,222 8,780 9,063 8,960 8,688 9,115 9,124 9,235 9,055 8,910 9,201 9,475 9,584 9,827 10,036 10,371 10,381 10,690 10,687 10,964 11,114 11,227 11,428 11,961 11,393 11,195 11,452 11,235 11,112 11,385 11,170 11,257 10,363 10,353 9,818 10,519 10,789 10,844 11,151 10,624 11,255 11,119 10,846 11,150 11,511 11,655 12,026 11,793 10,747 9,229 9,872 10,292 10,645 10,928 11,492 11,168 10,729 12,376 12,939 12,801 13,127 13,462 13,885 14,368 14,222 14,316 14,546 14,128 14,548 13,868 14,572 13,929 13,712 13,871 12,960 13,068 11,838 12,427 11,846 10,750 11,342 12,550 12,490 13,513 13,198 13,491 13,874 13,269 13,900 14,350 13,795 13,329 12,767 13,967 14,730 14,794 15,046 15,554 15,142 15,721 15,460 15,945 16,477
Composite Index1 10,000 9,480 9,378 9,405 9,121 9,144 9,642 9,499 9,993 9,882 9,640 9,586 8,907 8,513 9,115 8,935 8,829 8,173 8,090 8,785 8,997 8,869 8,656 9,121 9,203 9,351 9,248 9,016 9,266 9,599 9,777 10,023 10,302 10,627 10,657 11,078 11,144 11,368 11,581 11,689 11,963 12,677 12,125 11,906 12,093 11,758 11,506 11,741 11,475 11,523 10,574 10,646 10,145 10,908 11,090 11,121 11,406 10,747 11,331 11,176 10,784 11,119 11,562 11,666 12,212 11,808 10,816 9,093 9,807 10,182 10,581 10,973 11,540 11,265 10,999 12,578 13,309 13,338 13,685 13,902 14,299 14,694 14,513 14,349 14,651 14,201 14,435 13,701 14,295 13,830 13,575 13,541 12,730 12,823 11,642 12,033 11,667 10,456 10,794 12,063 12,093 13,036 12,640 12,799 13,021 12,517 13,045 13,646 13,091 12,721 12,142 13,212 13,919 13,717 13,963 14,446 14,226 14,678 14,549 15,045 15,398
Matson Money International Equity VI Portfolio  PAGE 1  TSR-AR-74925K433

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Matson Money International Equity VI Portfolio
17.23
8.89
4.19
MSCI WORLD ex USA Index (Net Dividends)
19.45
8.72
5.12
Composite Index1
17.63
7.38
4.41
1 Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index and MSCI Emerging Markets Free Index, each weighted 25%, respectively.
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$20,957,033
Number of Holdings
10
Net Advisory Fee
$103,360
Portfolio Turnover
6%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
DFA International Value Portfolio III
30.2%
DFA International Small Cap Value Portfolio
28.1%
VA International Small Portfolio
17.1%
iShares Core MSCI Emerging Markets ETF
5.2%
VA International Value Portfolio
5.0%
Emerging Markets Value Portfolio
4.8%
Emerging Markets Small Cap Portfolio
4.8%
iShares Core MSCI EAFE ETF
4.0%
STIT-Government & Agency Portfolio
0.9%
Top Sectors
(% of Net Assets)
Finance and Insurance
99.4%
Cash & Other
0.6%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Matson Money International Equity VI Portfolio  PAGE 2  TSR-AR-74925K433
1000088209038110171114298479864132131114412860150751000090769124106871117010846114921454611846137951647710000890792031114411475107841154014651116671309115398

 
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Matson Money Fixed Income VI Portfolio
image
Class L | FMVFX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Matson Money Fixed Income VI Portfolio (the “Fund”)  for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at http://funddocs.filepoint.com/matsonmoney/. You can also request this information by contacting us at 1-866-780-0357 Ext. 3863.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class L
$78
0.76%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the twelve months ended August 31, 2024 (the “period”) the Fund returned 6.12%. This compares with a return of 7.30% over the same period for the Fund’s benchmark, the Bloomberg U.S. Aggregate Bond Index.
The Fund focuses on assets that invest in high quality and shorter-term government and corporate fixed income assets, both in the U.S. as well as international.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Matson Money Fixed Income VI Portfolio Class L 10,000 9,964 9,996 10,028 9,986 10,091 10,031 10,047 10,043 10,035 9,999 10,015 9,995 10,035 10,019 9,991 9,960 10,044 10,064 10,100 10,100 10,080 10,168 10,184 10,160 10,168 10,140 10,032 10,033 10,054 10,078 10,082 10,115 10,135 10,119 10,147 10,179 10,147 10,147 10,123 10,120 10,067 10,038 10,059 10,042 10,079 10,083 10,087 10,128 10,100 10,087 10,112 10,180 10,260 10,277 10,373 10,390 10,457 10,524 10,540 10,633 10,612 10,628 10,628 10,641 10,730 10,790 10,611 10,773 10,837 10,884 10,939 10,930 10,926 10,926 10,960 10,984 10,963 10,894 10,864 10,886 10,898 10,911 10,971 10,954 10,894 10,847 10,860 10,837 10,712 10,644 10,446 10,291 10,325 10,196 10,351 10,179 9,964 9,973 10,123 10,074 10,213 10,113 10,265 10,300 10,274 10,274 10,304 10,318 10,261 10,252 10,439 10,605 10,627 10,600 10,658 10,605 10,681 10,734 10,873 10,949
Bloomberg U.S. Aggregate Bond Index1 10,000 9,932 10,030 10,101 10,110 10,322 10,225 10,273 10,236 10,211 10,100 10,170 10,156 10,224 10,226 10,199 10,166 10,306 10,379 10,474 10,514 10,517 10,706 10,774 10,761 10,755 10,673 10,420 10,435 10,456 10,526 10,520 10,601 10,683 10,672 10,718 10,814 10,763 10,769 10,755 10,805 10,680 10,579 10,647 10,568 10,643 10,630 10,633 10,701 10,632 10,548 10,611 10,806 10,921 10,914 11,124 11,127 11,324 11,466 11,492 11,789 11,727 11,762 11,756 11,748 11,974 12,189 12,118 12,333 12,391 12,469 12,655 12,553 12,546 12,490 12,612 12,630 12,539 12,358 12,204 12,300 12,340 12,427 12,566 12,542 12,433 12,430 12,467 12,435 12,167 12,031 11,697 11,253 11,326 11,148 11,420 11,098 10,618 10,481 10,866 10,817 11,150 10,862 11,138 11,205 11,083 11,044 11,036 10,965 10,687 10,518 10,994 11,415 11,384 11,223 11,327 11,041 11,228 11,334 11,599 11,765
FTSE World Government Bond Index 1-5 Yr Currency-Hedged USD 10,000 9,998 10,022 10,047 10,045 10,101 10,086 10,107 10,106 10,112 10,096 10,123 10,121 10,155 10,157 10,154 10,146 10,222 10,251 10,262 10,262 10,267 10,335 10,338 10,327 10,346 10,326 10,276 10,297 10,300 10,325 10,327 10,357 10,379 10,364 10,390 10,425 10,408 10,421 10,415 10,414 10,383 10,392 10,430 10,423 10,432 10,457 10,457 10,477 10,474 10,496 10,544 10,635 10,674 10,683 10,758 10,777 10,853 10,921 10,937 11,035 11,026 11,041 11,033 11,045 11,124 11,207 11,294 11,320 11,335 11,354 11,374 11,367 11,381 11,385 11,390 11,400 11,397 11,356 11,358 11,365 11,378 11,366 11,404 11,396 11,368 11,311 11,339 11,308 11,237 11,195 11,040 10,956 10,986 10,935 11,032 10,884 10,739 10,746 10,834 10,800 10,912 10,816 10,995 11,037 11,025 10,965 11,013 11,055 11,027 11,064 11,204 11,368 11,400 11,343 11,394 11,345 11,419 11,497 11,644 11,739
Composite Index2 10,000 9,973 10,021 10,056 10,045 10,150 10,101 10,132 10,122 10,120 10,082 10,111 10,107 10,151 10,142 10,122 10,107 10,195 10,229 10,267 10,281 10,276 10,375 10,394 10,377 10,384 10,351 10,236 10,242 10,258 10,288 10,289 10,329 10,364 10,356 10,385 10,431 10,403 10,403 10,389 10,405 10,347 10,315 10,353 10,320 10,368 10,369 10,371 10,416 10,389 10,377 10,423 10,534 10,589 10,595 10,701 10,714 10,825 10,903 10,908 11,055 11,031 11,063 11,058 11,066 11,177 11,300 11,356 11,433 11,461 11,489 11,547 11,520 11,521 11,499 11,534 11,542 11,515 11,449 11,394 11,430 11,451 11,465 11,524 11,514 11,470 11,444 11,459 11,438 11,321 11,263 11,075 10,911 10,964 10,884 11,000 10,853 10,644 10,599 10,771 10,769 10,924 10,796 10,980 11,030 10,982 10,949 10,973 10,980 10,896 10,865 11,091 11,300 11,323 11,255 11,318 11,213 11,325 11,403 11,568 11,682
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Matson Money Fixed Income VI Portfolio
6.12
0.59
0.91
Bloomberg U.S. Aggregate Bond Index1
7.30
-0.04
1.64
FTSE World Government Bond Index 1-5 Yr Currency-Hedged USD
6.19
1.25
1.62
Composite Index2
6.39
1.11
1.57
1 Effective with this report, and pursuant to new regulatory requirements, the Bloomberg U.S. Aggregate Bond Index replaced the FTSE World Government Bond Index 1-5 Years as the Fund’s primary benchmark to represent a broad-based securities market index.
2 The Composite Index is comprised of the Three-Month Treasury Bill Index, Bloomberg Barclays Intermediate Government/Credit Bond Index, ICE BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Bloomberg Barclays U.S. Capital Aggregate Bond Index, each weighted 25%, respectively.
Matson Money Fixed Income VI Portfolio  PAGE 1  TSR-AR-74925K425

 
Visit http://funddocs.filepoint.com/matsonmoney/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$25,753,004
Number of Holdings
11
Net Advisory Fee
$134,682
Portfolio Turnover
15%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
iShares 1-5 Year Investment Grade Corporate Bond ETF
24.1%
DFA Two-Year Global Fixed Income Portfolio
15.0%
iShares Core International Aggregate Bond ETF
15.0%
DFA One-Year Fixed Income Portfolio
11.5%
VA Global Bond Portfolio
10.0%
iShares 3-7 Year Treasury Bond ETF
6.0%
iShares 5-10 Year Investment Grade Corporate Bond ETF
6.0%
Dimensional Inflation-Protected Securities ETF
5.0%
iShares 1-3 Year Treasury Bond ETF
4.0%
VA Short-Term Fixed Income Portfolio
2.0%
Top Sectors
(% of Net Assets)
Finance and Insurance
98.7%
Cash & Other
1.3%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit http://funddocs.filepoint.com/matsonmoney/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-866-780-0357 Ext. 3863, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Matson Money Fixed Income VI Portfolio  PAGE 2  TSR-AR-74925K425
100009995101601017910128106331093010954101791031810949100001015610761108141070111789125531254211098109651176510000101211032710425104771103511367113961088411055117391000010107103771043110416110551152011514108531098011682

 
image
Motley Fool Global Opportunities ETF
image
TMFG (Principal U.S. Listing Exchange: CBOE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool Global Opportunities ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool Global Opportunities ETF
$94
0.85%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024, the Fund underperformed its benchmark, the FTSE Global All Cap Net Tax Index. Nevertheless, to us it was a strong year towards the Fund’s investment objective of capital appreciation.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund enjoys a global investing universe to pursue ownership of high quality businesses. But during the period, what seemed to us to matter most was geographic exposure. US stocks performed remarkably well and far outpaced non-US stocks, even though both developed international and emerging market stocks turned in healthy positive returns.
The Fund’s relative positioning worked against it, as our portfolio had a lower US weighting and higher international weighting than the benchmark. With fewer than 40 holdings, the Fund’s sector and security exposures were significantly different than the benchmark index.   Notably, the lower exposure to the Information Technology sector, stock selection in the Health Care sector contributed negatively to Fund performance, while stock selection in the Consumer Staples sector positively contributed to performance.
A FUN FACT ABOUT THE PORTFOLIO!
As of August 31, 2024, the Fund’s top five holdings (Axon Enterprise, Inc., Amazon.com, Inc., Waste Connections, Inc., ICON PLC, and Watsco, Inc.) have been held in the portfolio an average of more than six years (we think demonstrating our long-term orientation, but you can decide!).
Top Contributors
Axon Enterprise, Inc. (NasdaqGS:AXON)
International Container Terminal Services, Inc. (PSE:ICT)
Taiwan Semiconductor Manufacturing Company Ltd. (NYSE:TSM)
Top Detractors
Yum China Holdings, Inc. (NYSE:YUMC)
Paycom Software, Inc. (NYSE:PAYC)
Atlassian Corp. (NasdaqGS:TEAM)
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool Global Opportunities ETF  PAGE 1  TSR-AR-74933W635

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  06/17/2014 06/30/2014 07/31/2014 08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool Global Opportunities ETF ** (at Net Asset Value) 10,000 10,117 10,081 10,050 10,317 10,400 10,145 10,147 10,570 10,378 10,583 10,614 10,649 10,807 9,651 10,219 10,246 10,004 9,292 9,227 9,940 9,940 9,907 9,974 10,284 10,533 10,267 10,213 10,293 10,705 10,881 11,156 11,695 12,209 12,192 12,477 12,579 13,100 13,517 13,442 14,829 14,581 14,434 14,109 14,298 14,286 14,516 15,231 13,459 13,879 12,926 13,965 14,735 15,216 16,133 15,434 16,281 16,512 15,767 15,902 16,730 16,984 17,185 16,307 14,068 15,871 17,359 18,110 19,377 19,544 19,759 22,199 23,103 22,981 23,739 23,002 24,403 23,917 24,810 25,461 25,482 26,240 24,453 24,979 22,862 21,831 22,554 20,060 19,348 17,867 19,628 17,266 17,790 19,106 17,885 20,023 19,291 20,001 20,075 19,784 20,835 21,466 20,411 19,697 21,549 22,907 22,865 24,227 24,951 23,661 24,098 24,251 24,873
Motley Fool Global Opportunities ETF (at Market Price) 10,000 10,117 10,081 10,050 10,317 10,400 10,145 10,147 10,570 10,378 10,583 10,614 10,649 10,807 9,651 10,219 10,246 10,004 9,292 9,227 9,940 9,940 9,907 9,974 10,284 10,533 10,267 10,213 10,293 10,705 10,881 11,156 11,695 12,209 12,192 12,477 12,579 13,100 13,517 13,442 14,829 14,581 14,434 14,109 14,298 14,286 14,516 15,231 13,459 13,879 12,926 13,965 14,735 15,216 16,133 15,434 16,281 16,512 15,767 15,902 16,730 16,984 17,185 16,307 14,068 15,871 17,359 18,110 19,377 19,544 19,759 22,199 23,103 22,981 23,739 23,002 24,403 23,917 24,810 25,461 25,482 26,240 24,453 24,824 22,835 21,512 22,550 19,941 19,307 17,829 19,539 17,217 17,744 19,015 17,835 19,968 19,269 19,977 20,062 19,752 20,812 21,458 20,383 19,658 21,521 22,870 22,845 24,201 24,917 23,659 24,077 24,185 24,810
FTSE Global All Cap (Fair Value 16.00) Net Tax (US RIC) Index 10,000 10,096 9,922 9,821 9,925 10,044 9,863 9,732 10,282 10,148 10,427 10,455 10,222 10,267 9,264 9,927 9,890 9,690 9,146 9,049 9,737 9,872 9,919 9,890 10,300 10,428 10,220 10,345 10,547 10,854 11,145 11,297 11,478 11,706 11,778 12,099 12,404 12,663 12,911 13,122 13,826 13,221 13,042 13,115 13,181 13,098 13,486 13,625 12,566 12,776 11,849 12,815 13,160 13,314 13,773 12,944 13,782 13,777 13,775 14,154 14,513 15,027 14,801 13,686 11,672 12,952 13,619 14,045 14,753 15,173 14,839 16,693 17,538 17,468 17,949 18,434 19,217 19,522 19,759 19,869 19,509 20,503 19,955 20,737 19,782 19,261 19,597 18,045 18,127 16,611 17,785 15,455 16,425 17,803 17,031 18,307 17,744 18,233 18,480 18,272 19,335 20,048 18,668 18,110 19,748 20,770 20,774 21,715 22,396 21,611 22,565 22,942 23,429
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
10 Years
Motley Fool Global Opportunities ETF (at Net Asset Value)**
21.00
9.88
9.50
Motley Fool Global Opportunities ETF (at Market Price)
20.86
9.83
9.47
FTSE Global All Cap (Fair Value 16.00) Net Tax (US RIC) Index
23.13
12.21
8.95
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** The 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.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$440,462,472
Number of Holdings
40
Net Advisory Fee
$3,631,316
Portfolio Turnover
38%
30-Day SEC Yield
0.61%
30-Day SEC Yield Unsubsidized
0.61%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Axon Enterprise, Inc.
5.5%
Amazon.com, Inc.
4.6%
Waste Connections, Inc.
4.3%
ICON PLC
3.9%
Watsco, Inc.
3.7%
Alphabet, Inc.
3.5%
Mastercard, Inc.
3.5%
Nintendo Co. Ltd.
3.4%
Costco Wholesale Corp.
3.3%
Rentokil Initial PLC
3.3%
Top Sectors
(% of Net Assets)
Industrials
24.5%
Communication Services
18.0%
Consumer Discretionary
12.7%
Financials
10.9%
Health Care
10.2%
Real Estate
7.2%
Information Technology
5.7%
Consumer Staples
5.4%
Materials
2.2%
Cash & Other
3.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
Motley Fool Global Opportunities ETF  PAGE 2  TSR-AR-74933W635

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool Global Opportunities ETF  PAGE 3  TSR-AR-74933W635
104069999104561252415337160952022126461191552130725782104069999104561252415337160952022126461191452128725726101809594103471215213595134851563420344170941947923984

 
image
Motley Fool Mid-Cap Growth ETF
image
TMFM (Principal U.S. Listing Exchange: CBOE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool Mid-Cap Growth ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool Mid-Cap Growth ETF
$93
0.85%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024 (the “period”), the Fund outperformed its benchmark, the Russell Midcap Growth Total Return Index. Importantly, it was a strong year towards the Fund’s investment objective of capital appreciation.
WHAT FACTORS INFLUENCED PERFORMANCE?
A primary driver of US stock returns for the period was size: generally speaking, the bigger the company, the better the returns. In absolute, the return of middle-sized stocks (mid-caps) was strong. Although mid-caps did not keep pace with large- or mega-cap stocks, they outpaced small-caps.
On balance, both sector weightings and stock selection contributed to the Fund’s outperformance. The most notable drivers of portfolio returns came from the Health Care and Real Estate sectors. While the Fund was marginally underweight its benchmark in Health Care, our average returns within the sector were nearly triple that of the benchmarks. The opposite played out in Real Estate, where the Fund is considerably overweight relative to the benchmark and our holdings performed dramatically worse than the benchmarks. With only 30 holdings, these types of deviations don’t surprise us.
A FUN FACT ABOUT THE PORTFOLIO!
At August 31, 2024, the Fund held the stock of 30 companies. 27 of 30 generated positive operating profits over their most recently reported twelve months and 29 of 30 generated positive operating cash flows.
Top Contributors
Axon Enterprise, Inc. (NasdaqGS:AXON)
Brown & Brown, Inc. (NYSE:BRO)
Tyler Technologies, Inc. (NYSE:TYL)
Top Detractors
Paycom Software, Inc. (NYSE:PAYC)
Jones Lang LaSalle Inc. (NYSE:JLL)
Payloity Holding Corp. (NasdaqGS:PCTY)
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool Mid-Cap Growth ETF  PAGE 1  TSR-AR-74933W627

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  06/17/2014 06/30/2014 07/31/2014 08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool Mid-Cap Growth ETF (at Net Asset Value) † 10,000 10,116 9,932 9,905 10,371 10,628 10,697 10,509 11,153 11,215 10,968 11,058 11,054 11,154 9,969 10,483 10,684 10,407 9,569 9,672 10,381 10,230 10,325 10,251 10,743 10,663 10,286 11,202 11,196 11,268 11,599 11,481 11,751 11,738 12,276 12,303 12,962 13,620 14,441 14,488 15,287 15,009 15,003 14,707 15,080 15,038 15,257 16,080 13,890 14,311 12,865 14,128 14,703 14,810 15,591 14,691 15,591 15,879 15,153 15,404 16,591 16,776 17,530 16,544 14,136 15,790 17,688 18,436 19,600 19,044 19,203 21,307 22,258 22,265 22,479 21,793 23,033 22,265 23,136 23,838 23,653 25,122 23,122 23,403 20,944 20,460 21,104 18,657 17,972 16,852 18,496 16,612 17,201 17,844 16,915 18,523 17,970 17,841 18,060 17,524 18,915 19,686 18,824 18,042 19,131 20,598 20,190 21,395 22,037 20,774 21,324 21,395 23,015
Motley Fool Mid-Cap Growth ETF (at Market Price) † 10,000 10,116 9,932 9,905 10,371 10,628 10,697 10,509 11,153 11,215 10,968 11,058 11,054 11,154 9,969 10,483 10,684 10,407 9,569 9,672 10,381 10,230 10,325 10,251 10,743 10,663 10,286 11,202 11,196 11,268 11,599 11,481 11,751 11,738 12,276 12,303 12,962 13,620 14,441 14,488 15,287 15,009 15,003 14,707 15,080 15,038 15,257 16,080 13,890 14,311 12,865 14,128 14,703 14,810 15,591 14,691 15,591 15,879 15,153 15,404 16,591 16,776 17,530 16,544 14,136 15,790 17,688 18,436 19,600 19,044 19,203 21,307 22,258 22,265 22,479 21,793 23,033 22,265 23,136 23,838 23,653 25,122 23,122 23,277 20,916 20,434 21,024 18,744 17,959 16,786 18,419 16,578 17,179 17,714 16,909 18,459 17,951 17,832 18,055 17,518 18,932 19,671 18,818 18,030 19,132 20,582 20,149 21,406 22,038 20,771 21,278 21,361 23,005
Russell 3000 Total Return Index ** 10,000 10,110 9,911 10,111 10,389 10,641 10,641 10,345 10,944 10,833 10,882 11,032 10,848 11,029 10,061 10,856 10,916 10,692 10,089 10,086 10,796 10,862 11,057 11,080 11,519 11,567 11,317 11,823 12,054 12,281 12,737 12,746 12,881 13,013 13,130 13,378 13,731 14,030 14,456 14,601 15,370 14,804 14,507 14,562 14,973 15,071 15,571 16,144 14,956 15,255 13,835 15,023 15,551 15,778 16,408 15,347 16,424 16,669 16,615 16,973 17,618 18,127 18,107 16,625 14,338 16,237 17,106 17,497 18,490 19,108 18,696 20,970 21,913 21,816 22,498 23,304 24,505 24,617 25,224 25,651 25,199 26,903 26,493 27,537 25,916 25,264 26,083 23,742 23,710 21,727 23,765 20,757 22,459 23,631 22,248 23,780 23,224 23,845 24,099 24,193 25,845 26,771 25,004 24,341 26,611 28,022 28,333 29,867 30,830 29,473 30,866 31,822 32,413
Russell Midcap Growth Total Return Index 10,000 10,131 9,829 10,058 10,335 10,675 10,645 10,465 11,186 11,217 11,138 11,271 11,089 11,269 10,203 10,845 10,869 10,623 9,819 9,973 10,685 10,678 10,854 10,852 11,389 11,350 10,889 11,362 11,402 11,782 12,121 12,188 12,369 12,664 12,702 12,914 13,373 13,747 14,206 14,283 15,091 14,617 14,594 14,456 14,996 15,054 15,378 16,195 14,591 14,962 13,604 15,168 16,057 16,274 17,006 16,027 17,153 17,553 17,037 17,353 18,217 18,430 18,602 17,320 14,737 17,044 18,756 19,196 20,730 20,995 21,021 23,845 24,988 24,905 25,330 24,847 26,243 25,842 27,598 27,883 27,389 29,309 28,071 28,169 24,534 24,236 24,625 21,853 21,007 19,436 21,815 19,309 20,827 21,960 20,642 22,443 22,222 22,528 22,202 22,215 23,932 24,656 22,682 21,525 24,151 25,981 25,842 27,784 28,449 26,797 27,082 27,535 27,702
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
10 Years
Motley Fool Mid Cap Growth ETF (at Net Asset Value)
18.95
8.69
8.50
Motley Fool Mid Cap Growth ETF (at Market Price)
19.06
8.67
8.49
Russell 3000 Total Return Index**
26.14
15.19
12.36
Russell Midcap Growth Total Return Index
19.07
10.50
10.61
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Index replaced the Russell Midcap Growth Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
The 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.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$203,138,972
Number of Holdings
31
Net Advisory Fee
$1,633,412
Portfolio Turnover
31%
30-Day SEC Yield
-0.01%
30-Day SEC Yield Unsubsidized
-0.01%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Brown & Brown, Inc.
6.3%
Axon Enterprise, Inc.
6.0%
Tyler Technologies, Inc.
5.9%
Broadridge Financial Solutions, Inc.
4.8%
Goosehead Insurance, Inc.
4.5%
StoneX Group, Inc.
3.8%
Globus Medical, Inc.
3.7%
Cooper Cos., Inc.
3.7%
RXO, Inc.
3.7%
SBA Communications Corp.
3.6%
Top Sectors
(% of Net Assets)
Industrials
30.3%
Health Care
21.4%
Financials
20.3%
Information Technology
11.1%
Real Estate
7.7%
Consumer Discretionary
5.1%
Materials
2.5%
Cash & Other
1.6%
Motley Fool Mid-Cap Growth ETF  PAGE 2  TSR-AR-74933W627

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool Mid-Cap Growth ETF  PAGE 3  TSR-AR-74933W627
1026710494107631241216275153041970624510179751951623213102671049410763124121627515304197062451017930194812319410327103631154913404161181632919830263822287826255331191035810613113561300516264172342129428783211002384428390

 
image
Motley Fool 100 Index ETF
image
TMFC (Principal U.S. Listing Exchange: CBOE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool 100 Index ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool 100 Index ETF
$58
0.50%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024, the Fund outperformed its benchmark, the S&P 500 Total Return Index (the “S&P 500”), and closely tracked its underlying index, the Motley Fool 100 Index.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund invests in US stocks, which had a very strong twelve months. Looking more closely at US stocks, performance of the largest companies -- often referred to as “mega caps” -- was even better. The Fund follows the Motley Fool 100 Index that is market cap weighted, which resulted in a high exposure to mega caps which helped returns. It was a good year for mega caps and the Fund was largely invested in mega caps.
Another factor that contributed to performance was the Fund’s sector exposures. The Fund had, on average, more than 40% of assets invested in the Information Technology sector, compared to roughly 30% for the S&P 500. This hefty weighting helped returns, as did the sector’s strong performance in general. Tech was the strongest performing sector in the S&P 500. The worst performing sector in the S&P 500 was Energy, and the Fund had, on average, less than a 1% weighting during the year in the energy sector.
A FUN FACT ABOUT THE PORTFOLIO!
Six of the top ten holdings, as of August 31, 2024, were top ten holdings when the Fund’s inception more than six years ago, in January 2018 (Apple, Microsoft, Alphabet, Amazon, Meta Platforms, and Berkshire Hathaway).
Top Contributors
NVDIA Corp. (NasdaqGS:NVDA)
Microsoft Corp. (NasdaqGS:MSFT)
Meta Platforms, Inc. (NasdaqGS:META)
Top Detractors
Tesla, Inc. (NasdaqGS:TSLA)
Oracle Corp. (NYSE:ORCL)
Johnson & Johnson (NYSE:JNJ)
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool 100 Index ETF  PAGE 1  TSR-AR-74933W601

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  01/29/2018 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool 100 Index ETF (at Net Asset Value) 10,000 9,942 9,745 9,393 9,539 9,940 10,056 10,420 11,077 10,211 10,310 9,405 10,196 10,444 10,733 11,291 10,517 11,225 11,472 11,301 11,712 12,251 12,624 13,030 12,197 11,165 12,781 13,556 14,161 15,225 16,110 15,505 17,095 17,878 17,787 17,808 18,077 19,276 19,025 20,075 20,661 20,209 21,904 21,985 22,399 20,723 19,787 20,757 18,143 17,694 16,248 18,222 15,616 16,283 16,977 15,577 17,005 16,801 18,068 18,414 19,473 20,784 21,528 20,098 19,869 22,019 22,855 23,429 24,940 25,372 24,320 25,849 27,518 27,400
Motley Fool 100 Index ETF (at Market Price) 10,000 9,960 9,770 9,410 9,560 9,950 10,070 10,425 11,070 10,230 10,280 9,377 10,197 10,438 10,710 11,319 10,509 11,188 11,475 11,299 11,716 12,265 12,630 13,019 12,180 11,133 12,777 13,520 14,157 15,178 16,123 15,552 17,130 17,934 17,792 17,868 18,076 19,275 19,077 20,097 20,696 20,244 21,930 21,991 22,471 20,703 19,799 20,804 18,175 17,656 16,216 18,215 15,633 16,297 16,908 15,540 16,999 16,785 18,081 18,372 19,495 20,791 21,521 20,082 19,863 22,024 22,848 23,415 24,960 25,385 24,346 25,871 27,539 27,411
S&P 500 Total Return Index 10,000 9,897 9,532 9,290 9,325 9,550 9,609 9,966 10,350 9,642 9,839 8,950 9,668 9,978 10,172 10,584 9,911 10,610 10,762 10,790 11,024 11,424 11,769 11,764 10,796 9,462 10,675 11,184 11,406 12,049 12,425 12,094 13,418 13,934 13,793 14,174 14,794 15,584 15,693 16,059 16,441 16,153 17,284 17,164 17,934 17,006 16,497 17,109 15,617 15,646 14,354 15,678 13,653 14,759 15,584 14,686 15,609 15,228 15,787 16,033 16,103 17,167 17,718 16,605 16,256 17,740 18,546 18,858 19,865 20,504 19,667 20,642 21,382 21,643
Motley Fool 100 Index 10,000 9,941 9,738 9,391 9,541 9,948 10,067 10,436 11,104 10,242 10,346 9,441 10,243 10,495 10,791 11,357 10,582 11,300 11,555 11,391 11,812 12,362 12,743 13,160 12,321 11,278 12,917 13,707 14,325 15,411 16,319 15,714 17,335 18,138 18,053 18,083 18,363 19,591 19,344 20,421 21,028 20,584 22,321 22,411 22,848 21,148 20,199 21,198 18,532 18,084 16,609 18,636 15,981 16,672 17,394 15,968 17,440 17,237 18,545 18,908 20,004 21,360 22,135 20,680 20,447 22,650 23,523 24,124 25,692 26,151 25,076 26,664 28,400 28,277
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(01/29/2018)
Motley Fool 100 Index ETF (at Net Asset Value)
32.61
20.03
17.02
Motley Fool 100 Index ETF (at Market Price)
32.54
20.05
17.00
S&P 500 Total Return Index
27.14
15.92
12.85
Motley Fool 100 Index
33.25
20.64
17.61
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$969,884,838
Number of Holdings
102
Net Advisory Fee
$3,573,161
Portfolio Turnover
24%
30-Day SEC Yield
0.22%
30-Day SEC Yield Unsubsidized
0.22%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Apple, Inc.
9.7%
Microsoft Corp.
8.5%
NVIDIA Corp.
7.9%
Alphabet, Inc.
5.6%
Amazon.com, Inc.
5.1%
Meta Platforms, Inc.
4.7%
Berkshire Hathaway, Inc.
4.7%
Eli Lilly & Co.
3.5%
Broadcom, Inc.
3.1%
Tesla, Inc.
2.9%
Top Sectors
(% of Net Assets)
Information Technology
38.3%
Financials
15.0%
Communication Services
13.9%
Consumer Discretionary
12.7%
Health Care
11.8%
Industrials
3.7%
Consumer Staples
1.9%
Real Estate
1.4%
Materials
0.8%
Cash & Other
0.5%
Material Fund Changes
This is a summary of certain changes to the Fund since February 29, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://fooletfs.com/our-funds or upon request at 1-703-302-1100.
Motley Fool 100 Index ETF  PAGE 2  TSR-AR-74933W601

 
The Fund seeks investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool 100 Index (“Index”). The Motley Fool, LLC, the sponsor of the Index, has announced an index methodology revision for the Index to address certain diversification requirements under Section 851 of the Internal Revenue Code of 1986, as amended. The revised index methodology was implemented with respect to the Index effective June 1, 2024. For more information, please see the Fund’s Prospectus and Summary Prospectus.
 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool 100 Index ETF  PAGE 3  TSR-AR-74933W601
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Motley Fool Small-Cap Growth ETF
image
TMFS (Principal U.S. Listing Exchange: CBOE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool Small-Cap Growth ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool Small-Cap Growth ETF
$90
0.85%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024 (the “period”), the Fund underperformed its benchmark, the Russell 2000 Growth Total Return Index. Importantly, the Fund made proress towards its investment objective of capital appreciation.
WHAT FACTORS INFLUENCED PERFORMANCE?
While small cap stocks failed to keep up with the blistering performance of their larger brethren, and while there were three 10% peak-to-trough declines in the Russell 2000 Growth Total Return Index, it was still a healthy 12-month showing for smaller companies. Nine of 11 sectors increased in value (Utilities and Energy were the laggards) with six up more than 15%.
The Fund benefitted from this rising tide. The Fund’s performance was acutely impacted by the poor performance of a few individual holdings, notably in the Consumer Discretionary and Information Technology sectors. In a portfolio of only 35 or so holdings, a few negative performers can have a big impact. While concentration works both ways, it was a detractor during this period, and the Fund’s stronger performance in the Financials and Industrials sectors were not enough to overcome it.
A FUN FACT ABOUT THE PORTFOLIO!
Of the 34 stocks that the Fund holds at period end, insiders at the company own an average of 4.7% of the outstanding shares. Over 70% of the Fund’s holdings have insider ownership greater than 1%.
Top Contributors
Q2 Holdings, Inc. (NYSE:QTWO)
Axon Enterprise, Inc. (NasdaqGS:AXON)
Leonardo DRS, Inc. (NasdaqGS:DRS)
Top Detractors
Fox Factory Holding Corp. (NasdaqGS:FOXF)
Inari Medical (NasdaqGS:NARI)
Wolfspeed, Inc. (NYSE:WOLF)
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool Small-Cap Growth ETF  PAGE 1  TSR-AR-74933W874

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  10/29/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool Small-Cap Growth ETF (at Net Asset Value) 10,000 10,371 10,496 9,413 10,628 11,834 11,600 11,916 11,116 12,034 12,288 11,239 11,560 12,996 13,021 13,510 12,990 10,718 12,457 14,047 14,577 15,284 15,553 16,323 18,924 20,560 21,103 21,953 20,086 20,987 20,045 21,362 21,200 20,937 21,309 19,514 20,090 17,473 16,991 17,040 15,228 14,084 12,880 13,724 12,747 13,305 13,751 13,463 14,997 14,602 14,737 14,996 14,697 15,802 16,601 15,340 14,273 15,059 16,847 16,100 16,966 17,530 16,190 17,035 17,127 18,565
Motley Fool Small-Cap Growth ETF (at Market Price) 10,000 10,395 10,525 9,405 10,625 11,860 11,585 11,917 11,135 12,050 12,290 11,250 11,540 13,012 13,006 13,515 12,996 10,559 12,433 13,986 14,500 15,232 15,562 16,309 19,045 20,598 21,122 21,982 20,047 20,983 20,058 21,378 21,223 20,916 21,341 19,484 20,104 17,433 16,956 17,073 15,205 14,076 12,772 13,698 12,742 13,301 13,651 13,442 14,952 14,585 14,674 14,951 14,684 15,796 16,575 15,324 14,259 15,043 16,856 16,114 16,969 17,524 16,183 17,012 17,104 18,549
Russell 3000 Total Return Index ** 10,000 10,271 10,477 9,502 10,318 10,681 10,836 11,269 10,540 11,280 11,448 11,411 11,657 12,100 12,450 12,436 11,418 9,848 11,152 11,748 12,017 12,699 13,123 12,840 14,402 15,050 14,983 15,451 16,005 16,830 16,907 17,324 17,617 17,306 18,477 18,195 18,912 17,799 17,351 17,914 16,306 16,284 14,922 16,322 14,256 15,425 16,230 15,280 16,332 15,950 16,377 16,551 16,616 17,750 18,386 17,173 16,717 18,276 19,246 19,459 20,512 21,174 20,242 21,199 21,855 22,261
Russell 2000 Growth Total Return Index 10,000 10,313 10,474 9,250 10,318 10,985 10,836 11,166 10,338 11,134 11,243 10,669 10,973 11,619 11,885 11,754 10,905 8,823 10,137 11,095 11,521 11,917 12,346 12,440 14,633 16,001 16,772 17,326 16,781 17,147 16,657 17,438 16,803 16,453 17,223 16,382 16,455 14,249 14,311 14,377 12,613 12,375 11,609 12,908 11,637 12,741 12,949 12,118 13,323 13,179 12,853 12,704 12,706 13,760 14,403 12,753 11,769 12,841 14,378 13,917 15,048 15,469 14,278 15,042 15,017 16,246
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(10/29/2018)
Motley Fool Small-Cap Growth ETF (at Net Asset Value)
11.87
8.99
10.53
Motley Fool Small-Cap Growth ETF (at Market Price)
11.77
8.96
10.51
Russell 3000 Total Return Index**
26.14
15.19
15.11
Russell 2000 Growth Total Return Index
17.67
8.35
8.46
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report and pursuant to new regulatory requirements, the Russell 3000 Index replaced the Russell 2000 Growth Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$78,248,680
Number of Holdings
35
Net Advisory Fee
$665,835
Portfolio Turnover
30%
30-Day SEC Yield
-0.32%
30-Day SEC Yield Unsubsidized
-0.32%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Globus Medical, Inc.
4.8%
Axon Enterprise, Inc.
4.4%
Leonardo DRS, Inc.
4.3%
Alarm.com Holdings, Inc.
4.3%
Goosehead Insurance, Inc.
4.2%
RXO, Inc.
4.2%
Ultragenyx Pharmaceutical, Inc.
3.8%
Smartsheet, Inc.
3.7%
Watsco, Inc.
3.6%
GXO Logistics, Inc.
3.6%
Top Sectors
(% of Net Assets)
Industrials
26.8%
Health Care
22.1%
Information Technology
21.0%
Financials
14.2%
Consumer Discretionary
7.3%
Energy
3.3%
Real Estate
2.6%
Consumer Staples
2.1%
Cash & Other
0.6%
Motley Fool Small-Cap Growth ETF  PAGE 2  TSR-AR-74933W874

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool Small-Cap Growth ETF  PAGE 3  TSR-AR-74933W874
116651651521799138081603617940116691655621777137991603717925112151361918119157131803122746107581261617109127871365316066

 
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Motley Fool Capital Efficiency 100 Index ETF
image
TMFE (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool Capital Efficiency 100 Index ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
This report describes changes to the Fund that occurred during the reporting period.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool Capital Efficiency 100 Index ETF
$59
0.50%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024, the Fund outperformed its benchmark, the S&P 500 Total Return Index (the “S&P 500”), and closely tracked its underlying index, The Motley Fool Capital Efficiency 100 Index.
WHAT FACTORS INFLUENCED PERFORMANCE?
The Fund invests in US stocks, which had a very strong twelve months. Looking more closely at US stocks, performance of the largest companies -- often referred to as “mega caps” -- was even better. As it was, the Fund benefitted from considerable exposure to mega caps, as more than 75% of assets were invested in stocks with a market cap greater than $100 billion.
Both sector exposures and individual position weightings contributed positively to performance. This means that, in aggregate, the sector over- and underweights, and position over- and underweights boosted returns. More specifically, investments in the Information Technology and Communication Services sectors provided the strongest tailwinds, while investments in the Financials and Health Care sectors created headwinds, at least when compared to the S&P 500.
A FUN FACT ABOUT THE PORTFOLIO!
The Fund aims to track the Motley Fool Capital Efficiency Index that borrows from the academic research on the gross profitability premium published by Robert Novy-Marx at the University of Rochester.
Top Contributors
NVIDIA Corp. (NasdaqGS:NVDA)
Meta Platforms, Inc. (NasdaqGS:META)
Broadcom Inc. (NasdaqGS:AVGO)
Top Detractors
Oracle Corp. NYSE:ORCL)
Johnson & Johnson (NYSE:JNJ)
VMware LLC (NYSE:VMW)
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool Capital Efficiency 100 Index ETF  PAGE 1  TSR-AR-74933W643

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  12/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool Capital Efficiency 100 Index ETF (at Net Asset Value) 10,000 9,947 9,183 8,739 9,007 8,039 7,970 7,335 8,144 6,926 7,307 7,817 7,396 7,954 7,723 8,266 8,470 8,772 9,367 9,674 9,128 9,094 10,000 10,434 10,845 11,532 11,708 11,132 11,719 12,431 12,434
Motley Fool Capital Efficiency 100 Index ETF (at Market Price) 10,000 9,964 9,207 8,748 9,190 8,049 8,050 7,296 8,114 6,944 7,303 7,750 7,390 7,931 7,720 8,265 8,465 8,772 9,380 9,664 9,126 9,096 10,001 10,428 10,867 11,578 11,764 11,145 11,706 12,435 12,516
S&P 500 Total Return Index 10,000 9,974 9,458 9,175 9,516 8,686 8,702 7,983 8,720 7,594 8,208 8,667 8,168 8,681 8,469 8,780 8,917 8,956 9,548 9,854 9,235 9,041 9,867 10,315 10,488 11,048 11,404 10,938 11,480 11,892 12,037
Motley Fool Capital Efficiency 100 - Total Return Index 10,000 9,949 9,184 8,738 9,011 8,039 7,979 7,334 8,148 6,933 7,319 7,835 7,416 7,980 7,751 8,300 8,508 8,816 9,419 9,732 9,188 9,152 10,049 10,494 10,914 11,615 11,798 11,220 11,818 12,541 12,550
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(12/30/2021)
Motley Fool Capital Efficiency 100 Index ETF (at Net Asset Value)
34.44
10.01
Motley Fool Capital Efficiency 100 Index ETF (at Market Price)
34.34
10.06
S&P 500 Total Return Index
27.14
8.16
Motley Fool Capital Efficiency 100 - Total Return Index
34.89
10.41
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$47,326,338
Number of Holdings
100
Net Advisory Fee
$170,046
Portfolio Turnover
35%
30-Day SEC Yield
0.24%
30-Day SEC Yield Unsubsidized
0.24%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
UnitedHealth Group, Inc.
5.6%
Eli Lilly & Co.
5.0%
Mastercard, Inc.
5.0%
Apple, Inc.
4.9%
Meta Platforms, Inc.
4.8%
Costco Wholesale Corp.
4.8%
Visa, Inc.
4.7%
Home Depot, Inc.
4.7%
Amazon.com, Inc.
4.5%
Microsoft Corp.
4.3%
Top Sectors
(% of Net Assets)
Information Technology
32.7%
Health Care
19.3%
Communication Services
13.4%
Consumer Discretionary
11.6%
Financials
10.5%
Consumer Staples
5.6%
Industrials
4.5%
Materials
2.2%
Cash & Other
0.2%
Material Fund Changes
This is a summary of certain changes to the Fund since February 29, 2024. For more complete information, you may review the Fund’s next prospectus, which we expect to be available by December 31, 2024 at https://fooletfs.com/our-funds or upon request at 1-703-302-1100.
Motley Fool Capital Efficiency 100 Index ETF  PAGE 2  TSR-AR-74933W643

 
The Fund seeks investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool Capital Efficiency 100 Index (“Index”). The Motley Fool, LLC, the sponsor of the Index, has announced an index methodology revision for the Index to address certain diversification requirements under Section 851 of the Internal Revenue Code of 1986, as amended. The revised index methodology was implemented with respect to the Index effective June 1, 2024. For more information, please see the Fund’s Prospectus and Summary Prospectus.
 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool Capital Efficiency 100 Index ETF  PAGE 3  TSR-AR-74933W643
7687959412898769196131291483649698123297693965613025

 
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Motley Fool Next Index ETF
image
TMFX (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Motley Fool Next Index ETF (the “Fund”) for the period of September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://fooletfs.com/our-funds. You can also request this information by contacting us at 1-703-302-1100.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Motley Fool Next Index ETF
$54
0.50%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024 (the “period”), the Fund underperformed its benchmark, the Russell Midcap Growth Total Return Index, and closely tracked its underlying index, the Motley Fool Next Index (the “Index”).
WHAT FACTORS INFLUENCED PERFORMANCE?
A primary driver of US stock returns for the period was size: generally speaking, the bigger the company, the better the returns. In absolute, the return of middle sized stocks (mid-caps) was strong. Although mid-caps did not keep pace with large- or mega-cap stocks, they outpaced small-caps. The Fund’s holdings, as measured by median market cap, are about half as large as the Russell Midcap Growth Index, which turned out to hurt the relative comparison for the year.
The index that underlies the Fund, the Motley Fool Next Index, consists of stocks that are actively recommended or are high conviction picks from the research team at The Motley Fool, LLC, the sponsor of the Index. Therefore, security selection will often be an important explanatory factor in performance, and it was so this period. On average, the securities selected underperformed the index constituents, most notably in the Communication Services sector. Security selection in the Health Care sector did positively contribute to relative returns, but not enough to overcome shortcomings in other sectors.
A FUN FACT ABOUT THE PORTFOLIO!
At August 31, 2024, the Fund held the stock of 197 companies headquartered across 35 US states and Washington, DC. It probably isn’t surprising that the highest concentration resides in California (51 companies), but it might be surprising that Massachusetts is next in line (18 companies).
Top Contributors
Fair Isaac Corp. (NYSE:FICO)
GoDaddy Inc. (NYSE:GDDY)
Axon Enterprise, Inc. (NasdaqGS:AXON)
Top Detractors
Paycom Software, Inc. (NYSE:PAYC)
Unity Software Inc. (NYSE:U)
Celsius Holdings, Inc. (NasdaqGS:CELH)
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
Motley Fool Next Index ETF  PAGE 1  TSR-AR-74933W650

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  12/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Motley Fool Next Index ETF (at Net Asset Value) 10,000 9,947 8,838 8,756 8,720 7,683 7,412 6,869 7,619 6,795 7,308 7,611 7,173 7,916 7,643 7,637 7,437 7,433 8,025 8,295 7,401 6,867 7,659 8,459 8,204 8,644 8,813 8,299 8,577 8,684 8,933
Motley Fool Next Index ETF (at Market Price) 10,000 9,975 8,860 8,766 8,735 7,675 7,420 6,855 7,615 6,760 7,307 7,591 7,166 7,897 7,641 7,617 7,433 7,431 8,030 8,287 7,401 6,870 7,662 8,452 8,191 8,633 8,814 8,303 8,563 8,628 8,931
Russell 3000 Total Return Index ** 10,000 9,973 9,386 9,149 9,446 8,599 8,587 7,869 8,607 7,517 8,134 8,558 8,057 8,612 8,411 8,636 8,728 8,762 9,360 9,696 9,055 8,815 9,637 10,149 10,261 10,817 11,165 10,674 11,178 11,525 11,739
Russell Midcap Growth Total Return Index 10,000 9,957 8,672 8,567 8,704 7,724 7,425 6,870 7,711 6,825 7,362 7,762 7,296 7,933 7,855 7,963 7,848 7,853 8,460 8,716 8,018 7,608 8,537 9,184 9,134 9,821 10,056 9,472 9,573 9,733 9,792
Motley Fool Next - Total Return Index 10,000 9,957 8,834 8,755 8,723 7,685 7,417 6,871 7,632 6,811 7,330 7,638 7,195 7,947 7,675 7,672 7,476 7,477 8,075 8,351 7,458 6,923 7,727 8,540 8,285 8,735 8,913 8,396 8,682 8,795 9,053
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(12/30/2021)
Motley Fool Next Index ETF (at Net Asset Value)
15.31
-3.42
Motley Fool Next Index ETF (at Market Price)
15.18
-3.44
Russell 3000 Total Return Index**
26.14
7.05
Russell Midcap Growth Total Return Index
19.07
0.13
Motley Fool Next - Total Return Index
16.06
-2.92
Visit https://fooletfs.com/our-funds for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Index replaced the Russell MidCap Growth Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$24,514,571
Number of Holdings
197
Net Advisory Fee
$129,230
Portfolio Turnover
18%
30-Day SEC Yield
0.07%
30-Day SEC Yield Unsubsidized
0.07%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Alnylam Pharmaceuticals, Inc.
1.9%
HEICO Corp.
1.8%
Westinghouse Air Brake Technologies Corp.
1.7%
NVR, Inc.
1.7%
Tractor Supply Co.
1.7%
Take-Two Interactive Software, Inc.
1.6%
Cloudflare, Inc.
1.6%
Axon Enterprise, Inc.
1.6%
HubSpot, Inc.
1.5%
Broadridge Financial Solutions, Inc.
1.5%
Top Sectors
(% of Net Assets)
Information Technology
26.2%
Industrials
18.9%
Consumer Discretionary
17.6%
Health Care
12.4%
Financials
10.8%
Communication Services
6.0%
Consumer Staples
4.2%
Real Estate
1.3%
Materials
1.2%
Cash & Other
1.4%
Motley Fool Next Index ETF  PAGE 2  TSR-AR-74933W650

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://fooletfs.com/our-funds
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-703-302-1100, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
Motley Fool Next Index ETF  PAGE 3  TSR-AR-74933W650
75127904911475037907910782869508119947458842810035752879619240

 
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Optima Strategic Credit Fund
image
Founders Class Shares | OPTCX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Optima Strategic Credit Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://rbbfund.com/additional-fund-information/. You can also request this information by contacting us at 1-866-239-2026.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Founders Class Shares
$212
2.06%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
Throughout the latter half of 2023 the Fund was mostly positioned in a “risk-off” posture due to, what we believed to be, unfavorable trends in credit markets by allocating to short-duration U.S. treasury bills. The environment dramatically changed towards the end of 2023. The Fund’s systematic model favored a “risk-on” environment throughout 1Q 2024 and much of 2Q 2024 and tactically allocated to higher-yielding credit instruments. At 8/31/2024, the Fund continues to be invested in higher-yielding credit as the Fund’s systematic model continues to favor “risk-on”.  
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted.  The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  12/29/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Optima Strategic Credit Fund Founders Class Shares 10000 10000 9990 9990 9970 9950 9950 9910 9900 9882 9882 9922 9906 9936 9886 9826 9816 9846 9872 9912 9937 9970 10001 10089 10134 10252 10412 10362 10468 10491 10480
Bloomberg U.S. Universal Total Return Index 10000 10032 9813 9679 9419 9068 9118 8935 9160 8538 8444 8759 8729 9000 8779 8985 9039 8946 8932 8941 8675 8545 8929 9268 9246 9135 9225 9009 9158 9242 9452
Markit CDX.NA.HY 5Y Long Total Return Index 10000 10002 9816 9728 9802 9474 9520 9107 9536 9290 9675 10004 9947 10246 10180 10196 10261 10314 10582 10757 10689 10632 11106 11412 11481 11663 11840 11783 11995 12028 12202
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(12/29/2021)
Founders Class Shares
5.95
1.81
Bloomberg U.S. Universal Total Return Index
7.92
-1.55
Markit CDX.NA.HY 5Y Long Total Return Index
14.59
8.21
Visit https://rbbfund.com/additional-fund-information/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Optima Strategic Credit Fund  PAGE 1  TSR-AR-74933W718

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$21,385,816
Number of Holdings
2
Net Advisory Fee
$96,075
Portfolio Turnover
0%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
First American Treasury Obligations Fund
76.9%
CDX North American High Yield Index Series 42
6.9%
Top Sectors
(% of Net Assets)
Cash & Other
100.0%
This annual shareholder report contains important information about the Optima Strategic Credit Fund (the “Fund”) for the period of  September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://rbbfund.com/additional-fund-information/. You can also request this information by contacting us at 1-866-239-2026.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Optima Asset Management LLC documents not be householded, please contact Optima Asset Management LLC at 1-866-239-2026, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Optima Asset Management LLC or your financial intermediary.
Optima Strategic Credit Fund  PAGE 2  TSR-AR-74933W718
989099021049189228887959193701077312345

 
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SGI US Large Cap Core ETF
image
SGLC (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI US Large Cap Core ETF (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
SGI US Large Cap Core ETF
$97
0.85%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 27.67% outperforming its benchmark, the S&P 500 TR Index, which returned 27.14%. The Fund also outperformed its secondary benchmark, the Russell 1000 Total Return Index, which returned 26.60%. Active management meaningfully contributed to outperformance with strong stock selection as the primary reason, but allocation decisions partially offset these gains.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
The most contributing sectors to performance were Information Technology and Financials. Strong stock selection in the Consumer Discretionary sector also benefited relative performance. The most detracting sector was Industrials, which was hurt by both an average underweight allocation and underperforming stock selection. The second worst contributing sector was Energy, but stock selection helped cushion the impact of underperformance from underweight allocation.
Top Contributors
Meta Platforms Inc.
Applied Materials Inc.
United Therapeutics Corp.
American International Group
Qualcomm Inc.
Top Detractors
Broadcom Inc.
Apple Inc.
Micron Technology Inc.
Nvidia Corp.
Eli Lilly & Co.
SGI US Large Cap Core ETF  PAGE 1  TSR-AR-74933W593

 
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/30/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI US Large Cap Core ETF NAV 10,000 10,131 10,332 10,333 10,933 11,452 11,203 10,795 10,557 11,515 12,049 12,380 13,046 13,563 12,955 13,730 14,149 13,989 14,302
SGI US Large Cap Core ETF Market 10,000 10,127 10,364 10,336 10,947 11,450 11,200 10,812 10,564 11,512 12,041 12,362 13,054 13,515 12,963 13,759 14,169 14,068 14,305
S&P 500 Total Return Index 10,000 10,145 10,303 10,348 11,032 11,386 11,205 10,671 10,446 11,400 11,918 12,118 12,765 13,176 12,638 13,265 13,741 13,908 14,245
Russell 1000 Total Return Index 10,000 10,151 10,277 10,325 11,022 11,401 11,202 10,676 10,417 11,390 11,953 12,119 12,774 13,183 12,622 13,217 13,654 13,853 14,181
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/30/2023)
SGI US Large Cap Core ETF NAV
27.67
28.61
SGI US Large Cap Core ETF Market
27.72
28.63
S&P 500 Total Return Index
27.14
28.25
Russell 1000 Total Return Index
26.60
27.85
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$92,291,570
Number of Holdings
117
Net Advisory Fee
$795,489
Portfolio Turnover
225%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Microsoft Corp.
6.2%
NVIDIA Corp.
5.5%
Amazon.com, Inc.
4.7%
Alphabet, Inc.
4.7%
Apple, Inc.
4.2%
Meta Platforms, Inc.
4.1%
Mastercard, Inc.
3.5%
Allstate Corp., (The)
3.4%
QUALCOMM, Inc.
3.3%
Veeva Systems, Inc.
2.9%
Top Sectors
(% of net assets)
Technology
30.1%
Financial
18.4%
Consumer, Non-cyclical
18.5%
Communications
15.6%
Consumer, Cyclical
7.3%
Industrial
4.4%
Energy
1.2%
Utilities
1.1%
Basic Materials
0.9%
Cash & Other
2.5%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI US Large Cap Core ETF  PAGE 2  TSR-AR-74933W593

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI US Large Cap Core ETF  PAGE 3  TSR-AR-74933W593
1120314302112001430511205142451120214181

 
image
SGI Dynamic Tactical ETF
image
DYTA (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Dynamic Tactical ETF (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
SGI Dynamic Tactical ETF
$104
0.95%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, the Fund delivered a net return of 18.75%, underperforming its benchmark, the S&P 500 Total Return index, which returned 27.14%. On an absolute basis, strategic allocations to the US Large Cap Core, Invesco QQQ Trust, MSCI US Minimum Volatility, and Schwab Dividend Equity Funds contributed 17.67% to the Fund’s performance. Our timing in US Small Cap was mixed—negative in the early part of the year but positive later, resulting in a net contribution of 0.43%. The remaining gains were achieved by effectively managing fixed income duration risk, capitalizing on the reversal in interest rates over the year.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs. The fixed income market saw significant volatility, with the benchmark US 10-Year Treasury rate reaching a peak of 5% before settling below 4%.
The broad-based index may not necessarily reflect an accurate description of the underlying holdings found in the Fund.
Top Contributors
SGI US Large Cap Core
Invesco QQQ Trust
iShares MSCI US Min Vol
Vanguard US Small Cap
Schwab Dividend Equity
Top Detractors
iShares Core S&P Small Cap
SPDR S&P 500 ETF
iShares MSCI US Small Cap
Invesco Opt Yield Divers
SPDR Long Term Treasury
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
SGI Dynamic Tactical ETF  PAGE 1  TSR-AR-74933W577

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/29/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Dynamic Tactical ETF NAV 10,000 10,138 10,154 10,069 10,379 10,621 10,390 9,972 9,777 10,380 10,920 11,003 11,444 11,756 11,270 11,813 12,137 12,249 12,338
SGI Dynamic Tactical ETF Market 10,000 10,141 10,176 10,074 10,390 10,652 10,420 9,956 9,782 10,376 10,914 10,990 11,422 11,753 11,249 11,801 12,120 12,262 12,322
S&P 500 Total Return Index** 10,000 10,204 10,363 10,408 11,096 11,453 11,270 10,733 10,507 11,467 11,988 12,189 12,840 13,253 12,712 13,342 13,821 13,989 14,329
Composite Index 10,000 10,169 10,304 10,309 10,811 11,070 10,920 10,460 10,254 11,072 11,555 11,693 12,120 12,441 11,981 12,477 12,843 13,035 13,319
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/29/2023)
SGI Dynamic Tactical ETF NAV
18.75
15.89
SGI Dynamic Tactical ETF Market
18.25
15.79
S&P 500 Total Return Index**
27.14
28.72
Composite Index
21.97
22.28
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index replaced the Composite Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$59,608,737
Number of Holdings
8
Net Advisory Fee
$797,772
Portfolio Turnover
167%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
SGI U.S. Large Cap Core ETF
35.4%
iShares Core U.S. Aggregate Bond ETF
20.3%
iShares MSCI USA Min Vol Factor ETF
10.1%
SGI Enhanced Nasdaq-100 ETF
8.8%
Schwab US Dividend Equity ETF
8.1%
Vanguard Small-Cap ETF
7.1%
iShares Core MSCI EAFE ETF
5.1%
PGIM Ultra Short Bond ETF
4.8%
Top Sectors
(% of net assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI Dynamic Tactical ETF  PAGE 2  TSR-AR-74933W577

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Dynamic Tactical ETF  PAGE 3  TSR-AR-74933W577
1039012338104201232211270143291092013319

 
image
SGI U.S. Large Cap Equity Fund
image
Class I | SILVX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI U.S. Large Cap Equity Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$111
0.98%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 26.51% underperforming its benchmark, the S&P 500 Total Return Index, which returned 27.14%. The Fund significantly outperformed its secondary benchmark, the S&P 500 Low Volatility Index, which returned 19.14%.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Active management meaningfully contributed to outperformance with strong stock selection as the primary reason. The most contributing sectors to performance were Health Care and Information Technology. Strong stock selection in the Financials and Consumer Discretionary sectors also benefited relative performance. The most detracting sector was Industrials, which was hurt by both an average underweight allocation and underperforming stock selection. The second worst contributing sector was Energy, which was hurt by both an average overweight allocation and underperforming stock selection.
Top Contributors
United Therapeutics Corp.
Progressive Corp.
DR Horton Inc.
GoDaddy Inc. - Class A
Regeneron Pharmaceuticals
Top Detractors
Republic Services Inc.
United Airlines Holdings Inc.
Kellanova
Waste Management Inc.
Berkshire Hathaway Inc.
SGI U.S. Large Cap Equity Fund  PAGE 1  TSR-AR-74925K524

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $1,000,000 chart reflects a hypothetical $1,000,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $1,000,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI U.S. Large Cap Equity Fund Class I 1,000,000 991,254 1,023,324 1,065,598 1,065,636 1,052,705 1,083,891 1,077,045 1,061,832 1,072,481 1,051,944 1,100,624 1,048,141 1,051,944 1,112,794 1,106,709 1,103,647 1,075,995 1,097,141 1,163,018 1,146,752 1,168,711 1,199,617 1,216,696 1,194,737 1,178,471 1,151,632 1,184,164 1,201,185 1,202,853 1,248,732 1,242,892 1,251,234 1,267,917 1,268,751 1,287,103 1,287,103 1,303,786 1,312,962 1,378,026 1,398,270 1,466,304 1,422,440 1,409,907 1,428,706 1,460,932 1,488,683 1,542,394 1,608,637 1,612,218 1,493,159 1,516,434 1,400,933 1,500,800 1,565,200 1,589,466 1,645,466 1,564,266 1,653,866 1,688,400 1,702,400 1,718,266 1,711,733 1,745,333 1,779,370 1,809,090 1,670,076 1,467,788 1,591,462 1,679,663 1,688,292 1,791,833 1,874,282 1,823,470 1,786,081 1,911,672 1,983,457 1,921,715 1,924,609 1,969,951 2,063,528 2,064,493 2,131,058 2,190,871 2,239,107 2,106,940 2,279,625 2,240,071 2,329,668 2,162,783 2,072,061 2,172,864 2,093,341 2,103,422 1,963,418 2,051,900 1,999,259 1,843,574 2,036,220 2,135,903 2,050,067 2,106,588 2,046,535 2,070,085 2,092,458 2,032,405 2,132,494 2,166,642 2,119,541 2,068,908 2,046,535 2,187,838 2,264,513 2,322,483 2,376,752 2,455,689 2,354,551 2,439,655 2,486,524 2,554,361 2,681,401
S&P 500 Total Return Index** 1,000,000 985,976 1,010,059 1,037,224 1,034,611 1,003,553 1,061,229 1,044,446 1,054,466 1,068,025 1,047,350 1,069,294 1,004,779 979,917 1,062,577 1,065,737 1,048,929 996,876 995,531 1,063,066 1,067,188 1,086,352 1,089,167 1,129,323 1,130,909 1,131,123 1,110,490 1,151,617 1,174,380 1,196,654 1,244,168 1,245,619 1,258,411 1,276,121 1,284,086 1,310,490 1,314,502 1,341,617 1,372,925 1,415,032 1,430,765 1,512,682 1,456,929 1,419,904 1,425,352 1,459,677 1,468,661 1,523,316 1,572,953 1,581,907 1,473,783 1,503,816 1,368,035 1,477,664 1,525,109 1,554,745 1,617,696 1,514,894 1,621,658 1,644,965 1,618,908 1,649,199 1,684,920 1,746,081 1,798,781 1,798,076 1,650,059 1,446,256 1,631,657 1,709,370 1,743,364 1,841,664 1,974,044 1,899,037 1,848,534 2,050,882 2,129,735 2,108,233 2,166,368 2,261,245 2,381,925 2,398,561 2,454,555 2,512,863 2,589,268 2,468,842 2,641,813 2,623,508 2,741,084 2,599,241 2,521,416 2,615,035 2,386,999 2,391,378 2,193,985 2,396,280 2,298,555 2,086,861 2,255,816 2,381,881 2,244,650 2,385,690 2,327,482 2,412,933 2,450,595 2,461,247 2,623,875 2,708,167 2,665,049 2,537,985 2,484,620 2,711,528 2,834,715 2,882,350 3,036,255 3,133,945 3,005,941 3,154,989 3,268,197 3,307,979 3,388,219
S&P 500 Low Volatility Index 1,000,000 991,397 1,040,380 1,070,079 1,083,051 1,078,254 1,094,659 1,090,844 1,069,261 1,079,318 1,060,181 1,106,174 1,051,916 1,047,644 1,119,004 1,131,241 1,130,030 1,110,574 1,122,024 1,188,960 1,180,595 1,200,247 1,269,203 1,273,452 1,249,476 1,237,319 1,209,527 1,216,002 1,247,239 1,256,467 1,312,945 1,312,277 1,326,546 1,362,311 1,357,916 1,376,638 1,388,362 1,399,302 1,425,951 1,480,948 1,464,365 1,503,190 1,439,459 1,451,709 1,443,480 1,453,988 1,474,827 1,526,828 1,554,643 1,549,131 1,504,627 1,577,594 1,468,319 1,565,773 1,630,290 1,668,244 1,707,442 1,691,509 1,755,056 1,773,624 1,816,808 1,856,857 1,849,835 1,850,676 1,883,247 1,941,062 1,756,108 1,525,980 1,628,250 1,634,632 1,628,354 1,749,505 1,799,906 1,768,490 1,717,668 1,823,550 1,862,334 1,829,191 1,809,020 1,932,203 2,013,153 2,036,480 2,037,062 2,112,782 2,149,644 2,044,808 2,141,372 2,112,743 2,317,096 2,211,927 2,160,948 2,277,263 2,224,800 2,212,703 2,118,179 2,207,823 2,167,774 1,986,964 2,125,724 2,249,620 2,210,854 2,211,622 2,138,997 2,172,346 2,230,105 2,113,268 2,200,807 2,221,707 2,155,465 2,073,906 2,065,369 2,175,605 2,226,676 2,248,769 2,286,023 2,356,690 2,284,952 2,341,572 2,337,778 2,440,690 2,567,914
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class I
26.51
9.51
10.37
S&P 500 Total Return Index**
27.14
15.92
12.98
S&P 500 Low Volatility Index
19.14
7.17
9.89
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index replaced the S&P 500 Low Volatility Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$232,958,382
Number of Holdings
93
Net Advisory Fee
$1,852,151
Portfolio Turnover
194%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United Therapeutics Corp.
3.9%
Progressive Corp.
3.9%
Everest Group Ltd.
3.6%
Automatic Data Processing, Inc.
3.3%
Colgate-Palmolive Co.
3.3%
Owens Corning
3.2%
Elevance Health, Inc.
3.1%
Regeneron Pharmaceuticals, Inc.
3.1%
Alphabet, Inc.
3.1%
Cardinal Health, Inc.
2.7%
Top Sectors
(% of net assets)
Consumer, Non-cyclical
33.4%
Financial
17.4%
Industrial
11.6%
Communications
11.5%
Consumer, Cyclical
8.1%
Technology
7.7%
Utilities
3.9%
Energy
3.0%
Basic Materials
1.6%
Cash & Other
1.8%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI U.S. Large Cap Equity Fund  PAGE 2  TSR-AR-74925K524

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI U.S. Large Cap Equity Fund  PAGE 3  TSR-AR-74925K524
100000010481411194737128710316086371702400187428222391071999259211954126814011000000100477911309091314502157295316189081974044258926822985552665049338821910000001051916124947613883621554643181680817999062149644216777421554652567914

 
image
SGI U.S. Large Cap Equity Fund
image
Class A | LVOLX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI U.S. Large Cap Equity Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class A
$138
1.22%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ended August 31, 2024, net of fees, the Fund returned 26.19% underperforming its benchmark, the S&P 500 Total Return Index, which returned 27.14%. The Fund significantly outperformed its secondary benchmark, the S&P 500 Low Volatility Index, which returned 19.14%.  
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Active management meaningfully contributed to outperformance with strong stock selection as the primary reason. The most contributing sectors to performance were Health Care and Information Technology. Strong stock selection in the Financials and Consumer Discretionary sectors also benefited relative performance. The most detracting sector was Industrials, which was hurt by both an average underweight allocation and underperforming stock selection. The second worst contributing sector was Energy, which was hurt by both an average overweight allocation and underperforming stock selection.
Top Contributors
United Therapeutics Corp.
Progressive Corp.
DR Horton Inc.
GoDaddy Inc. - Class A
Regeneron Pharmaceuticals
Top Detractors
Republic Services Inc.
United Airlines Holdings Inc.
Kellanova
Waste Management Inc.
Berkshire Hathaway Inc.
SGI U.S. Large Cap Equity Fund  PAGE 1  TSR-AR-74925K516

 
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  10/29/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI U.S. Large Cap Equity Fund Class A 9477 9439 9387 9365 9123 9303 9861 9716 9903 10165 10309 10116 9978 9744 10020 10167 10174 10562 10506 10576 10711 10718 10873 10873 11014 11085 11636 11801 12373 12004 11891 12049 12320 12554 13006 13556 13579 12577 12773 11796 12633 13181 13377 13839 13158 13909 14199 14316 14441 14387 14661 14947 15195 14024 12323 13366 14096 14160 15035 15717 15292 14971 16030 16623 16099 16123 16494 17276 17284 17840 18339 18734 17630 19064 18734 19475 18075 17309 18159 17487 17571 16394 17123 16693 15377 16983 17814 17095 17565 17056 17252 17428 16939 17761 18045 17644 17223 17027 18202 18839 19309 19770 20424 19575 20281 20670 21212 22265
S&P 500 Total Return Index** 10000 9952 9982 9824 9337 9324 9956 9995 10175 10201 10577 10592 10594 10401 10786 10999 11208 11653 11666 11786 11952 12027 12274 12311 12565 12859 13253 13400 14168 13645 13299 13350 13671 13755 14267 14732 14816 13803 14084 12813 13840 14284 14561 15151 14188 15188 15406 15162 15446 15781 16353 16847 16840 15454 13545 15282 16010 16328 17249 18489 17786 17313 19208 19947 19745 20290 21178 22309 22464 22989 23535 24251 23123 24743 24571 25673 24344 23615 24492 22356 22397 20548 22443 21528 19545 21128 22308 21023 22344 21799 22599 22952 23052 24575 25364 24960 23770 23271 25396 26549 26996 28437 29352 28153 29549 30609 30982 31733
S&P 500 Low Volatility Index 10000 9929 10037 10027 9854 9956 10549 10475 10650 11261 11299 11086 10979 10732 10789 11067 11148 11650 11644 11770 12088 12049 12215 12319 12416 12652 13140 12993 13338 12772 12881 12808 12901 13086 13547 13794 13745 13350 13998 13028 13893 14465 14802 15150 15009 15572 15737 16120 16476 16413 16421 16710 17223 15582 13540 14447 14504 14448 15523 15970 15692 15241 16180 16524 16230 16051 17144 17862 18069 18075 18746 19073 18143 19000 18746 20559 19626 19174 20206 19740 19633 18794 19590 19234 17630 18861 19961 19617 19623 18979 19275 19787 18751 19527 19713 19125 18401 18326 19304 19757 19953 20284 20911 20274 20776 20743 21656 22785
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
Since Inception
(10/29/2015)
Class A (without sales charge)
26.19
9.23
10.14
Class A (with sales charge)
19.56
8.07
9.48
S&P 500 Total Return Index**
27.14
15.92
13.95
S&P 500 Low Volatility Index
19.14
7.17
9.76
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index replaced the S&P 500 Low Volatility Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$232,958,382
Number of Holdings
93
Net Advisory Fee
$1,852,151
Portfolio Turnover
194%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United Therapeutics Corp.
3.9%
Progressive Corp.
3.9%
Everest Group Ltd.
3.6%
Automatic Data Processing, Inc.
3.3%
Colgate-Palmolive Co.
3.3%
Owens Corning
3.2%
Elevance Health, Inc.
3.1%
Regeneron Pharmaceuticals, Inc.
3.1%
Alphabet, Inc.
3.1%
Cardinal Health, Inc.
2.7%
Top Sectors
(% of net assets)
Consumer, Non-cyclical
33.4%
Financial
17.4%
Industrial
11.6%
Communications
11.5%
Consumer, Cyclical
8.1%
Technology
7.7%
Utilities
3.9%
Energy
3.0%
Basic Materials
1.6%
Cash & Other
1.8%
SGI U.S. Large Cap Equity Fund  PAGE 2  TSR-AR-74925K516

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI U.S. Large Cap Equity Fund  PAGE 3  TSR-AR-74925K516
101161087313556143161571718734166931764422265105921231114732151621848924251215282496031733110861231913794161201597019073192341912522785

 
image
SGI U.S. Large Cap Equity Fund
image
Class C | SGICX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI U.S. Large Cap Equity Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class C
$222
1.97%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ended August 31, 2024, net of fees, the Fund returned 25.23% underperforming its benchmark, the S&P 500 Total Return Index, which returned 27.14%. The Fund significantly outperformed its secondary benchmark, the S&P 500 Low Volatility Index, which returned 19.14%.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Active management meaningfully contributed to outperformance with strong stock selection as the primary reason. The most contributing sectors to performance were Health Care and Information Technology. Strong stock selection in the Financials and Consumer Discretionary sectors also benefited relative performance. The most detracting sector was Industrials, which was hurt by both an average underweight allocation and underperforming stock selection. The second worst contributing sector was Energy, which was hurt by both an average overweight allocation and underperforming stock selection.
Top Contributors
United Therapeutics Corp.
Progressive Corp.
DR Horton Inc.
GoDaddy Inc. - Class A
Regeneron Pharmaceuticals
Top Detractors
Republic Services Inc.
United Airlines Holdings Inc.
Kellanova
Waste Management Inc.
Berkshire Hathaway Inc.
SGI U.S. Large Cap Equity Fund  PAGE 1  TSR-AR-74925K284

 
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI U.S. Large Cap Equity Fund Class C 10,000 9,742 9,919 10,457 10,295 10,486 10,752 10,899 10,693 10,538 10,287 10,567 10,713 10,720 11,119 11,059 11,127 11,270 11,270 11,421 11,413 11,556 11,624 12,197 12,363 12,949 12,555 12,427 12,588 12,869 13,094 13,560 14,130 14,146 13,086 13,286 12,267 13,125 13,682 13,882 14,356 13,641 14,406 14,698 14,806 14,931 14,864 15,139 15,420 15,666 14,453 12,748 13,808 14,555 14,622 15,513 16,208 15,759 15,420 16,488 17,100 16,547 16,564 16,938 17,721 17,721 18,273 18,775 19,166 18,027 19,481 19,132 19,876 18,440 17,648 18,500 17,806 17,876 16,677 17,410 16,955 15,618 17,232 18,054 17,316 17,781 17,264 17,450 17,615 17,109 17,925 18,204 17,791 17,347 17,150 18,308 18,949 19,411 19,851 20,496 19,637 20,335 20,700 21,237 22,279
S&P 500 Total Return Index** 10,000 9,504 9,491 10,135 10,174 10,357 10,384 10,766 10,782 10,784 10,587 10,979 11,196 11,408 11,861 11,875 11,997 12,166 12,242 12,494 12,532 12,790 13,089 13,490 13,640 14,421 13,890 13,537 13,589 13,916 14,002 14,523 14,996 15,081 14,050 14,337 13,042 14,087 14,540 14,822 15,422 14,442 15,460 15,682 15,434 15,723 16,063 16,646 17,149 17,142 15,731 13,788 15,555 16,296 16,620 17,558 18,820 18,105 17,623 19,552 20,304 20,099 20,653 21,558 22,708 22,867 23,401 23,956 24,685 23,537 25,186 25,011 26,132 24,780 24,038 24,931 22,757 22,798 20,916 22,845 21,913 19,895 21,506 22,708 21,399 22,744 22,189 23,004 23,363 23,464 25,015 25,818 25,407 24,196 23,687 25,850 27,025 27,479 28,946 29,878 28,657 30,078 31,157 31,537 32,302
S&P 500 Low Volatility Index 10,000 9,828 9,929 10,521 10,447 10,621 11,232 11,269 11,057 10,949 10,703 10,761 11,037 11,119 11,619 11,613 11,739 12,056 12,017 12,182 12,286 12,383 12,619 13,105 12,959 13,302 12,738 12,847 12,774 12,867 13,051 13,511 13,758 13,709 13,315 13,961 12,994 13,856 14,427 14,763 15,110 14,969 15,531 15,695 16,078 16,432 16,370 16,377 16,665 17,177 15,540 13,504 14,409 14,465 14,410 15,482 15,928 15,650 15,200 16,137 16,480 16,187 16,009 17,099 17,815 18,021 18,027 18,697 19,023 18,095 18,950 18,696 20,505 19,574 19,123 20,152 19,688 19,581 18,744 19,538 19,183 17,583 18,811 19,908 19,565 19,571 18,929 19,224 19,735 18,701 19,476 19,661 19,074 18,353 18,277 19,253 19,705 19,900 20,230 20,855 20,220 20,721 20,688 21,598 22,724
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
Since Inception
(12/31/2015)
Class C (without sales charge)
25.23
8.52
9.68
S&P 500 Total Return Index**
27.14
15.92
14.48
S&P 500 Low Volatility Index
19.14
7.17
9.93
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P 500 Total Return Index replaced the S&P 500 Low Volatility Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$232,958,382
Number of Holdings
93
Net Advisory Fee
$1,852,151
Portfolio Turnover
194%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
United Therapeutics Corp.
3.9%
Progressive Corp.
3.9%
Everest Group Ltd.
3.6%
Automatic Data Processing, Inc.
3.3%
Colgate-Palmolive Co.
3.3%
Owens Corning
3.2%
Elevance Health, Inc.
3.1%
Regeneron Pharmaceuticals, Inc.
3.1%
Alphabet, Inc.
3.1%
Cardinal Health, Inc.
2.7%
Top Sectors
(% of net assets)
Consumer, Non-cyclical
33.4%
Financial
17.4%
Industrial
11.6%
Communications
11.5%
Consumer, Cyclical
8.1%
Technology
7.7%
Utilities
3.9%
Energy
3.0%
Basic Materials
1.6%
Cash & Other
1.8%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI U.S. Large Cap Equity Fund  PAGE 2  TSR-AR-74925K284

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI U.S. Large Cap Equity Fund  PAGE 3  TSR-AR-74925K284
106931141314130148061620819166169551779122279107821253214996154341882024685219132540732302110571228613758160781592819023191831907422724

 
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SGI Global Equity Fund
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Class I | SGLIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Global Equity Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$92
0.84%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 19.84% underperforming its benchmark, the S&P 500 Broad Market Index, which returned 22.97%.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Active management meaningfully contributed to performance with strong stock selection as the primary reason. The most contributing sectors to performance were Consumer Staples and Financials. Strong stock selection in the Health Care and Industrials sectors also benefited relative performance. The most detracting sector was Consumer Discretionary, which was hurt by both an average overweight allocation and underperforming stock selection. The second worst contributing sector was Energy, which was hurt by both an average underweight allocation and underperforming stock selection.
Top Contributors
Commvault Systems Inc.
Enova International Inc.
M/I Homes Inc.
Eagle Materials Inc.
Matson Inc.
Top Detractors
Incyte Corp.
Waste Management Inc.
Motorola Solutions Inc.
Republic Services Inc.
Eli Lilly & Co.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $1,000,000 chart reflects a hypothetical $1,000,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
SGI Global Equity Fund  PAGE 1  TSR-AR-74925K417

 
CUMULATIVE PERFORMANCE (Initial Investment of $1,000,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Global Equity Fund Class I 1,000,000 977,190 1,018,465 1,028,602 1,000,594 1,016,370 1,096,039 1,089,335 1,076,319 1,106,688 1,126,803 1,176,103 1,115,759 1,081,052 1,112,999 1,117,731 1,091,484 972,136 917,964 976,368 980,177 1,000,491 997,529 1,060,589 1,055,087 1,086,405 1,015,304 1,008,109 978,907 1,026,731 1,064,398 1,080,480 1,091,060 1,121,109 1,117,723 1,129,997 1,151,581 1,166,393 1,182,053 1,210,408 1,219,719 1,268,389 1,220,989 1,215,910 1,204,906 1,220,142 1,219,296 1,263,734 1,282,356 1,300,554 1,225,644 1,272,622 1,185,073 1,250,744 1,299,675 1,322,423 1,360,624 1,334,871 1,394,103 1,393,244 1,400,112 1,419,427 1,416,422 1,439,171 1,469,755 1,483,977 1,375,979 1,184,426 1,279,980 1,327,091 1,334,646 1,394,645 1,463,533 1,424,867 1,379,979 1,487,088 1,532,458 1,501,594 1,503,831 1,542,746 1,606,263 1,624,155 1,651,888 1,673,806 1,714,510 1,649,651 1,746,716 1,710,932 1,777,456 1,735,672 1,684,029 1,727,691 1,622,996 1,638,959 1,544,593 1,624,405 1,556,800 1,435,204 1,533,325 1,628,161 1,545,501 1,647,466 1,594,541 1,624,645 1,648,923 1,603,767 1,673,200 1,691,166 1,656,206 1,617,848 1,596,484 1,691,166 1,752,692 1,768,920 1,816,623 1,872,685 1,823,016 1,863,341 1,868,259 1,914,978 1,984,810
S&P Global Broad Market Index** 1,000,000 964,882 972,501 987,149 971,020 956,937 1,009,476 997,687 1,026,007 1,027,395 1,005,362 1,010,387 943,219 909,124 978,433 973,005 955,688 895,136 890,970 958,936 975,097 977,365 970,762 1,014,468 1,018,542 1,026,486 1,007,085 1,017,885 1,040,153 1,068,707 1,098,571 1,112,395 1,130,786 1,154,794 1,162,353 1,194,485 1,199,320 1,225,356 1,250,607 1,275,688 1,296,982 1,367,011 1,310,806 1,287,375 1,299,685 1,305,695 1,297,517 1,333,334 1,345,664 1,348,535 1,242,496 1,262,204 1,171,527 1,266,149 1,301,387 1,315,475 1,359,172 1,280,003 1,362,254 1,365,794 1,332,420 1,360,676 1,398,909 1,433,727 1,484,981 1,465,231 1,346,115 1,153,346 1,279,844 1,340,145 1,383,481 1,453,886 1,542,929 1,495,819 1,464,263 1,651,479 1,734,088 1,731,668 1,779,573 1,824,696 1,903,590 1,933,370 1,956,450 1,965,117 2,014,541 1,936,247 2,027,979 1,971,707 2,049,269 1,941,630 1,897,948 1,935,594 1,782,007 1,784,102 1,631,709 1,746,828 1,686,981 1,524,363 1,616,149 1,740,260 1,675,584 1,798,617 1,749,041 1,791,856 1,815,115 1,794,457 1,899,510 1,972,918 1,916,158 1,837,515 1,775,801 1,940,142 2,042,953 2,047,131 2,134,391 2,202,094 2,128,991 2,215,178 2,255,024 2,303,024 2,356,236
MSCI ACWI Net Total Return Index  (USD) 1,000,000 967,572 974,384 990,682 971,565 956,375 1,009,618 993,974 1,022,814 1,021,479 997,432 1,006,093 937,125 903,173 974,059 966,016 948,594 891,384 885,252 950,856 964,892 966,108 960,260 1,001,641 1,005,011 1,011,169 994,005 1,001,559 1,023,195 1,051,174 1,080,663 1,093,880 1,110,930 1,135,462 1,140,625 1,172,499 1,176,992 1,199,731 1,224,645 1,248,352 1,268,478 1,340,039 1,283,761 1,256,282 1,268,278 1,269,859 1,262,986 1,301,074 1,311,292 1,317,001 1,218,307 1,236,125 1,149,049 1,239,788 1,272,951 1,288,955 1,332,480 1,253,438 1,335,515 1,339,426 1,307,654 1,335,165 1,371,707 1,405,195 1,454,676 1,438,610 1,322,412 1,143,881 1,266,423 1,321,500 1,363,726 1,435,848 1,523,732 1,474,601 1,438,754 1,616,099 1,691,133 1,683,445 1,722,435 1,768,444 1,845,765 1,874,486 1,899,189 1,912,276 1,960,139 1,879,165 1,975,087 1,927,524 2,004,628 1,906,175 1,856,941 1,897,163 1,745,308 1,747,354 1,600,059 1,711,795 1,648,773 1,490,935 1,580,912 1,703,530 1,636,499 1,753,795 1,703,530 1,756,057 1,781,295 1,762,214 1,864,531 1,932,789 1,878,778 1,801,091 1,746,936 1,908,174 1,999,830 2,011,553 2,097,876 2,163,743 2,092,352 2,177,330 2,225,827 2,261,721 2,319,163
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class I
19.84
7.23
7.10
S&P Global Broad Market Index**
22.97
12.08
8.95
MSCI ACWI Net Total Return Index    (USD)
23.44
12.14
8.78
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P Global Broad Market Index replaced the MSCI ACWI Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$108,187,210
Number of Holdings
94
Net Advisory Fee
$646,296
Portfolio Turnover
102%
30-Day SEC Yield
1.23%
30-Day SEC Yield Unsubsidized
0.90%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Progressive Corp.
3.9%
Colgate-Palmolive Co.
3.7%
Takeda Pharmaceutical Co. Ltd.
3.3%
Rio Tinto PLC
2.8%
Coca-Cola Co.
2.7%
United Therapeutics Corp.
2.7%
Microsoft Corp.
2.6%
Kroger Co., (The)
2.6%
Lockheed Martin Corp.
2.3%
McKesson Corp.
2.2%
Top Sectors
(% of net assets)
Consumer, Non-cyclical
36.4%
Financial
19.3%
Communications
9.7%
Industrial
9.2%
Technology
7.7%
Consumer, Cyclical
7.2%
Basic Materials
3.2%
Utilities
2.5%
Energy
1.8%
Cash & Other
3.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI Global Equity Fund  PAGE 2  TSR-AR-74925K417

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Global Equity Fund  PAGE 3  TSR-AR-74925K417
1000000111575910550871151581128235614001121463533171451015568001656206198481010000009432191018542119932013456641332420154292920145411686981191615823562361000000937125100501111769921311292130765415237321960139164877318787782319163

 
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SGI Small Cap Core Fund
image
Class I | BOGIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Small Cap Core Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$134
1.23%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 17.38% underperforming its benchmark, Russell 3000 Index, which returned 26.14%. The Fund also slightly underperformed its secondary benchmark, Russell 2000 Index, which returned 18.47%.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
The sector contributing the most to performance was Consumer Discretionary sector, with strong stock selection benefiting relative performance. However, the biggest detractor was the Information Technology sector, where both an average underweight allocation and underperforming stock selection negatively impacted performance. The second largest detractor was the Materials sector, which also suffered from an average overweight allocation and underperforming stock selection.
The broad-based index may not necessarily reflect an accurate description of the underlying holdings found in the Fund.
Top Contributors
Commvault Systems Inc.
Enova International Inc.
M/I Homes Inc.
Eagle Materials Inc.
Matson Inc.
Top Detractors
Super Micro Computer Inc.
Par Pacific Holdings Inc.
Omnicell Inc.
Titan Machinery Inc.
Allegiant Travel Co.
SGI Small Cap Core Fund  PAGE 1  TSR-AR-749255188

 
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $1,000,000 chart reflects a hypothetical $1,000,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $1,000,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Small Cap Core Fund Class I 1,000,000 939,585 945,626 943,525 942,569 922,243 988,075 1,001,423 992,322 996,266 978,063 963,805 910,109 827,895 892,817 918,603 870,052 780,338 799,336 878,496 902,419 906,993 885,884 949,563 949,915 985,801 929,510 1,031,889 1,042,092 1,064,960 1,078,330 1,069,534 1,084,662 1,041,388 1,071,645 1,124,770 1,127,233 1,176,487 1,209,910 1,196,893 1,219,930 1,261,337 1,215,242 1,189,461 1,196,102 1,288,680 1,281,649 1,287,118 1,372,665 1,362,900 1,205,086 1,170,711 1,024,743 1,154,519 1,202,119 1,179,217 1,212,897 1,110,512 1,194,036 1,219,183 1,152,723 1,160,357 1,194,485 1,253,312 1,271,179 1,218,926 1,140,097 880,185 1,006,312 1,086,042 1,138,745 1,227,935 1,268,476 1,232,890 1,255,863 1,440,999 1,545,245 1,650,160 1,748,904 1,786,407 1,830,083 1,858,092 1,878,030 1,841,001 1,834,355 1,785,933 1,840,052 1,758,873 1,849,628 1,719,546 1,733,136 1,734,431 1,626,352 1,674,243 1,533,159 1,697,542 1,652,239 1,496,270 1,660,653 1,711,780 1,604,977 1,750,174 1,771,661 1,684,412 1,657,717 1,619,302 1,795,101 1,874,535 1,790,543 1,701,341 1,593,909 1,729,339 1,944,204 1,912,951 1,971,550 2,051,636 1,908,393 1,999,548 1,950,064 2,142,140 2,101,772
Russell 3000 Index** 1,000,000 979,155 1,006,095 1,030,477 1,030,465 1,001,786 1,059,790 1,049,016 1,053,761 1,068,336 1,050,462 1,068,032 1,003,555 974,312 1,051,268 1,057,096 1,035,398 976,976 976,661 1,045,424 1,051,903 1,070,722 1,072,924 1,115,505 1,118,350 1,120,108 1,095,874 1,144,917 1,167,258 1,189,228 1,233,457 1,234,296 1,247,379 1,260,145 1,271,517 1,295,492 1,297,988 1,329,643 1,358,658 1,399,914 1,413,906 1,488,434 1,433,571 1,404,793 1,410,133 1,449,941 1,459,423 1,507,856 1,560,808 1,563,392 1,448,275 1,477,282 1,339,792 1,454,792 1,505,956 1,527,945 1,588,959 1,486,135 1,590,516 1,614,159 1,581,254 1,609,006 1,643,643 1,706,121 1,755,383 1,753,466 1,609,904 1,388,513 1,572,408 1,656,498 1,694,369 1,790,581 1,920,298 1,850,378 1,810,441 2,030,687 2,122,044 2,112,605 2,178,639 2,256,728 2,373,060 2,383,893 2,442,678 2,483,985 2,554,823 2,440,193 2,605,210 2,565,555 2,666,583 2,509,692 2,446,475 2,525,829 2,299,155 2,296,073 2,103,986 2,301,378 2,215,492 2,010,052 2,174,888 2,288,409 2,154,415 2,302,795 2,248,972 2,309,108 2,333,710 2,342,790 2,502,768 2,592,485 2,542,440 2,421,333 2,357,146 2,576,946 2,713,632 2,743,707 2,892,225 2,985,521 2,854,153 2,989,003 3,081,535 3,138,817 3,207,145
Russell 2000 Index 1,000,000 939,506 1,001,437 1,002,335 1,030,901 997,741 1,056,973 1,075,387 1,047,962 1,071,887 1,079,914 1,067,363 1,000,289 951,212 1,004,803 1,037,488 985,396 898,746 898,706 970,433 985,664 1,007,865 1,007,230 1,067,368 1,086,244 1,098,343 1,046,128 1,162,784 1,195,364 1,200,079 1,223,239 1,224,840 1,238,272 1,213,081 1,255,015 1,264,339 1,248,254 1,326,157 1,337,461 1,376,006 1,370,452 1,406,268 1,351,815 1,369,299 1,381,137 1,464,973 1,475,470 1,501,186 1,565,902 1,528,238 1,362,246 1,383,899 1,219,511 1,356,704 1,427,237 1,397,365 1,444,835 1,332,466 1,426,641 1,434,855 1,364,010 1,392,390 1,429,061 1,487,888 1,530,790 1,481,696 1,356,963 1,062,143 1,208,033 1,286,645 1,332,125 1,368,996 1,446,130 1,397,824 1,427,100 1,690,150 1,836,349 1,928,758 2,048,968 2,069,547 2,113,005 2,117,362 2,158,385 2,080,448 2,126,984 2,064,270 2,152,083 2,062,406 2,108,477 1,905,486 1,925,827 1,949,796 1,756,553 1,759,208 1,614,525 1,783,086 1,746,599 1,579,213 1,753,067 1,794,015 1,677,579 1,841,086 1,809,988 1,723,508 1,692,522 1,676,887 1,813,221 1,924,106 1,827,846 1,720,237 1,602,919 1,747,998 1,961,575 1,885,282 1,991,879 2,063,187 1,917,974 2,014,194 1,995,562 2,198,309 2,165,471
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Class I
17.38
12.76
7.71
Russell 3000 Index**
26.14
15.19
12.36
Russell 2000 Index
18.47
9.68
8.03
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Russell 3000 Index replaced the Russell 2000 Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$124,720,143
Number of Holdings
190
Net Advisory Fee
$1,092,436
Portfolio Turnover
211%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
OFG Bancorp
1.2%
Catalyst Pharmaceuticals Partners, Inc.
1.2%
Sylvamo Corp.
1.2%
NMI Holdings, Inc.
1.2%
Hancock Whitney Corp.
1.2%
Pilgrim’s Pride Corp.
1.2%
Mueller Water Products, Inc.
1.2%
Korn/Ferry International
1.2%
Taylor Morrison Home Corp.
1.2%
Essent Group Ltd.
1.2%
Top Sectors
(% of net assets)
Financial
21.9%
Industrial
21.5%
Consumer, Non-cyclical
20.3%
Consumer, Cyclical
18.1%
Technology
7.3%
Energy
2.7%
Utilities
2.7%
Basic Materials
2.2%
Communications
1.1%
Cash & Other
2.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI Small Cap Core Fund  PAGE 2  TSR-AR-749255188

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Small Cap Core Fund  PAGE 3  TSR-AR-749255188
1000000910109949915112723313726651152723126847618343551652239179054321017721000000100355511183501297988156080815812541920298255482322154922542440320714510000001000289108624412482541565902136401014461302126984174659918278462165471

 
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SGI Peak Growth Fund
image
Class I | SGPKX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Peak Growth Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$143
1.30%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 19.25% underperforming its benchmark, the S&P 500 Total Return Index, which returned 27.14%. On an absolute basis, strategic allocations to SGI US Large Cap Equity Fund, SGI Global Equity Fund, SGI Small Cap Core Fund, and SGI US Large Cap Core ETF contributed 17.19% to the Fund’s performance.
WHAT FACTORS INFLUENCED PERFORMANCE?  
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Overweight exposure to equities and underweight exposure to fixed income benefited performance the most. Factors that contributed least to relative performance were exposure to non-US, emerging markets, and small cap stocks.
Top Contributors
SGI US Large Cap Equity
SGI Global Equity Fund
SGI Small Cap Core Fund
SGI US Large Cap Core ETF
SGI Dynamic Tactical ETF
Top Detractors
US Dollar Cash Holdings
SGI Enhanced Core ETF
iShares Core MSCI Emerging
iShares Core MSCI EAFE ETF
SGI Small Cap Equity Fund
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
SGI Peak Growth Fund  PAGE 1  TSR-AR-74933W783

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  8/6/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Peak Growth Fund Class I 10,000 10,120 10,600 10,940 10,630 10,470 11,170 11,610 11,490 11,520 11,750 12,130 12,200 12,400 12,440 12,630 12,130 12,760 12,420 12,903 12,210 11,964 12,165 11,506 11,685 10,937 11,562 11,160 10,266 11,082 11,629 11,060 11,708 11,463 11,474 11,530 11,250 11,898 12,200 11,854 11,451 11,150 11,909 12,619 12,664 13,035 13,428 12,844 13,349 13,450 13,866 14,136
S&P 500 Total Return Index 10,000 9,601 10,143 10,872 10,459 10,181 11,295 11,729 11,611 11,931 12,453 13,118 13,210 13,518 13,839 14,260 13,597 14,549 14,449 15,096 14,315 13,886 14,402 13,146 13,170 12,083 13,197 12,659 11,493 12,424 13,118 12,362 13,139 12,818 13,289 13,496 13,555 14,451 14,915 14,677 13,978 13,684 14,933 15,612 15,874 16,722 17,260 16,555 17,376 17,999 18,218 18,660
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(06/08/2020)
Class I (without sales charge)
19.25
8.53
S&P 500 Total Return Index
27.14
15.89
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$28,007,183
Number of Holdings
7
Net Advisory Fee
$175,697
Portfolio Turnover
44%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
SGI U.S. Large Cap Equity Fund
29.5%
SGI Small Cap Core Fund
17.3%
SGI Enhanced Global Income ETF
14.8%
SGI Global Equity Fund
14.1%
SGI U.S. Large Cap Core ETF
12.9%
SGI Dynamic Tactical ETF
9.7%
SGI Enhanced Core ETF
1.0%
Top Sectors
(% of net assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Peak Growth Fund  PAGE 2  TSR-AR-74933W783
10940126301116011854141361087214260126591467718660

 
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SGI Prudent Growth Fund
image
Class I | SGPGX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Prudent Growth Fund (the “Fund”)  for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Class I
$142
1.31%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the fiscal year ending August 31, 2024, net of fees, the Fund returned 16.62% underperforming its benchmark, the S&P 500 Total Return Index, which returned 27.14%. On an absolute basis, strategic allocations to SGI US Large Cap Equity Fund, SGI Global Equity Fund, SGI Large Cap Core ETF, and SGI Dynamic Tactical ETF contributed 13.47% to the fund’s performance.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Overweight exposure to equities and underweight exposure to fixed income benefited performance the most. Factors that contributed least to relative performance were exposure to bond funds, and small cap stocks.
The broad-based index may not necessarily reflect an accurate description of the underlying holdings found in the Fund.
Top Contributors
SGI US Large Cap Equity Fund
SGI Global Equity Fund
SGI US Large Cap Core ETF
SGI Dynamic Tactical ETF
SGI Small Cap Core Fund
Top Detractors
US Dollar Cash Holdings
PGIM Ultra Short Bond ETF
iShares IBOXX High Yield ETF
iShares 20+ Year Treasury
SGI US Small Cap Equity Fund
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
SGI Prudent Growth Fund  PAGE 1  TSR-AR-74933W775

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  8/6/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Prudent Growth Fund Class I 10,000 10,050 10,390 10,600 10,400 10,250 10,750 11,016 10,886 10,816 10,966 11,266 11,306 11,476 11,556 11,697 11,326 11,757 11,556 11,841 11,343 11,142 11,195 10,676 10,803 10,273 10,697 10,379 9,744 10,273 10,697 10,319 10,775 10,531 10,659 10,712 10,521 10,924 11,125 10,903 10,563 10,362 10,977 11,488 11,563 11,819 12,085 11,638 12,000 12,128 12,426 12,714
S&P 500 Total Return Index 10,000 9,601 10,143 10,872 10,459 10,181 11,295 11,729 11,611 11,931 12,453 13,118 13,210 13,518 13,839 14,260 13,597 14,549 14,449 15,096 14,315 13,886 14,402 13,146 13,170 12,083 13,197 12,659 11,493 12,424 13,118 12,362 13,139 12,818 13,289 13,496 13,555 14,451 14,915 14,677 13,978 13,684 14,933 15,612 15,874 16,722 17,260 16,555 17,376 17,999 18,218 18,660
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(06/08/2020)
Class I (without sales charge)
16.62
5.84
S&P 500 Total Return Index
27.14
15.89
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$26,929,138
Number of Holdings
10
Net Advisory Fee
$179,498
Portfolio Turnover
61%
30-Day SEC Yield
0.48%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
SGI U.S. Large Cap Equity Fund
30.3%
iShares Core U.S. Aggregate Bond ETF
9.4%
SGI Enhanced Global Income ETF
9.0%
SGI Global Equity Fund
8.9%
SGI U.S. Large Cap Core ETF
8.9%
SGI Enhanced Core ETF
8.5%
SGI Small Cap Core Fund
8.0%
SGI Dynamic Tactical ETF
4.9%
iShares iBoxx $ High Yield Corporate Bond ETF
4.8%
iShares 20+ Year Treasury Bond ETF
4.7%
Top Sectors
(% of net assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
SGI Prudent Growth Fund  PAGE 2  TSR-AR-74933W775

 
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Prudent Growth Fund  PAGE 3  TSR-AR-74933W775
10600116971037910903127141087214260126591467718660

 
image
SGI Enhanced Core ETF
image
USDX (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Enhanced Core ETF (the “Fund”)  for the period of February 28, 2024 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
SGI Enhanced Core ETF
$51*
0.99%
* Amount shown reflects the expense of the Fund from inception date through August 31, 2024. Expenses would be higher if the fund had been in operations for the entire period of this report.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From inception, February 28, 2024, to the end of the fiscal year, August 31, 2024, net of fees, the Fund returned 4.10% slightly underperforming its benchmark, the S&P U.S. Aggregate Bond Index, which returned 4.84%. The Fund’s total gross return was 4.59%, which is composed of money market yield and options return. Of the 4.59% gross return, 2.03% can be attributed to the options yield, and the remaining 2.56% can be attributed to the money market yield.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
The broad-based index may not necessarily reflect an accurate description of the underlying holdings found in the Fund.
Top Contributors
Money Market Yield
Options Yield
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  02/28/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Enhanced Core ETF NAV 10,000 10,000 10,040 10,095 10,174 10,241 10,327 10,411
SGI Enhanced Core ETF Market 10,000 10,012 10,044 10,104 10,178 10,236 10,329 10,411
S&P U.S. Aggregate Bond Index** 10,000 10,013 10,095 9,881 10,032 10,129 10,337 10,484
S&P 500 Total Return Index 10,000 10,054 10,378 9,954 10,448 10,823 10,954 11,220
SGI Enhanced Core ETF  PAGE 1  TSR-AR-74933W254

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(02/28/2024)
SGI Enhanced Core ETF NAV
4.10
SGI Enhanced Core ETF Market
4.11
S&P U.S. Aggregate Bond Index**
4.84
S&P 500 Total Return Index
12.20
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P U.S. Aggregate Bond Index replaced the S&P 500 Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$129,257,035
Number of Holdings
14
Net Advisory Fee
$405,684
Portfolio Turnover
0%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Vanguard Treasury Money Market Fund
18.9%
Vanguard Federal Money Market Fund
18.9%
PIMCO Government Money Market Fund
16.6%
Fidelity Government Cash Reserves
16.6%
First American Government Obligations Fund
2.0%
T Rowe Price US Treasury Money Fund, Inc.
0.0%
JPMorgan Liquid Assets Money Market Fund
0.0%
S&P 500 Index
0.0%
Top Sectors
(% of net assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Enhanced Core ETF  PAGE 2  TSR-AR-74933W254
10411104111048411220

 
image
SGI Enhanced Global Income ETF
image
GINX (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Enhanced Global Income ETF (the “Fund”)  for the period of February 28, 2024 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
SGI Enhanced Global Income ETF
$601
1.14%
1 Amount shown reflects the expense of the Fund from inception date through August 31, 2024. Expenses would be higher if the fund had been in operations for the entire period of this report.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From inception, February 28, 2024, to the end of the fiscal year, August 31, 2024, net of fees, the Fund returned 8.01% underperforming its benchmark, the S&P Global Broad Market Index, which returned 10.89%. The Fund’s total gross return was 8.32%, which is composed of equities return and options return. Of the 8.32% gross return, 1.11% can be attributed to the options yield, and the remaining 7.21% can be attributed to the equities return.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
WHAT WERE THE TOP CONTRIBUTORS AND DETRACTORS?
Stock selection and sector allocations both detracted from relative performance during the period. Strong stock selection in the Consumer Discretionary and Financials sectors contributed the most to relative returns. Communication Services was the largest detracting sector affected by weak stock selection. A significant underweight exposure to the Information Technology sector further impacted performance negatively. A significant overweight exposure to the Energy sector also hurt relative performance.
Top Contributors
Shinhan Financial Group - ADR
Unitedhealth Group Inc.
Infosys Ltd-SP ADR
Novo-Nordisk A/S-Spons ADR
TJX Companies Inc.
Top Detractors
Nvidia Corp.
Telkom Indonesia Persero - ADR
TIM SA-ADR
Coca-Cola Femsa SAB-SP ADR
Micron Technology Inc.
SGI Enhanced Global Income ETF  PAGE 1  TSR-AR-74933W262

 
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  02/28/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
SGI Enhanced Global Income ETF NAV 10,000 10,016 10,349 10,000 10,358 10,428 10,614 10,803
SGI Enhanced Global Income ETF Market 10,000 10,039 10,365 10,007 10,366 10,430 10,636 10,769
S&P Global Broad Market Index** 10,000 10,045 10,364 10,020 10,425 10,613 10,839 11,089
S&P 500 Total Return Index 10,000 10,054 10,378 9,954 10,448 10,823 10,954 11,220
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(02/28/2024)
SGI Enhanced Global Income ETF NAV
8.01
SGI Enhanced Global Income ETF Market
7.69
S&P Global Broad Market Index**
10.89
S&P 500 Total Return Index
12.20
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the S&P Global Broad Market Index replaced the S&P 500 Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$68,238,628
Number of Holdings
85
Net Advisory Fee
$261,368
Portfolio Turnover
158%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
Eli Lilly & Co.
3.9%
Meta Platforms, Inc.
3.9%
Apple, Inc.
3.7%
Rio Tinto PLC
3.3%
Novo Nordisk AS
3.2%
Alphabet, Inc.
3.1%
Equinor ASA
2.9%
Microsoft Corp.
2.8%
Bancolombia SA
2.6%
Shinhan Financial Group Co. Ltd.
2.4%
Top Sectors
(% of net assets)
Financial
19.7%
Technology
19.0%
Consumer, Non-cyclical
15.8%
Communications
15.0%
Industrial
9.2%
Energy
7.8%
Consumer, Cyclical
4.8%
Utilities
3.4%
Basic Materials
3.3%
Cash & Other
2.0%
SGI Enhanced Global Income ETF  PAGE 2  TSR-AR-74933W262

 
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Enhanced Global Income ETF  PAGE 3  TSR-AR-74933W262
10803107691108911220

 
image
SGI Enhanced Nasdaq-100 ETF
image
QXQ (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the SGI Enhanced Nasdaq-100 ETF (the “Fund”)  for the period of June 13, 2024 to August 31, 2024. You can find additional information about the Fund at https://sgiam.com/literature/. You can also request this information by contacting us at 1-855-744-8500.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
SGI Enhanced Nasdaq-100 ETF
$26*
1.18%
* Amount shown reflects the expense of the Fund from inception date through August 31, 2024. Expenses would be higher if the fund had been in operations for the entire period of this report.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From inception, June 13, 2024, to the end of the fiscal year, August 31, 2024, net of fees, the Fund returned 1.70% underperforming its benchmark, the S&P 500 Total Return Index. The Fund outperformed its secondary benchmark, the Nasdaq-100 Index, which returned 0.15%. The Fund’s total gross return was 1.88%, which is composed of futures return and options return. Of the 1.88% gross return, 0.81% can be attributed to the options yield, and the remaining 1.07% can be attributed to the futures return.
WHAT FACTORS INFLUENCED PERFORMANCE?
To crush skyrocketing inflation, the Federal Reserve raised the fed funds rate a significant 5.25% during a 16-month period from March 2022 through July 2023. This approach was effective and all key U.S. inflation indicators fell during the fiscal year. As a result, the Federal Reserve signaled no further rate increases and the possibility of upcoming rate cuts. This sparked a strong rally in equities and risk assets in general. Growth stocks, particularly semiconductor and AI related stocks, had tremendous performance. Broad market indices of international stocks also performed well, however, U.S market indices performed even better with many reaching all-time highs.
The broad-based index may not necessarily reflect an accurate description of the underlying holdings found in the Fund.
Top Contributors
Futures Returns
Options Yield
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
SGI Enhanced Nasdaq-100 ETF  PAGE 1  TSR-AR-74933W239

 
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  06/13/2024 06/30/2024 07/31/2024 08/31/2024
SGI Enhanced Nasdaq-100 ETF NAV 10,000 10,073 10,111 10,172
SGI Enhanced Nasdaq-100 ETF Market 10,000 10,117 10,121 10,176
S&P 500 Total Return Index 10,000 10,056 10,178 10,425
NASDAQ 100 Index 10,000 10,058 9,898 10,015
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(06/13/2024)
SGI Enhanced Nasdaq-100 ETF NAV
1.70
SGI Enhanced Nasdaq-100 ETF Market
1.76
S&P 500 Total Return Index
4.25
NASDAQ 100 Index
0.15
Visit https://sgiam.com/literature/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$10,553,512
Number of Holdings
5
Net Advisory Fee
$15,052
Portfolio Turnover
0%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of net assets)
First American Government Obligations Fund
4.7%
S&P 500 Index
0.0%
Micro E-Mini Nasdaq 100 Future Sept 2024
0.0%
Nasdaq 100 Index
-0.9%
Top Sectors
(% of net assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://sgiam.com/literature/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-855-744-8500, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by the Fund or your financial intermediary.
SGI Enhanced Nasdaq-100 ETF  PAGE 2  TSR-AR-74933W239
10172101761042510015

 
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US Treasury 3 Month Bill ETF
image
TBIL (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 3 Month Bill ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/tbil/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 3 Month Bill ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA US 3-Month Treasury Bill Index (the “Index”). The Fund delivered competitive returns for the year, with 5.37% compared to the Index’s 5.51%. Dividends represented the majority of the returns, with the price only improving by 0.28% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  44781 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 3 Month Bill ETF NAV 10000 10010 10042 10059 10094 10130 10164 10200 10250 10284 10326 10373 10414 10460 10508 10554 10600 10648 10693 10736 10783 10828 10879 10923 10971 11022
US Treasury 3 Month Bill ETF Market 10000 10012 10044 10061 10099 10133 10166 10204 10253 10288 10331 10379 10415 10469 10509 10557 10602 10651 10692 10739 10782 10827 10881 10922 10970 11020
ICE US Treasury Core Bond Index 10000 9813 9459 9325 9575 9528 9764 9536 9812 9865 9749 9676 9643 9593 9381 9267 9587 9897 9884 9754 9809 9589 9728 9826 10041 10170
ICE BofA 3 Month Treasury Bill 10000 10012 10037 10053 10086 10122 10154 10188 10232 10264 10305 10352 10394 10441 10489 10536 10583 10633 10679 10723 10771 10818 10870 10914 10964 11016
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(08/08/2022)
US Treasury 3 Month Bill ETF NAV
5.37
4.83
US Treasury 3 Month Bill ETF Market
5.27
4.82
ICE US Treasury Core Bond Index
6.01
0.82
ICE BofA 3 Month Treasury Bill
5.51
4.80
Visit https://www.ustreasuryetf.com/etf/tbil/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 3 Month Bill ETF  PAGE 1  TSR-AR-74933W452

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$4,104,507,086
Number of Holdings
2
Net Advisory Fee
$4,625,006
Portfolio Turnover
0%
30-Day SEC Yield
4.77%
30-Day SEC Yield Unsubsidized
4.77%
Visit https://www.ustreasuryetf.com/etf/tbil/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Bill
100.0%
Top Sectors
(% of Net Assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/tbil/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 3 Month Bill ETF  PAGE 2  TSR-AR-74933W452
1001010460110221001210469110209813959310170100121044111016

 
image
US Treasury 6 Month Bill ETF
image
XBIL (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 6 Month Bill ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/xbil/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 6 Month Bill ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA US 6-Month Treasury Bill Index (the “Index”). The Fund delivered competitive returns for the year, with 5.48% compared to the Index’s 5.66%. Dividends represented the majority of the return, with the price only improving by 0.44% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  45080 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 6 Month Bill ETF NAV 10000 10046 10076 10099 10147 10189 10235 10282 10324 10377 10429 10470 10505 10550 10591 10640 10685 10740 10795
US Treasury 6 Month Bill ETF Market 10000 10052 10080 10104 10153 10191 10242 10284 10330 10382 10432 10470 10508 10551 10592 10640 10682 10738 10796
ICE US Treasury Core Bond Index 10000 10323 10378 10256 10179 10144 10093 9869 9749 10086 10412 10399 10261 10320 10088 10234 10337 10563 10700
ICE BofA 6-Month US Treasury Bill Total Return Index 10000 10048 10082 10107 10155 10198 10243 10290 10335 10389 10443 10488 10525 10572 10615 10665 10710 10767 10823
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/07/2023)
US Treasury 6 Month Bill ETF NAV
5.48
5.28
US Treasury 6 Month Bill ETF Market
5.41
5.28
ICE US Treasury Core Bond Index
6.01
4.65
ICE BofA 6-Month US Treasury Bill Total Return Index
5.66
5.46
Visit https://www.ustreasuryetf.com/etf/xbil/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 6 Month Bill ETF  PAGE 1  TSR-AR-74933W460

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$598,493,825
Number of Holdings
2
Net Advisory Fee
$800,012
Portfolio Turnover
0%
30-Day SEC Yield
4.54%
30-Day SEC Yield Unsubsidized
4.54%
Visit https://www.ustreasuryetf.com/etf/xbil/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Bill
100.0%
Top Sectors
(% of Net Assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/xbil/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 6 Month Bill ETF  PAGE 2  TSR-AR-74933W460
1023510795102421079610093107001024310823

 
image
US Treasury 12 Month Bill ETF
image
OBIL (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 12 Month Bill ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/obil/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 12 Month Bill ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA US 1-Year Treasury Bill Index (the “Index”). The Fund delivered competitive returns for the year, with 5.58% compared to the Index’s 5.61%. Dividends represented the majority of the returns, with the price only improving by 0.79% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  11/14/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 12 Month Bill ETF NAV 10000 10012 10055 10094 10101 10178 10193 10191 10214 10256 10301 10338 10380 10449 10528 10568 10580 10618 10638 10687 10731 10806 10876
US Treasury 12 Month Bill ETF Market 10000 10011 10059 10096 10106 10180 10197 10196 10218 10261 10308 10343 10384 10457 10530 10570 10586 10619 10638 10688 10730 10804 10878
ICE US Treasury Core Bond Index 10000 10154 10104 10354 10112 10405 10462 10338 10261 10226 10173 9948 9827 10166 10496 10482 10343 10402 10168 10316 10420 10648 10785
ICE BofA US 1-Year Treasury Bill Total Return Index 10000 10010 10051 10093 10105 10182 10196 10200 10224 10270 10315 10353 10399 10474 10545 10584 10594 10634 10654 10705 10750 10822 10894
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(11/15/2022)
US Treasury 12 Month Bill ETF NAV
5.58
4.79
US Treasury 12 Month Bill ETF Market
5.54
4.80
ICE US Treasury Core Bond Index
6.01
4.30
ICE BofA US 1-Year Treasury Bill Total Return Index
5.61
4.89
Visit https://www.ustreasuryetf.com/etf/obil/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 12 Month Bill ETF  PAGE 1  TSR-AR-74933W478

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$237,097,582
Number of Holdings
2
Net Advisory Fee
$310,472
Portfolio Turnover
0%
30-Day SEC Yield
4.29%
30-Day SEC Yield Unsubsidized
4.29%
Visit https://www.ustreasuryetf.com/etf/obil/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Bill
100.0%
Top Sectors
(% of Net Assets)
Cash & Other
100.0%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/obil/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 12 Month Bill ETF  PAGE 2  TSR-AR-74933W478
1030110876103081087810173107851031510894

 
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US Treasury 2 Year Note ETF
image
UTWO (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 2 Year Note ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/utwo/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 2 Year Note ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 2-Year US Treasury Index (the “Index”). The Fund delivered competitive returns for the year, with 5.54% compared to the Index’s 5.56%. Dividends represented the majority of the return, with the price only improving by 1.20% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  44781 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 2 Year Note ETF NAV 10000 9980 9868 9845 9899 9907 9975 9883 10048 10068 10020 9955 9983 10018 10009 10041 10137 10251 10289 10243 10274 10233 10301 10360 10480 10573
US Treasury 2 Year Note ETF Market 10000 9980 9876 9853 9899 9916 9974 9888 10051 10072 10020 9962 9982 10024 10012 10043 10141 10257 10295 10247 10275 10233 10306 10361 10479 10576
ICE US Treasury Core Bond Index 10000 9813 9459 9325 9575 9528 9764 9536 9812 9865 9749 9676 9643 9593 9381 9267 9587 9897 9884 9754 9809 9589 9728 9826 10041 10170
ICE BofA U.S. Treasury Current 2 Yr TR 10000 9977 9860 9839 9892 9904 9968 9880 10046 10066 10017 9953 9981 10015 10007 10040 10138 10251 10289 10241 10273 10232 10300 10360 10479 10573
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(08/09/2022)
US Treasury 2 Year Note ETF NAV
5.54
2.74
US Treasury 2 Year Note ETF Market
5.51
2.75
ICE US Treasury Core Bond Index
6.01
0.82
ICE BofA U.S. Treasury Current 2 Yr TR
5.56
2.74
Visit https://www.ustreasuryetf.com/etf/utwo/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 2 Year Note ETF  PAGE 1  TSR-AR-74933W486

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$452,474,166
Number of Holdings
1
Net Advisory Fee
$545,743
Portfolio Turnover
1091%
30-Day SEC Yield
3.86%
30-Day SEC Yield Unsubsidized
3.86%
Visit https://www.ustreasuryetf.com/etf/utwo/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.6%
Top Sectors
(% of Net Assets)
Government
99.6%
Cash & Other
0.4%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/utwo/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 2 Year Note ETF  PAGE 2  TSR-AR-74933W486
9980100181057399801002410576981395931017099771001510573

 
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US Treasury 3 Year Note ETF
image
UTRE (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 3 Year Note ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/utre/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 3 Year Note ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 3-Year US Treasury Index (the “Index”). The Fund delivered competitive returns for the year, with 5.82% compared to the Index’s 5.93%. Dividends represented the majority of the return, with the price only improving by 1.81% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/27/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 3 Year Note ETF NAV 10000 10003 10048 9983 9882 9911 9934 9888 9899 10047 10196 10228 10143 10175 10084 10176 10245 10406 10513
US Treasury 3 Year Note ETF Market 10000 10005 10049 9989 9885 9909 9938 9891 9902 10052 10203 10227 10146 10177 10083 10177 10245 10403 10512
ICE US Treasury Core Bond Index 10000 10039 10094 9975 9900 9866 9816 9598 9482 9809 10127 10113 9980 10036 9811 9953 10054 10274 10406
ICE BofA Current 3-Year US Treasury Total Return Index 10000 10001 10047 9987 9886 9913 9935 9891 9904 10052 10204 10236 10150 10182 10091 10182 10253 10416 10524
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/28/2023)
US Treasury 3 Year Note ETF NAV
5.82
3.56
US Treasury 3 Year Note ETF Market
5.78
3.56
ICE US Treasury Core Bond Index
6.01
2.82
ICE BofA Current 3-Year US Treasury Total Return Index
5.93
3.64
Visit https://www.ustreasuryetf.com/etf/utre/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 3 Year Note ETF  PAGE 1  TSR-AR-74933W494

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$7,454,545
Number of Holdings
1
Net Advisory Fee
$8,651
Portfolio Turnover
905%
30-Day SEC Yield
3.55%
30-Day SEC Yield Unsubsidized
3.55%
Visit https://www.ustreasuryetf.com/etf/utre/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.8%
Top Sectors
(% of Net Assets)
Government
99.8%
Cash & Other
0.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/utre/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 3 Year Note ETF  PAGE 2  TSR-AR-74933W494
993410513993810512981610406993510524

 
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US Treasury 5 Year Note ETF
image
UFIV (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 5 Year Note ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/ufiv/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 5 Year Note ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 5-Year US Treasury Index (the “Index”). The Fund delivered competitive returns for the year, with 6.06% compared to the Index’s 6.20%. Dividends represented the majority of the return, with the price only improving by 2.21% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/27/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 5 Year Note ETF NAV 10000 10008 10073 9965 9832 9838 9831 9708 9649 9902 10130 10150 10007 10053 9866 9989 10091 10310 10427
US Treasury 5 Year Note ETF Market 10000 10008 10072 9980 9839 9845 9838 9713 9654 9907 10139 10147 10011 10058 9864 9991 10093 10306 10425
ICE US Treasury Core Bond Index 10000 10039 10094 9975 9900 9866 9816 9598 9482 9809 10127 10113 9980 10036 9811 9953 10054 10274 10406
ICE BofA Current 5-Year US Treasury Total Return Index 10000 10004 10070 9970 9836 9843 9835 9712 9659 9913 10141 10164 10017 10064 9881 10004 10106 10325 10445
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/28/2023)
US Treasury 5 Year Note ETF NAV
6.06
2.97
US Treasury 5 Year Note ETF Market
5.97
2.95
ICE US Treasury Core Bond Index
6.01
2.82
ICE BofA Current 5-Year US Treasury Total Return Index
6.20
3.09
Visit https://www.ustreasuryetf.com/etf/ufiv/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 5 Year Note ETF  PAGE 1  TSR-AR-74933W510

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$24,208,442
Number of Holdings
1
Net Advisory Fee
$21,494
Portfolio Turnover
1036%
30-Day SEC Yield
3.35%
30-Day SEC Yield Unsubsidized
3.35%
Visit https://www.ustreasuryetf.com/etf/ufiv/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.6%
Top Sectors
(% of Net Assets)
Government
99.6%
Cash & Other
0.4%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/ufiv/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 5 Year Note ETF  PAGE 2  TSR-AR-74933W510
983110427983810425981610406983510445

 
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US Treasury 7 Year Note ETF
image
USVN (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 7 Year Note ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/usvn/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 7 Year Note ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 7-Year US Treasury Index (the “Index”). The Fund performed well for the year, returning 6.15% versus the Index at 6.06%. Dividends represented the majority of the returns, with the price only improving by 2.52% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/27/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 7 Year Note ETF NAV 10000 10011 10085 9964 9821 9789 9742 9528 9401 9740 10044 10054 9870 9933 9680 9835 9954 10218 10341
US Treasury 7 Year Note ETF Market 10000 10015 10087 9974 9823 9789 9745 9530 9406 9741 10052 10048 9877 9938 9679 9836 9957 10216 10341
ICE US Treasury Core Bond Index 10000 10039 10094 9975 9900 9866 9816 9598 9482 9809 10127 10113 9980 10036 9811 9953 10054 10274 10406
ICE BofA Current 7-Year US Treasury Total Return Index 10000 10010 10085 9969 9827 9798 9753 9538 9406 9742 10042 10057 9871 9937 9688 9842 9964 10220 10344
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/28/2023)
US Treasury 7 Year Note ETF NAV
6.15
2.37
US Treasury 7 Year Note ETF Market
6.11
2.37
ICE US Treasury Core Bond Index
6.01
2.82
ICE BofA Current 7-Year US Treasury Total Return Index
6.06
2.39
Visit https://www.ustreasuryetf.com/etf/usvn/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 7 Year Note ETF  PAGE 1  TSR-AR-74933W528

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$5,391,694
Number of Holdings
1
Net Advisory Fee
$6,540
Portfolio Turnover
1064%
30-Day SEC Yield
3.42%
30-Day SEC Yield Unsubsidized
3.42%
Visit https://www.ustreasuryetf.com/etf/usvn/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.5%
Top Sectors
(% of Net Assets)
Government
99.5%
Cash & Other
0.5%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/usvn/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 7 Year Note ETF  PAGE 2  TSR-AR-74933W528
974210341974510341981610406975310344

 
image
US Treasury 10 Year Note ETF
image
UTEN (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 10 Year Note ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/uten/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 10 Year Note ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 10-Year US Treasury Index (the “Index”). The Fund delivered competitive returns for the year, with 5.15% compared to the Index’s 5.26%. Dividends represented the majority of the return, with the price only improving by 2.02% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  44781 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 10 Year Note ETF NAV 10000 9700 9185 9017 9342 9206 9519 9218 9574 9642 9500 9388 9313 9228 8907 8708 9122 9492 9475 9281 9340 9024 9191 9308 9575 9704
US Treasury 10 Year Note ETF Market 10000 9669 9189 9025 9333 9203 9519 9222 9580 9645 9503 9385 9308 9235 8913 8716 9137 9496 9479 9288 9345 9027 9198 9308 9582 9708
ICE US Treasury Core Bond Index 10000 9813 9459 9325 9575 9528 9764 9536 9812 9865 9749 9676 9643 9593 9381 9267 9587 9897 9884 9754 9809 9589 9728 9826 10041 10170
ICE BofA Current 10-Year US Treasury Total Return Index 10000 9701 9188 9016 9353 9248 9530 9234 9591 9660 9519 9406 9332 9244 8922 8723 9140 9510 9494 9298 9357 9042 9212 9329 9598 9731
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(08/09/2022)
US Treasury 10 Year Note ETF NAV
5.15
-1.45
US Treasury 10 Year Note ETF Market
5.12
-1.43
ICE US Treasury Core Bond Index
6.01
0.82
ICE BofA Current 10-Year US Treasury Total Return Index
5.26
-1.31
Visit https://www.ustreasuryetf.com/etf/uten/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 10 Year Note ETF  PAGE 1  TSR-AR-74933W536

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$156,974,726
Number of Holdings
1
Net Advisory Fee
$168,751
Portfolio Turnover
317%
30-Day SEC Yield
3.64%
30-Day SEC Yield Unsubsidized
3.64%
Visit https://www.ustreasuryetf.com/etf/uten/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.8%
Top Sectors
(% of Net Assets)
Government
99.8%
Cash & Other
0.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/uten/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 10 Year Note ETF  PAGE 2  TSR-AR-74933W536
9700922897049669923597089813959310170970192449731

 
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US Treasury 20 Year Bond ETF
image
UTWY (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 20 Year Bond ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/utwy/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 20 Year Bond ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 20-Year US Treasury Index (the “Index”). The Fund delivered competitive returns for the year, with 4.47% compared to the Index’s 4.53%. Dividends represented the majority of the return, with the price only improving by 1.38% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/27/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 20 Year Bond ETF NAV 10000 10127 10175 9919 9888 9720 9490 8912 8556 9193 9822 9730 9494 9584 9086 9322 9442 9750 9914
US Treasury 20 Year Bond ETF Market 10000 10146 10191 9925 9880 9716 9496 8921 8562 9205 9828 9748 9497 9595 9097 9323 9453 9755 9913
ICE US Treasury Core Bond Index 10000 10039 10094 9975 9900 9866 9816 9598 9482 9809 10127 10113 9980 10036 9811 9953 10054 10274 10406
ICE BofA Current 20-Year US Treasury Total Return Index 10000 10128 10177 9920 9885 9718 9491 8911 8556 9196 9822 9731 9497 9584 9087 9323 9441 9749 9921
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/28/2023)
US Treasury 20 Year Bond ETF NAV
4.47
-0.60
US Treasury 20 Year Bond ETF Market
4.39
-0.61
ICE US Treasury Core Bond Index
6.01
2.82
ICE BofA Current 20-Year US Treasury Total Return Index
4.53
-0.55
Visit https://www.ustreasuryetf.com/etf/utwy/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 20 Year Bond ETF  PAGE 1  TSR-AR-74933W544

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$26,249,570
Number of Holdings
2
Net Advisory Fee
$20,746
Portfolio Turnover
344%
30-Day SEC Yield
3.88%
30-Day SEC Yield Unsubsidized
3.88%
Visit https://www.ustreasuryetf.com/etf/utwy/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.7%
United States Treasury Bill
0.3%
Top Sectors
(% of Net Assets)
Government
99.7%
Cash & Other
0.3%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/utwy/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 20 Year Bond ETF  PAGE 2  TSR-AR-74933W544
949099149496991398161040694919921

 
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US Treasury 30 Year Bond ETF
image
UTHY (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the US Treasury 30 Year Bond ETF (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.ustreasuryetf.com/etf/uthy/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
US Treasury 30 Year Bond ETF
$15
0.15%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The investment objective of the Fund is to seek investment results that correspond (before fees and expenses) generally to the price and yield performance of the ICE BofA Current 30-Year US Treasury Index (the “Index”). The Fund performed well for the year, returning 3.59% versus the Index at 3.53%. Dividends represented the majority of the return, with the price only improving by 1.18% for the year.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  03/27/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
US Treasury 30 Year Bond ETF NAV 10000 10187 10204 9925 9942 9696 9383 8667 8202 8991 9731 9509 9310 9363 8752 8994 9163 9496 9720
US Treasury 30 Year Bond ETF Market 10000 10200 10228 9920 9939 9691 9388 8668 8204 8973 9746 9484 9315 9365 8755 8994 9163 9504 9727
ICE US Treasury Core Bond Index 10000 10039 10094 9975 9900 9866 9816 9598 9482 9809 10127 10113 9980 10036 9811 9953 10054 10274 10406
ICE BofA Current 30-Year US Treasury Total Return Index 10000 10188 10206 9920 9934 9689 9388 8667 8203 8992 9731 9511 9302 9353 8743 8990 9157 9491 9720
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
Since Inception
(03/28/2023)
US Treasury 30 Year Bond ETF NAV
3.59
-1.97
US Treasury 30 Year Bond ETF Market
3.61
-1.92
ICE US Treasury Core Bond Index
6.01
2.82
ICE BofA Current 30-Year US Treasury Total Return Index
3.53
-1.97
Visit https://www.ustreasuryetf.com/etf/uthy/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
US Treasury 30 Year Bond ETF  PAGE 1  TSR-AR-74933W551

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$17,954,668
Number of Holdings
2
Net Advisory Fee
$20,561
Portfolio Turnover
286%
30-Day SEC Yield
3.95%
30-Day SEC Yield Unsubsidized
3.95%
Visit https://www.ustreasuryetf.com/etf/uthy/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
United States Treasury Note/Bond
99.4%
United States Treasury Bill
0.4%
Top Sectors
(% of Net Assets)
Government
99.4%
Cash & Other
0.6%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.ustreasuryetf.com/etf/uthy/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
US Treasury 30 Year Bond ETF  PAGE 2  TSR-AR-74933W551
938397209388972798161040693889720

 
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F/m 2-Year Investment Grade Corporate Bond ETF
image
ZTWO (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m 2-Year Investment Grade Corporate Bond ETF (the “Fund”) for the period from January 10, 2024, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/etfs/us-credit-series/ztwo/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST PERIOD? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
F/m 2-Year Investment Grade Corporate Bond ETF
$10*
0.15%
* Amount shown reflects the expenses of the Fund from inception date through 8/31/24. Expenses would be higher if the Fund had been in operations for the full year.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From the Fund inception date (January 10, 2024) to August 31, 2024, returns for the Fund closely tracked its expense-free target index.
The Fund seeks to track the investments of an index composed of U.S. dollar denominated, investment-grade corporate bonds, as represented by the ICE 2-Year US Target Maturity Corporate Index (the “2-Year Corporate Index”). The Fund invests in a representative sampling of securities included in the 2-Year Corporate Index that collectively has an investment profile similar to that of the 2-Year Corporate Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the 2-Year Corporate Index.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  10/01/2024 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m 2-Year Investment Grade Corporate Bond ETF NAV 10,000 10,045 10,016 10,067 10,047 10,122 10,174 10,303 10,396
F/m 2-Year Investment Grade Corporate Bond ETF Market 10,000 10,048 10,024 10,083 10,055 10,133 10,178 10,308 10,409
ICE BofA US Corporate Index 10,000 10,090 9,949 10,067 9,833 10,015 10,079 10,317 10,476
ICE 2-Year US Target Maturity Corporate Index 10,000 10,056 10,031 10,084 10,066 10,142 10,196 10,326 10,422
F/m 2-Year Investment Grade Corporate Bond ETF  PAGE 1  TSR-AR-74933W429

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(01/10/2024)
F/m 2-Year Investment Grade Corporate Bond ETF NAV
3.96
F/m 2-Year Investment Grade Corporate Bond ETF Market
4.09
ICE BofA US Corporate Index
4.76
ICE 2-Year US Target Maturity Corporate Index
4.22
Visit https://www.fminvest.com/etfs/us-credit-series/ztwo/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$10,125,460
Number of Holdings
395
Net Advisory Fee
$9,200
Portfolio Turnover
110%
30-Day SEC Yield
4.67%
30-Day SEC Yield Unsubsidized
4.67%
Visit https://www.fminvest.com/etfs/us-credit-series/ztwo/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Howmet Aerospace, Inc.
0.3%
Cisco Systems, Inc.
0.3%
BHP Billiton Finance USA Ltd.
0.3%
National Rural Utilities Cooperative Finance Corp.
0.3%
Texas Instruments, Inc.
0.3%
Vistra Operations Co. LLC
0.3%
Crown Castle, Inc.
0.3%
Starbucks Corp.
0.3%
Philip Morris International, Inc.
0.3%
John Deere Capital Corp.
0.3%
Top Sectors
(% of Net Assets)
Financials
32.1%
Industrials
9.5%
Technology
8.8%
Utilities
8.5%
Consumer Discretionary
7.9%
Consumer Staples
7.3%
Energy
7.2%
Health Care
6.7%
Materials
6.5%
Cash & Other
5.5%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/etfs/us-credit-series/ztwo/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
F/m 2-Year Investment Grade Corporate Bond ETF  PAGE 2  TSR-AR-74933W429
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image
F/m 3-Year Investment Grade Corporate Bond ETF
image
ZTRE (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m 3-Year Investment Grade Corporate Bond ETF (the “Fund”) for the period from January 10, 2024, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/etfs/us-credit-series/ztre/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST PERIOD? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
F/m 3-Year Investment Grade Corporate Bond ETF
$10*
0.15%
* Amount shown reflects the expenses of the Fund from inception date through 8/31/24. Expenses would be higher if the Fund had been in operations for the full year.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From the Fund inception date (January 10, 2024) to August 31, 2024, returns for the Fund closely tracked its expense-free target index.
The Fund seeks to track the investments of an index composed of U.S. dollar denominated, investment-grade corporate bonds, as represented by the ICE 3-Year US Target Maturity Corporate Index (the “3-Year Corporate Index”). The Fund invests in a representative sampling of securities included in the 3-Year Corporate Index that collectively has an investment profile similar to that of the 3-Year Corporate Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the 3-Year Corporate Index.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  10/01/2024 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m 3-Year Investment Grade Corporate Bond ETF NAV 10,000 10,060 10,000 10,065 10,001 10,108 10,165 10,326 10,441
F/m 3-Year Investment Grade Corporate Bond ETF Market 10,000 10,064 10,005 10,079 10,008 10,116 10,167 10,320 10,455
ICE BofA US Corporate Index 10,000 10,090 9,949 10,067 9,833 10,015 10,079 10,317 10,476
ICE 3-Year US Target Maturity Corporate Index 10,000 10,068 10,014 10,078 10,015 10,122 10,181 10,340 10,458
F/m 3-Year Investment Grade Corporate Bond ETF  PAGE 1  TSR-AR-74933W395

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(01/10/2024)
F/m 3-Year Investment Grade Corporate Bond ETF NAV
4.41
F/m 3-Year Investment Grade Corporate Bond ETF Market
4.55
ICE BofA US Corporate Index
4.76
ICE 3-Year US Target Maturity Corporate Index
4.58
Visit https://www.fminvest.com/etfs/us-credit-series/ztre/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$22,377,312
Number of Holdings
401
Net Advisory Fee
$16,566
Portfolio Turnover
86%
30-Day SEC Yield
4.50%
30-Day SEC Yield Unsubsidized
4.50%
Visit https://www.fminvest.com/etfs/us-credit-series/ztre/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Mount Vernon Liquid Assets Portfolio, LLC
0.4%
APA Infrastructure Ltd.
0.3%
Goldman Sachs BDC, Inc.
0.3%
Tapestry, Inc.
0.3%
Jefferies Financial Group, Inc.
0.3%
JPMorgan Chase & Co.
0.3%
Jabil, Inc.
0.3%
Nokia Oyj
0.3%
Santander Holdings USA, Inc.
0.3%
ONEOK, Inc.
0.3%
Top Sectors
(% of Net Assets)
Financials
28.9%
Industrials
9.7%
Energy
9.4%
Consumer Discretionary
8.8%
Utilities
8.5%
Health Care
8.4%
Consumer Staples
8.0%
Technology
7.4%
Materials
6.7%
Cash & Other
4.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/etfs/us-credit-series/ztre/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
F/m 3-Year Investment Grade Corporate Bond ETF  PAGE 2  TSR-AR-74933W395
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image
F/m 10-Year Investment Grade Corporate Bond ETF
image
ZTEN (Principal U.S. Listing Exchange: NYSE)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m 10-Year Investment Grade Corporate Bond ETF (the “Fund”) for the period from January 10, 2024, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/etfs/us-credit-series/zten/. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST PERIOD? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
F/m 10-Year Investment Grade Corporate Bond ETF
$10*
0.15%
* Amount shown reflects the expenses of the Fund from inception date through 8/31/24. Expenses would be higher if the Fund had been in operations for the full year.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
From the Fund inception date (January 10, 2024) to August 31, 2024, returns for the Fund closely tracked its expense-free target index.
The Fund seeks to track the investments of an index composed of U.S. dollar denominated, investment-grade corporate bonds, as represented by the ICE 10-Year US Target Maturity Corporate Index (the “10-Year Corporate Index”). The Fund invests in a representative sampling of securities included in the 10-Year Corporate Index that collectively has an investment profile similar to that of the 10-Year Corporate Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the 10-Year Corporate Index.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  01-10-2024 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m 10-Year Investment Grade Corporate Bond ETF NAV 10,000 10,104 9,919 10,071 9,787 10,000 10,085 10,371 10,532
F/m 10-Year Investment Grade Corporate Bond ETF Market 10,000 10,087 9,938 10,076 9,793 10,017 10,093 10,370 10,568
ICE BofA US Corporate Index 10,000 10,090 9,949 10,067 9,833 10,015 10,079 10,317 10,476
ICE 10-Year US Target Maturity Corporate Index 10,000 10,104 9,936 10,087 9,808 10,024 10,103 10,388 10,553
F/m 10-Year Investment Grade Corporate Bond ETF  PAGE 1  TSR-AR-74933W411

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(01/10/2024)
F/m 10-Year Investment Grade Corporate Bond ETF NAV
5.32
F/m 10-Year Investment Grade Corporate Bond ETF Market
5.68
ICE BofA US Corporate Index
4.76
ICE 10-Year US Target Maturity Corporate Index
5.53
Visit https://www.fminvest.com/etfs/us-credit-series/zten/ for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$16,395,014
Number of Holdings
242
Net Advisory Fee
$13,424
Portfolio Turnover
131%
30-Day SEC Yield
5.12%
30-Day SEC Yield Unsubsidized
5.12%
Visit https://www.fminvest.com/etfs/us-credit-series/zten/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(% of Net Assets)
Mount Vernon Liquid Assets Portfolio, LLC
2.4%
Bank of New York Mellon Corp.
0.4%
Procter & Gamble Co.
0.4%
Brookfield Finance, Inc.
0.4%
UnitedHealth Group, Inc.
0.4%
Capital One Financial Corp.
0.4%
AutoZone, Inc.
0.4%
PNC Financial Services Group, Inc.
0.4%
Choice Hotels International, Inc.
0.4%
American Express Co.
0.4%
Top Sectors
(% of Net Assets)
Financials
28.4%
Utilities
12.6%
Health Care
10.2%
Energy
10.2%
Industrials
9.4%
Consumer Discretionary
6.6%
Technology
6.5%
Consumer Staples
5.7%
Materials
5.3%
Cash & Other
5.1%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/etfs/us-credit-series/zten/
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
F/m 10-Year Investment Grade Corporate Bond ETF  PAGE 2  TSR-AR-74933W411
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Oakhurst Fixed Income Fund
image
Institutional Class | OHFIX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Oakhurst Fixed Income Fund (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/mutual-funds/ohfix. You can also request this information by contacting us at 1-800-292-6775.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$60
0.58%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund comfortably outperformed its index during the past fiscal year as duration and sector strategies both proved beneficial. Expecting benchmark yields to rise, Fund duration had started the year well below that of the index in an effort to minimize the impact of higher rates. As inflation fell and valuations improved, the duration of the Fund was extended closer to improve performance during a declining rate environment. Overweight allocations to mortgage-backed securities and corporate bonds also aided relative Fund performance due to the additional income and strong performance from these sectors. With elevated recession risk, a reduction in corporate bonds and an increased focus on higher quality securities was warranted.
Top Contributors
 
United States Treasury Note/Bond 4.13%, 11/15/2032
 
United States Treasury Note/Bond 3.88%, 08/15/2033
 
United States Treasury Note/Bond 3.50%, 02/15/2033
 
United States Treasury Note/Bond 3.00%, 02/15/2042
Top Detractors
New York Community Bancorp, Inc., 8.27% (3 mo. Term SOFR + 3.04%), 11/06/2028
 
United States Treasury Note/Bond 4.88%, 05/31/2026
 
  91282CDY4  United States Treasury Note/Bond 1.88%, 02/15/2032
 
  31620RAJ4   Fidelity National Financial Inc 3.40% 06/15/2032
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/32/014 11/30/2014 12./31/2014 01/31/2015 02/28/2.015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12./31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/3122016 01/31/2017 02/28/2017 03/31/2017 04/3.022017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02 / 28 / 2019 03 / 31 2019 04/ 30 / 2019 05 / 31 2019 06 / 30 / 2019 07 / 31 2019 08 31 2019 09 / 30 2019 10 / 31 / 2019 11 30 / 2019 12 / 31 2019 10/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/0222 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/21/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Oakhurst Fixed Income Fund Institutional Class 10,000 9,953 10,005 10,059 10,046 10,181 10,152 10,196 10,197 10,200 10,129 10,172 10,174 10,227 10,250 10,241 10,226 10,313 10,326 10,415 10,461 10,486 1 0,620 10,687 10,708 10,724 10,697 10,527 10,547 10,604 10,669 10,673 10,742 10,834 10,825 10,894 10,977 1 0,948 10,975 10,955 10,982 10,910 10,858 10,883 10,830 10,895 10,898 10,905 10,978 10,948 10,911 10,951 11,064 11,161 1 1 , 187 1 1 , 354 11 ,396 11 , 564 1 1 , 673 1 1 ,689 11,903 1 1 , 866 1 1 , 908 11 , 884 11 ,877 12067 12246 11961 12188 12257 13422 12579 12552 12564 12525 12632 12674 12654 12538 12438 12520 12577 12625 12744 12730 12652 12597 12610 12597 12390 12249 11906 11583 11569 11406 11621 11382 10947 10807 11090 11051 11351 11160 11383 11454 11356 11309 11340 11311 11095 10965 11373 11790 11791 11651 11767 11496 11671 11815 12049 12240
Bloomberg U.S. Aggregate Bond Index 10,000 9,932 10,030 10,101 10,110 10,322 10,225 10,273 10,236 10,211 10,100 10,170 10,156 10,224 10,226 10,199 10,166 10,306 10,379 10,474 10,514 10,517 10,706 10,774 10,761 10,755 10,673 10,420 10,435 10,456 10,526 10,520 1 0,601 10,683 10,672 10,718 10,814 10,763 10,769 10,755 10,805 10,680 10,579 10,647 10,568 10,643 10,630 10,633 10,701 10,632 10,548 10,611 10806 10921 10 , 914 11 , 124 11 , 127 1 1 , 324 11 ,466 11 , 492 11,789 1 1 ,727 11762 11 ,755 11 ,748 11974 12189 12118 12333 12391 12469 12655 12553 12546 12490 12612 12630 12539 12358 12204 12300 12340 12427 12566 12542 12433 12430 12467 12435 12167 12031 11697 11253 11326 11148 11420 11098 10618 10481 10866 10817 11150 10862 11138 11205 11083 11044 11036 10965 10687 10518 10994 11415 11384 11223 11327 11041 11228 11334 11599 11765
Oakhurst Fixed Income Fund  PAGE 1  TSR-AR-74933W320

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
8.21
0.56
2.04
Bloomberg U.S. Aggregate Bond Index
7.30
-0.04
1.64
Visit https://www.fminvest.com/mutual-funds/ohfix for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$124,797,712
Number of Holdings
180
Net Advisory Fee
$345,974
Portfolio Turnover
41%
Visit https://www.fminvest.com/mutual-funds/ohfix for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(%) of net assets
United States Treasury Note/Bond
30.2%
Federal Home Loan Mortgage Corp.
8.5%
Federal National Mortgage Association
8.4%
Government National Mortgage Association
5.6%
United States of America
2.9%
Sequoia Mortgage Trust
2.0%
Invesco Treasury Portfolio
1.5%
Alaska Airlines, Inc.
1.0%
WaMu Mortgage Pass Through Certificates
0.9%
RCKT Mortgage Trust
0.9%
Top Sectors
(%) of net assets
Government
33.0%
Mortgage Securities
31.6%
Financials
11.4%
Asset Backed Securities
4.7%
Consumer Discretionary
3.9%
Technology
3.1%
Energy
2.8%
Health Care
2.8%
Utilities
2.5%
Cash & Other
4.2%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/mutual-funds/ohfix
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-292-6775, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
Oakhurst Fixed Income Fund  PAGE 2  TSR-AR-74933W320
10000101741070810977109781190312552127301138211311122401000010156107611081410701117891255312542110981096511765

 
image
Oakhurst Short Duration Bond Fund
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Institutional Class | OHSDX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Oakhurst Short Duration Bond Fund (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/mutual-funds/ohsdx. You can also request this information by contacting us at 1-800-292-6775.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$62
0.60%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The Fund performance easily outdistanced that of the ICE BofA 1-3 Year US Corporate & Government Total Return Index (the “Index”) during the fiscal year. Meaningful overweight allocations to both corporate bonds, mortgage-backed securities, and asset-backed securities generated substantial income advantages and turned in strong performance. Fund duration began the year slightly longer than that of the Index and was extended further as expectations for Federal Reserve interest rate cuts grew closer. The longer maturities and higher interest rate sensitivity (duration) was timely as shorter maturity Treasury yields fell considerably during the year. With an increased concern over future economic conditions, Fund duration has been lengthened further and the quality improved.
Top Contributors
Federal Home Loan Mortgage Corp. Series 4938, Class BL, 2.25%, 07/25/2049
 
Federal National Mortgage Association Series 2018-45, Class AB, 3.00%, 06/25/2048
 
Elwood Energy LLC, 8.16%, 07/05/2026
 
Mastr Adjustable Rate Mortgages Trust Series 2004-2, Class M1, 6.22% (1 mo. Term SOFR + 0.94%), 12/25/2034
Top Detractors
Countrywide Asset-Backed Certificates, Series 2004-6, Class 2A3, 6.59% (1 mo. Term SOFR + 1.31%), 11/25/2034
 
Mastr Adjustable Rate Mortgages Trust Series 2004-5, Class 4A1, 4.04%, 04/25/2035
 
Series 2004-4, Class 2A, 6.02% (1 mo. Term SOFR + 0.67%), 06/19/2034
 
Series 2003-13, Class 1A1, 6.30%, 10/25/2033
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  08/31/2014 09/30/2014 10/31/2014 11/30/2014 12/31/2014 01/31/2015 02/28/2015 03/31/2015 04/30/2015 05/31/2015 06/30/2015 07/31/2015 08/31/2015 09/30/2015 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Oakhurst Short Duration Bond Fund Institutional Class 10000 9977 10006 10023 10004 10052 10059 10087 10106 10124 10112 10130 10139 10157 10165 10163 10153 10180 10177 10239 10278 10288 10349 10379 10377 10397 10406 10365 10386 10427 10455 10466 10498 10539 10537 10567 10600 10598 10609 10586 10595 10586 10575 10584 10584 10619 10629 10642 10676 10676 10680 10702 10763 10807 10832 10911 10946 11016 11065 11077 11136 11148 11190 11180 11187 11245 11313 11064 11200 11276 11364 11434 11465 11476 11489 11545 11580 11633 11652 11646 11667 11697 11695 11716 11724 11721 11693 11669 11654 11606 11547 11364 11287 11294 11176 11272 11179 11002 10934 11027 11048 11237 11170 11250 11324 11301 11311 11400 11429 11419 11417 11568 11750 11814 11786 11861 11826 11915 12015 12165 12306
Bloomberg U.S. Aggregate Bond Index 10000 9932 10030 10101 10110 10322 10225 10273 10236 10211 10100 10170 10156 10224 10226 10199 10166 10306 10379 10474 10514 10517 10706 10774 10761 10755 10673 10420 10435 10456 10526 10520 10601 10683 10672 10718 10814 10763 10769 10755 10805 10680 10579 10647 10568 10643 10630 10633 10701 10632 10548 10611 10806 10921 10914 11124 11127 11324 11466 11492 11789 11727 11762 11756 11748 11974 12189 12118 12333 12391 12469 12655 12553 12546 12490 12612 12630 12539 12358 12204 12300 12340 12427 12566 12542 12433 12430 12467 12435 12167 12031 11697 11253 11326 11148 11420 11098 10618 10481 10866 10817 11150 10862 11138 11205 11083 11044 11036 10965 10687 10518 10994 11415 11384 11223 11327 11041 11228 11334 11599 11765
ICE BofA 1-3 Year US Corporate & Government Total Retun Index 10000 9993 10019 10035 10007 10057 10044 10066 10074 10082 10081 10087 10080 10109 10107 10087 10074 10127 10137 10173 10186 10180 10240 10242 10231 10243 10239 10197 10203 10221 10238 10243 10261 10278 10274 10301 10321 10309 10308 10287 10291 10265 10256 10272 10262 10300 10302 10309 10344 10338 10350 10379 10459 10499 10517 10586 10611 10683 10743 10739 10824 10819 10857 10857 10884 10944 11030 11058 11128 11166 11192 11215 11220 11223 11224 11238 11248 11251 11245 11245 11255 11267 11252 11271 11272 11262 11227 11225 11202 11126 11071 10913 10854 10914 10845 10892 10816 10682 10668 10753 10778 10861 10785 10938 10976 10943 10901 10948 10989 10986 11020 11145 11276 11324 11285 11328 11295 11376 11440 11574 11679
Oakhurst Short Duration Bond Fund  PAGE 1  TSR-AR-74933W312

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
10 Year
Institutional Class
7.68
2.00
2.09
Bloomberg U.S. Aggregate Bond Index**
7.30
-0.04
1.64
ICE BofA 1-3 Year US Corporate & Government Total Retun Index
6.28
1.53
1.56
Visit https://www.fminvest.com/mutual-funds/ohsdx for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Bloomberg U.S. Aggregate Bond Index replaced the ICE BofA 1-3 Year US Corporate & Government Total Return Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the ICE BofA 1-3 Year US Corporate & Government Total Return Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$15,456,246
Number of Holdings
96
Net Advisory Fee
$(68,380)
Portfolio Turnover
48%
Visit https://www.fminvest.com/mutual-funds/ohsdx for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(%) of net assets
Federal National Mortgage Association
9.7%
United States Treasury Note/Bond
9.2%
Federal Home Loan Mortgage Corp.
6.8%
MortgageIT Trust
4.1%
Government National Mortgage Association
3.6%
Carvana Auto Receivables Trust
2.9%
Mastr Seasoned Securities Trust
1.9%
Leidos, Inc.
1.9%
Phillips 66 Partners LP
1.9%
Goldman Sachs BDC, Inc.
1.9%
Top Sectors
(%) of net assets
Mortgage Securities
38.3%
Financials
13.4%
Asset Backed Securities
11.7%
Government
9.2%
Consumer Discretionary
5.1%
Energy
4.8%
Communications
4.0%
Technology
3.0%
Utilities
3.0%
Cash & Other
7.5%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/mutual-funds/ohsdx
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-292-6775, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
Oakhurst Short Duration Bond Fund  PAGE 2  TSR-AR-74933W312
100001013910377106001067611136114651172411179114291230610000101561076110814107011178912553125421109810965117651000010080102311032110344108241122011272108161098911679

 
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Oakhurst Short Duration High Yield Credit Fund
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Institutional Class | OHSHX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the Oakhurst Short Duration High Yield Credit Fund (the “Fund”) for the period from September 1, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/mutual-funds/ohshx. You can also request this information by contacting us at 1-800-292-6775.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$100
0.95%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended August 31, 2024, the Fund underperformed its benchmark, the ICE BofA 1-5 Year US Cash Pay High Yield Constrained Index, primarily due to security selection. The Fund’s overweight allocation to BB-rated credits while reducing CCCs and lower-rated single-Bs was a detractor from relative performance, as CCCs as a group meaningfully outperformed higher rating categories in the recent credit rally. Among the primary contributors to relative performance was the Fund’s underweight positions in several higher beta issuers that underperformed, primarily within the Media and Telecom sector, which continued to struggle managing highly levered capital structures in a higher rate environment.
We believe a quality-tilted investment style adds value by avoiding losers, and as such, we remain vigilant on changes in market conditions and focus on prudent credit selection, with emphasis on downside protection.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  42014 10/31/2015 11/30/2015 12/31/2015 01/31/2016 02/29/2016 03/31/2016 04/30/2016 05/31/2016 06/30/2016 07/31/2016 08/31/2016 09/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
Oakhurst Short Duration High Yield Credit Fund Institutional Class 10000 10082 9939 9743 9537 9505 9774 9973 10024 10122 10352 10540 10628 10705 10684 10867 11028 11131 11133 11271 11358 11371 11463 11450 11510 11582 11539 11609 11722 11632 11597 11624 11642 11653 11729 11803 11860 11724 11673 11469 11865 12021 12117 12248 12118 12320 12394 12378 12460 12449 12447 12608 12619 12426 11068 11546 11973 12104 12443 12659 12696 12748 13118 13300 13390 13465 13551 13639 13680 13784 13804 13855 13893 13862 13793 13960 13766 13676 13619 13337 13098 12395 12782 12731 12428 12616 12638 12559 12930 12784 12804 12891 12813 12999 13158 13248 13193 13174 13541 13901 13970 13992 14143 14063 14224 14344 14496 14659
Bloomberg U.S. Aggregate Bond Index 10000 9995 9969 9937 10073 10145 10238 10277 10280 10465 10531 10519 10513 10432 10185 10200 10220 10288 10283 10362 10442 10432 10477 10570 10520 10526 10513 10561 10439 10340 10407 10329 10403 10390 10393 10460 10392 10310 10372 10562 10674 10668 10873 10876 11069 11208 11232 11524 11462 11497 11491 11483 11704 11914 11844 12055 12111 12187 12369 12270 12263 12208 12328 12345 12256 12079 11928 12023 12062 12147 12283 12259 12153 12150 12186 12154 11893 11760 11433 10999 11070 10897 11163 10847 10379 10244 10621 10573 10898 10617 10886 10952 10833 10794 10787 10718 10446 10281 10746 11158 11127 10970 11071 10792 10974 11078 11337 11500
ICE BofA 1-5 Year US Cash Pay High Yield Constrained Index 10000 10204 9998 9759 9573 9578 9968 10342 10465 10585 10802 11015 11117 11180 11189 11399 11531 11694 11688 11796 11894 11910 12013 12016 12109 12147 12106 12144 12254 12209 12186 12275 12319 12367 12492 12566 12646 12489 12401 12141 12596 12772 12850 12970 12841 13048 13086 13089 13118 13120 13112 13358 13362 13171 11572 11910 12374 12540 12978 13146 13076 13127 13602 13854 13951 14065 14166 14297 14358 14497 14497 14567 14606 14619 14495 14695 14491 14438 14371 14084 14069 13330 13942 13755 13389 13726 13936 13860 14292 14208 14291 14413 14322 14534 14719 14799 14718 14564 15076 15532 15541 15627 15770 15664 15812 15952 16232 16464
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Year
Since Inception
(10/01/2015)
Institutional Class
10.66
3.44
4.38
Bloomberg U.S. Aggregate Bond Index**
7.30
-0.04
1.58
ICE BofA 1-5 Year US Cash Pay High Yield Constrained Index
11.25
4.70
5.75
Visit https://www.fminvest.com/mutual-funds/ohshx for more recent performance information.
Oakhurst Short Duration High Yield Credit Fund  PAGE 1  TSR-AR-74933W296

 
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** Effective with this report, and pursuant to new regulatory requirements, the Bloomberg U.S. Aggregate Bond Index replaced the ICE BofA 1-5 Year US Cash Pay High Yield Constrained Index as the Fund’s primary benchmark to represent a broad-based securities market index. The Fund continues to use the ICE BofA 1-5 Year US Cash Pay High Yield Constrained Index as an additional benchmark.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$36,451,432
Number of Holdings
86
Net Advisory Fee
$162,025
Portfolio Turnover
49%
Visit https://www.fminvest.com/mutual-funds/ohshx for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(%) of net assets
Fly Leasing Ltd.
3.7%
Invesco Treasury Portfolio
3.5%
PennyMac Corp.
2.3%
White Cap Parent LLC
2.1%
Burford Capital Global Finance LLC
2.0%
Brundage-Bone Concrete Pumping Holdings, Inc.
2.0%
Midcap Financial Issuer Trust
2.0%
Sabre GLBL, Inc.
2.0%
Energizer Holdings, Inc.
2.0%
HUB International Ltd.
2.0%
Top Sectors
(%) of net assets
Financials
26.2%
Consumer Discretionary
24.3%
Technology
8.8%
Energy
8.7%
Materials
6.1%
Consumer Staples
6.0%
Communications
5.8%
Industrials
4.4%
Utilities
3.0%
Cash & Other
6.7%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/mutual-funds/ohshx
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-292-6775, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
Oakhurst Short Duration High Yield Credit Fund  PAGE 2  TSR-AR-74933W296
105401145011803123781265913855127311324814659105191057010460115241227012259108471071811500110151201612566130891314614567137551479916464

 
image
F/m Opportunistic Income ETF
image
XFIX (Principal U.S. Listing Exchange: NASDAQ)
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m Opportunistic Income ETF (the “Fund”) for the period from September 5, 2023, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/etfs/xfix. You can also request this information by contacting us at 1-800-617-0004.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
Fund Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
F/m Opportunistic Income ETF
$41
0.39%
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
The F/m Opportunistic Income Fund (XFIX) performed well for the fiscal period, returning 10.93% versus the U.S. Aggregate Bond Index’s return of 8.37%. For most of the period, the Fund’s duration was shorter than the duration of the index, mitigating the negative effect of higher interest rates. Also, the Fund concentrated on the BBB Corporate bond category and higher yielding, but improving credits that were rated BBB. The Fund’s investments in Energy, Technology and Consumer Discretionary led the way for the period. As the Fund closed out the period and the risk of recession rose, investments were added to increase liquidity and safety (the US Treasury 10 Year Note ETF) and diversification (the F/m 3-Year Investment Grade Corporate Bond ETF).  
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  09-05-2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m Opportunistic Income ETF NAV 10,000 9,870 9,682 10,130 10,547 10,585 10,440 10,616 10,414 10,630 10,703 10,911 11,093
F/m Opportunistic Income ETF Market 10,000 9,886 9,709 10,156 10,599 10,587 10,490 10,658 10,435 10,663 10,715 10,944 11,115
Bloomberg U.S. Aggregate Bond Index 10,000 9,843 9,688 10,126 10,514 10,485 10,337 10,432 10,169 10,341 10,439 10,683 10,837
ANNUAL AVERAGE TOTAL RETURN (%)
 
Since Inception
(09/05/2023)
F/m Opportunistic Income ETF NAV
10.93
F/m Opportunistic Income ETF Market
11.15
Bloomberg U.S. Aggregate Bond Index
8.37
Visit https://www.fminvest.com/etfs/xfix for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
F/m Opportunistic Income ETF  PAGE 1  TSR-AR-74933W445

 
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$35,343,097
Number of Holdings
28
Net Advisory Fee
$108,078
Portfolio Turnover
92%
30-Day SEC Yield
5.16%
30-Day SEC Yield Unsubsidized
5.16%
Visit https://www.fminvest.com/etfs/xfix for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)
Top 10 Holdings
(%) of net assets
US Treasury 10 Year Note ETF
8.2%
Mount Vernon Liquid Assets Portfolio, LLC
8.1%
F/m 3-Year Investment Grade Corporate Bond ETF
5.9%
Viatris, Inc.
4.8%
Kyndryl Holdings, Inc.
4.8%
Kinder Morgan, Inc.
4.7%
Concentrix Corp.
4.7%
JPMorgan Chase & Co.
4.6%
Celanese US Holdings LLC
4.6%
VF Corp.
4.6%
Top Sectors
(%) of net assets
Financials
13.7%
Energy
11.7%
Technology
11.5%
Information Technology
10.9%
Consumer Discretionary
9.0%
Materials
8.6%
Health Care
4.8%
Industrials
4.7%
Utilities
4.5%
Cash & Other
20.6%
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/etfs/xfix
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-617-0004, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
F/m Opportunistic Income ETF  PAGE 2  TSR-AR-74933W445
110931111510837

 
image
F/m Investments Large Cap Focused Fund
image
Institutional Class | IAFLX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m Investments Large Cap Focused Fund (the “Fund”) for the period from July 1, 2024, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/mutual-funds/iafmx-iaflx. You can also request this information by contacting us at 1-800-292-6775.
WHAT WERE THE FUND COSTS FOR THE PERIOD?  (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Institutional Class
$15*
0.90%
* Expenses paid in the above example are for the Fund’s current fiscal period from July 1, 2024 through August 31, 2024.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
Over the last 12-months ended 08/31/2024, the Fund underperformed its benchmark. This short-term relative underperformance was driven by our quantActive investment process which has long-term capital appreciation as a goal. We expect that some short-term periods will reflect on this long-term objective. In terms of the drivers for the relative underperformance, we would like to state that our investment process led us to be overexposed to information technology stocks that were not the best performers over the forestated period. These information technology stocks corrected over the Spring of 2024. Furthermore, we were underexposed to investments in utilities, financials and healthcare sectors. These are traditionally more defensive sectors and we did not have overexposures to those sectors.
HOW DID THE FUND PERFORM SINCE INCEPTION? *
The $100,000 chart reflects a hypothetical $100,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $100,000)
image
  10/30/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m Investments Large Cap Focused Fund Institutional Class 100000 97300 101700 102030 105034 108138 109639 111041 114746 112143 114646 115747 117750 124659 128063 128366 137434 135577 133392 134921 142350 142241 143006 154477 156771 143880 143443 130247 142404 148771 150855 157107 146688 155950 160117 155950 153287 156181 165327 169533 173042 164330 148236 169654 181513 193130 212249 232821 223503 216243 236451 241825 248008 251306 247321 261611 260786 276175 281671 286068 271641 291701 302419 305381 279177 277635 282945 248005 243038 217860 245093 232076 201076 213407 227452 209384 227217 227016 246252 241042 262281 281717 286926 278110 257673 255669 287327 295342 309368 328803 328202 311772 330206 350643 343831 350844
S&P 500 Total Return Index 100000 98485 102132 104151 106126 110340 110469 111603 113174 113880 116222 116578 118983 121759 125494 126889 134154 129209 125926 126409 129453 130250 135097 139499 140293 130704 133367 121326 131048 135256 137884 143467 134350 143818 145885 143574 146261 149429 154853 159527 159464 146337 128263 144705 151597 154612 163330 175070 168418 163939 181885 188878 186971 192126 200541 211243 212719 217685 222856 229632 218952 234292 232668 243096 230516 223614 231917 211693 212082 194576 212516 203850 185075 200059 211239 199069 211577 206415 213993 217334 218278 232701 240176 236353 225084 220351 240475 251400 255624 269273 277937 266585 279803 289843 293371 300488
Russell 1000 Growth Total Return Index 100000 97902 100032 101270 104683 109031 110292 112814 115748 115443 118511 120684 122253 126990 130848 131866 141206 137503 133733 134200 140082 141431 145583 153542 154401 140593 142086 129870 141544 146608 150781 157593 147638 157777 161340 160104 160124 164638 171942 177129 181089 168757 152155 174670 186396 194513 209478 231095 220222 212743 234526 245312 243497 243440 247623 264471 260813 277176 286310 297015 280381 304666 306529 313009 286145 273992 284710 250328 244508 225140 252162 240415 217043 229729 240197 221808 240295 237442 253672 256175 267851 286168 295809 293153 277210 273263 303052 316472 324365 346496 352595 337640 357853 381983 375486 383306
F/m Investments Large Cap Focused Fund  PAGE 1  TSR_AR_74933W288

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(10/03/2016)
Institutional Class**
26.15
17.61
17.20
S&P 500 Total Return Index
27.14
15.92
14.92
Russell 1000 Growth Total Return Index
30.75
19.08
18.52
Visit https://www.fminvest.com/mutual-funds/iafmx-iaflx for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** The Fund commenced operations on October 3, 2016 as a separate series (the “Predecessor Fund”) of F/m Funds Trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. The performance shown for periods prior to October 30, 2023 represents the performance of the Predecessor Fund.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$65,543,939
Number of Holdings
24
Net Advisory Fee
$66,788
Portfolio Turnover
19%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)*
Top 10 Holdings
(%) of net assets
Apple, Inc.
11.0%
NVIDIA Corp.
10.0%
First American Treasury Obligations Fund
8.0%
Microsoft Corp.
7.3%
Amazon.com, Inc.
6.8%
Meta Platforms, Inc.
6.5%
Netflix, Inc.
5.3%
Alphabet, Inc.
4.5%
Advanced Micro Devices, Inc.
4.3%
Adobe, Inc.
3.2%
Top Sectors
(%) of net assets
Information Technology
54.6%
Communication Services
16.3%
Consumer Discretionary
12.0%
Industrials
4.4%
Health Care
2.4%
Consumer Staples
2.4%
Cash & Other
7.9%
* The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and  Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank  Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/mutual-funds/iafmx-iaflx
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund, LLC at 1-800-292-6775 or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments, LLC or your financial intermediary.
F/m Investments Large Cap Focused Fund  PAGE 2  TSR_AR_74933W288

 
image
F/m Investments Large Cap Focused Fund
image
Investor Class | IAFMX
Annual Shareholder Report | August 31, 2024
This annual shareholder report contains important information about the F/m Investments Large Cap Focused Fund (the “Fund”) for the period from July 1, 2024, to August 31, 2024. You can find additional information about the Fund at https://www.fminvest.com/mutual-funds/iafmx-iaflx. You can also request this information by contacting us at 1-800-292-6775.
WHAT WERE THE FUND COSTS FOR THE PERIOD?  (based on a hypothetical $10,000 investment)
Class Name
Costs of a $10,000 investment
Costs paid as a percentage of a $10,000 investment
Investor Class
$19*
1.15%
* Expenses paid in the above example are for the Fund’s fiscal period from July 1, 2024 through August 31, 2024.
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
Over the last 12-months ended 08/31/2024, the Fund underperformed its benchmark. This short-term relative underperformance was driven by our quantActive investment process which has long-term capital appreciation as a goal. We expect that some short-term periods will reflect on this long-term objective. In terms of the drivers for the relative underperformance, we would like to state that our investment process led us to be overexposed to information technology stocks that were not the best performers over the forestated period. These information technology stocks corrected over the Spring of 2024. Furthermore, we were underexposed to investments in utilities, financials and healthcare sectors. These are traditionally more defensive sectors and we did not have overexposures to those sectors.
HOW DID THE FUND PERFORM SINCE INCEPTION? *
The $10,000 chart reflects a hypothetical $10,000 investment in the class of shares noted. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses, were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $10,000)
image
  3/10/2016 10/31/2016 11/30/2016 12/31/2016 01/31/2017 02/28/2017 03/31/2017 04/30/2017 05/31/2017 06/30/2017 07/31/2017 08/31/2017 09/30/2017 10/31/2017 11/30/2017 12/31/2017 01/31/2018 02/28/2018 03/31/2018 04/30/2018 05/31/2018 06/30/2018 07/31/2018 08/31/2018 09/30/2018 10/31/2018 11/30/2018 12/31/2018 01/31/2019 02/28/2019 03/31/2019 04/30/2019 05/31/2019 06/30/2019 07/31/2019 08/31/2019 09/30/2019 10/31/2019 11/30/2019 12/31/2019 01/31/2020 02/29/2020 03/31/2020 04/30/2020 05/31/2020 06/30/2020 07/31/2020 08/31/2020 09/30/2020 10/31/2020 11/30/2020 12/31/2020 01/31/2021 02/28/2021 03/31/2021 04/30/2021 05/31/2021 06/30/2021 07/31/2021 08/31/2021 09/30/2021 10/31/2021 11/30/2021 12/31/2021 01/31/2022 02/28/2022 03/31/2022 04/30/2022 05/31/2022 06/30/2022 07/31/2022 08/31/2022 09/30/2022 10/31/2022 11/30/2022 12/31/2022 01/31/2023 02/28/2023 03/31/2023 04/30/2023 05/31/2023 06/30/2023 07/31/2023 08/31/2023 09/30/2023 10/31/2023 11/30/2023 12/31/2023 01/31/2024 02/29/2024 03/31/2024 04/30/2024 05/31/2024 06/30/2024 07/31/2024 08/31/2024
F/m Investments Large Cap Focused Fund Investor Class 10000 9730 10170 10197 10497 10808 10948 11098 11468 11198 11448 11548 11748 12439 12779 12801 13707 13511 13292 13434 14176 14165 14242 15377 15606 14318 14264 12958 14171 14795 15003 15626 14575 15499 15904 15499 15222 15511 16412 16838 17175 16296 14706 16826 17994 19151 21041 23077 22150 21415 23414 23949 24551 24880 24483 25879 25796 27315 27849 28273 26836 28821 29875 30155 27574 27420 27933 24479 23967 21488 24172 22890 19813 21026 22411 20625 22389 22349 24233 23732 25816 27700 28221 27359 25335 25135 28241 29023 30386 32290 32230 30607 32410 34415 33733 34415
S&P 500 Total Return Index 10000 9848 10213 10415 10613 11034 11047 11160 11317 11388 11622 11658 11898 12176 12549 12689 13415 12921 12593 12641 12945 13025 13510 13950 14029 13070 13337 12133 13105 13526 13788 14347 13435 14382 14589 14357 14626 14943 15485 15953 15946 14634 12826 14471 15160 15461 16333 17507 16842 16394 18188 18888 18697 19213 20054 21124 21272 21768 22286 22963 21895 23429 23267 24310 23052 22361 23192 21169 21208 19458 21252 20385 18508 20006 21124 19907 21158 20642 21399 21733 21828 23270 24018 23635 22508 22035 24047 25140 25562 26927 27794 26658 27980 28984 29337 30049
Russell 1000 Growth Total Return Index 10000 9790 10003 10127 10468 10903 11029 11281 11575 11544 11851 12068 12225 12699 13085 13187 14121 13750 13373 13420 14008 14143 14558 15354 15440 14059 14209 12987 14154 14661 15078 15759 14764 15778 16134 16010 16012 16464 17194 17713 18109 16876 15216 17467 18640 19451 20948 23109 22022 21274 23453 24531 24350 24344 24762 26447 26081 27718 28631 29702 28038 30467 30653 31301 28615 27399 28471 25033 24451 22514 25216 24042 21704 22973 24020 22181 24030 23744 25367 25617 26785 28617 29581 29315 27721 27326 30305 31647 32437 34650 35260 33764 35785 38198 37549 38331
F/m Investments Large Cap Focused Fund  PAGE 1  TSR_AR_74933W270

 
ANNUAL AVERAGE TOTAL RETURN (%)
 
1 Year
5 Years
Since Inception
(10/03/2016)
Investor Class**
25.79
17.30
16.91
S&P 500 Total Return Index
27.14
15.92
14.92
Russell 1000 Growth Total Return Index
30.75
19.08
18.52
Visit https://www.fminvest.com/mutual-funds/iafmx-iaflx for more recent performance information.
* The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
** The Fund commenced operations on October 3, 2016 as a separate series (the “Predecessor Fund”) of F/m Funds Trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized as a new series of The RBB Fund, Inc. The performance shown for periods prior to October 30, 2023 represents the performance of the Predecessor Fund.
KEY FUND STATISTICS (as of August 31, 2024)
Net Assets
$65,543,939
Number of Holdings
24
Net Advisory Fee
$66,788
Portfolio Turnover
19%
WHAT DID THE FUND INVEST IN? (as of August 31, 2024)*
Top 10 Holdings
(%) of net assets
Apple, Inc.
11.0%
NVIDIA Corp.
10.0%
First American Treasury Obligations Fund
8.0%
Microsoft Corp.
7.3%
Amazon.com, Inc.
6.8%
Meta Platforms, Inc.
6.5%
Netflix, Inc.
5.3%
Alphabet, Inc.
4.5%
Advanced Micro Devices, Inc.
4.3%
Adobe, Inc.
3.2%
Top Sectors
(%) of net assets
Information Technology
54.6%
Communication Services
16.3%
Consumer Discretionary
12.0%
Industrials
4.4%
Health Care
2.4%
Consumer Staples
2.4%
Cash & Other
7.9%
* The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and  Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank  Global Fund Services.
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.fminvest.com/mutual-funds/iafmx-iaflx
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Fund documents not be householded, please contact the Fund at 1-800-292-6775, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by F/m Investments or your financial intermediary.
F/m Investments Large Cap Focused Fund  PAGE 2  TSR_AR_74933W270

 

 

 

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. Gregory P. Chandler, Nicholas A. Giordano and Martha A. Tirinnanzi are the registrant’s audit committee financial experts and each of them is “independent” as defined in Item 3 of Form N-CSR.

 

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 2024     Fiscal Year 2023  
Ernst & Young LLP   $ 789,050     $ 727,675  
PricewaterhouseCoopers LLP   $ 240,805     $ 233,791  
Tait, Weller & Baker   $ 104,000     $ 101,500  
Cohen & Co   $ 228,750     $ 116,000  

 

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 related to review of the semi-annual reports and N-1A filings for Ernst & Young LLP and review of semi-annual reports for Tait, Weller & Baker and Cohen & Co. and PricewaterhouseCoopers LLP, were as follows:

  1

 

    Fiscal Year 2024     Fiscal Year 2023  
Ernst & Young LLP   $ 24,700     $ 11,500  
PricewaterhouseCoopers LLP   $ 0     $ 0  
Tait, Weller & Baker   $ 3,000     $ 2,800  
Cohen & Co   $ 5,700     $ 1,500  

 

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 related to federal and state tax return review and excise distribution review and were as follows:

 

    Fiscal Year 2024     Fiscal Year 2023  
Ernst & Young LLP   $ 218,480     $ 201,550  
PricewaterhouseCoopers LLP   $ 43,072     $ 41,817  
Tait, Weller & Baker   $ 21,400     $ 20,900  
Cohen & Co   $ 66,500     $ 38,500  

 

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 2024     Fiscal Year 2023  
Ernst & Young LLP   $ 0     $ 0  
PricewaterhouseCoopers LLP   $ 0     $ 0  
Tait, Weller & Baker   $ 0     $ 0  
Cohen & Co   $ 0     $ 0  

 

(e)(1) 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

 

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.

 

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 less than 50%.

 

(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 2024     Fiscal Year 2023  
Ernst & Young LLP   $ 243,180     $ 213,050  
PricewaterhouseCoopers LLP   $ 43,072     $ 41,817  
Tait, Weller & Baker   $ 24,400     $ 23,700  
Cohen & Co   $ 72,200     $ 40,000  

 

(h) Not applicable.
(i) Not applicable.
(j) Not applicable.

 

Item 5. Audit Committee of Listed Registrants.

 

Not applicable.

 

Item 6. Investments.

 

(a) The registrant’s Schedule of Investments is included as part of the report to shareholders filed under Item 7 of this Form.

 

(b) Not applicable.

 

Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.

 

 

 

 

 

Abbey Capital Futures Strategy Fund

 

of

 

THE RBB FUND, INC.

 

 

Financial Statements

 

 

 

 

August 31, 2024

 

 

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments

August 31, 2024

 

   

Par

   

Value

 

SHORT-TERM INVESTMENTS — 78.5%

               

U.S. Treasury Bills — 78.5%

               

5.21%, 09/05/2024(a)

  $ 8,659,000     $ 8,656,491  

5.25%, 09/12/2024(a)

    56,778,000       56,704,028  

5.21%, 09/19/2024(a)

    105,249,000       105,004,589  

5.22%, 09/26/2024(a)

    100,462,000       100,128,885  

5.21%, 10/03/2024(a)

    95,348,000       94,939,593  

5.26%, 10/10/2024(a)

    159,182,000       158,342,304  

5.26%, 10/17/2024(a)

    244,195,000       242,673,970  

5.28%, 10/24/2024(a)

    32,489,000       32,253,864  

5.25%, 10/31/2024(a)

    79,986,000       79,327,922  

5.26%, 11/07/2024(a)

    25,223,000       24,994,473  

5.26%, 11/14/2024(a)

    24,738,000       24,490,944  

5.28%, 11/21/2024(a)

    145,687,000       144,091,686  

5.26%, 11/29/2024(a)

    69,407,000       68,573,616  

5.25%, 12/05/2024(a)

    51,085,000       50,440,725  

5.24%, 12/12/2024(a)

    45,669,000       45,054,593  

5.21%, 12/19/2024(a)

    110,416,000       108,824,733  

5.11%, 01/09/2025(a)

    23,576,000       23,178,268  

5.08%, 01/16/2025(a)

    89,603,000       88,008,375  

5.04%, 01/23/2025(a)

    37,555,000       36,853,032  

4.81%, 01/30/2025(a)

    78,275,000       76,743,830  

4.88%, 02/06/2025(a)

    73,591,000       72,085,699  

4.91%, 02/13/2025(a)

    192,104,000       188,010,485  

4.82%, 02/20/2025(a)

    194,044,000       189,744,173  

4.77%, 02/27/2025(a)

    114,930,000       112,285,366  

TOTAL SHORT-TERM INVESTMENTS (Cost $2,130,402,199)

            2,131,411,644  
                 

TOTAL INVESTMENTS — 78.5% (Cost $2,130,402,199)

            2,131,411,644  
                 

Other Assets in Excess of Liabilities 21.5%

            582,161,025  

TOTAL NET ASSETS — 100.0%

          $ 2,713,572,669  

 

Percentages are stated as a percent of net assets.

(a)

The rate shown is the effective yield as of August 31, 2024.

 

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

 

1

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Futures contracts outstanding as of August 31, 2024 were as follows:

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

10 Year Japanese Government Bonds

    2       09/11/2024     $ 198,030     $ (376 )

10 Year U.S. Ultra Treasury Notes

    154       12/19/2024       18,085,375       (125,460 )

3 Month Canadian Overnight Repo Rate Average

    377       03/18/2025       67,369,885       162,718  

3 Month Canadian Overnight Repo Rate Average

    153       06/17/2025       27,437,595       (2,810 )

3 Month Canadian Overnight Repo Rate Average

    79       09/16/2025       14,199,366       6,048  

3 Month Canadian Overnight Repo Rate Average

    69       12/16/2025       12,419,898       15,128  

3 Month Canadian Overnight Repo Rate Average

    49       03/17/2026       8,829,472       10,388  

3 Month Canadian Overnight Repo Rate Average

    31       06/16/2026       5,590,593       3,478  

3 Month Euribor

    24       12/16/2024       6,431,438       (1,865 )

3 Month Euribor

    6       03/17/2025       1,614,741       (69 )

3 Month Euribor

    1,564       06/16/2025       421,989,554       1,123,570  

3 Month Euribor

    373       09/15/2025       100,769,579       (2,252 )

3 Month Euribor

    1,095       12/15/2025       296,021,597       353,203  

3 Month Euribor

    164       03/16/2026       44,344,719       13,140  

3 Month Euribor

    304       06/15/2026       82,199,967       29,100  

3 Month Euribor

    308       09/14/2026       83,268,778       66,531  

3 Month Euribor

    169       12/14/2026       45,680,346       13,693  

3 Month Euribor

    389       03/15/2027       105,119,010       (30,288 )

3 Month Euribor

    626       06/14/2027       169,119,991       80,307  

3 Month Euribor

    68       09/13/2027       18,366,164       12,311  

3 Month New Zealand Treasury Bill

    56       12/11/2024       34,613,999       6,883  

3 Month New Zealand Treasury Bill

    35       03/12/2025       21,659,096       (605 )

3 Month Swiss Average Overnight Rate

    10       03/18/2025       2,921,299       456  

3 Month Swiss Average Overnight Rate

    39       06/17/2025       11,403,962       43,203  

3MO EURO EURIBOR Dec27

    1       12/13/2027       270,035       (14 )

3-Month Secured Overnight Financing Rate

    162       03/18/2025       38,776,725       (10,100 )

3-Month Secured Overnight Financing Rate

    363       06/17/2025       87,342,338       (146,838 )

3-Month Secured Overnight Financing Rate

    204       09/16/2025       49,240,500       24,300  

3-Month Secured Overnight Financing Rate

    173       12/16/2025       41,833,563       9,613  

3-Month Secured Overnight Financing Rate

    972       03/17/2026       235,284,750       (75,388 )

3-Month Secured Overnight Financing Rate

    482       06/16/2026       116,740,400       (25,125 )

3-Month Secured Overnight Financing Rate

    191       09/15/2026       46,272,138       22,075  

3-Month Secured Overnight Financing Rate

    185       12/15/2026       44,818,563       25,038  

3-Month Secured Overnight Financing Rate

    172       03/16/2027       41,662,700       22,375  

3-Month Secured Overnight Financing Rate

    710       06/15/2027       171,935,375       114,450  

3-Month Secured Overnight Financing Rate

    134       09/14/2027       32,436,150       8,263  

3-Month Secured Overnight Financing Rate

    106       12/14/2027       25,650,713       6,988  

3-Month Secured Overnight Financing Rate

    55       03/14/2028       13,308,625       16,988  

3-Month Secured Overnight Financing Rate

    55       06/20/2028       13,304,500       16,213  

3-Month Secured Overnight Financing Rate

    57       09/19/2028       13,784,025       18,675  

3-Month Secured Overnight Financing Rate

    57       12/19/2028       13,780,800       (9,513 )

Arabica Coffee

    392       12/18/2024       35,875,350       724,789  

Arabica Coffee

    58       03/19/2025       5,265,675       94,556  

Arabica Coffee

    20       05/19/2025       1,798,875       81,244  

ASX SPI 200 Index

    685       09/19/2024       93,296,552       1,977,186  

AUD/USD Cross Currency Rate

    767       09/16/2024       51,922,065       (33,959 )

Australian Government 10 Year Bonds

    1,693       09/16/2024       133,585,245       (132,371 )

Australian Government 3 Year Bonds

    2,849       09/16/2024       206,224,467       (63,879 )

Australian 90 Day Bank Bills

    13       09/12/2024       8,705,473       (1,209 )

 

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

 

2

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Australian 90 Day Bank Bills

    793       12/12/2024     $ 531,267,168     $ 25,356  

Australian 90 Day Bank Bills

    927       03/13/2025       621,510,153       133,636  

Australian 90 Day Bank Bills

    171       06/12/2025       114,714,749       (3,412 )

Australian 90 Day Bank Bills

    138       09/11/2025       92,606,236       5,262  

Australian 90 Day Bank Bills

    36       12/11/2025       24,163,465       48  

Australian 90 Day Bank Bills

    26       03/12/2026       17,454,379       935  

Brent Crude Oil

    163       09/30/2024       12,539,590       (290,100 )

British Pound/US Dollar Cross Currency Rate

    2,490       09/16/2024       204,257,813       1,059,730  

CAC40 10 Euro Index

    135       09/20/2024       11,414,525       66,087  

Canadian 10 Year Government Bonds

    1,232       12/18/2024       112,499,477       (891,582 )

Canadian 5 Year Bonds

    662       12/18/2024       56,009,528       (266,419 )

Canadian Dollar/US Dollar Cross Currency Rate

    1,252       09/17/2024       92,879,620       (5,685 )

Class III Milk

    20       10/29/2024       914,800       1,900  

Consumer Discretionary Select Sector Index

    2       09/20/2024       378,500       4,930  

Copper

    52       12/27/2024       5,474,950       (54,332 )

Copper

    2       03/27/2025       212,875       (562 )

Corn No. 2 Yellow

    19       12/13/2024       380,950       6,106  

Cotton No.2

    105       12/06/2024       3,674,475       (247,785 )

Crude Oil

    232       09/20/2024       17,063,600       (831,710 )

Crude Oil

    1       10/22/2024       72,650       (1,300 )

Crude Palm Oil

    12       10/15/2024       278,658       2,152  

Crude Palm Oil

    60       11/15/2024       1,380,104       6,645  

Crude Palm Oil

    2       12/13/2024       45,633       150  

Crude Soybean Oil

    4       12/13/2024       100,824       (220 )

DAX Index

    3       09/20/2024       314,226       6,306  

Dollar Index

    49       09/16/2024       4,979,576       (107,059 )

Dow Jones Industrial Average Index

    633       09/20/2024       131,831,745       2,604,839  

Dow Jones U.S. Micro-Cap Total Stock Index

    5       09/20/2024       104,132       3,370  

E-mini Consumer Staples Select Sector

    10       09/20/2024       834,000       47,160  

E-mini Materials Sector

    4       09/20/2024       400,600       20,060  

Emini S&P 500 ESG Index

    20       09/20/2024       5,026,000       51,515  

Euro BUXL 30 Year Bonds

    92       09/06/2024       13,680,252       (264,749 )

Euro Half Dollars

    4       09/16/2024       276,500       1,500  

Euro STOXX 50 Dividend Index

    19       12/19/2025       341,292       3,935  

EURO STOXX 50 Index

    5       09/20/2024       252,086       8,843  

Euro STOXX 50 Quanto Index

    1,157       09/20/2024       63,576,488       237,101  

Euro STOXX Banks Index

    109       09/20/2024       863,602       13,110  

Euro/Japanese Yen Cross Currency Rate

    38       09/16/2024       5,238,354       (176,953 )

Euro/US Dollar Cross Currency Rate

    12       09/16/2024       165,892       (1,114 )

Euro/US Dollar Cross Currency Rate

    1,676       09/16/2024       231,696,525       (1,256,873 )

Euro-BOBL

    1,064       09/06/2024       138,397,038       (791,714 )

Euro-BOBL

    2       12/06/2024       262,997       (111 )

Euro-BTP Future Dec24

    1       12/06/2024       131,344       (243 )

Euro-BTP Italian Government Bonds

    758       09/06/2024       99,600,354       712,740  

Euro-Bund

    892       09/06/2024       132,037,495       (675,466 )

Euro-Bund

    235       12/06/2024       34,653,181       (696 )

Euro-Schatz

    846       09/06/2024       99,342,928       (32,770 )

EURO-SCHATZ FUT Dec24

    1,125       12/06/2024       132,627,259       (1,194 )

Financial Select Sector Index

    9       09/20/2024       1,269,112       90,575  

French Government Bonds

    1,672       09/06/2024       233,006,179       1,121,030  

Frozen Concentrated Orange Juice

    38       11/08/2024       2,623,710       46,905  

 

 

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

 

3

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

FTSE 100 Index

    1,742       09/20/2024     $ 191,886,754     $ 2,078,330  

FTSE Bursa Malaysia KLCI Index

    89       09/30/2024       1,720,804       10,648  

FTSE China A50 Index

    1,477       09/27/2024       17,354,750       (140,092 )

FTSE MIB Index

    30       09/20/2024       1,142,630       34,407  

FTSE/JSE Top 40 Index

    618       09/19/2024       26,394,922       769,714  

FTSE/MIB Index

    75       09/20/2024       14,282,872       289,676  

German Stock Index

    286       09/20/2024       149,781,296       3,046,362  

Gold

    614       12/27/2024       155,194,640       2,389,695  

Gold

    21       02/26/2025       5,354,580       240,180  

Hang Seng China Enterprises Index

    191       09/27/2024       7,734,008       63,094  

Hang Seng China Enterprises Index

    22       09/27/2024       178,166       1,649  

Hang Seng Index

    198       09/27/2024       22,789,120       271,198  

Hang Seng Index

    62       09/27/2024       1,427,197       13,923  

IBEX 35 Composite Index

    11       09/20/2024       139,020       7,426  

IBEX 35 Index

    25       09/20/2024       3,159,537       167,885  

ICE 3 Month SONIA Rate

    485       03/18/2025       152,111,870       (11,196 )

ICE 3 Month SONIA Rate

    497       06/17/2025       156,405,790       246,441  

ICE 3 Month SONIA Rate

    688       09/16/2025       217,044,284       (175,883 )

ICE 3 Month SONIA Rate

    118       12/16/2025       37,279,858       (36,559 )

ICE 3 Month SONIA Rate

    449       03/17/2026       142,000,437       (160,173 )

ICE 3 Month SONIA Rate

    260       06/16/2026       82,278,643       (137,913 )

ICE 3 Month SONIA Rate

    121       09/15/2026       38,307,106       (34,852 )

ICE 3 Month SONIA Rate

    118       12/15/2026       37,367,028       (37,462 )

ICE 3 Month SONIA Rate

    115       03/16/2027       36,424,571       (39,990 )

ICE 3 Month SONIA Rate

    371       06/15/2027       117,533,194       55,553  

ICE 3 Month SONIA Rate

    17       09/14/2027       5,386,176       (9,013 )

ICE 3 Month SONIA Rate

    10       12/14/2027       3,168,667       (5,040 )

ICE European Climate Exchange Emissions

    26       12/16/2024       2,020,450       (64,412 )

ICE European Climate Exchange Emissions

    7       12/15/2025       562,925       (15,641 )

ICE RTD MONTH COA Dec24

    2       12/27/2024       248,200       (300 )

ICE RTD MONTH COA Nov24

    2       11/29/2024       245,700       (2,800 )

ICE RTD MONTH COA Oct24

    2       10/25/2024       243,300       (5,200 )

Industrial Select Sector Index

    6       09/20/2024       796,320       50,740  

Japanese 10 Year Government Bonds

    123       09/12/2024       121,763,185       (255,831 )

Japanese Yen/US Dollar Cross Currency Rate

    168       09/16/2024       14,406,000       (171,944 )

Lean Hogs

    70       10/14/2024       2,302,300       38,940  

Lean Hogs

    8       12/13/2024       232,880       690  

Live Cattle

    103       10/31/2024       7,358,320       (228,230 )

Live Cattle

    70       12/31/2024       4,971,400       (152,870 )

LME Aluminum Forward

    1       09/02/2024       60,611       (1,567 )

LME Aluminum Forward

    1       09/03/2024       60,591       (1,561 )

LME Aluminum Forward

    3       09/06/2024       182,182       7,785  

LME Aluminum Forward

    2       09/09/2024       121,493       9,363  

LME Aluminum Forward

    2       09/10/2024       121,532       9,373  

LME Aluminum Forward

    8       09/11/2024       486,238       12,569  

LME Aluminum Forward

    3       09/13/2024       182,502       (4,574 )

LME Aluminum Forward

    142       09/16/2024       8,640,345       (271,741 )

LME Aluminum Forward

    4       09/17/2024       243,390       (5,895 )

LME Aluminum Forward

    5       09/18/2024       304,305       (7,301 )

LME Aluminum Forward

    18       09/23/2024       1,096,717       (32,575 )

LME Aluminum Forward

    1       09/25/2024       60,956       4,181  

 

 

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

 

4

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Aluminum Forward

    2       10/02/2024     $ 122,125     $ 8,233  

LME Aluminum Forward

    245       10/14/2024       15,004,596       (99,641 )

LME Aluminum Forward

    6       10/15/2024       366,859       14,225  

LME Aluminum Forward

    10       10/16/2024       610,432       34,944  

LME Aluminum Forward

    3       10/18/2024       183,012       11,534  

LME Aluminum Forward

    3       10/21/2024       182,953       (3,666 )

LME Aluminum Forward

    4       10/22/2024       243,994       (525 )

LME Aluminum Forward

    19       10/23/2024       1,159,242       (18,145 )

LME Aluminum Forward

    4       10/25/2024       244,280       (4,895 )

LME Aluminum Forward

    5       10/28/2024       305,421       (5,954 )

LME Aluminum Forward

    4       10/29/2024       244,417       86  

LME Aluminum Forward

    4       10/30/2024       244,497       (4,903 )

LME Aluminum Forward

    5       11/01/2024       305,611       (6,139 )

LME Aluminum Forward

    2       11/04/2024       122,242       (2,382 )

LME Aluminum Forward

    2       11/06/2024       122,165       (2,385 )

LME Aluminum Forward

    1       11/08/2024       61,106       3,032  

LME Aluminum Forward

    1       11/11/2024       61,112       3,400  

LME Aluminum Forward

    2       11/15/2024       122,262       250  

LME Aluminum Forward

    110       11/18/2024       6,724,437       (133,867 )

LME Aluminum Forward

    6       11/19/2024       366,607       (4,005 )

LME Aluminum Forward

    10       11/20/2024       611,012       (14,738 )

LME Aluminum Forward

    5       11/25/2024       305,787       (9,988 )

LME Aluminum Forward

    14       11/27/2024       856,450       (12,425 )

LME Copper Forward

    1       09/02/2024       227,998       (12,821 )

LME Copper Forward

    1       09/03/2024       227,953       (12,838 )

LME Copper Forward

    1       09/04/2024       228,087       (20,913 )

LME Copper Forward

    4       09/09/2024       913,236       (53,001 )

LME Copper Forward

    3       09/10/2024       685,060       (38,585 )

LME Copper Forward

    9       09/11/2024       2,055,505       (115,828 )

LME Copper Forward

    3       09/13/2024       685,600       (38,708 )

LME Copper Forward

    35       09/16/2024       7,999,923       (585,974 )

LME Copper Forward

    1       09/18/2024       228,569       (16,756 )

LME Copper Forward

    1       09/23/2024       228,782       1,611  

LME Copper Forward

    1       10/02/2024       229,170       (18,255 )

LME Copper Forward

    1       10/04/2024       229,370       (20,043 )

LME Copper Forward

    1       10/08/2024       229,451       1,783  

LME Copper Forward

    1       10/11/2024       229,632       (15,768 )

LME Copper Forward

    43       10/14/2024       9,875,272       (419,028 )

LME Copper Forward

    1       10/15/2024       229,657       2,108  

LME Copper Forward

    3       10/16/2024       688,972       6,325  

LME Copper Forward

    1       10/23/2024       230,067       2,018  

LME Copper Forward

    2       11/04/2024       460,996       (1,195 )

LME Copper Forward

    1       11/05/2024       230,514       (614 )

LME Copper Forward

    2       11/06/2024       461,060       (1,260 )

LME Copper Forward

    3       11/13/2024       691,796       12,559  

LME Copper Forward

    5       11/18/2024       1,153,710       (17,670 )

LME Copper Forward

    1       11/19/2024       230,642       (1,121 )

LME Copper Forward

    2       11/20/2024       461,284       1,734  

LME Copper Forward

    1       11/25/2024       230,808       (4,454 )

LME Copper Forward

    3       11/27/2024       692,625       (5,913 )

LME Lead Forward

    2       09/02/2024       101,090       (12,060 )

 

 

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

 

5

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Lead Forward

    1       09/03/2024     $ 50,558     $ (5,105 )

LME Lead Forward

    2       09/03/2024       101,065       (13,560 )

LME Lead Forward

    1       09/04/2024       50,570       (5,355 )

LME Lead Forward

    3       09/06/2024       151,861       1,085  

LME Lead Forward

    3       09/09/2024       151,898       1,085  

LME Lead Forward

    3       09/10/2024       151,936       (3,838 )

LME Lead Forward

    13       09/11/2024       658,551       (45,400 )

LME Lead Forward

    5       09/13/2024       253,386       (22,833 )

LME Lead Forward

    46       09/16/2024       2,331,383       (181,584 )

LME Lead Forward

    7       09/17/2024       354,688       (32,237 )

LME Lead Forward

    3       09/18/2024       151,972       (13,816 )

LME Lead Forward

    3       09/20/2024       152,059       (13,691 )

LME Lead Forward

    1       09/23/2024       50,694       (3,889 )

LME Lead Forward

    1       09/25/2024       50,727       221  

LME Lead Forward

    77       10/14/2024       3,928,251       (104,549 )

LME Lead Forward

    1       10/16/2024       51,035       (664 )

LME Lead Forward

    3       10/18/2024       153,202       (2,180 )

LME Lead Forward

    3       10/21/2024       153,224       (2,195 )

LME Lead Forward

    3       10/22/2024       153,246       (2,210 )

LME Lead Forward

    20       10/23/2024       1,021,790       (8,311 )

LME Lead Forward

    7       10/25/2024       357,833       1,971  

LME Lead Forward

    5       10/28/2024       255,632       1,258  

LME Lead Forward

    3       10/29/2024       153,401       (2,106 )

LME Lead Forward

    6       10/30/2024       306,848       (4,211 )

LME Lead Forward

    4       11/12/2024       204,949       4,699  

LME Lead Forward

    2       11/13/2024       102,490       927  

LME Lead Forward

    4       11/18/2024       205,127       (6,598 )

LME Lead Forward

    1       11/20/2024       51,257       (768 )

LME Lead Forward

    3       11/25/2024       153,917       (5,134 )

LME Lead Forward

    3       11/27/2024       153,975       (2,275 )

LME Nickel Forward

    2       09/02/2024       198,507       (5,337 )

LME Nickel Forward

    1       09/03/2024       99,232       (17,300 )

LME Nickel Forward

    2       09/03/2024       198,549       2,887  

LME Nickel Forward

    3       09/04/2024       297,883       8,439  

LME Nickel Forward

    1       09/06/2024       99,373       5,554  

LME Nickel Forward

    2       09/09/2024       198,790       2,880  

LME Nickel Forward

    1       09/10/2024       99,416       (2,679 )

LME Nickel Forward

    4       09/11/2024       397,746       (2,454 )

LME Nickel Forward

    3       09/13/2024       298,561       225  

LME Nickel Forward

    34       09/16/2024       3,384,307       (23,366 )

LME Nickel Forward

    1       09/17/2024       99,538       5,556  

LME Nickel Forward

    3       09/18/2024       298,615       181  

LME Nickel Forward

    1       09/20/2024       99,603       (2,695 )

LME Nickel Forward

    1       09/24/2024       99,635       (2,701 )

LME Nickel Forward

    1       09/27/2024       99,716       (1,555 )

LME Nickel Forward

    41       10/14/2024       4,098,308       (43,060 )

LME Nickel Forward

    1       10/16/2024       99,986       (1,585 )

LME Nickel Forward

    2       10/21/2024       200,109       (3,180 )

LME Nickel Forward

    1       10/22/2024       100,068       (1,591 )

LME Nickel Forward

    14       10/23/2024       1,401,144       (22,278 )

LME Nickel Forward

    2       10/25/2024       200,229       (3,165 )

 

 

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

 

6

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Nickel Forward

    1       10/28/2024     $ 100,136     $ (1,582 )

LME Nickel Forward

    3       10/29/2024       300,457       245  

LME Nickel Forward

    1       11/04/2024       100,259       2,519  

LME Nickel Forward

    2       11/08/2024       200,751       4,191  

LME Nickel Forward

    3       11/11/2024       301,173       7,293  

LME Nickel Forward

    1       11/15/2024       100,484       1,094  

LME Nickel Forward

    4       11/27/2024       402,384       (5,136 )

LME Tin Forward

    1       09/03/2024       162,549       (4,213 )

LME Tin Forward

    2       09/23/2024       325,348       (2,724 )

LME Tin Forward

    1       10/08/2024       162,714       (12,411 )

LME Tin Forward

    2       10/09/2024       325,433       9,051  

LME Tin Forward

    1       10/18/2024       162,567       (738 )

LME Tin Forward

    1       10/22/2024       162,486       (783 )

LME Tin Forward

    2       10/23/2024       324,890       15,296  

LME Tin Forward

    1       11/13/2024       162,420       4,245  

LME Tin Forward

    1       11/20/2024       162,230       (1,595 )

LME Tin Forward

    2       11/27/2024       323,460       (2,015 )

LME Zinc Forward

    1       09/02/2024       71,192       (1,437 )

LME Zinc Forward

    1       09/03/2024       71,168       (3,320 )

LME Zinc Forward

    1       09/03/2024       71,214       (686 )

LME Zinc Forward

    7       09/04/2024       498,652       8,820  

LME Zinc Forward

    2       09/06/2024       142,649       5,766  

LME Zinc Forward

    1       09/09/2024       71,342       4,867  

LME Zinc Forward

    2       09/10/2024       142,721       9,734  

LME Zinc Forward

    5       09/11/2024       356,891       (7,745 )

LME Zinc Forward

    3       09/13/2024       214,350       (4,359 )

LME Zinc Forward

    66       09/16/2024       4,716,888       (31,866 )

LME Zinc Forward

    11       09/23/2024       787,155       3,284  

LME Zinc Forward

    3       09/25/2024       214,757       (6,819 )

LME Zinc Forward

    2       09/27/2024       143,351       (3,949 )

LME Zinc Forward

    1       09/30/2024       71,698       (1,777 )

LME Zinc Forward

    7       10/02/2024       502,105       (4,358 )

LME Zinc Forward

    3       10/04/2024       215,369       (8,581 )

LME Zinc Forward

    2       10/08/2024       143,640       12,670  

LME Zinc Forward

    96       10/14/2024       6,903,432       (29,597 )

LME Zinc Forward

    2       10/15/2024       143,674       12,573  

LME Zinc Forward

    1       10/18/2024       71,877       464  

LME Zinc Forward

    1       10/21/2024       71,887       6,256  

LME Zinc Forward

    9       10/23/2024       647,159       19,157  

LME Zinc Forward

    8       10/25/2024       575,722       50,020  

LME Zinc Forward

    6       10/28/2024       431,880       31,739  

LME Zinc Forward

    3       10/29/2024       215,984       1,391  

LME Zinc Forward

    1       10/30/2024       72,009       464  

LME Zinc Forward

    4       11/01/2024       288,272       1,854  

LME Zinc Forward

    3       11/04/2024       216,259       1,391  

LME Zinc Forward

    2       11/05/2024       144,209       927  

LME Zinc Forward

    2       11/06/2024       144,246       8,383  

LME Zinc Forward

    2       11/08/2024       144,392       6,054  

LME Zinc Forward

    2       11/11/2024       144,428       9,653  

LME Zinc Forward

    2       11/12/2024       144,465       7,727  

LME Zinc Forward

    2       11/13/2024       144,501       7,276  

 

 

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

 

7

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Zinc Forward

    1       11/15/2024     $ 72,324     $ 2,299  

LME Zinc Forward

    36       11/18/2024       2,604,303       (820 )

LME Zinc Forward

    4       11/19/2024       289,367       3,630  

LME Zinc Forward

    7       11/20/2024       506,392       2,255  

LME Zinc Forward

    3       11/25/2024       217,204       (2,246 )

LME Zinc Forward

    12       11/27/2024       869,100       4,313  

London Cocoa

    60       12/12/2024       4,201,513       (95,359 )

London Cocoa

    19       03/14/2025       1,160,052       (44,350 )

London Cocoa

    2       05/14/2025       116,516       (2,981 )

London Metals - Aluminum

    2,991       09/16/2024       181,994,873       (4,714,230 )

London Metals - Aluminum

    2       10/14/2024       122,486       (871 )

London Metals - Aluminum

    1,130       12/16/2024       69,436,240       1,954,620  

London Metals - Copper

    1,072       09/16/2024       245,026,223       (20,388,613 )

London Metals - Copper

    1       10/14/2024       229,658       7,489  

London Metals - Copper

    384       12/16/2024       88,920,187       597,295  

London Metals - Lead

    648       09/16/2024       32,842,098       (1,963,558 )

London Metals - Lead

    25       12/16/2024       1,288,256       (7,017 )

London Metals - Nickel

    240       09/16/2024       23,889,226       (1,170,699 )

London Metals - Nickel

    43       12/16/2024       4,339,421       (51,601 )

London Metals - Tin

    1       09/16/2024       162,655       2,555  

London Metals - Tin

    1       12/16/2024       161,780       5,685  

London Metals - Zinc

    628       09/16/2024       44,881,904       (1,072,675 )

London Metals - Zinc

    14       10/14/2024       1,006,751       45,238  

London Metals - Zinc

    209       12/16/2024       15,173,400       402,590  

Long Gilt

    1,601       12/27/2024       207,526,135       (464,646 )

Low Sulphur Gas Oil

    24       10/10/2024       1,681,800       (70,400 )

Mexican Peso/US Dollar Cross Currency Rate

    3       09/16/2024       76,020       (845 )

Micro Gold

    26       12/27/2024       657,176       27,483  

MSCI EAFE Index

    110       09/20/2024       13,521,750       463,205  

MSCI Emerging Markets ESG Index

    2       09/20/2024       33,220       (135 )

MSCI Emerging Markets Index

    389       09/20/2024       21,395,000       23,735  

MSCI Singapore Index

    758       09/27/2024       18,671,911       121,155  

Nasdaq 100 Index

    168       09/20/2024       65,933,280       (590,362 )

NASDAQ 100 Micro Index

    4       09/20/2024       156,984       2,531  

Natural Gas

    5       09/27/2024       163,976       9,483  

New Zealand Dollar/US Dollar Cross Currency Rate

    292       09/16/2024       18,251,460       11,215  

Nifty 50 Index

    787       09/26/2024       39,967,008       338,947  

Nikkei 225 Index

    6       09/12/2024       1,170,450       31,475  

Nikkei 225 Index

    6       09/12/2024       158,875       1,084  

Nikkei 225 Index

    220       09/12/2024       29,112,114       98,738  

Nikkei 225 Index

    9       09/12/2024       1,200,185       12,259  

Nikkei 225 Index

    2       09/12/2024       529,585       2,668  

NY Harbor ULSD

    49       09/30/2024       4,688,741       (42,101 )

NYSE FANG+ Index

    3       09/20/2024       166,923       (9,187 )

OMXS30 ESG Index

    7       09/20/2024       172,305       3,579  

OMXS30 Index

    768       09/20/2024       19,444,577       568,343  

Platinum

    244       10/29/2024       11,372,840       (413,825 )

Reformulated Gasoline Blendstock

    2       09/30/2024       175,829       (1,218 )

Robusta Coffee

    315       11/25/2024       15,586,200       2,242,760  

Robusta Coffee

    79       01/27/2025       3,735,910       517,340  

Russell 2000 Index

    2       09/20/2024       22,231       637  

 

 

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

 

8

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Russell 2000 Index

    421       09/20/2024     $ 46,796,255     $ 310,388  

S&P 500 Index

    5       09/20/2024       141,525       6,999  

S&P 500 Index

    642       09/20/2024       181,718,100       2,633,081  

S&P Mid Cap 400 Index

    53       09/20/2024       16,419,930       304,785  

S&P Real Estate Select Sector Stock Index

    9       09/20/2024       479,925       20,125  

S&P/Toronto Stock Exchange 60 Index

    429       09/19/2024       89,253,901       2,393,457  

SGX FTSE Taiwan Index

    172       09/27/2024       12,853,560       11,306  

SGX Technically Specified Rubber 20

    2       09/30/2024       18,230       775  

Short Euro-BTP Fu Dec24

    3       12/06/2024       354,402       (88 )

Short-term Euro-BTP

    1,973       09/06/2024       231,486,453       506,970  

Silver

    183       12/27/2024       26,665,845       (819,066 )

Silver

    6       03/27/2025       885,990       (27,075 )

South African Rand/US Dollar Cross Currency Rate

    4       09/16/2024       112,050       3,263  

Soybean Meal

    1,213       12/13/2024       37,966,900       111,456  

STOXX 600 Bank Spread Index

    15       09/20/2024       167,344       6,428  

STOXX 600 Utilities Index

    16       09/20/2024       352,844       22,268  

STOXX Euro ESG-X Index

    57       09/20/2024       1,234,323       13,541  

STOXX Europe 600 Index

    186       09/20/2024       5,406,367       95,235  

Sugar #11

    228       09/30/2024       4,948,877       (31,695 )

Swiss Franc/US Dollar Cross Currency Rate

    482       09/16/2024       70,977,513       224,509  

Swiss Government Bonds

    2       09/06/2024       353,532       (1,882 )

Technology Select Sector Index

    1       09/20/2024       222,500       (2,020 )

Tokyo Price Index

    13       09/12/2024       241,477       2,952  

TOPIX Index

    39       09/12/2024       7,244,305       117,518  

Two Year Canadian Government Bonds

    752       12/18/2024       58,350,937       (101,877 )

U.S. Treasury 10 Year Notes

    2,247       12/19/2024       255,174,937       (1,242,728 )

U.S. Treasury 2 Year Notes

    1,679       12/31/2024       348,471,205       (404,819 )

U.S. Treasury 5 Year Note

    2,263       12/31/2024       247,568,665       (687,155 )

U.S. Treasury Long Bonds

    823       12/19/2024       101,331,875       (1,053,570 )

U.S. Treasury Ultra Bonds

    150       12/19/2024       19,790,625       (293,648 )

UK Natural Gas

    15       09/27/2024       587,174       2,809  

UK Natural Gas

    15       10/30/2024       617,225       19,148  

US 3 Year Notes

    3       12/31/2024       637,430       (1,453 )

US Cocoa

    176       12/13/2024       13,500,960       843,595  

US Cocoa

    43       03/14/2025       2,773,070       60,450  

US Dollar/Chinese Renminbi Cross Currency Rate

    6       09/16/2024       598,455       (9,192 )

US Dollar/Norwegian Krone Cross Currency Rate

    9       09/16/2024       900,853       (2,911 )

US Dollar/Swedish Krona Cross Currency Rate

    4       09/16/2024       399,848       (6,065 )

Utilities Select Sector Index

    10       09/20/2024       770,700       59,980  

Wheat

    382       12/13/2024       10,533,650       326,619  

XAV Health Care Select Sector Index

    5       09/20/2024       795,050       46,920  
                            $ (9,610,529 )

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

1 Month Secured Overnight Financing Rate

    (12)       01/31/2025     $ 4,782,383     $ 2,125  

10 Year Japanese Government Bonds

    (9)       09/11/2024       891,135       (1,908 )

3 Month Canadian Overnight Repo Rate Average

    (158)       06/17/2025       28,334,249       4,350  

 

 

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

 

9

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

3 Month Euribor

    (191)       03/17/2025     $ 51,402,573     $ (105,801 )

3 Month Euribor

    (511)       12/15/2025       138,143,412       (467,377 )

3-Month Secured Overnight Financing Rate

    (335)       09/16/2025       80,860,625       (471,613 )

Arabica Coffee

    (40)       12/18/2024       3,660,750       (84,900 )

ASX SPI 200 Index

    (50)       09/19/2024       6,809,967       (51,204 )

AUD/USD Cross Currency Rate

    (1,896)       09/16/2024       128,349,720       (1,874,290 )

Australian 90 Day Bank Bills

    (2)       03/13/2025       1,340,906       1  

BIST 30 Index

    (550)       10/31/2024       1,855,596       (48,673 )

Brazilian Real/US Dollar Cross Currency Rate

    (4)       09/30/2024       70,580       1,300  

Brent Crude Oil

    (3)       09/30/2024       230,790       1,840  

Brent Crude Oil

    (105)       09/30/2024       8,077,650       133,378  

Brent Crude Oil

    (45)       10/31/2024       3,430,800       30,020  

Brent Crude Oil

    (33)       11/29/2024       2,498,760       24,390  

British Pound/US Dollar Cross Currency Rate

    (139)       09/16/2024       11,402,344       (310,739 )

CAC40 10 Euro Index

    (159)       09/20/2024       13,443,774       (570,892 )

Canadian 10 Year Government Bonds

    (1,238)       12/18/2024       113,047,364       820,495  

Canadian Canola Oil

    (491)       11/14/2024       4,479,170       (98,487 )

Canadian Canola Oil

    (54)       01/14/2025       499,910       (14,832 )

Canadian Dollar/US Dollar Cross Currency Rate

    (1,655)       09/17/2024       122,776,175       (1,449,455 )

Copper

    (538)       12/27/2024       56,644,675       54,613  

Corn No. 2 Yellow

    (2,406)       12/13/2024       48,240,300       2,878,675  

Corn No. 2 Yellow

    (1,419)       03/14/2025       29,728,050       616,538  

Corn No. 2 Yellow

    (82)       05/14/2025       1,755,825       96,288  

Cotton No.2

    (862)       12/06/2024       30,165,690       1,326,745  

Cotton No.2

    (98)       03/07/2025       3,510,850       46,625  

Crude Oil

    (124)       09/20/2024       9,120,200       201,550  

Crude Oil

    (13)       10/22/2024       944,450       6,820  

Crude Oil

    (99)       11/20/2024       7,117,110       76,890  

Crude Oil

    (13)       12/19/2024       927,680       24,110  

Crude Oil

    (6)       01/21/2025       425,820       5,250  

Crude Palm Oil

    (7)       12/13/2024       159,717       (11,243 )

Crude Soybean Oil

    (1,267)       12/13/2024       31,936,002       680,646  

Crude Soybean Oil

    (162)       01/14/2025       4,088,232       140,634  

Crude Soybean Oil

    (11)       03/14/2025       278,520       13,500  

Dollar Index

    (420)       09/16/2024       42,682,080       (83,140 )

Euro STOXX 50 Quanto Index

    (197)       09/20/2024       10,825,037       (572,675 )

Euro/Pound Sterling Cross Currency Rate

    (2)       09/16/2024       276,663       1,642  

Euro/US Dollar Cross Currency Rate

    (912)       09/16/2024       126,078,300       (2,907,247 )

Euro-BOBL

    (88)       09/06/2024       11,446,372       12,767  

Euro-BOBL

    (676)       12/06/2024       88,892,898       28,530  

Euro-BTP Italian Government Bonds

    (1)       09/06/2024       131,399       107  

Euro-Bund

    (251)       09/06/2024       37,154,049       (373,526 )

Euro-Bund

    (182)       12/06/2024       26,837,783       17,498  

Euro-Schatz

    (655)       09/06/2024       76,914,442       (479,698 )

European Rapeseed

    (126)       10/31/2024       3,274,830       (110,692 )

European Rapeseed

    (20)       01/31/2025       521,472       (12,532 )

Feeder Cattle

    (74)       10/31/2024       8,796,750       (3,450 )

Feeder Cattle

    (15)       11/21/2024       1,764,375       475  

Feeder Cattle

    (1)       01/30/2025       116,125       938  

French Government Bonds

    (5)       09/06/2024       696,789       (671 )

FTSE 100 Index

    (407)       09/20/2024       44,832,324       93,323  

 

 

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

 

10

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

FTSE China A50 Index

    (1,821)       09/27/2024     $ 21,396,750     $ (100,940 )

German Stock Index

    (60)       09/20/2024       31,422,650       (1,144,255 )

Gold

    (99)       12/27/2024       25,023,240       (237,190 )

Hang Seng Index

    (115)       09/27/2024       13,236,105       (143,726 )

Hang Seng TECH Index

    (102)       09/27/2024       2,336,851       (81,510 )

Hard Red Winter Wheat

    (552)       12/13/2024       15,600,900       119,184  

Hard Red Winter Wheat

    (89)       03/14/2025       2,570,987       28,225  

ICE 3 Month SONIA Rate

    (56)       03/17/2026       17,710,522       (18,485 )

ICE European Climate Exchange Emissions

    (20)       12/16/2024       1,554,192       (89,803 )

Indian Rupee/US Dollar Cross Currency Rate

    (8)       09/26/2024       190,688       (128 )

Indian Rupee/US Dollar Cross Currency Rate

    (2)       09/26/2024       119,120       (40 )

Japanese 10 Year Government Bonds

    (62)       09/12/2024       61,376,565       (426,226 )

Japanese Yen/US Dollar Cross Currency Rate

    (438)       09/16/2024       37,558,500       (13,089 )

Lean Hogs

    (15)       10/14/2024       493,350       (49,590 )

Lean Hogs

    (168)       12/13/2024       4,890,480       (229,710 )

Lean Hogs

    (197)       02/14/2025       5,939,550       (223,190 )

Light Sweet Crude Oil

    (8)       09/19/2024       294,200       8,838  

Live Cattle

    (5)       10/31/2024       357,200       (2,090 )

Live Cattle

    (18)       12/31/2024       1,278,360       (2,290 )

Live Cattle

    (99)       02/28/2025       7,066,620       (250 )

Live Cattle

    (14)       04/30/2025       1,008,980       3,660  

LME Aluminum Forward

    (1)       09/02/2024       60,611       5,589  

LME Aluminum Forward

    (1)       09/03/2024       60,591       (4,239 )

LME Aluminum Forward

    (3)       09/06/2024       182,182       10,831  

LME Aluminum Forward

    (2)       09/09/2024       121,493       5,657  

LME Aluminum Forward

    (2)       09/10/2024       121,532       5,218  

LME Aluminum Forward

    (8)       09/11/2024       486,238       11,594  

LME Aluminum Forward

    (3)       09/13/2024       182,502       3,561  

LME Aluminum Forward

    (142)       09/16/2024       8,640,345       138,823  

LME Aluminum Forward

    (4)       09/17/2024       243,390       6,623  

LME Aluminum Forward

    (5)       09/18/2024       304,305       9,133  

LME Aluminum Forward

    (18)       09/23/2024       1,096,717       (75,672 )

LME Aluminum Forward

    (1)       09/25/2024       60,956       1,782  

LME Aluminum Forward

    (2)       10/02/2024       122,125       4,325  

LME Aluminum Forward

    (245)       10/14/2024       15,004,596       (815,370 )

LME Aluminum Forward

    (6)       10/15/2024       366,859       7,428  

LME Aluminum Forward

    (10)       10/16/2024       610,432       9,361  

LME Aluminum Forward

    (3)       10/18/2024       183,012       (9,637 )

LME Aluminum Forward

    (3)       10/21/2024       182,953       (9,153 )

LME Aluminum Forward

    (4)       10/22/2024       243,994       (13,626 )

LME Aluminum Forward

    (19)       10/23/2024       1,159,242       (78,755 )

LME Aluminum Forward

    (4)       10/25/2024       244,280       (17,967 )

LME Aluminum Forward

    (5)       10/28/2024       305,421       (27,796 )

LME Aluminum Forward

    (4)       10/29/2024       244,417       (14,629 )

LME Aluminum Forward

    (4)       10/30/2024       244,497       (15,172 )

LME Aluminum Forward

    (5)       11/01/2024       305,611       (23,311 )

LME Aluminum Forward

    (2)       11/04/2024       122,242       (8,492 )

LME Aluminum Forward

    (2)       11/06/2024       122,165       (6,428 )

LME Aluminum Forward

    (3)       11/08/2024       183,319       (632 )

LME Aluminum Forward

    (1)       11/11/2024       61,112       1,200  

LME Aluminum Forward

    (6)       11/13/2024       366,675       (113 )

 

 

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

 

11

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Aluminum Forward

    (2)       11/15/2024     $ 122,262     $ 2,438  

LME Aluminum Forward

    (157)       11/18/2024       9,597,606       78,642  

LME Aluminum Forward

    (1)       11/20/2024       61,101       1,961  

LME Aluminum Forward

    (5)       11/25/2024       305,787       6,213  

LME Aluminum Forward

    (15)       11/27/2024       917,625       18,738  

LME Copper Forward

    (1)       09/02/2024       227,998       21,627  

LME Copper Forward

    (1)       09/03/2024       227,953       24,984  

LME Copper Forward

    (1)       09/04/2024       228,087       (1,610 )

LME Copper Forward

    (4)       09/09/2024       913,236       46,041  

LME Copper Forward

    (3)       09/10/2024       685,060       53,177  

LME Copper Forward

    (9)       09/11/2024       2,055,505       131,029  

LME Copper Forward

    (3)       09/13/2024       685,600       35,250  

LME Copper Forward

    (35)       09/16/2024       7,999,923       521,492  

LME Copper Forward

    (1)       09/18/2024       228,569       (1,672 )

LME Copper Forward

    (1)       09/23/2024       228,782       12,782  

LME Copper Forward

    (1)       10/02/2024       229,170       (1,693 )

LME Copper Forward

    (1)       10/04/2024       229,370       (1,766 )

LME Copper Forward

    (1)       10/08/2024       229,451       15,674  

LME Copper Forward

    (1)       10/11/2024       229,632       (1,914 )

LME Copper Forward

    (43)       10/14/2024       9,875,272       (60,421 )

LME Copper Forward

    (1)       10/15/2024       229,657       11,618  

LME Copper Forward

    (3)       10/16/2024       688,972       15,090  

LME Copper Forward

    (1)       10/23/2024       230,067       568  

LME Copper Forward

    (2)       11/04/2024       460,996       (18,208 )

LME Copper Forward

    (1)       11/05/2024       230,514       (10,114 )

LME Copper Forward

    (2)       11/06/2024       461,060       (18,010 )

LME Copper Forward

    (1)       11/08/2024       230,580       (6,443 )

LME Copper Forward

    (4)       11/13/2024       922,395       (7,926 )

LME Copper Forward

    (1)       11/15/2024       230,742       (143 )

LME Copper Forward

    (18)       11/18/2024       4,153,356       23,454  

LME Copper Forward

    (2)       11/20/2024       461,284       1,305  

LME Copper Forward

    (1)       11/25/2024       230,808       629  

LME Copper Forward

    (2)       11/27/2024       461,750       4,375  

LME Lead Forward

    (2)       09/02/2024       101,090       4,293  

LME Lead Forward

    (1)       09/03/2024       50,558       (362 )

LME Lead Forward

    (2)       09/03/2024       101,065       4,212  

LME Lead Forward

    (1)       09/04/2024       50,570       (362 )

LME Lead Forward

    (3)       09/06/2024       151,861       14,127  

LME Lead Forward

    (3)       09/09/2024       151,898       11,427  

LME Lead Forward

    (3)       09/10/2024       151,936       11,427  

LME Lead Forward

    (13)       09/11/2024       658,551       40,799  

LME Lead Forward

    (5)       09/13/2024       253,386       13,386  

LME Lead Forward

    (46)       09/16/2024       2,331,383       149,011  

LME Lead Forward

    (7)       09/17/2024       354,688       18,650  

LME Lead Forward

    (3)       09/18/2024       151,972       (971 )

LME Lead Forward

    (3)       09/20/2024       152,060       (947 )

LME Lead Forward

    (1)       09/23/2024       50,694       (285 )

LME Lead Forward

    (1)       09/25/2024       50,727       4,348  

LME Lead Forward

    (77)       10/14/2024       3,928,251       30,658  

LME Lead Forward

    (1)       10/16/2024       51,035       2,565  

LME Lead Forward

    (3)       10/18/2024       153,202       4,011  

 

 

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

 

12

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Lead Forward

    (3)       10/21/2024     $ 153,224     $ 1,051  

LME Lead Forward

    (3)       10/22/2024       153,246       1,129  

LME Lead Forward

    (20)       10/23/2024       1,021,790       (2,215 )

LME Lead Forward

    (7)       10/25/2024       357,833       4,655  

LME Lead Forward

    (5)       10/28/2024       255,633       (683 )

LME Lead Forward

    (3)       10/29/2024       153,401       1,536  

LME Lead Forward

    (7)       10/30/2024       357,989       4,786  

LME Lead Forward

    (1)       11/04/2024       51,178       (2,178 )

LME Lead Forward

    (1)       11/05/2024       51,186       (1,911 )

LME Lead Forward

    (2)       11/06/2024       102,386       (2,461 )

LME Lead Forward

    (5)       11/08/2024       256,113       3,029  

LME Lead Forward

    (2)       11/11/2024       102,460       1,526  

LME Lead Forward

    (6)       11/12/2024       307,424       2,754  

LME Lead Forward

    (6)       11/13/2024       307,469       4,640  

LME Lead Forward

    (61)       11/18/2024       3,128,187       40,269  

LME Lead Forward

    (1)       11/20/2024       51,257       550  

LME Lead Forward

    (15)       11/27/2024       769,875       11,438  

LME Nickel Forward

    (2)       09/02/2024       198,507       31,293  

LME Nickel Forward

    (2)       09/03/2024       198,549       25,041  

LME Nickel Forward

    (1)       09/03/2024       99,232       18,068  

LME Nickel Forward

    (3)       09/04/2024       297,883       31,337  

LME Nickel Forward

    (1)       09/06/2024       99,373       8,477  

LME Nickel Forward

    (2)       09/09/2024       198,790       15,380  

LME Nickel Forward

    (1)       09/10/2024       99,416       8,524  

LME Nickel Forward

    (4)       09/11/2024       397,746       25,644  

LME Nickel Forward

    (3)       09/13/2024       298,561       13,589  

LME Nickel Forward

    (34)       09/16/2024       3,384,307       131,914  

LME Nickel Forward

    (1)       09/17/2024       99,538       4,022  

LME Nickel Forward

    (3)       09/18/2024       298,615       13,235  

LME Nickel Forward

    (1)       09/20/2024       99,603       4,137  

LME Nickel Forward

    (1)       09/24/2024       99,635       3,655  

LME Nickel Forward

    (1)       09/27/2024       99,716       4,804  

LME Nickel Forward

    (41)       10/14/2024       4,098,308       (1,243 )

LME Nickel Forward

    (1)       10/16/2024       99,986       (1,106 )

LME Nickel Forward

    (2)       10/21/2024       200,109       (6,849 )

LME Nickel Forward

    (1)       10/22/2024       100,068       (4,368 )

LME Nickel Forward

    (14)       10/23/2024       1,401,144       (75,144 )

LME Nickel Forward

    (2)       10/25/2024       200,229       (9,579 )

LME Nickel Forward

    (1)       10/28/2024       100,136       (4,736 )

LME Nickel Forward

    (3)       10/29/2024       300,457       4,589  

LME Nickel Forward

    (1)       10/30/2024       100,169       (2,159 )

LME Nickel Forward

    (1)       11/04/2024       100,259       1,576  

LME Nickel Forward

    (2)       11/05/2024       200,556       (954 )

LME Nickel Forward

    (3)       11/06/2024       300,893       (26 )

LME Nickel Forward

    (4)       11/08/2024       401,503       1,687  

LME Nickel Forward

    (5)       11/11/2024       501,956       3,388  

LME Nickel Forward

    (2)       11/13/2024       200,844       (2,003 )

LME Nickel Forward

    (2)       11/15/2024       200,967       (56 )

LME Nickel Forward

    (47)       11/18/2024       4,722,594       41,973  

LME Nickel Forward

    (1)       11/19/2024       100,475       1,548  

LME Nickel Forward

    (1)       11/20/2024       100,475       1,548  

 

 

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, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

LME Nickel Forward

    (6)       11/27/2024     $ 603,576     $ 8,244  

LME Tin Forward

    (1)       09/02/2024       162,540       (2,365 )

LME Tin Forward

    (1)       09/03/2024       162,549       (3,549 )

LME Tin Forward

    (2)       09/23/2024       325,348       (33,138 )

LME Tin Forward

    (1)       10/08/2024       162,714       561  

LME Tin Forward

    (2)       10/09/2024       325,433       14,167  

LME Tin Forward

    (1)       10/18/2024       162,567       (11,292 )

LME Tin Forward

    (1)       10/22/2024       162,486       (12,186 )

LME Tin Forward

    (2)       10/23/2024       324,890       (30,865 )

LME Tin Forward

    (1)       11/20/2024       162,230       785  

LME Tin Forward

    (1)       11/27/2024       161,730       1,295  

LME Zinc Forward

    (1)       09/02/2024       71,192       1,758  

LME Zinc Forward

    (1)       09/03/2024       71,214       736  

LME Zinc Forward

    (1)       09/03/2024       71,168       1,444  

LME Zinc Forward

    (7)       09/04/2024       498,652       (2,902 )

LME Zinc Forward

    (2)       09/06/2024       142,649       (4,864 )

LME Zinc Forward

    (1)       09/09/2024       71,342       (1,705 )

LME Zinc Forward

    (2)       09/10/2024       142,721       (33 )

LME Zinc Forward

    (5)       09/11/2024       356,891       (9,770 )

LME Zinc Forward

    (3)       09/13/2024       214,350       (4,413 )

LME Zinc Forward

    (66)       09/16/2024       4,716,888       88,984  

LME Zinc Forward

    (11)       09/23/2024       787,155       (58,874 )

LME Zinc Forward

    (3)       09/25/2024       214,757       (10,392 )

LME Zinc Forward

    (2)       09/27/2024       143,351       (3,717 )

LME Zinc Forward

    (1)       09/30/2024       71,698       (463 )

LME Zinc Forward

    (7)       10/02/2024       502,105       (38,414 )

LME Zinc Forward

    (3)       10/04/2024       215,369       (19,007 )

LME Zinc Forward

    (2)       10/08/2024       143,640       3,098  

LME Zinc Forward

    (96)       10/14/2024       6,903,432       (513,385 )

LME Zinc Forward

    (2)       10/15/2024       143,674       (886 )

LME Zinc Forward

    (1)       10/18/2024       71,877       (3,252 )

LME Zinc Forward

    (1)       10/21/2024       71,887       (4,749 )

LME Zinc Forward

    (9)       10/23/2024       647,159       (25,396 )

LME Zinc Forward

    (8)       10/25/2024       575,722       (32,485 )

LME Zinc Forward

    (6)       10/28/2024       431,880       (38,443 )

LME Zinc Forward

    (3)       10/29/2024       215,984       (13,534 )

LME Zinc Forward

    (1)       10/30/2024       72,009       (5,109 )

LME Zinc Forward

    (4)       11/01/2024       288,272       (29,360 )

LME Zinc Forward

    (3)       11/04/2024       216,259       (20,846 )

LME Zinc Forward

    (2)       11/05/2024       144,209       (16,659 )

LME Zinc Forward

    (3)       11/06/2024       216,368       (13,809 )

LME Zinc Forward

    (4)       11/08/2024       288,783       (4,685 )

LME Zinc Forward

    (1)       11/11/2024       72,214       (463 )

LME Zinc Forward

    (1)       11/12/2024       72,232       (463 )

LME Zinc Forward

    (1)       11/13/2024       72,251       (463 )

LME Zinc Forward

    (1)       11/15/2024       72,324       (462 )

LME Zinc Forward

    (33)       11/18/2024       2,387,278       (64,199 )

LME Zinc Forward

    (4)       11/19/2024       289,367       (1,849 )

LME Zinc Forward

    (3)       11/20/2024       217,025       (1,387 )

LME Zinc Forward

    (4)       11/27/2024       289,700       (1,150 )

London Cocoa

    (3)       03/14/2025       183,166       946  

 

 

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, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

London Metals - Aluminum

    (2,991)       09/16/2024     $ 181,994,873     $ 3,041,123  

London Metals - Aluminum

    (5)       10/14/2024       306,216       (17,591 )

London Metals - Aluminum

    (1,197)       12/16/2024       73,553,256       (4,277,813 )

London Metals - Copper

    (1,072)       09/16/2024       245,026,223       16,649,814  

London Metals - Copper

    (386)       12/16/2024       89,383,313       (1,840,434 )

London Metals - Lead

    (648)       09/16/2024       32,842,098       1,842,321  

London Metals - Lead

    (3)       10/14/2024       153,049       (1,530 )

London Metals - Lead

    (296)       12/16/2024       15,252,954       (184,481 )

London Metals - Nickel

    (240)       09/16/2024       23,889,226       1,335,738  

London Metals - Nickel

    (4)       10/14/2024       399,835       (8,551 )

London Metals - Nickel

    (161)       12/16/2024       16,247,599       (235,940 )

London Metals - Tin

    (1)       09/16/2024       162,655       (6,655 )

London Metals - Zinc

    (628)       09/16/2024       44,881,904       (1,999,651 )

London Metals - Zinc

    (10)       10/14/2024       719,108       27,913  

London Metals - Zinc

    (10)       11/18/2024       723,418       (33,030 )

London Metals - Zinc

    (192)       12/16/2024       13,939,200       (751,351 )

Long Gilt

    (157)       12/27/2024       20,350,783       194,080  

Low Sulphur Gas Oil

    (175)       10/10/2024       12,263,125       336,396  

Low Sulphur Gas Oil

    (70)       11/12/2024       4,894,750       156,525  

Low Sulphur Gas Oil

    (55)       12/12/2024       3,830,750       143,150  

Low Sulphur Gas Oil

    (20)       01/10/2025       1,392,000       54,225  

Lumber

    (4)       11/15/2024       56,925       (434 )

Maize

    (9)       11/05/2024       99,113       (1,271 )

Mexican Peso/US Dollar Cross Currency Rate

    (497)       09/16/2024       12,593,980       330,368  

Milling Wheat No. 2

    (10)       09/10/2024       113,718       (525 )

Milling Wheat No. 2

    (581)       12/10/2024       6,952,219       103,023  

Milling Wheat No. 2

    (661)       03/10/2025       8,165,230       135,149  

Milling Wheat No. 2

    (32)       05/12/2025       402,808       4,836  

MSCI China A 50 Index

    (4)       09/20/2024       186,540       (4,240 )

Natural Gas

    (15)       09/25/2024       79,762       3,850  

Natural Gas

    (813)       09/26/2024       17,292,510       1,351,877  

Natural Gas

    (750)       10/29/2024       18,735,000       2,084,530  

Natural Gas

    (287)       11/26/2024       8,716,190       612,750  

Natural Gas

    (185)       12/27/2024       6,158,650       378,570  

New Zealand Dollar/US Dollar Cross Currency Rate

    (73)       09/16/2024       4,562,865       (162,722 )

Nikkei 225 Index

    (7)       09/12/2024       1,853,547       (35,912 )

NY Harbor ULSD

    (575)       09/30/2024       55,020,945       1,598,446  

NY Harbor ULSD

    (70)       10/31/2024       6,743,478       205,195  

NY Harbor ULSD

    (71)       11/29/2024       6,862,775       252,773  

NY Harbor ULSD

    (34)       12/31/2024       3,296,395       92,434  

Oats

    (5)       12/13/2024       84,500       (4,588 )

OMXS30 Index

    (59)       09/20/2024       1,493,789       (39,555 )

Palladium

    (59)       12/27/2024       5,680,520       (141,770 )

Phelix DE Baseload Quarterly

    (1)       09/26/2024       237,712       7,081  

Platinum

    (169)       10/29/2024       7,877,090       29,080  

Red Spring Wheat

    (187)       12/13/2024       5,614,675       34,675  

Red Spring Wheat

    (55)       03/14/2025       1,709,813       (33,813 )

Reformulated Gasoline Blendstock

    (233)       09/30/2024       20,484,055       399,616  

Reformulated Gasoline Blendstock

    (60)       10/31/2024       5,177,592       18,803  

Reformulated Gasoline Blendstock

    (32)       11/29/2024       2,717,030       20,630  

Reformulated Gasoline Blendstock

    (25)       12/31/2024       2,108,190       34,784  

 

 

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, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Rough Rice

    (17)       11/14/2024     $ 502,690     $ 5,950  

Russell 2000 Index

    (1)       09/20/2024       111,155       (1,390 )

S&P 500 Index

    (34)       09/20/2024       9,623,700       (198,950 )

SGX TSI Iron Ore

    (214)       09/30/2024       2,158,832       (143,407 )

SGX TSI Iron Ore

    (300)       10/30/2024       3,030,900       (46,500 )

SGX TSI Iron Ore

    (104)       11/29/2024       1,051,232       (23,580 )

SGX TSI Iron Ore

    (64)       12/31/2024       646,848       (20,865 )

Silver

    (16)       12/27/2024       2,331,440       36,810  

Soybean Meal

    (841)       12/13/2024       26,323,300       554,540  

Soybean Meal

    (200)       01/14/2025       6,278,000       313,800  

Soybeans

    (1,198)       11/14/2024       59,900,000       3,859,674  

Soybeans

    (115)       01/14/2025       5,847,750       611,438  

Soybeans

    (486)       03/14/2025       25,071,525       919,250  

Sugar #11

    (1,000)       09/30/2024       21,705,600       (748,669 )

Sugar #11

    (448)       02/28/2025       9,864,602       (426,440 )

Sugar #11

    (123)       04/30/2025       2,598,154       (132,765 )

Sugar #11

    (12)       06/30/2025       246,758       (8,366 )

Swiss Franc/US Dollar Cross Currency Rate

    (18)       09/16/2024       2,650,613       (124,975 )

TOPIX Index

    (3)       09/12/2024       557,254       (33,792 )

Turkish Dollar

    (161)       09/30/2024       166,708       201  

U.S. Treasury 10 Year Notes

    (1,645)       12/19/2024       186,810,312       644,609  

U.S. Treasury 2 Year Notes

    (75)       12/31/2024       15,566,016       23,539  

U.S. Treasury 5 Year Note

    (66)       12/31/2024       7,220,297       16,406  

U.S. Treasury Ultra Bonds

    (9)       12/19/2024       1,187,438       6,561  

UK Natural Gas

    (5)       09/27/2024       195,725       (4,804 )

Wheat

    (1,296)       12/13/2024       35,737,200       1,913,663  

Wheat

    (161)       03/14/2025       4,606,613       53,075  

Wheat

    (23)       05/14/2025       671,313       (450 )

White Sugar

    (26)       09/13/2024       710,840       (21,675 )

White Sugar

    (221)       11/15/2024       5,889,650       (221,745 )

White Sugar

    (74)       02/13/2025       1,954,710       (69,705 )

WTI Light Sweet Crude Oil

    (7)       10/21/2024       508,550       6,310  

WTI Light Sweet Crude Oil

    (5)       11/19/2024       359,450       490  

WTI Light Sweet Crude Oil

    (5)       12/18/2024       356,800       (1,270 )

WTI Light Sweet Crude Oil

    (6)       01/17/2025       425,820       5,410  
                            $ 22,814,132  

Total Futures Contracts

                          $ 13,203,603  

 

 

 

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, 2024

 

Forward foreign currency contracts outstanding as of August 31, 2024 were as follows:

 

Settlement
Date

Currency
Purchased

   

 

Currency
Sold

   

   

Counterparty

   

Value/
Unrealized
Appreciation
(Depreciation)

 

09/25/2024

AUD

    30,600,000          

CAD

    28,042,115          

Bank of America

  $ (100,270 )

09/25/2024

AUD

    4,129,862          

EUR

    2,500,000          

Bank of America

    30,340  

09/03/2024

AUD

    1,450,756          

GBP

    750,000          

Bank of America

    (2,970 )

09/25/2024

AUD

    3,648,508          

GBP

    1,875,000          

Bank of America

    8,069  

09/25/2024

AUD

    9,000,000          

JPY

    880,896,270          

Bank of America

    47,131  

09/25/2024

AUD

    34,200,000          

NZD

    37,565,796          

Bank of America

    (322,777 )

09/03/2024

AUD

    89,673,991          

USD

    60,923,626          

Bank of America

    (220,768 )

09/18/2024

AUD

    134,105,000          

USD

    90,206,152          

Bank of America

    607,065  

09/25/2024

AUD

    25,200,000          

USD

    17,119,042          

Bank of America

    (51,259 )

10/17/2024

AUD

    100,089,000          

USD

    65,083,658          

Bank of America

    2,738,299  

09/04/2024

BRL

    123,585,561          

USD

    22,082,960          

Bank of America

    (165,020 )

10/02/2024

BRL

    68,828,011          

USD

    12,500,000          

Bank of America

    (334,523 )

09/25/2024

CAD

    731,715          

AUD

    800,000          

Bank of America

    1,573  

09/03/2024

CAD

    2,303,057          

EUR

    1,542,335          

Bank of America

    3,966  

09/25/2024

CAD

    3,944,210          

EUR

    2,625,000          

Bank of America

    24,036  

09/25/2024

CAD

    4,800,000          

JPY

    515,832,338          

Bank of America

    22,849  

09/03/2024

CAD

    178,511,938          

USD

    132,327,638          

Bank of America

    151,984  

09/18/2024

CAD

    163,621,297          

USD

    120,171,489          

Bank of America

    1,315,100  

09/18/2024

CHF

    9,140,910          

EUR

    9,700,000          

Bank of America

    45,762  

09/25/2024

CHF

    15,948,714          

EUR

    16,750,000          

Bank of America

    282,118  

09/25/2024

CHF

    1,254,740          

GBP

    1,125,000          

Bank of America

    2,777  

09/25/2024

CHF

    10,250,000          

JPY

    1,746,442,750          

Bank of America

    103,454  

09/03/2024

CHF

    47,307,653          

USD

    56,202,492          

Bank of America

    (523,391 )

09/18/2024

CHF

    64,006,654          

USD

    74,676,471          

Bank of America

    789,667  

09/25/2024

CHF

    11,750,000          

USD

    13,685,032          

Bank of America

    180,047  

10/17/2024

CHF

    10,064,000          

USD

    11,940,044          

Bank of America

    (31,493 )

09/03/2024

CLP

    191,196,000          

USD

    202,892          

Bank of America

    6,343  

09/05/2024

CLP

    188,113,299          

USD

    200,000          

Bank of America

    5,855  

09/06/2024

CLP

    285,011,490          

USD

    300,000          

Bank of America

    11,887  

09/09/2024

CLP

    286,827,690          

USD

    300,000          

Bank of America

    13,860  

09/12/2024

CLP

    184,002,820          

USD

    200,000          

Bank of America

    1,335  

09/13/2024

CLP

    366,741,880          

USD

    400,000          

Bank of America

    1,281  

09/16/2024

CLP

    182,923,660          

USD

    200,000          

Bank of America

    142  

09/23/2024

CLP

    6,048,581,684          

USD

    6,550,000          

Bank of America

    67,223  

09/27/2024

CLP

    274,172,000          

USD

    300,000          

Bank of America

    (71 )

09/03/2024

CNH

    39,940,360          

USD

    5,633,748          

Bank of America

    3,082  

09/19/2024

CNH

    242,228,901          

USD

    33,994,031          

Bank of America

    258,056  

09/25/2024

CNH

    70,386,846          

USD

    9,900,000          

Bank of America

    60,316  

09/03/2024

COP

    820,394,632          

USD

    200,000          

Bank of America

    (3,930 )

09/06/2024

COP

    1,648,000,800          

USD

    400,000          

Bank of America

    (6,361 )

09/18/2024

COP

    18,199,005,645          

USD

    4,450,000          

Bank of America

    (109,948 )

09/20/2024

COP

    403,272,316          

USD

    100,000          

Bank of America

    (3,854 )

09/23/2024

COP

    1,209,162,000          

USD

    300,000          

Bank of America

    (11,834 )

09/27/2024

COP

    832,662,000          

USD

    200,000          

Bank of America

    (1,666 )

09/18/2024

CZK

    110,384,088          

EUR

    4,400,000          

Bank of America

    8,141  

09/03/2024

CZK

    4,514,672          

USD

    200,000          

Bank of America

    (638 )

09/25/2024

CZK

    2,241,657          

USD

    100,000          

Bank of America

    (961 )

09/25/2024

EUR

    14,125,000          

AUD

    23,277,390          

Bank of America

    (133,268 )

09/03/2024

EUR

    542,335          

CAD

    809,791          

Bank of America

    (1,366 )

 

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, 2024

 

Settlement
Date

Currency
Purchased

   

Currency
Sold

   

   

Counterparty

   

Value/
Unrealized
Appreciation
(Depreciation)

 

09/25/2024

EUR

    24,000,000          

CAD

    36,246,802          

Bank of America

  $ (357,480 )

09/18/2024

EUR

    10,650,000          

CHF

    10,078,026          

Bank of America

    (99,612 )

09/18/2024

EUR

    5,750,000          

CZK

    145,067,457          

Bank of America

    (46,664 )

09/03/2024

EUR

    2,744,593          

GBP

    2,308,569          

Bank of America

    2,422  

09/18/2024

EUR

    650,000          

GBP

    556,402          

Bank of America

    (11,726 )

09/25/2024

EUR

    8,200,000          

GBP

    6,970,712          

Bank of America

    (81,816 )

09/18/2024

EUR

    1,300,000          

HUF

    515,323,473          

Bank of America

    (10,267 )

09/25/2024

EUR

    1,700,000          

HUF

    673,125,798          

Bank of America

    (10,242 )

09/18/2024

EUR

    9,150,000          

JPY

    1,473,877,774          

Bank of America

    13,386  

09/25/2024

EUR

    9,200,000          

JPY

    1,492,956,588          

Bank of America

    (69,325 )

09/03/2024

EUR

    772,863          

NOK

    9,000,000          

Bank of America

    5,786  

09/18/2024

EUR

    60,271,326          

NOK

    720,463,129          

Bank of America

    (1,278,879 )

09/25/2024

EUR

    14,375,000          

NOK

    168,285,207          

Bank of America

    32,593  

09/03/2024

EUR

    649,573          

PLN

    2,783,793          

Bank of America

    (402 )

09/18/2024

EUR

    4,207,433          

PLN

    18,238,239          

Bank of America

    (51,772 )

09/03/2024

EUR

    1,586,411          

SEK

    18,000,000          

Bank of America

    569  

09/18/2024

EUR

    25,822,688          

SEK

    298,325,587          

Bank of America

    (513,425 )

09/25/2024

EUR

    13,625,000          

SEK

    155,647,436          

Bank of America

    (100,007 )

09/03/2024

EUR

    62,616,464          

USD

    69,666,282          

Bank of America

    (437,369 )

09/18/2024

EUR

    136,878,000          

USD

    151,112,115          

Bank of America

    324,327  

09/25/2024

EUR

    17,875,000          

USD

    19,849,331          

Bank of America

    (66,805 )

10/17/2024

EUR

    129,983,000          

USD

    143,218,864          

Bank of America

    789,707  

09/25/2024

GBP

    14,875,000          

AUD

    28,707,634          

Bank of America

    96,638  

09/03/2024

GBP

    709,246          

EUR

    841,906          

Bank of America

    689  

09/18/2024

GBP

    39,008,834          

EUR

    45,750,000          

Bank of America

    623,967  

09/25/2024

GBP

    31,166,036          

EUR

    36,500,000          

Bank of America

    545,284  

09/25/2024

GBP

    5,625,000          

JPY

    1,069,016,119          

Bank of America

    48,926  

09/03/2024

GBP

    78,055,314          

USD

    103,166,708          

Bank of America

    (651,191 )

09/18/2024

GBP

    148,008,000          

USD

    190,678,149          

Bank of America

    3,737,444  

09/25/2024

GBP

    17,062,500          

USD

    22,171,401          

Bank of America

    242,265  

10/17/2024

GBP

    780,000          

USD

    990,465          

Bank of America

    34,294  

09/18/2024

HUF

    2,801,197,898          

EUR

    7,100,000          

Bank of America

    18,797  

09/25/2024

HUF

    78,849,868          

EUR

    200,000          

Bank of America

    246  

09/03/2024

HUF

    637,197,023          

USD

    1,800,000          

Bank of America

    (7,979 )

09/25/2024

HUF

    1,059,925,000          

USD

    3,000,000          

Bank of America

    (21,337 )

10/17/2024

HUF

    2,737,500,000          

USD

    7,494,087          

Bank of America

    193,092  

09/18/2024

IDR

    73,212,914,177          

USD

    4,700,000          

Bank of America

    33,515  

09/27/2024

IDR

    62,049,872,000          

USD

    4,000,000          

Bank of America

    10,383  

09/03/2024

ILS

    2,541,274          

USD

    700,000          

Bank of America

    (1,102 )

09/18/2024

ILS

    17,618,036          

USD

    4,750,000          

Bank of America

    98,257  

09/06/2024

INR

    1,672,493,008          

USD

    19,936,904          

Bank of America

    726  

09/09/2024

INR

    1,001,074          

USD

    11,914          

Bank of America

    19  

09/18/2024

INR

    386,249,238          

USD

    4,600,000          

Bank of America

    2,651  

09/03/2024

JPY

    85,591,264          

CHF

    500,000          

Bank of America

    (2,658 )

09/25/2024

JPY

    169,635,710          

CHF

    1,000,000          

Bank of America

    (15,236 )

09/18/2024

JPY

    917,239,146          

EUR

    5,700,000          

Bank of America

    (14,610 )

09/25/2024

JPY

    23,834,409          

GBP

    125,000          

Bank of America

    (548 )

09/03/2024

JPY

    354,086,003          

USD

    2,430,196          

Bank of America

    (6,689 )

09/18/2024

JPY

    12,765,676,584          

USD

    86,894,758          

Bank of America

    669,240  

10/17/2024

JPY

    14,900,700,000          

USD

    103,809,801          

Bank of America

    (1,153,731 )

09/05/2024

KRW

    6,813,641,595          

USD

    5,000,000          

Bank of America

    102,699  

 

 

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, 2024

 

Settlement
Date

Currency
Purchased

   

 

Currency
Sold

   

   

Counterparty

   

Value/
Unrealized
Appreciation
(Depreciation)

 

09/09/2024

KRW

    25,366,131,890          

USD

    18,600,000          

Bank of America

  $ 401,683  

09/19/2024

KRW

    31,715,181,268          

USD

    23,750,000          

Bank of America

    23,685  

09/23/2024

KRW

    7,858,464,185          

USD

    5,900,000          

Bank of America

    (7,717 )

09/27/2024

KRW

    2,399,004,000          

USD

    1,800,000          

Bank of America

    (741 )

09/30/2024

KRW

    3,201,295,090          

USD

    2,400,000          

Bank of America

    1,452  

10/04/2024

KRW

    4,796,802,724          

USD

    3,600,000          

Bank of America

    (778 )

09/18/2024

MXN

    328,720,654          

USD

    17,701,398          

Bank of America

    (1,059,840 )

10/17/2024

MXN

    430,000          

USD

    21,855          

Bank of America

    (184 )

09/03/2024

NOK

    20,645,554          

EUR

    1,773,138          

Bank of America

    (13,527 )

09/18/2024

NOK

    534,319,737          

EUR

    45,607,484          

Bank of America

    (56,379 )

09/03/2024

NOK

    5,500,000          

SEK

    5,351,029          

Bank of America

    (2,595 )

09/03/2024

NOK

    99,867,446          

USD

    9,509,851          

Bank of America

    (92,432 )

09/18/2024

NOK

    405,108,987          

USD

    38,208,790          

Bank of America

    4,814  

09/25/2024

NOK

    56,783,471          

USD

    5,400,000          

Bank of America

    (42,911 )

09/25/2024

NZD

    3,000,000          

JPY

    267,584,414          

Bank of America

    38,288  

09/03/2024

NZD

    20,700,000          

USD

    12,956,599          

Bank of America

    (15,702 )

09/18/2024

NZD

    129,186,000          

USD

    79,325,337          

Bank of America

    1,440,736  

09/25/2024

NZD

    20,300,000          

USD

    12,634,785          

Bank of America

    56,808  

09/18/2024

PEN

    7,660,176          

USD

    2,050,000          

Bank of America

    (6,303 )

09/18/2024

PHP

    333,586,271          

USD

    5,900,000          

Bank of America

    40,336  

09/27/2024

PHP

    28,126,400          

USD

    500,000          

Bank of America

    840  

09/03/2024

PLN

    1,500,000          

EUR

    349,702          

Bank of America

    559  

09/18/2024

PLN

    123,877,580          

EUR

    28,658,621          

Bank of America

    262,102  

09/25/2024

PLN

    9,406,259          

EUR

    2,200,000          

Bank of America

    (7,592 )

09/25/2024

PLN

    57,401,919          

USD

    14,900,000          

Bank of America

    (88,073 )

10/17/2024

PLN

    54,640,000          

USD

    13,827,949          

Bank of America

    265,142  

09/03/2024

SEK

    107,448,812          

EUR

    9,475,056          

Bank of America

    (9,114 )

09/18/2024

SEK

    348,793,387          

EUR

    30,668,921          

Bank of America

    71,658  

09/25/2024

SEK

    63,776,486          

EUR

    5,612,221          

Bank of America

    8,461  

09/25/2024

SEK

    130,292,663          

NOK

    133,500,000          

Bank of America

    111,644  

09/03/2024

SEK

    36,022,305          

USD

    3,522,947          

Bank of America

    (14,034 )

09/18/2024

SEK

    276,686,417          

USD

    26,935,638          

Bank of America

    37,474  

09/25/2024

SEK

    68,999,335          

USD

    6,700,000          

Bank of America

    28,929  

10/17/2024

SEK

    37,770,000          

USD

    3,578,917          

Bank of America

    109,250  

09/18/2024

SGD

    19,978,016          

USD

    15,200,000          

Bank of America

    127,254  

09/25/2024

SGD

    49,091,700          

USD

    37,600,000          

Bank of America

    79,284  

09/18/2024

THB

    214,000,024          

USD

    6,200,000          

Bank of America

    132,932  

09/18/2024

TRY

    36,500,000          

USD

    1,021,565          

Bank of America

    24,037  

09/18/2024

TWD

    224,797,376          

USD

    7,050,000          

Bank of America

    (7,974 )

09/27/2024

TWD

    12,735,050          

USD

    400,000          

Bank of America

    (669 )

09/18/2024

USD

    63,767,743          

AUD

    96,638,000          

Bank of America

    (1,673,571 )

09/25/2024

USD

    10,436,497          

AUD

    15,500,000          

Bank of America

    (61,544 )

10/17/2024

USD

    66,384,176          

AUD

    100,089,000          

Bank of America

    (1,437,781 )

09/04/2024

USD

    21,872,176          

BRL

    123,603,626          

Bank of America

    (48,968 )

10/02/2024

USD

    25,400,000          

BRL

    143,582,345          

Bank of America

    21,558  

09/18/2024

USD

    159,728,941          

CAD

    218,804,163          

Bank of America

    (2,730,177 )

09/25/2024

USD

    25,955,750          

CAD

    35,300,000          

Bank of America

    (259,742 )

09/03/2024

USD

    5,465,678          

CHF

    4,599,697          

Bank of America

    52,030  

09/18/2024

USD

    71,483,320          

CHF

    62,623,283          

Bank of America

    (2,351,773 )

09/25/2024

USD

    2,952,156          

CHF

    2,500,000          

Bank of America

    2,139  

09/03/2024

USD

    200,000          

CLP

    191,196,000          

Bank of America

    (9,236 )

 

 

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, 2024

 

Settlement
Date

Currency
Purchased

   

 

Currency
Sold

   

   

Counterparty

   

Value/
Unrealized
Appreciation
(Depreciation)

 

09/05/2024

USD

    200,000          

CLP

    187,260,000          

Bank of America

  $ (4,921 )

09/06/2024

USD

    300,000          

CLP

    279,901,815          

Bank of America

    (6,295 )

09/09/2024

USD

    300,000          

CLP

    280,915,694          

Bank of America

    (7,391 )

09/12/2024

USD

    200,000          

CLP

    187,887,520          

Bank of America

    (5,586 )

09/13/2024

USD

    400,000          

CLP

    373,252,340          

Bank of America

    (8,405 )

09/16/2024

USD

    200,000          

CLP

    186,442,340          

Bank of America

    (3,992 )

09/23/2024

USD

    4,500,000          

CLP

    4,204,381,950          

Bank of America

    (99,645 )

09/27/2024

USD

    300,000          

CLP

    277,359,000          

Bank of America

    (3,416 )

10/03/2024

USD

    200,000          

CLP

    184,050,020          

Bank of America

    (1,325 )

10/04/2024

USD

    600,000          

CLP

    549,808,000          

Bank of America

    (1,405 )

09/03/2024

USD

    1,834,138          

CNH

    13,000,000          

Bank of America

    (567 )

09/19/2024

USD

    38,380,642          

CNH

    276,369,627          

Bank of America

    (699,074 )

09/25/2024

USD

    9,100,000          

CNH

    64,681,626          

Bank of America

    (52,981 )

09/03/2024

USD

    204,238          

COP

    820,394,632          

Bank of America

    8,168  

09/06/2024

USD

    400,000          

COP

    1,655,894,736          

Bank of America

    4,475  

10/03/2024

USD

    200,000          

COP

    832,755,368          

Bank of America

    1,802  

09/25/2024

USD

    300,000          

CZK

    6,808,992          

Bank of America

    (830 )

09/03/2024

USD

    1,415,174          

EUR

    1,274,260          

Bank of America

    6,349  

09/18/2024

USD

    67,429,296          

EUR

    62,100,000          

Bank of America

    (1,275,704 )

09/25/2024

USD

    278,848          

EUR

    250,000          

Bank of America

    2,170  

10/17/2024

USD

    347,033,514          

EUR

    315,688,000          

Bank of America

    (2,718,205 )

09/03/2024

USD

    10,946,490          

GBP

    8,296,337          

Bank of America

    50,329  

09/18/2024

USD

    39,883,183          

GBP

    31,146,000          

Bank of America

    (1,028,579 )

09/25/2024

USD

    247,200          

GBP

    187,500          

Bank of America

    896  

09/25/2024

USD

    1,200,000          

HUF

    432,441,600          

Bank of America

    (15,273 )

09/18/2024

USD

    3,800,000          

IDR

    61,484,000,000          

Bank of America

    (175,193 )

09/27/2024

USD

    1,400,000          

IDR

    21,819,644,000          

Bank of America

    (10,239 )

09/18/2024

USD

    3,800,000          

ILS

    14,470,439          

Bank of America

    (182,078 )

09/25/2024

USD

    4,800,000          

ILS

    17,705,021          

Bank of America

    (73,680 )

09/06/2024

USD

    19,936,904          

INR

    1,671,057,464          

Bank of America

    16,387  

09/09/2024

USD

    11,914          

INR

    1,001,056          

Bank of America

    (18 )

09/17/2024

USD

    8,743,522          

INR

    734,814,332          

Bank of America

    (13,009 )

09/18/2024

USD

    1,850,000          

INR

    155,495,023          

Bank of America

    (2,921 )

09/20/2024

USD

    10,600,000          

INR

    890,696,800          

Bank of America

    (13,099 )

09/23/2024

USD

    10,765,709          

INR

    904,260,345          

Bank of America

    (7,959 )

09/27/2024

USD

    24,136,904          

INR

    2,026,323,598          

Bank of America

    (2,286 )

09/03/2024

USD

    105,542          

JPY

    15,354,556          

Bank of America

    449  

09/18/2024

USD

    58,686,440          

JPY

    8,917,947,830          

Bank of America

    (2,484,714 )

09/25/2024

USD

    12,466,294          

JPY

    1,825,000,000          

Bank of America

    (64,719 )

10/17/2024

USD

    58,025,946          

JPY

    8,478,600,000          

Bank of America

    (386,059 )

09/05/2024

USD

    5,000,000          

KRW

    6,846,211,742          

Bank of America

    (127,091 )

09/09/2024

USD

    18,600,000          

KRW

    25,512,720,083          

Bank of America

    (511,492 )

09/19/2024

USD

    24,200,000          

KRW

    33,053,835,100          

Bank of America

    (577,139 )

09/23/2024

USD

    13,600,000          

KRW

    18,110,440,000          

Bank of America

    20,776  

09/27/2024

USD

    6,200,000          

KRW

    8,327,276,000          

Bank of America

    (45,477 )

09/18/2024

USD

    31,923,233          

MXN

    604,804,813          

Bank of America

    1,304,852  

09/25/2024

USD

    2,162,327          

MXN

    41,000,000          

Bank of America

    88,930  

09/18/2024

USD

    33,122,494          

NOK

    357,974,969          

Bank of America

    (644,997 )

09/25/2024

USD

    10,900,000          

NOK

    115,001,910          

Bank of America

    50,443  

09/18/2024

USD

    66,198,900          

NZD

    110,495,000          

Bank of America

    (2,881,707 )

09/25/2024

USD

    9,864,744          

NZD

    16,100,000          

Bank of America

    (201,003 )

 

 

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

 

20

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Settlement
Date

Currency
Purchased

   

 

Currency
Sold

   

   

Counterparty

   

Value/
Unrealized
Appreciation
(Depreciation)

 

09/18/2024

USD

    1,050,000          

PEN

    3,918,705          

Bank of America

  $ 4,509  

09/18/2024

USD

    3,700,000          

PHP

    213,987,876          

Bank of America

    (110,588 )

09/27/2024

USD

    600,000          

PHP

    34,015,800          

Bank of America

    (5,711 )

09/25/2024

USD

    100,000          

PLN

    385,745          

Bank of America

    463  

09/18/2024

USD

    9,145,438          

SEK

    95,939,470          

Bank of America

    (207,338 )

10/17/2024

USD

    3,608,715          

SEK

    37,770,000          

Bank of America

    (79,452 )

09/18/2024

USD

    1,600,000          

SGD

    2,100,289          

Bank of America

    (11,354 )

09/18/2024

USD

    3,150,000          

THB

    110,780,460          

Bank of America

    (128,341 )

09/18/2024

USD

    213,873          

TRY

    7,500,000          

Bank of America

    (977 )

09/25/2024

USD

    9,400,000          

TRY

    330,268,803          

Bank of America

    15,920  

09/16/2024

USD

    7,300,000          

TWD

    234,784,520          

Bank of America

    (53,281 )

09/18/2024

USD

    8,400,000          

TWD

    273,253,235          

Bank of America

    (159,959 )

09/27/2024

USD

    3,700,000          

TWD

    117,856,200          

Bank of America

    4,401  

09/03/2024

USD

    282,814          

ZAR

    5,000,000          

Bank of America

    2,460  

09/18/2024

USD

    1,675,617          

ZAR

    30,810,110          

Bank of America

    (49,798 )

09/03/2024

ZAR

    5,000,000          

USD

    282,953          

Bank of America

    (2,598 )

09/18/2024

ZAR

    239,630,086          

USD

    13,117,727          

Bank of America

    301,935  

09/25/2024

ZAR

    202,147,236          

USD

    11,300,000          

Bank of America

    14,020  

10/17/2024

ZAR

    20,000          

USD

    1,074          

Bank of America

    43  

09/03/2024

AUD

    2,957,003          

USD

    2,007,934          

UBS AG

    (6,255 )

09/18/2024

AUD

    32,545,031          

USD

    21,438,095          

UBS AG

    600,747  

09/18/2024

CAD

    15,749,561          

USD

    11,518,444          

UBS AG

    175,391  

09/03/2024

EUR

    2,231,278          

USD

    2,478,587          

UBS AG

    (11,680 )

09/18/2024

EUR

    30,376,016          

USD

    33,069,246          

UBS AG

    537,584  

09/03/2024

GBP

    389,578          

USD

    513,494          

UBS AG

    (1,834 )

09/18/2024

GBP

    8,619,183          

USD

    11,053,898          

UBS AG

    267,812  

09/03/2024

JPY

    250,967,611          

USD

    1,734,085          

UBS AG

    (16,361 )

09/18/2024

JPY

    3,905,560,794          

USD

    25,490,498          

UBS AG

    1,299,035  

09/03/2024

NOK

    524,868          

USD

    50,000          

UBS AG

    (505 )

09/18/2024

NOK

    232,822,629          

USD

    21,787,905          

UBS AG

    174,066  

09/03/2024

NZD

    289,662          

USD

    181,349          

UBS AG

    (262 )

09/18/2024

NZD

    21,279,561          

USD

    12,831,546          

UBS AG

    472,268  

09/03/2024

SEK

    838,762          

USD

    82,393          

UBS AG

    (690 )

09/18/2024

SEK

    59,686,991          

USD

    5,677,136          

UBS AG

    141,523  

09/03/2024

USD

    2,007,365          

AUD

    2,957,003          

UBS AG

    5,686  

09/18/2024

USD

    40,104,376          

AUD

    60,202,891          

UBS AG

    (663,814 )

09/18/2024

USD

    9,639,951          

CAD

    13,120,965          

UBS AG

    (102,188 )

09/03/2024

USD

    2,477,699          

EUR

    2,231,278          

UBS AG

    10,792  

09/18/2024

USD

    16,194,814          

EUR

    14,844,691          

UBS AG

    (228,769 )

09/03/2024

USD

    513,410          

GBP

    389,578          

UBS AG

    1,750  

09/18/2024

USD

    13,067,527          

GBP

    10,104,229          

UBS AG

    (204,861 )

09/03/2024

USD

    1,734,372          

JPY

    250,967,611          

UBS AG

    16,648  

09/18/2024

USD

    21,717,335          

JPY

    3,252,151,880          

UBS AG

    (590,250 )

09/03/2024

USD

    50,033          

NOK

    524,868          

UBS AG

    539  

09/18/2024

USD

    10,802,510          

NOK

    117,629,913          

UBS AG

    (293,425 )

09/03/2024

USD

    181,253          

NZD

    289,662          

UBS AG

    167  

09/18/2024

USD

    16,949,330          

NZD

    27,899,850          

UBS AG

    (493,437 )

09/03/2024

USD

    82,316          

SEK

    838,762          

UBS AG

    613  

09/18/2024

USD

    3,254,179          

SEK

    33,694,169          

UBS AG

    (30,538 )

Total Forward Foreign Currency Contracts

                          $ (11,462,164 )

 

 

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

 

21

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Concluded)

August 31, 2024

 

 

 

AUD

Australian Dollar

 

KRW

South Korean Won

BRL

Brazilian Real

 

MXN

Mexican Peso

CAD

Canadian Dollar

 

NOK

Norwegian Krone

CHF

Swiss Franc

 

NZD

New Zealand Dollar

CLP

Chilean Peso

 

PEN

Peruvian Sol

CNH

Chinese Offshore Renminbi

 

PHP

Philippine Peso

COP

Colombian Peso

 

PLN

Polish Zloty

CZK

Czech Republic Koruna

 

SEK

Swedish Krona

EUR

Euro

 

SGD

Singapore Dollar

GBP

British Pound

 

THB

Thai Baht

HUF

Hungarian Forint

 

TRY

Turkish Lira

IDR

Indonesian Rupiah

 

TWD

New Taiwan Dollar

ILS

Israeli Shekel

 

USD

United States Dollar

INR

Indian Rupee

 

ZAR

South African Rand

JPY

Japanese Yen

     

 

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

 

22

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statement of Assets And Liabilities

August 31, 2024

 

ASSETS

       

Investments, at value (cost $2,130,402,199)

  $ 2,131,411,644  

Cash equivalents

    133,867,939  

Foreign currency deposits with broker for futures contracts (cost $21,440,473)

    21,388,021  

Deposit with brokers:

       

Forward foreign currency contracts:

    48,514,764  

Futures contracts

    377,429,260  

Receivables for:

       

Capital shares sold

    4,703,783  

Interest receivable

    421,191  

Unrealized appreciation on forward foreign currency contracts

    23,367,173  

Unrealized appreciation on futures contracts

    87,354,442  

Prepaid expenses and other assets

    67,020  

Total assets

    2,828,525,237  
         

LIABILITIES

       

Payables for:

       

Advisory fees

    3,913,690  

Capital shares redeemed

    1,612,268  

Unrealized depreciation on forward foreign currency contracts

    34,829,337  

Unrealized depreciation on futures contracts

    74,150,839  

Other accrued expenses and liabilities

    446,434  

Total liabilities

    114,952,568  

Net assets

  $ 2,713,572,669  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 242,598  

Paid-in capital

    3,169,880,365  

Total distributable earnings/(losses)

    (456,550,294 )

Net assets

  $ 2,713,572,669  
         

CLASS A SHARES:

       

Net assets

  $ 22,031,252  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,984,342  

Net asset value and redemption price per share

  $ 11.10  

Maximum offering price per share (100/94.25 of $11.10)

  $ 11.78  
         

CLASS I SHARES:

       

Net assets

  $ 2,682,704,829  

Shares outstanding ($0.001 par value, 500,000,000 shares authorized)

    239,780,130  

Net asset value, offering and redemption price per share

  $ 11.19  
         

CLASS C SHARES:

       

Net assets

  $ 8,836,588  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    833,803  

Net asset value, offering and redemption price per share

  $ 10.60  

 

 

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

 

23

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statement of Operations

For the Year Ended August 31, 2024

 

INVESTMENT INCOME

       

Interest

  $ 134,203,971  

Total investment income

    134,203,971  

EXPENSES

       

Advisory fees (Note 2)

    48,481,345  

Administration and accounting services fees (Note 2)

    514,692  

Directors fees

    354,525  

Transfer agent fees (Note 2)

    293,932  

Officers fees

    247,602  

Distribution fees (Class A Shares) (Note 2)

    88,043  

Distribution fees (Class C Shares) (Note 2)

    71,314  

Legal fees

    149,690  

Printing and shareholder reporting fees

    136,077  

Registration and filing fees

    127,348  

Custodian fees (Note 2)

    95,768  

Audit and tax service fees

    81,702  

Other expenses

    170,885  

Total expenses before waivers and/or reimbursements

    50,812,923  

Less: waivers and/or reimbursements (Note 2)

    (1,582,258 )

Net expenses after waivers and/or reimbursements

    49,230,665  

Net investment income/(loss)

    84,973,306  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Investments

    (1,034,200 )

Futures contracts

    (61,194,067 )

Foreign currency transactions

    (7,067,009 )

Forward foreign currency contracts

    (37,971,946 )

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    1,852,217  

Futures contracts

    (673,549 )

Foreign currency translations

    44,679  

Forward foreign currency contracts

    (13,260,049 )

Net realized and unrealized gain/(loss) from investments

    (119,303,924 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (34,330,618 )

 

 

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

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 84,973,306     $ 55,955,657  

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions, forward foreign currency contracts

    (107,267,222 )     (106,116,882 )

Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations, forward foreign currency contracts

    (12,036,702 )     (34,763,504 )

Net increase/(decrease) in net assets resulting from operations

    (34,330,618 )     (84,924,729 )

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Class A

    (304,919 )     (17,240,224 )

Class I

    (49,555,318 )     (350,326,206 )

Class C

    (82,852 )     (1,390,657 )

Net decrease in net assets from dividends and distributions to shareholders

    (49,943,089 )     (368,957,087 )

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    16,588,082       72,909,552  

Proceeds from reinvestment of distributions

    244,603       15,458,188  

Shares redeemed

    (79,497,741 )     (96,518,703 )

Total from Class A Shares

    (62,665,056 )     (8,150,963 )

Class I Shares

               

Proceeds from shares sold

    1,078,371,905       1,519,244,144  

Proceeds from reinvestment of distributions

    31,007,633       220,037,703  

Shares redeemed

    (992,150,907 )     (1,223,121,986 )

Total from Class I Shares

    117,228,631       516,159,861  

Class C Shares

               

Proceeds from shares sold

    2,171,689       3,837,664  

Proceeds from reinvestment of distributions

    55,448       882,158  

Shares redeemed

    (2,545,271 )     (2,504,539 )

Total from Class C Shares

    (318,134 )     2,215,283  

Net increase/(decrease) in net assets from capital share transactions

    54,245,441       510,224,181  

Total increase/(decrease) in net assets

    (30,028,266 )     56,342,365  

NET ASSETS:

               

Beginning of period

    2,743,600,935       2,687,258,570  

End of period

  $ 2,713,572,669     $ 2,743,600,935  

 

 

 

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

 

25

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    1,436,355       5,947,542  

Shares reinvested

    22,196       1,333,752  

Shares redeemed

    (6,823,094 )     (8,301,217 )

Total Class A Shares

    (5,364,543 )     (1,019,923 )

Class I Shares

               

Shares sold

    93,772,671       123,436,456  

Shares reinvested

    2,795,999       18,742,564  

Shares redeemed

    (85,795,101 )     (100,137,539 )

Total Class I Shares

    10,773,569       42,041,481  

Class C Shares

               

Shares sold

    196,858       305,269  

Shares reinvested

    5,241       78,764  

Shares redeemed

    (232,682 )     (211,397 )

Total Class C Shares

    (30,583 )     172,636  

Net increase in shares outstanding

    5,378,443       41,194,194  

 

 

 

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

 

26

 

 

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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 11.40     $ 13.56     $ 11.95     $ 11.28     $ 12.45  

Net investment income/(loss)(1)

    0.33       0.22       (0.19 )     (0.24 )     (0.11 )

Net realized and unrealized gain/(loss) from investments

    (0.52 )     (0.60 )     2.20       1.07       (0.14 )

Net increase/(decrease) in net assets resulting from operations

    (0.19 )     (0.38 )     2.01       0.83       (0.25 )

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.11 )     (1.11 )     (0.27 )     (0.16 )     (0.64 )

Net realized capital gains

          (0.67 )     (0.13 )           (0.28 )

Total dividends and distributions to shareholders

    (0.11 )     (1.78 )     (0.40 )     (0.16 )     (0.92 )

Net asset value, end of period

  $ 11.10     $ 11.40     $ 13.56     $ 11.95     $ 11.28  

Total investment return/(loss)(2)

    (1.67 )%     (3.05 )%     17.40 %     7.42 %     (1.64 )%

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 22,031     $ 83,783     $ 113,480     $ 21,395     $ 14,469  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    2.04 %     2.04 %     2.04 %     2.04 %     2.04 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    2.04 %     2.04 %     2.04 %     2.04 %     2.04 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    2.10 %     2.11 %     2.10 %     2.14 %     2.15 %

Ratio of net investment income/(loss) to average net assets

    2.85 %     1.80 %     (1.47 )%     (2.03 )%     (0.98 )%

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. Total return does not reflect any applicable sales charge.

(3)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares.

(4)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

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

 

27

 

 

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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 11.57     $ 13.72     $ 12.07     $ 11.38     $ 12.55  

Net investment income/(loss)(1)

    0.36       0.25       (0.15 )     (0.21 )     (0.09 )

Net realized and unrealized gain/(loss) from investments

    (0.51 )     (0.61 )     2.22       1.08       (0.14 )

Net increase/(decrease) in net assets resulting from operations

    (0.15 )     (0.36 )     2.07       0.87       (0.23 )

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.23 )     (1.12 )     (0.29 )     (0.18 )     (0.66 )

Net realized capital gains

          (0.67 )     (0.13 )           (0.28 )

Total dividends and distributions to shareholders

    (0.23 )     (1.79 )     (0.42 )     (0.18 )     (0.94 )

Net asset value, end of period

  $ 11.19     $ 11.57     $ 13.72     $ 12.07     $ 11.38  

Total investment return/(loss)(2)

    (1.32 )%     (2.83 )%     17.72 %     7.74 %     (1.39 )%

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 2,682,705     $ 2,650,349     $ 2,564,701     $ 1,132,714     $ 883,997  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    1.79 %     1.79 %     1.79 %     1.79 %     1.79 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    1.79 %     1.79 %     1.79 %     1.79 %     1.79 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    1.85 %     1.86 %     1.85 %     1.89 %     1.90 %

Ratio of net investment income/(loss) to average net assets

    3.10 %     2.05 %     (1.22 )%     (1.78 )%     (0.73 )%

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)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares.

(4)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

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

 

28

 

 

Abbey Capital 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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance

Net asset value, beginning of period

  $ 10.95     $ 13.12     $ 11.60     $ 10.98     $ 12.11  

Net investment income/(loss)(1)

    0.23       0.12       (0.27 )     (0.32 )     (0.19 )

Net realized and unrealized gain/(loss) from investments

    (0.48 )     (0.57 )     2.13       1.05       (0.14 )

Net increase/(decrease) in net assets resulting from operations

    (0.25 )     (0.45 )     1.86       0.73       (0.33 )

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.10 )     (1.05 )     (0.21 )     (0.11 )     (0.52 )

Net realized capital gains

          (0.67 )     (0.13 )           (0.28 )

Total dividends and distributions to shareholders

    (0.10 )     (1.72 )     (0.34 )     (0.11 )     (0.80 )

Net asset value, end of period

  $ 10.60     $ 10.95     $ 13.12     $ 11.60     $ 10.98  

Total investment return/(loss)(2)

    (2.29 )%     (3.77 )%     16.48 %     6.72 %     (2.40 )%

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 8,837     $ 9,469     $ 9,078     $ 5,524     $ 5,151  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    2.79 %     2.79 %     2.79 %     2.79 %     2.79 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    2.79 %     2.79 %     2.79 %     2.79 %     2.79 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    2.85 %     2.86 %     2.85 %     2.89 %     2.90 %

Ratio of net investment income/(loss) to average net assets

    2.10 %     1.05 %     (2.22 )%     (2.78 )%     (1.73 )%

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)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares.

(4)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

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

 

29

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Abbey Capital Futures Strategy Fund (the “Fund”), which commenced investment operations on July 1, 2014. The Fund is authorized to offer four classes of shares, Class A Shares, Class I Shares, Class C Shares and Class T Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances. Class T Shares are not currently available for sale.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Consolidated Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

CONSOLIDATION OF SUBSIDIARIES – The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the Abbey Capital Offshore Fund SPC (the “SPC”), a wholly-owned subsidiary of the Cayman Subsidiary organized under the acts of the Cayman Islands. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.

 

The Fund may also invest a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the Abbey Capital Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company.

 

The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the current fiscal period, the net assets of the Cayman Subsidiary and SPC were $588,829,238, which represented 21.70% of the Fund’s net assets. As of the end of the current fiscal period, the net assets of the Onshore Subsidiary were $720,139,202, which represented 26.54% 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

 

30

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Abbey Capital Limited (the “Adviser” or “Abbey Capital”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 –

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 –

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 –

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Short-Term Investments

  $ 2,131,411,644     $ 2,131,411,644     $     $  

Commodity Contracts

                               

Futures Contracts

    59,169,810       59,169,810              

Equity Contracts

                               

Futures Contracts

    19,746,731       19,746,731              

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    23,367,173             23,367,173        

Futures Contracts

    1,633,728       1,633,728              

Interest Rate Contracts

                               

Futures Contracts

    6,804,173       6,804,173              

Total Assets

  $ 2,242,133,259     $ 2,218,766,086     $ 23,367,173     $  

 

31

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Commodity Contracts

                               

Futures Contracts

  $ (50,625,303 )   $ (50,625,303 )   $     $  

Equity Contracts

                               

Futures Contracts

    (3,769,510 )     (3,769,510 )            

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    (34,829,337 )           (34,829,337 )      

Futures Contracts

    (8,698,425 )     (8,698,425 )            

Interest Rate Contracts

                               

Futures Contracts

    (11,057,601 )     (11,057,601 )            

Total Liabilities

  $ (108,980,176 )   $ (74,150,839 )   $ (34,829,337 )   $  

 

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 current fiscal period include forward foreign currency contracts and futures contracts.

 

During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Cayman Subsidiary, the SPC and the Onshore Subsidiary), to gain investment exposure in accordance with its investment objective.

 

The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.

 

32

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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 current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement
of Assets and
Liabilities
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Asset Derivatives

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts     $     $     $ 23,367,173     $     $ 23,367,173  

Futures Contracts (a)

    Unrealized appreciation on futures contracts       19,746,731       6,804,173       1,633,728       59,169,810       87,354,442  

Total Value- Assets

          $ 19,746,731     $ 6,804,173     $ 25,000,901     $ 59,169,810     $ 110,721,615  

Liability Derivatives

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts     $     $     $ (34,829,337 )   $     $ (34,829,337 )

Futures Contracts (a)

    Unrealized depreciation on futures contracts       (3,769,510 )     (11,057,601 )     (8,698,425 )     (50,625,303 )     (74,150,839 )

Total Value- Liabilities

  $ (3,769,510 )   $ (11,057,601 )   $ (43,527,762 )   $ (50,625,303 )   $ (108,980,176 )

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from futures contracts     $ 45,178,116     $ (93,414,890 )   $ (41,778,238 )   $ 28,820,945     $ (61,194,067 )

Forward Contracts

    Net realized gain/(loss) from forward foreign currency contracts                   (37,971,946 )           (37,971,946 )

Total Realized Gain/(Loss)

  $ 45,178,116     $ (93,414,890 )   $ (79,750,184 )   $ 28,820,945     $ (99,166,013 )

 

33

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ 12,395,156     $ 8,307,958     $ (20,973,511 )   $ (403,152 )   $ (673,549 )

Forward Contracts

    Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts                   (13,260,049 )           (13,260,049 )

Total Change in Unrealized Appreciation/(Depreciation)

  $ 12,395,156     $ 8,307,958     $ (34,233,560 )   $ (403,152 )   $ (13,933,598 )

 

During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:

 

Long Futures
Notional
Amount

Short Futures
Notional
Amount

Forward Foreign
Currency
Contracts — Payable
(Value at Trade Date)

Forward Foreign
Currency
Contracts —
Receivable
(Value at Trade Date)

$5,969,970,116

$(7,519,862,289)

$(4,929,064,104)

$4,925,433,527

 

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.

 

34

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

                           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

         

Description

 

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

           

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

           

Liabilities

 

Forward Foreign Currency Contracts

  $ 23,367,173     $ (23,367,173 )   $     $             $ 34,829,337     $ (23,367,173 )   $ (11,462,164 )   $  

 

 
 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

 

(2)

Actual collateral pledged may be more than the amount shown.

 

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

35

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Act (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no act that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation.” The SPC is treated as an entity disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (“SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts

 

36

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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. As of the end of the current fiscal period, the Fund has no options.

 

Options Written — The Fund may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the

 

37

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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 current fiscal period, the Fund has no written options.

 

Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to potentially unlimited risk of loss.

 

Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. The Fund considers investments in the U.S Bank Money Market Deposit Account, a U.S. dollar-denominated deposit account offered through U.S. Bank, N.A., to be a cash equivalent. The Fund is exposed to the credit risk of U.S. Bank, N.A. through the holding of this cash equivalent. This cash equivalent is presented on the Consolidated Statement of Assets and Liabilities as “Cash equivalents” and was classified as Level 1 assets as of August 31, 2024. As of August 31, 2024, this balance was $133,867,939.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Abbey Capital Limited serves as the investment adviser to the Fund and the Cayman Subsidiary, Onshore Subsidiary and SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the

 

38

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.

 

Advisory
Fee

Expense Caps

 

Class A

Class I

Class C

Class T

1.77%

2.04%

1.79%

2.79%

2.04%

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

Gross
Advisory
Fees

Waivers and/or
Reimbursements

Net
Advisory
Fees

$48,481,345

$(1,582,258)

$46,899,087

 

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 current fiscal period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2025

August 31,
2026

August 31,
2027

Total

$1,164,300

$1,932,271

$1,582,258

$4,678,829

 

Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Episteme Capital Partners (UK), LLP, Graham Capital Management, LP, P/E Global LLC, QMS Capital Management LP, Revolution Capital Management, LLC, R.G. Niederhoffer Capital Management, Inc., Systematica Investments Limited (acting as the general partner of Systematica Investments LP), Tudor Investment Corporation, Welton Investment Partners, LLC and Winton Capital Management Limited each served as a Trading Adviser to the Fund during the current fiscal period.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

39

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

The Board has adopted a Plan of Distribution for the Class A Shares, Class C Shares and Class T Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and Class T Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

40

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$2,922,564,836

$881,722

$(473,955,846)

$(473,074,124)

 

 

(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, 2024, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:

 

Distributable
Earnings/(Loss)

Paid-In
Capital

$66,500,806

$(66,500,806)

 

As of August 31, 2024, the components of distributable earnings/(deficits) on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$39,501,995

$—

$(393,727,591)

$(102,324,698)

$—

$—

 

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, 2023 and August 31, 2024 was as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

2024

$49,943,089

$—

$49,943,089

 

 

Ordinary
Income

Long-Term
Gains

Total

2023

$301,432,418

$67,524,669

$368,957,087

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024.

 

41

 

 

Abbey Capital Futures Strategy Fund

 

Notes To Consolidated Financial Statements (Concluded)

August 31, 2024

 

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, 2024, the Fund had $36,927,094 of unlimited short-term and $65,397,604 of unlimited long-term capital loss carryovers to offset future capital gains.

 

6. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the consolidated financial statements.

 

42

 

 

Abbey Capital Futures Strategy Fund

 

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of Abbey Capital Futures Strategy Fund
and Board of Directors of The RBB Fund, Inc.

 

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, 2024, 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, 2024, 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, 2024, by correspondence with the custodian and brokers. 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, 2024

 

43

 

 

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, 2024. The information and distribution reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2024. During the fiscal year ended August 31, 2024, the Fund paid no ordinary income dividends that are designated as “qualified dividend income” 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 0%.

 

Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

44

 

 

Abbey Capital Futures Strategy Fund

 

Other Information

(Unaudited)

 

Approval of Investment Advisory Agreements and Trading Advisory Agreements

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the 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 the Onshore Subsidiary, the Cayman Subsidiary and the SPC (the “Subsidiaries”) and Abbey Capital (collectively, the “Subsidiary Investment Advisory Agreements”), and (3) the trading advisory agreements between Abbey Capital and each of Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Episteme Capital Partners (UK), LLP, Graham Capital Management, LP, P/E Global LLC, Revolution Capital Management, LLC, R.G. Niederhoffer Capital Management, Inc., Systematica Investments Limited (acting as the general partner of Systematica Investments LP), Tudor Investment Corporation, Welton Investment Partners LLC, and Winton Capital Management Limited (each, a “Trading Adviser”) (the “Trading Advisory Agreements”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements for an additional one-year term ending August 16, 2025. The Board’s decision to approve the Investment 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 Investment 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 and approval of the Investment Advisory Agreement, each of the Subsidiary Investment Advisory Agreements, and 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. The Directors reviewed these materials with management of Abbey Capital, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of Abbey Capital, the Subsidiaries, or Trading Advisers were present. 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, as applicable, and Abbey Capital’s profitability analysis; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its 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 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, the S&P 500 Total Return Index, for the three-month, one-year, three-year, five-year, and since-inception periods ended December 31, 2023. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Board noted that the Fund’s total return outperformed the median of its Peer Group for the one-year, five-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and three-year periods ended December 31, 2023.

 

45

 

 

Abbey Capital Futures Strategy Fund

 

Other Information

(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 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 both the Fund’s net advisory fee and total net expenses were above the median and in the 4th quartile (most expensive) of its Peer Group. 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, 2024, 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, Subsidiary Investment Advisory Agreements, and Trading Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2025.

 

QMS TRADING ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Independent Directors, considered the approval of a new trading advisory agreement (the “QMS Trading Advisory Agreement”) by and among Abbey Capital, the Onshore Subsidiary, the SPC and QMS Capital Management LP (“QMS Capital”) at a meeting of the Board held on November 15-16, 2023 (the “November Meeting”). At the November Meeting, the Board, including all of the Independent Directors, approved the QMS Trading Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the QMS Trading Advisory Agreement reflects the exercise of its business judgment. In approving the QMS Trading Advisory Agreement, the Board considered information provided by Abbey Capital and QMS Capital, with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the approval of the QMS Trading Advisory Agreement, the Board took into account all materials provided prior to and during the November Meeting and at other meetings throughout the past year, the presentations made during the November Meeting, and the discussions held during the November Meeting. The Directors reviewed these materials with management of Abbey Capital, and discussed the QMS Trading Advisory Agreement with counsel in executive sessions, at which no representatives of Abbey Capital or QMS Capital were present. The Directors considered whether approval of the QMS Trading Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the QMS Trading Advisory Agreement. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by QMS Capital; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) QMS Capital’s investment philosophies and processes; (iv) QMS Capital’s assets under management and client descriptions; (v) QMS Capital’s trade execution and trade allocation policies; (vi) QMS Capital’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; and (vii) QMS Capital’s compliance procedures.

 

The Board also considered the fees payable to QMS Capital under the proposed QMS Trading Advisory Agreement and the services to be provided by QMS Capital. In this regard, the Board noted that the fees for QMS Capital were payable by Abbey Capital.

 

After reviewing the information regarding Abbey Capital’s and QMS Capital’s costs, profitability and economies of scale, and after considering the services to be provided by QMS Capital, the Board concluded that the trading advisory fees to be paid by Abbey Capital to QMS Capital were fair and reasonable, that the QMS Trading Advisory Agreement was in the best interests of the Fund and its shareholders and did not involve a conflict of interest from which Abbey Capital would derive an inappropriate advantage, and that the QMS Trading Advisory Agreement should be approved for an initial period ending August 16, 2025.

 

46

 

 

Investment Adviser
Abbey Capital Limited
8 St. Stephen’s Green
Dublin 2, Ireland

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

 

 

 

Abbey Capital Multi Asset Fund

 

of

 

THE RBB FUND, INC.

 

 

Financial Statements

 

 

 

 

August 31, 2024

 

 

 

 

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments

August 31, 2024

 

   

Par

   

Value

 

SHORT-TERM INVESTMENTS — 77.3%

               

U.S. Treasury Bills — 77.3%

               

5.24%, 09/05/2024(a)

  $ 38,457,000     $ 38,445,857  

5.25%, 09/12/2024(a)

    31,111,000       31,070,468  

5.21%, 09/19/2024(a)

    21,927,000       21,876,081  

5.22%, 09/26/2024(a)

    27,335,000       27,244,362  

5.22%, 10/03/2024(a)

    7,142,000       7,111,408  

5.25%, 10/10/2024(a)

    51,321,000       51,050,278  

5.26%, 10/17/2024(a)

    105,248,000       104,592,436  

5.28%, 10/24/2024(a)

    29,587,000       29,372,867  

5.24%, 10/31/2024(a)

    25,031,000       24,825,060  

5.26%, 11/07/2024(a)

    40,331,000       39,965,590  

5.26%, 11/14/2024(a)

    35,154,000       34,802,921  

5.28%, 11/21/2024(a)

    25,659,000       25,378,027  

5.25%, 11/29/2024(a)

    42,616,000       42,104,301  

5.26%, 12/05/2024(a)

    11,333,000       11,190,070  

5.24%, 12/12/2024(a)

    25,736,000       25,389,761  

5.21%, 12/19/2024(a)

    75,193,000       74,109,352  

5.10%, 01/09/2025(a)

    26,473,000       26,026,395  

5.08%, 01/16/2025(a)

    13,503,000       13,262,693  

5.04%, 01/23/2025(a)

    12,269,000       12,039,671  

4.79%, 01/30/2025(a)

    31,542,000       30,924,994  

4.88%, 02/06/2025(a)

    38,469,000       37,682,118  

4.88%, 02/13/2025(a)

    27,185,000       26,605,719  

4.82%, 02/20/2025(a)

    47,467,000       46,415,177  

4.77%, 02/27/2025(a)

    8,857,000       8,653,193  

TOTAL SHORT-TERM INVESTMENTS (Cost $789,745,235)

            790,138,799  
                 

TOTAL INVESTMENTS — 77.3% (Cost $789,745,235)

            790,138,799  
                 

Other Assets in Excess of Liabilities — 22.7%

            231,535,322  

TOTAL NET ASSETS — 100.0%

          $ 1,021,674,121  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the consolidated financial statements.
1

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Futures contracts outstanding as of August 31, 2024 were as follows:

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

10 Year Japanese Government Bonds

    3       09/11/2024     $ 297,045     $ (493 )

10 Year U.S. Ultra Treasury Notes

    19       12/19/2024       2,231,312       (16,891 )

3 Month Canadian Overnight Repo Rate Average

    103       03/18/2025       18,406,096       23,615  

3 Month Canadian Overnight Repo Rate Average

    77       06/17/2025       13,808,463       (1,660 )

3 Month Canadian Overnight Repo Rate Average

    40       09/16/2025       7,189,552       2,263  

3 Month Canadian Overnight Repo Rate Average

    35       12/16/2025       6,299,948       6,678  

3 Month Canadian Overnight Repo Rate Average

    25       03/17/2026       4,504,833       4,397  

3 Month Canadian Overnight Repo Rate Average

    15       06/16/2026       2,705,126       872  

3 Month Euribor

    12       12/16/2024       3,215,719       (746 )

3 Month Euribor

    3       03/17/2025       807,370       (14 )

3 Month Euribor

    470       06/16/2025       126,812,718       224,501  

3 Month Euribor

    187       09/15/2025       50,519,870       (691 )

3 Month Euribor

    533       12/15/2025       144,090,878       171,600  

3 Month Euribor

    82       03/16/2026       22,172,359       6,549  

3 Month Euribor

    150       06/15/2026       40,559,194       15,310  

3 Month Euribor

    153       09/14/2026       41,364,036       33,590  

3 Month Euribor

    84       12/14/2026       22,705,024       6,259  

3 Month Euribor

    30       03/15/2027       8,106,865       (1,713 )

3 Month Euribor

    308       06/14/2027       83,209,197       41,646  

3 Month Euribor

    32       09/13/2027       8,642,901       5,831  

3 Month New Zealand Treasury Bill

    28       12/11/2024       17,307,000       3,329  

3 Month New Zealand Treasury Bill

    17       03/12/2025       10,520,132       (46 )

3 Month Swiss Average Overnight Rate

    5       03/18/2025       1,460,649       662  

3 Month Swiss Average Overnight Rate

    4       06/17/2025       1,169,637       162  

3-Month Secured Overnight Financing Rate

    106       03/18/2025       25,372,425       (6,525 )

3-Month Secured Overnight Financing Rate

    145       06/17/2025       34,888,812       (136,112 )

3-Month Secured Overnight Financing Rate

    103       09/16/2025       24,861,625       10,850  

3-Month Secured Overnight Financing Rate

    87       12/16/2025       21,037,687       5,325  

3-Month Secured Overnight Financing Rate

    443       03/17/2026       107,233,687       (34,163 )

3-Month Secured Overnight Financing Rate

    239       06/16/2026       57,885,800       (13,725 )

3-Month Secured Overnight Financing Rate

    95       09/15/2026       23,014,937       10,638  

3-Month Secured Overnight Financing Rate

    92       12/15/2026       22,288,150       11,000  

3-Month Secured Overnight Financing Rate

    86       03/16/2027       20,831,350       10,275  

3-Month Secured Overnight Financing Rate

    226       06/15/2027       54,728,725       68,338  

3-Month Secured Overnight Financing Rate

    42       09/14/2027       10,168,200       (625 )

3-Month Secured Overnight Financing Rate

    26       12/14/2027       6,292,975       (1,475 )

Arabica Coffee

    124       12/18/2024       11,348,325       141,338  

Arabica Coffee

    29       03/19/2025       2,631,431       42,919  

Arabica Coffee

    10       05/19/2025       899,437       30,919  

 

The accompanying notes are an integral part of the consolidated financial statements.
2

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

ASX SPI 200 Index

    126       09/19/2024     $ 17,161,118     $ 341,295  

AUD/USD Cross Currency Rate

    406       09/16/2024       27,484,170       32,995  

Australian Government 10 Year Bonds

    561       09/16/2024       44,265,401       (39,658 )

Australian Government 3 Year Bonds

    1,010       09/16/2024       73,108,707       (14,679 )

Australian 90 Day Bank Bills

    7       09/12/2024       4,687,563       (670 )

Australian 90 Day Bank Bills

    59       12/12/2024       39,526,813       (7,687 )

Australian 90 Day Bank Bills

    299       03/13/2025       200,465,519       2,091  

Australian 90 Day Bank Bills

    33       06/12/2025       22,137,934       147  

Australian 90 Day Bank Bills

    64       09/11/2025       42,947,820       2,377  

Australian 90 Day Bank Bills

    18       12/11/2025       12,081,732       246  

Australian 90 Day Bank Bills

    13       03/12/2026       8,727,189       426  

Brent Crude Oil

    8       09/30/2024       615,440       (1,520 )

British Pound/US Dollar Cross Currency Rate

    1,369       09/16/2024       112,300,781       409,366  

CAC40 10 Euro Index

    87       09/20/2024       7,356,027       34,916  

Canadian 10 Year Government Bonds

    383       12/18/2024       34,973,457       (297,043 )

Canadian 5 Year Bonds

    92       12/18/2024       7,783,801       (37,510 )

Canadian Dollar/US Dollar Cross Currency Rate

    833       09/17/2024       61,796,105       59,135  

Class III Milk

    10       10/29/2024       457,400       2,140  

Consumer Discretionary Select Sector Index

    2       09/20/2024       378,500       4,870  

Copper

    23       12/27/2024       2,421,612       (24,587 )

Copper

    2       03/27/2025       212,875       (2,425 )

Corn No. 2 Yellow

    3       12/13/2024       60,150       300  

Crude Oil

    16       09/20/2024       1,176,800       (28,950 )

Crude Palm Oil

    5       10/15/2024       116,108       1,053  

Crude Palm Oil

    28       11/15/2024       644,049       3,528  

Crude Palm Oil

    1       12/13/2024       22,817       278  

Crude Soybean Oil

    1       12/13/2024       25,206       (84 )

Dollar Index

    21       09/16/2024       2,134,104       (39,681 )

Dow Jones Industrial Average Index

    304       09/20/2024       63,312,560       1,087,244  

Dow Jones U.S. Micro-Cap Total Stock Index

    1       09/20/2024       20,826       1,210  

E-mini Consumer Staples Select Sector

    6       09/20/2024       500,400       26,340  

E-mini Materials Sector

    2       09/20/2024       200,300       5,360  

Emini S&P 500 ESG Index

    4       09/20/2024       1,005,200       9,990  

Euro BUXL 30 Year Bonds

    36       09/06/2024       5,353,142       (108,174 )

Euro STOXX 50 Dividend Index

    9       12/19/2025       161,665       2,067  

EURO STOXX 50 Index

    3       09/20/2024       151,252       4,112  

Euro STOXX 50 Quanto Index

    602       09/20/2024       33,079,556       141,967  

Euro STOXX Banks Index

    59       09/20/2024       467,454       8,030  

Euro/Japanese Yen Cross Currency Rate

    19       09/16/2024       2,619,177       (87,634 )

Euro/US Dollar Cross Currency Rate

    5       09/16/2024       69,122       (712 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
3

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Euro/US Dollar Cross Currency Rate

    829       09/16/2024     $ 114,604,069     $ (647,250 )

Euro-BOBL

    463       09/06/2024       60,223,523       (348,676 )

Euro-BTP Italian Government Bonds

    288       09/06/2024       37,842,878       314,508  

Euro-Bund

    329       09/06/2024       48,699,928       (295,526 )

Euro-Bund

    101       12/06/2024       14,893,495       807  

Euro-Schatz

    278       09/06/2024       32,644,603       (26,902 )

EURO-SCHATZ FUT Dec24

    487       12/06/2024       57,412,867       (40,452 )

Financial Select Sector Index

    2       09/20/2024       282,025       29,050  

French Government Bonds

    86       09/06/2024       11,984,768       (27,613 )

Frozen Concentrated Orange Juice

    16       11/08/2024       1,104,720       10,905  

FTSE 100 Index

    889       09/20/2024       97,926,133       964,961  

FTSE Bursa Malaysia KLCI Index

    50       09/30/2024       966,744       5,830  

FTSE China A50 Index

    916       09/27/2024       10,763,000       (68,295 )

FTSE MIB Index

    16       09/20/2024       609,403       18,073  

FTSE/JSE Top 40 Index

    110       09/19/2024       4,698,125       85,608  

FTSE/MIB Index

    24       09/20/2024       4,570,519       101,570  

German Stock Index

    138       09/20/2024       72,272,094       1,372,105  

Gold

    250       12/27/2024       63,183,280       996,197  

Gold

    12       02/26/2025       3,059,760       133,460  

Hang Seng China Enterprises Index

    66       09/27/2024       2,672,485       32,419  

Hang Seng China Enterprises Index

    13       09/27/2024       105,280       869  

Hang Seng Index

    33       09/27/2024       759,637       7,530  

Hang Seng Index

    84       09/27/2024       9,668,112       148,555  

IBEX 35 Composite Index

    8       09/20/2024       101,105       5,539  

IBEX 35 Index

    17       09/20/2024       2,148,485       119,678  

ICE 3 Month SONIA Rate

    307       03/18/2025       96,285,246       (7,289 )

ICE 3 Month SONIA Rate

    108       06/17/2025       33,987,576       (31,109 )

ICE 3 Month SONIA Rate

    185       09/16/2025       58,362,199       (110,043 )

ICE 3 Month SONIA Rate

    59       12/16/2025       18,639,929       (19,749 )

ICE 3 Month SONIA Rate

    219       03/17/2026       69,260,792       (76,713 )

ICE 3 Month SONIA Rate

    130       06/16/2026       41,139,322       (70,935 )

ICE 3 Month SONIA Rate

    61       09/15/2026       19,311,847       (18,222 )

ICE 3 Month SONIA Rate

    59       12/15/2026       18,683,514       (19,470 )

ICE 3 Month SONIA Rate

    57       03/16/2027       18,053,918       (21,374 )

ICE 3 Month SONIA Rate

    126       06/15/2027       39,916,934       29,631  

ICE 3 Month SONIA Rate

    8       09/14/2027       2,534,671       (4,120 )

ICE 3 Month SONIA Rate

    5       12/14/2027       1,584,334       (2,200 )

ICE European Climate Exchange Emissions

    15       12/16/2024       1,165,644       (39,960 )

ICE European Climate Exchange Emissions

    2       12/15/2025       160,836       (7,108 )

Industrial Select Sector Index

    1       09/20/2024       132,720       9,300  

Japanese 10 Year Government Bonds

    44       09/12/2024       43,557,562       (87,420 )

 

 

 

The accompanying notes are an integral part of the consolidated financial statements.
4

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Japanese Yen/US Dollar Cross Currency Rate

    85       09/16/2024     $ 7,288,750     $ (83,081 )

JPNK400 Index

    2       09/12/2024       34,099       557  

Lean Hogs

    47       10/14/2024       1,545,830       33,640  

Lean Hogs

    3       12/13/2024       87,330       330  

Live Cattle

    38       10/31/2024       2,714,720       (77,650 )

Live Cattle

    35       12/31/2024       2,487,200       (74,980 )

London Cocoa

    25       12/12/2024       1,754,846       (41,618 )

London Cocoa

    10       03/14/2025       610,554       (22,799 )

London Cocoa

    1       05/14/2025       58,258       (1,038 )

London Metals - Aluminum

    1,834       09/16/2024       111,594,315       (2,919,906 )

London Metals - Aluminum

    696       12/16/2024       42,767,808       1,366,293  

London Metals - Copper

    661       09/16/2024       151,084,266       (12,206,057 )

London Metals - Copper

    242       12/16/2024       56,038,243       383,082  

London Metals - Lead

    277       09/16/2024       14,038,983       (622,396 )

London Metals - Lead

    14       12/16/2024       721,423       (4,241 )

London Metals - Nickel

    106       09/16/2024       10,551,075       (333,425 )

London Metals - Nickel

    21       12/16/2024       2,119,252       (27,124 )

London Metals - Tin

    3       09/16/2024       487,965       20,879  

London Metals - Tin

    1       12/16/2024       161,780       3,601  

London Metals - Zinc

    286       09/16/2024       20,439,848       (356,682 )

London Metals - Zinc

    102       12/16/2024       7,405,200       184,491  

Long Gilt

    296       12/27/2024       38,368,355       (213,451 )

Low Sulphur Gas Oil

    9       10/10/2024       630,675       (28,350 )

Micro Gold

    15       12/27/2024       379,140       15,812  

MSCI EAFE Index

    53       09/20/2024       6,515,025       218,700  

MSCI Emerging Markets Index

    200       09/20/2024       11,000,000       14,150  

MSCI Singapore Index

    278       09/27/2024       6,848,009       36,352  

Nasdaq 100 Index

    50       09/20/2024       19,623,000       (321,660 )

NASDAQ 100 Micro Index

    2       09/20/2024       78,492       2,419  

New Zealand Dollar/US Dollar Cross Currency Rate

    169       09/16/2024       10,563,345       7,885  

Nifty 50 Index

    253       09/26/2024       12,848,352       121,947  

Nikkei 225 Index

    2       09/12/2024       390,150       10,275  

Nikkei 225 Index

    1       09/12/2024       26,479       109  

Nikkei 225 Index

    120       09/12/2024       15,879,335       61,447  

Nikkei 225 Index

    3       09/12/2024       794,377       15,459  

NY Harbor ULSD

    33       09/30/2024       3,157,724       (21,533 )

NYSE FANG+ Index

    1       09/20/2024       55,641       (5,793 )

OMXS30 ESG Index

    4       09/20/2024       98,460       1,913  

OMXS30 Index

    316       09/20/2024       8,000,633       272,670  

Palladium

    3       12/27/2024       288,840       (1,060 )

Robusta Coffee

    114       11/25/2024       5,618,490       794,520  

 

 

 

The accompanying notes are an integral part of the consolidated financial statements.
5

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Robusta Coffee

    40       01/27/2025     $ 1,881,420     $ 245,600  

Russell 2000 Index

    1       09/20/2024       11,115       (176 )

Russell 2000 Index

    156       09/20/2024       17,340,180       132,725  

S&P 500 Index

    3       09/20/2024       84,915       2,068  

S&P 500 Index

    2,110       09/20/2024       597,235,500       11,256,210  

S&P Mid Cap 400 Index

    15       09/20/2024       4,647,150       57,050  

S&P/Toronto Stock Exchange 60 Index

    73       09/19/2024       15,187,727       716,502  

SET50 Index

    16       09/27/2024       80,697       (399 )

SGX FTSE Taiwan Index

    70       09/27/2024       5,231,100       7,955  

SGX Technically Specified Rubber 20

    1       09/30/2024       9,115       500  

Short Euro-BTP Fu Dec24

    1       12/06/2024       118,134       (33 )

Short-term Euro-BTP

    591       09/06/2024       69,340,342       176,742  

Silver

    45       12/27/2024       6,553,645       (192,740 )

Silver

    3       03/27/2025       442,995       (13,315 )

South African Rand/US Dollar Cross Currency Rate

    1       09/16/2024       28,012       488  

Soybean Meal

    7       12/13/2024       219,100       (1,490 )

STOXX 600 Bank Spread Index

    3       09/20/2024       33,469       1,338  

STOXX 600 Utilities Index

    7       09/20/2024       154,369       9,744  

STOXX Euro ESG-X Index

    16       09/20/2024       346,477       4,698  

STOXX Europe 600 Index

    2       09/20/2024       43,608       1,813  

STOXX Europe 600 Index

    105       09/20/2024       3,051,981       56,858  

Sugar #11

    86       09/30/2024       1,866,682       (14,177 )

Swiss Franc/US Dollar Cross Currency Rate

    280       09/16/2024       41,231,750       156,350  

Technology Select Sector Index

    1       09/20/2024       222,500       (5,610 )

Tokyo Price Index

    7       09/12/2024       130,026       1,614  

TOPIX Index

    15       09/12/2024       2,786,271       (8,995 )

Two Year Canadian Government Bonds

    71       12/18/2024       5,509,197       (10,351 )

U.S. Treasury 10 Year Notes

    997       12/19/2024       113,221,812       (541,977 )

U.S. Treasury 2 Year Notes

    645       12/31/2024       133,867,735       (154,851 )

U.S. Treasury 5 Year Note

    921       12/31/2024       100,755,961       (271,507 )

U.S. Treasury Long Bonds

    307       12/19/2024       37,799,375       (410,602 )

U.S. Treasury Ultra Bonds

    55       12/19/2024       7,256,562       (104,141 )

UK Natural Gas

    10       09/27/2024       391,449       2,504  

UK Natural Gas

    5       10/30/2024       205,742       6,619  

US 3 Year Notes

    1       12/31/2024       212,477       (484 )

US Cocoa

    28       12/13/2024       2,142,360       115,240  

US Cocoa

    20       03/14/2025       1,289,800       29,290  

US Dollar/Chinese Renminbi Cross Currency Rate

    2       09/16/2024       199,485       (3,208 )

Utilities Select Sector Index

    3       09/20/2024       231,210       18,470  

White Maize

    8       12/20/2024       245,446       10,568  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
6

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

XAV Health Care Select Sector Index

    3       09/20/2024     $ 477,030     $ 23,720  

Yellow Maize

    1       12/20/2024       22,694       (768 )
                            $ 2,074,154  

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

1 Month Secured Overnight Financing Rate

    (7)       01/31/2025     $ 2,789,723     $ 1,292  

10 Year Japanese Government Bonds

    (20)       09/11/2024       1,980,300       (8,845 )

3 Month Euribor

    (94)       03/17/2025       25,297,601       (74,863 )

3 Month Euribor

    (221)       12/15/2025       59,744,998       (226,607 )

AUD/USD Cross Currency Rate

    (373)       09/16/2024       25,250,235       (3,145 )

Australian 90 Day Bank Bills

    (1)       03/13/2025       670,453       (16 )

Brazilian Real/US Dollar Cross Currency Rate

    (2)       09/30/2024       35,290       650  

Brent Crude Oil

    (2)       09/30/2024       153,860       1,650  

Brent Crude Oil

    (35)       09/30/2024       2,692,550       46,100  

Brent Crude Oil

    (12)       10/31/2024       914,880       20,010  

Brent Crude Oil

    (7)       11/29/2024       530,040       260  

CAC40 10 Euro Index

    (28)       09/20/2024       2,367,457       (93,583 )

Canadian Canola Oil

    (141)       11/14/2024       1,286,560       (38,589 )

Canadian Canola Oil

    (29)       01/14/2025       268,567       (8,971 )

Canadian Dollar/US Dollar Cross Currency Rate

    (991)       09/17/2024       73,517,335       (771,695 )

Copper

    (77)       12/27/2024       8,107,137       34,263  

Corn No. 2 Yellow

    (840)       12/13/2024       16,858,887       653,287  

Corn No. 2 Yellow

    (700)       03/14/2025       14,665,700       302,037  

Corn No. 2 Yellow

    (38)       05/14/2025       813,675       41,400  

Cotton No.2

    (355)       12/06/2024       12,428,675       483,610  

Cotton No.2

    (45)       03/07/2025       1,613,805       5,735  

Crude Oil

    (35)       09/20/2024       2,574,250       78,340  

Crude Oil

    (5)       10/22/2024       363,250       2,480  

Crude Oil

    (43)       11/20/2024       3,091,270       30,910  

Crude Oil

    (6)       12/19/2024       428,160       21,210  

Crude Palm Oil

    (4)       12/13/2024       91,267       (6,640 )

Crude Palm Oil

    (1)       01/15/2025       22,695       (1,469 )

Crude Soybean Oil

    (347)       12/13/2024       8,751,588       (6,816 )

Crude Soybean Oil

    (82)       01/14/2025       2,071,998       55,926  

Crude Soybean Oil

    (7)       03/14/2025       177,240       8,592  

Dollar Index

    (205)       09/16/2024       20,832,920       (42,265 )

Euro/Pound Sterling Cross Currency Rate

    (4)       09/16/2024       553,327       9,029  

Euro-BOBL

    (390)       12/06/2024       51,284,364       18,814  

Euro-Bund

    (125)       12/06/2024       18,432,543       11,905  

Euro-Schatz

    (265)       09/06/2024       31,118,057       (234,461 )

European Rapeseed

    (18)       10/31/2024       467,833       (13,721 )

European Rapeseed

    (5)       01/31/2025       130,368       (4,366 )

Feeder Cattle

    (19)       10/31/2024       2,258,625       (17,200 )

Feeder Cattle

    (7)       11/21/2024       823,375       1,438  

FTSE China A50 Index

    (283)       09/27/2024       3,325,250       267  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
7

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Gold

    (42)       12/27/2024     $ 10,615,920     $ 45,020  

Hang Seng Index

    (50)       09/27/2024       5,754,828       (61,806 )

Hang Seng TECH Index

    (4)       09/27/2024       91,641       (2,411 )

Hard Red Winter Wheat

    (192)       12/13/2024       5,430,650       32,688  

Hard Red Winter Wheat

    (45)       03/14/2025       1,300,112       12,425  

ICE 3 Month SONIA Rate

    (24)       03/17/2026       7,590,224       (17,730 )

ICE European Climate Exchange Emissions

    (10)       12/16/2024       777,096       (43,884 )

Indian Rupee/US Dollar Cross Currency Rate

    (6)       09/26/2024       143,016       (100 )

Japanese 10 Year Government Bonds

    (25)       09/12/2024       24,748,615       (201,587 )

Japanese Yen/US Dollar Cross Currency Rate

    (168)       09/16/2024       14,406,000       (10,469 )

Lean Hogs

    (83)       12/13/2024       2,400,120       (105,580 )

Lean Hogs

    (95)       02/14/2025       2,852,660       (90,090 )

Light Sweet Crude Oil

    (4)       09/19/2024       147,100       3,775  

Live Cattle

    (9)       12/31/2024       639,180       (1,740 )

Live Cattle

    (53)       02/28/2025       3,783,460       (260 )

Live Cattle

    (9)       04/30/2025       648,630       2,250  

London Metals - Aluminum

    (1,834)       09/16/2024       111,594,315       2,222,445  

London Metals - Aluminum

    (724)       12/16/2024       44,488,352       (2,637,655 )

London Metals - Copper

    (661)       09/16/2024       151,084,266       10,666,000  

London Metals - Copper

    (242)       12/16/2024       56,038,243       (1,112,375 )

London Metals - Lead

    (277)       09/16/2024       14,038,983       730,964  

London Metals - Lead

    (148)       12/16/2024       7,626,477       (94,665 )

London Metals - Nickel

    (106)       09/16/2024       10,551,075       577,892  

London Metals - Nickel

    (80)       12/16/2024       8,073,341       (118,079 )

London Metals - Tin

    (3)       09/16/2024       487,965       (17,276 )

London Metals - Zinc

    (286)       09/16/2024       20,439,848       (967,583 )

London Metals - Zinc

    (94)       12/16/2024       6,824,400       (371,794 )

Long Gilt

    (107)       12/27/2024       13,869,642       131,461  

Low Sulphur Gas Oil

    (71)       10/10/2024       4,975,325       118,550  

Low Sulphur Gas Oil

    (20)       11/12/2024       1,398,500       44,325  

Low Sulphur Gas Oil

    (10)       12/12/2024       696,500       29,250  

Low Sulphur Gas Oil

    (10)       01/10/2025       696,000       29,000  

Lumber

    (4)       11/15/2024       56,925       (380 )

Maize

    (3)       11/05/2024       33,038       (788 )

Mexican Peso/US Dollar Cross Currency Rate

    (148)       09/16/2024       3,750,320       184,900  

Mexican Stock Exchange Price & Quotation Index

    (7)       09/20/2024       185,444       6,538  

Milling Wheat No. 2

    (5)       09/10/2024       56,472       1  

Milling Wheat No. 2

    (291)       12/10/2024       3,492,442       32,333  

Milling Wheat No. 2

    (101)       03/10/2025       1,247,637       (5,941 )

Milling Wheat No. 2

    (19)       05/12/2025       239,167       2,625  

MSCI China A 50 Index

    (2)       09/20/2024       93,270       (2,080 )

Natural Gas

    (9)       09/25/2024       47,857       2,692  

Natural Gas

    (288)       09/26/2024       6,125,760       373,960  

Natural Gas

    (302)       10/29/2024       7,549,470       776,430  

Natural Gas

    (76)       11/26/2024       2,308,120       141,030  

Nikkei 225 Index

    (3)       09/12/2024       794,377       (17,717 )

NY Harbor ULSD

    (188)       09/30/2024       17,989,457       578,714  

NY Harbor ULSD

    (24)       10/31/2024       2,312,050       75,970  

NY Harbor ULSD

    (21)       11/29/2024       2,029,835       70,753  

NY Harbor ULSD

    (7)       12/31/2024       678,670       12,176  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
8

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

 

Contracts
Sold

   

Expiration
Date

   

Notional

   

Value/
Unrealized
Appreciation
(Depreciation)

 

Oats

    (1)       12/13/2024     $ 16,900     $ (588 )

Palladium

    (12)       12/27/2024       1,155,360       (24,240 )

Phelix DE Baseload Quarterly

    (1)       09/26/2024       237,712       (3,907 )

Platinum

    (43)       10/29/2024       2,004,230       10,675  

Platinum

    (1)       06/25/2025       15,066       219  

Red Spring Wheat

    (66)       12/13/2024       1,984,962       9,938  

Red Spring Wheat

    (27)       03/14/2025       839,825       (16,863 )

Reformulated Gasoline Blendstock

    (105)       09/30/2024       9,231,012       156,702  

Reformulated Gasoline Blendstock

    (22)       10/31/2024       1,898,450       1,621  

Reformulated Gasoline Blendstock

    (9)       11/29/2024       764,165       6,140  

Reformulated Gasoline Blendstock

    (9)       12/31/2024       758,948       12,411  

Rough Rice

    (10)       11/14/2024       295,700       4,200  

SGX TSI Iron Ore

    (108)       09/30/2024       1,089,504       (72,294 )

SGX TSI Iron Ore

    (154)       10/30/2024       1,555,294       (19,212 )

SGX TSI Iron Ore

    (52)       11/29/2024       525,349       (9,641 )

SGX TSI Iron Ore

    (32)       12/31/2024       322,040       (8,719 )

Silver

    (10)       12/27/2024       1,457,150       15,250  

Soybean Meal

    (279)       12/13/2024       8,737,590       (750 )

Soybean Meal

    (99)       01/14/2025       3,116,430       129,790  

Soybeans

    (479)       11/14/2024       23,968,750       1,384,713  

Soybeans

    (54)       01/14/2025       2,752,088       228,325  

Soybeans

    (237)       03/14/2025       12,226,238       430,200  

Sugar #11

    (136)       09/30/2024       2,951,962       (118,563 )

Sugar #11

    (218)       02/28/2025       4,793,286       (199,998 )

Sugar #11

    (58)       04/30/2025       1,218,672       (56,168 )

Sugar #11

    (4)       06/30/2025       82,253       (1,534 )

TOPIX Index

    (1)       09/12/2024       185,751       (9,884 )

U.S. Treasury 10 Year Notes

    (24)       12/19/2024       2,725,500       2,000  

U.S. Treasury 2 Year Notes

    (37)       12/31/2024       7,679,234       11,578  

U.S. Treasury 5 Year Note

    (46)       12/31/2024       5,032,328       8,141  

Wheat

    (534)       12/13/2024       14,731,525       892,300  

Wheat

    (84)       03/14/2025       2,406,463       26,100  

Wheat

    (13)       05/14/2025       379,438       650  

White Sugar

    (10)       09/13/2024       273,400       (8,510 )

White Sugar

    (106)       11/15/2024       2,816,510       (97,960 )

White Sugar

    (37)       02/13/2025       975,735       (31,715 )

WTI Light Sweet Crude Oil

    (1)       09/19/2024       73,550       410  

WTI Light Sweet Crude Oil

    (3)       10/21/2024       217,950       6,380  

WTI Light Sweet Crude Oil

    (2)       11/19/2024       143,780       850  

WTI Light Sweet Crude Oil

    (2)       12/18/2024       142,720       7,310  
                              13,963,486  

Total Futures Contracts

                          $ 16,037,640  

 

 

 

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, 2024

 

Forward foreign currency contracts outstanding as of August 31, 2024 were as follows:

 

Settlement Date

 

Currency Purchased

   

   

Currency Sold

   

   

Counterparty

   

Unrealized
Appreciation
(Depreciation)

 

09/25/2024

AUD

    15,400,000          

CAD

    14,105,722             SG Americas Securities LLC     $ (45,282 )

09/25/2024

AUD

    2,064,370          

EUR

    1,250,000             SG Americas Securities LLC       14,790  

09/03/2024

AUD

    725,339          

GBP

    375,000             SG Americas Securities LLC       (1,511 )

09/25/2024

AUD

    1,701,430          

GBP

    875,000             SG Americas Securities LLC       2,948  

09/25/2024

AUD

    5,400,000          

JPY

    528,630,386             SG Americas Securities LLC       27,643  

09/25/2024

AUD

    17,000,000          

NZD

    18,650,374             SG Americas Securities LLC       (146,264 )

09/03/2024

AUD

    40,132,740          

USD

    27,265,302             SG Americas Securities LLC       (98,317 )

09/18/2024

AUD

    37,517,000          

USD

    25,228,286             SG Americas Securities LLC       177,475  

09/25/2024

AUD

    12,800,000          

USD

    8,695,527             SG Americas Securities LLC       (26,177 )

09/04/2024

BRL

    62,616,574          

USD

    11,187,876             SG Americas Securities LLC       (82,806 )

10/02/2024

BRL

    33,339,643          

USD

    6,050,000             SG Americas Securities LLC       (157,157 )

09/25/2024

CAD

    731,901          

AUD

    800,000             SG Americas Securities LLC       1,711  

09/03/2024

CAD

    1,306,555          

EUR

    875,000             SG Americas Securities LLC       2,235  

09/25/2024

CAD

    938,346          

EUR

    625,000             SG Americas Securities LLC       5,164  

09/25/2024

CAD

    2,200,000          

JPY

    235,810,714             SG Americas Securities LLC       14,678  

09/03/2024

CAD

    84,891,038          

USD

    62,927,406             SG Americas Securities LLC       73,045  

09/18/2024

CAD

    40,383,109          

USD

    29,537,531             SG Americas Securities LLC       446,379  

09/18/2024

CHF

    4,523,334          

EUR

    4,800,000             SG Americas Securities LLC       22,641  

09/25/2024

CHF

    7,960,030          

EUR

    8,375,000             SG Americas Securities LLC       124,153  

09/25/2024

CHF

    557,023          

GBP

    500,000             SG Americas Securities LLC       480  

09/25/2024

CHF

    4,750,000          

JPY

    808,328,685             SG Americas Securities LLC       54,798  

09/03/2024

CHF

    22,906,907          

USD

    27,213,890             SG Americas Securities LLC       (253,432 )

09/18/2024

CHF

    29,548,041          

USD

    34,387,222             SG Americas Securities LLC       450,978  

09/25/2024

CHF

    6,000,000          

USD

    7,003,489             SG Americas Securities LLC       76,551  

09/03/2024

CLP

    95,529,000          

USD

    101,389             SG Americas Securities LLC       3,153  

09/05/2024

CLP

    94,050,640          

USD

    100,000             SG Americas Securities LLC       2,921  

09/06/2024

CLP

    94,995,830          

USD

    100,000             SG Americas Securities LLC       3,954  

09/09/2024

CLP

    186,214,640          

USD

    200,000             SG Americas Securities LLC       3,765  

09/13/2024

CLP

    91,589,480          

USD

    100,000             SG Americas Securities LLC       215  

09/16/2024

CLP

    182,793,660          

USD

    200,000             SG Americas Securities LLC       1  

09/23/2024

CLP

    2,954,733,725          

USD

    3,200,000             SG Americas Securities LLC       32,515  

09/27/2024

CLP

    183,116,260          

USD

    200,000             SG Americas Securities LLC       319  

09/03/2024

CNH

    21,388,440          

USD

    3,016,874             SG Americas Securities LLC       1,702  

09/19/2024

CNH

    120,007,946          

USD

    16,842,745             SG Americas Securities LLC       126,835  

09/25/2024

CNH

    36,260,262          

USD

    5,100,000             SG Americas Securities LLC       31,124  

09/03/2024

COP

    410,197,316          

USD

    100,000             SG Americas Securities LLC       (1,965 )

09/06/2024

COP

    412,209,900          

USD

    100,000             SG Americas Securities LLC       (1,540 )

09/13/2024

COP

    408,500,000          

USD

    100,000             SG Americas Securities LLC       (2,517 )

09/16/2024

COP

    409,043,000          

USD

    100,000             SG Americas Securities LLC       (2,427 )

09/18/2024

COP

    9,198,030,680          

USD

    2,250,000             SG Americas Securities LLC       (56,477 )

09/23/2024

COP

    1,614,663,000          

USD

    400,000             SG Americas Securities LLC       (15,195 )

10/03/2024

COP

    837,759,000          

USD

    200,000             SG Americas Securities LLC       (611 )

09/18/2024

CZK

    56,444,593          

EUR

    2,250,000             SG Americas Securities LLC       4,083  

09/25/2024

EUR

    6,750,000          

AUD

    11,121,579             SG Americas Securities LLC       (62,244 )

09/03/2024

EUR

    500,000          

CAD

    746,581             SG Americas Securities LLC       (1,261 )

09/25/2024

EUR

    11,250,000          

CAD

    16,980,776             SG Americas Securities LLC       (160,207 )

09/18/2024

EUR

    5,300,000          

CHF

    5,016,149             SG Americas Securities LLC       (50,507 )

 

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, 2024

 

Settlement Date

 

Currency Purchased

   

   

Currency Sold

   

   

Counterparty

   

Unrealized
Appreciation
(Depreciation)

 

09/18/2024

EUR

    2,900,000          

CZK

    73,162,057             SG Americas Securities LLC     $ (23,429 )

09/03/2024

EUR

    1,299,488          

GBP

    1,093,021             SG Americas Securities LLC       1,175  

09/18/2024

EUR

    300,000          

GBP

    256,769             SG Americas Securities LLC       (5,370 )

09/25/2024

EUR

    4,500,000          

GBP

    3,820,700             SG Americas Securities LLC       (38,738 )

09/18/2024

EUR

    600,000          

HUF

    237,884,540             SG Americas Securities LLC       (4,859 )

09/25/2024

EUR

    900,000          

HUF

    356,407,417             SG Americas Securities LLC       (5,554 )

09/18/2024

EUR

    4,600,000          

JPY

    741,110,931             SG Americas Securities LLC       5,734  

09/25/2024

EUR

    4,400,000          

JPY

    711,928,448             SG Americas Securities LLC       (18,776 )

09/03/2024

EUR

    1,304,498          

NOK

    15,179,861             SG Americas Securities LLC       10,808  

09/18/2024

EUR

    29,186,019          

NOK

    349,001,309             SG Americas Securities LLC       (630,748 )

09/25/2024

EUR

    6,875,000          

NOK

    80,476,481             SG Americas Securities LLC       16,319  

09/03/2024

EUR

    216,524          

PLN

    927,816             SG Americas Securities LLC       (104 )

09/18/2024

EUR

    1,784,902          

PLN

    7,726,968             SG Americas Securities LLC       (19,340 )

09/03/2024

EUR

    793,205          

SEK

    9,000,000             SG Americas Securities LLC       285  

09/18/2024

EUR

    11,997,718          

SEK

    138,802,628             SG Americas Securities LLC       (257,540 )

09/25/2024

EUR

    6,625,000          

SEK

    75,504,533             SG Americas Securities LLC       (31,342 )

09/03/2024

EUR

    28,963,076          

USD

    32,230,690             SG Americas Securities LLC       (209,044 )

09/18/2024

EUR

    46,401,000          

USD

    51,176,803             SG Americas Securities LLC       159,441  

09/25/2024

EUR

    8,750,000          

USD

    9,721,664             SG Americas Securities LLC       (37,910 )

09/25/2024

GBP

    7,625,000          

AUD

    14,722,289             SG Americas Securities LLC       45,060  

09/03/2024

GBP

    348,726          

EUR

    413,976             SG Americas Securities LLC       313  

09/18/2024

GBP

    19,610,900          

EUR

    23,000,000             SG Americas Securities LLC       313,559  

09/25/2024

GBP

    16,384,180          

EUR

    19,200,000             SG Americas Securities LLC       273,686  

09/25/2024

GBP

    2,750,000          

JPY

    521,314,765             SG Americas Securities LLC       32,951  

09/03/2024

GBP

    37,165,782          

USD

    49,125,731             SG Americas Securities LLC       (313,304 )

09/18/2024

GBP

    51,278,000          

USD

    66,141,543             SG Americas Securities LLC       1,214,565  

09/25/2024

GBP

    8,500,000          

USD

    11,060,078             SG Americas Securities LLC       105,704  

09/18/2024

HUF

    1,380,838,613          

EUR

    3,500,000             SG Americas Securities LLC       9,172  

09/25/2024

HUF

    78,827,270          

EUR

    200,000             SG Americas Securities LLC       182  

09/03/2024

HUF

    353,883,399          

USD

    1,000,000             SG Americas Securities LLC       (4,756 )

09/25/2024

HUF

    496,072,438          

USD

    1,400,000             SG Americas Securities LLC       (5,908 )

09/18/2024

IDR

    36,604,843,901          

USD

    2,350,000             SG Americas Securities LLC       16,653  

09/27/2024

IDR

    31,031,082,000          

USD

    2,000,000             SG Americas Securities LLC       5,589  

09/03/2024

ILS

    1,451,609          

USD

    400,000             SG Americas Securities LLC       (780 )

09/18/2024

ILS

    8,342,731          

USD

    2,250,000             SG Americas Securities LLC       45,812  

09/06/2024

INR

    368,022,780          

USD

    4,387,078             SG Americas Securities LLC       87  

09/09/2024

INR

    459,953          

USD

    5,474             SG Americas Securities LLC       9  

09/12/2024

INR

    33,102,749          

USD

    394,526             SG Americas Securities LLC       12  

09/18/2024

INR

    193,114,620          

USD

    2,300,000             SG Americas Securities LLC       1,206  

09/25/2024

JPY

    42,458,780          

CHF

    250,000             SG Americas Securities LLC       (3,467 )

09/18/2024

JPY

    458,646,347          

EUR

    2,850,000             SG Americas Securities LLC       (7,121 )

09/03/2024

JPY

    112,500,000          

USD

    770,747             SG Americas Securities LLC       (751 )

09/18/2024

JPY

    5,121,233,520          

USD

    34,731,545             SG Americas Securities LLC       396,689  

09/05/2024

KRW

    3,677,856,478          

USD

    2,700,000             SG Americas Securities LLC       54,327  

09/09/2024

KRW

    13,087,494,141          

USD

    9,600,000             SG Americas Securities LLC       203,797  

09/19/2024

KRW

    15,896,495,589          

USD

    11,900,000             SG Americas Securities LLC       16,006  

09/23/2024

KRW

    3,732,067,349          

USD

    2,800,000             SG Americas Securities LLC       (1,693 )

09/27/2024

KRW

    1,199,869,000          

USD

    900,000             SG Americas Securities LLC       (95 )

09/30/2024

KRW

    1,866,380,972          

USD

    1,400,000             SG Americas Securities LLC       66  

 

 

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, 2024

 

Settlement Date

 

Currency Purchased

   

   

Currency Sold

   

   

Counterparty

   

Unrealized
Appreciation
(Depreciation)

 

10/04/2024

KRW

    2,530,639,625          

USD

    1,900,000             SG Americas Securities LLC     $ (1,166 )

09/18/2024

MXN

    155,625,999          

USD

    8,372,104             SG Americas Securities LLC       (493,502 )

09/03/2024

NOK

    18,091,991          

EUR

    1,554,680             SG Americas Securities LLC       (12,798 )

09/18/2024

NOK

    256,322,660          

EUR

    21,864,596             SG Americas Securities LLC       (11,421 )

09/03/2024

NOK

    2,500,000          

SEK

    2,431,650             SG Americas Securities LLC       (1,118 )

09/03/2024

NOK

    30,474,419          

USD

    2,900,000             SG Americas Securities LLC       (26,287 )

09/25/2024

NOK

    30,518,796          

USD

    2,900,000             SG Americas Securities LLC       (20,783 )

09/25/2024

NZD

    1,600,000          

JPY

    142,934,074             SG Americas Securities LLC       18,893  

09/03/2024

NZD

    5,200,000          

USD

    3,251,218             SG Americas Securities LLC       (365 )

09/18/2024

NZD

    31,750,000          

USD

    19,445,964             SG Americas Securities LLC       403,885  

09/25/2024

NZD

    9,900,000          

USD

    6,162,345             SG Americas Securities LLC       27,152  

09/18/2024

PEN

    3,924,135          

USD

    1,050,000             SG Americas Securities LLC       (3,060 )

09/18/2024

PHP

    166,773,318          

USD

    2,950,000             SG Americas Securities LLC       19,815  

09/27/2024

PHP

    16,866,800          

USD

    300,000             SG Americas Securities LLC       343  

09/03/2024

PLN

    500,000          

EUR

    116,567             SG Americas Securities LLC       186  

09/18/2024

PLN

    60,395,335          

EUR

    13,976,660             SG Americas Securities LLC       122,893  

09/25/2024

PLN

    3,847,771          

EUR

    900,000             SG Americas Securities LLC       (3,169 )

09/03/2024

PLN

    385,828          

USD

    100,000             SG Americas Securities LLC       (407 )

09/25/2024

PLN

    29,659,380          

USD

    7,700,000             SG Americas Securities LLC       (46,727 )

09/03/2024

SEK

    46,587,241          

EUR

    4,107,687             SG Americas Securities LLC       (3,430 )

09/18/2024

SEK

    163,748,270          

EUR

    14,382,143             SG Americas Securities LLC       51,361  

09/25/2024

SEK

    36,179,298          

EUR

    3,185,952             SG Americas Securities LLC       2,325  

09/25/2024

SEK

    69,182,492          

NOK

    71,000,000             SG Americas Securities LLC       48,480  

09/25/2024

SEK

    34,912,168          

USD

    3,400,000             SG Americas Securities LLC       4,692  

09/18/2024

SGD

    10,053,268          

USD

    7,650,000             SG Americas Securities LLC       62,928  

09/25/2024

SGD

    25,070,782          

USD

    19,200,000             SG Americas Securities LLC       42,542  

09/18/2024

THB

    105,230,981          

USD

    3,050,000             SG Americas Securities LLC       64,115  

09/18/2024

TRY

    17,500,000          

USD

    491,733             SG Americas Securities LLC       9,583  

09/18/2024

TWD

    106,788,856          

USD

    3,350,000             SG Americas Securities LLC       (4,721 )

09/27/2024

TWD

    6,370,000          

USD

    200,000             SG Americas Securities LLC       (257 )

09/18/2024

USD

    20,796,179          

AUD

    31,453,000             SG Americas Securities LLC       (503,161 )

09/25/2024

USD

    5,252,794          

AUD

    7,800,000             SG Americas Securities LLC       (30,092 )

09/04/2024

USD

    11,086,265          

BRL

    62,639,847             SG Americas Securities LLC       (22,933 )

10/02/2024

USD

    12,350,000          

BRL

    69,796,995             SG Americas Securities LLC       13,253  

09/18/2024

USD

    50,716,907          

CAD

    69,340,656             SG Americas Securities LLC       (767,588 )

09/25/2024

USD

    13,170,357          

CAD

    17,900,000             SG Americas Securities LLC       (123,052 )

09/03/2024

USD

    2,646,544          

CHF

    2,227,226             SG Americas Securities LLC       25,194  

09/18/2024

USD

    32,203,811          

CHF

    28,312,220             SG Americas Securities LLC       (1,177,310 )

09/25/2024

USD

    1,624,988          

CHF

    1,375,000             SG Americas Securities LLC       2,478  

09/03/2024

USD

    100,000          

CLP

    95,529,000             SG Americas Securities LLC       (4,542 )

09/05/2024

USD

    100,000          

CLP

    95,399,000             SG Americas Securities LLC       (4,396 )

09/06/2024

USD

    100,000          

CLP

    93,631,000             SG Americas Securities LLC       (2,460 )

09/09/2024

USD

    200,000          

CLP

    187,586,832             SG Americas Securities LLC       (5,266 )

09/13/2024

USD

    100,000          

CLP

    93,342,170             SG Americas Securities LLC       (2,133 )

09/16/2024

USD

    200,000          

CLP

    186,444,483             SG Americas Securities LLC       (3,994 )

09/23/2024

USD

    2,150,000          

CLP

    2,008,760,265             SG Americas Securities LLC       (47,608 )

09/27/2024

USD

    200,000          

CLP

    184,906,000             SG Americas Securities LLC       (2,277 )

09/30/2024

USD

    100,000          

CLP

    90,691,000             SG Americas Securities LLC       793  

10/04/2024

USD

    300,000          

CLP

    274,453,500             SG Americas Securities LLC       (209 )

 

 

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, 2024

 

Settlement Date

 

Currency Purchased

   

   

Currency Sold

   

   

Counterparty

   

Unrealized
Appreciation
(Depreciation)

 

09/03/2024

USD

    917,069          

CNH

    6,500,000             SG Americas Securities LLC     $ (284 )

09/19/2024

USD

    18,990,603          

CNH

    136,818,645             SG Americas Securities LLC       (356,074 )

09/25/2024

USD

    4,600,000          

CNH

    32,700,853             SG Americas Securities LLC       (27,439 )

09/03/2024

USD

    102,095          

COP

    410,197,316             SG Americas Securities LLC       4,060  

09/06/2024

USD

    100,000          

COP

    413,006,060             SG Americas Securities LLC       1,350  

09/13/2024

USD

    100,000          

COP

    416,689,684             SG Americas Securities LLC       563  

09/16/2024

USD

    100,000          

COP

    418,803,684             SG Americas Securities LLC       98  

10/03/2024

USD

    200,000          

COP

    832,669,368             SG Americas Securities LLC       1,823  

09/03/2024

USD

    524,151          

EUR

    471,748             SG Americas Securities LLC       2,585  

09/18/2024

USD

    30,420,871          

EUR

    28,025,000             SG Americas Securities LLC       (584,888 )

09/03/2024

USD

    4,533,862          

GBP

    3,436,128             SG Americas Securities LLC       20,954  

09/18/2024

USD

    17,432,980          

GBP

    13,624,000             SG Americas Securities LLC       (462,796 )

09/25/2024

USD

    164,123          

GBP

    125,000             SG Americas Securities LLC       (80 )

09/25/2024

USD

    400,000          

HUF

    144,183,240             SG Americas Securities LLC       (5,192 )

09/18/2024

USD

    1,900,000          

IDR

    30,717,223,124             SG Americas Securities LLC       (85,994 )

09/27/2024

USD

    700,000          

IDR

    10,909,822,000             SG Americas Securities LLC       (5,119 )

09/18/2024

USD

    1,800,000          

ILS

    6,855,015             SG Americas Securities LLC       (86,412 )

09/25/2024

USD

    2,400,000          

ILS

    8,847,638             SG Americas Securities LLC       (35,499 )

09/06/2024

USD

    4,387,078          

INR

    367,738,039             SG Americas Securities LLC       3,308  

09/09/2024

USD

    5,474          

INR

    459,898             SG Americas Securities LLC       (8 )

09/12/2024

USD

    394,526          

INR

    33,149,534             SG Americas Securities LLC       (570 )

09/17/2024

USD

    7,389,055          

INR

    621,005,738             SG Americas Securities LLC       (11,258 )

09/18/2024

USD

    900,000          

INR

    75,646,007             SG Americas Securities LLC       (1,418 )

09/20/2024

USD

    5,400,000          

INR

    453,768,372             SG Americas Securities LLC       (6,877 )

09/23/2024

USD

    5,422,565          

INR

    455,460,756             SG Americas Securities LLC       (3,951 )

09/27/2024

USD

    6,487,078          

INR

    544,647,708             SG Americas Securities LLC       (1,202 )

10/03/2024

USD

    394,526          

INR

    33,125,078             SG Americas Securities LLC       1  

09/18/2024

USD

    26,208,260          

JPY

    4,006,259,925             SG Americas Securities LLC       (1,272,002 )

09/25/2024

USD

    5,575,895          

JPY

    812,500,000             SG Americas Securities LLC       (2,981 )

09/05/2024

USD

    2,700,000          

KRW

    3,696,546,640             SG Americas Securities LLC       (68,324 )

09/09/2024

USD

    9,600,000          

KRW

    13,171,760,626             SG Americas Securities LLC       (266,921 )

09/19/2024

USD

    12,150,000          

KRW

    16,587,448,825             SG Americas Securities LLC       (283,944 )

09/27/2024

USD

    3,100,000          

KRW

    4,162,146,000             SG Americas Securities LLC       (21,619 )

09/30/2024

USD

    6,900,000          

KRW

    9,192,756,081             SG Americas Securities LLC       4,054  

09/18/2024

USD

    14,624,747          

MXN

    277,031,875             SG Americas Securities LLC       599,946  

09/25/2024

USD

    1,026,665          

MXN

    19,500,000             SG Americas Securities LLC       40,537  

09/25/2024

USD

    5,400,000          

NOK

    56,960,647             SG Americas Securities LLC       26,195  

09/18/2024

USD

    18,359,539          

NZD

    30,663,000             SG Americas Securities LLC       (810,728 )

09/25/2024

USD

    4,726,145          

NZD

    7,700,000             SG Americas Securities LLC       (87,908 )

09/18/2024

USD

    550,000          

PEN

    2,052,760             SG Americas Securities LLC       2,334  

09/18/2024

USD

    1,850,000          

PHP

    106,952,623             SG Americas Securities LLC       (54,558 )

09/27/2024

USD

    300,000          

PHP

    17,007,900             SG Americas Securities LLC       (2,855 )

09/18/2024

USD

    800,000          

SGD

    1,049,690             SG Americas Securities LLC       (5,328 )

09/18/2024

USD

    1,500,000          

THB

    52,752,600             SG Americas Securities LLC       (61,115 )

09/18/2024

USD

    85,737          

TRY

    3,000,000             SG Americas Securities LLC       (203 )

09/25/2024

USD

    4,300,000          

TRY

    150,935,415             SG Americas Securities LLC       11,402  

09/18/2024

USD

    4,050,000          

TWD

    131,747,095             SG Americas Securities LLC       (77,123 )

09/19/2024

USD

    3,500,000          

TWD

    112,579,950             SG Americas Securities LLC       (27,075 )

09/27/2024

USD

    1,800,000          

TWD

    57,309,100             SG Americas Securities LLC       2,967  

 

 

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, 2024

 

Settlement Date

 

Currency Purchased

   

   

Currency Sold

   

   

Counterparty

   

Unrealized
Appreciation
(Depreciation)

 

09/03/2024

USD

    113,101          

ZAR

    2,000,000             SG Americas Securities LLC     $ 959  

09/18/2024

USD

    733,268          

ZAR

    13,500,324             SG Americas Securities LLC       (22,771 )

09/25/2024

USD

    100,000          

ZAR

    1,783,981             SG Americas Securities LLC       152  

09/03/2024

ZAR

    2,000,000          

USD

    113,150             SG Americas Securities LLC       (1,008 )

09/18/2024

ZAR

    117,825,904          

USD

    6,462,099             SG Americas Securities LLC       136,337  

09/25/2024

ZAR

    101,960,808          

USD

    5,700,000             SG Americas Securities LLC       6,665  

Total Forward Foreign Currency Contracts

                                        $ (4,431,618 )

 

AUD

Australian Dollar

 

LME

London Mercantile Exchange

BRL

Brazilian Real

 

MIB

Milano Indice di Borsa

CAD

Canadian Dollar

 

MXN

Mexican Peso

CHF

Swiss Franc

 

NOK

Norwegian Krone

CLP

Chilean Peso

 

NZD

New Zealand Dollar

CNH

Chinese Yuan Renminbi

 

OMX

Stockholm Stock Exchange

COP

Colombian Peso

 

PHP

Philippine Peso

CZK

Czech Koruna

 

PLN

Polish Zloty

DAX

Deutscher Aktienindex

 

RBOB

Reformulated Blendstock for Oxygenate Blending

DJIA

Dow Jones Industrial Average

 

SEK

Swedish Krona

EUR

Euro

 

SGD

Singapore Dollar

FTSE

Financial Times Stock Exchange

 

THB

Thai Baht

GBP

British Pound

 

TRY

Turkish Lira

HUF

Hungarian Forint

 

TWD

Taiwan Dollar

IDR

Indonesian Rupiah

 

USD

United States Dollar

ILS

Israeli New Shekel

 

WTI

West Texas Intermediate

INR

Indian Rupee

 

ZAR

South African Rand

JPY

Japanese Yen

     

KRW

Korean Won

     

 

 

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, 2024

 

ASSETS

       

Investments, at value (cost $789,745,235)

  $ 790,138,799  

Cash equivalents

    66,138,528  

Foreign currency deposits with broker for futures contracts (cost $4,952,987)

    4,938,998  

Deposit with brokers:

       

Forward foreign currency contracts

    17,749,657  

Futures contracts

    125,542,494  

Receivables for:

       

Capital shares sold

    7,686,103  

Interest receivable

    223,196  

Unrealized appreciation on forward foreign currency contracts

    6,422,664  

Unrealized appreciation on futures contracts

    46,127,418  

Prepaid expenses and other assets

    77,894  

Total assets

  $ 1,065,045,751  
         

LIABILITIES

       

Payables for:

       

Advisory fees

    1,425,848  

Capital shares redeemed

    766,490  

Unrealized depreciation on forward foreign currency contracts

    10,854,282  

Unrealized depreciation on futures contracts

    30,089,778  

Other accrued expenses and liabilities

    235,232  

Total liabilities

    43,371,630  

Net assets

  $ 1,021,674,121  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 86,100  

Paid-in capital

    998,808,849  

Total distributable earnings/(losses)

    22,779,172  

Net assets

  $ 1,021,674,121  
         

CLASS A SHARES:

       

Net assets

  $ 6,671,652  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    564,631  

Net asset value and redemption price per share

  $ 11.82  

Maximum offering price per share (100/94.25 of 11.82)

  $ 12.54  
         

CLASS I SHARES:

       

Net assets

  $ 1,000,318,558  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    84,267,130  

Net asset value, offering and redemption price per share

  $ 11.87  
         

CLASS C SHARES:

       

Net assets

  $ 14,683,911  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,267,819  

Net asset value, offering and redemption price per share

  $ 11.59  

 

 

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, 2024

 

INVESTMENT INCOME

       

Interest

  $ 37,758,392  

Total investment income

    37,758,392  

EXPENSES

       

Advisory fees (Note 2)

    13,269,062  

Administration and accounting services fees (Note 2)

    181,367  

Transfer agent fees (Note 2)

    106,601  

Director fees

    103,952  

Registration and filing fees

    93,149  

Audit and tax service fees

    73,181  

Printing and shareholder reporting fees

    65,922  

Other expenses

    63,412  

Distribution fees (Class A Shares) (Note 2)

    8,910  

Distribution fees (Class C Shares) (Note 2)

    61,316  

Officer fees

    53,355  

Legal fees

    46,802  

Custodian fees (Note 2)

    39,772  

Total expenses before waivers and/or reimbursements

    14,166,801  

Less: waivers and/or reimbursements (Note 2)

    (647,218 )

Net expenses after waivers and/or reimbursements

    13,519,583  

Net investment income/(loss)

    24,238,809  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Investments

    17,178  

Futures contracts

    18,577,595  

Foreign currency transactions

    (2,444,167 )

Forward foreign currency contracts

    (18,235,878 )

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    546,766  

Futures contracts

    9,972,094  

Foreign currency translations

    (20,936 )

Forward foreign currency contracts

    (4,699,559 )

Net realized and unrealized gain/(loss) from investments

    3,713,093  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 27,951,902  

 

 

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
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 24,238,809     $ 9,783,631  

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts

    (2,085,272 )     (5,805,613 )

Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts

    5,798,365       (2,284,465 )

Net increase/(decrease) in net assets resulting from operations

    27,951,902       1,693,553  

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Class A

  $ (80,502 )   $ (56,337 )

Class I

    (21,476,557 )     (15,883,994 )

Class C

    (194,878 )     (167,553 )

Net decrease in net assets from dividends and distributions to shareholders

    (21,751,937 )     (16,107,884 )

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    8,280,971       3,555,040  

Proceeds from reinvestment of distributions

    58,480       35,007  

Shares redeemed

    (3,272,101 )     (2,652,964 )

Total from Class A Shares

    5,067,350       937,083  

Class I Shares

               

Proceeds from shares sold

    732,653,887       379,787,638  

Proceeds from reinvestment of distributions

    12,529,698       10,506,767  

Shares redeemed

    (248,071,786 )     (221,232,417 )

Total from Class I Shares

    497,111,799       169,061,988  

Class C Shares

               

Proceeds from shares sold

    10,903,723       5,762,438  

Proceeds from reinvestment of distributions

    122,506       108,350  

Shares redeemed

    (1,745,933 )     (688,103 )

Total from Class C Shares

    9,280,296       5,182,685  

Net increase/(decrease) in net assets from capital share transactions

    511,459,445       175,181,756  

Total increase/(decrease) in net assets

    517,659,410       160,767,425  

NET ASSETS:

               

Beginning of period

    504,014,711       343,247,286  

End of period

  $ 1,021,674,121     $ 504,014,711  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
17

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    691,208       304,780  

Shares reinvested

    5,390       3,095  

Shares redeemed

    (276,345 )     (231,142 )

Total Class A Shares

    420,253       76,733  

Class I Shares

               

Shares sold

    61,322,625       32,917,512  

Shares reinvested

    1,151,627       927,341  

Shares redeemed

    (21,252,768 )     (19,386,275 )

Total Class I Shares

    41,221,484       14,458,578  

Class C Shares

               

Shares sold

    914,951       491,570  

Shares reinvested

    11,460       9,673  

Shares redeemed

    (151,257 )     (61,266 )

Total Class C Shares

    775,154       439,977  

Net increase/(decrease) in shares outstanding

    42,416,891       14,975,288  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
18

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

For the
Year Ended
August 31,
2024

   

For the
Year Ended
August 31,
2023

   

For The
Period
February 16,
2022
to august
31,
2022
(1)

 

Per Share Operating Performance

                       

Net asset value, beginning of period

  $ 11.51     $ 11.94     $ 11.21  

Net investment income/(loss)(2)

    0.34       0.23       (0.06 )

Net realized and unrealized gain/(loss) from investments

    0.38       (0.21 )     0.79  

Net increase/(decrease) in net assets resulting from operations

    0.72       0.02       0.73  

Dividends and distributions to shareholders from:

                       

Net investment income

    (0.10 )     (0.42 )      

Net realized capital gains

    (0.31 )     (0.03 )      

Total dividends and distributions to shareholders

    (0.41 )     (0.45 )      

Net asset value, end of period

  $ 11.82     $ 11.51     $ 11.94  

Total investment return/(loss)(3)

    6.61 %     0.24 %     6.51 %(4)

Ratios/Supplemental Data

                       

Net assets, end of period (000’s omitted)

  $ 6,672     $ 1,661     $ 808  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6)

    2.04 %     2.04 %     2.04 %(5)

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6)

    2.04 %     2.04 %     2.04 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6)

    2.12 %     2.16 %     2.23 %(5)

Ratio of net investment income/(loss) to average net assets

    2.88 %     1.99 %     (0.87 )%(5)

Portfolio turnover rate(7)

    0 %     0 %     0 %(4)

 

 

(1)

Inception date of Class A Shares of the Fund was February 16, 2022.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total return does not reflect any applicable sales charge.

(4)

Not Annualized

(5)

Annualized

(6)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares.

(7)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
19

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for Class I Shares outstanding, total investment return/(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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 11.54     $ 11.96     $ 11.98     $ 11.07     $ 10.94  

Net investment income/(loss)(1)

    0.38       0.26       (0.13 )     (0.21 )     (0.08 )

Net realized and unrealized gain/(loss) from investments

    0.37       (0.23 )     1.29       2.21       1.38  

Net increase/(decrease) in net assets resulting from operations

    0.75       0.03       1.16       2.00       1.30  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.11 )     (0.42 )     (0.34 )     (0.17 )     (0.96 )

Net realized capital gains

    (0.31 )     (0.03 )     (0.84 )     (0.92 )     (0.21 )

Total dividends and distributions to shareholders

    (0.42 )     (0.45 )     (1.18 )     (1.09 )     (1.17 )

Net asset value, end of period

  $ 11.87     $ 11.54     $ 11.96     $ 11.98     $ 11.07  

Total investment return/(loss)(2)

    6.88 %     0.38 %     10.40 %     19.72 %     13.97 %

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 1,000,319     $ 496,775     $ 341,815     $ 94,948     $ 37,572  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(3)

    1.79 %     1.79 %     1.79 %     1.84 %     1.79 %

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(3)

    1.79 %     1.79 %     1.79 %     1.79 %     1.79 %

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(3)

    1.87 %     1.91 %     1.98 %     2.28 %     2.45 %

Ratio of net investment income/(loss) to average net assets

    3.13 %     2.24 %     (1.12 )%     (1.80 )%     (0.76 )%

Portfolio turnover rate(4)

    0 %     0 %     0 %     0 %     0 %

 

 

(1)

Calculated based on average shares outstanding for the period.

(2)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any.

(3)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class A Shares.

(4)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
20

 

 

Abbey Capital Multi Asset Fund

 

Consolidated Financial Highlights (Concluded)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For The
Period
November 8,
2021
To August 31,
2022
(1)

 

Per Share Operating Performance

                       

Net asset value, beginning of period

  $ 11.32     $ 11.85     $ 12.51  

Net investment income/(loss)(2)

    0.26       0.14       (0.18 )

Net realized and unrealized gain/(loss) from investments

    0.38       (0.22 )     0.70  

Net increase/(decrease) in net assets resulting from operations

    0.64       (0.08 )     0.52  

Dividends and distributions to shareholders from:

                       

Net investment income

    (0.06 )     (0.42 )     (0.34 )

Net realized capital gains

    (0.31 )     (0.03 )     (0.84 )

Total dividends and distributions to shareholders

    (0.37 )     (0.45 )     (1.18 )

Net asset value, end of period

  $ 11.59     $ 11.32     $ 11.85  

Total investment return/(loss)(3)

    5.93 %     (0.63 )%     4.84 %(4)

Ratios/Supplemental Data

                       

Net assets, end of period (000’s omitted)

  $ 14,684     $ 5,578     $ 624  

Ratio of expenses to average net assets with waivers and/or reimbursements (including interest expense)(6)

    2.79 %     2.79 %     2.79 %(5)

Ratio of expenses to average net assets with waivers and/or reimbursements (excluding interest expense)(6)

    2.79 %     2.79 %     2.79 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements (including interest expense)(6)

    2.87 %     2.91 %     2.98 %(5)

Ratio of net investment income/(loss) to average net assets

    2.13 %     1.24 %     (1.88 )%(5)

Portfolio turnover rate(7)

    0 %     0 %     0 %(4)

 

 

(1)

Inception date of Class C Shares of the Fund was November 8, 2021.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

(6)

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired Fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares.

(7)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the consolidated financial statements.
21

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Abbey Capital Multi Asset Fund (the “Fund”), which commenced investment operations on April 11, 2018. The Fund is authorized to offer three classes of shares, Class A Shares, Class I Shares and Class C Shares. Class A Shares are sold subject to a front-end maximum sales charge of 5.75%. Front-end sales charges may be reduced or waived under certain circumstances.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Consolidated Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

Consolidation of Subsidiaries — The Managed Futures strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.

 

Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another wholly-owned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company.

 

The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the current fiscal period, the net assets of the Cayman Subsidiary and SPC were $225,321,920, which represented 22.05% of the Fund’s net assets. As of the end of the current fiscal period, the net assets of the Onshore Subsidiary were $175,004,414, which represented 17.13% 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

 

22

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Abbey Capital Limited (the “Adviser” or “Abbey Capital”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

●   Level 1 –

Prices are determined using quoted prices in active markets for identical securities.

 

 

●   Level 2 –

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

●   Level 3 –

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Short-Term Investments

  $ 790,138,799     $ 790,138,799             $  

Commodity Contracts

                               

Futures Contracts

    26,268,708       26,268,708              

Equity Contracts

                               

Futures Contracts

    17,622,056       17,622,056              

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    6,422,664             6,422,664        

Futures Contracts

    860,798       860,798              

Interest Rate Contracts

                               

Futures Contracts

    1,375,856       1,375,856              

Total Assets

  $ 842,688,881     $ 836,266,217     $ 6,422,664     $  

 

23

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Commodity Contracts

                               

Futures Contracts

  $ (23,402,508 )   $ (23,402,508 )   $     $  

Equity Contracts

                               

Futures Contracts

    (598,409 )     (598,409 )            

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

    (10,854,282 )           (10,854,282 )      

Futures Contracts

    (1,689,240 )     (1,689,240 )            

Interest Rate Contracts

                               

Futures Contracts

    (4,399,621 )     (4,399,621 )            

Total Liabilities

  $ (40,944,060 )   $ (30,089,778 )   $ (10,854,282 )   $  

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

Disclosures about Derivative instruments and Hedging Activities — Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the current fiscal period include forward foreign currency contracts and futures contracts.

 

During the current fiscal period, the Fund used long and short contracts on U.S. and foreign equity market indices, U.S. and foreign government bonds, foreign currencies, interest rates and commodities (through investment in the Cayman Subsidiary, the SPC and the Onshore Subsidiary), to gain investment exposure in accordance with its investment objective.

 

The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.

 

24

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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 current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement
of Assets and
Liabilities
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Asset Derivatives

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts     $     $     $ 6,422,664     $     $ 6,422,664  

Futures Contracts (a)

    Unrealized appreciation on futures contracts       17,622,056       1,375,856       860,798       26,268,708       46,127,418  

Total Value- Assets

          $ 17,622,056     $ 1,375,856     $ 7,283,462     $ 26,268,708     $ 52,550,082  

Liability Derivatives

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts     $     $     $ (10,854,282 )   $     $ (10,854,282 )

Futures Contracts (a)

    Unrealized depreciation on futures contracts       (598,409 )     (4,399,621 )     (1,689,240 )     (23,402,508 )     (30,089,778 )

Total Value- Liabilities

  $ (598,409 )   $ (4,399,621 )   $ (12,543,522 )   $ (23,402,508 )   $ (40,944,060 )

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forwards and futures contracts as reported on the Consolidated Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from Futures Contracts     $ 62,625,668     $ (26,243,028 )   $ (19,606,166 )   $ 1,801,121     $ 18,577,595  

Forward Contracts

    Net realized gain/(loss) from Forward Foreign Currency Contracts                   (18,235,878 )           (18,235,878 )

Total Realized Gain/(Loss)

  $ 62,625,668     $ (26,243,028 )   $ (37,842,044 )   $ 1,801,121     $ 341,717  

 

25

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Commodity
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ 11,196,800     $ 261,274     $ (3,327,814 )   $ 1,841,834     $ 9,972,094  

Forward Contracts

    Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts                   (4,699,559 )           (4,699,559 )

Total Change in Unrealized Appreciation/(Depreciation)

  $ 11,196,800     $ 261,274     $ (8,027,373 )   $ 1,841,834     $ 5,272,535  

 

During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:

 

Long Futures
Notional
Amount

Short Futures
Notional
Amount

Forward Foreign
Currency
Contracts — Payable
(Value at Trade Date)

Forward Foreign
Currency
Contracts —
Receivable
(Value at Trade Date)

$2,115,698,162

$(2,101,714,085)

$(1,271,316,173)

$1,270,103,403

 

For financial reporting purposes, the Fund does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.

 

26

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

                 

Gross Amount Not
Offset in Consolidated
Statement of
Assets and Liabilities

         

Description

 

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

 

Gross Amount
Presented
in the
Consolidated
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

 

Liabilities

 

Forward Foreign Currency Contracts

  $ 6,422,664     $ (10,854,282 )   $     $ (4,431,618 ) $ 10,854,282     $ (10,854,282 )   $     $  

 

 
 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

 

(2)

Actual collateral pledged may be more than the amount shown.

 

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status —No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

27

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The Cayman Subsidiary is registered as an “exempted company” and the SPC as an “exempted segregated portfolio company” pursuant to the Companies Act (Revised) of the Cayman Islands (as amended). Each of the Cayman Subsidiary and the SPC has received an undertaking from the Governor in Cabinet of the Cayman Islands to the effect that, for a period of twenty years from the date of the undertaking, no act that thereafter is enacted in the Cayman Islands imposing any tax or duty to be levied on profits, income or on gains or appreciation, or any tax in the nature of estate duty or inheritance tax, will apply to any property comprised in or any income arising under the Cayman Subsidiary or the SPC, or to the shareholders thereof, in respect of any such property or income. For U.S. federal income tax purposes, the Cayman Subsidiary is treated as a “controlled foreign corporation” and the SPC is treated as disregarded from its owner, the Cayman Subsidiary, for U.S. income tax purposes. The Onshore Subsidiary is treated as an entity disregarded from its owner, the Fund, for U.S. income tax purposes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (“SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk —Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts

 

28

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

Counterparty Risk — The derivative contracts entered into by the Fund, the Cayman Subsidiary, Onshore Subsidiary or the SPC may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

 

Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade, but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.

 

Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to potentially unlimited risk of loss.

 

Forward Foreign Currency Contracts — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund uses forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment objective. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. The Fund considers investments in the U.S Bank Money Market Deposit Account, a U.S. dollar-denominated deposit account offered through U.S. Bank, N.A. to be a cash equivalent. The Fund is exposed to

 

29

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

the credit risk of U.S. Bank, N.A. through the holding of this cash equivalent. This cash equivalent is presented on the Consolidated Statement of Assets and Liabilities as “Cash equivalents” and was classified as Level 1 assets as of August 31, 2024. As of August 31, 2024, this balance was $66,138,528.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Abbey Capital Limited serves as the investment adviser to the Fund, the Cayman Subsidiary, Onshore Subsidiary and the SPC. The Adviser allocates the assets of the Onshore Subsidiary and SPC (via the Cayman Subsidiary) to one or more Trading Advisers unaffiliated with the Adviser to manage. The Adviser also has the ultimate responsibility to oversee the Trading Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Trading Advisers out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Caps”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.

 

Advisory
Fee

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
Advisory
Fees

Waivers and/or
Reimbursements

Net
Advisory
Fees

$13,269,062

$(647,218)

$12,621,844

 

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.

 

30

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

As of the end of the current fiscal period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2025

August 31,
2026

August 31,
2027

Total

$312,567

$495,671

$647,218

$1,455,456

 

Aspect Capital Limited, Crabel Capital Management, LLC, Eclipse Capital Management, Inc., Graham Capital Management L.P., Revolution Capital Management, LLC, Tudor Investment Corporation, Welton Investment Partners, LLC and Winton Capital Management Limited each served as a Trading Adviser to the Fund during the current fiscal period.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

The Board has adopted a Plan of Distribution for the Class A Shares and Class C Shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund’s distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of the Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

31

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$946,169,111

$1,028,765

$(49,994,982)

$(48,966,217)

 

 

(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, 2024, primarily attributable to disallowed book income from the Cayman Subsidiary, were reclassified to the following accounts:

 

Distributable
Earnings/(Loss)

Paid-In
Capital

$21,656,471

$(21,656,471)

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$31,857,582

$16,271,710

$(25,350,120)

$—

$—

$—

 

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains of the Cayman Subsidiary for federal income tax purposes.

 

32

 

 

Abbey Capital Multi Asset Fund

 

Notes To Consolidated Financial Statements (Concluded)

August 31, 2024

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2023 and August 31, 2024 was as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

2024

$13,460,205

$8,291,732

$21,751,937

 

 

Ordinary
Income

Long-Term
Gains

Total

2023

$16,071,575

$36,309

$16,107,884

 

The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2024, the Fund had no unlimited short-term or long-term capital loss carryovers to offset future capital gains.

 

6. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there was the following subsequent event:

 

Effective October 22, 2024 (subsequent to the end of the current fiscal period), Systematica Investments Limited (acting as the general partner of Systematica Investments LP) serves as a Trading Adviser to the Fund.

 

33

 

 

Abbey Capital Multi Asset Fund

 

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of Abbey Capital Multi Asset Fund
and Board of Directors of The RBB Fund, Inc.

 

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, 2024, 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, 2024, 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, 2024, by correspondence with the custodian and brokers. 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, 2024

 

34

 

 

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, 2024. The information and distribution reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2024. During the fiscal year ended August 31, 2024, the Fund paid no ordinary income dividends that are designated as “qualified dividend income” 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 58.02%.

 

Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

35

 

 

Abbey Capital Multi Asset Fund

 

Other Information

(Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENTS AND TRADING ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewals 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 the Onshore Subsidiary, the Cayman Subsidiary and the SPC (the “Subsidiaries”) and Abbey Capital (collectively, the “Subsidiary Investment Advisory Agreements”), and (3) the trading advisory agreements between Abbey Capital and each of Aspect Capital Limited, Crabel Capital Management, LLC, 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, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement, the Subsidiary Investment Advisory Agreements, and the Trading Advisory Agreements for an additional one-year term ending August 16, 2025. The Board’s decision to approve the Investment 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 Investment 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 and approval of the Investment Advisory Agreement, each of the Subsidiary Investment Advisory Agreements and 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. The Directors reviewed these materials with management of Abbey Capital, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of Abbey Capital, the Subsidiaries, or Trading Advisers were present. 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, as applicable, and Abbey Capital’s profitability analysis; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its 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 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, the S&P 500 Total Return Index, for the three-month, one-year, three-year, five-year and since-inception periods ended December 31, 2023. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Board noted that the Fund’s total return outperformed the median of its Peer Group for the three-month, one-year, three-year, five-year and since-inception periods ended December 31, 2023.

 

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 ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other,

 

36

 

 

Abbey Capital Multi Asset Fund

 

Other Information (Continued)

(Unaudited)

 

unaffiliated investment advisory firms. The Directors noted that the Fund’s net advisory fee was above the median and in the 4th quartile (most expensive) of its Peer Group, and the Fund’s total net expenses were above the median and in the 3rd quartile (second most expensive) of its Peer Group. 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, 2024 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 Trading Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2025.

 

SYSTEMATICA TRADING ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including a majority of the Independent Directors, considered the approval of a new trading advisory agreement (the “Systematica Trading Advisory Agreement”) by and among Abbey Capital, the Onshore Subsidiary, the SPC and Systematica Investments Limited (acting as the general partner of Systematica Investments LP) (“Systematica”) at a meeting of the Board held on September 11-12, 2024 (the “September Meeting”). At the September Meeting, the Board, including a majority of the Independent Directors, approved the Systematica Trading Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the Systematica Trading Advisory Agreement reflects the exercise of its business judgment. In approving the Systematica Trading Advisory Agreement, the Board considered information provided by Abbey Capital and Systematica, with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the approval of the Systematica Trading Advisory Agreement, the Board took into account all materials provided prior to and during the September Meeting and at other meetings throughout the past year, the presentations made during the September Meeting, and the discussions held during the September Meeting. The Directors reviewed these materials with management of Abbey Capital, and discussed the Systematica Trading Advisory Agreement with counsel in executive sessions, at which no representatives of Abbey Capital or Systematica were present. The Directors considered whether approval of the Systematica Trading Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the Systematica Trading Advisory Agreement. The Directors noted their familiarity with Systematica given Systematica’s current service as a Trading Adviser of the Abbey Capital Futures Strategy Fund, another series of the Company. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by Systematica; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Systematica’s investment philosophies and processes; (iv) Systematica’s assets under management and client descriptions; (v) Systematica’s trade execution and trade allocation policies; (vi) Systematica’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Systematica’s compliance procedures; and (viii) Systematica’s financial information and insurance coverage.

 

The Board also considered the fees payable to Systematica under the proposed Systematica Trading Advisory Agreement and the services to be provided by Systematica. In this regard, the Board noted that the fees for Systematica were payable by Abbey Capital.

 

After reviewing the information regarding Abbey Capital’s and Systematica’s costs, profitability and economies of scale, and after considering the services to be provided by Systematica, the Board concluded that the trading advisory fees to be paid by Abbey Capital to Systematica were fair and reasonable, that the Systematica Trading Advisory

 

37

 

 

Abbey Capital Multi Asset Fund

 

Other Information (Concluded)

(Unaudited)

 

Agreement was in the best interests of the Fund and its shareholders and did not involve a conflict of interest from which Abbey Capital would derive an inappropriate advantage, and that the Systematica Trading Advisory Agreement should be approved for an initial period ending August 16, 2025.

 

WINTON TRADING ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including a majority of the Independent Directors, considered the approval of a new trading advisory agreement (the “Winton Trading Advisory Agreement”) by and among Abbey Capital, the Onshore Subsidiary, the SPC and Winton Capital Management Limited (“Winton”) at a meeting of the Board held on February 12-13, 2024 (the “February Meeting”). At the February Meeting, the Board, including a majority of the Independent Directors, approved the Winton Trading Advisory Agreement for an initial period ending August 16, 2025. The Board’s decision to approve the Winton Trading Advisory Agreement reflects the exercise of its business judgment. In approving the Winton Trading Advisory Agreement, the Board considered information provided by Abbey Capital and Winton, with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the approval of the Winton Trading Advisory Agreement, the Board took into account all materials provided prior to and during the February Meeting and at other meetings throughout the past year, the presentations made during the February Meeting, and the discussions held during the February Meeting. The Directors reviewed these materials with management of Abbey Capital, and discussed the Winton Trading Advisory Agreement with counsel in executive sessions, at which no representatives of Abbey Capital or Winton were present. The Directors considered whether approval of the Winton Trading Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the Winton Trading Advisory Agreement. The Directors noted their familiarity with Winton given Winton’s current service as a Trading Adviser of the Abbey Capital Futures Strategy Fund, another series of the Company. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by Winton; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Winton’s investment philosophies and processes; (iv) Winton’s assets under management and client descriptions; (v) Winton’s trade execution and trade allocation policies; (vi) Winton’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Winton’s compliance procedures; and (viii) Winton’s financial information and insurance coverage.

 

The Board also considered the fees payable to Winton under the proposed Winton Trading Advisory Agreement and the services to be provided by Winton. In this regard, the Board noted that the fees for Winton were payable by Abbey Capital.

 

After reviewing the information regarding Abbey Capital’s and Winton’s costs, profitability and economies of scale, and after considering the services to be provided by Winton, the Board concluded that the trading advisory fees to be paid by Abbey Capital to Winton were fair and reasonable, that the Winton Trading Advisory Agreement was in the best interests of the Fund and its shareholders and did not involve a conflict of interest from which Abbey Capital would derive an inappropriate advantage, and that the Winton Trading Advisory Agreement should be approved for an initial period ending August 16, 2025.

 

38

 

 

Investment Adviser
Abbey Capital Limited
8 St. Stephen’s Green
Dublin 2, Ireland

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP.
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

 

 

ADARA SMALLER COMPANIES FUND

 

of

 

The RBB Fund, Inc.

 

FINANCIAL STATEMENTS

 

August 31, 2024

 

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

 


Schedule of Investments

as of August 31, 2024

 

   

Shares

   

Value

 

COMMON STOCKS — 93.2%

Aerospace/Defense — 1.1%

AAR Corp. (a)

    11,755     $ 773,244  

Aerovironment, Inc. (a)

    7,224       1,471,962  

Curtiss-Wright Corp.

    2,004       632,984  

Hexcel Corp.

    15,634       989,476  

Kratos Defense & Security Solutions, Inc. (a)

    91,060       2,088,916  

Mercury Systems, Inc. (a)

    2,290       86,791  

Moog, Inc. - Class A

    1,762       347,819  

National Presto Industries, Inc.

    615       48,148  
              6,439,340  

Agriculture — 1.1%

Alico, Inc.

    73,180       2,144,174  

Darling Ingredients, Inc. (a)

    8,943       373,191  

Dole PLC

    123,066       1,982,593  

Fresh Del Monte Produce, Inc.

    5,120       149,709  

Vector Group Ltd.

    9,371       140,378  

Vital Farms, Inc. (a)

    62,452       1,964,115  
              6,754,160  

Airlines — 0.1%

SkyWest, Inc. (a)

    8,137       630,943  
                 

Apparel — 0.9%

Capri Holdings, Ltd. (a)

    5,836       208,462  

Crocs, Inc. (a)

    8,621       1,260,132  

Hanesbrands, Inc. (a)

    26,344       167,284  

Kontoor Brands, Inc.

    4,168       311,975  

Lakeland Industries, Inc.

    110,440       2,661,604  

Levi Strauss & Co. - Class A

    37,813       728,656  

Skechers USA, Inc. - Class A (a)

    3,666       251,048  

VF Corp.

    7,775       141,583  
              5,730,744  

Auto Manufacturers — 0.7%

Blue Bird Corp. (a)

    43,396       2,221,008  

REV Group, Inc.

    61,805       1,967,871  

Wabash National Corp.

    9,020       175,529  
              4,364,408  

Auto Parts & Equipment — 1.3%

Cooper-Standard Holdings, Inc. (a)

    98,370       1,519,817  

Dorman Products, Inc. (a)

    1,368       155,159  

Douglas Dynamics, Inc.

    11,675       325,032  

Gentherm, Inc. (a)

    4,376       221,163  

Miller Industries, Inc.

    37,210       2,259,019  

Motorcar Parts of America, Inc. (a)

    158,610       1,051,584  

Shyft Group, Inc.

    29,704       421,500  

Standard Motor Products, Inc.

    1,956       63,198  

Strattec Security Corp. (a)

    44,660       1,584,090  
              7,600,562  

Banks — 9.0%

Ameris Bancorp

    2,245       138,359  

Bankwell Financial Group, Inc.

    49,840       1,519,123  

 

 

   

Shares

   

Value

 

Banks — (Continued)

Banner Corp.

    1,733     $ 103,235  

Cadence Bank

    22,282       719,263  

Capital Bancorp, Inc.

    91,230       2,333,663  

Central Pacific Financial Corp.

    3,784       104,098  

City Holding Co.

    4,208       499,658  

Civista Bancshares, Inc.

    76,800       1,303,296  

Colony Bankcorp, Inc.

    164,697       2,472,102  

Community Financial System, Inc.

    1,997       122,137  

ConnectOne Bancorp, Inc.

    5,049       126,225  

Customers Bancorp, Inc. (a)

    27,027       1,400,539  

Dime Community Bancshares, Inc.

    1,047       27,232  

Eastern Bankshares, Inc.

    5,441       92,334  

Esquire Financial Holdings, Inc.

    35,005       2,153,858  

Farmers National Bancorp

    93,820       1,458,901  

First BanCorp

    38,999       833,799  

First Business Financial Services, Inc.

    57,829       2,623,702  

First Commonwealth Financial Corp.

    18,699       321,997  

First Financial Bancorp

    24,036       636,233  

First Financial Bankshares, Inc.

    13,162       481,334  

First Hawaiian, Inc.

    13,502       328,504  

First Interstate BancSystem, Inc. - Class A

    7,996       248,276  

First Merchants Corp.

    2,329       90,831  

First Northwest Bancorp

    83,950       970,462  

Five Star Bancorp

    88,850       2,589,977  

Glacier Bancorp, Inc.

    25,249       1,194,278  

Heartland Financial USA, Inc.

    3,173       176,926  

Heritage Commerce Corp.

    7,938       80,809  

Hope Bancorp, Inc.

    27,648       353,618  

Horizon Bancorp, Inc.

    160,487       2,571,002  

Independent Bank Corp.

    1,193       75,529  

Kearny Financial Corp.

    10,015       68,202  

Metropolitan Bank Holding Corp. (a)

    68,426       3,538,308  

Midland States Bancorp, Inc.

    2,458       55,969  

NBT Bancorp, Inc.

    1,326       64,921  

Northeast Bank

    53,520       3,800,455  

OFG Bancorp

    7,960       366,080  

Old National Bancorp

    10,450       207,432  

Orrstown Financial Services, Inc.

    63,766       2,282,823  

Park National Corp.

    737       129,557  

Parke Bancorp, Inc.

    126,461       2,592,450  

Peapack-Gladstone Financial Corp.

    2,621       74,856  

Pinnacle Financial Partners, Inc.

    14,447       1,438,488  

Preferred Bank

    1,314       108,865  

Premier Financial Corp.

    6,412       160,685  

S&T Bancorp, Inc.

    8,702       373,925  

Sandy Spring Bancorp, Inc.

    21,902       685,533  

Seacoast Banking Corp. of Florida

    52,039       1,423,787  

 

 

The accompanying notes are an integral part of the financial statements.
1

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Banks — (Continued)

Southside Bancshares, Inc.

    4,513     $ 154,480  

Stellar Bancorp, Inc.

    2,051       55,931  

Stock Yards Bancorp, Inc.

    1,084       65,690  

TriCo Bancshares

    3,184       144,745  

Triumph Bancorp, Inc. (a)

    8,009       672,596  

UMB Financial Corp.

    3,164       327,759  

United Community Banks, Inc.

    12,730       387,883  

Unity Bancorp, Inc.

    72,830       2,471,122  

USCB Financial Holdings, Inc.

    147,860       2,207,550  

Veritex Holdings, Inc.

    11,815       297,620  

Walker & Dunlop, Inc.

    1,925       206,090  

Washington Trust Bancorp, Inc.

    7,081       232,257  

WesBanco, Inc.

    6,869       221,250  

West Bancorporation, Inc.

    68,770       1,371,961  
              54,340,570  

Beverages — 0.4%

Coca-Cola Consolidated, Inc.

    279       374,530  

Duckhorn Portfolio, Inc. (a)

    131,702       833,674  

MGP Ingredients, Inc.

    931       83,408  

Vita Coco Co., Inc. (a)

    41,395       1,081,237  
              2,372,849  

Biotechnology — 6.0%

4D Molecular Therapeutics, Inc. (a)

    3,970       59,590  

ADMA Biologics, Inc. (a)

    177,092       3,065,462  

ANI Pharmaceuticals, Inc. (a)

    5,276       336,345  

Apogee Therapeutics, Inc. (a)

    40,582       2,076,581  

Astria Therapeutics, Inc. (a)

    104,011       1,272,055  

Biohaven Ltd. (a)

    14,121       556,367  

CG oncology, Inc. (a)

    7,728       285,009  

Crinetics Pharmaceuticals, Inc. (a)

    105,243       5,584,194  

Cytokinetics, Inc. (a)

    5,803       331,235  

Day One Biopharmaceuticals, Inc. (a)

    51,462       712,234  

Denali Therapeutics, Inc. (a)

    19,751       482,714  

Edgewise Therapeutics, Inc. (a)

    63,419       1,189,106  

Guardant Health, Inc. (a)

    18,768       480,085  

Halozyme Therapeutics, Inc. (a)

    16,935       1,081,300  

Ideaya Biosciences, Inc. (a)

    20,374       804,773  

Immunocore Holdings PLC - ADR (a)

    10,217       366,586  

Intra-Cellular Therapies, Inc. (a)

    7,938       581,697  

Keros Therapeutics, Inc. (a)

    1,506       68,297  

Kiniksa Pharmaceuticals International PLC (a)

    52,597       1,406,444  

Larimar Therapeutics, Inc. (a)

    66,450       525,619  

Ligand Pharmaceuticals, Inc. (a)

    7,862       831,800  

Maravai LifeSciences Holdings, Inc. - Class A (a)

    48,288       437,006  

Mind Medicine MindMed, Inc. (a)

    124,213       752,731  

Myriad Genetics, Inc. (a)

    2,914       82,554  

 

 

   

Shares

   

Value

 

Biotechnology — (Continued)

NeoGenomics, Inc. (a)

    27,749     $ 458,413  

Nurix Therapeutics, Inc. (a)

    63,632       1,603,526  

Nuvalent, Inc. - Class A (a)

    16,605       1,413,584  

OmniAb Operations, Inc. (a)(b)

    370       0  

OmniAb Operations, Inc. (a)(b)

    370       0  

Praxis Precision Medicines, Inc. (a)

    11,973       636,365  

Roivant Sciences Ltd. (a)

    85,529       1,046,020  

Soleno Therapeutics, Inc. (a)

    10,481       513,045  

Structure Therapeutics, Inc. - ADR (a)

    57,306       2,185,078  

Vera Therapeutics, Inc. (a)

    26,373       997,427  

Veracyte, Inc. (a)

    25,913       817,555  

Vericel Corp. (a)

    1,632       84,293  

Viking Therapeutics, Inc. (a)

    10,699       686,020  

Xenon Pharmaceuticals, Inc. (a)

    63,492       2,561,267  
              36,372,377  

Building Materials — 2.8%

AAON, Inc.

    6,180       590,252  

American Woodmark Corp. (a)

    1,043       93,463  

Apogee Enterprises, Inc.

    7,722       515,675  

Armstrong World Industries, Inc.

    10,255       1,299,924  

Aspen Aerogels, Inc. (a)

    87,654       2,514,793  

AZEK Co., Inc. (a)

    11,831       504,356  

Boise Cascade Co.

    3,571       484,299  

Gauzy Ltd. (a)

    19,459       206,849  

Gibraltar Industries, Inc. (a)

    4,141       288,503  

Knife River Corp. (a)

    16,553       1,305,535  

MDU Resources Group, Inc.

    40,242       1,033,817  

Modine Manufacturing Co. (a)

    28,797       3,500,275  

Simpson Manufacturing Co., Inc.

    2,069       378,751  

SPX Technologies, Inc. (a)

    4,521       737,556  

Summit Materials, Inc. - Class A (a)

    62,991       2,551,136  

UFP Industries, Inc.

    8,103       985,892  
              16,991,076  

Chemicals — 0.3%

AdvanSix, Inc.

    3,917       115,786  

Balchem Corp.

    1,142       202,168  

Chemours Co.

    9,276       180,325  

Innospec, Inc.

    1,121       129,206  

Koppers Holdings, Inc.

    7,974       315,611  

Perimeter Solutions SA (a)

    31,536       369,287  

Quaker Chemical Corp.

    568       96,145  

Rogers Corp. (a)

    1,868       200,362  

Sensient Technologies Corp.

    1,928       150,076  

Stepan Co.

    2,701       209,679  
              1,968,645  

Coal — 0.3%

Warrior Met Coal, Inc.

    26,206       1,606,690  
                 

 

 

The accompanying notes are an integral part of the financial statements.
2

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Commercial Services — 6.6%

Acacia Research Corp. (a)

    320,940     $ 1,543,721  

Adtalem Global Education, Inc. (a)

    3,449       261,124  

Alight, Inc. - Class A (a)

    199,372       1,487,315  

AMN Healthcare Services, Inc. (a)

    3,294       174,681  

ARC Document Solutions, Inc.

    449,990       1,502,967  

Arlo Technologies, Inc. (a)

    198,056       2,325,177  

Barrett Business Services, Inc.

    105,876       3,865,533  

BrightView Holdings, Inc. (a)

    134,423       2,146,735  

Brink’s Co.

    4,054       449,710  

CompoSecure, Inc.

    142,210       1,668,123  

CoreCivic, Inc. (a)

    231,877       3,195,265  

Cross Country Healthcare, Inc. (a)

    6,965       103,918  

Deluxe Corp.

    4,893       100,747  

EVERTEC, Inc.

    46,427       1,590,125  

FTI Consulting, Inc. (a)

    2,819       643,606  

GEO Group, Inc. (a)

    187,003       2,593,732  

Heidrick & Struggles International, Inc.

    2,031       78,397  

Herc Holdings, Inc.

    5,765       843,823  

ICF International, Inc.

    4,121       683,097  

Insperity, Inc.

    2,292       215,425  

Kelly Services, Inc. - Class A

    29,276       618,016  

Lincoln Educational Services Corp. (a)

    130,970       1,630,576  

MarketAxess Holdings, Inc.

    1,203       291,595  

Matthews International Corp. - Class A

    5,499       139,290  

Moneylion, Inc. (a)

    10,277       477,058  

Perdoceo Education Corp.

    10,039       225,275  

Rent-A-Center, Inc.

    3,409       113,520  

Repay Holdings Corp. (a)

    112,981       955,819  

Sezzle, Inc. (a)

    4,382       596,960  

Shift4 Payments, Inc. - Class A (a)

    13,838       1,149,938  

Strategic Education, Inc.

    1,789       172,638  

Stride, Inc. (a)

    29,446       2,424,584  

Universal Technical Institute, Inc. (a)

    136,507       2,382,047  

Vestis Corp.

    6,823       96,000  

Viad Corp. (a)

    56,607       1,947,847  

WillScot Holdings Corp. (a)

    27,801       1,071,451  
              39,765,835  

Computers — 1.4%

ASGN, Inc. (a)

    2,386       229,438  

CACI International, Inc. - Class A (a)

    1,145       558,897  

Cantaloupe, Inc. (a)

    9,881       68,376  

DXC Technology Co. (a)

    15,728       325,098  

ExlService Holdings, Inc. (a)

    34,087       1,245,539  

Globant S.A. (a)

    4,704       951,337  

Insight Enterprises, Inc. (a)

    2,176       472,344  

MAXIMUS, Inc.

    6,315       582,622  

NCR Voyix Corp. (a)

    49,502       667,782  

One Stop Systems, Inc. (a)

    185,588       463,970  

 

 

   

Shares

   

Value

 

Computers — (Continued)

Rapid7, Inc. (a)

    22,242     $ 840,970  

Rimini Street, Inc. (a)

    394,110       693,634  

Science Applications International Corp.

    1,681       219,522  

Varonis Systems, Inc. (a)

    21,504       1,217,126  
              8,536,655  

Cosmetics/Personal Care — 0.4%

elf Beauty, Inc. (a)

    4,323       647,542  

Inter Parfums, Inc.

    10,168       1,310,045  

Prestige Brands Holdings, Inc. (a)

    3,474       259,300  
              2,216,887  

Distribution/Wholesale — 0.9%

               

A-Mark Precious Metals, Inc.

    12,720       495,698  

G-III Apparel Group Ltd. (a)

    19,012       503,248  

Manitex International, Inc. (a)

    325,050       1,358,709  

MRC Global, Inc. (a)

    7,000       92,120  

OPENLANE, Inc. (a)

    113,393       1,965,101  

Pool Corp.

    2,106       740,512  

SiteOne Landscape Supply, Inc. (a)

    3,217       456,363  

WESCO International, Inc.

    371       61,356  
              5,673,107  

Diversified Financial Services — 2.0%

Encore Capital Group, Inc. (a)

    3,458       173,177  

Enova International, Inc. (a)

    3,612       309,657  

Evercore, Inc. - Class A

    4,027       989,595  

FTAI Aviation Ltd.

    17,871       2,284,092  

Houlihan Lokey, Inc.

    9,196       1,440,277  

Interactive Brokers Group, Inc. - Class A

    3,063       394,790  

LendingClub Corp. (a)

    78,017       947,906  

Moelis & Co., Class A - Class A

    14,572       973,264  

Navient Corp.

    14,452       244,672  

Perella Weinberg Partners

    46,596       910,952  

PRA Group, Inc. (a)

    2,655       61,915  

Radian Group, Inc.

    35,274       1,275,155  

Silvercrest Asset Management Group, Inc. - Class A

    89,226       1,445,461  

Virtus Investment Partners, Inc.

    807       170,810  

World Acceptance Corp. (a)

    2,155       253,967  
              11,875,690  

Electric — 1.4%

Hawaiian Electric Industries, Inc.

    39,161       420,198  

Northwestern Energy Group, Inc.

    38,213       2,078,405  

Talen Energy Corp. (a)

    26,343       3,941,176  

TXNM Energy, Inc.

    39,284       1,609,858  

Unitil Corp.

    2,272       137,002  
              8,186,639  

Electrical Components & Equipment — 0.4%

American Superconductor Corp. (a)

    57,211       1,156,806  

 

 

The accompanying notes are an integral part of the financial statements.
3

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Electrical Components & Equipment — (Continued)

Littelfuse, Inc.

    1,079     $ 293,704  

Powell Industries, Inc.

    4,109       688,011  
              2,138,521  

Electronics — 2.8%

Applied Optoelectronics, Inc. (a)

    102,678       1,165,395  

Atkore International Group, Inc.

    21,166       1,975,423  

Atmus Filtration Technologies, Inc.

    36,789       1,318,886  

Badger Meter, Inc.

    2,217       458,786  

Benchmark Electronics, Inc.

    4,446       188,999  

Brady Corp. - Class A

    12,340       913,654  

Camtek Ltd.

    19,200       1,747,584  

Celestica, Inc. (a)

    9,228       469,890  

Coherent Corp. (a)

    3,416       266,277  

Enovix Corp. (a)

    99,832       950,401  

ESCO Technologies, Inc.

    1,920       230,227  

Itron, Inc. (a)

    4,655       475,834  

Ituran Location and Control Ltd.

    21,933       619,607  

Kimball Electronics, Inc. (a)

    119,020       2,195,919  

Knowles Corp. (a)

    7,352       135,644  

NEXTracker, Inc. - Class A (a)

    21,504       874,568  

OSI Systems, Inc. (a)

    1,136       170,252  

Plexus Corp. (a)

    2,641       338,338  

Sanmina Corp. (a)

    6,648       461,238  

SYNNEX Corp.

    830       100,779  

TTM Technologies, Inc. (a)

    8,548       166,259  

Vontier Corp.

    46,541       1,630,331  
              16,854,291  

Energy-Alternate Sources — 0.0%(c)

REX American Resources Corp. (a)

    2,520       114,282  
                 

Engineering & Construction — 2.4%

Bowman Consulting Group Ltd. (a)

    97,470       2,339,280  

Comfort Systems USA, Inc.

    4,006       1,416,201  

Construction Partners, Inc. - Class A (a)

    26,693       1,761,204  

EMCOR Group, Inc.

    4,741       1,863,497  

Exponent, Inc.

    12,554       1,359,222  

Mistras Group, Inc. (a)

    109,200       1,306,032  

MYR Group, Inc. (a)

    9,249       932,299  

Shimmick Corp. (a)

    130,980       421,756  

Sterling Construction Co., Inc. (a)

    15,151       1,810,999  

TopBuild Corp. (a)

    2,707       1,063,905  
              14,274,395  

Entertainment — 0.5%

Atlanta Braves Holdings, Inc. - Class A (a)

    1,183       53,945  

Bally’s Corp. (a)

    4,405       75,766  

Cinemark Holdings, Inc. (a)

    7,468       204,474  

Genius Sports Ltd. (a)

    80,367       612,396  

Monarch Casino & Resort, Inc.

    3,215       244,083  

Rush Street Interactive, Inc. (a)

    101,024       946,595  

 

 

   

Shares

   

Value

 

Entertainment — (Continued)

               

Scientific Games Corp. - Class A (a)

    6,167     $ 677,260  

United Parks & Resorts, Inc. (a)

    10,819       532,511  
              3,347,030  

Environmental Control — 0.6%

CECO Environmental Corp. (a)

    42,316       1,225,048  

Energy Recovery, Inc. (a)

    33,444       543,131  

Montrose Environmental Group, Inc. (a)

    29,896       983,578  

PureCycle Technologies, Inc. (a)

    15,408       93,989  

Tetra Tech, Inc.

    3,198       760,292  
              3,606,038  

Food — 0.9%

B&G Foods, Inc.

    6,569       55,639  

Hain Celestial Group, Inc. (a)

    41,732       333,856  

Ingles Markets, Inc. - Class A

    26,982       1,996,668  

J&J Snack Foods Corp.

    578       98,370  

John B Sanfilippo & Son, Inc.

    1,789       169,722  

Nomad Foods Ltd.

    90,610       1,703,468  

SpartanNash Co.

    7,613       168,171  

Sprouts Farmers Market, Inc. (a)

    5,410       562,911  

United Natural Foods, Inc. (a)

    19,944       301,753  

Weis Markets, Inc.

    1,995       134,822  
              5,525,380  

Gas — 0.4%

Northwest Natural Holding, Co.

    10,869       437,151  

Southwest Gas Holdings, Inc.

    24,526       1,783,531  
              2,220,682  

Hand/Machine Tools — 0.4%

Cadre Holdings, Inc.

    34,266       1,242,142  

Franklin Electric Co., Inc.

    1,896       196,919  

MSA Safety, Inc.

    5,199       949,493  
              2,388,554  

Healthcare-Products — 4.6%

ABIOMED Inc. (a)(b)

    1,453       0  

Adaptive Biotechnologies Corp. (a)

    133,159       625,847  

Albireo Pharma Inc. (a)(b)

    1,908       0  

Avanos Medical, Inc. (a)

    2,367       57,329  

AxoGen, Inc. (a)

    10,011       131,645  

Bioventus, Inc. - Class A (a)

    45,903       461,325  

Brooks Automation, Inc. (a)

    2,595       128,504  

CareDx, Inc. (a)

    52,167       1,603,092  

CryoLife, Inc. (a)

    3,328       90,322  

Embecta Corp.

    91,863       1,501,041  

Enovis Corp. (a)

    34,807       1,622,006  

Envista Holdings Corp. (a)

    20,054       366,186  

Exact Sciences Corp. (a)

    9,826       606,166  

Glaukos Corp. (a)

    2,161       289,336  

Haemonetics Corp. (a)

    3,260       246,391  

ICU Medical, Inc. (a)

    1,637       270,645  

 

 

The accompanying notes are an integral part of the financial statements.
4

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Healthcare-Products — (Continued)

Lantheus Holdings, Inc. (a)

    7,694     $ 819,180  

LeMaitre Vascular, Inc.

    20,021       1,807,696  

Masimo Corp. (a)

    2,530       297,326  

Merit Medical Systems, Inc. (a)

    3,088       298,548  

Omnicell, Inc. (a)

    26,926       1,197,668  

OrthoPediatrics Corp. (a)

    1,874       59,874  

Patterson Cos., Inc.

    42,763       961,740  

PROCEPT BioRobotics Corp. (a)

    25,235       1,993,565  

Quanterix Corp. (a)

    55,901       728,390  

QuidelOrtho Corp. (a)

    1,265       53,446  

Repligen Corp. (a)

    9,406       1,419,648  

RxSight, Inc. (a)

    16,602       936,187  

SI-BONE, Inc. (a)

    55,882       928,759  

Stevanato Group SpA

    32,936       720,640  

Surmodics, Inc. (a)

    2,311       91,585  

Tandem Diabetes Care, Inc. (a)

    25,674       1,116,819  

TransMedics Group, Inc. (a)

    28,131       4,727,696  

Twist Bioscience Corp. (a)

    22,009       951,669  

West Pharmaceutical Services, Inc.

    2,836       889,455  
              27,999,726  

Healthcare-Services — 1.0%

Amedisys, Inc. (a)

    2,182       213,858  

Chemed Corp.

    621       364,012  

CorVel Corp. (a)

    432       138,555  

Ensign Group, Inc.

    2,982       451,355  

GeneDx Holdings Corp. (a)

    33,844       1,080,977  

HealthEquity, Inc. (a)

    1,801       143,288  

MEDNAX, Inc. (a)

    54,613       593,097  

National HealthCare Corp.

    3,006       412,213  

RadNet, Inc. (a)

    17,713       1,174,195  

Surgery Partners, Inc. (a)

    45,509       1,454,013  

US Physical Therapy, Inc.

    2,284       195,510  
              6,221,073  

Home Builders — 1.4%

Cavco Industries, Inc. (a)

    624       257,912  

Century Communities, Inc.

    26,904       2,692,283  

Champion Homes, Inc. (a)

    7,793       727,944  

Installed Building Products, Inc.

    7,526       1,673,105  

LCI Industries

    2,012       237,094  

LGI Homes, Inc. (a)

    17,409       1,878,083  

M/I Homes, Inc. (a)

    5,874       936,139  

Winnebago Industries, Inc.

    5,231       312,082  
              8,714,642  

Home Furnishings — 1.1%

Ethan Allen Interiors, Inc.

    3,342       105,206  

Hamilton Beach Brands Holding Co. - Class A

    130,070       3,809,750  

Leggett & Platt, Inc.

    19,427       245,557  

Sleep Number Corp. (a)

    151,370       2,302,338  

Universal Electronics, Inc. (a)

    12,430       115,848  
              6,578,699  

 

 

   

Shares

   

Value

 

Household Products/Wares — 0.1%

Central Garden & Pet Co. (a)

    1,215     $ 47,956  

Central Garden & Pet Co. - Class A (a)

    303       10,363  

Quanex Building Products Corp.

    1,957       54,072  

WD-40 Co.

    1,574       413,710  
              526,101  

Housewares — 0.2%

Lifetime Brands, Inc.

    204,693       1,463,555  
                 

Insurance — 4.0%

Axis Capital Holdings Ltd.

    32,809       2,620,783  

Bowhead Specialty Holdings, Inc. (a)

    22,415       694,417  

Employers Holdings, Inc.

    3,627       173,915  

Genworth Financial, Inc. - Class A (a)

    386,192       2,695,620  

HCI Group, Inc.

    19,822       1,899,542  

Heritage Insurance Holdings, Inc. (a)

    218,145       3,518,679  

Mercury General Corp.

    29,514       1,954,712  

NMI Holdings, Inc. - Class A (a)

    20,517       842,633  

Palomar Holdings, Inc. (a)

    21,706       2,153,669  

RLI Corp.

    1,478       227,760  

Root, Inc./OH (a)

    13,259       574,910  

Safety Insurance Group, Inc.

    2,323       205,702  

Selective Insurance Group, Inc.

    3,866       351,729  

Skyward Specialty Insurance Group, Inc. (a)

    36,869       1,506,836  

Stewart Information Services Corp.

    2,200       162,602  

TWFG, Inc. (a)

    27,578       790,661  

White Mountains Insurance Group Ltd.

    2,104       3,880,281  
              24,254,451  

Internet — 1.9%

Bandwidth, Inc. - Class A (a)

    3,584       61,502  

Bumble, Inc. - Class A (a)

    19,547       131,160  

ePlus, Inc. (a)

    16,707       1,603,204  

EverQuote, Inc. - Class A (a)

    36,362       898,141  

HealthStream, Inc.

    2,700       78,408  

Magnite, Inc. (a)

    130,299       1,796,823  

Maplebear, Inc. (a)

    18,454       662,314  

MediaAlpha, Inc. - Class A (a)

    69,663       1,240,001  

Q2 Holdings, Inc. (a)

    15,808       1,173,112  

QuinStreet, Inc. (a)

    83,054       1,587,162  

TripAdvisor, Inc. (a)

    77,819       1,129,154  

Yelp, Inc. (a)

    27,842       972,521  
              11,333,502  

Investment Companies — 0.9%

Cannae Holdings, Inc.

    115,910       2,320,518  

Core Scientific, Inc. (a)

    101,881       1,051,412  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Investment Companies — (Continued)

HA Sustainable Infrastructure Capital, Inc.

    2,522     $ 81,663  

Terawulf, Inc. (a)

    409,223       1,784,212  
              5,237,805  

Iron/Steel — 0.4%

ATI, Inc. (a)

    7,199       459,872  

Carpenter Technology Corp.

    11,908       1,723,921  
              2,183,793  

Leisure Time — 0.8%

Callaway Golf Co. (a)

    4,678       47,061  

Lindblad Expeditions Holdings, Inc. (a)

    110,663       1,097,777  

OneSpaWorld Holdings Ltd.

    192,698       3,058,117  

Vista Outdoor, Inc. (a)

    14,337       574,053  
              4,777,008  

Lodging — 0.1%

Boyd Gaming Corp.

    4,776       286,656  

Marcus Corp.

    4,068       57,562  
              344,218  

Machinery-Construction & Mining — 0.6%

Argan, Inc.

    17,226       1,366,194  

Bloom Energy Corp. - Class A (a)

    56,664       674,868  

BWX Technologies, Inc.

    13,301       1,370,003  
              3,411,065  

Machinery-Diversified — 1.7%

Albany International Corp. - Class A

    1,126       106,024  

Applied Industrial Technologies, Inc.

    9,309       1,909,462  

Chart Industries, Inc. (a)

    10,418       1,275,163  

Flowserve Corp.

    18,736       934,552  

Kornit Digital Ltd. (a)

    22,417       416,508  

Lindsay Corp.

    8,905       1,104,665  

Mueller Water Products, Inc. - Class A

    68,820       1,477,566  

Tennant Co.

    2,414       235,775  

Toro Co.

    5,348       495,225  

Twin Disc, Inc.

    185,495       2,441,114  
              10,396,054  

Media — 0.2%

Cable One, Inc.

    2,021       712,847  

Scholastic Corp.

    3,196       101,889  

Sinclair, Inc.

    17,962       250,031  
              1,064,767  

Metal Fabricate/Hardware — 1.0%

AZZ, Inc.

    1,964       163,346  

Mueller Industries, Inc.

    11,950       868,885  

NN, Inc. (a)

    179,350       706,639  

Northwest Pipe Co. (a)

    90,440       3,977,551  

Standex International Corp.

    1,485       265,295  
              5,981,716  

 

 

   

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Value

 

Mining — 0.4%

Century Aluminum Co. (a)

    18,637     $ 267,627  

Hudbay Minerals, Inc.

    117,450       958,392  

Uranium Energy Corp. (a)

    186,285       974,271  
              2,200,290  

Miscellaneous Manufacturing — 1.3%

Axon Enterprise, Inc. (a)

    5,340       1,948,940  

Enpro, Inc.

    4,961       797,878  

Fabrinet (a)

    6,565       1,599,562  

Federal Signal Corp.

    19,386       1,831,783  

John Bean Technologies Corp.

    2,493       223,971  

Materion Corp.

    2,877       333,847  

Myers Industries, Inc.

    2,441       37,323  

Park Aerospace Corp.

    92,759       1,253,174  
              8,026,478  

Office Furnishings — 0.0%(c)

Interface, Inc.

    11,644       219,839  
                 

Office-Business Equipment — 0.0%(c)

Pitney Bowes, Inc.

    13,705       96,894  

Xerox Holdings Corp.

    5,285       59,879  
              156,773  

Oil & Gas — 1.4%

Delek US Holdings, Inc.

    74,046       1,512,019  

Evolution Petroleum Corp.

    97,583       502,552  

Gulfport Energy Corp. (a)

    4,653       674,964  

Helmerich & Payne, Inc.

    4,567       149,021  

Patterson-UTI Energy, Inc.

    112,890       1,039,717  

PBF Energy, Inc. - Class A

    5,245       178,645  

Range Resources Corp.

    29,237       873,602  

SM Energy Co.

    50,967       2,325,624  

Southwestern Energy Co. (a)

    112,602       718,401  

Talos Energy, Inc. (a)

    23,929       274,466  
              8,249,011  

Oil & Gas Services — 2.1%

Atlas Energy Solutions, Inc.

    46,686       984,608  

Bristow Group, Inc. (a)

    14,268       568,009  

DMC Global, Inc. (a)

    141,490       1,750,231  

DNOW, Inc. (a)

    49,547       645,102  

Dril-Quip, Inc. (a)

    3,691       60,200  

Helix Energy Solutions Group, Inc. (a)

    41,891       470,017  

Kodiak Gas Services, Inc.

    38,328       1,063,602  

Natural Gas Services Group, Inc. (a)

    172,070       3,773,495  

Oceaneering International, Inc. (a)

    35,309       952,990  

Oil States International, Inc. (a)

    10,966       58,010  

Profire Energy, Inc. (a)

    616,440       1,146,578  

Tidewater, Inc. (a)

    11,945       1,059,522  
              12,532,364  

 

 

The accompanying notes are an integral part of the financial statements.
6

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Packaging & Containers — 0.3%

Clearwater Paper Corp. (a)

    2,737     $ 91,060  

Ranpak Holdings Corp. (a)

    61,877       438,708  

TriMas Corp.

    49,490       1,262,490  
              1,792,258  

Pharmaceuticals — 2.2%

Amphastar Pharmaceuticals, Inc. (a)

    6,771       330,019  

Avadel Pharmaceuticals PLC (a)

    34,030       516,235  

Centessa Pharmaceuticals PLC - ADR (a)

    84,356       1,138,806  

Collegium Pharmaceutical, Inc. (a)

    2,619       100,727  

Corcept Therapeutics, Inc. (a)

    3,332       117,620  

GoodRx Holdings, Inc. - Class A (a)

    26,236     207,264  

KalVista Pharmaceuticals Inc. (a)

    39,035       522,679  

Longboard Pharmaceuticals, Inc. (a)

    38,635       1,393,951  

Madrigal Pharmaceuticals, Inc. (a)

    334       82,541  

MERUS NV (a)

    25,656       1,308,199  

Option Care Health, Inc. (a)

    27,715       887,434  

Organon & Co.

    24,924       557,051  

Owens & Minor, Inc. (a)

    3,772       58,617  

Premier, Inc. - Class A

    15,550       316,754  

Protagonist Therapeutics, Inc. (a)

    24,673       1,058,225  

Rhythm Pharmaceuticals, Inc. (a)

    46,170       2,183,379  

Vaxcyte, Inc. (a)

    30,021       2,424,496  
              13,203,997  

Pipelines — 0.1%

Golar LNG Ltd.

    24,280       808,281  
                 

Private Equity — 0.3%

P10, Inc. - Class A

    202,622       2,036,351  
                 

Real Estate — 0.7%

Marcus & Millichap, Inc.

    2,121       84,140  

McGrath RentCorp

    31,732       3,431,816  

Newmark Group, Inc. - Class A

    50,432       697,474  
              4,213,430  

REITS — 2.4%

Agree Realty Corp.

    1,641       119,809  

Alexander & Baldwin, Inc.

    4,543       89,906  

Alpine Income Property Trust, Inc.

    106,224       2,022,505  

American Assets Trust, Inc.

    14,803       403,382  

Apollo Commercial Real Estate Finance, Inc.

    44,054       466,532  

Ares Commercial Real Estate Corp.

    9,618       67,903  

 

 

   

Shares

   

Value

 

REITS — (Continued)

Blackstone Mortgage Trust, Inc. - Class A

    6,106     $ 112,717  

CareTrust REIT, Inc.

    7,113       212,536  

Centerspace

    2,329       174,209  

Chatham Lodging Trust

    17,141       146,727  

DiamondRock Hospitality Co.

    13,130       115,413  

EastGroup Properties, Inc.

    2,590       482,776  

Getty Realty Corp.

    5,173       164,398  

Gladstone Commercial Corp.

    10,245       156,646  

Global Medical REIT, Inc.

    179,420       1,670,400  

Global Net Lease, Inc.

    24,433       210,613  

Great Ajax Corp.

    1       3  

Highwoods Properties, Inc.

    6,502       209,494  

Hudson Pacific Properties, Inc.

    40,168       206,865  

Kite Realty Group Trust

    7,450       194,296  

KKR Real Estate Finance Trust, Inc.

    8,788       104,841  

Lexington Realty Trust

    12,112       125,480  

New York Mortgage Trust, Inc.

    54,936       366,423  

NexPoint Residential Trust, Inc.

    2,074       98,100  

Office Properties Income Trust

    471,600       1,037,520  

Outfront Media, Inc.

    50,443       860,053  

PennyMac Mortgage Investment Trust

    24,404       346,781  

Piedmont Office Realty Trust, Inc. - Class A

    69,495       678,271  

PotlatchDeltic Corp.

    1,462       63,539  

Ready Capital Corp.

    6,588       54,615  

Redwood Trust, Inc.

    77,920       589,854  

Regency Centers Corp.

    2,758       200,479  

Retail Opportunity Investments Corp.

    28,261       432,111  

Saul Centers, Inc.

    3,903       159,321  

Tanger, Inc.

    33,410       1,017,000  

TPG RE Finance Trust, Inc.

    8,617       78,070  

Two Harbors Investment Corp.

    32,432       459,237  

Uniti Group, Inc.

    49,540       215,994  

Universal Health Realty Income Trust

    1,240       55,676  

Whitestone REIT

    14,111       189,370  
              14,359,865  

Retail — 5.2%

Abercrombie & Fitch Co. - Class A (a)

    6,754       996,688  

Advance Auto Parts, Inc.

    37,906       1,717,521  

Asbury Automotive Group, Inc. (a)

    5,805       1,425,940  

Beacon Roofing Supply, Inc. (a)

    2,386       216,172  

BJ’s Restaurants, Inc. (a)

    7,047       215,850  

BJ’s Wholesale Club Holdings, Inc. (a)

    16,361       1,308,226  

Bloomin’ Brands, Inc.

    20,453       357,927  

Boot Barn Holdings, Inc. (a)

    12,397       1,663,305  

Buckle, Inc.

    2,951       123,647  

 

 

The accompanying notes are an integral part of the financial statements.
7

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Continued)

as of August 31, 2024

 

   

Shares

   

Value

 

Retail — (Continued)

Build-A-Bear Workshop, Inc.

    123,830     $ 4,133,445  

Casey’s General Stores, Inc.

    1,888       684,041  

Chuy’s Holdings, Inc. (a)

    3,285       122,202  

Dine Brands Global, Inc.

    1,749       55,303  

Dutch Bros, Inc. - Class A (a)

    20,138       624,278  

FirstCash Holdings, Inc.

    2,930       351,864  

Five Below, Inc. (a)

    3,696       278,789  

Foot Locker, Inc.

    10,261       319,527  

Freshpet, Inc. (a)

    7,016       954,176  

Group 1 Automotive, Inc.

    2,270       855,245  

Guess?, Inc.

    12,246       253,737  

Lithia Motors, Inc.

    382       115,013  

MSC Industrial Direct Co., Inc. - Class A

    9,537       784,323  

Murphy USA, Inc.

    5,937       3,085,043  

Nu Skin Enterprises, Inc. - Class A

    15,436       137,843  

Ollie’s Bargain Outlet Holdings, Inc. (a)

    11,755       1,052,778  

Papa John’s International, Inc.

    35,361       1,675,051  

PriceSmart, Inc.

    1,079       96,657  

Red Robin Gourmet Burgers, Inc. (a)

    374,550       1,310,925  

RH (a)

    2,399       608,626  

Shoe Carnival, Inc.

    6,304       254,934  

Signet Jewelers Ltd.

    5,100       428,910  

Sweetgreen, Inc. - Class A (a)

    72,355       2,287,142  

Texas Roadhouse, Inc.

    10,485       1,769,344  

Warby Parker, Inc. - Class A (a)

    58,227       868,747  

Zumiez, Inc. (a)

    3,290       91,265  
              31,224,484  

Savings & Loans — 1.3%

Axos Financial, Inc. (a)

    3,461       240,297  

Banc of California, Inc.

    1,873       26,634  

Berkshire Hills Bancorp, Inc.

    17,583       484,236  

Eagle Bancorp Montana, Inc.

    63,570       953,550  

Flushing Financial Corp.

    4,361       63,671  

FS Bancorp, Inc.

    86,404       3,787,087  

Home Bancorp, Inc.

    9,600       428,736  

Northfield Bancorp, Inc.

    9,880       119,746  

Northwest Bancshares, Inc.

    5,826       80,690  

OceanFirst Financial Corp.

    11,427       204,201  

Pacific Premier Bancorp, Inc.

    8,033       206,448  

Provident Financial Services, Inc.

    15,571       296,939  

Riverview Bancorp, Inc.

    242,220       1,119,056  
              8,011,291  

Semiconductors — 3.3%

Advanced Energy Industries, Inc.

    2,466       261,618  

Aehr Test Systems (a)

    50,293       764,957  

Allegro MicroSystems, Inc. (a)

    33,952       832,843  

Amtech Systems, Inc. (a)

    251,750       1,601,130  

Astera Labs, Inc. (a)

    10,085       434,260  

 

 

   

Shares

   

Value

 

Semiconductors — (Continued)

Axcelis Technologies, Inc. (a)

    4,011     $ 438,523  

AXT, Inc. (a)

    445,790       1,181,344  

CEVA, Inc. (a)

    2,534       60,664  

Cirrus Logic, Inc. (a)

    3,525       513,557  

FormFactor, Inc. (a)

    27,224       1,327,715  

inTEST Corp. (a)

    191,070       1,368,061  

Kulicke & Soffa Industries, Inc.

    6,419       281,216  

Lattice Semiconductor Corp. (a)

    7,687       364,056  

MKS Instruments, Inc.

    1,371       163,464  

Monolithic Power Systems, Inc.

    1,952       1,824,495  

Onto Innovation, Inc. (a)

    3,032       646,483  

Photronics, Inc. (a)

    7,595       196,407  

Power Integrations, Inc.

    22,307       1,496,800  

Semtech Corp. (a)

    38,142       1,671,382  

SiTime Corp. (a)

    15,324       2,216,770  

SkyWater Technology, Inc. (a)

    50,552       453,451  

Veeco Instruments, Inc. (a)

    45,943       1,630,517  
              19,729,713  

Software — 4.1%

ACI Worldwide, Inc. (a)

    33,768       1,700,557  

ACV Auctions, Inc. - Class A (a)

    88,968       1,664,591  

Agilysys, Inc. (a)

    15,762       1,782,682  

Alkami Technology, Inc. (a)

    78,783       2,626,625  

Appfolio, Inc. - Class A (a)

    2,368       549,352  

Asure Software, Inc. (a)

    238,760       2,050,949  

AvePoint, Inc. (a)

    134,796       1,556,894  

BILL Holdings, Inc. (a)

    12,279       669,942  

Blackbaud, Inc. (a)

    799       66,796  

BlackLine, Inc. (a)

    18,735       928,319  

Blend Labs, Inc. - Class A (a)

    183,975       675,188  

BM Technologies, Inc. (a)

    215,920       654,367  

Cogent Communications Holdings, Inc.

    1,297       90,764  

Concentrix Corp.

    830       62,441  

Confluent, Inc. - Class A (a)

    18,205       386,310  

CSG Systems International, Inc.

    2,939       142,600  

DoubleVerify Holdings, Inc. (a)

    28,360       558,692  

Five9, Inc. (a)

    14,318       461,756  

Genasys, Inc. (a)

    350,770       1,094,402  

Gitlab, Inc. - Class A (a)

    10,369       491,491  

Global-e Online Ltd. (a)

    16,785       577,740  

JFrog Ltd. (a)

    30,890       857,506  

LiveRamp Holdings, Inc. (a)

    5,117       132,633  

PDF Solutions, Inc. (a)

    1,842       58,115  

Privia Health Group, Inc. (a)

    48,904       984,927  

Procore Technologies, Inc. (a)

    8,529       505,514  

Progress Software Corp.

    5,306       308,544  

Smartsheet, Inc. - Class A (a)

    19,548       953,942  

SPS Commerce, Inc. (a)

    800       159,792  

Take-Two Interactive Software, Inc. (a)

    3,504       566,632  

Vertex, Inc. - Class A (a)

    30,793       1,191,381  
              24,511,444  

 

 

The accompanying notes are an integral part of the financial statements.
8

 

 

ADARA SMALLER COMPANIES FUND

 


Schedule of Investments (Concluded)

as of August 31, 2024

 

   

Shares

   

Value

 

Telecommunications — 0.9%

Calix, Inc. (a)

    43,743     $ 1,628,989  

Credo Technology Group Holding Ltd. (a)

    57,629       2,011,828  

IDT Corp. - Class B

    3,111       119,338  

InterDigital, Inc.

    869       120,409  

Iridium Communications, Inc.

    9,628       248,403  

Lumen Technologies, Inc. (a)

    73,749       387,182  

NetGear, Inc. (a)

    7,443       120,800  

Telephone & Data Systems, Inc.

    10,347       244,396  

United States Cellular Corp. (a)

    8,331       463,370  

Viavi Solutions, Inc. (a)

    23,640       203,541  
              5,548,256  

Textiles — 0.5%

UniFirst Corp.

    17,613       3,341,010  
                 

Toys/Games/Hobbies — 0.4%

Funko, Inc. - Class A (a)

    7,565       79,205  

JAKKS Pacific, Inc. (a)

    87,670       2,160,189  
              2,239,394  

Transportation — 1.2%

Air Transport Services Group, Inc. (a)

    144,919       2,443,334  

ArcBest Corp.

    7,779       826,908  

Knight-Swift Transportation Holdings, Inc.

    1,873       98,108  

Marten Transport Ltd.

    7,327       127,856  

PAM Transportation Services, Inc. (a)

    41,286       748,928  

RXO, Inc. (a)

    28,489       810,797  

Saia, Inc. (a)

    4,008       1,506,327  

Scorpio Tankers, Inc.

    4,242       303,473  

World Kinect Corp.

    22,898       659,233  
              7,524,964  

Water — 0.0%(c)

               

American States Water Co.

    1,758       143,137  

California Water Service Group

    1,969       108,946  
              252,083  

TOTAL COMMON STOCKS (Cost $372,531,459)

            562,566,101  
                 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 6.8%

Money Market Funds — 6.8%

               

First American Treasury Obligations Fund - Class X, 5.18% (d)

    41,234,687     $ 41,234,687  

TOTAL SHORT-TERM INVESTMENTS (Cost $41,234,687)

            41,234,687  
                 

TOTAL INVESTMENTS — 100.0% (Cost $413,766,146)

            603,800,788  

Other Assets in Excess of Liabilities — 0.0% (c)

            95,017  

TOTAL NET ASSETS — 100.0%

          $ 603,895,805  

 

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt

NV

Naamloze Vennootschap

PLC

Public Limited Company

REIT

Real Estate Investment Trust

SA

Sociedad Anónima

(a)

Non-income producing security.

(b)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of August 31, 2024.

(c)

Represents less than 0.05% of net assets.

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the financial statements.
9

 

 

ADARA SMALLER COMPANIES FUND

 


STATEMENT of Assets and Liabilities

August 31, 2024

 

ASSETS

       

Investments, at value (cost $372,531,459)

  $ 562,566,101  

Short-term investments, at value (cost $41,234,687)

    41,234,687  

Receivables for:

       

Investments sold

    1,138,778  

Dividends and interest

    410,753  

Capital shares sold

    144,940  

Prepaid expenses and other assets

    24,727  

Total assets

    605,519,986  
         

LIABILITIES

       

Payables for:

       

Investments purchased

    1,089,480  

Capital shares redeemed

    40,020  

Sub-advisory fees

    321,947  

Other accrued expenses and liabilities

    172,734  

Total liabilities

    1,624,181  

Net assets

  $ 603,895,805  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 34,110  

Paid-in capital

    405,659,342  

Total distributable earnings/(loss)

    198,202,353  

Net assets

  $ 603,895,805  
         

CAPITAL SHARES:

       

Net Assets

    603,895,805  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    34,109,721  

Net asset value, offering and redemption price per share

  $ 17.70  

 

 

The accompanying notes are an integral part of the financial statements.
10

 

 

ADARA SMALLER COMPANIES FUND

 


Statement of Operations

FOR THE year ENDED August 31, 2024

 

INVESTMENT INCOME

       

Dividends (net of foreign taxes withheld of $23,927)

  $ 5,064,875  

Interest income

    1,338,131  

Total investment income

    6,403,006  
         

EXPENSES

       

Sub-advisory fees (Note 2)

    3,593,122  

Administration and accounting services fees (Note 2)

    162,187  

Director fees

    67,884  

Investment management fees (Note 2)

    65,747  

Officer fees

    49,455  

Legal fees

    41,542  

Custodian fees (Note 2)

    40,672  

Transfer agent fees (Note 2)

    38,362  

Audit fees and tax services

    36,648  

Registration and filing fees

    26,911  

Printing and shareholder reporting fees

    7,983  

Other expenses

    50,538  

Total expenses

    4,181,051  

Net investment income/(loss)

    2,221,955  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from investments

    16,525,110  

Net change in unrealized appreciation/(depreciation) on investments

    64,759,495  

Net realized and unrealized gain/(loss) on investments

    81,284,605  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 83,506,560  

 

 

The accompanying notes are an integral part of the financial statements.
11

 

 

ADARA SMALLER COMPANIES FUND

 


Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS

               

Net investment income/(loss)

  $ 2,221,955     $ 2,272,289  

Net realized gain/(loss) from investments

    16,525,110       (1,023,542 )

Net change in unrealized appreciation/(depreciation) on investments

    64,759,495       27,357,651  

Net increase/(decrease) in net assets resulting from operations

    83,506,560       28,606,398  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (3,000,495 )     (1,462,252 )

Net decrease in net assets from dividends and distributions to shareholders

    (3,000,495 )     (1,462,252 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    59,868,759       48,697,828  

Reinvestment of distributions

    2,676,590       1,335,449  

Shares redeemed

    (21,595,709 )     (36,215,013 )

Net increase/(decrease) in net assets resulting from capital share transactions

    40,949,640       13,818,264  

Total increase/(decrease) in net assets

    121,455,705       40,962,410  
                 

NET ASSETS:

               

Beginning of period

  $ 482,440,100     $ 441,477,690  

End of period

  $ 603,895,805     $ 482,440,100  
                 

SHARE TRANSACTIONS:

               

Shares sold

    3,700,174       3,378,762  

Shares reinvested

    178,202       93,193  

Shares redeemed

    (1,393,206 )     (2,526,832 )

Net increase/(decrease) in shares

    2,485,170       945,123  

 

 

The accompanying notes are an integral part of the financial statements.
12

 

 

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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 15.26     $ 14.39     $ 21.47     $ 13.73     $ 12.89  

Net investment income/(loss)(1)

    0.07       0.07       0.02       (0.03 )     (0.01 )

Net realized and unrealized gain/(loss) from investments

    2.46       0.85       (2.88 )     7.99       1.33  

Net increase/(decrease) in net assets resulting from operations

    2.53       0.92       (2.86 )     7.96       1.32  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.09 )     (0.05 )                  

Net realized capital gains

                (4.22 )     (0.22 )     (0.48 )

Total dividends and distributions to shareholders

    (0.09 )     (0.05 )     (4.22 )     (0.22 )     (0.48 )

Net asset value, end of period

  $ 17.70     $ 15.26     $ 14.39     $ 21.47     $ 13.73  

Total investment return/(loss)(2)

    16.72 %     6.40 %     (16.93 )%     58.41 %     10.47 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 603,896     $ 482,440     $ 441,478     $ 536,177     $ 361,442  

Ratio of expenses to average net assets

    0.80 %     0.82 %     0.84 %     0.84 %     0.90 %

Ratio of net investment income/(loss) to average net assets

    0.43 %     0.50 %     0.10 %     (0.18 )%     (0.08 )%

Portfolio turnover rate

    58 %     56 %     56 %     75 %     101 %

 

 

(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.

 

The accompanying notes are an integral part of the financial statements.
13

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Adara Smaller Companies Fund (the “Fund”), which commenced investment operations on October 21, 2014.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued by the Adviser, as Valuation Designee, in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.    

 

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

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

August 31, 2024

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments:

                               

Common Stocks

  $ 562,566,101     $     $ (a)    $ 562,566,101  

Money Market Funds

    41,234,687                   41,234,687  

Total Investments

  $ 603,800,788     $     $ (a)    $ 603,800,788  

 

(a)

Amount is less than $0.50.

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no significant Level 3 transfers.

 

REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s

 

15

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

August 31, 2024

 

investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Driehaus Capital Management, LLC, Pacific Ridge Capital Partners, LLC, Pier Capital, LLC and River Road Asset Management, LLC each serve as an investment sub-adviser (“Sub-Adviser”) to the Fund.

 

The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Company on behalf of the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s sub-advised average daily net assets (the “Sub-Advisory Fee”), not to exceed 1.00%, payable on a monthly basis in arrears.

 

During the current fiscal period, collectively, sub-advisory fees accrued were $3,593,122, or the rate of 0.69%.

 

The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for out-of-pocket expenses it incurs in connection with its compliance monitoring of Fund trading, up to 0.01% of the Fund’s average daily net assets. During the current fiscal period, the Fund paid the Adviser $65,747. This amount is included in Investment management fees on the Statement of Operations.

 

16

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

August 31, 2024

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

PURCHASES

SALES

$318,051,378

$281,438,473

 

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, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

FEDERAL
TAX COST

UNREALIZED
APPRECIATION

UNREALIZED
(DEPRECIATION)

Net Unrealized
Appreciation/
(Depreciation)

$419,504,658

$208,035,895

$(22,223,468)

$185,812,427

 

17

 

 

ADARA SMALLER COMPANIES FUND

 


NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

August 31, 2024

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

UNDISTRIBUTED
ORDINARY
INCOME

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

CAPITAL LOSS
CARRYFORWARDS

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

QUALIFIED
LATE-YEAR
LOSSES

$4,347,162

$8,042,764

$—

$185,812,427

$—

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2024 and August 31, 2023 was as follows:

 

         

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

 
    2024     $ 3,000,495     $     $ 3,000,495  
    2023     $ 1,462,252     $     $ 1,462,252  

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024.

 

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, 2024, the Fund had short-term capital loss carryforwards of $0.

 

6. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events.

 

18

 

 

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 schedule of investments, of Adara Smaller Companies Fund (one of the funds constituting The RBB Fund, Inc., hereafter referred to as the “Fund”) as of August 31, 2024, the related statement of operations for the year ended August 31, 2024, the statement of changes in net assets for each of the two years in the period ended August 31, 2024, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2024 (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, 2024, 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, 2024 and the financial highlights for each of the five years in the period ended August 31, 2024 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, 2024 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.

 

/s/PricewaterhouseCoopers LLP

 

Philadelphia, Pennsylvania
October 29, 2024

 

We have served as the auditor of one or more Altair Advisers, LLC investment companies since 2015.

 

19

 

 

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the following dividends and distributions were paid by the Fund:

 

Ordinary
income

long-term
gains

$3,000,495

$—

 

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, 2024 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:

 

Adara Smaller Companies Fund

78.62%

 

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

77.47%

 

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

0%

 

Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

20

 

 

ADARA SMALLER COMPANIES FUND

 


Other Information (Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (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, 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, 2024 (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 ending August 16, 2025. 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 arrangements. 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 between the Company and Altair with respect to the Fund, and the renewal and approval of the Sub-Advisory Agreements among the Company, Altair and each of the Sub-Advisers 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. The Directors reviewed these materials with management of Altair, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of Altair or the Sub-Advisers were present. 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, as applicable; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its 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 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.

 

The Directors also considered the investment performance of the Fund, noting that the Fund had outperformed its benchmark, the Russell 2000 Index, for the three-year, five-year, and since-inception periods ended December 31, 2023, and underperformed the benchmark for the three-month and one-year periods ended December 31, 2023. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Board noted that the Fund’s total return outperformed the median of its Peer Group for the three-year, five-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement and Sub-Advisory Agreements. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratios were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that the Fund’s net advisory fee was below the median and in the 2nd quartile of its Peer Group and the Fund’s total net expenses were below the median and in the 1st quartile (least expensive) of its Peer Group. The Directors considered that the Fund does not pay a contractual management fee to Altair, but instead

 

21

 

 

ADARA SMALLER COMPANIES FUND

 


Other Information (Unaudited) (CONCLUDED)

 

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 reimbursement to be made 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, 2025.

 

22

 

 

Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

 

AQUARIUS INTERNATIONAL FUND

 

of

 

The RBB Fund, Inc.

 

FINANCIAL STATEMENTS

 

August 31, 2024

 

 

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

 


SCHEDULE HOLDINGS SUMMARY TABLE

AUGUST 31, 2024

 

The following table presents a summary by country of the schedule holdings of the Fund:

 

Country

 

% of Net
Assets

   

Value

 

COMMON STOCKS

               

Argentina

    0.1 %   $ 579,324  

Australia

    0.6       3,612,454  

Austria

    0.3       1,727,788  

Belgium

    0.5       3,137,548  

Bermuda

    1.1       6,622,692  

Brazil

    1.5       8,477,658  

Canada

    3.4       19,890,807  

Cayman Islands

    0.1       542,609  

Chile

    0.0       261,291  

China

    3.2       18,800,522  

Colombia

    0.0       46,789  

Denmark

    2.2       12,758,164  

Finland

    1.6       9,492,991  

France

    7.0       40,504,802  

Germany

    4.7       27,300,484  

Greece

    0.3       1,583,432  

Hong Kong

    0.4       2,143,989  

Hungary

    0.1       714,688  

India

    4.4       25,780,331  

Indonesia

    0.4       2,232,978  

Ireland

    2.4       13,856,161  

Israel

    0.3       1,471,978  

Italy

    2.6       15,285,549  

Japan

    11.6       67,305,144  

Jordan

    0.2       1,285,982  

Kazakhstan

    0.3       1,548,247  

Luxembourg

    0.2       1,059,244  

Malaysia

    0.1       600,645  

Mexico

    0.7       3,844,342  

Netherlands

    5.4       31,630,490  

New Zealand

    0.0       206,522  

Norway

    0.9       5,054,958  

Peru

    0.2       1,034,430  

Philippines

    0.2       1,172,593  

Poland

    0.2       978,596  

Portugal

    0.1       635,973  

Russia

    0.0       20  

Saudi Arabia

    0.3       1,767,660  

Singapore

    0.7       4,323,842  

South Africa

    0.5       2,773,586  

South Korea

    5.1       29,524,910  

Spain

    0.5       2,734,041  

Sweden

    0.4       2,223,238  

Switzerland

    3.7       21,586,783  

Taiwan

    4.1       23,575,469  

Turkey

    0.3       2,018,508  

United Arab Emirates

    0.4       2,277,575  

United Kingdom

    17.6       102,186,076  

United States

    2.0       11,573,554  

Uruguay

    0.4       2,168,320  

PREFERRED STOCKS

               

Germany

    0.0       36,584  

RIGHTS

               

South Korea

    0.0       1,733  

SHORT-TERM INVESTMENTS

               

United States

    6.0       35,103,660  

OTHERS ASSETS IN EXCESS OF LIABILITIES

    0.8       4,376,548  
      100.0 %   $ 581,434,302  

 

 

Schedule holdings are subject to change at any time.

 

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

 

1

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

COMMON STOCKS — 93.2%

               

Advertising — 0.1%

               

Dentsu Group, Inc.

    1,800     $ 55,357  

Publicis Groupe SA

    2,188       241,322  

WPP PLC

    3,536       33,871  
              330,550  

Aerospace/Defense — 4.0%

               

Airbus Group SE

    9,103       1,398,353  

BAE Systems PLC

    589,333       10,596,093  

BAE Systems PLC - ADR

    1,742       124,588  

CAE, Inc.(a)

    1,578       28,214  

Dassault Aviation SA

    263       56,664  

Elbit Systems Ltd.

    666       136,104  

Embraer SA, SP ADR - ADR(a)

    8,603       285,878  

Hanwha Aerospace Co. Ltd.

    1,699       369,711  

Hindustan Aeronautics Ltd.

    7,981       445,761  

MTU Aero Engines AG - ADR

    562       83,772  

Rheinmetall AG

    9,546       5,734,763  

Rolls-Royce Holdings PLC(a)

    6,406       42,000  

Safran SA

    580       127,099  

Thales SA

    22,874       3,843,084  
              23,272,084  

Agriculture — 0.1%

               

British American Tobacco PLC - ADR

    7,782       292,370  

Imperial Brands PLC - ADR

    3,146       90,290  

Japan Tobacco, Inc.

    6,900       199,205  

RLX Technology, Inc. - ADR

    23,295       39,368  

Wilmar International Ltd.

    16,500       39,686  
              660,919  

Airlines — 0.1%

               

ANA Holdings, Inc.

    1,800       36,385  

InterGlobe Aviation Ltd.(a)(b)

    6,327       363,950  

Japan Airlines Co. Ltd.

    3,000       50,370  
              450,705  

Apparel — 0.8%

               

Adidas AG

    273       70,042  

Gildan Activewear, Inc.

    5,757       262,692  

Hermes International SCA

    80       191,477  

Kering SA

    127       36,418  

LVMH Moet Hennessy Louis Vuitton SE - ADR

    2,000       298,140  

LVMH Moet Hennessy Louis Vuitton SE

    4,940       3,676,924  
              4,535,693  

Auto Manufacturers — 1.7%

               

Bayerische Motoren Werke AG - ADR

    3,309       102,215  

Bayerische Motoren Werke AG

    369       34,245  

BYD Co. Ltd. - Class H

    4,000       122,508  

Daimler AG

    3,623       249,716  

 

 

   

Shares

   

Value

 

Auto Manufacturers — (Continued)

       

Daimler Truck Holding AG

    1,811     $ 69,619  

Ferrari NV

    642       318,939  

Ferrari NV

    141       70,064  

Geely Automobile Holdings, Ltd.

    31,000       34,693  

Honda Motor Co. Ltd.

    197,800       2,182,773  

Honda Motor Co. Ltd. - ADR

    1,291       42,538  

Hyundai Motor Co.

    529       101,473  

Isuzu Motors Ltd.

    2,700       40,993  

Iveco Group NV

    132,017       1,398,170  

Kia Corp.

    11,801       937,576  

Li Auto, Inc. - ADR(a)

    3,672       71,457  

Mahindra & Mahindra Ltd.

    15,330       513,514  

Stellantis NV

    58,765       986,377  

Stellantis NV

    2,278       38,225  

Subaru Corp.

    1,800       34,525  

Suzuki Motor Corp.

    178,900       2,103,437  

Toyota Motor Corp. - ADR

    1,862       353,408  

Toyota Motor Corp.

    7,100       135,560  

Volvo AB - Class B

    3,636       96,683  

XPeng, Inc. - ADR(a)

    2,396       19,288  
              10,057,996  

Auto Parts & Equipment — 0.2%

       

Aisin Corp.

    1,100       38,656  

Bridgestone Corp.

    900       35,181  

Cie Generale des Etablissements Michelin SCA

    1,852       72,718  

Continental AG

    570       38,541  

Denso Corp.

    3,600       55,886  

Fuyao Glass Industry Group Co. Ltd. - Class A

    28,900       195,257  

Hankook Tire & Technology Co. Ltd.

    17,270       562,169  

Hyundai Mobis Co. Ltd.

    302       49,278  

Magna International, Inc.

    3,010       126,510  

Vitesco Technologies Group AG

    88       5,093  

Weichai Power Co. Ltd. - Class H

    24,000       36,709  
              1,215,998  

Banks — 10.8%

               

AIB Group PLC

    376,315       2,266,130  

Al Rajhi Bank

    29,670       698,691  

ANZ Group Holdings Ltd.

    5,980       122,742  

Axis Bank Ltd.

    38,764       543,647  

Banco do Brasil SA

    442,300       2,203,672  

Banco do Brasil SA - ADR

    22,592       113,638  

Banco Santander SA

    37,238       185,167  

Bancolombia SA - ADR

    1,414       46,789  

Bank Central Asia Tbk PT

    1,226,000       819,052  

Bank Mandiri Persero Tbk PT - ADR

    5,112       91,965  

Bank Mandiri Persero Tbk PT

    2,759,400       1,275,108  

 

 

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

 

2

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

As of AUGUST 31, 2024

 

 

   

Shares

   

Value

 

Banks — (Continued)

               

Bank Montreal

    1,282     $ 107,201  

Bank of Nova Scotia

    2,673       133,329  

Bank Rakyat Indonesia Persero Tbk PT - ADR

    1,382       22,741  

Barclays PLC

    126,063       381,162  

BDO Unibank, Inc.

    181,150       493,325  

Bendigo & Adelaide Bank Ltd.

    12,614       102,708  

BNP Paribas SA

    76,770       5,309,997  

CaixaBank SA

    65,952       397,240  

Canadian Imperial Bank of Commerce

    1,139       66,563  

Chiba Bank Ltd.

    4,900       41,505  

China Merchants Bank Co. Ltd. - Class H

    176,563       724,562  

Commerzbank AG

    157,150       2,330,029  

Commonwealth Bank Of Australia

    4,512       424,951  

Computershare Ltd.

    2,023       38,893  

Concordia Financial Group Ltd.

    11,723       66,524  

Credicorp Ltd.

    5,800       1,034,430  

DBS Group Holdings Ltd. - ADR

    2,449       272,182  

DBS Group Holdings Ltd.

    116,510       3,253,460  

Deutsche Bank AG

    8,776       143,926  

DNB Bank ASA

    128,214       2,708,429  

Emirates NBD Bank PJSC

    92,932       498,458  

Erste Group Bank AG

    8,036       439,849  

FinecoBank Banca Fineco SpA

    319,325       5,478,498  

FirstRand Ltd.

    273,142       1,313,371  

Fukuoka Financial Group, Inc.

    3,000       79,480  

Grupo Financiero Banorte SAB de CV

    76,985       533,775  

Grupo Financiero Galicia SA - ADR

    14,790       579,324  

Hana Financial Group, Inc.

    3,344       155,244  

Hang Seng Bank, Ltd.

    3,000       36,124  

HDFC Bank Ltd.

    218,828       4,279,159  

HDFC Bank Ltd. - ADR

    12,962       792,108  

HSBC Holdings PLC - ADR

    9,910       440,599  

ICICI Bank Ltd. - ADR

    90,133       2,641,798  

Industrial & Commercial Bank of China Ltd. - Class H

    1,597,000       913,354  

ING Groep NV

    193,935       3,526,152  

Intesa Sanpaolo

    14,336       59,916  

Itau Unibanco Holdings, SP ADR - ADR

    170,642       1,112,586  

Japan Post Bank Co. Ltd.

    3,700       34,774  

KBC Group NV

    799       62,216  

Macquarie Group Ltd.

    1,021       148,610  

Macquarie Group, Ltd. - ADR

    1,203       175,434  

Mediobanca Banca di Credito Finanziario SpA

    3,974       67,312  

 

 

   

Shares

   

Value

 

Banks — (Continued)

               

Mitsubishi UFJ Financial Group, Inc. - ADR

    53,334     $ 561,607  

National Australia Bank Ltd.

    7,689       198,162  

National Australia Bank Ltd. - ADR

    11,208       145,368  

National Bank of Greece SA

    138,971       1,207,979  

NatWest Group PLC

    544,658       2,481,294  

Nedbank Group Ltd. - ADR

    2,666       44,536  

Nordea Bank Abp

    11,504       135,850  

Nordea Bank Abp

    93       1,099  

NU Holdings Ltd. - Class A(a)

    35,017       524,204  

OTP Bank, PLC

    13,881       714,688  

Oversea-Chinese Banking Corp. Ltd.

    9,000       100,318  

Royal Bank Canada

    3,116       376,350  

Saudi National Bank

    72,743       682,126  

Shinhan Financial Group Co. Ltd. - ADR

    9,162       388,927  

Shizuoka Financial Group, Inc.

    3,900       34,815  

Societe Generale SA

    2,392       57,822  

Standard Bank Group Ltd.

    9,099       122,217  

Sumitomo Mitsui Financial Group, Inc.

    19,100       1,260,471  

Sumitomo Mitsui Financial Group, Inc. - ADR

    56,610       748,950  

Sumitomo Mitsui Trust Holdings, Inc.

    1,600       39,872  

Svenska Handelsbanken AB - Class A

    112,598       1,161,567  

TCS Group Holding PLC - GDR(a)(c)

    3,732       0  

Toronto-Dominion Bank

    4,118       246,751  

UBS Group AG

    13,717       422,697  

UniCredit SpA

    2,917       121,245  

United Overseas Bank Ltd.

    6,000       144,234  

Woori Financial Group, Inc. - ADR

    4,696       170,136  

Yapi ve Kredi Bankasi AS

    926,035       848,454  
              62,729,638  

Beverages — 1.3%

               

Anheuser-Busch InBev SA/NV - ADR

    3,181       195,441  

Arca Continental SAB de CV

    60,200       542,845  

Asahi Group Holdings Ltd.

    148,400       5,539,129  

Carlsberg A/S - Class B

    499       58,621  

Cia Cervecerias Unidas SA - ADR

    4,167       46,671  

Coca-Cola Europacific Partners PLC

    476       38,313  

Coca-Cola HBC AG

    1,058       39,284  

Davide Campari-Milano NV

    5,538       51,203  

 

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

 

3

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Beverages — (Continued)

               

Diageo PLC - ADR

    1,459     $ 190,779  

Endeavour Group Ltd.

    2,137       7,705  

Fomento Economico Mexicano SAB de CV - ADR

    461       47,382  

Heineken Holding NV

    434       32,730  

Heineken NV - ADR

    2,666       120,050  

Pernod Ricard SA - ADR

    2,755       78,600  

Remy Cointreau SA

    453       36,927  

United Spirits Ltd.

    38,758       681,297  
              7,706,977  

Biotechnology — 0.5%

               

Argenx SE - ADR(a)

    238       123,122  

BeiGene Ltd.(a)

    10,100       149,475  

CSL Ltd. - ADR

    3,938       410,655  

CSL Ltd.

    628       130,420  

Genmab AS(a)

    6,810       1,893,947  
              2,707,619  

Building Materials — 1.0%

               

Ambuja Cements Ltd.

    70,612       519,637  

Cie de Saint-Gobain SA

    519       45,353  

CRH PLC

    44,963       4,013,800  

CRH PLC

    1,441       130,799  

Daikin Industries Ltd.

    149       19,036  

Geberit AG

    202       129,214  

James Hardie Industries PLC(a)

    2,896       108,030  

Kingspan Group PLC

    554       48,238  

LafargeHolcim Ltd.

    2,013       195,005  

Sika AG

    437       140,685  

Svenska Cellulosa AB SCA - Class B

    4,527       62,847  

UltraTech Cement Ltd.

    3,463       466,908  

West Fraser Timber Co. Ltd.

    446       39,480  
              5,919,032  

Chemicals — 2.8%

               

Air Liquide SA

    17,844       3,330,548  

Air Liquide SA - ADR

    2,142       79,854  

Akzo Nobel NV

    7,468       476,321  

Asahi Kasei Corp.

    6,000       42,492  

BASF SE

    1,905       96,829  

Croda International PLC

    565       30,611  

EMS-Chemie Holding AG

    143       120,016  

Evonik Industries AG

    150,511       3,339,774  

Givaudan SA

    27       138,682  

Givaudan SA - ADR

    600       61,452  

ICL Group Ltd.

    12,592       57,797  

Kansai Paint Co. Ltd.

    140,200       2,510,051  

Kumho Petrochemical Co. Ltd.

    11,091       1,137,394  

LG Chem Ltd.

    164       39,565  

Mitsubishi Chemical Group Corp.

    273,100       1,596,056  

Nippon Sanso Holdings Corp.

    64,500       2,222,563  

 

 

   

Shares

   

Value

 

Chemicals — (Continued)

               

Nissan Chemical Corp.

    1,100     $ 37,811  

Novonesis (Novozymes) B

    673       46,712  

OCI NV

    1,417       44,969  

Shin-Etsu Chemical Co. Ltd. - ADR

    6,860       150,920  

Shin-Etsu Chemical Co. Ltd.

    3,270       144,757  

Supreme Industries Ltd.

    2,993       188,680  

Syensqo SA

    373       30,714  

Symrise AG

    500       65,979  
              15,990,547  

Coal — 0.6%

               

China Shenhua Energy Co. Ltd. - Class H

    39,000       167,610  

Teck Resources Ltd. - Class B

    8,215       393,498  

Teck Resources Ltd. - Class B

    62,140       2,975,472  
              3,536,580  

Commercial Services — 4.9%

               

Abu Dhabi Ports Co. PJSC(a)

    44,586       58,147  

Adani Ports & Special Economic Zone Ltd.

    47,921       847,053  

Adyen NV(a)(b)

    1,369       2,020,375  

Amadeus IT Holdings SA

    20,727       1,398,575  

Ashtead Group PLC

    68,356       4,867,233  

Bidvest Group Ltd.

    3,146       51,191  

Bureau Veritas SA

    43,870       1,444,239  

China Merchants Port Holdings Co. Ltd.

    60,000       89,821  

Edenred SE

    52,463       2,208,133  

Experian PLC

    2,543       123,560  

International Container Terminal Services, Inc.

    76,047       536,595  

Intertek Group PLC

    1,279       83,571  

Localiza Rent a Car SA - ADR

    4,006       31,407  

New Oriental Education & Technology Group, Inc. - ADR(a)

    2,260       138,945  

RB Global, Inc.

    1,064       91,642  

Recruit Holdings Co. Ltd.

    3,292       205,296  

RELX PLC

    146,091       6,819,561  

Rentokil Initial PLC

    7,414       47,335  

Santos Brasil Participacoes SA

    131,000       306,119  

Secom Co. Ltd.

    500       36,484  

TAL Education Group - ADR(a)

    7,594       61,056  

Wolters Kluwer

    41,238       7,051,996  

Wolters Kluwer NV - ADR

    667       113,150  
              28,631,484  

Computers — 2.3%

               

AutoStore Holdings Ltd.(a)(b)

    33,295       35,279  

BayCurrent, Inc.

    108,500       3,458,950  

Capgemini SE

    13,246       2,744,090  

 

 

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

 

4

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Computers — (Continued)

               

CGI, Inc.(a)

    1,307     $ 147,207  

Check Point Software Technologies Ltd.(a)

    499       96,058  

CyberArk Software Ltd.(a)

    576       165,162  

Globant S.A.(a)

    3,290       665,370  

Infosys Ltd. - ADR

    28,588       665,529  

Lenovo Group Ltd.

    32,000       39,074  

Logitech International SA

    444       40,408  

Nomura Research Institute Ltd.

    72,700       2,445,428  

NTT Data Group Corp.

    3,100       47,276  

Quanta Computer, Inc.

    50,000       420,049  

Tata Consultancy Services Ltd.

    12,476       677,784  

Teleperformance SE

    9,184       1,000,725  

Wipro Ltd. - ADR

    106,432       684,358  
              13,332,747  

Cosmetics/Personal Care — 0.4%

       

Beiersdorf AG

    432       62,467  

Colgate-Palmolive India Ltd.

    10,032       435,413  

Essity AB - Class B

    5,178       157,246  

Godrej Consumer Products Ltd.

    42,469       749,495  

Haleon PLC - ADR

    9,632       98,054  

Kao Corp.

    800       35,849  

L’Oreal SA - ADR

    3,400       297,772  

L’Oreal SA

    148       64,936  

Unicharm Corp.

    1,487       51,593  

Unilever PLC - ADR

    9,303       602,742  
              2,555,567  

Distribution/Wholesale — 2.2%

               

Azelis Group NV

    123,217       2,574,945  

Bunzl PLC

    144,642       6,752,749  

IMCD NV

    12,250       2,006,028  

ITOCHU Corp.

    3,700       197,003  

ITOCHU Corp. - ADR

    426       45,062  

Mitsubishi Corp.

    2,300       47,882  

Mitsui & Co. Ltd.

    6,318       136,559  

Rexel SA

    46,159       1,164,697  

Sendas Distribuidora S/A - ADR(a)

    2,775       23,255  
              12,948,180  

Diversified Financial Services — 2.7%

       

Deutsche Boerse AG

    25,090       5,640,770  

Deutsche Boerse AG - ADR

    2,810       62,944  

Euronext NV(b)

    25,139       2,684,705  

Futu Holdings Ltd. - ADR(a)

    852       54,153  

Hong Kong Exchanges & Clearing Ltd.

    38,780       1,183,303  

Japan Exchange Group, Inc.

    72,400       1,680,048  

KB Financial Group, Inc. - ADR

    6,431       417,243  

KB Financial Group, Inc.

    40,670       2,622,605  

 

 

   

Shares

   

Value

 

Diversified Financial Services — (Continued)

London Stock Exchange Group PLC

    791     $ 106,771  

London Stock Exchange Group PLC - ADR

    2,464       83,702  

Power Finance Corp. Ltd.

    128,712       843,684  

Sanlam Ltd. - ADR

    5,156       52,282  

SBI Holdings, Inc.

    2,600       63,987  

Singapore Exchange Ltd.

    6,000       49,776  
              15,545,973  

Electric — 2.6%

               

Adani Energy Solutions Ltd.(a)

    31,499       378,349  

Centrais Eletricas Brasileiras SA - ADR

    12,310       91,463  

China Resources Power Holdings Co. Ltd.

    14,000       37,958  

CLP Holdings Ltd.

    13,500       120,452  

Dubai Electricity & Water Authority PJSC

    728,813       474,254  

E.ON SE

    4,732       67,082  

Enel SpA

    555,541       4,222,502  

Engie SA - ADR

    8,968       157,568  

Fortis, Inc.

    5,886       258,984  

Fortum Oyj

    179,063       2,855,166  

Iberdrola SA - ADR

    1,618       92,032  

Iberdrola SA

    11,895       168,774  

JSW Energy Ltd.

    98,497       835,058  

Mercury NZ Ltd.

    7,755       30,377  

Meridian Energy Ltd.

    15,956       63,241  

National Grid PLC - ADR

    2,605       173,493  

National Grid PLC

    5,579       73,488  

NTPC Ltd.

    110,388       547,405  

Orsted A/S(a)(b)

    622       35,946  

Power Assets Holdings Ltd.

    11,000       76,559  

RWE AG

    719       25,936  

SSE PLC - ADR

    5,415       136,296  

SSE PLC

    176,597       4,392,372  

Tokyo Electric Power Co. Holdings, Inc.(a)

    7,500       35,773  
              15,350,528  

Electrical Components & Equipment — 0.3%

       

Delta Electronics, Inc.

    36,000       448,804  

KEI Industries Ltd.

    8,594       472,160  

Legrand SA

    942       105,507  

Schneider Electric SE - ADR

    4,025       204,309  

Schneider Electric SE

    698       178,060  
              1,408,840  

Electronics — 0.6%

               

AAC Technologies Holdings, Inc.

    126,500       537,407  

ABB Ltd.

    4,533       260,678  

 

 

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

 

5

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Electronics — (Continued)

       

BYD Electronic International Co. Ltd.

    23,500     $ 86,093  

Hirose Electric Co. Ltd.

    327       43,155  

Hon Hai Precision Industry Co. Ltd.

    87,353       504,266  

Hoya Corp.

    670       95,091  

Hoya Corp. - ADR

    487       69,193  

Lotes Co. Ltd.

    6,000       287,641  

Luxshare Precision Industry Co. Ltd. - Class A

    175,600       977,022  

Murata Manufacturing Co. Ltd.

    4,857       101,805  

Murata Manufacturing Co. Ltd. - ADR

    7,572       78,976  

NIDEC CORP

    1,000       40,774  

TDK Corp.

    800       54,529  

Yageo Corp.

    17,676       363,850  
              3,500,480  

Energy-Alternate Sources — 0.0%(d)

       

Vestas Wind Systems AS(a)

    2,480       56,663  
                 

Engineering & Construction — 1.2%

               

Acciona SA

    580       78,203  

Auckland International Airport Ltd.

    13,450       63,777  

Eiffage SA

    14,358       1,507,090  

Ferrovial SE

    3,085       128,994  

GMR Airports Infrastructure Ltd.(a)

    418,735       472,365  

Grupo Aeroportuario del Pacifico SAB de CV - ADR

    392       69,651  

Grupo Aeroportuario del Sureste SAB de CV - ADR

    471       126,883  

Samsung C&T Corp.

    10,473       1,158,981  

SPIE SA

    78,542       3,170,665  

Stantec, Inc.

    424       34,764  

Taisei Corp.

    900       40,893  

Vinci SA

    905       108,161  

Vinci SA - ADR

    1,124       33,495  
              6,993,922  

Entertainment — 0.1%

               

Evolution AB - ADR

    336       35,001  

Flutter Entertainment PLC(a)

    244       52,121  

Lottery Corp. Ltd.

    8,950       30,142  

OPAP SA

    21,717       375,453  

Oriental Land Co., Ltd.

    3,065       83,820  

Toho Co. Ltd./Tokyo

    1,100       42,286  
              618,823  

Environmental Control — 0.0%(d)

       

China Conch Environment Protection Holdings Ltd.

    21,500       1,955  

 

 

   

Shares

   

Value

 

Environmental Control — (Continued)

       

GFL Environmental, Inc.

    1,083     $ 46,905  
              48,860  

Food — 2.0%

               

Aeon Co. Ltd.

    5,200       130,260  

Ajinomoto Co., Inc.

    1,500       57,739  

Barry Callebaut AG

    49       79,318  

BIM Birlesik Magazalar AS

    67,192       1,064,177  

Chocoladefabriken Lindt & Spruengli AG

    6       79,289  

Coles Group Ltd.

    4,059       51,533  

Danone SA

    3,030       210,546  

Gruma SAB de CV - Class B

    18,750       345,082  

Kerry Group PLC - ADR

    451       45,172  

Koninklijke Ahold Delhaize NV - ADR

    4,031       138,142  

Koninklijke Ahold Delhaize NV

    118,982       4,085,095  

MEIJI Holdings Co. Ltd.

    1,500       37,250  

Nestle SA - ADR

    5,773       617,249  

Nisshin Seifun Group, Inc.

    2,700       34,961  

Nomad Foods Ltd.

    79,873       1,501,612  

Seven & i Holdings Co. Ltd. - ADR

    2,700       39,042  

Tesco PLC

    615,426       2,869,334  

Woolworths Group Ltd.

    3,247       78,328  

Yakult Honsha Co. Ltd.

    1,800       38,029  
              11,502,158  

Food Service — 1.1%

               

Compass Group PLC

    200,566       6,338,954  

Compass Group PLC - ADR

    7,353       234,928  
              6,573,882  

Forest Products & Paper — 0.0%(d)

       

Suzano Papel e Celulose SA - ADR

    6,573       64,021  

UPM-Kymmene Corp.

    1,590       53,594  
              117,615  

Gas — 0.0%(d)

               

ENN Energy Holdings Ltd.

    4,400       28,329  

Hand/Machine Tools — 0.3%

               

Alleima AB

    657       4,925  

Fuji Electric Co. Ltd.

    24,900       1,502,982  

Schindler Holding AG

    651       176,090  

Techtronic Industries Co. Ltd.

    4,500       60,295  
              1,744,292  

Healthcare-Products — 0.6%

               

Alcon, Inc.

    1,673       163,419  

Asahi Intecc Co. Ltd.

    1,900       34,907  

Carl Zeiss Meditec AG

    533       39,128  

Cochlear Ltd.

    376       76,337  

Coloplast AS - Class B

    327       44,523  

 

 

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

 

6

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Healthcare-Products — (Continued)

       

Essilor International Cie Generale d’Opitque SA

    608     $ 144,177  

EssilorLuxottica SA - ADR

    144       17,061  

Fisher & Paykel Healthcare Corp. Ltd.

    2,201       49,128  

FUJIFILM Holdings Corp.

    5,400       145,636  

Getinge AB - Class B

    1,494       31,094  

Olympus Corp.

    1,400       25,603  

Sartorius Stedim Biotech

    191       38,807  

Smith & Nephew PLC

    135,139       2,081,049  

Sonova Holding AG

    143       49,998  

Terumo Corp.

    324       6,024  

Thermo Fisher Scientific, Inc.

    900       553,563  
              3,500,454  

Healthcare-Services — 0.7%

               

BioMerieux

    307       35,528  

Dr Sulaiman Al Habib Medical Services Group Co.

    4,744       386,842  

Fresenius Medical Care AG

    918       35,438  

ICON PLC(a)

    8,600       2,769,716  

Lonza Group AG

    182       119,720  

Lonza Group AG - ADR

    370       24,183  

Max Healthcare Institute Ltd.

    35,580       366,006  

Ramsay Health Care Ltd.

    1,132       31,777  

Sonic Healthcare Ltd. - ADR

    1,106       20,663  
              3,789,873  

Holding Companies-Diversified — 0.1%

       

Jardine Matheson Holdings, Ltd.

    3,800       136,952  

YTL Corp. Bhd

    891,600       600,645  
              737,597  

Home Builders — 0.5%

               

Barratt Developments PLC

    431,546       2,887,640  

Sekisui House Ltd.

    4,000       103,388  
              2,991,028  

Home Furnishings — 0.7%

               

Electrolux AB - Class B(a)

    972       9,356  

Hoshizaki Corp.

    800       25,876  

Sharp Corp.(a)

    6,400       44,027  

Sony Group Corp. - ADR

    4,806       468,873  

Sony Group Corp.

    36,400       3,545,148  
              4,093,280  

Household Products/Wares — 0.0%(d)

       

Henkel AG & Co. KGaA

    889       73,924  

Reckitt Benckiser Group PLC - ADR

    12,375       143,055  
              216,979  

Insurance — 5.9%

               

Admiral Group PLC

    63,297       2,431,035  

 

 

   

Shares

   

Value

 

Insurance — (Continued)

               

Aegon Ltd.

    14,288     $ 87,506  

Ageas SA NV

    2,481       127,530  

AIA Group Ltd. - ADR

    4,702       133,490  

Allianz SE - ADR

    4,740       146,940  

Allianz SE

    132       41,007  

Aon PLC - Class A

    23,749       8,163,006  

AXA SA

    38,009       1,446,589  

Baloise Holding AG

    522       100,968  

Beazley PLC

    501,387       4,964,574  

Cathay Financial Holding Co. Ltd.

    24,000       47,712  

China Pacific Insurance Group Co. Ltd. - Class H

    40,400       104,709  

Dai-ichi Life Holdings, Inc.

    6,692       193,244  

Everest Group Ltd.

    9,304       3,649,401  

Hannover Rueck SE

    421       119,444  

Hiscox Ltd.

    192,352       2,973,291  

ICICI Lombard General Insurance Co. Ltd.(b)

    39,019       998,034  

Legal & General Group PLC

    36,815       108,728  

M&G PLC

    12,144       34,319  

Mandatum Oyj

    2,616       12,379  

Manulife Financial Corp.

    6,860       189,405  

MS&AD Insurance Group Holdings, Inc.

    2,700       62,237  

Muenchener Rueckversicherungs-Gesellschaft AG

    295       159,608  

New China Life Insurance Co. Ltd. - Class H

    45,800       99,130  

NN Group NV

    3,039       149,052  

PICC Property & Casualty Co. Ltd. - Class H

    48,000       62,165  

Ping An Insurance Group Co. of China Ltd. - Class H

    24,500       115,989  

Powszechny Zaklad Ubezpieczen SA

    81,270       978,596  

Sampo Oyj

    61,296       2,732,657  

Samsung Fire & Marine Insurance Co. Ltd.

    1,360       353,289  

Samsung Life Insurance Co. Ltd.

    11,151       814,498  

Sompo Holdings, Inc.

    1,800       42,502  

Sun Life Financial, Inc.

    2,753       150,094  

Suncorp Group Ltd.

    18,597       222,097  

Swiss Re AG

    544       74,324  

T&D Holdings, Inc.

    5,200       88,104  

Tokio Marine Holdings, Inc.

    4,200       159,829  

Topdanmark AS

    33,242       1,839,416  

Zurich Insurance Group AG - ADR

    7,180       208,794  

 

 

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

 

7

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Insurance — (Continued)

               

Zurich Insurance Group AG

    270     $ 156,729  
              34,542,421  

Internet — 3.0%

               

Alibaba Group Holding Ltd. - ADR

    4,499       374,947  

Alibaba Group Holding Ltd.

    217,400       2,253,258  

Auto Trader Group PLC(b)

    5,141       57,743  

Bilibili, Inc. - ADR(a)

    4,363       62,740  

Delivery Hero SE(a)(b)

    1,653       52,058  

iQIYI, Inc. - ADR(a)

    12,194       26,217  

JD.com, Inc. - ADR

    5,286       142,722  

JOYY, Inc. - ADR

    2,046       70,362  

LY Corp.

    14,900       40,834  

Meituan - ADR(a)

    4,650       140,942  

Meituan - Class B(a)(b)

    32,800       496,310  

MercadoLibre, Inc.(a)

    729       1,502,950  

MonotaRO Co. Ltd.

    116,900       1,849,031  

Naspers Ltd. - ADR

    4,780       196,458  

Naspers Ltd.

    3,798       783,459  

NAVER Corp.

    688       87,280  

Ocado Group PLC(a)

    7,857       35,536  

PDD Holdings, Inc. - ADR(a)

    2,583       248,252  

Prosus NV

    4,876       180,733  

Rakuten Group, Inc.(a)

    7,200       51,174  

Sea Ltd. - ADR(a)

    924       72,358  

SEEK Ltd.

    4,272       66,520  

Shopify, Inc. - Class A(a)

    2,370       175,546  

Tencent Holdings Ltd. - ADR

    16,139       782,903  

Tencent Holdings Ltd.

    131,930       6,398,593  

Trip.com Group Ltd. - ADR(a)

    21,882       1,031,518  

Wix.com Ltd.(a)

    389       64,815  
              17,245,259  

Investment Companies — 0.0%(d)

       

L E Lundbergforetagen AB - Class B

    1,867       102,373  
                 

Iron/Steel — 0.1%

               

BlueScope Steel Ltd.

    6,357       88,565  

Cia Siderurgica Nacional SA - ADR

    41,580       88,565  

Fortescue Ltd.

    5,658       69,704  

Nippon Steel Corp.

    8,000       182,566  

POSCO Holdings, Inc. - ADR

    3,580       228,476  

Vale SA - ADR

    12,347       129,890  
              787,766  

Leisure Time — 0.2%

               

Amadeus IT Group SA - ADR

    1,437       96,997  

Bajaj Auto Ltd.

    5,704       740,583  

Shimano, Inc.

    236       44,588  

 

 

   

Shares

   

Value

 

Leisure Time — (Continued)

       

Yamaha Corp.

    1,300     $ 31,377  
              913,545  

Lodging — 0.1%

               

H World Group Ltd. - ADR

    1,879       57,197  

Indian Hotels Co. Ltd.

    50,064       387,015  

InterContinental Hotels Group PLC

    1,515       151,628  
              595,840  

Machinery-Construction & Mining — 2.8%

       

HD Hyundai Electric Co. Ltd.

    2,806       642,385  

Hitachi Ltd. - ADR

    9,150       448,167  

Hitachi Ltd.

    250,205       6,172,564  

Komatsu Ltd.

    4,400       123,123  

Mitsubishi Electric Corp.

    179,800       3,028,919  

Mitsubishi Heavy Industries Ltd.

    6,000       80,894  

Siemens Energy AG(a)

    960       27,726  

Weir Group PLC

    214,649       5,691,089  
              16,214,867  

Machinery-Diversified — 1.5%

               

Accelleron Industries AG

    226       11,832  

ANDRITZ AG

    16,332       1,076,707  

Atlas Copco AB - ADR

    6,624       120,491  

Atlas Copco AB - Class A

    6,804       123,786  

FANUC Corp.

    1,000       29,519  

Haitian International Holdings Ltd.

    31,000       86,610  

Husqvarna AB - Class B

    4,490       30,353  

IMI PLC

    107,649       2,607,074  

Keyence Corp.

    500       240,210  

KION Group AG

    1,235       48,099  

Kone Oyj - Class B

    66,226       3,572,131  

Kubota Corp. - ADR

    883       61,863  

NARI Technology Co. Ltd. - Class A

    115,620       400,448  

SMC Corp. - ADR

    2,280       52,668  

SMC Corp.

    110       51,014  
              8,512,805  

Media — 0.4%

               

Informa PLC

    149,777       1,649,015  

Pearson PLC - ADR

    15,198       210,948  

Thomson Reuters Corp.

    1,367       234,003  

Vivendi SE

    3,398       38,118  
              2,132,084  

Metal Fabricate/Hardware — 0.6%

       

Tenaris SA

    71,773       1,056,266  

Vallourec SACA(a)

    157,587       2,518,316  
              3,574,582  

 

 

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

 

8

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Mining — 2.2%

               

Agnico Eagle Mines Ltd./Mines Agnico Eagle Limitee

    1,485     $ 120,983  

Alamos Gold, Inc. - Class A

    32,914       634,582  

Allied Gold Corp.(a)

    298,126       676,931  

Antofagasta PLC

    8,790       214,621  

Barrick Gold Corp.

    6,196       125,097  

BHP Group Ltd. - ADR

    3,707       204,367  

Boliden AB

    2,900       88,591  

Cameco Corp.

    3,460       141,306  

Capstone Copper Corp.(a)

    68,402       490,815  

Endeavour Mining PLC

    72,489       1,528,151  

Franco-Nevada Corp.

    1,038       126,792  

GMK Norilskiy Nickel PAO - ADR(a)(c)

    2,034       20  

Kinross Gold Corp.

    445,873       4,029,780  

Norsk Hydro ASA

    15,202       84,829  

Polyus PJSC(a)(c)

    1,719       0  

Rio Tinto PLC - ADR

    1,210       76,557  

South32 Ltd.

    44,192       93,064  

Southern Copper Corp.

    35,599       3,621,155  

Sumitomo Metal Mining Co. Ltd.

    2,000       55,427  

Wheaton Precious Metals Corp.

    2,998       185,306  

Zijin Mining Group Co. Ltd. - Class H

    24,000       48,278  
              12,546,652  

Miscellaneous Manufacturing — 1.2%

       

Aalberts NV

    35,667       1,394,315  

Diploma PLC

    18,668       1,099,480  

Fabrinet(a)

    2,227       542,608  

Knorr-Bremse AG

    679       55,834  

Orica Ltd.

    5,536       66,405  

Siemens AG

    19,121       3,596,765  

Sumitomo Heavy Industries Ltd.

    2,000       46,847  
              6,802,254  

Office-Business Equipment — 0.0%(d)

       

Canon, Inc.

    2,700       92,730  
                 

Oil & Gas — 4.3%

               

Aker BP ASA

    841       20,147  

BP PLC

    267,887       1,516,585  

BP PLC - ADR

    1       34  

Canadian Natural Resources Ltd.

    8,670       313,941  

Cenovus Energy, Inc.

    198,279       3,676,765  

DCC PLC

    452       31,936  

Equinor ASA

    79,080       2,121,920  

Equinor ASA - ADR

    3,137       84,354  

Galp Energia SGPS SA

    30,614       635,973  

Imperial Oil Ltd.

    2,792       210,042  

Inpex Corp.

    6,228       91,808  

MEG Energy Corp.(a)

    80,745       1,608,129  

 

 

   

Shares

   

Value

 

Oil & Gas — (Continued)

       

Neste Oyj

    2,991     $ 69,793  

OMV AG

    4,843       211,232  

PetroChina Co. Ltd. - Class H

    1,084,000       977,679  

Petroleo Brasileiro SA - ADR

    46,463       707,631  

Reliance Industries Ltd.

    41,391       1,489,216  

Repsol SA

    7,844       107,714  

Santos Ltd.

    19,946       97,243  

Shell PLC

    39,542       1,408,956  

Shell PLC

    55,926       1,981,659  

Shell PLC - ADR

    88,343       6,330,659  

TotalEnergies SE - ADR

    7,259       500,871  

Ultrapar Participacoes SA - ADR

    10,793       44,899  

Vista Energy SAB de CV - ADR(a)

    16,413       855,610  

Woodside Energy Group Ltd.

    7,291       133,566  
              25,228,362  

Pharmaceuticals — 8.7%

               

Aspen Pharmacare Holdings Ltd. - ADR

    6,986       94,241  

Astellas Pharma, Inc.

    3,500       43,494  

AstraZeneca PLC - ADR

    9,096       796,992  

AstraZeneca PLC

    56,606       9,921,095  

Bayer AG

    1,167       36,033  

Celltrion, Inc.

    567       86,258  

Chugai Pharmaceutical Co. Ltd.

    66,800       3,372,233  

Cipla Ltd.

    13,082       258,349  

Daiichi Sankyo Co. Ltd.

    3,548       148,937  

Daiichi Sankyo Co. Ltd. - ADR

    876       36,678  

Dr Reddy’s Laboratories Ltd. - ADR

    7,475       623,938  

GSK PLC

    91,763       1,998,561  

GSK PLC - ADR

    3,067       134,672  

Hansoh Pharmaceutical Group Co. Ltd.(b)

    182,000       464,188  

Hikma Pharmaceuticals PLC

    49,199       1,285,982  

Merck KGaA

    587       114,558  

Novartis AG - ADR

    5,833       705,151  

Novartis AG

    61,268       7,402,287  

Novo Nordisk AS - ADR

    12,898       1,794,886  

Novo Nordisk AS

    36,415       5,058,414  

Orion Oyj - Class B

    672       35,633  

Recordati SPA

    59,572       3,497,699  

Roche Holding AG - ADR

    14,560       616,325  

Roche Holdings AG

    13,379       4,529,070  

Sandoz Group AG

    100,955       4,415,650  

Sandoz Group AG - ADR

    1,166       51,327  

Sanofi SA - ADR

    5,762       324,170  

Sinopharm Group Co. Ltd. - Class H

    36,400       84,239  

Sun Pharmaceutical Industries Ltd.

    20,864       453,285  

 

 

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

 

9

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Pharmaceuticals — (Continued)

       

Suzuken Co Ltd.

    33,300     $ 1,180,134  

Teva Pharmaceutical Industries, Ltd., SP ADR - ADR(a)

    47,801       902,005  

UCB SA

    810       146,702  
              50,613,186  

Pipelines — 0.1%

               

Enbridge, Inc.

    6,937       278,729  

Pembina Pipeline Corp.

    936       37,702  

TC Energy Corp.

    2,920       135,313  
              451,744  

Private Equity — 0.4%

               

3i Group PLC

    3,463       145,462  

Antin Infrastructure Partners SA

    15,748       217,824  

Eurazeo SA

    17,292       1,362,181  

Macquarie Korea Infrastructure Fund

    49,750       448,382  

Partners Group Holding AG

    95       137,440  
              2,311,289  

Real Estate — 0.6%

               

Aldar Properties PJSC

    316,803       633,329  

Corp. Inmobiliaria Vesta SAB de CV

    157,500       431,692  

Daito Trust Construction Co. Ltd.

    300       37,027  

Direcional Engenharia SA

    68,338       348,847  

DLF Ltd.

    61,677       621,767  

Emaar Properties PJSC

    266,841       613,386  

FirstService Corp.

    230       41,412  

Henderson Land Development Co. Ltd.

    23,000       71,459  

Hongkong Land Holdings Ltd.

    7,900       29,642  

Iguatemi SA

    112,300       440,158  

KE Holdings, Inc. - ADR

    4,582       67,997  

REA Group Ltd.

    633       93,761  

Sunac Services Holdings Ltd.(b)

    619       133  

Swire Pacific Ltd. - Class A

    5,000       42,441  

Vonovia SE

    1,074       37,123  

Wharf Holdings Ltd.

    14,000       36,646  
              3,546,820  

REITS — 0.2%

               

Ascendas Real Estate Investment Trust

    23,000       50,708  

CapitaLand Mall Trust

    25,000       40,620  

Fibra Uno Administracion SAB de CV

    245,700       289,686  

Gecina SA

    370       40,659  

Goodman Group

    6,677       150,632  

GPT Group

    9,864       32,646  

Japan Real Estate Investment Corp.

    34       136,601  

Mirvac Group

    19,373       26,602  

 

 

   

Shares

   

Value

 

REITS — (Continued)

               

Nippon Building Fund Inc.

    23     $ 103,210  

Nippon Prologis REIT, Inc.

    31       54,611  

Nomura Real Estate Master Fund, Inc.

    65       65,833  

Scentre Group

    14,492       33,580  

Segro PLC

    2,361       27,182  

Stockland

    11,630       39,276  

Unibail-Rodamco-Westfield

    938       75,006  

United Urban Investment Corp.

    51       50,255  
              1,217,107  

Retail — 2.2%

               

ANTA Sports Products Ltd.

    5,561       54,254  

Associated British Foods PLC

    1,593       52,258  

Astra International Tbk PT - ADR

    3,615       24,112  

BBB Foods, Inc. - Class A(a)

    14,428       458,522  

Cie Financiere Richemont SA - ADR

    12,160       191,277  

Fast Retailing Co. Ltd.

    441       141,921  

Ferguson Enterprises, Inc.

    14,802       3,013,120  

H & M Hennes & Mauritz AB - Class B

    6,863       108,549  

Industria de Diseno Textil SA

    3,052       165,344  

Jardine Cycle & Carriage Ltd.

    4,000       84,804  

McDonald’s Holdings Co. Japan Ltd.

    2,600       114,201  

Next PLC

    952       127,661  

Nitori Holdings Co. Ltd.

    300       43,959  

Pan Pacific International Holdings Corp.

    1,500       38,398  

Raia Drogasil SA

    101,100       491,154  

Restaurant Brands International, Inc.

    3,260       226,505  

Ryohin Keikaku Co. Ltd.

    94,800       1,785,158  

Shanghai Pharmaceuticals Holding Co. Ltd. - Class H

    39,800       54,908  

Sugi Holdings Co. Ltd.

    53,100       918,310  

Sundrug Co. Ltd.

    26,700       777,287  

Swatch Group AG

    184       38,548  

Tsuruha Holdings, Inc.

    32,600       1,972,954  

USS Co. Ltd.

    3,400       31,220  

Wal-Mart de Mexico SAB de CV - ADR

    720       23,040  

WH Smith PLC

    120,273       2,026,558  
              12,964,022  

Semiconductors — 8.3%

               

ASE Technology Holding Co. Ltd. - ADR

    6,033       60,270  

ASM International NV

    3,435       2,338,819  

ASML Holding NV

    1,129       1,020,469  

ASML Holding NV

    3,197       2,883,163  

 

 

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

 

10

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Continued)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Semiconductors — (Continued)

       

ASPEED Technology, Inc.

    6,000     $ 925,644  

Gudeng Precision Industrial Co. Ltd.

    17,000       290,909  

Infineon Technologies AG

    91,288       3,350,196  

MediaTek, Inc.

    10,000       388,168  

Renesas Electronics Corp.

    50,100       872,215  

Samsung Electronics Co. Ltd.

    270,845       15,042,277  

SK Hynix, Inc.

    10,465       1,371,352  

SUMCO Corp.

    34       393  

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

    59,034       10,136,138  

Taiwan Semiconductor Manufacturing Co. Ltd.

    298,122       8,826,013  

Tokyo Electron Ltd.

    1,200       215,976  

Tokyo Electron Ltd. - ADR

    1,572       140,898  

United Microelectronics Corp. - ADR

    36,418       319,386  
              48,182,286  

Shipbuilding — 0.1%

               

Samsung Heavy Industries Co. Ltd.(a)

    71,867       566,550  
                 

Software — 0.5%

               

Dassault Systemes SE - ADR

    2,450       95,477  

Dassault Systemes SE

    2,375       92,815  

Kaspi.KZ JSC - ADR

    11,825       1,548,247  

NetEase, Inc. - ADR

    2,660       213,970  

Nexon Co. Ltd.

    2,300       45,450  

Open Text Corp.

    1,156       36,784  

SAP SE - ADR

    3,821       839,512  

TeamViewer SE - ADR(a)

    4,442       30,428  
              2,902,683  

Telecommunications — 1.7%

               

America Movil SAB de CV - ADR

    7,257       120,176  

BCE, Inc.

    5,373       188,055  

Bharti Airtel Ltd.

    42,056       797,027  

Chunghwa Telecom Co. Ltd.

    102,000       395,410  

Chunghwa Telecom Co. Ltd. - ADR

    4,171       161,209  

Deutsche Telekom AG - ADR

    5,690       161,767  

Deutsche Telekom AG

    1,461       41,570  

Elisa OYJ

    493       24,688  

Hikari Tsushin, Inc.

    200       42,240  

KDDI Corp.

    122,848       4,144,541  

KT Corp.

    61,210       1,773,838  

Millicom International Cellular SA, SDR(a)

    116       2,978  

MTN Group Ltd.

    23,254       115,831  

Nice Ltd. - ADR(a)

    288       50,037  

Nippon Telegraph & Telephone Corp. - ADR

    984       26,305  

 

 

   

Shares

   

Value

 

Telecommunications — (Continued)

       

Nippon Telegraph & Telephone Corp.

    39,600     $ 42,324  

Orange SA

    4,154       47,380  

PLDT, Inc. - ADR

    5,294       142,673  

Rogers Communications, Inc. - Class B

    3,057       123,961  

Singapore Telecommunications Ltd.

    60,600       145,333  

SK Telecom Co. Ltd. - ADR

    1       23  

SoftBank Corp.

    2,800       39,177  

SoftBank Group Corp.

    1,100       63,863  

Swisscom AG

    80       50,574  

Tele2 AB - Class B

    3,689       41,854  

Telefonaktiebolaget LM Ericsson - Class B

    6,504       48,521  

Telefonica Brasil SA

    53,600       494,159  

Telefonica Brasil SA - ADR

    40,977       379,037  

Telefonica SA

    9,725       43,997  

Turkcell Iletisim Hizmetleri AS - ADR

    15,018       105,877  
              9,814,425  

Toys/Games/Hobbies — 0.0%(d)

       

Bandai Namco Holdings, Inc.

    2,400       51,560  

Nintendo Co. Ltd. - ADR

    5,760       78,336  

Nintendo Co. Ltd.

    700       38,069  
              167,965  

Transportation — 0.7%

               

Canadian National Railway Co.

    3,433       404,476  

Canadian Pacific Kansas City Ltd.

    1,018       84,433  

Deutsche Post AG - ADR

    1,603       69,586  

DSV AS

    10,381       1,855,152  

DSV AS - ADR

    826       73,886  

East Japan Railway Co.

    1,500       28,758  

Getlink SE

    1,582       28,531  

Hankyu Hanshin Holdings, Inc.

    1,300       39,947  

Keisei Electric Railway Co. Ltd.

    25,400       803,583  

Kintetsu Group Holdings Co. Ltd.

    2,600       60,622  

Kuehne + Nagel International AG

    126       39,099  

Mitsui OSK Lines Ltd.

    9,000       324,679  

ZTO Express Cayman, Inc. - ADR

    1,795       38,485  
              3,851,237  

Water — 0.1%

               

Cia de Saneamento Basico do Estado de Sao Paulo SABESP

    31,100       519,975  

Cia de Saneamento Basico do Estado de Sao Paulo SABESP - ADR

    4,592       77,100  

 

 

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

 

11

 

 

AQUARIUS INTERNATIONAL FUND

 


Schedule of Investments (Concluded)

as of AUGUST 31, 2024

 

   

Shares

   

Value

 

Water — (Continued)

               

Severn Trent PLC

    1,062     $ 35,956  
              633,031  

TOTAL COMMON STOCKS (Cost $422,800,174)

            541,915,777  
         

PREFERRED STOCKS — 0.0%(d)

       

Auto Manufacturers — 0.0%(d)

       

Porsche Auto SE

    813       36,584  

TOTAL PREFERRED STOCKS (Cost $33,156)

            36,584  
                 
   

Contracts

         

RIGHTS — 0.0%(d)

       

Private Equity — 0.0%(d)

       

Macquarie Korea Infrastructure Fund, Expires 10/08/2024, Exercise Price $11,570.00(a)(c)

    4,925       1,733  

TOTAL RIGHTS (Cost $783)

            1,733  
                 
   

Shares

         

SHORT-TERM INVESTMENTS — 6.0%

       

Money Market Funds — 6.0%

       

First American Treasury Obligations Fund - Class X, 5.18%(e)

    35,103,660       35,103,660  

TOTAL SHORT-TERM INVESTMENTS (Cost $35,103,660)

            35,103,660  

TOTAL INVESTMENTS — 99.2% (Cost $457,937,773)

            577,057,754  

Other Assets in Excess of Liabilities — 0.8%

            4,376,548  

TOTAL NET ASSETS — 100.0%

          $ 581,434,302  

 

 

Percentages are stated as a percent of net assets.

 

ADR - American Depositary Receipt

 

AG - Aktiengesellschaft

 

ASA - Advanced Subscription Agreement

 

GDR - Global Depositary Receipt

 

NV - Naamloze Vennootschap

 

PJSC - Public Joint Stock Company

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

SA - Sociedad Anónima

 

SA/NV - Societe Anonime/Naamloze Vennootschap

 

SAB de CV - Sociedad Anónima Bursátil de Capital Variable

 

(a) Non-income producing security.

 

(b)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $7,208,721 or 1.2% of the Fund’s net assets.

 

(c)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $1,753 or 0.0% of net assets as of August 31, 2024.

 

(d)

Represents less than 0.05% of net assets.

 

(e)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

12

 

 

AQUARIUS INTERNATIONAL FUND

 


STATEMENT of Assets and Liabilities

AUGUST 31, 2024

 

ASSETS

       

Investments, at value (cost $422,834,113)

  $ 541,954,094  

Short-term investments, at value (cost $35,103,660)

    35,103,660  

Foreign currency, at value (Cost $267,759)

    288,401  

Receivables for:

       

Investments sold

    3,664,484  

Dividends and interest

    1,932,781  

Capital shares sold

    204,940  

Prepaid expenses and other assets

    23,486  

Total assets

    583,171,846  
         

LIABILITIES

       

Payables for:

       

Investments purchased

    1,247,744  

Capital shares redeemed

    65,040  

Sub-advisory fees

    232,555  

Other accrued expenses and liabilities

    192,205  

Total liabilities

    1,737,544  

Net assets

  $ 581,434,302  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 48,361  

Paid-in capital

    485,560,850  

Total distributable earnings/(loss)

    95,825,091  

Net assets

  $ 581,434,302  
         

CAPITAL SHARES:

       

Net Assets

  $ 581,434,302  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    48,361,223  

Net asset value, offering and redemption price per share

  $ 12.02  

 

 

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

 

13

 

 

AQUARIUS INTERNATIONAL FUND

 


Statement of Operations

FOR THE year ENDED AUGUST 31, 2024

 

INVESTMENT INCOME

       

Dividends (net of foreign taxes withheld of $1,328,897)

  $ 11,460,968  

Interest income

    1,904,752  

Total investment income

    13,365,720  
         

EXPENSES

       

Sub-advisory fees (Note 2)

    2,436,424  

Administration and accounting services fees (Note 2)

    303,742  

Custodian fees (Note 2)

    233,752  

Investment management fees (Note 2)

    154,075  

Transfer agent fees (Note 2)

    67,320  

Director fees

    64,776  

Legal fees

    52,376  

Officer fees

    48,827  

Audit fees

    45,927  

Registration and filing fees

    30,460  

Printing and shareholder reporting fees

    8,985  

Other expenses

    44,091  

Total expenses

    3,490,755  

Net investment income/(loss)

    9,874,965  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net Realized Gain (Loss) on:

       

Investments

    6,750,444  

Foreign Currency Transactions

    (670,707 )

Net Realized Gain (Loss)

    6,079,737  

Net Change in Unrealized Appreciation (Depreciation) on:

       

Investments

    75,318,446  

Foreign Currency Transactions

    36,365  

Net Change in Unrealized Appreciation (Depreciation)

    75,354,811  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 91,309,513  

 

 

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

 

14

 

 

AQUARIUS INTERNATIONAL FUND

 


Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS

               

Net investment income/(loss)

  $ 9,874,965     $ 8,640,137  

Net realized gain/(loss) from investments

    6,079,737       (14,105,508 )

Net change in unrealized appreciation/(depreciation) on investments and foreign currency transactions

    75,354,811       49,676,775  

Net increase/(decrease) in net assets resulting from operations

    91,309,513       44,211,404  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (10,001,068 )     (4,179,382 )

Net decrease in net assets from dividends and distributions to shareholders

    (10,001,068 )     (4,179,382 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    78,989,579       88,275,263  

Reinvestment of distributions

    8,459,172       3,505,305  

Shares redeemed

    (38,919,822 )     (35,881,611 )

Net increase/(decrease) in net assets resulting from capital share transactions

    48,528,929       55,898,957  

Total increase/(decrease) in net assets

    129,837,374       95,930,979  
                 

NET ASSETS:

               

Beginning of period

    451,596,928       355,665,949  

End of period

  $ 581,434,302     $ 451,596,928  
                 

SHARE TRANSACTIONS:

               

Shares sold

    7,264,867       8,971,636  

Shares reinvested

    826,091       366,281  

Shares redeemed

    (3,648,054 )     (3,684,160 )

Net increase/(decrease) in shares

    4,442,904       5,653,757  

 

 

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

 

15

 

 

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
Year Ended
August 31,
2024

   

For the
Year Ended
August 31,
2023

   

For the
Year Ended
August 31,
2022

   

For the
Year Ended
August 31,
2021

   

For the
Year Ended
August 31,
2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 10.28     $ 9.29     $ 11.97     $ 9.93     $ 9.27  

Net investment income/(loss)(1)

    0.21       0.21       0.16       0.12       0.12  

Net realized and unrealized gain/(loss) from investments

    1.76       0.89       (2.69 )     2.00       0.67  

Net increase/(decrease) in net assets resulting from operations

    1.97       1.10       (2.53 )     2.12       0.79  

Dividends and distributions to shareholders from:

                                       

Net Investment Income

    (0.23 )     (0.11 )     (0.15 )     (0.08 )     (0.13 )

Total dividends and distributions to shareholders

    (0.23 )     (0.11 )     (0.15 )     (0.08 )     (0.13 )

Net asset value, end of period

  $ 12.02     $ 10.28     $ 9.29     $ 11.97     $ 9.93  

Total investment return/(loss)(2)

    19.53 %     11.89 %     (21.38 )%     21.46 %     8.61 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 581,434     $ 451,597     $ 355,666     $ 382,824     $ 278,956  

Ratio of expenses to average net assets

    0.69 %     0.70 %     0.73 %     0.75 %     0.75 %

Ratio of net investment income/(loss) to average net assets

    1.97 %     2.16 %     1.48 %     1.08 %     1.24 %

Portfolio turnover rate

    59 %     78 %     52 %     48 %     55 %

 

 

(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.

 

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

 

16

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS

AUGUST 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Aquarius International Fund (the “Fund”), which commenced investment operations on April 17, 2018.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in Exchange-Traded Funds (“ETFs”) are valued at their last reported sale price. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued by the Adviser, as Valuation Designee, in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Valuation Designee may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Valuation Designee may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

 

17

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

AUGUST 31, 2024

 

FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments:

                               

Common Stocks

  $ 128,311,959     $ 413,603,798     $ 20     $ 541,915,777  

Preferred Stocks

          36,584             36,584  

Rights

                1,733       1,733  

Money Market Funds

    35,103,660                   35,103,660  

Total Investments

  $ 163,415,619     $ 413,640,382     $ 1,753     $ 577,057,754  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no significant Level 3 transfers.

 

18

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

AUGUST 31, 2024

 

REITS — The Fund has made certain investments in real estate investment trusts (“REITs”) which pay dividends to their shareholders based upon available funds from operations. It is quite common for these dividends to exceed the REITs’ taxable earnings and profits resulting in the excess portion being designated as a return of capital. The Fund intends to include the gross dividends from such REITs in its annual distributions to shareholders and, accordingly, a portion of the Fund’s distributions may also be designated as a return of capital.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains (including net short-term capital gains), if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

19

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

AUGUST 31, 2024

 

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

The Fund may be subject to taxes imposed by countries in which it invests, with respect to its investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Fund accrues such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. Additionally, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.

 

MARKET RISK — Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Fund may be inhibited.

 

INTERNATIONAL CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. Additionally, armed conflict between Israel and Hamas and other militant groups in the Middle East and related events could cause significant impacts on global markets. The price and liquidity of investments may fluctuate widely as a result of these conflicts and related events. How long the armed conflicts and related events will last cannot be predicted. These tensions and any related events could have a significant impact on Fund performance and the value of Fund investments, even beyond any direct exposure the Fund may have to issuers located in these countries.

 

2. INVESTMENT ADVISER AND OTHER SERVICES

 

Altair Advisers, LLC (“Altair” or the “Adviser”) serves as the investment adviser to the Fund. Aperio Group, LLC, Boston Partners Global Investors, Inc., Driehaus Capital Management, LLC, and Mawer Investment Management, Ltd. each served as an investment sub-adviser (“Sub-Adviser”) to the Fund during the current fiscal period.

 

The Fund is managed by the Adviser and one or more Sub-Advisers unaffiliated with the Adviser. The Adviser also has the ultimate responsibility to oversee the Sub-Advisers, and to recommend their hiring, termination and replacement, subject to approval by the Board. The Adviser has an investment team that is jointly responsible for the day-to-day management of the Fund. The Sub-Advisers provide investment advisory services to the portion of the Fund’s portfolio allocated to them by the Adviser. The Adviser and the Company on behalf of the Fund have entered into sub-advisory agreements with the Sub-Advisers to manage the Fund, subject to supervision of the Adviser and the Board, and in accordance with the investment objective and restrictions of the Fund. The Fund compensates the Sub-Advisers for their services at an annual rate based on the Fund’s sub-advised average daily net assets (the “Sub-Advisory Fee”), not to exceed 0.90%, payable on a monthly basis in arrears.

 

20

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONTINUED)

AUGUST 31, 2024

 

During the current fiscal period, collectively, sub-advisory fees accrued were $2,436,424, or the rate of 0.48%.

 

The Fund is currently only available to clients of the Adviser and to other investors at the Fund’s discretion. The Adviser does not receive a separate management fee from the Fund. However, pursuant to the Fund’s investment advisory agreement with the Adviser, the Adviser is entitled to receive reimbursement for compliance expenses in connection with managing the Fund, up to 0.03% of the Fund’s average daily net assets. During the current fiscal period, the Fund paid the Adviser $154,075. This amount is included in Investment management fees on the Statement of Operations.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. DIRECTOR AND OFFICER COMPENSATION

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

PURCHASES

SALES

$318,415,918

$272,279,226

 

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.

 

21

 

 

AQUARIUS INTERNATIONAL FUND

 


NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

AUGUST 31, 2024

 

As of August 31, 2024, the federal tax cost, which includes foreign currency, and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

FEDERAL
TAX COST

UNREALIZED
APPRECIATION

UNREALIZED
(DEPRECIATION)

Net Unrealized
Appreciation/
(Depreciation)

$463,617,192

$130,695,652

$(16,940,503)

$113,755,149

 

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, 2024, primarily attributed to foreign currency. There were no permanent differences between distributable earnings/(loss) and paid in capital.

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

UNDISTRIBUTED
ORDINARY
INCOME

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

CAPITAL LOSS
CARRYFORWARDS

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

QUALIFIED
LATE-YEAR
LOSSES

$8,210,212

$—

$(26,140,270)

$113,755,149

$—

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2024 and August 31, 2023 was as follows:

 

         

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

 
    2024     $ 10,001,068     $     $ 10,001,068  
    2023     $ 4,179,382     $     $ 4,179,382  

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024.

 

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, 2024, the Fund had short-term capital loss carryforwards of $20,488,017 and long-term carryforwards of $5,652,253. During the fiscal year, the Fund utilized $5,127,646 of carryforward capital losses.

 

6. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events.

 

22

 

 

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 schedule of investments, of Aquarius International Fund (one of the funds constituting The RBB Fund, Inc., hereafter referred to as the “Fund”) as of August 31, 2024, the related statement of operations for the year ended August 31, 2024, the statement of changes in net assets for each of the two years in the period ended August 31, 2024, including the related notes, and the financial highlights for each of the five years in the period ended August 31, 2024 (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, 2024, 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, 2024 and the financial highlights for each of the five years in the period ended August 31, 2024 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, 2024 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.

 

/s/PricewaterhouseCoopers LLP

 

Philadelphia, Pennsylvania
October 29, 2024

 

We have served as the auditor of one or more Altair Advisers, LLC investment companies since 2015.

 

23

 

 

AQUARIUS INTERNATIONAL FUND

 


SHAREHOLDER TAX INFORMATION

 

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the following dividends and distributions were paid by the Fund:

 

Ordinary
Income

Long-Term
Gains

$10,001,068

$—

 

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, 2024 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:

 

Aquarius International Fund

90.32%

 

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 2024. 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 2025.

 

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. The Fund passed through foreign tax credits of $1,314,021 and earned $12,642,809 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 Fund.

 

24

 

 

AQUARIUS INTERNATIONAL FUND

 


Other Information

 

APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (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, Boston Partners Global Investors, Inc., Driehaus Capital Management, LLC, and Mawer Investment Management, Ltd. (collectively, the “Sub-Advisers”) (together, the “Sub-Advisory Agreements”), at a meeting of the Board held on May 15-16, 2024 (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 ending August 16, 2025. 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 arrangements. 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 between the Company and Altair with respect to the Fund, and the Sub-Advisory Agreements among the Company, Altair and each of the Sub-Advisers 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. The Directors reviewed these materials with management of Altair and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of Altair or the Sub-Advisers were present. 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, as applicable; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its 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 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.

 

The Directors also considered the investment performance of the Fund, noting that the Fund had underperformed its benchmark, the MSCI ACWI ex USA Gross Index, for the three-month, one-year, three-year, five-year, and since-inception periods ended December 31, 2023. The Directors considered the Fund’s investment performance in light of its investment objective and investment strategies. The Board noted that the Fund’s total return outperformed the median of its Peer Group for the one-year, three-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and five-year periods ended December 31, 2023.

 

The Board also considered the advisory fee rate payable by the Fund under the Investment Advisory Agreement and Sub-Advisory Agreements. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratios were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that both the Fund’s net advisory fee and total net expenses were below the median and in the 1st quartile (least expensive) of its Peer Group. The Directors considered that the Fund does not pay a contractual

 

25

 

 

AQUARIUS INTERNATIONAL FUND

 


Other Information (CONCLUDED)

 

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 reimbursement to be made 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, 2025.

 

26

 

 

Investment Adviser
Altair Advisers, LLC
303 West Madison Street, Suite 600
Chicago, IL 60606

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street, Suite 1800
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

 

 

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

 

 

Table of Contents

     

Schedules of Investments

1

Statements of Assets and Liabilities

55

Statements of Operations

61

Statements of Changes in Net Assets

64

Financial Highlights

70

Notes to Financial Statements

76

Report of Independent Registered Public Accounting Firm

89

Shareholder Tax Information

91

Other Information

93

 

 

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS ALL-CAP VALUE FUND

Schedule of Investments

 

 

   

Shares

   

Value

 

COMMON STOCKS — 98.8%

       

Communication Services — 4.9%

               

Alphabet, Inc. - Class A

    223,756     $ 36,557,255  

Electronic Arts, Inc.

    17,788       2,700,574  

Interpublic Group of Cos., Inc. (a)

    191,779       6,253,913  

Match Group, Inc. (b)

    187,684       6,983,722  

Omnicom Group, Inc. (a)

    65,735       6,601,766  

Take-Two Interactive Software, Inc. (b)

    84,705       13,697,646  
              72,794,876  

Consumer Discretionary — 7.2%

               

AutoZone, Inc. (b)

    4,460       14,189,401  

Booking Holdings, Inc.

    7,033       27,493,615  

Harley-Davidson, Inc. (a)

    330,369       12,369,015  

LKQ Corp.

    180,500       7,506,995  

NVR, Inc. (b)

    3,144       28,838,214  

Tempur Sealy International, Inc. (a)

    180,717       9,474,992  

Wyndham Hotels & Resorts, Inc.

    101,025       7,950,668  
              107,822,900  

Consumer Staples — 3.4%

               

Coca-Cola Europacific Partners PLC

    59,516       4,790,443  

J M Smucker Co.

    70,107       8,039,871  

Kenvue, Inc.

    376,813       8,271,045  

Keurig Dr Pepper, Inc.

    325,764       11,926,220  

Philip Morris International, Inc.

    145,469       17,934,873  
              50,962,452  

Energy — 4.3%

               

BP PLC - ADR

    117,224       3,980,927  

Canadian Natural Resources Ltd.

    223,888       8,106,984  

Chord Energy Corp.

    59,616       8,848,803  

ConocoPhillips

    58,192       6,621,668  

Exxon Mobil Corp. (a)

    60,588       7,145,749  

Halliburton Co.

    238,698       7,421,121  

Phillips 66

    42,094       5,906,209  

Schlumberger Ltd.

    218,701       9,620,657  

Shell PLC - ADR

    83,247       5,965,480  
              63,617,598  

Financials — 25.4%

               

Aflac, Inc. (a)

    84,647       9,341,643  

Allstate Corp.

    50,019       9,450,590  

American International Group, Inc.

    316,389       24,377,773  

Aon PLC - Class A

    22,426       7,708,265  

Bank of America Corp.

    625,590       25,492,793  

Charles Schwab Corp.

    101,654       6,617,675  

Chubb Ltd.

    73,518       20,892,345  

Citigroup, Inc.

    234,196       14,670,037  

Corpay, Inc. (b)

    94,262       29,744,374  

Discover Financial Services

    101,333       14,055,900  

Fidelity National Information Services, Inc.

    120,701       9,951,797  

First American Financial Corp.

    180,086       11,489,487  

Global Payments, Inc.

    108,367       12,029,821  

Goldman Sachs Group, Inc.

    39,199       20,001,290  

JPMorgan Chase & Co.

    148,671       33,421,241  

Loews Corp.

    179,070       14,672,996  

Markel Group, Inc. (b)

    11,429       18,294,172  

Renaissance Holdings Ltd.

    71,498       18,216,975  

Shift4 Payments, Inc. - Class A (a)(b)

    99,104       8,235,542  

Synchrony Financial

    139,539       7,013,230  

Travelers Cos., Inc.

    56,348       12,851,288  

Visa, Inc. - Class A

    75,044       20,739,910  

Financials — (continued)

               

Wells Fargo & Co.

    228,851       13,380,918  

White Mountains Insurance Group Ltd.

    8,661       15,972,963  
              378,623,025  

Health Care — 20.0%

               

AbbVie, Inc.

    153,728       30,178,344  

Amgen, Inc.

    57,430       19,171,857  

AMN Healthcare Services, Inc. (a)(b)

    190,288       10,090,973  

Avantor, Inc. (a)(b)

    491,740       12,706,561  

Bristol-Myers Squibb Co.

    467,215       23,337,389  

Cencora, Inc.

    64,678       15,494,908  

Centene Corp. (b)

    171,090       13,487,025  

Cigna Group

    25,470       9,215,301  

Elevance Health, Inc.

    39,298       21,884,663  

Humana, Inc.

    27,783       9,848,240  

Johnson & Johnson

    185,938       30,839,677  

McKesson Corp.

    24,101       13,522,589  

Medtronic PLC

    194,155       17,198,250  

Merck & Co., Inc.

    168,592       19,969,722  

Sanofi SA - ADR

    409,731       23,051,466  

UnitedHealth Group, Inc.

    37,666       22,230,473  

Zimmer Biomet Holdings, Inc.

    51,313       5,924,599  
              298,152,037  

Industrials — 14.2%

               

Acuity Brands, Inc.

    44,666       11,376,430  

Advanced Drainage Systems, Inc.

    31,248       4,898,437  

Allegion PLC

    110,943       15,403,326  

Allison Transmission Holdings, Inc.

    110,299       10,230,232  

AMETEK, Inc.

    46,210       7,904,221  

Beacon Roofing Supply, Inc. (b)

    102,556       9,291,574  

Curtiss-Wright Corp.

    28,842       9,110,034  

EnerSys

    36,902       3,739,280  

Equifax, Inc.

    30,796       9,458,375  

Expeditors International of Washington, Inc.

    109,570       13,522,034  

Huron Consulting Group, Inc. (b)

    81,888       9,043,711  

Landstar System, Inc.

    56,435       10,302,774  

Leidos Holdings, Inc.

    53,477       8,476,639  

Masco Corp.

    91,674       7,293,583  

Middleby Corp. (b)

    60,545       8,513,838  

Resideo Technologies, Inc. (b)

    132,010       2,661,322  

Robert Half, Inc. (a)

    115,987       7,268,905  

Science Applications International Corp.

    108,020       14,106,332  

Sensata Technologies Holding PLC

    238,057       9,177,097  

SS&C Technologies Holdings, Inc.

    177,727       13,345,520  

Textron, Inc.

    108,821       9,924,475  

Westinghouse Air Brake Technologies Corp.

    102,648       17,406,021  
              212,454,160  

Information Technology — 16.5%

               

Analog Devices, Inc.

    73,573       17,277,883  

Applied Materials, Inc.

    45,139       8,904,119  

Arrow Electronics, Inc. (b)

    69,846       9,434,798  

CDW Corp.

    34,042       7,681,237  

Check Point Software Technologies Ltd. (b)

    151,409       29,146,233  

Cisco Systems, Inc.

    328,857       16,620,433  

Cognizant Technology Solutions Corp. - Class A

    196,119       15,252,175  

Dell Technologies, Inc. - Class C

    122,340       14,135,164  

 

 

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

 

Financial Statements 2024 | 1

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS ALL-CAP VALUE FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Information Technology — (continued)

               

Flex Ltd. (b)

    415,372     $ 13,495,436  

Gen Digital, Inc.

    133,875       3,542,332  

Hewlett Packard Enterprise Co.

    234,678       4,545,713  

Jabil, Inc.

    83,169       9,088,708  

KLA Corp.

    13,063       10,704,214  

Lam Research Corp.

    9,970       8,185,470  

Microchip Technology, Inc.

    281,902       23,161,068  

Nice Ltd. - ADR (a)(b)

    35,170       6,110,436  

Oracle Corp.

    209,196       29,557,303  

QUALCOMM, Inc.

    76,434       13,398,880  

TE Connectivity Ltd.

    38,372       5,893,939  
              246,135,541  

Materials — 2.9%

               

Corteva, Inc.

    145,667       8,346,719  

CRH PLC

    319,472       28,998,474  

FMC Corp.

    105,783       6,831,466  
              44,176,659  

TOTAL COMMON STOCKS (Cost $836,775,877)

            1,474,739,248  

 

   

Units

         

SHORT-TERM INVESTMENTS — 5.1%

               

Investments Purchased with Proceeds from Securities Lending — 5.1%

               
Mount Vernon Liquid Assets Portfolio, LLC, 5.50% (c)     75,809,274     $ 75,809,274  

TOTAL SHORT-TERM INVESTMENTS (Cost $75,809,274)

            75,809,274  

TOTAL INVESTMENTS — 103.9% (Cost $912,585,151)

            1,550,548,522  

Liabilities in Excess of Other Assets — (3.9)%

            (57,584,292 )

TOTAL NET ASSETS — 100.0%

          $ 1,492,964,230  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $74,254,911 which represented 5.0% of net assets.

(b)

Non-income producing security.

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 2

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS ALL-CAP VALUE FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 1,474,739,248     $     $     $ 1,474,739,248  

Investments Purchased with Proceeds from Securities Lending(a)

                      75,809,274  

Total Investments

  $ 1,474,739,248     $     $     $ 1,550,548,522  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. These investments can be classified as Investments Purchased with Proceeds from Securities Lending and their fair value totals to $75,809,274. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

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

 

Financial Statements 2024 | 3

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 61.9%

       

Austria — 0.8%

               

Erste Group Bank AG

    9,025     $ 493,982  

Brazil — 6.4%

               

BRF SA (a)

    152,900       701,838  

Eletromidia SA

    151,278       475,902  

Embraer SA (a)

    65,300       537,258  

Itau Unibanco Holding SA - ADR (b)

    135,135       881,080  
Lojas Renner SA     117,400       359,535  

Marfrig Global Foods SA (a)

    80,500       206,394  

Minerva SA

    97,400       129,442  

TIM SA

    177,500       561,227  
              3,852,676  

Chile — 0.3%

               

Cencosud SA

    98,645       199,726  

China — 22.2%

               

Angel Yeast Co., Ltd. - Class A (b)

    104,400       459,576  

Chengxin Lithium Group Co., Ltd. - Class A (b)

    102,300       172,758  

China Merchants Expressway Network & Technology Holdings Co., Ltd. - Class A (b)

    251,500       427,197  

Chongqing Baiya Sanitary Products Co., Ltd. - Class A (b)

    100,400       319,238  

Contemporary Amperex Technology Co., Ltd. - Class A (b)

    5,200       134,773  

COSCO SHIPPING Holdings Co., Ltd. - Class A (b)

    550,600       971,938  

GDS Holdings Ltd. - ADR (a)(b)

    44,985       766,095  

Ginlong Technologies Co., Ltd. - Class A (b)

    44,000       369,112  

Gree Electric Appliances, Inc. of Zhuhai - Class A (b)

    26,100       145,905  

Hangzhou Chang Chuan Technology Co., Ltd. - Class A (b)

    71,300       307,306  

Hangzhou Great Star Industrial Co., Ltd. - Class A (b)

    179,400       675,001  

Hoymiles Power Electronics, Inc. - Class A (b)

    40,264       750,188  

JD.com, Inc. - ADR (b)

    53,545       1,445,715  

Jiangsu Jiejie Microelectronics Co., Ltd. - Class A (b)

    240,800       637,686  

Luxi Chemical Group Co., Ltd. - Class A (b)

    485,800       735,817  

Ningbo Deye Technology Co., Ltd. - Class A (b)

    26,900       343,260  

Quectel Wireless Solutions Co., Ltd. - Class A (b)

    39,900       245,803  

Shengyi Technology Co., Ltd. - Class A (b)

    108,300       269,822  

Shenzhen Topband Co., Ltd. - Class A (b)

    318,600       442,398  

Sunwoda Electronic Co., Ltd. - Class A (b)

    182,200       430,624  

Tianqi Lithium Corp. - Class A (b)

    46,200       171,057  

Will Semiconductor Co., Ltd. - Class A (b)

    14,400       183,643  

Wuxi NCE Power Co., Ltd. - Class A (b)

    304,800       1,281,233  

Yunnan Yuntianhua Co., Ltd. - Class A (b)

    269,600       784,321  

Zhejiang NHU Co., Ltd. - Class A (b)

    201,200       548,041  

Zhejiang Taihua New Material Group Co., Ltd. - Class A (b)

    217,500       321,199  
              13,339,706  

Cyprus — 0.0%(c)

               

Fix Price Group PLC - GDR (d)

    21,704       0  

Greece — 1.1%

               

Hellenic Telecommunications Organization SA

    41,633       675,005  

Hungary — 0.3%

               

Richter Gedeon Nyrt

    5,515       167,066  

India — 5.5%

               

Adani Wilmar Ltd. (a)

    104,859       452,513  

Bajaj Auto Ltd.

    1,590       206,439  

Bandhan Bank Ltd. (e)

    314,077       750,895  

Chambal Fertilisers and Chemicals Ltd.

    60,279       373,958  

Natco Pharma Ltd.

    38,713       711,126  

UPL Ltd.

    47,317       337,411  

Zydus Lifesciences Ltd.

    32,423       436,168  
              3,268,510  

Indonesia — 0.3%

               

Kalbe Farma Tbk PT

    1,439,700       153,705  

Mexico — 6.5%

               

America Movil SAB de CV (a)

    1,828,500       1,511,506  

Fibra Uno Administracion SAB de CV

    475,500       560,626  

Gruma SAB de CV - Class B

    9,325       171,621  

Grupo Comercial Chedraui SAB de CV

    24,000       182,587  

Kimberly-Clark de Mexico SAB de CV - Class A

    451,000       740,360  

Prologis Property Mexico SAB de CV

    237,000       753,206  
              3,919,906  

South Africa — 1.8%

               

Life Healthcare Group Holdings Ltd.

    94,465       76,139  

Mr Price Group Ltd.

    27,208       369,920  

Sasol Ltd.

    19,242       147,750  

Vodacom Group Ltd.

    78,822       487,102  
              1,080,911  

South Korea — 6.0%

               

Amorepacific Corp.

    4,099       380,808  

Chunbo Co., Ltd. (a)

    2,918       131,150  

CJ ENM Co., Ltd. (a)

    3,113       169,336  

GS Engineering & Construction Corp. (a)

    12,089       185,913  

Hana Financial Group, Inc.

    3,196       148,374  

Hansol Chemical Co., Ltd.

    3,024       327,244  

HD Hyundai Co., Ltd.

    3,031       183,734  

Hyundai Rotem Co., Ltd.

    5,257       212,641  

KCC Corp.

    202       43,376  

KEPCO Plant Service & Engineering Co., Ltd.

    4,839       150,828  

Kumho Petrochemical Co., Ltd.

    11,164       1,144,880  

LG H&H Co., Ltd.

    746       198,070  

Samsung E&A Co., Ltd. (a)

    17,414       331,569  
              3,607,923  

Taiwan — 6.0%

               

Evergreen Marine Corp. Taiwan Ltd.

    92,000       541,102  

Goldsun Building Materials Co., Ltd.

    518,000       887,428  

 

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

 

Financial Statements 2024 | 4

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Taiwan — (continued)

               

Nien Made Enterprise Co., Ltd.

    15,000     $ 219,526  

Taiwan Semiconductor Manufacturing Co., Ltd.

    40,000       1,184,215  

Walsin Technology Corp.

    44,000       152,647  

Yang Ming Marine Transport Corp.

    301,000       607,526  
              3,592,444  

Thailand — 3.0%

               

Com7 PCL - NVDR

    700,500       507,028  

Kasikornbank PCL - NVDR

    209,500       885,062  

Thai Beverage PCL

    968,800       393,848  
              1,785,938  

United Arab Emirates — 0.4%

               

Abu Dhabi Islamic Bank PJSC

    68,251       234,512  

United Kingdom — 1.0%

               

Hikma Pharmaceuticals PLC

    13,515       353,260  

Pepco Group NV (a)

    50,296       235,107  
              588,367  

United States — 0.3%

               

Diodes, Inc. (a)

    2,551       177,779  

TOTAL COMMON STOCKS (Cost $34,546,700)

            37,138,156  
                 

PREFERRED STOCKS — 0.3%

               

South Korea — 0.3%

               

Samsung Electronics Co., Ltd.

    3,440       154,564  

TOTAL PREFERRED STOCKS (Cost $56,872)

            154,564  
                 
   

UNITS

         

SHORT-TERM INVESTMENTS — 17.6%

               

Money Market Funds — 17.6%

               

BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.15% (b)(f)

    2,641,656       2,641,656  

Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.11% (b)(f)

    2,641,656       2,641,656  

Fidelity Treasury Portfolio - Class I, 5.16% (b)(f)

    2,641,656       2,641,656  

Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.12% (b)(f)

    2,641,656       2,641,656  

TOTAL SHORT-TERM INVESTMENTS (Cost $10,566,624)

            10,566,624  

TOTAL INVESTMENTS — 79.8% (Cost $45,170,196)

            47,859,344  

Other Assets in Excess of Liabilities — 20.2%

            12,108,261  

TOTAL NET ASSETS — 100.0%

          $ 59,967,605  

 

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt

AG

Aktiengesellschaft

GDR

Global Depositary Receipt

NV

Naamloze Vennootschap

NVDR

Non-Voting Depositary Receipt

PJSC

Public Joint Stock Company

PLC

Public Limited Company

SA

Sociedad Anónima

SAB de CV

Sociedad Anónima Bursátil de Capital Variable

 

(a)

Non-income producing security.

(b)

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

(c)

Represents less than 0.05% of net assets.

(d)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $0 or 0.0% of net assets as of August 31, 2024.

(e)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $750,895 or 1.3% of the Fund’s net assets.

(f)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 5

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Schedule Of Securities Sold Short

 

Shares

   

Value

 

COMMON STOCKS — (2.1)%

       

Greece — (1.0)%

               

Metlen Energy & Metals SA

    (16,000 )   $ (600,829 )

India — (0.7)%

               

HDFC Bank Ltd. - ADR

    (7,317 )     (447,142 )

South Korea — (0.4)%

               

Hyundai Motor Co. - GDR

    (3,189 )     (213,934 )

TOTAL COMMON STOCKS (Proceeds $1,208,836)

            (1,261,905 )

TOTAL SECURITIES SOLD SHORT — (2.1)% (Proceeds $1,208,836)

          $ (1,261,905 )

 

 

Percentages are stated as a percent of net assets.

 

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

 

Financial Statements 2024 | 6

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Contracts For Difference held by the Fund at August 31, 2024, are as follows:

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

AAC Technologies Holdings, Inc.

Morgan Stanley

Receive

1 mo. HIBOR HKD + 0.50% = 5.12%

Termination

    07/30/2027  

HKD

    2,635,425     $ 41,336  

Alibaba Group Holding Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.04%

Termination

    08/02/2027  

HKD

    18,350,685       114,153  

Alpek SAB de CV

Morgan Stanley

Receive

EFFR + 0.65% = 5.98%

Termination

    12/02/2025             44,490       (10,523 )

Alpek SAB de CV

Morgan Stanley

Receive

EFFR + 0.65% = 5.88%

Termination

    11/23/2026             260,112       (74,847 )

Atacadao SA

J.P. Morgan Securities, Inc.

Receive

OBFR + 0.60% = 5.92%

Termination

    05/10/2027             703,493       (183,076 )

Chervon Holdings Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.06%

Termination

    01/19/2027  

HKD

    2,557,250       (46,020 )

CJ ENM Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    04/26/2027             359,563       (12,116 )

Coca-Cola Femsa SAB de CV

Goldman Sachs

Receive

EFFR + 0.40% = 5.73%

Termination

    08/06/2027             356,756       (5,334 )

Controladora Vuela Cia de Aviacion SAB de CV

J.P. Morgan Securities, Inc.

Receive

EFFR + 0.60% = 5.93%

Termination

    06/07/2027             211,914       (59,453 )

DBS Group Holdings Ltd.

Goldman Sachs

Receive

SORA + 1.00% = 4.06%

Termination

    12/08/2025  

SGD

    170,023       25,778  

Detsky Mir PJSC

Goldman Sachs

Receive

1 mo. LIBOR US + 0.85% = 0.16%

Monthly

    09/18/2025             0       (178,548 )

Ecopro BM Co. Ltd.

J.P. Morgan Securities, Inc.

Receive

OBFR + 0.50% = 5.82%

Termination

    10/19/2026             79,246       (5,115 )

Geely Automobile Holdings Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 4.42%

Termination

    08/30/2027  

HKD

    3,007,620       11,693  

Genius Electronic Optical Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.65% = 5.98%

Termination

    12/10/2025             282,588       67,134  

Genomma Lab Internacional SAB de CV

J.P. Morgan Securities, Inc.

Receive

OBFR + 0.60% = 5.92%

Termination

    08/06/2027             148,590       1,075  

Giant Manufacturing Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027             261,488       23,096  

Greentown China Holdings Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.07%

Termination

    12/14/2026  

HKD

    3,043,650       (74,672 )

Grupo Bimbo SAB de CV

Morgan Stanley

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027             438,386       2,640  

HD Korea Shipbuilding & Offshore Engineering Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    07/30/2027             196,006       6,779  

HeadHunter Group PLC

Morgan Stanley

Receive

EFFR + 0.55% = 5.88%

Monthly

    09/23/2026             0       (116,107 )

Hypera SA

J.P. Morgan Securities, Inc.

Receive

OBFR + 0.60% = 5.92%

Termination

    08/09/2027             460,945       (7,761 )

Hyundai Glovis Co. Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    07/12/2027             295,123       (17,218 )

ICL Group Ltd.

Goldman Sachs

Receive

TELBOR01 INDEX + 0.70% = 5.20%

Termination

    08/25/2027  

ILS

    931,692       15,208  

JBS S/A

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    07/26/2027             343,829       56,390  

Kangwon Land, Inc.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    05/03/2027             528,591       28,204  

KCC Corp.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    07/30/2027             137,904       (17,692 )

Korea Zinc Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    05/31/2027             497,814       41,969  

Korean Air Lines Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    07/29/2027             497,419       35,460  

Krafton, Inc.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027             583,819       41,880  

KT Corp.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    08/09/2027             478,913       28,601  

Kumho Petrochemical Co. Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    07/30/2027             146,856       (7,375 )

Largan Precision Co. Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027             390,122       48,778  

 

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

 

Financial Statements 2024 | 7

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

LG Electronics, Inc.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    07/30/2027  

$

    475,626     $ (21,714 )

LG Energy Solution Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    10/19/2026         232,361       37,061  

LG Innotek Co. Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    07/26/2027         331,515       16,123  

Lojas Renner SA

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    04/30/2027         325,236       (5,951 )

Magazine Luiza SA

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    04/30/2027         255,482       (80,508 )

Millicom International Cellular SA

Goldman Sachs

Receive

STIB1D INDEX + 1.00% = 4.75%

Termination

    08/23/2027  

SEK

    1,452,549       (2,016 )

Millicom International Cellular SA

Morgan Stanley

Receive

STIB1D INDEX + 0.40% = 4.15%

Termination

    06/11/2027  

SEK

    3,409,269       (1,551 )

Mosaic Co.

Goldman Sachs

Receive

EFFR + 0.40% = 5.84%

Termination

    11/10/2026         181,391       (35,618 )

Rede D’Or Sao Luiz SA

J.P. Morgan Securities, Inc.

Receive

OBFR + 0.60% = 5.92%

Termination

    06/14/2027         752,109       75,817  

Samsung Electro-Mechanics Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    07/01/2027         746,150       (78,336 )

Samsung Electronics Co. Ltd.

Goldman Sachs

Receive

SONIA + 0.40% = 6.29%

Termination

    03/30/2026         613,431       19,070  

Samsung Electronics Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    04/29/2027         464,109       (26,419 )

Samsung Securities Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    08/02/2027         335,421       27,167  

Sberbank of Russia PJSC

Goldman Sachs

Receive

EFFR + 0.96% = 6.29%

Monthly

    09/16/2025         0       (1,057 )

Silergy Corp.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027         1,208,596       84,279  

Sino Biopharmaceutical Ltd.

Morgan Stanley

Receive

1 mo. HIBOR HKD + 0.50% = 4.83%

Termination

    08/06/2027  

HKD

    2,739,040       46,143  

SK Telecom Co. Ltd.

Goldman Sachs

Receive

EFFR + 0.65% = 5.98%

Termination

    08/02/2027         1,234,578       31,519  

SOOP Co. Ltd.

Morgan Stanley

Receive

EFFR + 0.63% = 5.96%

Termination

    08/02/2027         226,114       (2,117 )

STO Express Co. Ltd.

HSBC Bank

Receive

SOFR + 0.85% = 6.25%

Termination

    07/05/2027         354,715       38,008  

Sunny Optical Technology Group Co. Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.12%

Termination

    07/30/2027  

HKD

    2,463,300       11,190  

Techtronic Industries Co. Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.06%

Termination

    01/19/2027  

HKD

    7,987,600       182,912  

Tencent Holdings Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 4.58%

Termination

    08/23/2027  

HKD

    14,057,600       22,098  

Teva Pharmaceutical Industries Ltd.

Morgan Stanley

Receive

EFFR + 0.40% = 5.73%

Termination

    09/23/2026         698,624       73,637  

Teva Pharmaceutical Industries Ltd.

Morgan Stanley

Receive

EFFR + 0.40% = 5.88%

Termination

    10/19/2026         168,226       44,177  

WH Group Ltd.

Goldman Sachs

Receive

1 mo. HIBOR HKD + 0.50% = 5.12%

Termination

    07/30/2027  

HKD

    7,276,080       58,938  

Zhen Ding Technology Holding Ltd.

Goldman Sachs

Receive

EFFR + 0.76% = 6.09%

Termination

    08/02/2027         309,206       493  

Zhen Ding Technology Holding Ltd.

Morgan Stanley

Receive

EFFR + 0.85% = 6.18%

Termination

    08/02/2027         144,014       11  

Accton Technology Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 2.83%

Termination

    03/19/2027         (476,399 )     (62,465 )

Acer, Inc.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 2.15%

Termination

    11/16/2026         (289,934 )     (71,891 )

Adient PLC

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/13/2027         (257,823 )     (22,456 )

Adient PLC

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (246,943 )     (10,637 )

Advantech Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    10/13/2026         (54,548 )     (926 )

Advantech Co. Ltd.

Morgan Stanley

Pay

EFFR + (1.25)% = 3.71%

Termination

    11/09/2026         (98,187 )     (1,642 )

Aerospace Industrial Development Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/23/2027         (229,472 )     (4,833 )

 

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

 

Financial Statements 2024 | 8

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Aerospace Industrial Development Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (2.17)%

Termination

    02/22/2027  

$

    (68,221 )   $ (1,844 )

Airports of Thailand PCL

Goldman Sachs

Pay

EFFR + (0.65)% = 4.68%

Termination

    08/16/2027         (541,625 )     (38,983 )

Airtac International Group

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/09/2027         (351,516 )     (49,025 )

AKR Corporindo Tbk PT

Bank of America Securities, Inc.

Pay

EFFR + (3.00)% = 2.33%

Termination

    02/22/2027         (45,222 )     2,456  

AKR Corporindo Tbk PT

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 2.92%

Termination

    04/05/2027         (119,474 )     13,070  

AKR Corporindo Tbk PT

Morgan Stanley

Pay

EFFR + (0.75)% = 4.58%

Termination

    08/12/2027         (9,818 )     (651 )

Al Hammadi Co. for Development and Investment

J.P. Morgan Securities, Inc.

Pay

EFFR + (0.35)% = 4.98%

Termination

    08/23/2027         (175,424 )     2,461  

AMATA CORP

Morgan Stanley

Pay

EFFR + (1.55)% = 3.78%

Termination

    08/26/2027         (157,432 )     (14,246 )

Amorepacific Corp.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    12/08/2025         (381,716 )     23,400  

Antofagasta PLC

Goldman Sachs

Pay

0.00%

Termination

    09/03/2027  

GBP

    (157,251 )     0  

Arcos Dorados Holdings, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/16/2027         (428,516 )     46,313  

Arcos Dorados Holdings, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (59,136 )     262  

ASMedia Technology, Inc.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/23/2027         (110,660 )     (5,298 )

ASMedia Technology, Inc.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (5.05)%

Termination

    08/09/2027         (387,309 )     (77,399 )

ASMedia Technology, Inc.

Morgan Stanley

Pay

EFFR + (12.75)% = (19.69)%

Termination

    08/27/2027         (442,638 )     (39,598 )

Axis Bank Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 4.83%

Termination

    02/16/2027         (513,578 )     (2,638 )

Bid Corp. Ltd.

Morgan Stanley

Pay

South Africa Rand Overnight Deposit Rate + (0.75)% = 7.32%

Termination

    08/06/2027  

ZAR

    (5,572,031 )     (1,840 )

Bora Pharmaceuticals Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = (1.17)%

Termination

    07/23/2027         (327,352 )     30,651  

Budimex SA

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (294,481 )     (366 )

Budweiser Brewing Co. APAC Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 2.99%

Termination

    02/22/2027  

HKD

    (4,070,528 )     178,071  

Budweiser Brewing Co. APAC Ltd.

Morgan Stanley

Pay

HONIA + (0.50)% = 3.34%

Termination

    05/10/2027  

HKD

    (262,528 )     7,859  

Camtek Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/16/2026         (83,829 )     (32,397 )

Camtek Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/14/2026         (194,510 )     (13,764 )

Cemex SAB de CV

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/05/2027         (309,927 )     (4,745 )

Central Retail Corp. PCL

HSBC Bank

Pay

SOFR + (0.80)% = 2.55%

Termination

    02/22/2027         (202,303 )     18,329  

Chenbro Micom Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (7.67)%

Termination

    08/09/2027         (274,304 )     (34,250 )

China Coal Energy Co. Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 2.99%

Termination

    07/28/2026  

HKD

    (1,780,120 )     (98,460 )

China Motor Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/12/2027         (221,413 )   6,250  

China Shenhua Energy Co. Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 3.39%

Termination

    07/28/2026  

HKD

    (1,718,700 )     (78,124 )

Chunbo Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 1.08%

Termination

    12/12/2025         (29,411 )     90,032  

Chunbo Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.50)% = (2.94)%

Termination

    08/07/2026         (19,563 )     38,641  

Chunbo Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = 0.33%

Termination

    12/08/2025         (81,652 )     251,841  

Cie Financiere Richemont SA

Morgan Stanley

Pay

SARON + 0.35% = 1.56%

Termination

    08/12/2027  

CHF

    (222,593 )     (12,011 )

 

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

 

Financial Statements 2024 | 9

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Compal Electronics, Inc.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.20%

Termination

    11/13/2026  

$

    (412,016 )   $ (38,366 )

Corp. Inmobiliaria Vesta SAB de CV

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.75)% = 4.57%

Termination

    08/09/2027         (225,028 )     11,481  

COSCO SHIPPING Energy Transportation Co. Ltd.

HSBC Bank

Pay

1 mo. HIBOR HKD + (0.35)% = 4.03%

Termination

    04/02/2027  

HKD

    (3,650,820 )     (41,127 )

Cowell e Holdings, Inc.

Goldman Sachs

Pay

HONIA + (0.50)% = (4.67)%

Termination

    04/09/2027  

HKD

    (2,386,800 )     (83,934 )

Cowell e Holdings, Inc.

Morgan Stanley

Pay

HONIA + (0.50)% = 3.30%

Termination

    08/27/2027  

HKD

    (1,147,500 )     714  

CSPC Innovation Pharmaceutical Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = (8.28)%

Termination

    04/02/2027         (167,842 )     38,124  

CSPC Innovation Pharmaceutical Co. Ltd.

Morgan Stanley

Pay

EFFR + (15.65)% = (10.32)%

Termination

    05/13/2027         (29,752 )     10,619  

Dino Polska SA

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/10/2027         (455,125 )     51,079  

EcoPro BM Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 0.33%

Termination

    05/04/2026         (212,792 )     94,476  

EcoPro Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = (4.67)%

Termination

    11/09/2026         (80,419 )     38,957  

Elan Microelectronics Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 1.83%

Termination

    02/22/2027         (900,656 )     (28,715 )

Elan Microelectronics Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    05/10/2027         (45,952 )     2,944  

Elite Material Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = 0.33%

Termination

    02/22/2027         (58,143 )     8,767  

Elite Material Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 0.31%

Termination

    11/13/2026         (116,286 )     (16,187 )

Ennoconn Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    09/03/2027         (238,501 )     0  

Estun Automation Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.90)% = 4.44%

Termination

    09/06/2027         (5,122 )     0  

Estun Automation Co. Ltd.

HSBC Bank

Pay

SOFR + (0.85)% = 2.33%

Termination

    09/02/2027         (28,945 )     (1,024 )

Estun Automation Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = 5.02%

Termination

    08/16/2027         (17,470 )     1,044  

Estun Automation Co. Ltd.

Morgan Stanley

Pay

OBFR + (0.30)% = 5.02%

Termination

    08/16/2027         (83,066 )     966  

Faraday Technology Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = (5.67)%

Termination

    12/08/2025         (38,012 )     (3,605 )

Faraday Technology Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/06/2027         (123,539 )     (8,709 )

Faraday Technology Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = (0.67)%

Termination

    05/06/2027         (186,809 )     (13,844 )

Fortune Electric Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (6.54)%

Termination

    08/12/2027         (166,802 )     (19,263 )

Fortune Electric Co. Ltd.

Morgan Stanley

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/27/2027         (104,251 )     (637 )

Fositek Corp.

Morgan Stanley

Pay

EFFR + (34.75)% = (29.42)%

Termination

    05/06/2027         (550,860 )     (53,885 )

Gamuda Bhd

HSBC Bank

Pay

SOFR + (0.85)% = 2.33%

Termination

    05/06/2027         (196,067 )     (70,725 )

GCC SAB de CV

Morgan Stanley

Pay

EFFR + (0.50)% = 4.83%

Termination

    12/02/2025         (174,812 )     22,653  

GCC SAB de CV

Morgan Stanley

Pay

EFFR + (0.50)% = 4.78%

Termination

    02/09/2027         (118,688 )   67,303  

Global Unichip Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = (1.92)%

Termination

    11/13/2026         (139,419 )     26,998  

Global Unichip Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (2.31)%

Termination

    05/10/2027         (34,855 )     4,959  

Great Tree Pharmacy Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = (0.17)%

Termination

    10/19/2026         (210,642 )     100,562  

Great Tree Pharmacy Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 1.56%

Termination

    11/10/2026         (175,531 )     86,769  

Grupo Aeroportuario del Pacifico SAB de CV

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/14/2026         (204,154 )     (22,938 )

 

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

 

Financial Statements 2024 | 10

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Grupo Aeroportuario del Pacifico SAB de CV

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/14/2026

$

    (130,950 )   $ (23,838 )

Grupo Aeroportuario del Sureste SAB de CV

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027           (405,163 )     6,391  

Guanghui Energy Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (25.00)% = (19.67)%

Termination

    09/14/2026           (229,464 )     (41,606 )

Guanghui Energy Co. Ltd.

Goldman Sachs

Pay

EFFR + (17.25)% = (11.92)%

Termination

    09/11/2026           (90,221 )     (6,150 )

Hansol Chemical Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    12/12/2025           (103,844 )     52,451  

Hansol Chemical Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.50)% = 4.31%

Termination

    08/07/2026           (45,877 )     21,437  

Hansol Chemical Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = 4.78%

Termination

    12/08/2025           (176,708 )     93,501  

Hanwha Solutions Corp.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    11/09/2026           (151,360 )     37,454  

Hanwha Solutions Corp.

Morgan Stanley

Pay

EFFR + (0.62)% = 4.58%

Termination

    10/20/2026           (81,175 )     21,040  

Home Product Center PCL

Morgan Stanley

Pay

EFFR + (1.55)% = 4.08%

Termination

    08/13/2027           (481,579 )     (45,886 )

Huizhou Desay Sv Automotive Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.90)% = 4.43%

Termination

    08/13/2027           (29,590 )     (1,972 )

Huizhou Desay Sv Automotive Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (17.25)% = (12.06)%

Termination

    08/16/2027           (156,954 )     (7,172 )

Hyundai Motor Co.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    04/14/2026           (1,721 )     (416 )

Hyundai Motor Co.

Morgan Stanley

Pay

EFFR + (0.62)% = 4.78%

Termination

    12/08/2025           (201,210 )     (76,004 )

Jiangsu Pacific Quartz Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.90)% = (5.08)%

Termination

    04/05/2027           (98,509 )     115,824  

Jiangsu Pacific Quartz Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = 5.02%

Termination

    05/13/2027           (8,295 )     6,638  

Jiumaojiu International Holdings Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 2.89%

Termination

    10/19/2026

HKD

    (121,730 )     34,217  

Jiumaojiu International Holdings Ltd.

J.P. Morgan Securities, Inc.

Pay

HONIA + (0.40)% = 2.43%

Termination

    11/10/2026

HKD

    (549,080 )     173,059  

Jiumaojiu International Holdings Ltd.

Morgan Stanley

Pay

HONIA + (0.50)% = 3.30%

Termination

    07/30/2027

HKD

    (1,326,080 )     9,334  

JUMBO SA

Morgan Stanley

Pay

EONIA + (0.40)% = 3.26%

Termination

    08/16/2027

EUR

    (403,168 )     335  

Kakao Games Corp.

Goldman Sachs

Pay

EFFR + (0.37)% = (4.17)%

Termination

    10/19/2026           (216,557 )     62,489  

Kia Corp.

Morgan Stanley

Pay

EFFR + (0.62)% = 5.28%

Termination

    12/08/2025           (129,622 )     (48,430 )

King Slide Works Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = (7.92)%

Termination

    08/09/2027           (355,892 )     (61,297 )

Kum Yang Co. Ltd.

Goldman Sachs

Pay

EFFR + (18.50)% = (13.17)%

Termination

    11/09/2026           (61,625 )     49,092  

Land & Houses PCL

Morgan Stanley

Pay

EFFR + (28.88)% = (23.55)%

Termination

    08/26/2027           (155,753 )     (8,734 )

Lasertec Corp.

Goldman Sachs

Pay

TONA + (0.45)% = (0.22)%

Termination

    08/06/2027   JPY       (30,888,000 )   (34,057 )

Lasertec Corp.

HSBC Bank

Pay

TONA + (0.43)% = (0.40)%

Termination

    08/07/2026   JPY       (14,040,000 )     (24,353 )

Lattice Semiconductor Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/20/2027           (459,203 )     15,646  

Leejam Sports Co. JSC

Morgan Stanley

Pay

EFFR + (0.25)% = 0.39%

Termination

    11/12/2026           (347,384 )     (47,629 )

Leejam Sports Co. JSC

Morgan Stanley

Pay

EFFR + (0.25)% = 0.39%

Termination

    03/01/2027           (110,951 )     (2,684 )

Legend Biotech Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/07/2026           (118,841 )     (22,787 )

LG Energy Solution Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    10/19/2026           (358,708 )     71,937  

LG H&H Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.83%

Termination

    12/08/2025           (197,969 )     159,884  

Localiza Rent a Car SA

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    05/15/2026           (27,752 )     9,401  

 

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

 

Financial Statements 2024 | 11

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Localiza Rent a Car SA

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 5.06%

Termination

    05/18/2026   $       (370,699 )   $ 266,694  

Localiza Rent a Car SA

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/18/2026             (4,009 )     (774 )

Localiza Rent a Car SA

J.P. Morgan Securities, Inc.

Pay

EFFR + (0.27)% = 5.04%

Termination

    11/29/2030             (1,329 )     (1,354 )

Lotus Pharmaceutical Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/23/2027             (197,374 )     (6,568 )

Lotus Pharmaceutical Co., Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 0.06%

Termination

    11/10/2026             (260,175 )     (34,364 )

Lumi Rental Co.

Morgan Stanley

Pay

EFFR + (0.25)% = (3.48)%

Termination

    11/13/2026             (395,907 )     52,574  

MediaTek, Inc.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/09/2027             (736,480 )     (79,120 )

Melco Resorts & Entertainment Ltd.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027             (82,555 )     8,342  

Melco Resorts & Entertainment Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/05/2027             (321,413 )     58,240  

MGI Tech Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (25.00)% = (19.67)%

Termination

    04/09/2027             (122,045 )     30,582  

MGI Tech Co. Ltd.

HSBC Bank

Pay

SOFR + (0.85)% = 4.46%

Termination

    05/10/2027             (2,260 )     977  

MGI Tech Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (18.95)% = (12.52)%

Termination

    04/23/2027             (23,731 )     5,351  

MGI Tech Co. Ltd.

Morgan Stanley

Pay

EFFR + (30.00)% = (24.67)%

Termination

    05/13/2027             (32,302 )     12,345  

Middle East Healthcare Co.

Morgan Stanley

Pay

EFFR + (0.25)% = (0.92)%

Termination

    05/13/2027             (187,080 )     38,211  

Mitra Adiperkasa Tbk PT

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (0.44)%

Termination

    04/05/2027             (259,224 )     (14,971 )

Mitra Adiperkasa Tbk PT

Morgan Stanley

Pay

EFFR + (0.75)% = 1.28%

Termination

    02/23/2027             (55,757 )     1,163  

Mobileye Global, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027             (225,053 )     12,731  

Nanya Technology Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/16/2027             (408,553 )     811  

New Oriental Education & Technology Group, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/13/2027             (257,232 )     38,149  

New Oriental Education & Technology Group, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027             (112,754 )     14,133  

Nongfu Spring Co. Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 3.30%

Termination

    08/12/2027  

HKD

    (1,743,760 )     145  

Nova Ltd.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/19/2026             (330,854 )     (110,587 )

Novatek Microelectronics Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = (0.67)%

Termination

    11/13/2026             (573,929 )   (57,042 )

Novatek Microelectronics Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/06/2027             (118,162 )     (6,816 )

Nuvoton Technology Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = (1.17)%

Termination

    02/22/2027             (144,833 )     59,940  

Nuvoton Technology Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (1.69)%

Termination

    05/10/2027             (367,652 )     (19,196 )

Nuvoton Technology Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = (1.42)%

Termination

    08/02/2027             (259,028 )     37,233  

Ozon Holdings PLC

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Monthly

    09/16/2025             0       314,150  

Pegavision Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = (3.81)%

Termination

    08/09/2027             (354,361 )     (43,024 )

Perfect World Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = (8.02)%

Termination

    08/13/2027             (226,557 )     2,552  

Phison Electronics Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/09/2027             (349,234 )     (46,947 )

 

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

 

Financial Statements 2024 | 12

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Pingdingshan Tianan Coal Mining Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.90)% = (5.92)%

Termination

    10/16/2026   $       (61,075 )   $ (7,585 )

Pingdingshan Tianan Coal Mining Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = (0.62)%

Termination

    07/31/2026             (63,673 )     (18,448 )

POSCO Future M Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.40)% = (4.67)%

Termination

    11/09/2026             (147,405 )     28,222  

POSCO Future M Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.37)% = 2.08%

Termination

    10/19/2026             (92,329 )     51,983  

Raia Drogasil SA

Goldman Sachs

Pay

EFFR + (35.45)% = (30.12)%

Termination

    03/18/2027             (430,428 )     29,631  

Reliance Industries Ltd.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/09/2027             (499,989 )     (4,503 )

Remegen Co. Ltd.

Goldman Sachs

Pay

HONIA + (16.00)% = (12.50)%

Termination

    04/19/2027  

HKD

    (784,980 )     107,623  

Rohm Co. Ltd.

Goldman Sachs

Pay

TONA + (0.45)% = (0.37)%

Termination

    06/04/2027  

JPY

    (37,595,000 )     25,617  

Samsonite International SA

Goldman Sachs

Pay

HONIA + (0.50)% = 3.30%

Termination

    08/09/2027  

HKD

    (1,720,128 )     17,889  

Samsonite International SA

Morgan Stanley

Pay

HONIA + (0.50)% = 3.30%

Termination

    08/02/2027  

HKD

    (2,291,520 )     13,814  

Santos Brasil Participacoes SA

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/09/2027             (333,225 )     12,544  

Santos Brasil Participacoes SA

Morgan Stanley

Pay

EFFR + (0.62)% = 4.71%

Termination

    08/23/2027             (161,004 )     17,962  

Sercomm Corp.

Bank of America Securities, Inc.

Pay

EFFR + (0.40)% = 4.93%

Termination

    09/02/2027             (240,497 )     (4,820 )

Sercomm Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    08/23/2027             (243,982 )     (7,059 )

Sercomm Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/09/2027             (268,381 )     (28,656 )

Shanxi Coking Coal Energy Group Co., Ltd.

Goldman Sachs

Pay

EFFR + (0.90)% = (8.42)%

Termination

    09/11/2026             (252,408 )     266  

Shanxi Coking Coal Energy Group Co., Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = (7.32)%

Termination

    09/14/2026             (66,085 )     (1,282 )

Shenzhen Inovance Technology Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = 4.71%

Termination

    08/30/2027             (129,505 )     (11,858 )

Shenzhen Inovance Technology Co., Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = (0.13)%

Termination

    11/10/2026             (532,682 )     216,695  

SLC Agricola SA

Goldman Sachs

Pay

EFFR + (0.75)% = 4.58%

Termination

    02/09/2027             (227,319 )     54,771  

Sonoscape Medical Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (20.35)% = (15.02)%

Termination

    04/09/2027             (23,744 )     2,562  

Sonoscape Medical Corp.

Morgan Stanley

Pay

EFFR + (30.00)% = (24.67)%

Termination

    12/02/2025             (128,648 )   771  

Sonoscape Medical Corp. - A

J.P. Morgan Securities, Inc.

Pay

EFFR + (30.00)% = (24.67)%

Termination

    04/12/2027             (100,587 )     17,412  

Sonoscape Medical Corp. - A

Morgan Stanley

Pay

EFFR + (30.00)% = (24.67)%

Termination

    04/12/2027             (44,034 )     1,430  

StarPower Semiconductor Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (25.00)% = (13.42)%

Termination

    08/06/2027             (49,808 )     7,176  

StarPower Semiconductor Ltd.

Goldman Sachs

Pay

EFFR + (25.00)% = (13.42)%

Termination

    08/06/2027             (138,597 )     19,799  

Sumber Alfaria Trijaya Tbk PT

HSBC Bank

Pay

SOFR + (0.85)% = 1.83%

Termination

    03/15/2027             (130,317 )     (6,103 )

Sumber Alfaria Trijaya Tbk PT

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.73%

Termination

    02/22/2027             (412,586 )     (20,221 )

Taiwan Semiconductor Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = 1.58%

Termination

    05/10/2027             (36,968 )     1,007  

 

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

 

Financial Statements 2024 | 13

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Taiwan Semiconductor Co. Ltd.

Morgan Stanley

Pay

EFFR + (1.25)% = (0.17)%

Termination

    05/06/2027   $       (104,742 )   $ 4,263  

Tokyo Electron Ltd.

Goldman Sachs

Pay

TONA + (0.45)% = (0.46)%

Termination

    05/11/2026     JPY       (12,902,500 )     (36,382 )

Tong Yang Industry Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    08/09/2027             (470,656 )     (36,431 )

Tsingtao Brewery Co. Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 3.35%

Termination

    04/09/2027  

HKD

    (1,717,600 )     22,842  

Unigroup Guoxin Microelectronics Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.90)% = (5.46)%

Termination

    05/10/2027             (89,986 )     16,265  

Unigroup Guoxin Microelectronics Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = (5.67)%

Termination

    11/16/2026             (116,848 )     59,581  

Unilever Indonesia Tbk PT

Bank of America Securities, Inc.

Pay

EFFR + (5.00)% = 0.33%

Termination

    08/31/2026             (375,068 )     93,301  

Unilever Indonesia Tbk PT

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 3.08%

Termination

    03/15/2027             (107,001 )     16,142  

Unilever Indonesia Tbk PT

Morgan Stanley

Pay

EFFR + (0.75)% = 4.58%

Termination

    05/17/2027             (35,486 )     3,518  

United Electronics Co.

Goldman Sachs

Pay

EFFR + (0.35)% = 4.98%

Termination

    08/12/2027             (295,842 )     (5,387 )

United International Transportation Co.

Goldman Sachs

Pay

EFFR + (0.35)% = 4.33%

Termination

    11/09/2026             (274,605 )     (22,749 )

United International Transportation Co.

Morgan Stanley

Pay

EFFR + (0.25)% = 3.83%

Termination

    12/17/2026             (158,618 )     (29,264 )

United Microelectronics Corp.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.08%

Termination

    05/06/2027             (126,649 )     (19,330 )

VK Co. Ltd.

Morgan Stanley

Pay

EFFR + (6.50)% = (1.17)%

Monthly

    09/23/2026             0       140,169  

Wafer Works Corp.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 1.31%

Termination

    11/10/2026             (71,421 )     13,421  

Wal-Mart de Mexico SAB de CV

Morgan Stanley

Pay

EFFR + (0.50)% = 4.78%

Termination

    02/16/2027             (259,705 )     82,577  

WHA Corp. PCL

Morgan Stanley

Pay

EFFR + (21.38)% = (16.05)%

Termination

    08/26/2027             (247,375 )     (12,381 )

Wipro Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/03/2027             (181,512 )     (26,960 )

Wistron NeWeb Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = 1.58%

Termination

    12/10/2025             (240,263 )     (2,739 )

Wistron NeWeb Corp.

Morgan Stanley

Pay

EFFR + (1.25)% = 1.58%

Termination

    05/06/2027             (404,251 )     67,974  

Wizz Air Holdings PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.55%

Termination

    08/12/2027  

GBP

    (334,167 )   2,870  

Woolworths Holdings Ltd.

Goldman Sachs

Pay

South Africa Rand Overnight Deposit Rate + (0.75)% = 7.32%

Termination

    08/16/2027  

ZAR

    (5,705,210 )     (18,958 )

Yadea Group Holdings Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 3.30%

Termination

    08/12/2027  

HKD

    (1,474,000 )     (15,926 )

Yankuang Energy Group Co. Ltd.

Goldman Sachs

Pay

EFFR + (0.90)% = (4.67)%

Termination

    10/16/2026             (168,500 )     5,185  

Yankuang Energy Group Co. Ltd.

HSBC Bank

Pay

1 mo. HIBOR HKD + (0.35)% = 3.83%

Termination

    04/13/2026  

HKD

    (1,447,160 )     (51,108 )

Yulon Motor Co. Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.40)% = 2.43%

Termination

    02/22/2027             (69,850 )     20,533  

Yulon Motor Co. Ltd.

Goldman Sachs

Pay

EFFR + (1.25)% = 1.83%

Termination

    02/01/2027             (134,589 )     39,577  

Yulon Motor Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.60)% = 4.72%

Termination

    05/10/2027             (44,295 )     13,956  

Yulon Motor Co. Ltd.

Morgan Stanley

Pay

EFFR + (1.25)% = 1.83%

Termination

    12/14/2026             (253,845 )     111,127  

Zhejiang Sanhua Intelligent Controls Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = 2.09%

Termination

    05/10/2027             (73,634 )     19,331  

Zhejiang Sanhua Intelligent Controls Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = (5.92)%

Termination

    03/29/2027             (439,114 )     94,433  

 

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

 

Financial Statements 2024 | 14

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (continued)

 

Reference
Entity

 

Counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Zhejiang Shuanghuan Driveline Co. Ltd.

Goldman Sachs

Pay

EFFR + (17.50)% = (12.17)%

Termination

    04/02/2027   $       (416,252 )   $ 24,682  

Zhejiang Shuanghuan Driveline Co. Ltd.

J.P. Morgan Securities, Inc.

Pay

OBFR + (0.30)% = (3.42)%

Termination

    05/10/2027             (97,628 )     12,342  

Total Unrealized Appreciation (Depreciation)

                                $ 2,606,064  

 

There are no upfront payments or receipts associated with contracts for difference in the Fund as of August 31, 2024.

 

Notional Amount is in USD unless otherwise indicated.

 

OBFR - Overnight Bank Funding Rate

 

EFFR - Effective Federal Funds Rate

 

EONIA - European Overnight Index Average

 

HIBOR - Hong Kong Inter-Bank Offered Rate

 

HONIA - Hong Kong Overnight Index Average

 

LIBOR - London Inter-Bank Offered Rate

 

SARON - Swiss Average Rate Overnight

 

SOFR - Secured Overnight Financing Rate

 

SONIA - Sterling Overnight Index Average

 

SORA - Singapore Overnight Rate Average

 

STIB - Stockholm Interbank

 

TELBOR - Tel Aviv Interbank Offer Rate

 

TONA - Tokyo Overnight Average Rate

 

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

 

Financial Statements 2024 | 15

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS EMERGING MARKETS DYNAMIC EQUITY FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Investments

                               

Common Stocks

  $ 11,790,436     $ 25,347,720     $ (a)    $ 37,138,156  

Preferred Stocks

          154,564             154,564  

Money Market Funds

    10,566,624                   10,566,624  

Total Investments

  $ 22,357,060     $ 25,502,284     $ (a)    $ 47,859,344  
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    5,549,936       (a)      472,648       6,022,584  

Total Other Financial Instruments

  $ 5,549,936     $ (a)    $ 472,648     $ 6,022,584  
                                 

Liabilities:

                               

Investments:

                               

Common Stocks

    (661,076 )     (600,829 )           (1,261,905 )

Total Investments

  $ (661,076 )   $ (600,829 )   $     $ (1,261,905 )
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    (3,120,808 )           (295,712 )     (3,416,520 )

Total Other Financial Instruments

  $ (3,120,808 )   $     $ (295,712 )   $ (3,416,520 )

 

*

The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of August 31, 2024.

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Amount is less than $0.50.

 

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

 

Financial Statements 2024 | 16

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL EQUITY FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 95.4%

       

Bermuda — 3.2%

               

Everest Group Ltd.

    8,334     $ 3,268,928  

Hiscox Ltd.

    99,764       1,542,108  

RenaissanceRe Holdings Ltd.

    12,313       3,137,229  
              7,948,265  

Canada — 0.9%

               

Cenovus Energy, Inc.

    59,352       1,100,587  

Teck Resources Ltd. - Class B

    22,145       1,060,746  
              2,161,333  

Finland — 1.5%

               

Fortum Oyj

    79,762       1,271,808  

Nordea Bank Abp

    210,952       2,491,120  
              3,762,928  

France — 12.8%

               

Airbus Group SE

    19,817       3,044,178  

Alten SA

    9,872       1,107,847  

BNP Paribas SA

    42,798       2,960,235  

Capgemini SE

    14,075       2,915,828  

Cie de Saint-Gobain SA

    39,398       3,442,829  

Cie Generale des Etablissements Michelin SCA

    30,279       1,188,887  

Eiffage SA

    25,005       2,624,655  

Rexel SA

    130,518       3,293,266  

Sanofi SA

    27,752       3,114,832  

Sodexo SA

    9,152       814,388  

SPIE SA

    52,025       2,100,199  

TotalEnergies SE

    47,907       3,295,610  

Vallourec SACA (a)

    85,529       1,366,795  
              31,269,549  

Germany — 7.7%

               

Brenntag SE

    13,865       1,031,047  

Commerzbank AG

    234,309       3,474,048  

Daimler Truck Holding AG

    24,835       954,720  

Deutsche Telekom AG

    122,385       3,482,222  

Evonik Industries AG

    61,120       1,356,227  

Infineon Technologies AG

    49,152       1,803,839  

Rheinmetall AG

    3,524       2,117,044  

Siemens AG

    23,931       4,501,552  
              18,720,699  

Greece — 0.5%

               

Hellenic Telecommunications Organization SA

    72,312       1,172,410  

Ireland — 4.2%

               

AIB Group PLC

    378,002       2,276,289  

CRH PLC

    67,098       5,989,768  

Ryanair Holdings PLC - ADR (b)

    18,600       2,073,156  
              10,339,213  

Italy — 1.0%

               

Enel SpA

    306,966       2,333,157  

Japan — 7.3%

               

Asahi Group Holdings Ltd.

    85,600       3,195,077  

Fuji Electric Co., Ltd.

    20,900       1,261,540  

Kansai Paint Co., Ltd.

    122,900       2,200,323  

Mitsubishi Chemical Group Corp.

    206,900       1,209,169  

Mitsubishi UFJ Financial Group, Inc.

    107,900       1,138,369  

Renesas Electronics Corp.

    96,700       1,683,497  

Sony Group Corp.

    38,600       3,759,415  

Sugi Holdings Co., Ltd.

    66,300       1,146,590  

Sumitomo Mitsui Financial Group, Inc.

    22,000       1,451,851  

Suzuki Motor Corp.

    74,800       879,469  
              17,925,300  

Netherlands — 3.9%

               

Aalberts NV

    37,894       1,481,374  

Heineken NV

    17,022       1,535,795  

ING Groep NV

    210,119       3,820,412  

Koninklijke Ahold NV

    37,917       1,301,832  

Stellantis NV

    79,479       1,334,069  
              9,473,482  

Singapore — 1.3%

               

United Overseas Bank Ltd.

    133,300       3,204,399  

South Korea — 3.6%

               

Hana Financial Group, Inc.

    27,015       1,254,166  

KB Financial Group, Inc.

    20,837       1,343,674  

KT Corp.

    66,721       1,933,544  

Samsung Electronics Co., Ltd.

    75,002       4,165,485  
              8,696,869  

Spain — 0.7%

               

Bankinter SA

    193,001       1,704,400  

Sweden — 1.2%

               

Loomis AB

    40,309       1,371,915  

Svenska Handelsbanken AB - Class A

    161,817       1,669,314  
              3,041,229  

Switzerland — 1.9%

               

Glencore PLC

    289,670       1,528,315  

Sandoz Group AG

    72,459       3,169,269  
              4,697,584  

United Kingdom — 17.2%

               

Barratt Developments PLC

    306,257       2,049,283  

Beazley PLC

    264,564       2,619,628  

BP PLC

    495,660       2,806,073  

Coca-Cola Europacific Partners PLC

    39,650       3,191,428  

Hikma Pharmaceuticals PLC

    53,920       1,409,381  

IMI PLC

    126,754       3,069,764  

Inchcape PLC

    195,653       2,196,955  

Informa PLC

    111,062       1,222,770  

JD Sports Fashion PLC

    781,140       1,423,823  

Marks & Spencer Group PLC

    544,589       2,457,662  

NatWest Group PLC

    665,424       3,031,467  

Nomad Foods Ltd.

    97,105       1,825,574  

Shell PLC

    101,805       3,607,317  

SSE PLC

    122,023       3,034,992  

Tesco PLC

    983,079       4,583,463  

Weir Group PLC

    80,554       2,135,766  

WH Smith PLC

    83,735       1,410,906  
              42,076,252  

United States — 26.5%(c)

               

AbbVie, Inc. (b)

    16,219       3,183,952  

Amgen, Inc.

    9,399       3,137,668  

Beacon Roofing Supply, Inc. (a)

    12,718       1,152,251  

Centene Corp. (a)

    14,702       1,158,959  

Chubb Ltd.

    11,303       3,212,087  

Cigna Group

    6,866       2,484,187  

Cisco Systems, Inc.

    32,394       1,637,193  

ConocoPhillips

    13,680       1,556,647  

Elevance Health, Inc.

    2,252       1,254,116  

Expedia Group, Inc. (a)

    6,207       863,332  

 

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

 

Financial Statements 2024 | 17

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL EQUITY FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

United States — (continued)

               

Fidelity National Information Services, Inc.

    43,638     $ 3,597,953  

Fifth Third Bancorp

    60,299       2,574,164  

Gen Digital, Inc.

    74,657       1,975,424  

Goldman Sachs Group, Inc.

    6,310       3,219,677  

HCA Healthcare, Inc. (b)

    3,365       1,331,160  

Huntington Bancshares, Inc.

    161,212       2,413,344  

J M Smucker Co.

    14,581       1,672,149  

Jacobs Solutions, Inc.

    8,374       1,263,469  

Johnson & Johnson

    9,879       1,638,531  

JPMorgan Chase & Co.

    20,786       4,672,693  

Kellanova

    15,301       1,233,414  

McKesson Corp.

    2,499       1,402,139  

Schlumberger Ltd.

    56,152       2,470,126  

Southern Co.

    26,332       2,275,085  

TE Connectivity Ltd.

    7,298       1,120,973  

Textron, Inc.

    35,700       3,255,840  

United Rentals, Inc.

    2,288       1,696,003  

US Foods Holding Corp. (a)

    63,332       3,749,888  

WillScot Holdings Corp. (a)(b)

    28,934       1,115,116  

Zimmer Biomet Holdings, Inc.

    22,637       2,613,668  
              64,931,208  

TOTAL COMMON STOCKS (Cost $179,429,615)

            233,458,277  
                 
   

Units

         

SHORT-TERM INVESTMENTS — 1.8%

               

Investments Purchased with Proceeds from Securities Lending — 1.8%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.50% (d)

    4,427,880       4,427,880  

TOTAL SHORT-TERM INVESTMENTS (Cost $4,427,880)

            4,427,880  

TOTAL INVESTMENTS — 97.2% (Cost $183,857,495)

            237,886,157  

Other Assets in Excess of Liabilities — 2.8%

            6,761,338  

TOTAL NET ASSETS — 100.0%

          $ 244,647,495  

 

 

Percentages are stated as a percent of net assets.

 

ADR

American Depositary Receipt

AG

Aktiengesellschaft

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $4,366,972 which represented 1.8% of net assets.

(c)

To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region.

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

 

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

 

Financial Statements 2024 | 18

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL EQUITY FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 85,658,090     $ 147,800,187     $     $ 233,458,277  

Investments Purchased with Proceeds from Securities Lending(a)

                      4,427,880  

Total Investments

  $ 85,658,090     $ 147,800,187     $     $ 237,886,157  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. These investments can be classified as Investments Purchased with Proceeds from Securities Lending and their fair value totals to $4,427,880. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

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

 

Financial Statements 2024 | 19

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 68.5%

               

Australia — 0.9%

               

Empire Energy Group Ltd. (a)

    8,414,266     $ 1,537,705  

Bermuda — 4.6%

               

Everest Group Ltd. (b)

    11,222       4,401,717  

Hiscox Ltd.

    170,570       2,636,595  

Lancashire Holdings Ltd.

    129,710       1,144,741  
              8,183,053  

Canada — 8.1%

               

Allied Gold Corp. (a)

    267,039       606,344  

Cenovus Energy, Inc.

    268,429       4,976,674  

Kinross Gold Corp.

    398,538       3,602,783  

McEwen Mining, Inc. (a)

    90,695       825,324  

MEG Energy Corp. (a)

    53,858       1,072,644  

Teck Resources Ltd. - Class B

    71,731       3,435,915  
              14,519,684  

China — 0.6%

               

Alibaba Group Holding Ltd. - ADR

    12,096       1,008,081  

France — 5.3%

               

BNP Paribas SA

    39,945       2,762,900  

Capgemini SE

    5,878       1,217,708  

Eurazeo SE

    14,581       1,148,622  

Rexel SA

    33,439       843,742  

SPIE SA

    35,434       1,430,437  

Vallourec SACA (a)

    126,174       2,016,321  
              9,419,730  

Germany — 3.0%

               

Commerzbank AG

    111,972       1,660,184  

Evonik Industries AG

    112,400       2,494,108  

Infineon Technologies AG

    34,946       1,282,490  
              5,436,782  

Ireland — 1.6%

               

CRH PLC

    19,923       1,778,505  

ICON PLC (a)

    3,163       1,018,676  
              2,797,181  

Israel — 1.5%

               

Check Point Software Technologies Ltd. (a)

    14,097       2,713,672  

Italy — 2.3%

               

Enel SpA

    404,893       3,077,471  

Iveco Group NV

    107,182       1,135,147  
              4,212,618  

Japan — 1.1%

               

Sony Group Corp.

    20,800       2,025,799  

Netherlands — 1.3%

               

Euronext NV (c)

    21,155       2,259,236  

South Korea — 4.9%

               

Hyundai Marine & Fire Insurance Co., Ltd.

    33,148       863,673  

KT Corp. - ADR (b)

    128,761       1,886,349  

Kumho Petrochemical Co., Ltd.

    9,774       1,002,334  

Samsung Electronics Co., Ltd.

    89,389       4,964,515  
              8,716,871  

Switzerland — 3.2%

               

Novartis AG - ADR

    13,390       1,618,717  

Sandoz Group AG

    92,805       4,059,179  
              5,677,896  

United Kingdom — 13.5%

               

Andrada Mining Ltd. (a)

    4,062,358       181,393  

AstraZeneca PLC - ADR

    22,640       1,983,717  

Barratt Developments PLC

    366,958       2,455,457  

Beazley PLC

    407,270       4,032,658  

Endeavour Mining PLC

    75,014       1,581,381  

Hikma Pharmaceuticals PLC

    50,431       1,318,184  

IMI PLC

    47,931       1,160,807  

Marex Group PLC

    52,586       1,297,297  

Nomad Foods Ltd.

    74,095       1,392,986  

SSE PLC

    109,680       2,727,993  

Unilever PLC

    33,080       2,144,455  

Weir Group PLC

    86,684       2,298,293  

WH Smith PLC

    97,658       1,645,503  
              24,220,124  

United States — 16.6%

               

Advanced Micro Devices, Inc. (a)

    6,344       942,465  

Alphabet, Inc. - Class C (b)

    12,041       1,988,089  

Amgen, Inc.

    9,126       3,046,532  

Applied Materials, Inc. (b)

    3,986       786,278  

Booking Holdings, Inc. (b)

    399       1,559,783  

Centene Corp. (a)(b)

    24,105       1,900,197  

Dell Technologies, Inc. - Class C

    13,698       1,582,667  

Elevance Health, Inc.

    1,658       923,324  

Jacobs Solutions, Inc. (b)

    13,069       1,971,851  

Lennar Corp. - Class A (b)

    5,030       915,762  

Micron Technology, Inc.

    14,162       1,362,951  

Norfolk Southern Corp.

    5,662       1,450,378  

Oracle Corp. (b)

    43,336       6,122,943  

QUALCOMM, Inc.

    6,043       1,059,338  

Textron, Inc.

    14,394       1,312,733  

US Foods Holding Corp. (a)(b)

    17,298       1,024,214  

Zimmer Biomet Holdings, Inc. (b)

    15,295       1,765,961  
              29,715,466  

TOTAL COMMON STOCKS (Cost $103,067,832)

            122,443,898  
                 

EXCHANGE TRADED FUNDS — 4.5%

               

iShares 1-3 Year Treasury Bond ETF

    96,721       8,008,499  

TOTAL EXCHANGE TRADED FUNDS (Cost $8,011,158)

            8,008,499  
                 
   

Contracts

         

WARRANTS — 0.0%(d)

               

United Kingdom — 0.0%(d)

               

Andrada Mining Ltd., Expires 07/17/2025, Exercise Price $0.10 (a)(e)

    2,200,000       9  

TOTAL WARRANTS (Cost $28,772)

            9  
                 
   

Par

         

CONVERTIBLE NOTES — 0.8%

               

United Kingdom — 0.8%

               

Andrada Mining Ltd., 12.00%, 07/31/2026 (e)

  GBP 1,100,000       1,322,271  

TOTAL CONVERTIBLE NOTES (Cost $1,438,585)

            1,322,271  

 

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

 

Financial Statements 2024 | 20

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.1%

               

Money Market Funds — 0.1%

               

BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.15% (b)(f)

    57,398     $ 57,398  

Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.11% (b)(f)

    57,398       57,398  

Fidelity Treasury Portfolio - Class I, 5.16% (b)(f)

    57,398       57,398  

Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.12% (b)(f)

    57,398       57,398  

TOTAL SHORT-TERM INVESTMENTS (Cost $229,592)

            229,592  

TOTAL INVESTMENTS — 73.9% (Cost $112,775,939)

            132,004,269  

Other Assets in Excess of Liabilities — 26.1%

            46,644,104  

TOTAL NET ASSETS — 100.0%

          $ 178,648,373  

 

 

Percentages are stated as a percent of net assets.

 

Par amount is in USD unless otherwise indicated.

 

ADR

American Depositary Receipt

AG

Aktiengesellschaft

ETF

Exchange Traded Fund

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

GBP

British Pound

(a)

Non-income producing security.

(b)

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

(c)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $2,259,236 or 1.3% of the Fund’s net assets.

(d)

Represents less than 0.05% of net assets.

(e)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $1,322,280 or 0.8% of net assets as of August 31, 2024.

(f)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 21

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments (continued)

 

Contracts For Difference held by the Fund at August 31, 2024, are as follows:

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Asahi Group Holdings Ltd.

Goldman Sachs

Receive

TONA + 0.50% = 0.73%

Termination

    08/13/2027  

JPY

    533,474,100     $ 76,904  

abrdn PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.79%

Termination

    02/23/2026  

GBP

    (290,184 )     29,349  

abrdn PLC

Morgan Stanley

Pay

SONIA + (0.25)% = 4.74%

Termination

    02/09/2027  

GBP

    (52,692 )     1,177  

Acushnet Holdings Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026             (413,395 )     (39,002 )

Adecco Group AG

Morgan Stanley

Pay

SARON + 0.35% = 0.76%

Termination

    06/24/2026  

CHF

    (145,411 )     14,822  

Adecco Group AG

Morgan Stanley

Pay

SARON + 0.35% = 0.76%

Termination

    01/29/2027  

CHF

    (413,854 )     98,614  

Ades Holding Co.

Goldman Sachs

Pay

EFFR + (6.00)% = (0.67)%

Termination

    04/19/2027             (734,357 )     (19,062 )

Adient PLC

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/08/2027             (35,604 )     22,349  

Adient PLC

HSBC Bank

Pay

SOFR + (0.05)% = 5.26%

Termination

    01/25/2027             (287,500 )     165,877  

Alpha & Omega Semiconductor Ltd.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    07/19/2027             (321,226 )     37,578  

Antofagasta PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.79%

Termination

    01/19/2027  

GBP

    (700,193 )     75,201  

Antofagasta PLC

Morgan Stanley

Pay

SONIA + (0.25)% = 4.74%

Termination

    02/08/2027  

GBP

    (482,855 )     (32,238 )

Avangrid, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/08/2027             (30,122 )     (4,827 )

Avangrid, Inc.

HSBC Bank

Pay

SOFR + (0.05)% = 5.26%

Termination

    01/25/2027             (242,942 )     (34,532 )

Avanza Bank Holding AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 3.31%

Termination

    06/29/2026  

SEK

    (2,432,825 )     (41,451 )

Bank of Hawaii Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 4.97%

Termination

    07/21/2026             (457,356 )     (28,838 )

Bank of Hawaii Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 4.75%

Termination

    02/08/2027             (393,640 )     (36,290 )

BlackLine, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026             (295,169 )     46,611  

Block, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/19/2027             (229,628 )     29,844  

Block, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/22/2027             (222,624 )     8,271  

Boliden AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 3.60%

Termination

    11/02/2026  

SEK

    (12,906,656 )     33,768  

Boliden AB

Morgan Stanley

Pay

STIB1D INDEX + (0.30)% = 3.46%

Termination

    02/09/2027  

SEK

    (1,073,252 )     (14,879 )

Carl Zeiss Meditec AG

Goldman Sachs

Pay

EONIA + (0.40)% = 3.26%

Termination

    06/21/2027  

EUR

    (596,088 )     48,924  

Carvana Co.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/10/2027             (265,242 )     (36,439 )

Comet Holding AG

Goldman Sachs

Pay

SARON + (0.40)% = 0.81%

Termination

    07/19/2027  

CHF

    (431,393 )     43,021  

Credit Acceptance Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/26/2026             (204,340 )     30,593  

Credit Acceptance Corp.

HSBC Bank

Pay

SOFR + (0.05)% = 5.28%

Termination

    10/13/2026             (1,021,234 )     (20,477 )

CVR Energy, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/03/2027             (745,416 )     28,677  

Dayforce, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026             (370,004 )     86,277  

Deckers Outdoor Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/23/2027             (754,961 )     (83,390 )

Doximity, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026             (619,780 )     (152,025 )

Dr Ing hc F Porsche AG

Goldman Sachs

Pay

EONIA + (0.40)% = 3.51%

Termination

    05/03/2027  

EUR

    (487,379 )     76,980  

EQT AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 3.35%

Termination

    05/31/2027  

SEK

    (16,553,812 )     (100,244 )

Fastenal Co.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/11/2027             (1,049,395 )     (79,669 )

Fastighets AB Balder

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 3.60%

Termination

    06/29/2026  

SEK

    (5,210,202 )     (184,512 )

Floor & Decor Holdings, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    01/18/2027             (429,071 )     (23,223 )

Fortescue Ltd.

Goldman Sachs

Pay

1 Month Australian Bank Bill Swap Rate INDEX + (0.50)% = 3.82%

Termination

    01/15/2027  

AUD

    (1,131,004 )     290,451  

 

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

 

Financial Statements 2024 | 22

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments (continued)

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Fortescue Ltd.

Morgan Stanley

Pay

RBA Cash Rate Overnight + (0.55)% = 3.77%

Termination

    02/09/2027  

AUD

    (85,102 )   $ 30,498  

Glacier Bancorp, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026         (882,287 )     (180,403 )

HF Sinclair Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/28/2027         (1,336,215 )     46,616  

Husqvarna AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 2.75%

Termination

    07/22/2027  

SEK

    (3,975,229 )     63,602  

Legend Biotech Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.33%

Termination

    03/25/2027         (406,591 )     15,841  

LGI Homes, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026         (514,911 )     52,257  

LGI Homes, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/08/2027         (290,521 )     32,646  

Matador Resources Co.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026         (585,180 )     (3,869 )

Melexis NV

Goldman Sachs

Pay

EONIA + (0.40)% = 3.59%

Termination

    01/08/2027  

EUR

    (554,309 )     1,781  

Monolithic Power Systems, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/25/2027         (677,643 )     (72,286 )

National Beverage Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026         (498,521 )     36,227  

Nokian Renkaat Oyj

Goldman Sachs

Pay

EONIA + (0.40)% = 3.59%

Termination

    06/29/2026  

EUR

    (368,948 )     (39,329 )

Nokian Renkaat Oyj

Morgan Stanley

Pay

EONIA + (0.40)% = 3.44%

Termination

    02/09/2027  

EUR

    (65,171 )     (236 )

Novanta, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/24/2026         (208,939 )     (25,973 )

Novanta, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/10/2026         (171,917 )     (21,548 )

Ocado Group PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.79%

Termination

    01/11/2027  

GBP

    (77,695 )     118,527  

Ocado Group PLC

Morgan Stanley

Pay

SONIA + (0.25)% = 4.74%

Termination

    02/09/2027  

GBP

    (18,009 )     13,763  

Occidental Petroleum Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/14/2026         (787,008 )     32,962  

ON Semiconductor Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    01/11/2027         (1,068,454 )     2,801  

PBF Energy, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/30/2027         (924,014 )     (37,991 )

Playa Hotels & Resorts NV

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/05/2027         (532,893 )     115,889  

Power Integrations, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    07/26/2027         (543,778 )     57,291  

Rumble, Inc.

Goldman Sachs

Pay

EFFR + (13.97)% = (9.01)%

Termination

    08/31/2026         (104,018 )     (3,089 )

Rumble, Inc.

Morgan Stanley

Pay

EFFR + (12.83)% = (8.25)%

Termination

    06/29/2026         (118,795 )     18,651  

Sagax AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 3.60%

Termination

    06/29/2026  

SEK

    (3,905,029 )     (68,372 )

Sagax AB

Morgan Stanley

Pay

STIB1D INDEX + (0.30)% = 3.46%

Termination

    02/09/2027  

SEK

    (1,102,695 )     (7,340 )

SEEK Ltd.

Morgan Stanley

Pay

RBA Cash Rate Overnight + (0.55)% = 3.77%

Termination

    05/03/2027  

AUD

    (980,685 )     45,748  

Severn Trent PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.79%

Termination

    08/17/2026  

GBP

    (598,400 )     (63,888 )

Severn Trent PLC

Morgan Stanley

Pay

SONIA + (0.25)% = 4.74%

Termination

    02/09/2027  

GBP

    (74,071 )     (1,349 )

Shopify, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/24/2027         (763,514 )     (141,423 )

Sika AG

Goldman Sachs

Pay

SARON + (0.46)% = 0.75%

Termination

    10/19/2026  

CHF

    (430,304 )     (80,774 )

Sika AG

Morgan Stanley

Pay

SARON + (0.45)% = 0.76%

Termination

    10/20/2026  

CHF

    (340,816 )     (73,252 )

SK Bioscience Co., Ltd.

Morgan Stanley

Pay

EFFR + (2.38)% = (1.42)%

Termination

    10/26/2026         (478,035 )     10,450  

SKF AB

Goldman Sachs

Pay

STIB1D INDEX + (1.00)% = 2.75%

Termination

    07/15/2027  

SEK

    (11,433,944 )     61,614  

Soho House & Co., Inc.

Morgan Stanley

Pay

EFFR + (2.88)% = 2.65%

Termination

    02/09/2027         (511,685 )     (105,528 )

Spectris PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.79%

Termination

    01/25/2027  

GBP

    (748,583 )     162,523  

Spectris PLC

Morgan Stanley

Pay

SONIA + (0.25)% = 4.74%

Termination

    02/09/2027  

GBP

    (49,699 )     15,408  

Steel Dynamics, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/11/2027         (753,511 )     26,427  

 

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

 

Financial Statements 2024 | 23

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments (continued)

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Summit Materials, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    02/08/2027  

$

    (79,785 )   $ (6,252 )

Summit Materials, Inc.

HSBC Bank

Pay

SOFR + (0.05)% = 5.58%

Termination

    01/25/2027         (644,396 )     (55,258 )

T Rowe Price Group, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/26/2026         (155,667 )     1,381  

T Rowe Price Group, Inc.

HSBC Bank

Pay

SOFR + (0.05)% = 5.53%

Termination

    10/13/2026         (775,364 )     (3,764 )

Tesla, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/26/2026         (858,795 )     (80,432 )

Texas Capital Bancshares, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    06/29/2026         (990,688 )     (180,753 )

Toro Co.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    05/31/2027         (807,935 )     (126,174 )

Tractor Supply Co.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    07/26/2027         (687,336 )     3,123  

TreeHouse Foods, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    11/23/2026         (866,711 )     (1,114 )

United Utilities Group PLC

Goldman Sachs

Pay

SONIA + (0.40)% = 4.80%

Termination

    05/28/2027  

GBP

    (727,903 )     (12,233 )

Valmet Oyj

Goldman Sachs

Pay

EONIA + (0.40)% = 3.33%

Termination

    06/29/2026  

EUR

    (443,538 )     (23,511 )

Valmet Oyj

Morgan Stanley

Pay

EONIA + (0.40)% = 3.44%

Termination

    02/08/2027  

EUR

    (315,384 )     (6,393 )

VAT Group AG

Goldman Sachs

Pay

SARON + (0.40)% = 0.81%

Termination

    06/28/2027  

CHF

    (267,129 )     47,058  

VAT Group AG

Morgan Stanley

Pay

SARON + (0.45)% = 0.76%

Termination

    04/19/2027  

CHF

    (348,448 )     36,985  

Xero Ltd.

Goldman Sachs

Pay

RBA Cash Rate Overnight + (0.45)% = 3.82%

Termination

    06/29/2026  

AUD

    (582,216 )     (70,736 )

Xero Ltd.

Morgan Stanley

Pay

RBA Cash Rate Overnight + (0.55)% = 3.77%

Termination

    11/30/2026  

AUD

    (555,505 )     (100,157 )

Yankuang Energy Group Co. Ltd.

Goldman Sachs

Pay

HONIA + (0.50)% = 2.99%

Termination

    06/04/2027  

HKD

    (4,307,072 )     107,551  

Total Unrealized Appreciation (Depreciation)

                            $ (121,617 )

 

There are no upfront payments or receipts associated with contracts for difference in the Fund as of August 31, 2024.

 

Notional Amount is in USD unless otherwise indicated.

 

EFFR - Effective Federal Funds Rate

 

EONIA - European Overnight Index Average

 

HONIA - Hong Kong Overnight Index Average

 

SARON - Swiss Average Rate Overnight

 

SOFR - Secured Overnight Financing Rate

 

SONIA - Sterling Overnight Index Average

 

TONA - Tokyo Overnight Average Rate

 

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

 

Financial Statements 2024 | 24

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL LONG/SHORT FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Investments

                               

Common Stocks

  $ 70,283,680     $ 52,160,218     $     $ 122,443,898  

Exchange Traded Funds

    8,008,499                   8,008,499  

Convertible Notes

                1,322,271       1,322,271  

Warrants

                9       9  

Money Market Funds

    229,592                   229,592  

Total Investments

  $ 78,521,771     $ 52,160,218     $ 1,322,280     $ 132,004,269  
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    2,402,908                   2,402,908  

Total Other Financial Instruments

  $ 2,402,908     $     $     $ 2,402,908  
                                 

Liabilities:

                               

Other Financial Instruments*:

                               

Contracts For Difference

    (2,524,525 )                 (2,524,525 )

Total Other Financial Instruments

  $ (2,524,525 )   $     $     $ (2,524,525 )

 

*

The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of August 31, 2024.

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

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

 

Financial Statements 2024 | 25

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 98.2%

               

Austria — 0.8%

               

ANDRITZ AG

    1,322     $ 87,155  

Bermuda — 2.6%

               

Everest Group Ltd.

    445       174,547  

Renaissance Holdings Ltd.

    470       119,751  
              294,298  

Canada — 0.5%

               

Teck Resources Ltd. - Class B

    1,116       53,456  

Finland — 0.2%

               

Nordea Bank Abp

    2,434       28,743  

France — 11.3%

               

Airbus Group SE

    1,161       178,346  

Alten SA

    527       59,141  

BNP Paribas SA

    857       59,277  

Capgemini SE

    424       87,837  

Cie de Saint-Gobain SA

    2,493       217,853  

Eiffage SA

    1,349       141,598  

Rexel SA

    7,474       188,586  

SPIE SA

    6,836       275,963  

TotalEnergies SE

    1,236       85,027  
              1,293,628  

Germany — 8.6%

               

Commerzbank AG

    10,991       162,961  

Deutsche Telekom AG

    8,744       248,793  

Evonik Industries AG

    2,681       59,490  

Infineon Technologies AG

    2,771       101,693  

Rheinmetall AG

    370       222,278  

Siemens AG

    1,000       188,106  
              983,321  

Greece — 1.7%

               

Hellenic Telecommunications Organization SA

    11,757       190,619  

Ireland — 2.2%

               

AIB Group PLC

    22,101       133,090  

ICON PLC (a)

    372       119,806  
              252,896  

Italy — 1.1%

               

Iveco Group NV

    11,695       123,860  

Japan — 8.5%

               

Asahi Group Holdings Ltd.

    4,200       156,768  

Fuji Electric Co., Ltd.

    1,100       66,397  

Hitachi Ltd.

    5,900       145,553  

Kansai Paint Co., Ltd.

    11,900       213,050  

Mitsubishi Heavy Industries Ltd.

    6,500       87,635  

Renesas Electronics Corp.

    3,900       67,897  

Sumitomo Mitsui Financial Group, Inc.

    3,500       230,976  
              968,276  

Netherlands — 2.7%

               

Heineken NV

    650       58,646  

ING Groep NV

    9,813       178,421  

Stellantis NV

    4,275       71,757  
              308,824  

Singapore — 0.3%

               

United Overseas Bank Ltd.

    1,500       36,059  

South Korea — 4.1%

               

Hana Financial Group, Inc.

    2,166       100,556  

KB Financial Group, Inc.

    937       60,422  

KT Corp.

    4,228       122,526  

Samsung Electronics Co., Ltd.

    3,357       186,442  
              469,946  

Spain — 0.5%

               

Bankinter SA

    6,332       55,918  

Switzerland — 3.1%

               

Novartis AG

    1,248       150,781  

Sandoz Group AG

    4,545       198,793  
              349,574  

United Kingdom — 12.6%

               

Hikma Pharmaceuticals PLC

    4,298       112,343  

IMI PLC

    2,457       59,504  

Informa PLC

    19,270       212,159  

Marks & Spencer Group PLC

    43,413       195,917  

Melrose Industries PLC

    33,073       210,088  

NatWest Group PLC

    27,731       126,334  

Nomad Foods Ltd.

    10,951       205,879  

Tesco PLC

    48,581       226,502  

Weir Group PLC

    3,129       82,960  
              1,431,686  

United States — 37.4%(b)

               

Abbott Laboratories

    526       59,580  

AbbVie, Inc.

    811       159,207  

Alphabet, Inc. - Class A

    1,336       218,276  

American Express Co.

    775       200,454  

Amgen, Inc.

    403       134,533  

AutoZone, Inc. (a)

    47       149,530  

Bank of America Corp.

    2,406       98,044  

Booking Holdings, Inc.

    38       148,551  

Brinker International, Inc. (a)

    1,426       101,987  

Cencora, Inc.

    866       207,468  

Chubb Ltd.

    632       179,602  

Cigna Group

    427       154,493  

Dell Technologies, Inc. - Class C

    1,075       124,205  

Elevance Health, Inc.

    279       155,372  

Emerson Electric Co.

    507       53,433  

Expedia Group, Inc. (a)

    308       42,840  

Fidelity National Information Services, Inc.

    1,859       153,275  

Halliburton Co.

    4,502       139,967  

J M Smucker Co.

    844       96,790  

Johnson & Johnson

    371       61,534  

JPMorgan Chase & Co.

    1,162       261,218  

Kenvue, Inc.

    3,829       84,047  

Keysight Technologies, Inc. (a)

    421       64,884  

McKesson Corp.

    145       81,357  

Morgan Stanley

    1,274       131,999  

NOV, Inc.

    3,750       66,637  

Schlumberger Ltd.

    3,405       149,786  

Starbucks Corp.

    1,027       97,123  

Target Corp.

    729       111,989  

TE Connectivity Ltd.

    530       81,408  

UnitedHealth Group, Inc.

    229       135,156  

US Foods Holding Corp. (a)

    3,331       197,228  

 

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

 

Financial Statements 2024 | 26

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

United States — (continued)

               

Voya Financial, Inc.

    966     $ 68,422  

Zimmer Biomet Holdings, Inc.

    844       97,448  
              4,267,843  

TOTAL COMMON STOCKS (Cost $8,679,189)

            11,196,102  

TOTAL INVESTMENTS — 98.2% (Cost $8,679,189)

            11,196,102  

Other Assets in Excess of Liabilities — 1.8%

            201,366  

TOTAL NET ASSETS — 100.0%

          $ 11,397,468  

 

 

Percentages are stated as a percent of net assets.

 

AG

Aktiengesellschaft

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

Non-income producing security.

(b)

To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region.

 

 

 

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

 

Financial Statements 2024 | 27

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS GLOBAL SUSTAINABILITY FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 4,941,283     $ 6,254,819     $     $ 11,196,102  

Total Investments

  $ 4,941,283     $ 6,254,819     $     $ 11,196,102  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

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

 

Financial Statements 2024 | 28

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT EQUITY FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 96.5%

               

Communication Services — 4.4%

               

Alphabet, Inc. - Class A (a)

    7,836     $ 1,280,246  

Baidu, Inc. - Class A (b)

    50,048       528,072  

John Wiley & Sons, Inc. - Class A

    8,080       390,345  

Nexstar Media Group, Inc. (c)

    1,557       266,060  

Vivid Seats, Inc. - Class A (b)(c)

    60,757       282,520  
              2,747,243  

Consumer Discretionary — 10.9%

               

Arcos Dorados Holdings, Inc. - Class A (c)

    88,715       780,692  

BYD Co., Ltd. - ADR

    3,209       195,629  

Carriage Services, Inc. (a)

    14,161       469,437  

Cavco Industries, Inc. (b)(c)

    1,707       705,537  

Frontdoor, Inc. (b)

    11,711       563,065  

Italian Sea Group SPA

    23,224       237,551  

JD.com, Inc. - Class A

    23,986       324,198  

Leon’s Furniture Ltd.

    9,306       203,984  

MGM Resorts International (b)(c)

    6,919       260,085  

Monarch Casino & Resort, Inc. (c)

    3,433       260,633  

PDD Holdings, Inc. - ADR (b)(c)

    2,719       261,323  

Perdoceo Education Corp. (a)

    16,192       363,349  

Phinia, Inc.

    7,093       340,180  

Pinstripes Holdings, Inc. (b)(c)

    67,473       158,562  

Potbelly Corp. (a)(b)

    24,456       195,159  

Quantasing Group Ltd. - ADR (b)

    45,644       80,334  

Stellantis NV (c)

    33,922       569,211  

Stride, Inc. (a)(b)

    5,727       471,561  

Super Group SGHC Ltd.

    115,828       399,607  
              6,840,097  

Consumer Staples — 5.4%

               

British American Tobacco PLC - ADR (c)

    25,814       969,832  

Coca-Cola Europacific Partners PLC

    6,630       533,649  

Kenvue, Inc. (a)

    21,929       481,341  

Lifeway Foods, Inc. (a)(b)

    20,488       392,960  

Molson Coors Beverage Co. - Class B (c)

    8,761       472,831  

Turning Point Brands, Inc.

    13,422       532,048  
              3,382,661  

Energy — 5.2%

               

BP PLC - ADR (a)

    17,027       578,237  

Canadian Natural Resources Ltd.

    46,804       1,694,773  

Marathon Petroleum Corp. (a)

    2,619       463,877  

Schlumberger Ltd.

    12,111       532,763  
              3,269,650  

Financials — 20.6%

               

Bank of America Corp. (a)

    19,156       780,607  

BGC Group, Inc. - Class A (c)

    201,172       1,987,579  

Citigroup, Inc. (a)

    11,393       713,658  

Crawford & Co. - Class A (a)

    18,500       195,545  

Fairfax Financial Holdings Ltd. (c)

    1,533       1,847,265  

Fidelis Insurance Holdings Ltd.

    29,516       546,636  

Greenlight Capital Re Ltd. - Class A (b)

    30,388       424,520  

Heritage Insurance Holdings, Inc. (b)

    35,287       569,179  

Intercorp Financial Services, Inc.

    11,859       301,219  

International General Insurance Holdings Ltd.

    23,631       436,701  

Jefferies Financial Group, Inc. (a)

    8,700       521,565  

Jiayin Group, Inc. - ADR

    30,135       160,318  

KB Financial Group, Inc. - ADR (c)

    12,039       781,090  

Northeast Bank

    5,330       378,483  

Northeast Community Bancorp, Inc.

    11,309       258,298  

PayPal Holdings, Inc. (b)

    4,882       353,603  

Shift4 Payments, Inc. - Class A (b)(c)

    8,011       665,714  

Stifel Financial Corp. (a)

    9,032       796,081  

Wells Fargo & Co. (a)

    10,198       596,277  

Willis Towers Watson PLC

    2,178       636,216  
              12,950,554  

Health Care — 16.7%

               

Amgen, Inc. (a)

    2,173       725,413  

Bristol-Myers Squibb Co.

    12,509       624,825  

Catalyst Pharmaceuticals, Inc. (a)(b)

    55,746       1,128,856  

Centene Corp. (a)(b)

    7,828       617,081  

Cigna Group (a)

    1,768       639,680  

Elevance Health, Inc. (a)

    701       390,380  

HCA Healthcare, Inc. (a)

    1,282       507,146  

Jazz Pharmaceuticals PLC (b)

    4,234       491,059  

Johnson & Johnson (a)

    5,337       885,195  

Lantheus Holdings, Inc. (b)(c)

    9,161       975,372  

Medtronic PLC (a)

    7,982       707,046  

Novartis AG - ADR (c)

    6,152       743,715  

PetIQ, Inc. (b)

    32,238       984,871  

Quipt Home Medical Corp. (b)

    81,822       234,011  

UnitedHealth Group, Inc.

    1,459       861,102  
              10,515,752  

Industrials — 11.7%

               

Alaska Air Group, Inc. (b)

    6,754       243,887  

Barrett Business Services, Inc. (a)

    24,417       891,465  

Brady Corp. - Class A

    3,696       273,652  

Builders FirstSource, Inc. (a)(b)

    2,573       447,702  

CACI International, Inc. - Class A (b)

    1,456       710,703  

Euroseas Ltd.

    13,769       622,910  

Galliford Try Holdings PLC

    197,101       776,559  

Lyft, Inc. - Class A (b)

    22,369       261,046  

NEXTracker, Inc. - Class A (b)

    3,742       152,187  

Quanta Services, Inc. (a)

    1,085       298,516  

RCM Technologies, Inc. (b)

    11,613       236,673  

REV Group, Inc.

    7,598       241,920  

Sterling Infrastructure, Inc. (a)(b)

    9,067       1,083,779  

Textron, Inc.

    8,912       812,774  

V2X, Inc. (b)

    5,485       310,725  
              7,364,498  

Information Technology — 15.4%

               

Adeia, Inc.

    36,066       454,432  

Check Point Software Technologies Ltd. (b)

    6,978       1,343,265  

Cognizant Technology Solutions Corp. - Class A (a)

    8,364       650,468  

Dropbox, Inc. - Class A (a)(b)

    9,067       227,944  

Hackett Group, Inc. (a)

    22,615       599,298  

InterDigital, Inc. (c)

    6,659       922,671  

Nano Dimension Ltd. - ADR (b)(c)

    92,902       203,455  

Nice Ltd. - ADR (b)(c)

    2,677       465,102  

Open Text Corp. (a)

    21,522       684,830  

Oracle Corp. (a)

    2,356       332,879  

Photronics, Inc. (a)(b)

    27,930       722,270  

QUALCOMM, Inc. (a)

    3,175       556,578  

RingCentral, Inc. - Class A (b)

    10,892       363,030  

Samsung Electronics Co., Ltd.

    7,475       415,149  

Silicon Motion Technology Corp. - ADR

    5,395       342,960  

 

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

 

Financial Statements 2024 | 29

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT EQUITY FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Information Technology — (continued)

               

Telefonaktiebolaget LM Ericsson - ADR (a)(c)

    86,551     $ 644,805  

Twilio, Inc., Class A - Class A (b)

    7,927       497,499  

Zoom Video Communications, Inc. - Class A (b)(c)

    4,079       281,777  
              9,708,412  

Materials — 3.3%

               

Dundee Precious Metals, Inc.

    43,413       422,968  

Ferroglobe PLC

    92,295       407,944  

Glencore PLC - ADR

    43,477       456,508  

Rio Tinto PLC - ADR (a)

    4,226       267,379  

Taseko Mines Ltd. (b)

    108,022       244,130  

Ternium SA - ADR (a)

    9,390       316,161  
              2,115,090  

Real Estate — 2.9%

               

CTO Realty Growth, Inc.

    19,518       371,232  

Newmark Group, Inc. - Class A (a)

    90,917       1,257,382  

Star Holdings (b)

    13,692       183,473  
              1,812,087  

TOTAL COMMON STOCKS (Cost $40,196,351)

            60,706,044  
                 
   

Units

         

SHORT-TERM INVESTMENTS — 15.7%

               

Investments Purchased with Proceeds from Securities Lending — 14.7%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.50% (d)

    9,268,044       9,268,044  
                 
   

Shares

         

Money Market Funds — 1.0%

               

BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.15% (a)(d)

    1,098       1,098  

Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.11% (a)(d)

    1,098       1,098  

Fidelity Treasury Portfolio - Class I, 5.16% (a)(d)

    1,098       1,098  

Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.12% (a)(d)

    1,098       1,098  

MSILF Prime Portfolio - Class Institutional, 5.31% (d)

    603,416       603,555  
              607,947  

TOTAL SHORT-TERM INVESTMENTS (Cost $9,875,991)

            9,875,991  

TOTAL INVESTMENTS — 112.2% (Cost $50,072,342)

            70,582,035  

Liabilities in Excess of Other Assets — (12.2)%

            (7,688,319 )

TOTAL NET ASSETS — 100.0%

          $ 62,893,716  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

AG

Aktiengesellschaft

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

(b)

Non-income producing security.

(c)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $9,085,498 which represented 14.4% of net assets.

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 30

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT EQUITY FUND

Schedule of Investments (continued)

 

Schedule Of Securities Sold Short

 

Shares

   

Value

 

COMMON STOCKS — (18.8)%

               

Communication Services — (1.6)%

               

Boston Omaha Corp. - Class A

    (11,224 )   $ (160,391 )

Clear Channel Outdoor Holdings, Inc.

    (177,786 )     (266,679 )

CTC Communications Group, Inc.(a)

    (98,900 )     0  

PSQ Holdings, Inc.

    (25,877 )     (69,609 )

QuinStreet, Inc.

    (9,486 )     (181,277 )

Rumble, Inc.

    (52,676 )     (302,887 )
              (980,843 )

Consumer Discretionary — (5.9)%

               

Birkenstock Holding PLC

    (5,287 )     (263,821 )

Boot Barn Holdings, Inc.

    (1,368 )     (183,545 )

Brunswick Corp.

    (4,970 )     (392,878 )

Cava Group, Inc.

    (2,007 )     (228,878 )

Dutch Bros, Inc. - Class A

    (6,984 )     (216,504 )

EVgo, Inc.

    (31,850 )     (144,281 )

First Watch Restaurant Group, Inc.

    (14,756 )     (243,622 )

Floor & Decor Holdings, Inc. - Class A

    (3,507 )     (394,327 )

Goodyear Tire & Rubber Co.

    (17,757 )     (156,617 )

Groupon, Inc.

    (11,086 )     (153,763 )

Krispy Kreme, Inc.

    (23,579 )     (265,735 )

Kura Sushi USA, Inc. - Class A

    (2,089 )     (137,853 )

Qsound Labs, Inc.(a)

    (4,440 )     0  

QuantumScape Corp.

    (24,091 )     (139,969 )

Tesla, Inc.

    (2,429 )     (520,073 )

Warby Parker, Inc. - Class A

    (17,493 )     (260,996 )
              (3,702,862 )

Consumer Staples — (0.6)%

               

Amish Naturals, Inc.(a)

    (25,959 )     0  

Duckhorn Portfolio, Inc.

    (10,951 )     (69,320 )

Westrock Coffee Co.

    (35,462 )     (283,518 )
              (352,838 )

Energy — (0.0)%(b)

               

Beard Co.(a)

    (9,710 )     (1 )

Financials — (1.8)%

               

AvidXchange Holdings, Inc.

    (11,916 )     (96,162 )

Credit Acceptance Corp.

    (577 )     (269,188 )

Nelnet, Inc. - Class A

    (2,279 )     (263,407 )

Upstart Holdings, Inc.

    (12,125 )     (515,312 )
              (1,144,069 )

Health Care — (2.2)%

               

BodyTel Scientific, Inc.(a)

    (4,840 )     0  

CareView Communications, Inc.

    (165,489 )     (8,299 )

Cibus, Inc.

    (17,489 )     (118,401 )

Establishment Labs Holdings, Inc.

    (5,527 )     (253,247 )

Legend Biotech Corp. - ADR

    (2,750 )     (158,263 )

LifeStance Health Group, Inc.

    (37,744 )     (238,165 )

Neogen Corp.

    (14,396 )     (248,331 )

PROCEPT BioRobotics Corp.

    (4,876 )     (385,204 )
              (1,409,910 )

Industrials — (2.0)%

               

ACV Auctions, Inc. - Class A

    (11,451 )     (214,248 )

Ameresco, Inc. - Class A

    (5,730 )     (174,478 )

Applied Energetics, Inc.

    (54,756 )     (54,756 )

Corporate Resource Services, Inc.(a)

    (218,896 )     (22 )

Custom Truck One Source, Inc.

    (28,940 )     (118,654 )

Driven Brands Holdings, Inc.

    (19,210 )     (275,471 )

DynaMotive Energy Systems Corp.(a)

    (72,185 )     (7 )

Ener1, Inc.(a)

    (102,820 )     (10 )

Hyliion Holdings Corp.

    (47,992 )     (89,745 )

LanzaTech Global, Inc.

    (46,248 )     (68,910 )

Spire Global, Inc.

    (14,089 )     (120,884 )

Sunrun, Inc.

    (6,004 )     (123,202 )

Valence Technology, Inc.(a)

    (27,585 )     (3 )
              (1,240,390 )

Information Technology — (4.0)%

               

Alpha & Omega Semiconductor Ltd.

    (3,772 )     (157,707 )

Amplitude, Inc. - Class A

    (16,279 )     (143,418 )

ANTs software, Inc.(a)

    (10,334 )     (1 )

Astera Labs, Inc.

    (3,891 )     (167,547 )

Consygen, Inc.(a)

    (200 )     0  

Entegris, Inc.

    (2,477 )     (287,010 )

Evolv Technologies Holdings, Inc.

    (44,974 )     (177,198 )

Impinj, Inc.

    (2,232 )     (375,199 )

Interliant, Inc.(a)

    (600 )     0  

IonQ, Inc.

    (16,516 )     (122,549 )

Lightwave Logic, Inc.

    (54,237 )     (159,999 )

MicroVision, Inc.

    (85,226 )     (80,811 )

Nestor, Inc.(a)

    (15,200 )     (2 )

NextNav, Inc.

    (21,152 )     (162,236 )

Novanta, Inc.

    (1,079 )     (197,759 )

Samsara, Inc. - Class A

    (4,600 )     (188,922 )

Snowflake, Inc. - Class A

    (817 )     (93,326 )

Sprout Social, Inc. - Class A

    (6,472 )     (201,279 )

Tiger Telematics, Inc.(a)

    (6,510 )     0  

Uni-Pixel, Inc.(a)

    (19,665 )     0  

Worldgate Communications, Inc.(a)

    (582,655 )     (58 )

XRiver Corp.(a)

    (34,156 )     0  
              (2,515,021 )

Materials — (0.7)%

               

ASP Isotopes, Inc.

    (48,430 )     (114,779 )

Coeur Mining, Inc.

    (57,619 )     (353,781 )
              (468,560 )

TOTAL COMMON STOCKS (Proceeds $16,642,562)

            (11,814,494 )

TOTAL SECURITIES SOLD SHORT — (18.8)% (Proceeds $16,642,562)

          $ (11,814,494 )

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

(a)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $(104) or 0.0% of net assets as of August 31, 2024.

(b)

Represents less than 0.05% of net assets.

 

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

 

Financial Statements 2024 | 31

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT EQUITY FUND

Schedule of Investments (continued)

 

Contracts For Difference held by the Fund at August 31, 2024, are as follows:

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

   

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Fositek Corp.

Morgan Stanley

Pay

EFFR + (34.75)% = (29.42)%

Termination

    07/16/2027     $ (150,234 )   $ (18,603 )

Total Unrealized Appreciation (Depreciation)

                          $ (18,603 )

 

There are no upfront payments or receipts associated with contracts for difference in the Fund as of August 31, 2024.

 

EFFR - Effective Federal Funds Rate

 

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

 

Financial Statements 2024 | 32

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT EQUITY FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Investments:

                               

Common Stocks

  $ 59,201,073     $ 1,504,971     $     $ 60,706,044  

Investments Purchased with Proceeds from Securities Lending(a)

                      9,268,044  

Money Market Funds

    607,947                   607,947  

Total Investments

  $ 59,809,020     $ 1,504,971     $     $ 70,582,035  
                                 

Liabilities:

                               

Investments:

                               

Common Stocks

    (11,806,090 )     (8,300 )     (104 )     (11,814,494 )

Total Investments

  $ (11,806,090 )   $ (8,300 )   $ (104 )   $ (11,814,494 )
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    (18,603 )                 (18,603 )

Total Other Financial Instruments

  $ (18,603 )   $     $     $ (18,603 )

 

*

The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of August 31, 2024.

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. These investments can be classified as Investments Purchased with Proceeds from Securities Lending and their fair value totals to $9,268,044. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

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

 

Financial Statements 2024 | 33

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 94.0%

               

Communication Services — 5.0%

               

Alphabet, Inc. - Class A (a)

    47,267     $ 7,722,482  

Cars.com, Inc. (b)

    38,114       679,954  

Deutsche Telekom AG

    99,060       2,818,556  

Informa PLC

    377,194       4,152,830  

Live Nation Entertainment, Inc. (b)

    37,961       3,707,651  

Omnicom Group, Inc.

    30,660       3,079,184  

Take-Two Interactive Software, Inc. (a)(b)

    22,221       3,593,358  

T-Mobile US, Inc. (a)

    20,095       3,993,278  
              29,747,293  

Consumer Discretionary — 7.5%

               

AutoNation, Inc. (b)

    10,724       1,908,658  

AutoZone, Inc. (b)(c)

    761       2,421,106  

Booking Holdings, Inc.

    1,831       7,157,800  

Churchill Downs, Inc.

    26,341       3,660,609  

eBay, Inc.

    18,510       1,093,941  

Flutter Entertainment PLC (b)

    19,172       4,095,362  

Frontdoor, Inc. (a)(b)

    141,090       6,783,607  

Genting Singapore Ltd.

    151,200       93,313  

Lennar Corp. - Class A

    10,978       1,998,655  

LKQ Corp. (a)

    20,633       858,127  

MGM Resorts International (b)

    26,814       1,007,938  

Restaurant Brands International, Inc.

    35,721       2,481,895  

Ross Stores, Inc.

    10,438       1,572,067  

Starbucks Corp.

    11,451       1,082,921  

Tempur Sealy International, Inc. (a)

    34,168       1,791,428  

TJX Cos., Inc. (a)

    24,890       2,918,850  

Wyndham Hotels & Resorts, Inc.

    40,333       3,174,207  
              44,100,484  

Consumer Staples — 4.2%

               

Albertsons Cos., Inc. - Class A (a)

    117,848       2,312,178  

BJ’s Wholesale Club Holdings, Inc. (b)

    23,214       1,856,192  

Constellation Brands, Inc. - Class A

    8,578       2,064,810  

J M Smucker Co.

    8,613       987,739  

Nomad Foods Ltd.

    109,354       2,055,855  

Philip Morris International, Inc.

    42,518       5,242,044  

Simply Good Foods Co. (a)(b)

    56,638       1,789,195  

Target Corp.

    18,323       2,814,779  

US Foods Holding Corp. (a)(b)

    34,713       2,055,357  

Walmart, Inc.

    48,693       3,760,560  
              24,938,709  

Energy — 6.8%

               

Canadian Natural Resources Ltd.

    77,804       2,817,283  

Cenovus Energy, Inc.

    254,252       4,713,832  

Cheniere Energy, Inc.

    28,673       5,311,960  

Diamondback Energy, Inc.

    27,616       5,388,158  

Enterprise Products Partners LP

    109,298       3,206,803  

Kosmos Energy Ltd. (a)(b)

    193,121       940,499  

Marathon Petroleum Corp. (a)

    20,795       3,683,211  

MEG Energy Corp. (b)

    164,900       3,284,173  

Noble Corp. PLC

    17,829       680,177  

Phillips 66

    24,507       3,438,577  

Schlumberger Ltd.

    110,371       4,855,220  

Scorpio Tankers, Inc.

    9,441       675,409  

Weatherford International PLC

    13,784       1,446,493  
              40,441,795  

Financials — 18.8%

               

AIB Group PLC

    197,995       1,192,305  

American Express Co.

    11,155       2,885,241  

Ameriprise Financial, Inc. (a)

    10,381       4,665,637  

Aon PLC - Class A

    11,556       3,972,028  

Arthur J Gallagher & Co.

    7,129       2,085,731  

Bank of America Corp. (a)

    145,977       5,948,563  

Bankinter SA

    104,718       924,769  

Beazley PLC

    229,950       2,276,892  

Berkshire Hathaway, Inc. - Class B (a)(b)

    6,189       2,945,469  

Blue Owl Capital, Inc. - Class A

    94,762       1,671,602  

BNP Paribas SA

    15,692       1,085,378  

Charles Schwab Corp.

    12,800       833,280  

Chubb Ltd.

    11,466       3,258,408  

Commerzbank AG

    60,725       900,356  

Corpay, Inc. (b)

    4,279       1,350,238  

Discover Financial Services

    20,743       2,877,261  

East West Bancorp, Inc. (a)

    38,041       3,198,107  

Evercore, Inc. - Class A

    5,081       1,248,605  

Everest Group Ltd.

    8,223       3,225,389  

Fidelity National Information Services, Inc.

    17,624       1,453,099  

Fifth Third Bancorp (a)

    52,863       2,256,721  

First American Financial Corp.

    25,343       1,616,883  

Fiserv, Inc. (b)

    8,643       1,509,068  

Goldman Sachs Group, Inc. (a)

    2,789       1,423,087  

Hana Financial Group, Inc.

    28,115       1,305,233  

Huntington Bancshares, Inc. (a)

    268,219       4,015,238  

Hyundai Marine & Fire Insurance Co., Ltd.

    44,479       1,158,903  

ING Groep NV

    166,046       3,019,071  

JPMorgan Chase & Co. (a)

    46,097       10,362,606  

Lancashire Holdings Ltd.

    144,888       1,278,692  

LPL Financial Holdings, Inc.

    10,234       2,295,896  

Markel Group, Inc. (a)(b)

    1,657       2,652,327  

Morgan Stanley

    25,133       2,604,030  

NatWest Group PLC

    367,777       1,675,479  

Nordea Bank Abp

    205,697       2,429,064  

Progressive Corp. (c)

    12,200       3,076,840  

Renaissance Holdings Ltd.

    11,180       2,848,552  

SLM Corp. (a)

    55,294       1,219,786  

Sumitomo Mitsui Financial Group, Inc.

    12,200       805,118  

Synchrony Financial (a)

    11,854       595,782  

Travelers Cos., Inc.

    9,058       2,065,858  

United Overseas Bank Ltd.

    50,900       1,223,585  

Voya Financial, Inc.

    18,905       1,339,041  

W R Berkley Corp. (a)

    11,071       660,939  

Wells Fargo & Co. (a)

    140,449       8,212,053  

White Mountains Insurance Group Ltd.

    1,049       1,934,608  
              111,582,818  

Health Care — 12.6%

               

Abbott Laboratories (a)

    42,937       4,863,474  

AbbVie, Inc. (a)

    46,580       9,144,120  

Amgen, Inc.

    18,976       6,334,758  

AstraZeneca PLC

    15,477       2,712,589  

Avantor, Inc. (a)(b)

    49,485       1,278,692  

Boston Scientific Corp. (a)(b)

    19,913       1,628,684  

Cencora, Inc.

    12,346       2,957,731  

Centene Corp. (a)(b)

    35,977       2,836,067  

Cigna Group (a)

    8,027       2,904,249  

 

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

 

Financial Statements 2024 | 34

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Health Care — (continued)

               

Cross Country Healthcare, Inc. (b)

    83,635     $ 1,247,834  

CVS Health Corp. (a)

    6,055       346,588  

Elevance Health, Inc. (a)

    7,735       4,307,544  

HCA Healthcare, Inc.

    4,999       1,977,554  

Henry Schein, Inc. (b)

    6,338       447,146  

Humana, Inc.

    6,354       2,252,302  

ICON PLC (b)

    12,122       3,904,011  

IQVIA Holdings, Inc. (b)

    1,392       350,158  

Johnson & Johnson

    14,802       2,455,060  

McKesson Corp.

    6,162       3,457,375  

Medtronic PLC

    28,698       2,542,069  

Merck & Co., Inc.

    2,664       315,551  

Molina Healthcare, Inc. (a)(b)

    1,980       692,584  

Novo Nordisk AS

    4,952       687,883  

Pfizer, Inc.

    3,582       103,914  

Sandoz Group AG

    47,497       2,077,461  

Sanofi SA

    12,107       1,358,867  

Stryker Corp.

    1,453       523,690  

Thermo Fisher Scientific, Inc.

    396       243,568  

UCB SA

    7,973       1,444,014  

UnitedHealth Group, Inc.

    15,326       9,045,405  
              74,440,942  

Industrials — 17.0%

               

AAR Corp. (b)

    38,387       2,525,097  

Acuity Brands, Inc.

    7,249       1,846,320  

Advanced Drainage Systems, Inc.

    17,918       2,808,826  

Airbus Group SE

    17,094       2,625,886  

Allegion PLC

    18,065       2,508,145  

Allison Transmission Holdings, Inc. (a)

    32,852       3,047,023  

AMETEK, Inc. (a)

    14,466       2,474,409  

ANDRITZ AG

    22,795       1,502,788  

Atmus Filtration Technologies, Inc.

    34,265       1,228,400  

Beacon Roofing Supply, Inc. (a)(b)

    32,031       2,902,009  

Brink’s Co.

    28,409       3,151,410  

Builders FirstSource, Inc. (b)

    26,245       4,566,630  

Carlisle Cos., Inc.

    3,090       1,309,542  

Clean Harbors, Inc. (b)

    12,569       3,090,717  

Curtiss-Wright Corp.

    9,253       2,922,653  

Dover Corp. (a)

    13,403       2,493,360  

Eiffage SA

    12,467       1,308,601  

Embraer SA - ADR (b)

    90,590       3,010,306  

Emerson Electric Co.

    10,704       1,128,094  

Equifax, Inc.

    7,963       2,445,676  

Ferguson Enterprises, Inc.

    9,696       1,994,564  

Fortive Corp. (a)

    20,336       1,512,998  

General Dynamics Corp.

    5,033       1,506,679  

Honeywell International, Inc.

    16,501       3,430,723  

Howmet Aerospace, Inc. (a)

    18,356       1,774,291  

Huron Consulting Group, Inc. (b)

    26,555       2,932,734  

Jacobs Solutions, Inc.

    24,394       3,680,567  

Leidos Holdings, Inc. (a)

    16,184       2,565,326  

Masco Corp. (a)

    39,944       3,177,945  

NEXTracker, Inc. - Class A (b)

    25,274       1,027,894  

nVent Electric PLC

    18,265       1,241,289  

Otis Worldwide Corp.

    26,614       2,520,080  

Parker-Hannifin Corp. (a)

    2,637       1,582,727  

Resideo Technologies, Inc. (b)

    99,835       2,012,674  

Robert Half, Inc. (a)

    40,090       2,512,440  

Ryanair Holdings PLC - ADR

    4,067       453,308  

Science Applications International Corp. (a)

    19,463       2,541,673  

Siemens AG

    10,627       1,998,997  

SS&C Technologies Holdings, Inc. (a)

    47,763       3,586,524  

Textron, Inc.

    25,039       2,283,557  

Valmont Industries, Inc. (a)

    6,837       1,953,741  

WESCO International, Inc.

    13,212       2,185,000  

Westinghouse Air Brake Technologies Corp.

    18,787       3,185,712  
              100,557,335  

Information Technology — 12.0%

               

Adeia, Inc.

    269,091       3,390,547  

Advanced Micro Devices, Inc. (b)

    14,843       2,205,076  

Applied Materials, Inc.

    12,000       2,367,120  

Arrow Electronics, Inc. (a)(b)

    14,515       1,960,686  

Broadcom, Inc.

    26,200       4,265,884  

Capgemini SE

    12,063       2,499,015  

CDW Corp.

    8,889       2,005,714  

Celestica, Inc. (b)

    44,133       2,247,252  

Check Point Software Technologies Ltd. (b)

    26,209       5,045,233  

Dell Technologies, Inc. - Class C

    27,176       3,139,915  

Flex Ltd. (b)

    145,105       4,714,461  

Gen Digital, Inc. (a)

    135,342       3,581,149  

Hewlett Packard Enterprise Co.

    84,905       1,644,610  

InterDigital, Inc.

    20,336       2,817,756  

Jabil, Inc. (a)

    12,863       1,405,669  

Keysight Technologies, Inc. (b)

    13,111       2,020,667  

Lam Research Corp.

    2,807       2,304,575  

Microchip Technology, Inc. (a)

    31,319       2,573,169  

Micron Technology, Inc.

    14,576       1,402,794  

NetApp, Inc.

    10,380       1,253,074  

Nice Ltd. - ADR (b)

    20,961       3,641,764  

NXP Semiconductors NV

    6,925       1,775,293  

Oracle Corp. (a)

    21,311       3,011,031  

QUALCOMM, Inc.

    6,285       1,101,761  

Samsung Electronics Co., Ltd.

    72,982       4,053,298  

Teradyne, Inc.

    9,866       1,348,978  

Zebra Technologies Corp. - Class A (b)

    8,685       2,999,625  
              70,776,116  

Materials — 4.2%

               

Andrada Mining Ltd. (b)

    2,585,137       115,432  

CRH PLC

    51,326       4,658,861  

DuPont de Nemours, Inc. (a)

    30,382       2,559,683  

FMC Corp.

    15,213       982,456  

Kinross Gold Corp.

    616,799       5,575,863  

Methanex Corp.

    52,885       2,469,201  

Mosaic Co.

    89,483       2,556,529  

Reliance, Inc.

    2,647       758,763  

Teck Resources Ltd. - Class B

    87,274       4,180,425  

United States Steel Corp.

    29,328       1,111,824  
              24,969,037  

Real Estate — 2.2%

               

Americold Realty Trust, Inc. (a)

    56,661       1,643,169  

Essex Property Trust, Inc.

    6,198       1,870,494  

Extra Space Storage, Inc.

    7,557       1,337,589  

Kimco Realty Corp.

    91,104       2,119,079  

Lamar Advertising Co. - Class A (a)

    10,555       1,327,608  

Regency Centers Corp. (a)

    18,202       1,323,103  

VICI Properties, Inc. (a)

    63,198       2,115,869  

Weyerhaeuser Co.

    48,101       1,466,600  
              13,203,511  

 

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

 

Financial Statements 2024 | 35

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Utilities — 3.7%

               

American Electric Power Co., Inc.

    12,273     $ 1,230,736  

CenterPoint Energy, Inc. (a)

    90,023       2,457,628  

FirstEnergy Corp. (a)

    55,253       2,426,712  

New Jersey Resources Corp.

    13,692       634,077  

NiSource, Inc. (a)

    95,987       3,173,330  

OGE Energy Corp.

    64,415       2,548,257  

PPL Corp. (a)

    95,308       3,041,278  

Southern Co.

    32,090       2,772,576  

SSE PLC

    69,624       1,731,709  

Talen Energy Corp. (b)

    12,624       1,888,677  
              21,904,980  

TOTAL COMMON STOCKS (Cost $373,208,800)

            556,663,020  
                 
   

Contracts

         

WARRANTS — 0.0%(d)

               

Andrada Mining Ltd., Expires 07/17/2025, Exercise Price $0.10 (b)(e)

    1,400,000       5  

TOTAL WARRANTS (Cost $18,309)

            5  
                 
   

Par

         

CONVERTIBLE NOTES — 0.2%

               

Andrada Mining Ltd., 12.00%, 07/31/2026 (e)

    GBP 700,000       841,446  

TOTAL CONVERTIBLE NOTES (Cost $915,464)

            841,446  
                 
   

Shares

         

SHORT-TERM INVESTMENTS — 0.0%(d)

               

Money Market Funds — 0.0%(d)

               

BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.15% (a)(f)

    2,039       2,039  

Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.11% (a)(f)

    2,039       2,039  

Fidelity Treasury Portfolio - Class I, 5.16% (a)(f)

    2,038       2,038  

Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.12% (a)(f)

    2,039       2,039  

TOTAL SHORT-TERM INVESTMENTS (Cost $8,155)

            8,155  

TOTAL INVESTMENTS — 94.2% (Cost $374,150,728)

            557,512,626  

Other Assets in Excess of Liabilities — 5.8%

            34,439,190  

TOTAL NET ASSETS — 100.0%

          $ 591,951,816  

 

 

Percentages are stated as a percent of net assets.

 

Par amount is in USD unless otherwise indicated.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

AG

Aktiengesellschaft

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

GBP

British Pound

(a)

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

 

(b)

Non-income producing security.

 

(c)

Held in connection with written option contracts. See Schedule of Options Written for further information.

 

(d)

Represents less than 0.05% of net assets.

 

(e)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as valuation designee. These securities represented $841,451 or 0.2% of net assets as of August 31, 2024.

 

(f)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 36

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

Schedule of Written Options

 

Notional
Amount

   

Number of
Contracts

   

Value

 

WRITTEN OPTIONS — 0.0% (a)(b)(c)

       

Call Options — 0.0% (a)(b)(c)

               

AutoZone, Inc., Expiration: 09/20/2024; Exercise Price: $3,300.00

  $ (1,590,740 )     (5 )   $ (7,500 )

Progressive Corp., Expiration: 09/20/2024; Exercise Price: $240.00

    (1,992,380 )     (79 )     (106,097 )

Total Call Options

                    (113,597 )

TOTAL WRITTEN OPTIONS (Premiums received $69,105)

                    (113,597 )

 

 

Percentages are stated as a percent of net assets.

 

(a)

Represents less than 0.05% of net assets.

(b)

100 shares per contract.

(c)

Exchange-traded.

 

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

 

Financial Statements 2024 | 37

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

Schedule Of Securities Sold Short

 

Shares

   

Value

 

COMMON STOCKS — (18.9)%

               

Communication Services — (1.3)%

               

Angi, Inc.

    (218,301 )   $ (589,413 )

Cable One, Inc.

    (2,126 )     (749,883 )

Clear Channel Outdoor Holdings, Inc.

    (698,475 )     (1,047,712 )

Dentsu Group, Inc.

    (56,400 )     (1,734,500 )

Lions Gate Entertainment Corp. - Class A

    (79,690 )     (619,191 )

Roblox Corp. - Class A

    (22,874 )     (1,006,227 )

Rumble, Inc.

    (138,628 )     (797,111 )

TELUS Corp.

    (54,709 )     (883,772 )
              (7,427,809 )

Consumer Discretionary — (3.5)%

               

Accor SA

    (27,945 )     (1,178,296 )

Birkenstock Holding PLC

    (15,294 )     (763,171 )

Canada Goose Holdings, Inc.

    (26,466 )     (308,858 )

Choice Hotels International, Inc.

    (15,309 )     (1,953,275 )

Deckers Outdoor Corp.

    (1,552 )     (1,488,818 )

Krispy Kreme, Inc.

    (37,494 )     (422,557 )

LGI Homes, Inc.

    (22,840 )     (2,463,979 )

Lowe’s Cos., Inc.

    (3,633 )     (902,801 )

Marriott Vacations Worldwide Corp.

    (4,477 )     (331,298 )

NIKE, Inc. - Class B

    (5,410 )     (450,761 )

Nokian Renkaat Oyj

    (281,919 )     (2,672,443 )

Playa Hotels & Resorts NV

    (196,904 )     (1,551,604 )

QuantumScape Corp.

    (335,146 )     (1,947,198 )

Revolve Group, Inc.

    (46,490 )     (1,065,551 )

Sabre Corp.

    (398,199 )     (1,214,507 )

SJM Holdings Ltd.

    (3,233,000 )     (982,467 )

Soho House & Co., Inc.

    (142,858 )     (898,577 )
              (20,596,161 )

Consumer Staples — (1.1)%

               

Barry Callebaut AG

    (690 )     (1,116,923 )

Church & Dwight Co., Inc.

    (13,758 )     (1,401,665 )

Davide Campari-Milano NV

    (86,443 )     (799,232 )

Duckhorn Portfolio, Inc.

    (101,897 )     (645,008 )

Hormel Foods Corp.

    (43,474 )     (1,415,079 )

TreeHouse Foods, Inc.

    (35,192 )     (1,446,039 )
              (6,823,946 )

Energy — (2.0)%

               

Core Laboratories, Inc.

    (43,726 )     (855,281 )

CVR Energy, Inc.

    (78,370 )     (1,992,165 )

Matador Resources Co.

    (35,861 )     (2,034,036 )

Neste Oyj

    (50,253 )     (1,172,616 )

New Fortress Energy, Inc.

    (85,580 )     (1,054,346 )

Occidental Petroleum Corp.

    (67,740 )     (3,859,825 )

PBF Energy, Inc. - Class A

    (26,238 )     (893,666 )
              (11,861,935 )

Financials — (3.2)%

               

Aozora Bank Ltd.

    (129,600 )     (2,396,749 )

Ashmore Group PLC

    (456,739 )     (1,053,807 )

AssetMark Financial Holdings, Inc.

    (70,101 )     (2,464,050 )

EQT AB

    (94,530 )     (3,168,906 )

Hang Seng Bank Ltd.

    (211,400 )     (2,545,551 )

Kinsale Capital Group, Inc.

    (2,706 )     (1,328,889 )

T Rowe Price Group, Inc.

    (22,573 )     (2,393,641 )

Texas Capital Bancshares, Inc.

    (26,166 )     (1,758,878 )

Trupanion, Inc.

    (8,076 )     (369,315 )

United Bankshares, Inc.

    (34,931 )     (1,357,768 )
              (18,837,554 )

Health Care — (1.4)%

               

10X Genomics, Inc. - Class A

    (19,618 )     (458,080 )

agilon health, Inc.

    (99,578 )     (406,278 )

Ambu AS - Class B

    (21,027 )     (399,031 )

Carl Zeiss Meditec AG

    (9,672 )     (710,032 )

Cassava Sciences, Inc.

    (12,417 )     (356,492 )

Dexcom, Inc.

    (10,344 )     (717,253 )

GRAIL, Inc.

    (915 )     (12,911 )

Guardant Health, Inc.

    (19,963 )     (510,653 )

Illumina, Inc.

    (5,490 )     (721,386 )

Legend Biotech Corp. - ADR

    (16,104 )     (926,785 )

Moderna, Inc.

    (3,907 )     (302,402 )

MoonLake Immunotherapeutics

    (6,323 )     (295,853 )

Neogen Corp.

    (35,596 )     (614,031 )

Oxford Nanopore Technologies PLC

    (434,490 )     (669,333 )

Privia Health Group, Inc.

    (40,021 )     (806,023 )

Recursion Pharmaceuticals, Inc. - Class A

    (65,617 )     (477,692 )
              (8,384,235 )

Industrials — (2.5)%

               

Atlas Arteria Ltd.

    (727,378 )     (2,502,954 )

Fastenal Co.

    (28,477 )     (1,944,410 )

Husqvarna AB - Class B

    (296,538 )     (2,004,661 )

Kornit Digital Ltd.

    (61,585 )     (1,144,249 )

Montrose Environmental Group, Inc.

    (71,762 )     (2,360,970 )

Nidec Corp.

    (34,700 )     (1,414,850 )

Proto Labs, Inc.

    (59,818 )     (1,829,234 )

SiteOne Landscape Supply, Inc.

    (11,935 )     (1,693,099 )
              (14,894,427 )

Information Technology — (1.3)%

               

Amdocs Ltd.

    (18,472 )     (1,606,510 )

Cognex Corp.

    (58,626 )     (2,367,318 )

Palantir Technologies, Inc. - Class A

    (51,217 )     (1,612,311 )

Power Integrations, Inc.

    (23,786 )     (1,596,040 )

Snowflake, Inc. - Class A

    (6,134 )     (700,687 )
              (7,882,866 )

Materials — (2.0)%

               

Axalta Coating Systems Ltd.

    (21,454 )     (783,071 )

Boliden AB

    (71,765 )     (2,192,320 )

Compass Minerals International, Inc.

    (22,111 )     (195,240 )

Ganfeng Lithium Group Co., Ltd. - Class H(a)

    (267,400 )     (589,046 )

Huntsman Corp.

    (38,925 )     (858,296 )

Lynas Rare Earths Ltd.

    (174,181 )     (823,171 )

MP Materials Corp.

    (79,194 )     (1,021,603 )

Ryerson Holding Corp.

    (113,533 )     (2,272,931 )

Sumitomo Chemical Co., Ltd.

    (485,800 )     (1,398,632 )

Summit Materials, Inc. - Class A

    (36,981 )     (1,497,730 )
              (11,632,040 )

Real Estate — (0.6)%

               

Camden Property Trust

    (3,959 )     (495,667 )

Compass, Inc. - Class A

    (129,674 )     (665,228 )

Mid-America Apartment Communities, Inc.

    (3,516 )     (570,893 )

Nomura Real Estate Master Fund, Inc.

    (503 )     (509,448 )

Segro PLC

    (44,077 )     (507,460 )

 

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

 

Financial Statements 2024 | 38

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Real Estate — (continued)

               

Unibail-Rodamco-Westfield

    (10,708 )   $ (856,255 )
              (3,604,951 )

TOTAL COMMON STOCKS (Proceeds $124,116,801)

            (111,945,924 )
                 

PREFERRED STOCKS — (0.3)%

               

Consumer Discretionary — (0.3)%

               

Dr Ing hc F Porsche AG(a)

    (23,602 )     (1,851,091 )

TOTAL PREFERRED STOCKS (Proceeds $2,115,269)

            (1,851,091 )

TOTAL SECURITIES SOLD SHORT — (19.2)% (Proceeds $126,232,070)

          $ (113,797,015 )

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

(a)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $(2,440,137) or -0.4% of the Fund’s net assets.

 

 

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

 

Financial Statements 2024 | 39

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

Contracts For Difference held by the Fund at August 31, 2024, are as follows:

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Acer, Inc.

Goldman Sachs

Pay

EFFR + (2.50)% = 1.33%

Termination

    12/08/2025  

$

    (1,136,488 )   $ (542,329 )

Acushnet Holdings Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,255,594 )     (18,674 )

Amcor PLC

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (634,977 )     (27,537 )

Antero Resources Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,993,104 )     (4,863 )

Ascendis Pharma AS

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (713,710 )     5,758  

Avanza Bank Holding AB

Morgan Stanley

Pay

STIB1D INDEX + (0.30)% = 3.19%

Termination

    08/27/2027  

SEK

    (10,951,595 )     (846 )

Bank of Hawaii Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 4.97%

Termination

    03/02/2026         (928,782 )     (27,938 )

Bank of Hawaii Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 4.80%

Termination

    12/08/2025         (2,197,179 )     415,833  

BlackLine, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,001,851 )     368,182  

CBRE Group, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (2,099,002 )     (39,134 )

Cincinnati Financial Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,558,853 )     (55,656 )

Commerce Bancshares, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/06/2026         (368,765 )     (108,922 )

Commerce Bancshares, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (2,087,095 )     144,446  

Commonwealth Bank of Australia

Morgan Stanley

Pay

RBA Cash Rate Overnight + (0.55)% = 3.79%

Termination

    12/08/2025  

AUD

    (6,005,196 )     (1,046,593 )

Community Financial System, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/06/2026         (369,284 )     (112,452 )

Community Financial System, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (2,998,552 )     167,973  

Compal Electronics, Inc.

Goldman Sachs

Pay

EFFR + (1.25)% = 4.83%

Termination

    12/08/2025         (822,995 )     (243,278 )

Corcept Therapeutics, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (776,106 )     (21,469 )

Credit Acceptance Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    03/02/2026         (571,499 )     1,738  

Credit Acceptance Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,351,537 )     80,607  

Cullen/Frost Bankers, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/06/2026         (523,441 )     (39,081 )

Cullen/Frost Bankers, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (907,941 )     257,419  

CVB Financial Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    10/06/2026         (852,441 )     (79,486 )

CVB Financial Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (348,617 )     184,367  

Dayforce, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (550,604 )     105,261  

Digital Realty Trust, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (597,192 )     (2,870 )

Dun & Bradstreet Holdings, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,199,508 )     (11,488 )

EcoPro BM Co., Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = 1.96%

Termination

    10/20/2026         (828,744 )     391,764  

EcoPro Co., Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.40)% = 5.24%

Termination

    10/23/2026         (538,905 )     441,299  

EcoPro Co., Ltd.

Goldman Sachs

Pay

EFFR + (10.00)% = (4.97)%

Termination

    10/30/2026         (378,066 )     167,230  

Entegris, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (3,313,303 )     (106,309 )

Erie Indemnity Co.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,391,534 )     (60,355 )

Exponent, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (2,402,403 )     (98,704 )

First Financial Bankshares, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    03/02/2026         (1,776,132 )     (188,923 )

First Financial Bankshares, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,496,371 )     29,317  

Floor & Decor Holdings, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    04/13/2026         (304,825 )     (20,141 )

Floor & Decor Holdings, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (708,260 )     (216,434 )

 

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

 

Financial Statements 2024 | 40

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Fox Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027  

$

    (1,342,787 )   $ (17,794 )

Furukawa Electric Co. Ltd.

Morgan Stanley

Pay

TONA + (0.45)% = (0.22)%

Termination

    08/27/2027  

JPY

    (403,200,000 )     4,512  

Glacier Bancorp, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    03/02/2026         (1,927,333 )     (429,080 )

Glacier Bancorp, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (2,144,582 )     464,112  

GoodRx Holdings, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (935,866 )     (39,140 )

Infosys Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,408,161 )     (55,143 )

KakaoBank Corp.

Goldman Sachs

Pay

EFFR + (0.37)% = 4.33%

Termination

    12/08/2025         (445,209 )     158,084  

KakaoBank Corp.

Bank of America Securities, Inc.

Pay

OBFR + (0.50)% = 3.31%

Termination

    10/12/2026         (45,462 )     1,718  

KB Home

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,432,446 )     (31,249 )

Kimberly-Clark Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (2,196,083 )     1,877  

Kinsale Capital Group, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    09/21/2026         (171,390 )     (19,038 )

Kinsale Capital Group, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (671,811 )     (242,232 )

Liberty Global Ltd.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,534,653 )     (24,611 )

Life Time Group Holdings, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,149,869 )     5,376  

Madrigal Pharmaceuticals, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (695,177 )     5,249  

Moelis & Co.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,714,900 )     (33,300 )

Myriad Genetics, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (753,691 )     (190,483 )

National Beverage Corp.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/15/2025         (114,435 )     16,945  

National Beverage Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,323,730 )     164,516  

Netmarble Corp.

Goldman Sachs

Pay

EFFR + (2.75)% = 2.58%

Termination

    03/10/2026         (214,724 )     5,645  

Netmarble Corp.

Morgan Stanley

Pay

EFFR + (0.62)% = (2.42)%

Termination

    03/16/2026         (1,150,711 )     (88,939 )

Northrop Grumman Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,812,399 )     (44,799 )

Novanta, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/31/2026         (1,943,684 )     (411,459 )

Novanta, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,277,278 )     (150,082 )

Pan Jit International, Inc.

Goldman Sachs

Pay

EFFR + (5.25)% = (0.17)%

Termination

    12/08/2025         (1,477,337 )     160,676  

Permian Resources Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,718,241 )     (6,275 )

Posco Future M Co., Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (0.40)% = 5.32%

Termination

    10/23/2026         (1,409,982 )     577,423  

Rhythm Pharmaceuticals, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (661,729 )     (42,593 )

RLI Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (1,339,900 )     (163,946 )

Sagax AB

Morgan Stanley

Pay

STIB1D INDEX + (0.30)% = 3.19%

Termination

    08/27/2027  

SEK

    (12,372,644 )     29,937  

SDI Corp.

Goldman Sachs

Pay

EFFR + (7.00)% = (2.42)%

Termination

    12/08/2025         (485,699 )     (113,678 )

Shenzhen Dynanonic Co. Ltd.

Morgan Stanley

Pay

EFFR + (0.62)% = 4.71%

Termination

    08/06/2026         (119,432 )     45,225  

Shenzhen Dynanonic Co., Ltd.

Bank of America Securities, Inc.

Pay

EFFR + (14.25)% = (5.19)%

Termination

    10/20/2026         (54,287 )     104,470  

Shenzhen Dynanonic Co., Ltd.

Morgan Stanley

Pay

EFFR + (14.25)% = (5.19)%

Termination

    10/20/2026         (192,720 )     374,615  

Shenzhen Goodix Technology Co., Ltd.

Morgan Stanley

Pay

EFFR + (4.45)% = 0.88%

Termination

    08/03/2026         (881,861 )     (145,131 )

SL Green Realty Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (2,188,391 )     (84,344 )

Tandem Diabetes Care, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,120,169 )     (24,619 )

TG Therapeutics, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (838,029 )     33,571  

 

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

 

Financial Statements 2024 | 41

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (continued)

 

Reference
Entity

 

counterparty

   

Pay/
Receive
Reference
Entity

   

Financing
Rate

   

Payment
Frequency

   

Maturity
Date

 

Notional
Amount

   

VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)

 

Toro Co.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027  

$

    (1,713,378 )   $ (43,770 )

Tractor Supply Co.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (1,136,820 )     (12,888 )

Treasury Wine Estates Ltd.

Morgan Stanley

Pay

RBA Cash Rate Overnight + (0.55)% = 3.79%

Termination

    08/27/2027  

AUD

    (1,743,749 )     26,451  

Twist Bioscience Corp.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/23/2027         (756,484 )     (12,703 )

VAT Group AG

Morgan Stanley

Pay

SARON + 0.35% = 0.76%

Termination

    12/08/2025  

CHF

    (2,746,053 )     (1,077,258 )

Wolfspeed, Inc.

Goldman Sachs

Pay

EFFR + (0.25)% = 5.08%

Termination

    08/31/2026         (367,419 )     1,243,511  

Wolfspeed, Inc.

Morgan Stanley

Pay

EFFR + (0.25)% = 5.08%

Termination

    12/08/2025         (92,869 )     745,185  

Total Unrealized Appreciation (Depreciation)

                            $ 352,256  

 

There are no upfront payments or receipts associated with contracts for difference in the Fund as of August 31, 2024.

 

OBFR - Overnight Bank Funding Rate

 

EFFR - Effective Federal Funds Rate

 

SARON - Swiss Average Rate Overnight

 

TONA - Tokyo Overnight Average Rate

 

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

 

Financial Statements 2024 | 42

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS LONG/SHORT RESEARCH FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Investments:

                               

Common Stocks

  $ 503,505,700     $ 53,157,320     $     $ 556,663,020  

Convertible Notes

                841,446       841,446  

Warrants

                5       5  

Money Market Funds

    8,155                   8,155  

Total Investments

  $ 503,513,855     $ 53,157,320     $ 841,451     $ 557,512,626  
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    6,930,292                   6,930,292  

Total Other Financial Instruments

  $ 6,930,292     $     $     $ 6,930,292  
                                 

Liabilities:

                               

Investments:

                               

Common Stocks

    (80,333,499 )     (31,612,425 )           (111,945,924 )

Preferred Stocks

          (1,851,091 )           (1,851,091 )

Written Options

    (113,597 )                 (113,597 )

Total Investments

  $ (80,447,096 )   $ (33,463,516 )   $     $ (113,910,612 )
                                 

Other Financial Instruments*:

                               

Contracts For Difference

    (6,578,036 )                 (6,578,036 )

Total Other Financial Instruments

  $ (6,578,036 )   $     $     $ (6,578,036 )

 

*

The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of August 31, 2024.

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

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

 

Financial Statements 2024 | 43

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS SMALL CAP VALUE FUND II

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 96.8%

               

Communication Services — 3.8%

               

Cars.com, Inc. (a)

    206,060     $ 3,676,110  

Liberty Media Corp.-Liberty Live - Class A (a)

    83,519       3,307,352  

Magnite, Inc. (a)

    299,569       4,131,057  

Nexstar Media Group, Inc. (b)

    17,631       3,012,785  

Stagwell, Inc. (a)(b)

    394,926       2,839,518  

TEGNA, Inc.

    301,995       4,191,691  

Vivid Seats, Inc. - Class A (a)(b)

    397,510       1,848,422  
              23,006,935  

Consumer Discretionary — 12.6%

               

Beazer Homes USA, Inc. (a)

    185,499       5,802,409  

Bowlero Corp. (b)

    352,736       3,897,733  

Boyd Gaming Corp.

    61,232       3,675,145  

Brinker International, Inc. (a)

    49,674       3,552,684  

Build-A-Bear Workshop, Inc. (b)

    51,991       1,735,460  

Caleres, Inc. (b)

    82,459       3,473,998  

Carriage Services, Inc.

    136,448       4,523,251  

Frontdoor, Inc. (a)

    130,764       6,287,133  

Grand Canyon Education, Inc. (a)

    27,071       3,925,566  

Group 1 Automotive, Inc. (b)

    12,584       4,741,148  

Guess?, Inc. (b)

    107,676       2,231,047  

Installed Building Products, Inc. (b)

    8,629       1,918,313  

J Jill, Inc.

    119,607       3,890,816  

Laureate Education, Inc.

    232,072       3,578,550  

Movado Group, Inc.

    93,511       2,231,172  

Perdoceo Education Corp.

    144,901       3,251,578  

Phinia, Inc. (b)

    68,938       3,306,266  

Steven Madden Ltd. (b)

    73,632       3,320,803  

Taylor Morrison Home Corp. (a)

    38,028       2,560,425  

Unifi, Inc. (a)

    291,042       1,987,817  

United Homes Group, Inc. (a)(b)

    226,618       1,380,104  

Universal Technical Institute, Inc. (a)

    256,762       4,480,497  
              75,751,915  

Consumer Staples — 2.3%

               

Nomad Foods Ltd.

    190,319       3,577,997  

Simply Good Foods Co. (a)(b)

    61,293       1,936,246  

Universal Corp.

    55,189       2,996,763  

Utz Brands, Inc. (b)

    158,411       2,675,562  

Vector Group Ltd.

    192,620       2,885,447  
              14,072,015  

Energy — 6.8%

               

Archrock, Inc.

    150,883       3,052,363  

ChampionX Corp.

    75,516       2,350,813  

Expro Group Holdings NV (a)

    190,103       3,775,446  

Kosmos Energy Ltd. (a)(b)

    286,299       1,394,276  

Newpark Resources, Inc. (a)

    358,790       2,952,842  

Noble Corp., PLC (b)

    61,929       2,362,591  

Par Pacific Holdings, Inc. (a)

    102,688       2,304,319  

Select Water Solutions, Inc. (b)

    233,669       2,694,203  

Vermilion Energy, Inc. (b)

    129,062       1,326,757  

Viper Energy, Inc.

    165,361       7,871,184  

Weatherford International PLC

    50,160       5,263,790  

World Kinect Corp.

    179,102       5,156,347  
              40,504,931  

Financials — 29.9%

               

AllianceBernstein Holding LP

    42,789       1,473,653  

AMERISAFE, Inc.

    32,426       1,625,191  

Assured Guaranty Ltd. (b)

    55,536       4,447,323  

Axis Capital Holdings Ltd.

    74,632       5,961,604  

Baldwin Insurance Group, Inc. - Class A (a)(b)

    122,020       5,721,518  

Bar Harbor Bankshares

    60,963       1,954,474  

BGC Group, Inc. - Class A

    556,206       5,495,315  

Blue Owl Capital Corp. III (b)

    182,608       2,695,294  

Byline Bancorp, Inc.

    67,305       1,867,714  

Cass Information Systems, Inc. (b)

    47,255       2,052,757  

Diamond Hill Investment Group, Inc.

    12,393       1,958,466  

Dime Community Bancshares, Inc.

    71,231       1,852,718  

Employers Holdings, Inc.

    36,106       1,731,283  

Enact Holdings, Inc.

    84,104       2,989,897  

Essent Group Ltd.

    73,986       4,756,560  

Evercore, Inc. - Class A

    9,873       2,426,191  

EZCORP, Inc. - Class A (a)(b)

    304,405       3,719,829  

Federal Agricultural Mortgage Corp. - Class C

    53,726       10,609,273  

First American Financial Corp.

    62,517       3,988,585  

First Merchants Corp.

    69,206       2,699,034  

First Mid Bancshares, Inc.

    65,876       2,653,485  

FirstCash Holdings, Inc.

    59,265       7,117,134  

Global Indemnity Group LLC - Class A

    61,626       1,975,422  

Hancock Whitney Corp.

    63,040       3,387,139  

Heritage Commerce Corp.

    180,926       1,841,827  

Heritage Financial Corp.

    45,985       1,050,297  

Hope Bancorp, Inc.

    210,678       2,694,572  

International Money Express, Inc. (a)

    113,575       2,061,386  

Merchants Bancorp

    74,999       3,438,704  

Northeast Bank

    59,542       4,228,077  

OceanFirst Financial Corp.

    94,462       1,688,036  

Old National Bancorp

    194,315       3,857,153  

Peapack-Gladstone Financial Corp.

    106,887       3,052,693  

PennyMac Financial Services, Inc.

    39,323       4,246,884  

Preferred Bank (b)

    84,061       6,964,454  

Primis Financial Corp.

    257,694       3,130,982  

Redwood Trust, Inc. (b)

    433,115       3,278,681  

S&T Bancorp, Inc. (b)

    89,112       3,829,143  

Shift4 Payments, Inc. - Class A (a)(b)

    54,282       4,510,834  

Silvercrest Asset Management Group, Inc. - Class A

    181,822       2,945,516  

SLM Corp.

    457,055       10,082,633  

SouthState Corp.

    22,867       2,220,157  

Stewart Information Services Corp.

    61,810       4,568,377  

StoneX Group, Inc. (a)

    47,567       3,941,402  

Voya Financial, Inc.

    42,621       3,018,845  

Western Alliance Bancorp

    89,225       7,287,898  

White Mountains Insurance Group Ltd.

    1,848       3,408,156  

Wintrust Financial Corp.

    61,119       6,649,747  
              179,156,313  

Health Care — 5.5%

               

Addus HomeCare Corp. (a)

    22,191       2,951,625  

AMN Healthcare Services, Inc. (a)

    44,002       2,333,426  

Biote Corp. (a)(b)

    526,785       3,308,210  

Catalyst Pharmaceuticals, Inc. (a)

    139,123       2,817,241  

Cross Country Healthcare, Inc. (a)

    100,269       1,496,013  

Evolent Health, Inc. - Class A (a)(b)

    154,082       4,927,542  

Fortrea Holdings, Inc. (a)(b)

    98,988       2,282,663  

Haemonetics Corp. (a)(b)

    32,238       2,436,548  

Halozyme Therapeutics, Inc. (a)

    43,920       2,804,292  

Lantheus Holdings, Inc. (a)(b)

    24,423       2,600,317  

 

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

 

Financial Statements 2024 | 44

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS SMALL CAP VALUE FUND II

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Health Care — (continued)

               

Organon & Co.

    103,404     $ 2,311,079  

Pediatrix Medical Group, Inc. (a)

    232,203       2,521,725  
              32,790,681  

Industrials — 22.2%

               

Acuity Brands, Inc.

    14,660       3,733,902  

Allison Transmission Holdings, Inc.

    61,498       5,703,939  

Asure Software, Inc. (a)(b)

    182,170       1,564,840  

Atmus Filtration Technologies, Inc.

    82,022       2,940,489  

AZZ, Inc.

    35,618       2,962,349  

Beacon Roofing Supply, Inc. (a)

    72,452       6,564,151  

Blue Bird Corp. (a)

    78,034       3,993,780  

Brady Corp. - Class A

    42,863       3,173,577  

Brink’s Co.

    94,789       10,514,944  

Civeo Corp.

    97,295       2,768,043  

Concentrix Corp. (b)

    41,374       3,112,566  

CoreCivic, Inc. (a)

    123,457       1,701,237  

CRA International, Inc.

    27,454       4,628,744  

DNOW, Inc. (a)

    129,409       1,684,905  

DXP Enterprises, Inc. (a)

    61,568       3,386,240  

EnerSys

    33,688       3,413,605  

First Advantage Corp. (a)(b)

    253,971       4,863,545  

Granite Construction, Inc. (b)

    64,817       4,871,646  

Griffon Corp.

    63,595       4,209,353  

Heidrick & Struggles International, Inc.

    72,163       2,785,492  

Huron Consulting Group, Inc. (a)

    32,758       3,617,794  

IBEX Holdings Ltd. (a)

    174,384       3,006,380  

ICF International, Inc.

    28,423       4,711,396  

Janus International Group, Inc. (a)(b)

    347,385       3,817,761  

Karat Packaging, Inc.

    95,654       2,423,872  

Kelly Services, Inc. - Class A

    126,754       2,675,777  

Liquidity Services, Inc. (a)

    103,360       2,250,147  

LSI Industries, Inc.

    171,012       2,720,801  

Matson, Inc.

    21,184       2,929,747  

Primoris Services Corp.

    76,156       4,298,245  

Resideo Technologies, Inc. (a)

    121,232       2,444,037  

Science Applications International Corp.

    20,356       2,658,290  

Sensata Technologies Holding PLC

    59,856       2,307,449  

Sterling Infrastructure, Inc. (a)

    19,088       2,281,589  

V2X, Inc. (a)

    59,166       3,351,754  

Valmont Industries, Inc.

    10,938       3,125,643  

Viad Corp. (a)

    108,825       3,744,668  

WillScot Holdings Corp. (a)(b)

    61,581       2,373,332  
              133,316,029  

Information Technology — 8.8%

               

Adeia, Inc.

    354,464       4,466,246  

Avnet, Inc.

    83,295       4,596,218  

Axcelis Technologies, Inc. (a)

    32,338       3,535,513  

Bel Fuse, Inc. - Class B (b)

    34,152       2,316,530  

Belden, Inc. (b)

    22,139       2,375,072  

Benchmark Electronics, Inc.

    53,305       2,265,996  

Clearfield, Inc. (a)(b)

    85,747       3,198,363  

CompoSecure, Inc. (b)

    477,871       5,605,427  

Hackett Group, Inc.

    88,461       2,344,216  

Insight Enterprises, Inc. (a)

    11,009       2,389,724  

InterDigital, Inc. (b)

    54,394       7,536,833  

LiveRamp Holdings, Inc. (a)

    58,675       1,520,856  

NCR Voyix Corp. (a)(b)

    137,895       1,860,204  

OSI Systems, Inc. (a)(b)

    26,842       4,022,811  

Photronics, Inc. (a)

    123,618       3,196,761  

Ultra Clean Holdings, Inc. (a)

    45,048       1,698,310  
              52,929,080  

Materials — 2.9%

               

Ashland, Inc. (b)

    24,177       2,163,842  

Ecovyst, Inc. (a)

    209,695       1,505,610  

Eldorado Gold Corp. (a)

    200,932       3,466,077  

Knife River Corp. (a)

    27,751       2,188,721  

Methanex Corp.

    75,571       3,528,410  

Myers Industries, Inc.

    77,988       1,192,437  

Orion SA

    179,900       3,355,135  
              17,400,232  

Real Estate — 1.2%

               

BRT Apartments Corp.

    94,922       1,802,569  

Cousins Properties, Inc.

    93,921       2,677,688  

First Industrial Realty Trust, Inc.

    47,287       2,682,591  
              7,162,848  

Utilities — 0.8%

               

New Jersey Resources Corp.

    46,418       2,149,617  

Portland General Electric Co.

    25,407       1,222,331  

Pure Cycle Corp. (a)

    109,257       1,163,587  
              4,535,535  

TOTAL COMMON STOCKS (Cost $428,586,377)

            580,626,514  
                 

CLOSED END FUNDS — 0.3%

               

Golub Capital BDC, Inc. (b)

    134,862       2,008,095  

TOTAL CLOSED END FUNDS (Cost $2,158,074)

            2,008,095  
                 
   

Units

         

SHORT-TERM INVESTMENTS — 18.6%

               

Investments Purchased with Proceeds from Securities Lending — 18.6%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.50% (c)

    111,608,773       111,608,773  

TOTAL SHORT-TERM INVESTMENTS (Cost $111,608,773)

            111,608,773  

TOTAL INVESTMENTS — 115.7% (Cost $542,353,224)

            694,243,382  

Liabilities in Excess of Other Assets — (15.7)%

            (94,069,180 )

TOTAL NET ASSETS — 100.0%

          $ 600,174,202  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

NV

Naamloze Vennootschap

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $109,500,196 which represented 18.2% of net assets.

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 45

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

BOSTON PARTNERS SMALL CAP VALUE FUND II

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 578,651,092     $ 1,975,422     $     $ 580,626,514  

Closed End Funds

    2,008,095                   2,008,095  

Investments Purchased with Proceeds from Securities Lending(a)

                      111,608,773  

Total Investments

  $ 580,659,187     $ 1,975,422     $     $ 694,243,382  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. These investments can be classified as Investments Purchased with Proceeds from Securities Lending and their fair value totals to $111,608,773. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

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

 

Financial Statements 2024 | 46

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG Partners Select Hedged Fund

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 97.7%

               

Communication Services — 2.2%

               

Cars.com, Inc. (a)(b)

    65,310     $ 1,165,130  

Consumer Discretionary — 7.1%

               

Gildan Activewear, Inc. (b)

    42,298       1,930,058  

PlayAGS, Inc. (a)(b)

    89,254       1,010,355  

Wayfair, Inc. - Class A (a)(b)

    20,330       865,042  
              3,805,455  

Consumer Staples — 4.9%

               

Grocery Outlet Holding Corp. (a)(b)

    33,912       642,293  

Nomad Foods Ltd.

    107,887       2,028,276  
              2,670,569  

Energy — 3.0%

               

International Seaways, Inc. (b)

    10,807       560,127  

Kosmos Energy Ltd. (a)(b)

    220,950       1,076,026  
              1,636,153  

Financials — 26.5%

               

BGC Group, Inc. - Class A (b)

    257,144       2,540,583  

Dime Community Bancshares, Inc. (b)

    52,920       1,376,449  

Federal Agricultural Mortgage Corp. - Class C (b)

    1,864       368,084  

Fidelis Insurance Holdings Ltd. (b)

    86,388       1,599,906  

FirstCash Holdings, Inc. (b)

    11,926       1,432,193  

Independent Bank Corp./MI

    18,110       613,567  

Kemper Corp. (b)

    40,807       2,550,846  

National Bank Holdings Corp. - Class A (b)

    12,670       555,073  

Perella Weinberg Partners (b)

    38,757       757,699  

Popular, Inc.

    15,093       1,547,032  

Prosperity Bancshares, Inc.

    12,857       946,018  
              14,287,450  

Health Care — 12.5%

               

CareDx, Inc. (a)

    27,578       847,472  

Enovis Corp. (a)(b)

    53,387       2,487,834  

Halozyme Therapeutics, Inc. (a)(b)

    15,279       975,564  

Innoviva, Inc. (a)(b)

    31,863       617,505  

Tenet Healthcare Corp. (a)(b)

    10,807       1,792,233  
              6,720,608  

Industrials — 13.5%

               

Air Lease Corp. (b)

    40,808       1,888,186  

Arcosa, Inc. (b)

    27,723       2,536,377  

Clarivate PLC (a)(b)

    338,090       2,319,298  

V2X, Inc. (a)

    9,837       557,266  
              7,301,127  

Information Technology — 12.8%

               

8x8, Inc. (a)(b)

    528,454       993,493  

Ooma, Inc. (a)(b)

    52,173       542,599  

Silicon Motion Technology Corp. - ADR

    8,351       530,873  

Silvaco Group, Inc. (a)(b)

    27,739       428,568  

SMART Global Holdings, Inc. (a)

    26,025       539,238  

Teradata Corp. (a)(b)

    26,459       747,202  

Tower Semiconductor Ltd. (a)

    40,993       1,811,481  

Verint Systems, Inc. (a)(b)

    40,993       1,293,329  
              6,886,783  

Materials — 8.8%

               

Ashland, Inc. (b)

    11,988       1,072,926  

ERO Copper Corp. (a)(b)

    59,255       1,217,690  

Kronos Worldwide, Inc.

    52,732       609,582  

Rayonier Advanced Materials, Inc. (a)(b)

    230,768       1,841,529  
              4,741,727  

Real Estate — 6.4%

               

Brixmor Property Group, Inc. (b)

    64,845       1,776,104  

Equity Commonwealth (a)(b)

    83,866       1,699,964  
              3,476,068  

TOTAL COMMON STOCKS (Cost $48,629,964)

            52,691,070  
                 

SHORT-TERM INVESTMENTS — 0.0%(c)

               

Money Market Funds — 0.0%(c)

               

BlackRock Liquidity Funds Treasury Trust Fund Portfolio - Class Institutional, 5.15% (b)(d)

    676       676  

Federated Hermes U.S. Treasury Cash Reserves - Class Institutional, 5.11% (b)(d)

    675       675  

Fidelity Treasury Portfolio - Class I, 5.16% (b)(d)

    676       676  

Goldman Sachs Financial Square Funds - Treasury Instruments Fund - Class Institutional, 5.12% (b)(d)

    675       675  

TOTAL SHORT-TERM INVESTMENTS (Cost $2,702)

            2,702  

TOTAL INVESTMENTS — 97.7% (Cost $48,632,666)

            52,693,772  

Other Assets in Excess of Liabilities — 2.3%

            1,231,653  

TOTAL NET ASSETS — 100.0%

          $ 53,925,425  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

PLC

Public Limited Company

(a)

Non-income producing security.

(b)

Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

(c)

Represents less than 0.05% of net assets.

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

 

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

 

Financial Statements 2024 | 47

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG Partners Select Hedged Fund

Schedule of Investments (continued)

 

Schedule of Securities Sold Short

 

Shares

   

Value

 

COMMON STOCKS — (66.3)%

               

Communication Services — (0.1)%

               

AST SpaceMobile, Inc.

    (1,582 )   $ (45,941 )

Consumer Discretionary — (12.4)%

               

Boot Barn Holdings, Inc.

    (2,430 )     (326,033 )

Crocs, Inc.

    (2,941 )     (429,886 )

Latham Group, Inc.

    (66,019 )     (412,619 )

Lithia Motors, Inc.

    (2,286 )     (688,269 )

Newell Brands, Inc.

    (17,428 )     (123,564 )

Restaurant Brands International, Inc.

    (8,447 )     (586,898 )

RH

    (466 )     (118,224 )

Signet Jewelers Ltd.

    (3,317 )     (278,960 )

Thor Industries, Inc.

    (6,630 )     (711,134 )

Vail Resorts, Inc.

    (3,793 )     (689,188 )

Williams-Sonoma, Inc.

    (4,544 )     (610,395 )

Wingstop, Inc.

    (1,429 )     (551,751 )

Winmark Corp.

    (1,386 )     (499,792 )

XPEL, Inc.

    (15,610 )     (675,757 )
              (6,702,470 )

Consumer Staples — (6.1)%

               

Andersons, Inc.

    (18,861 )     (961,345 )

Archer-Daniels-Midland Co.

    (17,649 )     (1,076,413 )

Central Garden & Pet Co. - Class A

    (8,207 )     (280,679 )

Hershey Co.

    (3,162 )     (610,456 )

J & J Snack Foods Corp.

    (2,249 )     (382,757 )
              (3,311,650 )

Financials — (8.6)%

               

Blackstone Mortgage Trust, Inc. - Class A

    (24,548 )     (453,156 )

CVB Financial Corp.

    (18,818 )     (346,628 )

Encore Capital Group, Inc.

    (8,321 )     (416,716 )

FactSet Research Systems, Inc.

    (1,266 )     (535,315 )

Live Oak Bancshares, Inc.

    (12,016 )     (516,568 )

Moelis & Co. - Class A

    (10,342 )     (690,742 )

MSCI, Inc.

    (971 )     (563,753 )

US Bancorp

    (23,924 )     (1,129,930 )
              (4,652,808 )

Health Care — (4.4)%

               

Fortrea Holdings, Inc.

    (22,734 )     (524,246 )

Inspire Medical Systems, Inc.

    (3,666 )     (659,220 )

Option Care Health, Inc.

    (24,774 )     (793,264 )

Owens & Minor, Inc.

    (17,504 )     (272,012 )

US Physical Therapy, Inc.

    (1,534 )     (131,310 )
              (2,380,052 )

Industrials — (22.6)%

               

American Airlines Group, Inc.

    (36,576 )     (388,437 )

ArcBest Corp.

    (7,706 )     (819,148 )

Boise Cascade Co.

    (5,849 )     (793,241 )

Core & Main, Inc. - Class A

    (14,612 )     (701,814 )

Griffon Corp.

    (15,645 )     (1,035,543 )

H&E Equipment Services, Inc.

    (2,717 )     (130,824 )

Herc Holdings, Inc.

    (7,381 )     (1,080,357 )

Hillenbrand, Inc.

    (7,747 )     (255,341 )

Mercury Systems, Inc.

    (7,557 )     (286,410 )

MillerKnoll, Inc.

    (35,034 )     (1,031,751 )

PACCAR, Inc.

    (11,275 )     (1,084,430 )

Paychex, Inc.

    (8,225 )     (1,079,120 )

Rockwell Automation, Inc.

    (4,868 )     (1,324,242 )

Spirit AeroSystems Holdings, Inc. - Class A

    (26,148 )     (920,671 )

Symbotic, Inc.

    (25,772 )     (494,823 )

Terex Corp.

    (9,377 )     (532,332 )

Triumph Group, Inc.

    (14,487 )     (201,804 )
              (12,160,288 )

Information Technology — (9.1)%

               

Amdocs Ltd.

    (7,360 )     (640,099 )

Dolby Laboratories, Inc. - Class A

    (6,892 )     (491,813 )

EPAM Systems, Inc.

    (1,220 )     (244,927 )

HubSpot, Inc.

    (749 )     (373,803 )

Klaviyo, Inc. - Class A

    (16,599 )     (522,205 )

Lumentum Holdings, Inc.

    (14,748 )     (849,632 )

Methode Electronics, Inc.

    (37,715 )     (392,990 )

MKS Instruments, Inc.

    (2,285 )     (272,441 )

Snowflake, Inc. - Class A

    (3,120 )     (356,398 )

Synopsys, Inc.

    (1,472 )     (764,822 )
              (4,909,130 )

Materials — (1.8)%

               

Alpha Metallurgical Resources, Inc.

    (3,427 )     (819,567 )

Eagle Materials, Inc.

    (498 )     (128,360 )
              (947,927 )

Real Estate — (1.2)%

               

Rexford Industrial Realty, Inc.

    (12,223 )     (622,395 )

TOTAL COMMON STOCKS (Proceeds $35,139,888)

            (35,732,661 )

TOTAL SECURITIES SOLD SHORT — (66.3)% (Proceeds $35,139,888)

          $ (35,732,661 )

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

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

 

Financial Statements 2024 | 48

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG Partners Select Hedged Fund

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Investments:

                               

Common Stocks

  $ 52,691,070     $     $     $ 52,691,070  

Money Market Funds

    2,702                   2,702  

Total Investments

  $ 52,693,772     $     $     $ 52,693,772  
                                 

Liabilities:

                               

Investments:

                               

Common Stocks

    (35,732,661 )                 (35,732,661 )

Total Investments

  $ (35,732,661 )   $     $     $ (35,732,661 )

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

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

 

Financial Statements 2024 | 49

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG PARTNERS SELECT SMALL CAP VALUE FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 96.8%

               

Communication Services — 2.1%

               

Cars.com, Inc. (a)

    146,987     $ 2,622,248  

Consumer Discretionary — 7.0%

               

Gildan Activewear, Inc.

    96,244       4,391,614  

PlayAGS, Inc. (a)

    203,086       2,298,933  

Wayfair, Inc. - Class A (a)

    45,789       1,948,322  
              8,638,869  

Consumer Staples — 4.9%

               

Grocery Outlet Holding Corp. (a)

    77,165       1,461,505  

Nomad Foods Ltd.

    245,484       4,615,099  
              6,076,604  

Energy — 3.0%

               

International Seaways, Inc.

    24,590       1,274,500  

Kosmos Energy Ltd. (a)

    504,112       2,455,025  
              3,729,525  

Financials — 26.3%

               

BGC Group, Inc. - Class A

    585,094       5,780,729  

Dime Community Bancshares, Inc.

    120,411       3,131,890  

Federal Agricultural Mortgage Corp. - Class C

    4,240       837,273  

Fidelis Insurance Holdings Ltd.

    197,575       3,659,089  

FirstCash Holdings, Inc.

    27,135       3,258,642  

Independent Bank Corp.

    40,703       1,379,018  

Kemper Corp.

    92,851       5,804,116  

National Bank Holdings Corp. - Class A

    28,830       1,263,042  

Perella Weinberg Partners

    88,187       1,724,056  

Popular, Inc.

    34,342       3,520,055  

Prosperity Bancshares, Inc.

    29,254       2,152,509  
              32,510,419  

Health Care — 12.4%

               

CareDx, Inc. (a)

    62,750       1,928,308  

Enovis Corp. (a)

    120,835       5,630,911  

Halozyme Therapeutics, Inc. (a)

    34,767       2,219,873  

Innoviva, Inc. (a)

    72,501       1,405,069  

Tenet Healthcare Corp. (a)

    24,590       4,078,006  
              15,262,167  

Industrials — 13.4%

               

Air Lease Corp.

    92,852       4,296,262  

Arcosa, Inc.

    63,174       5,779,790  

Clarivate PLC (a)

    769,949       5,281,850  

V2X, Inc. (a)

    22,194       1,257,290  
              16,615,192  

Information Technology — 12.6%

               

8x8, Inc. (a)

    1,202,409       2,260,529  

Ooma, Inc. (a)

    118,714       1,234,626  

Silicon Motion Technology Corp. - ADR

    18,655       1,185,899  

Silvaco Group, Inc. (a)

    62,325       962,921  

SMART Global Holdings, Inc. (a)

    57,661       1,194,736  

Teradata Corp. (a)

    60,205       1,700,189  

Tower Semiconductor Ltd. (a)

    93,275       4,121,822  

Verint Systems, Inc. (a)

    93,275       2,942,826  
              15,603,548  

Materials — 8.7%

               

Ashland, Inc.

    27,135       2,428,583  

ERO Copper Corp. (a)

    134,826       2,770,674  

Kronos Worldwide, Inc.

    119,986       1,387,038  

Rayonier Advanced Materials, Inc. (a)

    518,527       4,137,845  
              10,724,140  

Real Estate — 6.4%

               

Brixmor Property Group, Inc.

    147,546       4,041,285  

Equity Commonwealth (a)

    191,215       3,875,928  
              7,917,213  

TOTAL COMMON STOCKS (Cost $102,060,756)

            119,699,925  

TOTAL INVESTMENTS — 96.8% (Cost $102,060,756)

            119,699,925  

Other Assets in Excess of Liabilities — 3.2%

            3,929,711  

TOTAL NET ASSETS — 100.0%

          $ 123,629,636  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

PLC

Public Limited Company

(a)

Non-income producing security.

 

 

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

 

Financial Statements 2024 | 50

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG PARTNERS SELECT SMALL CAP VALUE FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 119,699,925     $     $     $ 119,699,925  

Total Investments

  $ 119,699,925     $     $     $ 119,699,925  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

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

 

Financial Statements 2024 | 51

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND

Schedule of Investments

 

   

Shares

   

Value

 

COMMON STOCKS — 97.2%

               

Communication Services — 0.8%

               

Cargurus, Inc. (a)

    9,420     $ 272,992  

Consumer Discretionary — 8.4%

               

Academy Sports & Outdoors, Inc. (b)

    1,482       82,221  

ADT, Inc. (b)

    57,319       417,856  

Bowlero Corp. (b)

    10,880       120,224  

Dave & Buster’s Entertainment, Inc. (a)

    5,332       167,105  

Frontdoor, Inc. (a)

    1,612       77,505  

Gentherm, Inc. (a)

    3,675       185,735  

Gildan Activewear, Inc.

    18,242       832,382  

Savers Value Village, Inc. (a)(b)

    20,057       177,504  

Stride, Inc. (a)(b)

    4,483       369,130  

Wayfair, Inc. - Class A (a)(b)

    7,811       332,358  
              2,762,020  

Consumer Staples — 3.9%

               

Grocery Outlet Holding Corp. (a)(b)

    16,234       307,472  

Lamb Weston Holdings, Inc.

    1,390       86,069  

Nomad Foods Ltd.

    33,769       634,857  

TreeHouse Foods, Inc. (a)

    6,705       275,508  
              1,303,906  

Energy — 8.4%

               

Antero Resources Corp. (a)

    9,401       253,733  

Atlas Energy Solutions, Inc. (b)

    14,889       314,009  

DHT Holdings, Inc.

    36,293       393,053  

Kodiak Gas Services, Inc. (b)

    13,600       377,400  

Kosmos Energy Ltd. (a)(b)

    68,719       334,661  

Scorpio Tankers, Inc.

    6,472       463,007  

SM Energy Co. (b)

    5,405       246,630  

Tidewater, Inc. (a)

    2,091       185,472  

Transocean Ltd. (a)(b)

    41,289       195,710  
              2,763,675  

Financials — 19.1%

               

AGNC Investment Corp. (b)

    30,556       311,977  

Axis Capital Holdings Ltd.

    3,354       267,917  

BGC Group, Inc. - Class A (b)

    62,684       619,318  

Enterprise Financial Services Corp.

    3,253       172,116  

Essent Group Ltd.

    6,896       443,344  

Fidelis Insurance Holdings Ltd.

    26,677       494,058  

First American Financial Corp.

    2,550       162,690  

First BanCorp

    22,935       490,350  

First Commonwealth Financial Corp.

    22,944       395,096  

FirstCash Holdings, Inc.

    3,572       428,961  

Hanover Insurance Group, Inc.

    3,234       475,366  

Kemper Corp. (b)

    12,278       767,498  

National Bank Holdings Corp. - Class A (b)

    6,685       292,870  

Popular, Inc.

    5,124       525,210  

Prosperity Bancshares, Inc.

    3,891       286,300  

Webster Financial Corp.

    3,791       179,807  
              6,312,878  

Health Care — 8.1%

               

Enovis Corp. (a)(b)

    14,534       677,284  

Halozyme Therapeutics, Inc. (a)(b)

    5,408       345,301  

Phreesia, Inc. (a)

    12,414       319,164  

Teleflex, Inc.

    1,644       403,059  

Tenet Healthcare Corp. (a)

    5,715       947,776  
              2,692,584  

Industrials — 20.6%

               

ABM Industries, Inc.

    4,678       267,348  

Air Lease Corp. (b)

    13,048       603,731  

Allison Transmission Holdings, Inc.

    2,511       232,895  

Arcosa, Inc.

    7,933       725,790  

Atkore, Inc.

    2,109       196,833  

BrightView Holdings, Inc. (a)

    16,294       260,215  

Clarivate PLC (a)(b)

    103,062       707,005  

Driven Brands Holdings, Inc. (a)

    5,850       83,889  

Embraer SA - ADR (a)

    4,743       157,610  

Fluor Corp. (a)

    7,547       377,878  

Frontier Group Holdings, Inc. (a)(b)

    40,143       145,719  

ICF International, Inc.

    2,162       358,373  

IES Holdings, Inc. (a)

    505       94,198  

Janus International Group, Inc. (a)(b)

    11,620       127,704  

KBR, Inc.

    4,803       333,136  

Knight-Swift Transportation Holdings, Inc. (b)

    7,122       373,050  

Leonardo DRS, Inc. (a)

    11,821       337,371  

MasTec, Inc. (a)(b)

    3,135       354,663  

Moog, Inc. - Class A

    916       180,819  

RXO, Inc. (a)

    4,219       120,073  

Star Bulk Carriers Corp.

    23,917       511,106  

Stericycle, Inc. (a)

    4,373       259,144  
              6,808,550  

Information Technology — 7.7%

               

BlackBerry Ltd. (a)(b)

    55,765       131,048  

Extreme Networks, Inc. (a)

    6,634       104,486  

Harmonic, Inc. (a)

    25,107       362,796  

LiveRamp Holdings, Inc. (a)

    5,121       132,736  

Mirion Technologies, Inc. (a)

    17,991       195,022  

NCR Voyix Corp. (a)

    6,460       87,145  

Silicon Motion Technology Corp. - ADR (b)

    4,433       281,806  

Teradata Corp. (a)

    8,629       243,683  

Tower Semiconductor Ltd. (a)(b)

    13,651       603,238  

Verint Systems, Inc. (a)

    13,153       414,977  
              2,556,937  

Materials — 10.3%

               

Alcoa Corp.

    4,730       151,833  

Ashland, Inc. (b)

    3,685       329,807  

Capstone Copper Corp. (a)

    40,140       288,023  

Commercial Metals Co. (b)

    3,598       192,817  

Constellium SE (a)

    19,056       319,569  

ERO Copper Corp. (a)(b)

    17,745       364,660  

Huntsman Corp.

    11,017       242,925  

Stelco Holdings, Inc.

    12,840       624,064  

Summit Materials, Inc. - Class A (a)

    7,269       294,395  

Tronox Holdings PLC

    24,716       344,294  

Warrior Met Coal, Inc.

    4,007       245,669  
              3,398,056  

Real Estate — 5.9%

               

Brixmor Property Group, Inc.

    28,021       767,495  

DigitalBridge Group, Inc.

    15,238       190,323  

Equity Commonwealth (a)

    24,077       488,041  

Getty Realty Corp. (b)

    15,928       506,192  
              1,952,051  

 

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

 

Financial Statements 2024 | 52

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND

Schedule of Investments (continued)

 

   

Shares

   

Value

 

Utilities — 4.0%

               

ALLETE, Inc.

    7,020     $ 446,121  

Portland General Electric Co.

    9,407       452,571  

Spire, Inc. (b)

    6,622       436,853  
              1,335,545  

TOTAL COMMON STOCKS (Cost $24,896,739)

            32,159,194  
                 
   

Units

         

SHORT-TERM INVESTMENTS — 27.3%

               

Investments Purchased with Proceeds from Securities Lending — 27.3%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.50% (c)

    9,020,061       9,020,061  

TOTAL SHORT-TERM INVESTMENTS (Cost $9,020,061)

            9,020,061  

TOTAL INVESTMENTS — 124.5% (Cost $33,916,800)

            41,179,255  

Liabilities in Excess of Other Assets — (24.5)%

            (8,101,102 )

TOTAL NET ASSETS — 100.0%

  $ 33,078,153  

 

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR

American Depositary Receipt

PLC

Public Limited Company

SA

Sociedad Anónima

(a)

Non-income producing security.

(b)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $8,825,663 which represented 26.7% of net assets.

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

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

 

Financial Statements 2024 | 53

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

WPG PARTNERS SMALL CAP VALUE DIVERSIFIED FUND

Schedule of Investments (concluded)

 

A summary of the inputs used to value the Fund’s investments carried at fair value as of August 31, 2024 is as follows (see Notes to Schedule of Investments):

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Common Stocks

  $ 32,159,194     $     $     $ 32,159,194  

Investments Purchased with Proceeds from Securities Lending(a)

                      9,020,061  

Total Investments

  $ 32,159,194     $     $     $ 41,179,255  

 

Refer to the Schedule of Investments for further disaggregation of investment categories.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. These investments can be classified as Investments Purchased with Proceeds from Securities Lending and their fair value totals to $9,020,061. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

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

 

Financial Statements 2024 | 54

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities

 

 

   

Boston
Partners
All-Cap
Value Fund

   

Boston
Partners
Emerging Markets
Dynamic Equity Fund

   

Boston
Partners Global
Equity Fund

   

Boston
Partners
Global
Long/Short Fund

 

ASSETS

                               

Investments in securities, at value †^

  $ 1,474,739,248     $ 37,292,720     $ 233,458,277     $ 131,774,677  

Investments purchased with proceeds from securities lending collateral, at value *

    75,809,274             4,427,880        

Short-term investments, at value **

          10,566,624             229,592  

Cash and cash equivalents

    17,549,782       9,637,679       10,575,209       44,974,864  

Foreign currencies, at value #

                       

Offering costs

                       

Receivables

                               

Investments sold

          106,664             1,333,575  

Foreign currency deposits with brokers for securities sold short#

          4,938             1,517,524  

Deposits with brokers for contracts for difference

          1,698,030             610,000  

Deposits with brokers for securities sold short

          74,227              

Capital shares sold

    171,900                   83,601  

Dividends and interest

    2,097,772       846,869       892,209       341,260  

Due from advisor

                       

Unrealized appreciation on contracts for difference

          6,022,584             2,402,908  

Prepaid expenses and other assets

    54,486       238,746       15,908       1,034,061  

Total assets

    1,570,422,462       66,489,081       249,369,483       184,302,062  

LIABILITIES

                               

Securities sold short, at value

          1,261,905              

Options written, at value +◊

                       

Foreign currency overdraft

          78,823              

Payables

                               

Securities lending collateral

    75,809,274             4,427,880        

Investments purchased

          809,269             228,230  

Capital shares redeemed

    399,302       3,803       20,588       102,833  

Due to prime broker

                      1,851,679  

Investment advisory fees

    913,930       85,226       182,729       178,531  

Custodian fees

    6,782       3,056       466       2,585  

Distribution and service fees

    52,297                   12,625  

Dividends on securities sold short

                       

Administration and accounting fees

    89,998       14,510       24,662       20,725  

Transfer agent fees

    164,965       3,742       25,651       30,772  

Unrealized depreciation on contracts for difference

          3,416,520             2,524,525  

Other accrued expenses and liabilities

    21,684       844,622       40,012       701,184  

Total liabilities

    77,458,232       6,521,476       4,721,988       5,653,689  

Net Assets

  $ 1,492,964,230     $ 59,967,605     $ 244,647,495     $ 178,648,373  

NET ASSETS CONSIST OF:

                               

Par value

  $ 44,002     $ 6,886     $ 9,616     $ 10,496  

Paid-in Capital

    758,577,233       72,066,508       184,819,851       143,334,625  

Total Distributable earnings/(loss)

    734,342,995       (12,105,789 )     59,818,028       35,303,252  

Net Assets

  $ 1,492,964,230     $ 59,967,605     $ 244,647,495     $ 178,648,373  

 

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

 

Financial Statements 2024 | 55

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities (continued)

 

 

   

Boston
Partners
All-Cap
Value Fund

   

Boston
Partners
Emerging Markets
Dynamic Equity Fund

   

Boston
Partners Global
Equity Fund

   

Boston
Partners
Global
Long/Short Fund

 

INSTITUTIONAL CLASS

                               

Net assets

  $ 1,272,666,440     $ 59,967,605     $ 244,647,495     $ 164,903,317  

Shares outstanding

    37,466,409       6,885,799       9,616,031       9,673,597  

Net asset value, offering and redemption price per share

  $ 33.97     $ 8.71     $ 25.44     $ 17.05  

INVESTOR CLASS

                               

Net assets

  $ 220,297,790     $     $     $ 13,745,056  

Shares outstanding

    6,535,297                   822,072  

Net asset value, offering and redemption price per share

  $ 33.71     $     $     $ 16.72  

† Investments in securities, at cost

  $ 836,775,877     $ 34,603,572     $ 179,429,615     $ 112,546,347  

^ Includes market value of securities on loan

  $ 74,254,911     $     $ 4,366,972     $  

* Investments purchased with proceeds from securities lending collateral, at cost

  $ 75,809,274     $     $ 4,427,880     $  

** Short-term investments, at cost

  $     $ 10,566,624     $     $ 229,592  

# Foreign currencies, at cost

  $     $     $     $ 1,480,649  

‡ Proceeds received, securities sold short

  $     $ 1,208,836     $     $  

+ Premiums received, options written

  $     $     $     $  

◊ Primary risk exposure is equity contracts

                               

 

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

 

Financial Statements 2024 | 56

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities (continued)

 

 

   

Boston
Partners
Global
Sustainability Fund

   

Boston
Partners
Long/Short
Equity Fund

   

Boston
Partners
Long/Short
Research Fund

   

Boston
Partners
Small Cap
Value Fund II

 

ASSETS

                               

Investments in securities, at value †^

  $ 11,196,102     $ 60,706,044     $ 557,504,471     $ 582,634,609  

Investments purchased with proceeds from securities lending collateral, at value *

          9,268,044             111,608,773  

Short-term investments, at value **

          607,947       8,155        

Cash and cash equivalents

    213,900       1,613,171       28,309,504       17,403,785  

Foreign currencies, at value #

                       

Offering costs

                       

Receivables

                             

Investments sold

                       

Foreign currency deposits with brokers for securities sold short

          2,973,196       45,979,169        

Deposits with brokers for contracts for difference

                530,000        

Deposits with brokers for securities sold short

          8,853,659       73,161,453        

Capital shares sold

          14,942       69,809       376,924  

Dividends and interest

    44,824       122,984       1,555,976       607,986  

Due from advisor

    2,327                    

Unrealized appreciation on contracts for difference

                6,930,292        

Prepaid expenses and other assets

    463       18,629       1,992,530       35,370  

Total assets

    11,457,616       84,178,616       716,041,359       712,667,447  

LIABILITIES

                               

Securities sold short, at value

          11,814,494       113,797,015        

Options written, at value +◊

                113,597        

Foreign currency overdraft

                       

Payables

                               

Securities lending collateral

          9,268,044             111,608,773  

Investments purchased

                18,386        

Capital shares redeemed

          1,277       773,024       115,977  

Due to prime broker

                       

Investment advisory fees

          79,348       558,464       444,538  

Custodian fees

    518       2,285       8,031       4,339  

Distribution and service fees

          7,892       3,878       86,827  

Dividends on securities sold short

          2,726       131,137        

Administration and accounting fees

    13,910       15,121       59,341       43,373  

Transfer agent fees

    446       16,566       79,368       105,987  

Unrealized depreciation on contracts for difference

          18,603       6,578,036        

Other accrued expenses and liabilities

    45,274       58,544       1,969,266       83,431  

Total liabilities

    60,148       21,284,900       124,089,543       112,493,245  

Net Assets

  $ 11,397,468     $ 62,893,716     $ 591,951,816     $ 600,174,202  

NET ASSETS CONSIST OF:

                               

Par value

  $ 954     $ 4,451     $ 39,264     $ 20,890  

Paid-in Capital

    9,169,646       28,060,885       336,509,009       394,259,371  

Total Distributable earnings/(loss)

    2,226,868       34,828,380       255,403,543       205,893,941  

Net Assets

  $ 11,397,468     $ 62,893,716     $ 591,951,816     $ 600,174,202  

 

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

 

Financial Statements 2024 | 57

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities (continued)

 

 

   

Boston
Partners
Global
Sustainability Fund

   

Boston
Partners
Long/Short
Equity Fund

   

Boston
Partners
Long/Short
Research Fund

   

Boston
Partners
Small Cap
Value Fund II

 

INSTITUTIONAL CLASS

                               

Net assets

  $ 11,397,468     $ 47,562,523     $ 584,044,333     $ 542,807,486  

Shares outstanding

    954,052       3,162,039       38,716,428       18,777,323  

Net asset value, offering and redemption price per share

  $ 11.95     $ 15.04     $ 15.09     $ 28.91  

INVESTOR CLASS

                               

Net assets

  $     $ 15,331,193     $ 7,907,483     $ 57,366,716  

Shares outstanding

          1,288,818       547,244       2,112,487  

Net asset value, offering and redemption price per share

  $     $ 11.90     $ 14.45     $ 27.16  

† Investments in securities, at cost

  $ 8,679,189     $ 40,196,351     $ 374,090,238     $ 430,724,463  

^ Includes market value of securities on loan

  $     $ 9,085,498     $     $ 109,500,196  

* Investments purchased with proceeds from securities lending collateral, at cost

  $     $ 9,268,044     $     $ 111,608,773  

** Short-term investments, at cost

  $     $ 607,947     $ 8,155     $  

# Foreign currencies, at cost

  $     $ 3,228,543     $ 44,452,925     $  

‡ Proceeds received, securities sold short

  $     $ 16,642,562     $ 126,232,070     $  

+ Premiums received, options written

  $     $     $ 69,105     $  

◊ Primary risk exposure is equity contracts

                               

 

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

 

Financial Statements 2024 | 58

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities (continued)

 

 

   

WPG Partners
Select Hedged
Fund

   

WPG Partners
Select Small Cap
Value Fund

   

WPG Partners
Small Cap Value
Diversified Fund

 

ASSETS

                       

Investments in securities, at value †^

  $ 52,691,070     $ 119,699,925     $ 32,159,194  

Investments purchased with proceeds from securities lending collateral, at value *

                9,020,061  

Short-term investments, at value **

    2,702              

Cash and cash equivalents

    1,382,012       5,673,429       868,553  

Foreign currencies, at value #

                49,226  

Offering costs

    37,853              

Receivables

                       

Investments sold

    308,035       71,988        

Foreign currency deposits with brokers for securities sold short

                 

Deposits with brokers for contracts for difference

                 

Deposits with brokers for securities sold short

    35,249,641              

Capital shares sold

    2,567       1,023,807       15,300  

Dividends and interest

    188,805       94,513       54,491  

Due from advisor

                 

Unrealized appreciation on contracts for difference

                 

Prepaid expenses and other assets

          1,788       8,186  

Total assets

    89,862,685       126,565,450       42,175,011  

LIABILITIES

                       

Securities sold short, at value

    35,732,661              

Options written, at value +◊

                 

Foreign currency overdraft

                 

Payables

                       

Securities lending collateral

                9,020,061  

Investments purchased

    24,815       2,638,469        

Capital shares redeemed

    21,795       116,161        

Due to prime broker

                 

Investment advisory fees

    42,430       90,379       18,278  

Custodian fees

    1,174       5,191       882  

Distribution and service fees

                 

Dividends on securities sold short

    47,068              

Administration and accounting fees

    8,351       12,625       10,692  

Transfer agent fees

    4,773       30,297       4,929  

Unrealized depreciation on contracts for difference

                 

Other accrued expenses and liabilities

    54,193       42,692       42,016  

Total liabilities

    35,937,260       2,935,814       9,096,858  

Net Assets

  $ 53,925,425     $ 123,629,636     $ 33,078,153  

NET ASSETS CONSIST OF:

                       

Par value

  $ 5,180     $ 10,229     $ 1,566  

Paid-in Capital

    52,006,174       102,362,362       24,066,496  

Total Distributable earnings/(loss)

    1,914,071       21,257,045       9,010,091  

Net Assets

  $ 53,925,425     $ 123,629,636     $ 33,078,153  

 

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

 

Financial Statements 2024 | 59

 

 

BOSTON PARTNERS INVESTMENT FUNDS

August 31, 2024

Statements of Assets and Liabilities (concluded)

 

 

   

WPG Partners
Select Hedged
Fund

   

WPG Partners
Select Small Cap
Value Fund

   

WPG Partners
Small Cap Value
Diversified Fund

 

INSTITUTIONAL CLASS

                       

Net assets

  $ 53,925,425     $ 123,629,636     $ 33,078,153  

Shares outstanding

    5,179,911       10,228,542       1,565,784  

Net asset value, offering and redemption price per share

  $ 10.41     $ 12.09     $ 21.13  

INVESTOR CLASS

                       

Net assets

  $     $     $  

Shares outstanding

                 

Net asset value, offering and redemption price per share

  $     $     $  

† Investments in securities, at cost

  $ 48,629,964     $ 102,060,756     $ 24,880,141  

^ Includes market value of securities on loan

  $     $     $ 8,825,663  

* Investments purchased with proceeds from securities lending collateral, at cost

  $     $     $ 9,020,061  

** Short-term investments, at cost

  $ 2,702     $     $  

# Foreign currencies, at cost

  $     $     $ 48,707  

‡ Proceeds received, securities sold short

  $ 35,139,888     $     $  

+ Premiums received, options written

  $     $     $  

◊ Primary risk exposure is equity contracts

                       

 

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

 

Financial Statements 2024 | 60

 

 

BOSTON PARTNERS INVESTMENT FUNDS

For the Year Ended August 31, 2024

Statements of Operations

 

 

   

Boston
Partners
All-Cap
Value Fund

   

Boston
Partners
Emerging Markets
Dynamic Equity Fund

   

Boston
Partners Global
Equity Fund

   

Boston
Partners
Global
Long/Short Fund

 

Investment Income

                               

Dividends

  $ 23,392,062     $ 1,674,353     $ 6,106,839     $ 2,337,143  

Interest

    1,297,678       267,653       341,748       2,382,795  

Income from securities loaned (Note 8)

    104,863             18,416        

Prime broker interest income

          35,994              

Total investment income

    24,794,603       1,978,000       6,467,003       4,719,938  

Expenses

                               

Advisory fees (Note 2)

    9,869,819       776,677       1,985,400       2,462,427  

Transfer agent fees (Note 2)

    938,813       13,737       161,969       175,471  

Distribution fees (Investor Class) (Note 2)

    552,418                   27,542  

Administration and accounting fees (Note 2)

    315,910       38,644       86,173       68,208  

Director’s fees

    172,261       7,886       26,651       20,021  

Officer’s fees

    162,459       7,237       25,289       19,428  

Legal fees

    159,194       12,305       24,254       18,056  

Custodian fees (Note 2)

    69,552       31,267       48,462       28,026  

Registration fees

    61,118       23,176       23,340       40,955  

Printing and shareholder reporting fees

    56,997       2,004       6,439       23,157  

Audit and tax service fees

    40,400       66,021       51,824       57,919  

Offering expenses

                       

Other expense

    120,964       5,059       14,781       10,410  

Dividend expense on securities sold short

          28,554              

Prime broker interest expense

                      8,201  

Total expenses before waivers and/or reimbursements

    12,519,905       1,012,567       2,454,582       2,959,821  

Less: waivers and/or reimbursements net of amounts recouped (Note 2)

    (650,637 )     (113,783 )     (357,823 )      

Net expenses after waivers and/or reimbursements net of amounts recouped

    11,869,268       898,784       2,096,759       2,959,821  

Net investment income/(loss)

    12,925,335       1,079,216       4,370,244       1,760,117  
                                 

Net realized gain/(loss) from:

                               

Investment securities

    111,488,816       3,363,123       17,634,356       19,825,860  

Securities sold short

          14,659             (203,466 )

Options written **

                      (280,360 )

Contracts for difference **

          (2,809,685 )           (1,458,476 )

Foreign currency transactions

          (301,978 )     30,340       199,925  

Net change in unrealized appreciation/(depreciation) on:

                               

Investment securities

    121,716,433       (948,776 )     22,684,893       3,666,400  

Securities sold short

          (48,194 )            

Options written **

    (731,254 )                 511,061  

Contracts for difference **

          279,582             1,896,332  

Foreign currency translation

    1,324       10,485       15,783       181,337  

Net realized and unrealized gain/(loss)

    232,475,319       (440,784 )     40,365,372       24,338,613  

Net increase/(decrease) in net assets resulting from operations

  $ 245,400,654     $ 638,432     $ 44,735,616     $ 26,098,730  

† Net of foreign withholding taxes of

  $ (181,604 )   $ (156,781 )   $ (439,830 )   $ (228,396 )

** Primary risk exposure is equity contracts

                               

 

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

 

Financial Statements 2024 | 61

 

 

BOSTON PARTNERS INVESTMENT FUNDS

For the Year Ended August 31, 2024

Statements of Operations (continued)

 

 

   

Boston
Partners
Global
Sustainability Fund

   

Boston
Partners
Long/Short
Equity Fund

   

Boston
Partners
Long/Short
Research Fund

   

Boston
Partners
Small Cap
Value Fund II

 

Investment Income

                               

Dividends

  $ 301,140     $ 1,146,829     $ 9,967,614     $ 9,093,837  

Interest

    23,883       51,770       600,406       674,850  

Income from securities loaned (Note 8)

          56,809             655,153  

Prime broker interest income

          263,697       6,005,942        

Total investment income

    325,023       1,519,105       16,573,962       10,423,840  

Expenses

                               

Advisory fees (Note 2)

    121,573       1,379,392       7,466,784       4,839,419  

Transfer agent fees (Note 2)

    944       55,659       309,062       471,765  

Distribution fees (Investor Class) (Note 2)

          33,228       18,017       141,866  

Administration and accounting fees (Note 2)

    19,150       39,373       192,523       139,214  

Director’s fees

    1,500       8,013       76,123       76,217  

Officer’s fees

    1,618       7,673       80,481       71,037  

Legal fees

    1,228       7,248       68,104       64,332  

Custodian fees (Note 2)

    25,646       19,200       55,076       33,310  

Registration fees

    15,459       34,872       42,139       46,325  

Printing and shareholder reporting fees

    580       4,441       105       45,580  

Audit and tax service fees

    41,023       54,419       62,619       40,150  

Offering expenses

                       

Other expense

    3,762       31,786       85,795       52,149  

Dividend expense on securities sold short

          25,777       2,895,572        

Prime broker interest expense

                       

Total expenses before waivers and/or reimbursements

    232,483       1,701,081       11,352,400       6,021,364  

Less: waivers and/or reimbursements net of amounts recouped (Note 2)

    (94,610 )     (414,321 )           (231,173 )

Net expenses after waivers and/or reimbursements net of amounts recouped

    137,873       1,286,760       11,352,400       5,790,191  

Net investment income/(loss)

    187,150       232,345       5,221,562       4,633,649  
                                 

Net realized gain/(loss) from:

                               

Investment securities

    2,348,085       7,853,514       73,186,709       80,780,984  

Securities sold short

          3,324,306       (11,859,126 )      

Options written **

          (65,618 )     426,133        

Contracts for difference **

          558,966       (1,720,952 )      

Foreign currency transactions

    27,196       (11,926 )     (661,277 )      

Net change in unrealized appreciation/(depreciation) on:

                               

Investment securities

    433,314       3,574,411       35,222,110       14,384,396  

Securities sold short

          (2,813,166 )     2,270,614        

Options written **

          (50,952 )     (303,237 )      

Contracts for difference **

          (18,603 )     (3,758,857 )      

Foreign currency translation

    1,036       21,775       2,100,798        

Net realized and unrealized gain/(loss)

    2,809,631       12,372,707       94,902,915       95,165,380  

Net increase/(decrease) in net assets resulting from operations

  $ 2,996,781     $ 12,605,052     $ 100,124,477     $ 99,799,029  

† Net of foreign withholding taxes of

  $ (27,528 )   $ (42,304 )   $ (271,206 )   $ (33,484 )

** Primary risk exposure is equity contracts

                               

 

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

 

Financial Statements 2024 | 62

 

 

BOSTON PARTNERS INVESTMENT FUNDS

For the Year Ended August 31, 2024

Statements of Operations (concluded)

 

 

   

WPG Partners
Select Hedged
Fund^

   

WPG Partners
Select Small Cap
Value Fund

   

WPG Partners
Small Cap Value
Diversified Fund

 

Investment Income

                       

Dividends

  $ 230,852     $ 861,175     $ 508,489  

Interest

    29,818       273,754       54,812  

Income from securities loaned (Note 8)

                21,492  

Prime broker interest income

    606,348              

Total investment income

    867,018       1,134,929       584,793  

Expenses

                       

Advisory fees (Note 2)

    201,245       902,977       240,939  

Transfer agent fees (Note 2)

    4,773       69,933       13,762  

Distribution fees (Investor Class) (Note 2)

                 

Administration and accounting fees (Note 2)

    9,143       40,211       24,183  

Director’s fees

          10,094       3,872  

Officer’s fees

          8,100       3,558  

Legal fees

    2       10,032       3,228  

Custodian fees (Note 2)

    4,860       17,087       16,734  

Registration fees

    24,522       19,015       23,389  

Printing and shareholder reporting fees

    972       9,063       10,435  

Audit and tax service fees

    30,683       35,367       39,475  

Offering expenses

    9,195              

Other expense

    1,829       16,562       3,178  

Dividend expense on securities sold short

    170,181              

Prime broker interest expense

    83,095              

Total expenses before waivers and/or reimbursements

    540,500       1,138,441       382,753  

Less: waivers and/or reimbursements net of amounts recouped (Note 2)

    (45,730 )     (25,358 )     (51,465 )

Net expenses after waivers and/or reimbursements net of amounts recouped

    494,770       1,113,083       331,288  

Net investment income/(loss)

    372,248       21,846       253,505  
                         

Net realized gain/(loss) from:

                       

Investment securities

    (817,758 )     4,373,965       1,849,511  

Securities sold short

    (1,108,752 )            

Options written **

                 

Contracts for difference **

                 

Foreign currency transactions

                (555 )

Net change in unrealized appreciation/(depreciation) on:

                       

Investment securities

    4,061,106       10,778,980       3,647,050  

Securities sold short

    (592,773 )            

Options written **

                 

Contracts for difference **

                 

Foreign currency translation

                601  

Net realized and unrealized gain/(loss)

    1,541,823       15,152,945       5,496,607  

Net increase/(decrease) in net assets resulting from operations

  $ 1,914,071     $ 15,174,791     $ 5,750,112  

† Net of foreign withholding taxes of

  $ (4,033 )   $ (24,280 )   $ (10,378 )

^ The Fund commenced operations on May 3, 2024.

                       

** Primary risk exposure is equity contracts

                       

 

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

 

Financial Statements 2024 | 63

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets

 

 

   

Boston Partners
All-Cap Value Fund

   

Boston Partners
Emerging Markets Dynamic Equity Fund

 
   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

                               

Net investment income/(loss)

  $ 12,925,335     $ 18,074,085     $ 1,079,216     $ 904,310  

Net realized gain/(loss) from investments and foreign currencies

    111,488,816       124,443,037       266,119       (2,511,765 )

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    120,986,503       13,885,190       (706,903 )     4,575,484  

Net increase/(decrease) in net assets resulting from operations

    245,400,654       156,402,312       638,432       2,968,029  
                                 

Dividends and distributions to shareholders:

                               

Institutional Class

    (113,490,263 )     (96,713,599 )           (11,778,440 )

Investor Class

    (23,113,027 )     (18,398,789 )            

Net decrease in net assets from dividends and distributions to shareholders

    (136,603,290 )     (115,112,388 )           (11,778,440 )
                                 

Capital transactions:

                               

Institutional Class

                               

Proceeds from shares sold

    240,527,804       227,017,126       1,484,132       6,194,044  

Reinvestment of distributions

    89,167,313       75,831,183             11,469,531  

Shares redeemed

    (314,817,112 )     (373,447,509 )     (3,979,687 )     (7,644,051 )

Investor Class

                               

Proceeds from shares sold

    11,463,927       16,752,630              

Reinvestment of distributions

    22,007,650       17,605,766              

Shares redeemed

    (57,211,482 )     (43,086,278 )            

Net increase/(decrease) in net assets from capital transactions

    (8,861,900 )     (79,327,082 )     (2,495,555 )     10,019,524  

Total increase/(decrease) in net assets

    99,935,464       (38,037,158 )     (1,857,123 )     1,209,113  
                                 

Net assets:

                               

Beginning of period

    1,393,028,766       1,431,065,924       61,824,728       60,615,615  

End of period

  $ 1,492,964,230     $ 1,393,028,766     $ 59,967,605     $ 61,824,728  
                                 

Share transactions:

                               

Institutional Class

                               

Shares sold

    7,740,493       7,348,008       166,306       727,968  

Shares reinvested

    2,986,179       2,498,556             1,402,143  

Shares redeemed

    (9,927,991 )     (12,182,535 )     (453,041 )     (882,460 )

Net increase/(decrease)

    798,681       (2,335,971 )     (286,735 )     1,247,651  

Investor Class

                               

Shares sold

    367,862       546,307              

Shares reinvested

    741,248       583,165              

Shares redeemed

    (1,824,011 )     (1,414,790 )            

Net increase/(decrease)

    (714,901 )     (285,318 )            

 

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

 

Financial Statements 2024 | 64

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

   

Boston Partners
Global Equity Fund

   

Boston Partners
Global Long/Short Fund

 
   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

                               

Net investment income/(loss)

  $ 4,370,244     $ 4,257,210     $ 1,760,117     $ 2,054,587  

Net realized gain/(loss) from investments and foreign currencies

    17,664,696       8,115,011       18,083,483       13,070,954  

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    22,700,676       14,265,482       6,255,130       (1,128,440 )

Net increase/(decrease) in net assets resulting from operations

    44,735,616       26,637,703       26,098,730       13,997,101  
                                 

Dividends and distributions to shareholders:

                               

Institutional Class

    (4,137,287 )     (2,771,850 )     (2,188,902 )     (2,998,432 )

Investor Class

                (124,802 )     (245,884 )

Net decrease in net assets from dividends and distributions to shareholders

    (4,137,287 )     (2,771,850 )     (2,313,704 )     (3,244,316 )
                                 

Capital transactions:

                               

Institutional Class

                               

Proceeds from shares sold

    14,745,831       27,113,250       43,050,758       96,861,537  

Reinvestment of distributions

    3,944,599       2,760,443       2,120,859       2,776,329  

Shares redeemed

    (26,805,073 )     (12,982,701 )     (47,668,390 )     (79,750,344 )

Investor Class

                               

Proceeds from shares sold

                7,409,646       11,778,290  

Reinvestment of distributions

                109,781       223,590  

Shares redeemed

                (4,458,835 )     (9,580,249 )

Net increase/(decrease) in net assets from capital transactions

    (8,114,643 )     16,890,992       563,819       22,309,153  

Total increase/(decrease) in net assets

    32,483,686       40,756,845       24,348,845       33,061,938  
                                 

Net assets:

                               

Beginning of period

    212,163,809       171,406,964       154,299,528       121,237,590  

End of period

  $ 244,647,495     $ 212,163,809     $ 178,648,373     $ 154,299,528  
                                 

Share transactions:

                               

Institutional Class

                               

Shares sold

    654,463       1,317,841       2,718,812       6,785,859  

Shares reinvested

    178,005       136,453       139,164       194,557  

Shares redeemed

    (1,210,800 )     (633,039 )     (3,031,839 )     (5,564,380 )

Net increase/(decrease)

    (378,332 )     821,255       (173,863 )     1,416,036  

Investor Class

                               

Shares sold

                474,050       825,447  

Shares reinvested

                7,329       15,925  

Shares redeemed

                (288,367 )     (670,848 )

Net increase/(decrease)

                193,012       170,524  

 

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

 

Financial Statements 2024 | 65

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

   

Boston Partners
Global Sustainability Fund

   

Boston Partners
Long/Short Equity Fund

 
   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

                               

Net investment income/(loss)

  $ 187,150     $ 404,279     $ 232,345     $ 308,147  

Net realized gain/(loss) from investments and foreign currencies

    2,375,281       (1,521,647 )     11,659,242       11,945,536  

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    434,350       4,623,906       713,465       (2,920,874 )

Net increase/(decrease) in net assets resulting from operations

    2,996,781       3,506,538       12,605,052       9,332,809  
                                 

Dividends and distributions to shareholders:

                               

Institutional Class

    (383,298 )     (313,835 )     (9,339,469 )     (6,481,806 )

Investor Class

                (2,682,662 )     (1,588,742 )

Net decrease in net assets from dividends and distributions to shareholders

    (383,298 )     (313,835 )     (12,022,131 )     (8,070,548 )
                                 

Capital transactions:

                               

Institutional Class

                               

Proceeds from shares sold

    1,000,184       600,673       3,592,766       10,379,630  

Reinvestment of distributions

    383,298       313,835       9,007,246       6,315,049  

Shares redeemed

    (16,496,527 )     (2,850,030 )     (21,774,134 )     (16,446,258 )

Investor Class

                               

Proceeds from shares sold

                3,797,621       1,769,405  

Reinvestment of distributions

                2,626,901       1,538,484  

Shares redeemed

                (2,990,895 )     (3,220,281 )

Net increase/(decrease) in net assets from capital transactions

    (15,113,045 )     (1,935,522 )     (5,740,495 )     336,029  

Total increase/(decrease) in net assets

    (12,499,562 )     1,257,181       (5,157,574 )     1,598,290  
                                 

Net assets:

                               

Beginning of period

    23,897,030       22,639,849       68,051,290       66,453,000  

End of period

  $ 11,397,468     $ 23,897,030     $ 62,893,716     $ 68,051,290  
                                 

Share transactions:

                               

Institutional Class

                               

Shares sold

    95,216       64,724       254,300       716,103  

Shares reinvested

    36,785       33,673       701,499       453,016  

Shares redeemed

    (1,568,110 )     (335,011 )     (1,549,426 )     (1,129,589 )

Net increase/(decrease)

    (1,436,109 )     (236,614 )     (593,627 )     39,530  

Investor Class

                               

Shares sold

                354,242       143,479  

Shares reinvested

                258,299       132,628  

Shares redeemed

                (267,373 )     (267,020 )

Net increase/(decrease)

                345,168       9,087  

 

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

 

Financial Statements 2024 | 66

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

   

Boston Partners
Long/Short Research Fund

   

Boston Partners
Small Cap Value Fund II

 
   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

                               

Net investment income/(loss)

  $ 5,221,562     $ 8,419,000     $ 4,633,649     $ 6,160,708  

Net realized gain/(loss) from investments and foreign currencies

    59,371,487       72,632,937       80,780,984       73,771,623  

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    35,531,428       (25,356,255 )     14,384,396       (33,832,805 )

Net increase/(decrease) in net assets resulting from operations

    100,124,477       55,695,682       99,799,029       46,099,526  
                                 

Dividends and distributions to shareholders:

                               

Institutional Class

    (66,527,383 )     (144,215,120 )     (60,315,331 )     (46,030,717 )

Investor Class

    (732,348 )     (2,234,372 )     (7,258,207 )     (5,861,952 )

Net decrease in net assets from dividends and distributions to shareholders

    (67,259,731 )     (146,449,492 )     (67,573,538 )     (51,892,669 )
                                 

Capital transactions:

                               

Institutional Class

                               

Proceeds from shares sold

    119,238,251       307,344,480       66,178,718       87,714,164  

Reinvestment of distributions

    32,190,431       71,158,668       58,874,147       43,911,312  

Shares redeemed

    (288,736,079 )     (402,250,403 )     (145,635,464 )     (282,284,621 )

Investor Class

                               

Proceeds from shares sold

    1,584,296       1,843,386       3,760,286       5,373,916  

Reinvestment of distributions

    731,513       2,215,329       7,055,068       5,743,917  

Shares redeemed

    (2,348,054 )     (7,033,192 )     (16,957,577 )     (31,265,355 )

Net increase/(decrease) in net assets from capital transactions

    (137,339,642 )     (26,721,732 )     (26,724,822 )     (170,806,667 )

Total increase/(decrease) in net assets

    (104,474,896 )     (117,475,542 )     5,500,669       (176,599,810 )
                                 

Net assets:

                               

Beginning of period

    696,426,712       813,902,254       594,673,533       771,273,343  

End of period

  $ 591,951,816     $ 696,426,712     $ 600,174,202     $ 594,673,533  
                                 

Share transactions:

                               

Institutional Class

                               

Shares sold

    8,521,172       21,262,036       2,513,191       3,339,693  

Shares reinvested

    2,455,410       5,086,395       2,307,885       1,711,942  

Shares redeemed

    (20,947,454 )     (27,847,305 )     (5,501,460 )     (10,620,746 )

Net increase/(decrease)

    (9,970,872 )     (1,498,874 )     (680,384 )     (5,569,111 )

Investor Class

                               

Shares sold

    115,490       125,654       151,193       214,612  

Shares reinvested

    58,149       164,220       293,839       236,278  

Shares redeemed

    (175,931 )     (514,853 )     (685,234 )     (1,272,538 )

Net increase/(decrease)

    (2,292 )     (224,979 )     (240,202 )     (821,648 )

 

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

 

Financial Statements 2024 | 67

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets (continued)

 

 

   

WPG Partners
Select Hedged Fund

   

WPG Partners
Select Small Cap Value Fund

 
   

For the
Period Ended
August 31, 2024*

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

                       

Net investment income/(loss)

  $ 372,248     $ 21,846     $ 529,691  

Net realized gain/(loss) from investments and foreign currencies

    (1,926,510 )     4,373,965       13,714,809  

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    3,468,333       10,778,980       7,711,422  

Net increase/(decrease) in net assets resulting from operations

    1,914,071       15,174,791       21,955,922  
                         

Dividends and distributions to shareholders:

                       

Institutional Class

          (14,373,145 )     (111,741 )

Net decrease in net assets from dividends and distributions to shareholders

          (14,373,145 )     (111,741 )
                         

Capital transactions:

                       

Institutional Class

                       

Proceeds from shares sold

    52,528,063       69,842,753       74,949,673  

Reinvestment of distributions

          14,245,244       111,438  

Shares redeemed

    (516,709 )     (68,589,373 )     (7,420,975 )

Net increase/(decrease) in net assets from capital transactions

    52,011,354       15,498,624       67,640,136  

Total increase/(decrease) in net assets

    53,925,425       16,300,270       89,484,317  
                         

Net assets:

                       

Beginning of period

          107,329,366       17,845,049  

End of period

  $ 53,925,425     $ 123,629,636     $ 107,329,366  
                         

Share transactions:

                       

Institutional Class

                       

Shares sold

    5,230,787       6,367,546       7,856,153  

Shares reinvested

          1,428,811       11,155  

Shares redeemed

    (50,876 )     (6,651,263 )     (682,918 )

Net increase/(decrease)

    5,179,911       1,145,094       7,184,390  

* The Fund commenced operations on May 3, 2024.

                       

 

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

 

Financial Statements 2024 | 68

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Statements of Changes in Net Assets (concluded)

 

 

   

WPG Partners
Small Cap Value Diversified Fund

 
   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

Increase/(decrease) in net assets from operations:

               

Net investment income/(loss)

  $ 253,505     $ 323,469  

Net realized gain/(loss) from investments and foreign currencies

    1,848,956       1,888,510  

Net change in unrealized appreciation/(depreciation) on investments and foreign currency translation

    3,647,651       885,261  

Net increase/(decrease) in net assets resulting from operations

    5,750,112       3,097,240  
                 

Dividends and distributions to shareholders:

               

Institutional Class

    (2,113,959 )     (4,669,593 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,113,959 )     (4,669,593 )
                 

Capital transactions:

               

Institutional Class

               

Proceeds from shares sold

    863,166       1,560,898  

Reinvestment of distributions

    1,990,247       4,416,593  

Shares redeemed

    (2,674,828 )     (7,405,913 )

Net increase/(decrease) in net assets from capital transactions

    178,585       (1,428,422 )

Total increase/(decrease) in net assets

    3,814,738       (3,000,775 )
                 

Net assets:

               

Beginning of period

    29,263,415       32,264,190  

End of period

  $ 33,078,153     $ 29,263,415  
                 

Share transactions:

               

Institutional Class

               

Shares sold

    44,741       83,597  

Shares reinvested

    109,055       253,245  

Shares redeemed

    (143,343 )     (400,952 )

Net increase/(decrease)

    10,453       (64,110 )

 

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

 

Financial Statements 2024 | 69

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial Highlights

Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

Net Asset
Value,
Beginning
of Period

   

Net
Investment
Income/
(Loss)*

   

Net Realized
and
Unrealized
Gain/
(Loss) on
Investments

   

Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations

   

Dividends to
Shareholders
from Net
Investment
Income

   

Distributions
to
Shareholders
from Net
Realized
Gains

   

Total
Dividend and
Distributions
to
Shareholders

 

Boston Partners All-Cap Value Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 31.76     $ 0.30     $ 5.29     $ 5.59     $ (0.52 )   $ (2.86 )   $ (3.38 )

8/31/23

    30.78       0.41       3.16       3.57       (0.31 )     (2.28 )     (2.59 )

8/31/22

    33.77       0.33       (1.51 )     (1.18 )     (0.33 )     (1.48 )     (1.81 )

8/31/21

    24.53       0.26       9.43       9.69       (0.21 )     (0.24 )     (0.45 )

8/31/20

    24.97       0.36       (0.08 )     0.28       (0.37 )     (0.35 )     (0.72 )

Investor Class

                                                       

8/31/24

  $ 31.53     $ 0.22     $ 5.26     $ 5.48     $ (0.44 )   $ (2.86 )   $ (3.30 )

8/31/23

    30.58       0.33       3.13       3.46       (0.23 )     (2.28 )     (2.51 )

8/31/22

    33.56       0.25       (1.51 )     (1.26 )     (0.24 )     (1.48 )     (1.72 )

8/31/21

    24.39       0.18       9.38       9.56       (0.15 )     (0.24 )     (0.39 )

8/31/20

    24.82       0.30       (0.09 )     0.21       (0.29 )     (0.35 )     (0.64 )

Boston Partners Emerging Markets Dynamic Equity Fund

                                       

Institutional Class

                                                       

8/31/24

  $ 8.62     $ 0.16     $ (0.07 )   $ 0.09     $     $     $  

8/31/23

    10.23       0.13       0.27       0.40       (2.01 )           (2.01 )

8/31/22

    11.44       0.07       (1.27 )     (1.20 )     (0.01 )           (0.01 )

8/31/21

    11.23       (0.02 )     1.17       1.15       (0.94 )           (0.94 )

8/31/20

    10.45       0.19       0.82       1.01       (0.23 )           (0.23 )

Boston Partners Global Equity Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 21.23     $ 0.45     $ 4.19     $ 4.64     $ (0.43 )   $     $ (0.43 )

8/31/23

    18.69       0.45       2.39       2.84       (0.30 )           (0.30 )

8/31/22

    20.74       0.39       (2.08 )     (1.69 )     (0.36 )           (0.36 )

8/31/21

    15.15       0.25       5.69       5.94       (0.35 )           (0.35 )

8/31/20

    15.91       0.15       (0.67 )     (0.52 )     (0.24 )           (0.24 )

 

*

Calculated based on average shares outstanding for the period.

 

 

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

 

Financial Statements 2024 | 70

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial HIghlights (continued)

Per Share Operating Performance

 

 

 

Net Asset
Value, End
of Period

   

Total
Investment
Return
1

   

Net Assets,
End of Period
(000)

   

Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any
2

   

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

 
                                                               
                                                               
  $ 33.97       19.04 %   $ 1,272,666       0.80 %     N/A       0.85 %     0.96 %     24 %
    31.76       12.00       1,164,397       0.80       N/A       0.84       1.35       33  
    30.78       (3.76 )     1,200,629       0.80       N/A       0.86       1.00       29  
    33.77       39.91       1,653,698       0.80       N/A       0.83       0.86       33  
    24.53       0.84       1,053,301       0.80       N/A       0.84       1.46       37  
                                                               
  $ 33.71       18.77 %   $ 220,298       1.05 %     N/A       1.10 %     0.71 %     24 %
    31.53       11.68       228,631       1.05       N/A       1.09       1.10       33  
    30.58       (4.00 )     230,437       1.05       N/A       1.11       0.75       29  
    33.56       39.57       279,306       1.05       N/A       1.08       0.61       33  
    24.39       0.59       220,927       1.05       N/A       1.09       1.21       37  
                                                               
                                                               
  $ 8.71       1.04 %   $ 59,968       1.45 %     1.40 %     1.63 %     1.74 %     202 %
    8.62       4.98       61,825       1.42       1.40       1.67       1.52       132  
    10.23       (10.52 )     60,616       1.42       1.40       1.73       0.63       136  
    11.44       10.38       61,430       1.75       1.40       2.00       (0.14 )     125  
    11.23       9.75       60,176       1.66       1.49       2.19       1.81       219  
                                                               
                                                               
  $ 25.44       22.17 %   $ 244,647       0.95 %     N/A       1.11 %     1.98 %     48 %
    21.23       15.28       212,164       0.95       N/A       1.11       2.20       51  
    18.69       (8.27 )     171,407       0.95       N/A       1.13       1.94       59  
    20.74       39.66       183,433       0.95       N/A       1.04       1.38       88  
    15.15       (3.40 )     177,470       0.95       N/A       1.22       0.96       118  

 

1

Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.

2

Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.

 

 

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

 

Financial Statements 2024 | 71

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial HIghlights (continued)

Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

Net Asset
Value,
Beginning
of Period

   

Net
Investment
Income/
(Loss)*

   

Net Realized
and
Unrealized
Gain/
(Loss) on
Investments

   

Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations

   

Dividends to
Shareholders
from Net
Investment
Income

   

Distributions
to
Shareholders
from Net
Realized
Gains

   

Total
Dividend and
Distributions
to
Shareholders

 

Boston Partners Global Long/Short Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 14.74     $ 0.17     $ 2.36     $ 2.53     $ (0.22 )   $     $ (0.22 )

8/31/23

    13.65       0.19       1.22       1.41       (0.32 )           (0.32 )

8/31/22

    12.18       0.05       1.42       1.47                    

8/31/21

    9.72       (0.01 )     2.48       2.47       (0.01 )           (0.01 )

8/31/20

    10.74       0.01       (0.89 )     (0.88 )     (0.14 )           (0.14 )

Investor Class

                                                       

8/31/24

  $ 14.48     $ 0.14     $ 2.30     $ 2.44     $ (0.20 )   $     $ (0.20 )

8/31/23

    13.43       0.15       1.20       1.35       (0.30 )           (0.30 )

8/31/22

    12.01       0.01       1.41       1.42                    

8/31/21

    9.61       (0.03 )     2.43       2.40                    

8/31/20

    10.61       (0.02 )     (0.88 )     (0.90 )     (0.10 )           (0.10 )

Boston Partners Global Sustainability Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 10.00     $ 0.13     $ 1.98     $ 2.11     $ (0.16 )   $     $ (0.16 )

8/31/23

    8.62       0.17       1.35       1.52       (0.14 )           (0.14 )

12/29/21** through 8/31/22

    10.00       0.11       (1.49 )     (1.38 )                  

Boston Partners Long/Short Equity Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 14.99     $ 0.06     $ 2.96     $ 3.02     $ (0.27 )   $ (2.70 )   $ (2.97 )

8/31/23

    14.73       0.07       1.96       2.03             (1.77 )     (1.77 )

8/31/22

    14.21       (0.13 )     1.29       1.16             (0.64 )     (0.64 )

8/31/21

    15.15       (0.12 )     3.69       3.57             (4.51 )     (4.51 )

8/31/20

    17.74       (0.14 )     (0.70 )     (0.84 )           (1.75 )     (1.75 )

Investor Class

                                                       

8/31/24

  $ 12.45     $ 0.02     $ 2.38     $ 2.40     $ (0.25 )   $ (2.70 )   $ (2.95 )

8/31/23

    12.54       0.03       1.65       1.68             (1.77 )     (1.77 )

8/31/22

    12.22       (0.14 )     1.10       0.96             (0.64 )     (0.64 )

8/31/21

    13.64       (0.14 )     3.23       3.09             (4.51 )     (4.51 )

8/31/20

    16.17       (0.16 )     (0.62 )     (0.78 )           (1.75 )     (1.75 )

 

*

Calculated based on average shares outstanding.

**

Commencement of operations.

 

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

 

Financial Statements 2024 | 72

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial HIghlights (continued)

Per Share Operating Performance

 

 

 

Net Asset
Value, End
of Period

   

Total
Investment
Return
1

   

Net Assets,
End of Period
(000)

   

Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any
2

   

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

 
                                                               
                                                               
  $ 17.05       17.38 %   $ 164,903       1.78 %     1.78 %     1.78 %     1.09 %     198 %
    14.74       10.38       145,192       2.39       1.80       2.39       1.34       172  
    13.65       12.07       115,079       2.56       1.81       2.56       0.34       161  
    12.18       25.39       102,691       2.29       1.83       2.29       (0.07 )     102  
    9.72       (8.30 )     130,857       2.46       1.75       2.46       0.07       125  
                                                               
  $ 16.72       17.02 %   $ 13,745       2.03 %     2.03 %     2.03 %     0.84 %     198 %
    14.48       10.16       9,108       2.64       2.05       2.64       1.09       172  
    13.43       11.82       6,159       2.81       2.06       2.81       0.09       161  
    12.01       24.97       4,960       2.54       2.08       2.54       (0.32 )     102  
    9.61       (8.55 )     6,308       2.71       2.00       2.71       (0.18 )     125  
                                                               
                                                               
  $ 11.95       21.34 %   $ 11,397       0.90 %     N/A       1.53 %     1.23 %     73 %
    10.00       17.71       23,897       0.90       N/A       1.36       1.80       77  
    8.62       (13.80 )     22,640       0.90 3      N/A       1.73 3      1.75 3      55 4 
                                                               
                                                               
  $ 15.04       23.51 %   $ 47,563       2.04 %     1.96 %     2.72 %     0.43 %     35 %
    14.99       14.69       56,303       2.02       1.96       2.67       0.50       44  
    14.73       8.35       54,733       2.55       1.96       3.18       (0.87 )     40  
    14.21       29.08       49,551       2.60       1.97       3.14       (0.91 )     31  
    15.15       (5.78 )     68,780       2.57       2.25       2.74       (0.81 )     46  
                                                               
  $ 11.90       23.26 %   $ 15,331       2.29 %     2.21 %     2.97 %     0.18 %     35 %
    12.45       14.44       11,748       2.27       2.21       2.92       0.25       44  
    12.54       8.07       11,720       2.80       2.21       3.43       (1.12 )     40  
    12.22       28.71       11,571       2.85       2.22       3.39       (1.16 )     31  
    13.64       (5.99 )     14,484       2.82       2.50       2.99       (1.06 )     46  

 

1

Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.

2

Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.

3

Annualized

4

Not Annualized

 

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

 

Financial Statements 2024 | 73

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial HIghlights (continued)

Per Share Operating Performance

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

Net Asset
Value,
Beginning
of Period

   

Net
Investment
Income/
(Loss)*

   

Net Realized
and
Unrealized
Gain/
(Loss) on
Investments

   

Net Increase/
(Decrease)
in Net Assets
Resulting
from
Operations

   

Dividends to
Shareholders
from Net
Investment
Income

   

Distributions
to
Shareholders
from Net
Realized
Gains

   

Total
Dividend and
Distributions
to
Shareholders

 

Boston Partners Long/Short Research Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 14.15     $ 0.12     $ 2.32     $ 2.44     $ (0.34 )   $ (1.16 )   $ (1.50 )

8/31/23

    15.98       0.16       0.95       1.11       (0.22 )     (2.72 )     (2.94 )

8/31/22

    16.82       (0.02 )     1.18       1.16             (2.00 )     (2.00 )

8/31/21

    13.31       (0.10 )     3.61       3.51                    

8/31/20

    15.15       (0.00 )     (1.48 )     (1.48 )     (0.21 )     (0.15 )     (0.36 )

Investor Class

                                                       

8/31/24

  $ 13.62     $ 0.09     $ 2.21     $ 2.30     $ (0.31 )   $ (1.16 )   $ (1.47 )

8/31/23

    15.48       0.12       0.92       1.04       (0.18 )     (2.72 )     (2.90 )

8/31/22

    16.39       (0.05 )     1.14       1.09             (2.00 )     (2.00 )

8/31/21

    13.01       (0.13 )     3.51       3.38                    

8/31/20

    14.81       (0.04 )     (1.44 )     (1.48 )     (0.17 )     (0.15 )     (0.32 )

Boston Partners Small Cap Value Fund II

                                               

Institutional Class

                                                       

8/31/24

  $ 27.43     $ 0.22     $ 4.57     $ 4.79     $ (0.25 )   $ (3.06 )   $ (3.31 )

8/31/23

    27.51       0.24       1.60       1.84       (0.26 )     (1.66 )     (1.92 )

8/31/22

    32.34       0.18       (2.86 )     (2.68 )     (0.12 )     (2.03 )     (2.15 )

8/31/21

    21.06       0.15       11.27       11.42       (0.14 )           (0.14 )

8/31/20

    23.42       0.20       (1.94 )     (1.74 )     (0.28 )     (0.34 )     (0.62 )

Investor Class

                                                       

8/31/24

  $ 25.95     $ 0.15     $ 4.30     $ 4.45     $ (0.18 )   $ (3.06 )   $ (3.24 )

8/31/23

    26.12       0.17       1.51       1.68       (0.19 )     (1.66 )     (1.85 )

8/31/22

    30.81       0.10       (2.72 )     (2.62 )     (0.04 )     (2.03 )     (2.07 )

8/31/21

    20.07       0.07       10.75       10.82       (0.08 )           (0.08 )

8/31/20

    22.33       0.15       (1.85 )     (1.70 )     (0.22 )     (0.34 )     (0.56 )

WPG Partners Select Hedged Fund

                                               

Institutional Class

                                                       

5/3/24** through 8/31/24

  $ 10.00     $ 0.08     $ 1.88     $ 1.96     $ (0.06 )   $ (1.49 )   $ (1.55 )

WPG Partners Select Small Cap Value Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 11.82     $     $ 1.82     $ 1.82     $ (0.06 )   $ (1.49 )   $ (1.55 )

8/31/23

    9.40       0.07       2.37       2.44             (0.02 )     (0.02 )

12/29/21** through 8/31/22

    10.00       (0.01 )     (0.59 )     (0.60 )                  

WPG Partners Small Cap Value Diversified Fund

                                               

Institutional Class

                                                       

8/31/24

  $ 18.81     $ 0.16     $ 3.56     $ 3.72     $ (0.21 )   $ (1.19 )   $ (1.40 )

8/31/23

    19.92       0.20       1.80       2.00       (0.09 )     (3.02 )     (3.11 )

8/31/22

    19.33       0.09       0.80       0.89       (0.07 )     (0.23 )     (0.30 )

8/31/21

    11.96       0.07       7.39       7.46       (0.09 )           (0.09 )

8/31/20

    13.19       0.09       (1.26 )     (1.17 )     (0.06 )           (0.06 )

 

*

Calculated based on average shares outstanding, unless otherwise noted.

**

Commencement of operations.

 

 

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

 

Financial Statements 2024 | 74

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Financial HIghlights (concluded)

Per Share Operating Performance

 

 

 

Net Asset
Value, End
of Period

   

Total
Investment
Return
1

   

Net Assets,
End of Period
(000)

   

Ratio of Expenses
to Average
Net Assets
With Waivers,
Reimbursements
and Recoupment
if any
2

   

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

 
                                                               
                                                               
  $ 15.09       18.79 %   $ 584,044       1.90 %     1.40 %     1.90 %     0.88 %     53 %
    14.15       7.16       688,944       1.88       1.40       1.88       1.12       54  
    15.98       7.17       801,913       1.95       1.40       1.95       (0.10 )     85  
    16.82       26.37       808,565       2.15       1.40       2.15       (0.66 )     61  
    13.31       (10.13 )     1,082,963       2.21       1.37       2.21       (0.01 )     66  
                                                               
  $ 14.45       18.43 %   $ 7,907       2.15 %     1.65 %     2.15 %     0.63 %     53 %
    13.62       6.92       7,483       2.13       1.65       2.13       0.87       54  
    15.48       6.91       11,989       2.20       1.65       2.20       (0.35 )     85  
    16.39       25.98       10,220       2.40       1.65       2.40       (0.91 )     61  
    13.01       (10.32 )     24,436       2.46       1.62       2.46       (0.26 )     66  
                                                               
                                                               
  $ 28.91       19.09 %   $ 542,807       0.99 %     N/A       1.03 %     0.84 %     55 %
    27.43       7.17       533,633       0.99       N/A       1.04       0.91       65  
    27.51       (8.88 )     688,375       0.99       N/A       1.02       0.61       24  
    32.34       54.40       776,442       0.99       N/A       1.01       0.52       33  
    21.06       (7.88 )     503,349       1.07       N/A       1.09       0.94       46  
                                                               
  $ 27.16       18.80 %   $ 57,367       1.24 %     N/A       1.28 %     0.59 %     55 %
    25.95       6.90       61,041       1.24       N/A       1.29       0.66       65  
    26.12       (9.11 )     82,898       1.24       N/A       1.27       0.36       24  
    30.81       54.01       104,282       1.24       N/A       1.26       0.27       33  
    20.07       (8.07 )     77,032       1.32       N/A       1.34       0.69       46  
                                                               
                                                               
  $ 10.41       4.10 %   $ 53,925       2.54 %3     1.50 %     2.82 %3     2.29 %3     36 %4
                                                               
                                                               
  $ 12.09       18.12 %   $ 123,630       1.10 %     N/A       1.13 %     0.02 %     160 %
    11.82       25.94       107,329       1.10       N/A       1.16       0.65       118  
    9.40       (6.00 )     17,845       1.10 3      N/A       2.93 3      (0.22 )3     70 4 
                                                               
                                                               
  $ 21.13       20.99 %   $ 33,078       1.10 %     N/A       1.27 %     0.84 %     74 %
    18.81       11.35       29,263       1.10       N/A       1.32       1.06       90  
    19.92       4.59       32,264       1.10       N/A       1.26       0.44       92  
    19.33       62.66       27,602       1.10       N/A       1.28       0.40       114  
    11.96       (8.92 )     19,150       1.10       N/A       1.31       0.74       123  

 

1

Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.

2

Beginning on September 1, 2018, the expense limitation includes acquired fund fees and expenses (AFFE). AFFE are not reflected as expenses in these financial statements and therefore this may cause the net expense ratios after waivers/reimbursements to be lower than the expense limitation in place.

3

Annualized

4

Not Annualized

 

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

 

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BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements

 

August 31, 2024

 

 

1.

ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Emerging Markets Dynamic Equity Fund (“BP Emerging Markets Dynamic Equity Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”), Boston Partners Global Sustainability Fund (“BP Global Sustainability Fund”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), WPG Partners Select Hedged Fund (“WPG Select Hedged Fund”), WPG Partners Select Small Cap Value Fund (“WPG Select Small Cap Value Fund”) and WPG Partners Small Cap Value Diversified Fund (“WPG Small Cap Value Diversified Fund”) (each, a “Fund” and collectively, the “Funds”). As of the end of the reporting period, the Funds (other than the BP Emerging Markets Dynamic Equity Fund, BP Global Sustainability Fund, WPG Select Hedged Fund, WPG Select Small Cap Value Fund and WPG Small Cap Value Diversified 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 BP Emerging Markets Dynamic Equity Fund, BP Global Sustainability Fund, WPG Select Hedged Fund, WPG Select Small Cap Value Fund and WPG Small Cap Value Diversified Fund are single class funds, offering only the Institutional Class of shares.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of BP All-Cap Value Fund and BP Small Cap Value Fund II is to seek long-term growth of capital primarily through investment in equity securities. The investment objective of BP Emerging Markets Dynamic Equity Fund, BP Global Equity Fund and BP Global/Long Short Fund is to seek long-term capital growth. The investment objective of BP Global Sustainability Fund, WPG Select Hedged Fund and WPG Select Small Cap Value Fund is to seek long-term capital appreciation. The investment objective of BP Long/Short Equity Fund is to seek long-term capital appreciation while reducing exposure to general equity market risk. The investment objective of WPG Small Cap Value Diversified Fund is to seek capital appreciation by investing primarily in common stocks, securities convertible into common stocks and in special situations. The investment objective of BP Long/Short Research Fund is to seek long-term total return.

 

At a meeting of the Board of Directors of the Company (the “Board”) held on May 15-16, 2024, the Board unanimously voted to approve, subject to shareholder approval, an Agreement and Plan of Reorganization (the “Plan of Reorganization”) whereby the BP Global Long/Short Fund would be reorganized into the John Hancock Disciplined Value Global Long/Short Fund, a newly-organized series of John Hancock Investment Trust. See Note 10 in these Notes to Financial Statements.

 

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, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period” or the “reporting period”).

 

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves

 

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Notes to Financial Statements (continued)

 

August 31, 2024

 

 

subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Boston Partners Global Investors, Inc. (“Boston Partners” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 — Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 — Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 — Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

A summary of the inputs used to value each Fund’s investments as of the end of the reporting period is included in each Fund’s Schedule of Investments.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

 

FUND

TYPE OF SECURITY

UNREALIZED
APPRECIATION/
(DEPRECIATION)
AS OF 8/31/2024

VALUATION
TECHNIQUES

UNOBSERVABLE
INPUT

UNOBSERVABLE
INPUT
VALUES (USD)

IMPACT TO
VALUATION FROM
AN INCREASE
TO INPUT

BP Emerging Markets Dynamic Equity Fund

Contracts For Difference – Total Short – Russia

314,150

Market Approach & Concensus Pricing

Discount for lack of marketability as a result of geopolitical event and sanction

100%

Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

BP Emerging Markets Dynamic Equity Fund

Contracts For Difference – Total Short – Russia

140,169

Market Approach & Concensus Pricing

Discount for lack of marketability as a result of geopolitical event and sanction

100%

Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security

 

Financial Statements 2024 | 77

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no significant level 3 investments or transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Offering costs are amortized for a new fund and accrued over a 12-month period from the inception date of the fund. Offering costs are charged directly to the fund in which they are incurred. Expenses and fees, including investment advisory, offering costs, and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

SEC RULE 18f-4 — Effective August 19, 2022, the Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. Each of the BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund, BP Long/Short Research Fund and WPG Select Hedged Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. Each of the BP All-Cap Value Fund, BP Small Cap Value Fund II, WPG Select Small Cap Value Fund, WPG Small Cap Value Diversified Fund, BP Global Sustainability Fund, and BP Global Equity Fund, as a limited derivatives user (as defined in Rule 18f-4), is not subject to the full requirements of Rule 18f-4. The Funds are required to comply with Rule18f-4 and have adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Statements of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statements of Operations.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. The Funds consider investments in the U.S Bank Money Market Deposit Account, a U.S. dollar-denominated deposit account offered through U.S. Bank, to be a cash equivalent. The Funds are exposed to the credit risk of U.S. Bank through the holding of this cash equivalent. This cash equivalent is presented on the Statements of Assets and Liabilities as “Cash equivalents” and was classified as Level 1 assets as of August 31, 2024.

 

Financial Statements 2024 | 78

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

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 Global Sustainability Fund and the BP Emerging Markets Dynamic Equity Fund invest in emerging market instruments which are subject to certain credit and market risks. The securities and currency markets of emerging market countries are generally smaller, less developed, less liquid and more volatile than the securities and currency markets of the United States and other developed markets. Disclosure and regulatory standards in many respects are less stringent than in other developed markets. There also may be a lower level of monitoring and regulation of securities markets in emerging market countries and the activities of investors in such markets and enforcement of existing regulations may be extremely limited. Political and economic structures in many of these countries may be in their infancy and developing rapidly, and such countries may lack the social, political and economic stability characteristics of more developed countries.

 

FOREIGN SECURITIES MARKET RISK — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.

 

INTERNATIONAL CONFLICT RISK — In February 2022, Russia commenced a military attack on Ukraine. The outbreak of hostilities between the two countries and the threat of wider-spread hostilities could have a severe adverse effect on the region and global economies, including significant negative impacts on the markets for certain securities and commodities, such as oil and natural gas. In addition, sanctions imposed on Russia by the United States and other countries, and any sanctions imposed in the future, could have a significant adverse impact on the Russian economy and related markets. Additionally, armed conflict between Israel and Hamas and other militant groups in the Middle East and related events could cause significant impacts on global markets. The price and liquidity of investments may fluctuate widely as a result of these conflicts and related events. How long the armed conflicts and related events will last cannot be predicted. These tensions and any related events could have a significant impact on a Fund’s performance and the value of a Fund’s investments, even beyond any direct exposure that the Funds may have to issuers located in these countries.

 

SUSTAINABLE INVESTMENT RISK — The sustainability criterion required for investment by the BP Global Sustainability Fund may cause the Fund to not invest in certain industries or issuers. As a result, the BP Global Sustainability Fund may be overweight or underweight in certain industries or issuers relative to its benchmark index, which may cause the Fund’s performance to be more or less sensitive to developments affecting those industries or issuers. Sustainability information provided by issuers, upon which the portfolio managers may rely, continues to develop, and may be incomplete, inaccurate, use different methodologies, or be applied differently across companies and industries. Further, the regulatory landscape for sustainable investing in the United States is still developing and future rules and regulations may require the BP Global Sustainability Fund to modify or alter its investment process. Similarly, government policies incentivizing issuers to engage in sustainable practices may fall out of favor, which could potentially limit the BP Global Sustainability Fund’s investment universe. There is also a risk that the companies identified through the investment process may fail to adhere to sustainable business practices, which may result in the BP Global Sustainability Fund selling a security when it might otherwise be disadvantageous to do so. There is no guarantee that sustainable investments will outperform the broader market on either an absolute or relative basis.

 

OPTIONS WRITTEN — The Funds may enter into options written for: bona fide hedging; attempting to offset changes in the value of securities held or expected to be acquired or be disposed of; attempting to minimize fluctuations in foreign currencies; attempting to gain exposure to a particular market, index or instrument; or other risk management purposes. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on exchanges regulated by the Commodity Futures Trading Commission or on other non-U.S. exchanges. An option on a futures contract gives the purchaser the right, in return for the premium paid, to assume a position in the contract (a long position if the option is a call and a short position if the option is a put) at a specified exercise price at any time during the option exercise period. The writer of the option is required upon exercise to assume a short futures position (if the option is a call) or a long futures position (if the option is a put). Upon exercise of the option, the accumulated cash balance in the writer’s futures margin account is delivered to the holder of the option. That balance represents the amount by which the market price of the futures contract at exercise exceeds, in the case of a call, or is less than, in the case of a put, the exercise price of the option. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call

 

Financial Statements 2024 | 79

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

options is potentially unlimited. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Funds also may write OTC options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As of the end of the reporting period, all of the Funds’ written options are exchange-traded options.

 

During the current fiscal period, the Funds’ average quarterly volume of options transactions was as follows:

 

FUND

 

PURCHASED OPTIONS
(COST)

   

WRITTEN OPTIONS
(PROCEEDS)

 

BP All-Cap Value Fund

  $     $ 1,506,083  

BP Global Long/Short Fund

          1,390,441  

BP Long/Short Equity Fund

          122,399  

BP Long/Short Research Fund

          260,508  

 

SHORT SALES — When the Adviser believes that a security is overvalued, the BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund, BP Long/Short Research Fund and WPG Select Hedged 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 Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund had net income/(charges) of $36,304, $(14,588), $393,139 and $6,132,443, 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, the BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund, BP Long/Short Research Fund and WPG Select Hedged Fund had securities sold short valued at $1,261,905, $0, $11,814,494, $113,797,015 and $35,732,661, respectively, for which securities of $24,177,846, $18,352,967, $21,549,675, $159,355,321 and $34,663,248 and deposits of $79,165, $1,517,524, $11,826,855, $119,140,622 and $35,249,641, respectively, were pledged as collateral.

 

In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the overnight rate plus an agreed upon spread.

 

The BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the current fiscal period:

 

BP EMERGING MARKETS DYNAMIC EQUITY FUND

BP GLOBAL LONG/SHORT FUND

DAYS
UTILIZED

AVERAGE DAILY
BORROWINGS

WEIGHTED AVERAGE
INTEREST RATE

DAYS
UTILIZED

AVERAGE DAILY
BORROWINGS

WEIGHTED AVERAGE
INTEREST RATE

54

EUR 9,316 4.10% 60 CHF 3,205 1.87%

58

JPY 6,659,401 0.52% 51 JPY 5,290,141 0.45%

9

USD 146,873 5.77% 60 SEK 491,132 4.24%
      313 USD 447,084 5.77%

 

Financial Statements 2024 | 80

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

BP LONG/SHORT EQUITY FUND

BP LONG/SHORT RESEARCH FUND

DAYS
UTILIZED

AVERAGE DAILY
BORROWINGS

WEIGHTED AVERAGE
INTEREST RATE

DAYS
UTILIZED

AVERAGE DAILY
BORROWINGS

WEIGHTED AVERAGE
INTEREST RATE

333

  USD 2,425,256 5.77% 72 AUD 31,426 4.68%
        271 CHF 6,106 2.14%
        216 DKK 293,778 4.12%
        156 EUR 347,814 4.34%
        189 GBP 319,788 5.55%
        92 HKD 1,634,509 4.68%
        168 JPY 51,415,960 0.45%
        192 SEK 2,826,027 4.37%
        133 THB 28,042,508 2.81%
        224 USD 2,460,951 5.77%

 

The BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund incurred interest expense during the current fiscal period on such borrowings in the amount of $310, $22,789, $129,442, and $126,501, respectively.

 

CONTRACTS FOR DIFFERENCE — The BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”). CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate. With a short CFD, a Fund is seeking to profit from falls in the market price of the asset. CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract. It is also possible that the market price of a CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price. CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level. The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice. If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable. The potential for margin calls and large losses are much greater in CFDs than in other leveraged products. Most CFDs are traded OTC. CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation. In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of a CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD. All of these components are reflected in the market value of the CFDs.

 

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 Schedule of Investments. As of the end of the reporting period, BP Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund had cash deposits for CFDs of $1,698,030, $610,000, $0 and $530,000, 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 Emerging Markets Dynamic Equity Fund, BP Global Long/Short Fund, BP Long/Short Equity Fund and BP Long/Short Research Fund held CFDs.

 

During the current fiscal period, the average volume of CFDs was as follows:

 

FUND

 

NOTIONAL AMOUNT
LONG

   

NOTIONAL AMOUNT
Short

 

BP Emerging Markets Dynamic Equity Fund

  $ 22,268,477     $ 40,533,755  

BP Global Long/Short Fund

    24,154,292       62,377,127  

BP Long/Short Equity Fund

          1,030,661  

BP Long/Short Research Fund

    436,874       69,801,466  

 

Financial Statements 2024 | 81

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

The following is a summary of CFDs that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) as of the end of the reporting period:

 

           

GROSS AMOUNT
NOT OFFSET IN
THE STATEMENTS OF
ASSETS AND LIABILITIES

                   

GROSS AMOUNT
NOT OFFSET IN
THE STATEMENTS OF
ASSETS AND LIABILITIES

         

FUND

 

GROSS
AMOUNTS OF
RECOGNIZED
ASSETS

   

FINANCIAL
INSTRUMENTS

   

CASH
COLLATERAL
RECEIVED

   

NET
AMOUNT
1

   

GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES

   

FINANCIAL
INSTRUMENTS

   

CASH
COLLATERAL
PLEDGED
2

   

NET
AMOUNT
3

 

BP Emerging Markets Dynamic Equity Fund

                                                               

Bank of America Securities, Inc.

  $ 314,359     $ 48,398     $     $ 265,961     $ 48,398     $ 48,398     $     $  

Goldman Sachs

    2,721,593       1,305,846             1,415,747       1,305,846       1,305,846              

HSBC Bank

    57,314       57,314                   194,440       57,314       137,126        

J.P. Morgan Securities, Inc.

    1,142,951       857,622             285,329       857,622       857,622              

Morgan Stanley

    1,786,367       1,010,214             776,153       1,010,214       1,010,214              

Total

  $ 6,022,584     $ 3,279,394     $     $ 2,743,190     $ 3,416,520     $ 3,279,394     $ 137,126     $  

BP Global Long/Short Fund

                                                               

Goldman Sachs

  $ 1,909,998     $ 1,909,998     $     $     $ 2,011,284     $ 1,909,998     $     $ 101,286  

HSBC Bank

    165,877       114,031           $ 51,846       114,031       114,031              

Morgan Stanley

    327,033       327,033                   399,210       327,033             72,177  

Total

  $ 2,402,908     $ 2,351,062     $     $ 51,846     $ 2,524,525     $ 2,351,062     $     $ 173,463  

BP Long/Short Equity Fund

                                                               

Morgan Stanley

  $     $     $     $     $ 18,603     $     $     $ 18,603  

Total

  $     $     $     $     $ 18,603     $     $     $ 18,603  

BP Long/Short Research Fund

                                                               

Bank of America Securities, Inc.

  $ 1,123,192     $     $     $ 1,123,192     $     $     $     $  

Goldman Sachs

    1,753,829       1,753,829                   2,335,805       1,753,829       530,000       51,976  

J.P. Morgan Securities, Inc.

    1,718                                            

Morgan Stanley

    4,051,553       4,051,553                   4,242,231       4,051,553             190,678  

Total

  $ 6,930,292     $ 5,805,382     $     $ 1,124,910     $ 6,578,036     $ 5,805,382     $ 530,000     $ 242,654  

 

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.

 

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

 

Financial Statements 2024 | 82

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: short sale dividend expense, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation for all the Funds is in effect until December 31, 2024 and may not be terminated without the approval of the Board.

 

           

EXPENSE CAPS

 

FUND

 

ADVISORY FEE

   

INSTITUTIONAL
CLASS

   

INVESTOR
CLASS

 

BP All-Cap Value Fund

    0.70 %     0.80 %     1.05 %

BP Emerging Markets Dynamic Equity Fund

    1.25       1.40       N/A  

BP Global Equity Fund

    0.90       0.95       1.20  

BP Global Long/Short Fund

    1.50       2.00       2.25  

BP Global Sustainability Fund

    0.80       0.90       N/A  

BP Long/Short Equity Fund

    2.25       1.96       2.21  

BP Long/Short Research Fund

    1.25       1.50       1.75  

BP Small Cap Value Fund II

    0.85       0.99       1.24  

WPG Select Hedged Fund

    1.25       1.50       N/A  

WPG Select Small Cap Value Fund

    0.90       1.10       N/A  

WPG Small Cap Value Diversified Fund*

    0.80       1.10       N/A  

 

 

*

0.80% of net asset up to $500 million, 0.75% of net assets in excess of $500 million.

 

The Adviser may recoup from each Fund fees and expenses previously paid, waived, or absorbed for a period of three years after such fees or expenses were incurred, provided that the repayments do not cause the Funds’ operating expenses (excluding brokerage commissions, short sale dividend expense, taxes, interest expense, and any extraordinary expenses) to exceed the Expense Caps of each class of each Fund that were in effect at the time the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the Expense Caps that are currently in effect, if different.

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

FUND

 

GROSS
ADVISORY FEES

   

WAIVERS AND/OR
REIMBURSEMENTS*

   

RECOUPMENTS

   

NET
ADVISORY FEES

 

BP All-Cap Value Fund

  $ 9,869,819     $ (650,637 )   $     $ 9,219,182  

BP Emerging Markets Dynamic Equity Fund

    776,677       (113,783 )           662,894  

BP Global Equity Fund

    1,985,400       (357,823 )           1,627,577  

BP Global Long/Short Fund

    2,462,427                   2,462,427  

BP Global Sustainability Fund

    121,573       (94,610 )           26,963  

BP Long/Short Equity Fund

    1,379,392       (414,321 )           965,071  

BP Long/Short Research Fund

    7,466,784                   7,466,784  

BP Small Cap Value Fund II

    4,839,419       (231,790 )     618       4,608,247  

WPG Select Hedged Fund

    201,245       (45,730 )           155,515  

WPG Select Small Cap Value Fund

    902,977       (39,014 )     13,656       877,619  

WPG Small Cap Value Diversified Fund

    240,939       (51,465 )           189,474  

 

As of the end of the reporting period, the Funds had amounts available for recoupment as follows:

 

   

Expiration

         

FUND

 

August 31,
2025

   

August 31,
2026

   

August 31,
2027

   

Total

 

BP All-Cap Value Fund

  $ 1,054,852     $ 581,154     $ 650,637     $ 2,286,643  

BP Emerging Markets Dynamic Equity Fund

    194,970       150,185       113,783       458,938  

BP Global Equity Fund

    327,392       312,531       357,823       997,746  

BP Global Sustainability Fund

    125,165       102,575       94,610       322,350  

BP Long/Short Equity Fund

    404,556       440,825       414,321       1,259,702  

BP Small Cap Value Fund II

    274,029       313,733       231,790       819,552  

WPG Select Hedged Fund

                45,730       45,730  

WPG Select Small Cap Value Fund

    94,396       52,965       39,014       186,375  

WPG Small Cap Value Diversified Fund

    49,003       64,117       51,465       164,585  

 

 

*

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.

 

Financial Statements 2024 | 83

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

The Board has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class Shares of each Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Quasar Distributors, LLC (the “Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class Shares. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of the Investor Class Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class Shares, all as set forth in the Plans.

 

3.

DIRECTOR AND OFFICER COMPENSATION

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments and derivative transactions) of the Funds were as follows:

 

FUND

 

PURCHASES

   

SALES

 

BP All-Cap Value Fund

  $ 337,189,278     $ 445,763,518  

BP Emerging Markets Dynamic Equity Fund

    83,522,222       85,690,167  

BP Global Equity Fund

    102,464,368       116,020,813  

BP Global Long/Short Fund

    237,047,141       240,237,171  

BP Global Sustainability Fund

    11,215,337       25,916,043  

BP Long/Short Equity Fund

    20,624,893       35,262,393  

BP Long/Short Research Fund

    304,754,169       527,657,515  

BP Small Cap Value Fund II

    310,944,627       418,753,640  

WPG Select Hedged Fund

    67,491,711       18,044,039  

WPG Select Small Cap Value Fund

    161,261,774       156,976,827  

WPG Small Cap Value Diversified Fund

    21,752,797       23,353,543  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5.

CAPITAL SHARE TRANSACTIONS

 

As of the end of the reporting period, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class Shares of the BP Long/Short Research Fund, BP Global Long/Short Fund and WPG Small Cap Value Diversified Fund, which have 750,000,000 shares, 300,000,000 shares and 50,000,000 shares, respectively, of $0.001 par value common stock authorized.

 

Financial Statements 2024 | 84

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (continued)

 

August 31, 2024

 

 

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, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

BP All-Cap Value Fund

  $ 917,384,822     $ 648,857,176     $ (15,693,476 )   $ 633,163,700  

BP Emerging Markets Dynamic Equity Fund

    46,031,445       9,930,624       (5,793,747 )     4,136,877  

BP Global Equity Fund

    186,471,917       57,548,732       (6,134,492 )     51,414,240  

BP Global Long/Short Fund

    113,408,066       22,743,568       (4,995,220 )     17,748,348  

BP Global Sustainability Fund

    8,801,699       2,464,717       (70,314 )     2,394,403  

BP Long/Short Equity Fund

    50,979,802       28,469,814       (4,067,053 )     24,402,761  

BP Long/Short Research Fund

    375,953,027       209,712,082       (15,664,210 )     194,047,872  

BP Small Cap Value Fund II

    546,571,740       165,921,197       (18,249,555 )     147,671,642  

WPG Select Small Cap Value Fund

    103,774,256       21,070,935       (5,145,266 )     15,925,669  

WPG Partners Select Hedged Fund

    48,844,045       6,893,947       (3,871,338 )     3,022,609  

WPG Small Cap Value Diversified Fund

    34,139,631       8,249,841       (1,216,558 )     7,033,283  

 

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, 2024 were reclassified among the following accounts. They are primarily attributable to net investment loss, deemed distributions due to shareholder redemptions and investments in partnerships.

 

FUND

 

DISTRIBUTABLE
EARNINGS/(LOSS)

   

PAID-IN
CAPITAL

 

BP All-Cap Value Fund

  $ (13,494,402 )   $ 13,494,402  

BP Emerging Markets Dynamic Equity Fund

    641,144       (641,144 )

BP Global Equity Fund

           

BP Global Long/Short Fund

           

BP Global Sustainability Fund

           

BP Long/Short Equity Fund

           

BP Long/Short Research Fund

           

BP Small Cap Value Fund II

    (8,364,578 )     8,364,578  

WPG Select Small Cap Value Fund

    (239,552 )     239,552  

WPG Partners Select Hedged Fund

           

WPG Small Cap Value Diversified Fund

    (54,024 )     54,024  

 

Financial Statements 2024 | 85

 

 

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Notes to Financial Statements (continued)

 

August 31, 2024

 

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

   

CAPITAL LOSS
CARRYFORWARDS

   

QUALIFIED
LATE-YEAR LOSS
DEFERRAL

   

OTHER
TEMPORARY
DIFFERENCES

   

UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

BP All-Cap Value Fund

  $ 8,831,422     $ 92,344,942     $     $     $     $ 633,166,631  

BP Emerging Markets Dynamic Equity Fund

                (16,177,291 )           (73,380 )     4,144,882  

BP Global Equity Fund

    3,816,950       4,584,579                         51,416,499  

BP Global Long/Short Fund

    13,487,710       7,260,012                   (3,222,464 )     17,777,994  

BP Global Sustainability Fund

    143,600             (312,071 )                 2,395,339  

BP Long/Short Equity Fund

    5,323,400       5,461,848                   (104,282 )     24,147,414  

BP Long/Short Research Fund

    4,595,812       55,793,794                   (560,311 )     195,574,249  

BP Small Cap Value Fund II

    4,032,878       54,189,421                         147,671,642  

WPG Select Small Cap Value Fund

    3,800,187       1,531,189                         15,925,669  

WPG Partners Select Hedged Fund

    386,199             (1,494,737 )                 3,022,609  

WPG Small Cap Value Diversified Fund

    898,984       1,077,305                         7,033,802  

 

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, 2024 and August 31, 2023 was as follows:

 

   

2024

   

2023

 

FUND

 

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

   

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

TOTAL

 

BP All-Cap Value Fund

  $ 20,422,209     $ 116,181,081     $ 136,603,290     $ 24,105,403     $ 91,006,985     $ 115,112,388  

BP Emerging Markets Dynamic Equity Fund

                      11,778,440             11,778,440  

BP Global Equity Fund

    4,137,287             4,137,287       2,771,850             2,771,850  

BP Global Long/Short Fund

    2,313,704             2,313,704       3,244,316             3,244,316  

BP Global Sustainability Fund

    383,298             383,298       313,835             313,835  

BP Long/Short Equity Fund

    5,479,195       6,542,936       12,022,131       3,983,135       4,087,413       8,070,548  

BP Long/Short Research Fund

    25,433,392       41,826,339       67,259,731       59,860,157       86,589,335       146,449,492  

BP Small Cap Value Fund II

    7,336,862       60,236,676       67,573,538       6,797,983       45,094,686       51,892,669  

WPG Partners Select Hedged Fund

                                         

WPG Select Small Cap Value Fund

    13,481,054       892,091       14,373,145       111,741             111,741  

WPG Small Cap Value Diversified Fund

    469,112       1,644,847       2,113,959       1,862,975       2,806,618       4,669,593  

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

 

Financial Statements 2024 | 86

 

 

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Notes to Financial Statements (continued)

 

August 31, 2024

 

 

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, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024.

 

For the fiscal year ended August 31, 2024, the Funds deferred to September 1, 2024, the following qualified late-year losses.

 

FUND

 

LATE-YEAR
ORDINARY LOSS
DEFERRAL

   

POST-OCTOBER
CAPITAL LOSS
DEFERRAL

 

BP All-Cap Value Fund

  $     $  

BP Emerging Markets Dynamic Equity Fund

           

BP Global Equity Fund

           

BP Global Long/Short Fund

           

BP Global Sustainability Fund

           

BP Long/Short Equity Fund

           

BP Long/Short Research Fund

           

BP Small Cap Value Fund II

           

WPG Partners Select Small Cap Value Fund

           

WPG Partners Select Hedged Fund

           

WPG Partners Small Cap Value Diversified Fund

           

 

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2024 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. During the current fiscal period, the BP Global Equity Fund had utilized $12,623,653, BP Global Long/Short Fund had utilized $141,607, and BP Global Sustainability had utilized $2,330,507 of carry forward capital losses.

 

As of August 31, 2024, the BP Emerging Markets Dynamic Equity Fund had short-term post-enactment capital losses of $16,177,291. The BP Global Sustainability Fund had short-term post-enactment capital losses of $312,071. The WPG Partners Select Hedged Fund had short-term post-enactment capital losses of $1,494,737.

 

8.

SECURITIES LENDING

 

Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board, is invested in short-term investments. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Boston Partners to be of good standing and only when, in Boston Partners’ judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. Investments purchased with proceeds from securities lending are overnight and continuous. During the current fiscal period, the Funds participated in securities lending. The market value of securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such loans were as follows:

 

FUND

 

MARKET VALUE OF
SECURITIES LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME RECEIVED
FROM SECURITIES
LENDING

 

BP All-Cap Value Fund

  $ 74,254,911     $ 75,809,274     $ 104,863  

BP Global Equity Fund

    4,366,972       4,427,880       18,416  

BP Long/Short Equity Fund

    9,085,498       9,268,044       56,809  

BP Small Cap Value Fund II

    109,500,196       111,608,773       655,153  

WPG Small Cap Value Diversified Fund

    8,825,663       9,020,061       21,492  

 

Financial Statements 2024 | 87

 

 

BOSTON PARTNERS INVESTMENT FUNDS

 

Notes to Financial Statements (concluded)

 

August 31, 2024

 

 

Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

                           

GROSS AMOUNT NOT OFFSET IN THE
STATEMENTS OF ASSETS AND LIABILITIES

 

FUND

 

GROSS AMOUNT
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN
THE STATEMENT
OF ASSETS
AND LIABILITIES

   

NET AMOUNT
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS
AND LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET AMOUNT

 

BP All-Cap Value Fund

  $ 74,254,911           $ 74,254,911     $ (74,254,911 )            

BP Global Equity Fund

    4,366,972             4,366,972       (4,366,972 )            

BP Long/Short Equity Fund

    9,085,498             9,085,498       (9,085,498 )            

BP Small Cap Value Fund II

    109,500,196             109,500,196       (109,500,196 )            

WPG Small Cap Value Diversified Fund

    8,825,663             8,825,663       (8,825,663 )            

 

 

1

Amount disclosed is limited to the amount of assets presented in the Statement of Assets and Liabilites. Actual collateral received may be more than the amount shown.

 

9.

LINE OF CREDIT

 

The Company, on behalf of the Funds, has established a line of credit (“LoC”) with the Custodian to be used for temporary or emergency purposes, primarily for financing redemption payments. Any loan issued to a Fund utilizing the LoC (each, a “Borrowing Fund” and together, the “Borrowing Funds”) is secured by securities held in the Borrowing Fund’s portfolio. The LoC was renewed on September 10, 2024. The LoC will mature, unless renewed, on November 6, 2024. Borrowing under the LoC is limited to the lesser of (i) $100,000,000, (ii) 20.0% of the gross market value of a Borrowing Fund, or (iii) 33 1/3% of the net market value of the unencumbered assets of a Borrowing Fund. The interest rate paid by the Borrowing Funds on outstanding borrowings is equal to the prime lending rate of the Custodian, which was 8.50% at August 31, 2024.

 

During the current fiscal period, the Funds’ LoC borrowing activity was as follows:

 

   

TOTAL
AMOUNT OF
DAYS BORROWED

   

AVERAGE
BORROWINGS

   

MAXIMUM
AMOUNT
OUTSTANDING

   

INTEREST
EXPENSE

   

AVERAGE
INTEREST RATE

 

BP All-Cap Value Fund

    8     $ 19,617,000     $ 40,166,000     $ 37,054       8.50 %

BP Emerging Markets Dynamic Equity Fund

    9       124,222       559,000       264       8.50 %

BP Global Equity Fund

    3       1,497,000       1,497,000       1,060       8.50 %

BP Global Long/Short Fund

    1       817,000       817,000       193       8.50 %

BP Global Sustainability Fund

    1       4,667,000       4,667,000       1,102       8.50 %

BP Long/Short Equity Fund

    181       602,398       2,883,000       25,744       8.50 %

BP Long/Short Research Fund

    42       5,447,024       18,722,000       54,016       8.50 %

BP Small Cap Value Fund II

    8       2,141,625       4,264,000       4,045       8.50 %

WPG Select Small Cap Value Fund

    2       20,000,000       20,000,000       9,444       8.50 %

 

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 was the following subsequent event:

 

At a special meeting of shareholders of the BP Global Long/Short Fund held on September 17, 2024, shareholders approved the Plan of Reorganization between the Company, on behalf of the BP Global Long/Short Fund, and John Hancock Investment Trust, on behalf of the John Hancock Disciplined Value Global Long/Short Fund (the “Acquiring Fund”). Pursuant to the Plan of Reorganization, on October 18, 2024, the BP Global Long/Short Fund transferred all of its assets to the Acquiring Fund in exchange for corresponding shares of the Acquiring Fund which were distributed pro rata to shareholders of the BP Global Long/Short Fund, in redemption of, and in exchange for the shares of the BP Global Long/Short Fund.

 

Financial Statements 2024 | 88

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of Boston Partners All-Cap Value Fund, Boston Partners Emerging Markets Dynamic Equity Fund, Boston Partners Global Equity Fund, Boston Partners Global Long/Short Fund, Boston Partners Global Sustainability Fund, Boston Partners Long/Short Equity Fund, Boston Partners Long/Short Research Fund, Boston Partners Small Cap Value Fund II, WPG Partners Select Hedged Fund, WPG Partners Select Small Cap Value Fund, and WPG Partners Small Cap Value Diversified Fund and Board of Directors of The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of Boston Partners All-Cap Value Fund, Boston Partners Emerging Markets Dynamic Equity Fund, Boston Partners Global Equity Fund, Boston Partners Global Long/Short Fund, Boston Partners Global Sustainability Fund, Boston Partners Long/Short Equity Fund, Boston Partners Long/Short Research Fund, Boston Partners Small Cap Value Fund II, WPG Partners Select Hedged Fund, WPG Partners Select Small Cap Value Fund, and WPG Partners Small Cap Value Diversified Fund (collectively referred to as the “Funds”) (eleven of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the schedules of investments, as of August 31, 2024, and the related statements of operations and 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 (eleven of the portfolios constituting The RBB Fund, Inc.) at August 31, 2024, 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 All-Cap Value Fund

Boston Partners Emerging Markets Dynamic Equity Fund

Boston Partners Global Equity Fund

Boston Partners Global Long/Short Fund

Boston Partners Long/Short Equity Fund

Boston Partners Long/Short Research Fund

Boston Partners Small Cap Value Fund II

WPG Partners Small Cap Value Diversified Fund

For the year ended
August 31, 2024

For each of the two
years in the period
ended August 31, 2024

For each of the five years
in the period ended
August 31, 2024

WPG Partners Select Small Cap Value Fund

Boston Partners Global Sustainability Fund

For the year ended
August 31, 2024

For each of the two
years in the period
ended August 31, 2024

For each of the two years
in the period ended
August 31, 2024, and the
period from December 29,
2021 (commencement of
operations) through
August 31, 2022

WPG Partners Select Hedged Fund

For the period from May 3, 2024 (commencement of operations) through
August 31, 2024

 

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, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures.

 

Financial Statements 2024 | 89

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Report of Independent registered Public Accounting Firm (concluded)

 

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, 2024

 

Financial Statements 2024 | 90

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Shareholder Tax Information

 

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the following dividends and distributions were paid by each of the Funds:

 

FUND

 

ORDINARY
INCOME

   

LONG-TERM
GAINS

 

BP All-Cap Value Fund

  $ 20,422,209     $ 116,181,081  

BP Emerging Markets Dynamic Equity Fund

           

BP Global Equity Fund

    4,137,287        

BP Global Long/Short Fund

    2,313,704        

BP Global Sustainability Fund

    383,298        

BP Long/Short Equity Fund

    5,479,195       6,542,936  

BP Long/Short Research Fund

    25,433,392       41,826,339  

BP Small Cap Value Fund II

    7,336,862       60,236,676  

WPG Select Hedged Fund

           

WPG Select Small Cap Value Fund

    13,481,054       892,091  

WPG Small Cap Value Diversified Fund

    469,112       1,644,847  

 

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 “Act”) the following percentages of ordinary dividends paid during the fiscal year ended August 31, 2024 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:

 

FUND

 

BP All-Cap Value Fund

100.00%

BP Emerging Markets Dynamic Equity Fund

0.00%

BP Global Equity Fund

100.00%

BP Global Long/Short Fund

100.00%

BP Global Sustainability Fund

100.00%

BP Long/Short Equity Fund

21.46%

BP Long/Short Research Fund

54.84%

BP Small Cap Value Fund II

100.00%

WPG Select Hedged Fund

0.00%

WPG Select Small Cap Value Fund

4.67%

WPG Small Cap Value Diversified Fund

65.26%

 

The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for each Fund is as follows:

 

FUND

 

BP All-Cap Value Fund

100.00%

BP Emerging Markets Dynamic Equity Fund

0.00%

BP Global Equity Fund

34.25%

BP Global Long/Short Fund

35.76%

BP Global Sustainability Fund

44.93%

BP Long/Short Equity Fund

14.28%

BP Long/Short Research Fund

40.43%

BP Small Cap Value Fund II

97.38%

WPG Select Hedged Fund

0.00%

WPG Select Small Cap Value Fund

3.03%

WPG Small Cap Value Diversified Fund

57.55%

 

Financial Statements 2024 | 91

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Shareholder Tax Information (concluded)

 

The percentage of qualified interest income related dividends not subject to withholding tax for non-resident aliens and foreign corporations is as follows:

 

FUND

 

BP All-Cap Value Fund

0.00%

BP Emerging Markets Dynamic Equity Fund

0.00%

BP Long/Short Equity Fund

2.54%

BP Long/Short Research Fund

2.73%

BP Global Equity Fund

0.95%

BP Global Long/Short Fund

18.82%

BP Global Sustainability Fund

6.59%

BP Small Cap Value Fund II

0.00%

WPG Select Hedged Fund

0.00%

WPG Select Small Cap Value Fund

0.00%

WPG Small Cap Value Diversified 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:

 

FUND

 

BP All-Cap Value Fund

0.00%

BP Emerging Markets Dynamic Equity Fund

0.00%

BP Long/Short Equity Fund

80.53

BP Long/Short Research Fund

40.35

BP Global Equity Fund

0.00%

BP Global Long/Short Fund

0.00%

BP Global Sustainability Fund

0.00%

BP Small Cap Value Fund II

32.25%

WPG Select Hedged Fund

0.00%

WPG Select Small Cap Value Fund

96.11%

WPG Small Cap Value Diversified Fund

46.13%

 

Pursuant to Section 853 of the Internal Revenue Code, as amended, 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 8/31/2024

BP Global Equity Fund

5,430,217

538,620

0.56465704

0.05600800

9,616,841

BP Global Sustainability Fund

245,589

27,406

0.25741705

0.02872590

954,052

BP Global Long Short Fund

1,912,272

246,988

0.18219628

0.02353233

10,495,669

 

Because each Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

Financial Statements 2024 | 92

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Other Information

 

Investment Advisory Agreement Renewal

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Boston Partners and the Company (the “Investment Advisory Agreement”) 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 Cap Value Diversified Fund, Boston Partners Global Equity Fund, Boston Partners Global Sustainability Fund, Boston Partners Global Long/Short Fund, Boston Partners Emerging Markets Dynamic Equity Fund and WPG Partners Select Small Cap Value Fund (each a “Fund” and collectively the “Funds”), and the advisory agreement between Boston Partners and BP Emerging Markets Long/Short Offshore Ltd. with respect to the Boston Partners Emerging Markets Dynamic Equity Fund (the “Cayman Subsidiary Investment Advisory Agreement” and together with the Investment Advisory Agreement, the “Investment Advisory Agreements”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term ending August 16, 2025. 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 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. The Directors reviewed these materials with management of Boston Partners and discussed the Investment Advisory Agreements with counsel in executive sessions at which no representatives of Boston Partners were present. 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 Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to such Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its Peer 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 three-month, one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to its respective benchmark and Peer Group 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 one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month period ended December 31, 2023. The Board noted that the Fund’s total return outperformed the median of its Peer Group for the three-year, five-year, ten-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

The Directors noted that the Boston Partners Long/Short Equity Fund outperformed its primary benchmark, the S&P 500 Index, for the three-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year and ten-year periods ended December 31, 2023. The Directors noted that the Boston Partners Long/Short Equity Fund outperformed the median of its Peer Group for the three-month, one-year, three-year, five-year and ten-year periods ended December 31, 2023, and performed at the median of its Peer Group for the since-inception period ended December 31, 2023.

 

The Directors noted that the WPG Partners Small Cap Value Diversified Fund outperformed its primary benchmark, the Russell 2000 Value Index, for the three-year and five-year periods ended December 31, 2023, and underperformed its benchmark for the three-month, one-year and ten-year periods ended December 31, 2023. The Directors noted that the WPG Partners Small Cap Value Diversified Fund outperformed the median of its Peer Group for the three-year and five-year periods ended December 31, 2023, performed at the median of its Peer Group for the one-year and since-inception periods ended December 31, 2023, and underperformed its Peer Group for the three-month and ten-year periods ended December 31, 2023.

 

Financial Statements 2024 | 93

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Other Information (continued)

 

Next, the Directors also reviewed the performance of the Boston Partners Long/Short Research Fund, noting that the Fund had outperformed its benchmark, the S&P 500 Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023. The Directors noted that the Boston Partners Long/Short Research Fund outperformed the median of its Peer Group for the three-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, one-year, five-year and ten-year periods ended December 31, 2023.

 

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 one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month period ended December 31, 2023. The Directors noted that the Boston Partners Small Cap Value Fund II outperformed the median of its Peer Group for the one-year, five-year and since-inception periods ended December 31, 2023, performed at the median of its Peer Group for the three-year period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and ten-year periods ended December 31, 2023.

 

The Directors also considered the performance of the Boston Partners Global Equity Fund, which outperformed its benchmark, the MSCI World Net Return Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023. The Directors noted that the Boston Partners Global Equity Fund outperformed the median of its Peer Group for the three-month, three-year, five-year, ten-year and since-inception periods ended December 31, 2023, and matched the performance of the median of its Peer Group for the one-year period ended December 31, 2023.

 

The Directors also considered the performance of the Boston Partners Global Sustainability Fund, which outperformed its benchmark, the MSCI World Net Return Index, for the since-inception period ended December 31, 2023, and underperformed its benchmark for the three-month and one-year periods ended December 31, 2023. The Directors noted that the Boston Partners Global Sustainability Fund outperformed the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

The Directors noted that the Boston Partners Global Long/Short Fund had outperformed its benchmark, the MSCI World Net Return Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023. The Directors noted that the Boston Partners Global Long/Short Fund outperformed the median of its Peer Group for the one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

The Directors then reviewed the performance of the Boston Partners Emerging Markets Dynamic Equity Fund, which outperformed its benchmark, the MSCI Emerging Markets Index, for the three-year, five-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month and one-year periods ended December 31, 2023. The Directors also noted that the Boston Partners Emerging Markets Dynamic Equity Fund underperformed the median of its Peer Group for the three-month, one-year, three-year, five-year and since-inception periods ended December 31, 2023.

 

The Directors noted that the WPG Partners Select Small Cap Value Fund outperformed its primary benchmark, the Russell 2000 Value Index, for the one-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month period ended December 31, 2023. The Directors noted that the WPG Partners Select Small Cap Value Fund outperformed the median of its Peer Group for the one-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

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 December 31, 2025 for the Funds to limit total annual operating expenses to agreed upon levels for each Fund.

 

The Directors noted that the Boston Partners Small Cap Value Fund II’s net advisory fee was above the median and ranked in the 3rd quartile of its Peer Group, and the Fund’s total net expenses were above the median and ranked in the 3rd quartile of its Peer Group.

 

The Directors noted that the Boston Partners Long/Short Equity Fund’s net advisory fee was above the median and ranked in the 4th quartile of its Peer Group, and the Fund’s total net expenses equaled the median of its Peer Group.

 

The Directors noted that the Boston Partners Long/Short Research Fund’s net advisory fee was above the median and ranked in the 3rd quartile of its Peer Group, and the Fund’s total net expenses were below the median and ranked in the 2nd quartile of its Peer Group.

 

The Directors noted that the Boston Partners All-Cap Value Fund’s net advisory fee equaled the median of its Peer Group, and the Fund’s total net expenses were below the median and ranked in the 1st quartile of its Peer Group.

 

Financial Statements 2024 | 94

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Other Information (continued)

 

The Directors noted that the Boston Partners Global Equity Fund’s net advisory fee and total net expenses were both above the median and each ranked in the 3rd quartile of its Peer Group.

 

The Directors noted that the Boston Partners Global Sustainability Fund’s net advisory fee was below the median and in the 2nd quartile of its Peer Group, and the Fund’s total net expenses matched the median of its Peer Group.

 

The Directors noted that the Boston Partners Global Long/Short Fund’s net advisory fee was above the median and in the 4th quartile of its Peer Group, and the Fund’s total net expenses were above the median and in the 3rd quartile of its Peer Group.

 

The Directors noted that the Boston Partners Emerging Markets Dynamic Equity Fund’s net advisory fee was below the median and in the 2nd quartile of its Peer Group, and the Fund’s total net expenses matched the median of its Peer Group.

 

The Directors noted that the WPG Partners Select Small Cap Value Fund’s net advisory fee was above the median and in the 4th quartile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quartile of its Peer Group.

 

The Directors noted that the WPG Partners Small Cap Value Diversified Fund’s net advisory fee matched the median of its Peer Group, and the Fund’s total net expenses matched the median of its Peer Group.

 

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 to be 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, 2025.

 

Approval of Investment Advisory Agreement – WPG Partners Select Hedged Fund

 

As required by the 1940 Act, the Board, including all of the Independent Directors, considered the approval of the investment advisory agreement between Boston Partners and the Company (the “New Investment Advisory Agreement”) on behalf of the WPG Partners Select Hedged Fund (for this section only, the “Fund”) at a meeting of the Board held on February 12-13, 2024 (the “February Meeting”). At the February Meeting, the Board, including all of the Independent Directors, approved the New Investment Advisory Agreement for an initial one-year term ending August 16, 2025. The Board’s decision to approve the New Investment Advisory Agreement reflects the exercise of its business judgment. In approving the New Investment Advisory Agreement, 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 approval of the New Investment Advisory Agreement with respect to the Fund, the Directors took into account all materials provided prior to and during the February Meeting and at other meetings throughout the past year, the presentations made during the February Meeting, and the discussions held during the February Meeting. The Directors reviewed these materials with management of Boston Partners and discussed the New Investment Advisory Agreement with counsel in executive sessions, at which no representatives of Boston Partners were present. The Directors considered whether approval of the New Investment Advisory Agreement would be in the best interests of the Fund and its shareholders and the overall fairness of the New Investment Advisory Agreement. The Directors noted their familiarity with Boston Partners given its current service as the investment adviser to certain other series of the Company. Among other things, the Directors considered (i) the nature, extent and quality of services to be provided to the Fund by Boston Partners; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Boston Partners’ investment philosophy and process; (iv) Boston Partners’ assets under management and client descriptions; (v) Boston Partners’ soft dollar commission and trade allocation policies, as applicable; (vi) Boston Partners’ advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) Boston Partners’ compliance procedures; (viii) Boston Partners’ financial information and insurance coverage; (ix) Boston Partners’ profitability analysis relating to its proposed provision of services to the Fund; and (x) the extent to which economies of scale would be relevant to the Fund. 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. The Directors concluded that Boston Partners had sufficient resources to provide services to the Fund.

 

The Board also considered the advisory fee rates payable by the Fund under the proposed New Investment Advisory Agreement. In this regard, information on the fees to be paid by the Fund and the Fund’s expected 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, as well as fee structures of Boston Partners’ other products, both mutual funds and separately managed accounts. The Directors noted that Boston Partners had contractually agreed to waive management fees and reimburse expenses of the Fund for at least one year to limit total annual operating expenses to agreed upon levels for the Fund.

 

After reviewing the information regarding Boston Partners’ estimated costs, profitability and economies of scale, and after considering the services to be provided by Boston Partners, the Directors concluded that the investment advisory fees to be paid by the Fund to Boston Partners were fair and reasonable and that the New Investment Advisory Agreement should be approved for an initial period ending August 16, 2025.

 

Financial Statements 2024 | 95

 

 

BOSTON PARTNERS INVESTMENT FUNDS

Other Information (concluded)

 

Approval of Plan of Reorganization and Report of Special Meeting of Shareholders

 

A special meeting of shareholders of the BP Global Long/Short Fund (the “Special Meeting”) was held on September 17, 2024. At the Special Meeting, shareholders of the BP Global Long/Short Fund voted on a proposal to approve the Plan of Reorganization between the Company, on behalf of the BP Global Long/Short Fund, and John Hancock Investment Trust, on behalf of the John Hancock Disciplined Value Global Long/Short Fund (the “Acquiring Fund”). Under the Plan of Reorganization, the BP Global Long/Short Fund would transfer all of its assets to the Acquiring Fund in exchange for corresponding shares of the Acquiring Fund to be distributed pro rata to shareholders of the BPGlobal Long/Short Fund, in redemption of, and in exchange for the shares of the BP Global Long/Short Fund.

 

All shareholders of record of the BP Global Long/Short Fund at the close of business on July 23, 2024 (the “Record Date”) were entitled to vote at the Special Meeting. As of the Record Date, the BP Global Long/Short Fund had 10,351,143 shares outstanding.

 

Of the 6,551,104 shares of the BP Global Long/Short Fund present in person or by proxy at the Special Meeting, 6,453,965 shares or 98.52% voted in favor of the proposal to approve the Plan of Reorganization; 12,704 shares or 0.19% voted against the proposal to approve the Plan of Reorganization; and 84,435 shares or 1.29% abstained from voting on the proposal to approve the Plan of Reorganization.

 

Accordingly, shareholders of the BP Global Long/Short Fund approved the Plan of Reorganization at the Special Meeting on September17, 2024.

 

The reorganization contemplated by the Plan of Reorganization occurred as of 4:00 p.m. Eastern time on October 18, 2024.

 

Financial Statements 2024 | 96

 

 

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Campbell Systematic Macro Fund

 

of

 

THE RBB FUND, INC.

 

 

Class A (TICKER: EBSAX)

Class C (TICKER: EBSCX)

Class I (TICKER: EBSIX)

Financial Statements

 

 

August 31, 2024

 

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments

August 31, 2024

 

   

PAR

   

Value

 

SHORT-TERM INVESTMENTS — 73.1%

               

U.S. Treasury Bills — 73.1%

               

5.20%, 09/05/2024 (a)

    150,000,000     $ 149,956,537  

5.24%, 10/10/2024 (a)

    160,000,000       159,155,989  

5.25%, 11/14/2024 (a)

    140,000,000       138,601,837  

5.25%, 12/05/2024 (a)

    175,000,000       172,792,929  

5.21%, 01/02/2025 (a)

    145,000,000       142,672,850  

4.86%, 02/06/2025 (a)

    150,000,000       146,931,756  

TOTAL SHORT-TERM INVESTMENTS (Cost $909,556,812)

            910,111,898  
                 

TOTAL INVESTMENTS — 73.1% (Cost $909,556,812)

    910,111,898  

Other Assets in Excess of Liabilities — 26.9%

    334,766,985  

TOTAL NET ASSETS — 100.0%

  $ 1,244,878,883  

 

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the consolidated financial statements.
1

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments

August 31, 2024

 

Futures contracts outstanding as of August 31, 2024 were as follows:

 

Description

Contracts
Purchased

Expiration
Date

 

Notional

   

Value / Unrealized
Appreciation
(Depreciation)

 

3 Month Canadian Overnight Repo Rate Average

1,592

03/17/2026

  $ 286,867,733     $ (351,665 )

Arabica Coffee

90

12/18/2024

    8,236,688       (227,691 )

ASX SPI 200 Index

223

09/19/2024

    30,372,454       202,345  

Australian Government 10 Year Bonds

2,420

09/16/2024

    190,948,290       (896,165 )

Australian Government 3 Year Bonds

1,657

09/16/2024

    119,941,707       174,760  

Australian 90 Day Bank Bills

1,106

09/11/2025

    742,190,406       766,855  

Brent Crude Oil

155

10/31/2024

    11,817,200       (201,867 )

Canadian 10 Year Government Bonds

6,648

12/18/2024

    607,058,865       (5,766,033 )

Copper

174

12/27/2024

    18,320,025       (50,292 )

Crude Oil

461

09/20/2024

    33,906,550       (1,087,036 )

Dow Jones Industrial Average Index

99

09/20/2024

    20,618,235       351,877  

Euro STOXX 50 Quanto Index

795

09/20/2024

    43,684,795       514,407  

Euro-BTP Future Dec24

143

12/06/2024

    18,782,137       (38,520 )

Euro-Bund

1,844

12/06/2024

    271,916,874       (565,091 )

EURO-BUXL 30Y BND Dec24

34

12/06/2024

    5,060,255       (15,824 )

EURO-SCHATZ FUT Dec24

7,398

12/06/2024

    872,156,856       (327,657 )

FTSE 100 Index

318

09/20/2024

    35,028,696       88,045  

FTSE China A50 Index

2,403

09/27/2024

    28,235,250       (63,782 )

FTSE/JSE Top 40 Index

915

09/19/2024

    39,079,860       542,880  

FTSE/MIB Index

214

09/20/2024

    40,753,794       998,935  

German Stock Index

5

09/20/2024

    2,618,554       (2,360 )

Hang Seng China Enterprises Index

168

09/27/2024

    6,802,688       78,709  

Hang Seng Index

385

09/27/2024

    44,312,178       473,364  

Hard Red Winter Wheat

128

12/13/2024

    3,617,600       62,801  

IBEX 35 Index

153

09/20/2024

    19,336,365       593,818  

ICE 3 Month SONIA Rate

1,516

12/16/2025

    478,951,395       (291,481 )

Lean Hogs

54

10/14/2024

    1,776,060       (74 )

Live Cattle

1,063

10/31/2024

    75,940,720       (1,899,830 )

London Metals - Aluminum

1,225

09/16/2024

    74,538,188       (2,248,189 )

London Metals - Aluminum

541

12/16/2024

    33,243,368       32,598  

London Metals - Copper

347

09/16/2024

    79,313,525       (1,271,922 )

London Metals - Copper

23

12/16/2024

    5,325,949       (31,956 )

London Metals - Lead

750

09/16/2024

    38,011,688       (440,814 )

London Metals - Lead

214

12/16/2024

    11,027,474       (97,329 )

London Metals - Nickel

346

09/16/2024

    34,440,300       932,831  

London Metals - Nickel

88

12/16/2024

    8,880,675       (82,041 )

London Metals - Zinc

1,032

09/16/2024

    73,754,976       1,710,632  

London Metals - Zinc

137

12/16/2024

    9,946,200       363,760  

MSCI EAFE Index

30

09/20/2024

    3,687,750       59,701  

MSCI Emerging Markets Index

4

09/20/2024

    220,000       (329 )

MSCI Singapore Index

1,529

09/27/2024

    37,664,052       243,058  

Nasdaq 100 Index

178

09/20/2024

    69,857,880       (204,231 )

Nifty 50 Index

1,177

09/26/2024

    59,772,768       531,723  

OMXS30 Index

1,658

09/20/2024

    41,978,005       1,449,941  

Palladium

183

12/27/2024

    17,619,240       441,298  

Russell 2000 Index

2

09/20/2024

    222,310       1,155  

S&P 500 Index

362

09/20/2024

    102,464,100       585,935  

S&P Mid Cap 400 Index

14

09/20/2024

    4,337,340       23,458  

S&P/Toronto Stock Exchange 60 Index

292

09/19/2024

    60,750,907       1,010,123  

 

The accompanying notes are an integral part of the consolidated financial statements.
2

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2024

 

Description

Contracts
Purchased

Expiration
Date

 

Notional

   

Value / Unrealized
Appreciation
(Depreciation)

 

SGX FTSE Taiwan Index

235

09/27/2024

  $ 17,561,550     $ 169,716  

Silver

2

12/27/2024

    291,430       (7,475 )

Sugar #11

797

09/30/2024

    17,299,363       759,070  

TOPIX Index

124

09/12/2024

    23,033,176       (835,364 )

U.S. Treasury 2 Year Notes

2,283

12/31/2024

    473,829,518       (689,004 )

U.S. Treasury 5 Year Note

422

12/31/2024

    46,166,141       (64,334 )

U.S. Treasury Long Bonds

458

12/19/2024

    56,391,250       (421,945 )

U.S. Treasury Ultra Bonds

336

12/19/2024

    44,331,000       (695,683 )

US Cocoa

565

12/13/2024

    43,341,150       3,010,204  
                $ (2,701,985 )

 

Description

Contracts
Sold

Expiration
Date

 

Notional

   

Value / Unrealized
Appreciation
(Depreciation)

 

3 Month Euribor

(1,627)

09/15/2025

  $ 439,549,881     $ (66,961 )

3-Month Secured Overnight Financing Rate

(312)

03/17/2026

    75,523,500       51,254  

CAC40 10 Euro Index

(28)

09/20/2024

    2,367,457       15,336  

Canadian Canola Oil

(1,643)

11/14/2024

    14,988,344       68,510  

Corn No. 2 Yellow

(1,408)

12/13/2024

    28,230,400       (550,427 )

Cotton No.2

(1,201)

12/06/2024

    42,028,995       557,603  

Crude Soybean Oil

(1,484)

12/13/2024

    37,405,704       315,786  

Euro-BOBL

(1,109)

12/06/2024

    145,831,692       32,596  

Feeder Cattle

(64)

10/31/2024

    7,608,000       (67,556 )

French Government Bonds

(165)

12/06/2024

    23,003,150       35,594  

Gold

(240)

12/27/2024

    60,662,400       (1,062,653 )

ICE European Climate Exchange Emissions

(75)

12/16/2024

    5,828,221       87,371  

Japanese 10 Year Government Bonds

(572)

09/12/2024

    566,248,307       (39,720 )

London Metals - Aluminum

(1,225)

09/16/2024

    74,538,188       (491,579 )

London Metals - Aluminum

(164)

12/16/2024

    10,077,472       (564,262 )

London Metals - Copper

(347)

09/16/2024

    79,313,525       5,040,696  

London Metals - Copper

(195)

12/16/2024

    45,154,783       (578,963 )

London Metals - Lead

(750)

09/16/2024

    38,011,688       1,498,273  

London Metals - Lead

(685)

12/16/2024

    35,298,221       244,440  

London Metals - Nickel

(346)

09/16/2024

    34,440,300       (644,076 )

London Metals - Nickel

(370)

12/16/2024

    37,339,203       (949,707 )

London Metals - Zinc

(1,032)

09/16/2024

    73,754,976       192,551  

London Metals - Zinc

(535)

12/16/2024

    38,841,000       (1,715,126 )

Long Gilt

(1,825)

12/27/2024

    236,561,646       253,177  

Low Sulphur Gas Oil

(521)

10/10/2024

    36,509,075       (145,971 )

Natural Gas

(1,912)

09/26/2024

    40,668,240       2,688,183  

Nikkei 225 Index

(30)

09/12/2024

    7,943,772       (93,409 )

NY Harbor ULSD

(328)

09/30/2024

    31,385,861       1,135,327  

Phelix DE Base M Oct24

(245)

10/30/2024

    18,324,126       (41,928 )

Platinum

(147)

10/29/2024

    6,851,670       225,817  

Reformulated Gasoline Blendstock

(399)

09/30/2024

    35,077,846       (37,052 )

Robusta Coffee

(12)

11/25/2024

    593,760       (22,880 )

SGX TSI Iron Ore

(660)

10/30/2024

    6,667,980       (291,720 )

Soybean Meal

(484)

12/13/2024

    15,149,200       (330,182 )

 

 

The accompanying notes are an integral part of the consolidated financial statements.
3

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (Concluded)

August 31, 2024

 

Description

Contracts
Sold

Expiration
Date

 

Notional

   

Value / Unrealized
Appreciation
(Depreciation)

 

Soybeans

(1,042)

11/14/2024

  $ 52,100,000     $ (243,134 )

U.S. Treasury 10 Year Notes

(951)

12/19/2024

    107,997,937       607,239  

Wheat

(829)

12/13/2024

    22,859,675       213,759  
                $ 5,326,206  

Total Unrealized Appreciation (Depreciation)

              $ 2,624,221  

 

 

 

The accompanying notes are an integral part of the consolidated financial statements.
4

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments

August 31, 2024

 

Forward foreign currency contracts outstanding as of August 31, 2024 were as follows:

 

Counterparty

 

Settlement Date

   

 

Currency Purchased

 

 

Currency Sold

 

Unrealized
Appreciation
(Depreciation)

 

UBS AG

    09/18/2024          

AUD

    3,006,900,000          

USD

2,004,442,834

  $ 31,769,510  

UBS AG

    09/18/2024          

BRL

    1,028,800,000          

USD

186,309,669

    (4,159,219 )

UBS AG

    09/18/2024          

CAD

    2,229,650,000          

USD

1,631,378,556

    24,106,266  

UBS AG

    09/18/2024          

CHF

    41,200,000          

USD

47,688,476

    887,799  

UBS AG

    09/23/2024          

CLP

    65,590,000,000          

USD

70,392,719

    1,363,546  

UBS AG

    09/19/2024          

CNH

    23,700,000          

USD

3,312,604

    38,666  

UBS AG

    09/18/2024          

COP

    569,520,000,000          

USD

141,016,152

    (5,198,486 )

UBS AG

    09/18/2024          

CZK

    4,237,200,000          

USD

183,590,768

    3,584,132  

UBS AG

    09/18/2024          

EUR

    2,918,350,000          

USD

3,187,130,145

    41,617,628  

UBS AG

    09/18/2024          

GBP

    1,422,150,000          

USD

1,821,211,866

    46,850,246  

UBS AG

    09/18/2024          

HUF

    69,213,000,000          

USD

191,112,744

    3,439,839  

UBS AG

    09/18/2024          

IDR

    2,622,725,000,000          

USD

162,370,368

    7,210,864  

UBS AG

    09/18/2024          

INR

    19,708,000,000          

USD

235,117,152

    (271,250 )

UBS AG

    09/18/2024          

JPY

    105,525,000,000          

USD

688,547,597

    35,283,281  

UBS AG

    09/19/2024          

KRW

    66,240,000,000          

USD

48,365,224

    1,288,249  

UBS AG

    09/18/2024          

MXN

    4,002,600,000          

USD

216,324,476

    (13,691,942 )

UBS AG

    09/18/2024          

NOK

    3,349,050,000          

USD

311,684,447

    4,228,738  

UBS AG

    09/18/2024          

NZD

    1,248,050,000          

USD

757,072,293

    23,198,763  

UBS AG

    09/18/2024          

PHP

    4,373,250,000          

USD

74,813,874

    3,062,752  

UBS AG

    09/18/2024          

PLN

    1,165,725,000          

USD

295,400,176

    5,436,466  

UBS AG

    09/18/2024          

SEK

    2,212,800,000          

USD

211,148,433

    4,569,065  

UBS AG

    09/18/2024          

SGD

    196,095,000          

USD

146,548,743

    3,896,519  

UBS AG

    09/18/2024          

TWD

    2,785,050,000          

USD

86,390,308

    854,452  

UBS AG

    09/18/2024          

ZAR

    4,075,600,000          

USD

222,249,405

    5,990,614  

UBS AG

    09/18/2024          

USD

    1,857,586,105          

AUD

2,782,050,000

    (26,362,331 )

UBS AG

    09/18/2024          

USD

    91,500,084          

BRL

503,800,000

    2,301,603  

UBS AG

    09/18/2024          

USD

    1,603,143,340          

CAD

2,193,350,000

    (25,389,225 )

UBS AG

    09/18/2024          

USD

    85,051,930          

CHF

74,950,000

    (3,316,804 )

UBS AG

    09/23/2024          

USD

    80,031,786          

CLP

74,620,000,000

    (1,603,410 )

UBS AG

    09/19/2024          

USD

    75,208,872          

CNH

540,700,000

    (1,248,163 )

UBS AG

    09/18/2024          

USD

    116,831,991          

COP

479,970,000,000

    2,369,978  

UBS AG

    09/18/2024          

USD

    227,135,678          

CZK

5,223,600,000

    (3,612,649 )

UBS AG

    09/18/2024          

USD

    2,828,135,703          

EUR

2,604,550,000

    (53,436,080 )

UBS AG

    09/18/2024          

USD

    1,428,845,061          

GBP

1,120,550,000

    (43,051,011 )

UBS AG

    09/18/2024          

USD

    111,434,377          

HUF

40,422,000,000

    (2,188,852 )

UBS AG

    09/18/2024          

USD

    69,468,833          

IDR

1,099,350,000,000

    (1,608,649 )

UBS AG

    09/18/2024          

USD

    122,034,634          

INR

10,229,000,000

    143,081  

UBS AG

    09/18/2024          

USD

    747,914,835          

JPY

114,027,000,000

    (34,234,072 )

UBS AG

    09/19/2024          

USD

    112,050,408          

KRW

152,745,000,000

    (2,447,173 )

UBS AG

    09/18/2024          

USD

    203,667,943          

MXN

3,815,700,000

    10,497,264  

UBS AG

    09/18/2024          

USD

    335,346,683          

NOK

3,549,900,000

    487,479  

UBS AG

    09/18/2024          

USD

    588,693,619          

NZD

965,800,000

    (15,116,954 )

UBS AG

    09/18/2024          

USD

    103,321,673          

PHP

6,001,500,000

    (3,550,007 )

UBS AG

    09/18/2024          

USD

    193,556,451          

PLN

769,875,000

    (5,123,864 )

UBS AG

    09/18/2024          

USD

    269,022,347          

SEK

2,811,150,000

    (5,026,028 )

UBS AG

    09/18/2024          

USD

    239,555,399          

SGD

321,045,000

    (6,752,255 )

UBS AG

    09/18/2024          

USD

    230,796,347          

TWD

7,438,500,000

    (2,222,863 )

 

The accompanying notes are an integral part of the consolidated financial statements.
5

 

 

Campbell Systematic Macro Fund

 

Consolidated Portfolio of Investments (concluded)

August 31, 2024

 

Counterparty

 

Settlement Date

   

 

Currency Purchased

 

 

Currency Sold

 

Unrealized
Appreciation
(Depreciation)

 

UBS AG

    09/18/2024          

USD

    113,684,848          

ZAR

2,105,400,000

  $ (4,220,868 )

Total Unrealized Appreciation (Depreciation)

  $ 644,645  

 

AUD

Australian Dollar

 

JPY

Japanese Yen

BRL

Brazilian Real

 

KRW

South Korean Won

CAD

Canadian Dollar

 

MXN

Mexican Peso

CHF

Swiss Franc

 

NOK

Norwegian Krone

CLP

Chilean Peso

 

NZD

New Zealand Dollar

CNH

Chinese Yuan Renminbi

 

PHP

Philippine Peso

COP

Columbian Peso

 

PLN

Polish Zloty

CZK

Czech Koruna

 

SEK

Swedish Krona

EUR

Euro

 

SGD

Singapore Dollar

GBP

British Pound

 

TWD

New Taiwan Dollar

HUF

Hungarian Forint

 

USD

United States Dollar

IDR

Indonesian Rupiah

 

ZAR

South African Rand

INR

Indian Rupee

     

 

 

The accompanying notes are an integral part of the consolidated financial statements.
6

 

 

Campbell Systematic Macro Fund

 

Consolidated Statement of Assets and Liabilities

August 31, 2024

 

ASSETS

       

Investments, at value (cost $909,556,812)

  $ 910,111,898  

Cash and cash equivalents

    87,639,100  

Deposits with brokers:

       

Futures contracts

    153,810,471  

Forward foreign currency contracts

    90,254,702  

Unrealized appreciation on forward foreign currency contracts

    264,476,800  

Unrealized appreciation on futures contracts

    29,437,511  

Receivable for capital shares sold

    1,141,397  

Interest receivable

    624,873  

Prepaid expenses and other assets

    218,642  

Total assets

    1,537,715,394  

LIABILITIES

       

Unrealized depreciation on forward foreign currency contracts

  $ 263,832,155  

Unrealized depreciation on futures contracts

    26,813,290  

Payable for:

       

Advisory fees

    1,612,167  

Capital shares redeemed

    290,191  

Other accrued expenses and liabilities

    288,708  

Total liabilities

    292,836,511  

Net assets

  $ 1,244,878,883  

NET ASSETS CONSIST OF:

       

Par value

  $ 129,084  

Paid-in capital

    1,264,265,532  

Total distributable earnings/(loss)

    (19,515,733 )

Net assets

  $ 1,244,878,883  

CAPITAL SHARES:

       

Class A Shares:

       

Net assets applicable to Class A Shares

  $ 53,941,639  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    5,661,751  

Net asset value and redemption price per share

  $ 9.53  

Maximum offering price per share (100/96.5 of $9.53)

  $ 9.87  
         

Class C Shares:

       

Net assets applicable to Class C Shares

  $ 18,204,959  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,050,933  

Net asset value, offering and redemption price per share

  $ 8.88  
         

Class I Shares:

       

Net assets applicable to Class I Shares

  $ 1,172,732,285  

Shares outstanding ($0.001 par value, 300,000,000 shares authorized)

    121,371,493  

Net asset value, offering and redemption price per share

  $ 9.66  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
7

 

 

Campbell Systematic Macro Fund

 

Consolidated Statement of Operations

For the Year Ended August 31, 2024

 

INVESTMENT INCOME

       

Interest

  $ 48,065,857  

Total investment income

    48,065,857  

EXPENSES

       

Advisory fees (Note 2)

    16,918,761  

Transfer agent fees (Note 2)

    1,288,701  

Administration and accounting fees (Note 2)

    193,237  

Distribution fees - Class A Shares

    143,213  

Distribution fees - Class C Shares

    178,246  

Registration and filing fees

    122,871  

Director fees

    103,871  

Printing and shareholder reporting fees

    82,254  

Officer fees

    78,050  

Legal fees

    68,304  

Audit and tax service fees

    64,758  

Custodian fees (Note 2)

    31,987  

Other expenses

    44,911  

Total expenses before waivers and/or reimbursements

    19,319,164  

Less: waivers and reimbursements (Note 2)

    (944,150 )

Net expenses after waivers and/or reimbursements

    18,375,014  

Net investment income/(loss)

    29,690,843  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

Net realized gain/(loss) from:

       

Investments

    (1,111 )

Futures contracts

    38,295,686  

Foreign currency transactions

    (8,330,706 )

Forward foreign currency contracts

    (42,645,617 )

Net change in unrealized appreciation/(depreciation) on:

       

Investments

    829,028  

Futures contracts

    9,520,318  

Foreign currency translations

    (1,033,359 )

Forward foreign currency contracts

    8,178,880  

Net realized and unrealized gain/(loss) on investments

    4,813,119  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 34,503,962  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
8

 

 

Campbell Systematic Macro Fund

 

Consolidated Statements of Changes in Net Assets

 

   

For the
Year Ended

August 31,
2024

   

For the
Year Ended

August 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 29,690,843     $ 15,272,844  

Net realized gain/(loss) from investments, futures contracts, foreign currency transactions and forward foreign currency contracts

    (12,681,748 )     16,880,850  

Net change in unrealized appreciation/(depreciation) on investments, futures contracts, foreign currency translations and forward foreign currency contracts

    17,494,867       (31,214,109 )

Net increase/(decrease) in net assets resulting from operations

    34,503,962       939,585  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Distributable earnings

               

Class A Shares

    (826,673 )     (9,548,573 )

Class C Shares

    (98,765 )     (2,517,507 )

Class I Shares

    (15,128,997 )     (88,730,836 )

Total distributable earnings

    (16,054,435 )     (100,796,916 )

Net decrease in net assets from dividends and distributions to shareholders

    (16,054,435 )     (100,796,916 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Class A Shares

               

Proceeds from shares sold

    11,201,253       34,402,233  

Proceeds from reinvestment of distributions

    798,911       9,286,917  

Shares redeemed

    (20,737,101 )     (38,161,798 )

Total from Class A Shares

    (8,736,937 )     5,527,352  

Class C Shares

               

Proceeds from shares sold

    3,003,962       6,816,942  

Proceeds from reinvestment of distributions

    92,450       2,388,732  

Shares redeemed

    (3,796,719 )     (3,668,971 )

Total from Class C Shares

    (700,307 )     5,536,703  

Class I Shares

               

Proceeds from shares sold

    765,144,923       703,679,347  

Proceeds from reinvestment of distributions

    13,897,674       85,541,786  

Shares redeemed

    (406,608,214 )     (473,269,758 )

Total from Class I Shares

    372,434,383       315,951,375  

Net increase/(decrease) in net assets from capital share transactions

    362,997,139       327,015,430  

Total increase/(decrease) in net assets

    381,446,666       227,158,099  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
9

 

 

Campbell Systematic Macro Fund

 

Consolidated Statements of Changes in Net Assets (Concluded)

 

   

For the
Year Ended

August 31,
2024

   

For the
Year Ended

August 31,
2023

 

NET ASSETS:

               

Beginning of period

  $ 863,432,217     $ 636,274,118  

End of period

  $ 1,244,878,883     $ 863,432,217  
                 

SHARE TRANSACTIONS:

               

Class A Shares

               

Shares sold

    1,206,997       3,439,596  

Shares reinvested

    87,312       979,633  

Shares redeemed

    (2,231,994 )     (3,977,081 )

Total from Class A Shares

    (937,685 )     442,148  

Class C Shares

               

Shares sold

    343,292       704,756  

Shares reinvested

    10,775       269,001  

Shares redeemed

    (438,071 )     (401,028 )

Total from Class C Shares

    (84,004 )     572,729  

Class I Shares

               

Shares sold

    81,023,773       70,564,733  

Shares reinvested

    1,500,829       8,901,331  

Shares redeemed

    (43,506,352 )     (48,628,923 )

Total from Class I Shares

    39,018,250       30,837,141  

Net increase/(decrease) in shares outstanding

    37,996,561       31,852,018  

 

 

The accompanying notes are an integral part of the consolidated financial statements.
10

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class A

 
   

For the
Year
Ended
A
ugust 31,
2024

   

For the
Year
Ended
A
ugust 31,
2023

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 9.37     $ 10.65     $ 8.76     $ 7.55     $ 9.81     $ 9.49  

Net investment income/(loss)(3)

    0.25       0.16       (0.11 )     (0.16 )     (0.07 )     (4) 

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (5)

    0.04       (0.05 )     2.57       1.37       (0.76 )     1.45  

Net increase/(decrease) in net assets resulting from operations

    0.29       0.11       2.46       1.21       (0.83 )     1.45  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.13 )     (0.20 )     (0.48 )           (0.79 )     (1.13 )

Net realized capital gain

          (1.19 )     (0.09 )           (0.64 )      

Total dividends and distributions to shareholders

    (0.13 )     (1.39 )     (0.57 )           (1.43 )     (1.13 )

Net asset value, end of period

  $ 9.53     $ 9.37     $ 10.65     $ 8.76     $ 7.55     $ 9.81  

Total investment return (6)

    3.15 %     0.93 %     30.09 %     16.03 %     (8.86 )%(7)     17.73 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 53,942     $ 61,813     $ 65,549     $ 12,613     $ 10,365     $ 12,895  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (10)

    2.00 %     2.00 %     2.00 %     2.03 %     2.15 %(8)     2.12 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (9)(11)

    2.09 %     2.12 %     2.16 %     2.36 %     2.51 %(8)     2.54 %

Ratio of net investment income/(loss) to average net assets

    2.67 %     1.71 %     (1.32 )%     (1.93 )%     (0.93 )%(8)     (0.03 )%

Portfolio turnover rate (12)

    0 %     0 %     0 %     0 %     0 %(7)     15 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust, an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

Less than $0.005 per share.

(5)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(6)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(7)

Not annualized

(8)

Annualized

(9)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

(10) Ratio of net expenses to average net assets excluding interest expense

2.00%

2.00%

2.00%

2.00%

2.12%

2.07%

(11) Ratio of gross expenses to average net assets excluding interest expense(9)

2.09%

2.12%

2.16%

2.33%

2.48%

2.49%

 

(12)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

 

The accompanying notes are an integral part of the consolidated financial statements.
11

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Continued)

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class C

 
   

For the
Year
Ended
A
ugust 31,
2024

   

For the
Year
Ended
A
ugust 31,
2023

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 8.72     $ 10.02     $ 8.38     $ 7.28     $ 9.51     $ 9.20  

Net investment income/(loss)(3)

    0.17       0.09       (0.20 )     (0.21 )     (0.12 )     (0.07 )

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4)

    0.04       (0.05 )     2.45       1.31       (0.74 )     1.42  

Net increase/(decrease) in net assets resulting from operations

    0.21       0.04       2.25       1.10       (0.86 )     1.35  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.05 )     (0.15 )     (0.52 )           (0.73 )     (1.04 )

Net realized capital gain

          (1.19 )     (0.09 )           (0.64 )      

Total dividends and distributions to shareholders

    (0.05 )     (1.34 )     (0.61 )           (1.37 )     (1.04 )

Net asset value, end of period

  $ 8.88     $ 8.72     $ 10.02     $ 8.38     $ 7.28     $ 9.51  

Total investment return (5)

    2.38 %     0.22 %     29.13 %     15.11 %     (9.49 )%(6)     16.88 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 18,205     $ 18,610     $ 15,654     $ 9,079     $ 9,087     $ 13,237  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9)

    2.75 %     2.75 %     2.75 %     2.78 %     2.88 %(7)     2.87 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10)

    2.84 %     2.87 %     2.91 %     3.11 %     3.27 %(7)     3.29 %

Ratio of net investment income/(loss) to average net assets

    1.92 %     0.96 %     (2.07 )%     (2.67 )%     (1.65 )%(7)     (0.78 )%

Portfolio turnover rate (11)

    0 %     0 %     0 %     0 %     0 %(6)     15 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust, an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(5)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(6)

Not annualized

(7)

Annualized

(8)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

(9) Ratio of net expenses to average net assets excluding interest expense

2.75%

2.75%

2.75%

2.75%

2.85%

2.82%

(10) Ratio of gross expenses to average net assets excluding interest expense(8)

2.84%

2.87%

2.91%

3.08%

3.24%

3.24%

 

(11)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the consolidated financial statements.
12

 

 

Campbell Systematic Macro Fund

 

Consolidated Financial Highlights (Concluded)

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the consolidated financial statements.

 

 

   

Class I

 
   

For the
Year
Ended
A
ugust 31,
2024

   

For the
Year
Ended
A
ugust 31,
2023

   

For the
Year
Ended
A
ugust 31,
2022

   

For the
Year
Ended
A
ugust 31,
2021

   

For the
Period
Ended
A
ugust 31,
2020
(1)(2)

   

For the
Year
Ended
Sept. 30,
2019

 

Per Share Operating Performance

                                               

Net asset value, beginning of period

  $ 9.51     $ 10.77     $ 8.90     $ 7.65     $ 9.93     $ 9.59  

Net investment income/(loss)(3)

    0.27       0.20       (0.09 )     (0.14 )     (0.07 )     0.02  

Net realized and unrealized gain/(loss) on investments, futures, forward currency and swap contracts (4)

    0.04       (0.05 )     2.59       1.39       (0.77 )     1.48  

Net increase/(decrease) in net assets resulting from operations

    0.31       0.15       2.50       1.25       (0.84 )     1.50  

Dividends and distributions to shareholders from:

                                               

Net investment income

    (0.16 )     (0.22 )     (0.54 )           (0.80 )     (1.16 )

Net realized capital gain

          (1.19 )     (0.09 )           (0.64 )      

Total dividends and distributions to shareholders

    (0.16 )     (1.41 )     (0.63 )           (1.44 )     (1.16 )

Net asset value, end of period

  $ 9.66     $ 9.51     $ 10.77     $ 8.90     $ 7.65     $ 9.93  

Total investment return (5)

    3.42 %     1.25 %     30.35 %     16.34 %     (8.75 )%(6)     18.17 %

Ratios/Supplemental Data

                                               

Net assets, end of period (000’s omitted)

  $ 1,172,732     $ 783,009     $ 555,072     $ 119,324     $ 115,431     $ 51,067  

Ratio of expenses to average net assets with waivers and reimbursements and/or recoupments (9)

    1.75 %     1.75 %     1.75 %     1.78 %     1.88 %(7)     1.84 %

Ratio of expenses to average net assets without waivers and reimbursements and/or recoupments (8)(10)

    1.84 %     1.87 %     1.91 %     2.11 %     2.24 %(7)     2.28 %

Ratio of net investment income/(loss) to average net assets

    2.92 %     1.96 %     (1.07 )%     (1.68 )%     (0.91 )%(7)     0.23 %

Portfolio turnover rate (11)

    0 %     0 %     0 %     0 %     0 %(6)     15 %

 

 

(1)

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The period ended is from October 1, 2019 to August 31, 2020.

(2)

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust, an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

(3)

Calculated based on average shares outstanding for the period.

(4)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(5)

Total returns are historical and assume changes in share price and reinvestment of dividends and distributions. Total returns for periods of less than one year are not annualized. Had the Adviser not waived its fees or reimbursed a portion of the Fund’s expenses, the returns would have been lower.

(6)

Not annualized

(7)

Annualized

(8)

Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the Adviser.

(9) Ratio of net expenses to average net assets excluding interest expense

1.75%

1.75%

1.75%

1.75%

1.85%

1.80%

(10) Ratio of gross expenses to average net assets excluding interest expense(8)

1.84%

1.87%

1.91%

2.08%

2.21%

2.24%

 

(11)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

 

The accompanying notes are an integral part of the consolidated financial statements.
13

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements

August 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Campbell Systematic Macro Fund (the “Fund”), which commenced investment operations on March 4, 2013. The Fund currently offers Class A, Class C and Class I shares. Class A and Class I shares commenced operations on March 4, 2013. Class C commenced operations on February 11, 2014.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 3.50%. Prior to February 16, 2021, Class A shares were offered at net asset value plus a maximum sales charge of 5.75%. A contingent deferred sales charge (“CDSC”) of 1.00% is assessed on certain redemptions of Class A shares made within twelve months after a purchase of Class A shares where no initial sales charge was paid at the time of purchase as part of an investment of $1,000,000 or more. A CDSC of 1.00% is assessed on redemptions of Class C shares made within twelve months after a purchase of such shares. Each class represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. The Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

Prior to May 29, 2020, the Fund was a diversified series (the “Predecessor Fund”) of Equinox Funds Trust, an open-end management investment company (or mutual fund) organized on June 2, 2010, as a statutory trust under the laws of the State of Delaware. The Predecessor Fund was reorganized into the Fund following the close of business on May 29, 2020 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to May 29, 2020 included herein is that of the Predecessor Fund.

 

The fiscal year end of the Predecessor Fund was September 30. The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company.

 

The 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, 2024, and the period covered by these Notes to Consolidated Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

CONSOLIDATION OF SUBSIDIARY — The Campbell Systematic Macro Program is achieved by the Fund investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited Fund (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of the Subsidiary 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 $70,197,905, which represented 5.64% of the Fund’s net assets.

 

14

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Short-Term Investments

  $ 910,111,898     $     $     $ 910,111,898  

Commodity Contracts

                               

Futures Contracts

    19,581,510                   19,581,510  

Equity Contracts

                               

Futures Contracts

    7,934,526                   7,934,526  

Interest Rate Contracts

                               

Futures Contracts

    1,921,475                   1,921,475  

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

          264,476,800             264,476,800  

Total Assets

  $ 939,549,409     $ 264,476,800     $     $ 1,204,026,209  

 

15

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Commodity Contracts

                               

Futures Contracts

  $ (15,383,732 )   $     $     $ (15,383,732 )

Equity Contracts

                               

Futures Contracts

    (1,199,475 )                 (1,199,475 )

Interest Rate Contracts

                               

Futures Contracts

    (10,230,083 )                 (10,230,083 )

Foreign Currency Contracts

                               

Forward Foreign Currency Contracts

          (263,832,155 )           (263,832,155 )

Total Liabilities

  $ (26,813,290 )   $ (263,832,155 )   $     $ (290,645,445 )

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 purchases, sales, or 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 current fiscal 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.

 

16

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following table lists the fair values of the Fund’s derivative holdings as of the end of the current fiscal period, grouped by contract type and risk exposure category.

 

Derivative Type

 

CONSOLIDATED
STATEMENT OF
ASSETS AND
LIABILITIES
LOCATION

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate

Contracts

   

Foreign
Currency
Contracts

   

Total

 

Asset Derivatives

Futures Contracts (a)

    Unrealized appreciation on futures contracts     $ 19,581,510     $ 7,934,526     $ 1,921,475     $     $ 29,437,511  

Forward Contracts (a)

    Unrealized appreciation on forward foreign currency contracts                         264,476,800       264,476,800  

Total Value - Assets

          $ 19,581,510     $ 7,934,526     $ 1,921,475     $ 264,476,800     $ 293,914,311  

 

Liability Derivatives

Futures Contracts (a)

    Unrealized depreciation on futures contracts     $ (15,383,732 )   $ (1,199,475 )   $ (10,230,083 )   $     $ (26,813,290 )

Forward Contracts (a)

    Unrealized depreciation on forward foreign currency contracts                         (263,832,155 )     (263,832,155 )

Total Value - Liabilities

          $ (15,383,732 )   $ (1,199,475 )   $ (10,230,083 )   $ (263,832,155 )   $ (290,645,445 )

 

 

(a)

This amount represents the cumulative appreciation/(depreciation) of forward and futures contracts as reported in the Consolidated Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Total

 

Realized Gain (Loss)

Futures Contracts

    Net realized gain/(loss) from futures contracts     $ (19,324,537 )   $ 67,586,005     $ (9,965,782 )   $     $ 38,295,686  

Forward Contracts

    Net realized gain/(loss) from forward foreign currency contracts                         (42,645,617 )     (42,645,617 )

Total Realized Gain/(Loss)

 

  $ (19,324,537 )   $ 67,586,005     $ (9,965,782 )   $ (42,645,617 )   $ (4,349,931 )

 

17

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following table lists the amounts of change in unrealized appreciation/(depreciation) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period, grouped by derivative type and primary risk exposure category by contract type.

 

Derivative Type

 

Consolidated
Statement of
Operations
Location

   

Commodity
Contracts

   

Equity
Contracts

   

Interest
Rate
Contracts

   

Foreign
Currency
Contracts

   

Total

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ 6,134,269     $ 6,688,030     $ (3,301,981 )   $     $ 9,520,318  

Forward Contracts

    Net change in unrealized appreciation/(depreciation) on forward foreign currency contracts                         8,178,880       8,178,880  

Total Change in Unrealized Appreciation/(Depreciation)

          $ 6,134,269     $ 6,688,030     $ (3,301,981 )   $ 8,178,880     $ 17,699,198  

 

During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:

 

 

Long Futures
Notional
Amount

   

Short Futures
Notional
Amount

   

Forward Foreign
Currency Contracts-
Payable
(Value At Trade Date)

   

Forward Foreign
Currency Contracts-
Receivable (Value At
Trade Date)

 
    $2,819,887,147       $(3,533,398,756)       $(20,109,114,968)       $20,098,692,038  

 

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.

 

18

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements).

 

           

Gross Amount Not
Offset in Consolidated
Statement of Assets and
Liabilities

                     

Gross Amount Not
Offset in Consolidated
Statement of Assets and
Liabilities

         

Description

 

Gross Amount
Presented in
the
Consolidated

Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount
(1)

     

Gross Amount
Presented in
the
Consolidated

Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged
(2)

   

Net
Amount
(3)

 
   

Assets

     

Liabilities

 

Forward Foreign Currency Contracts

  $ 264,476,800     $ (263,832,155 )   $     $ 644,645       $ 263,832,155     $ (263,832,155 )   $     $  

 

 

(1)

Net amount represents the net amount receivable from the counterparty in the event of default.

 

(2)

Actual collateral pledged may be more than the amount shown.

 

(3)

Net amount represents the net amount payable to the counterparty in the event of default.

 

Use of Estimates — The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

19

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

For tax purposes, the Subsidiary is an exempted Cayman Islands investment company. The Subsidiary has received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation and as such is not subject to U.S. income tax.

 

SEC RULE 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

 

The Fund does not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investments in the Consolidated Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Consolidated Statement of Operations.

 

Currency Risk — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.

 

Commodity Sector Risk — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.

 

Foreign Securities Market Risk — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual

 

20

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

Counterparty Risk — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.

 

Futures Contracts — The Fund uses futures contracts in the normal course of pursuing its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.

 

Forward Foreign Currency Contracts —The Fund uses forward foreign currency contracts (“forward contracts”) in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an off setting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. The Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between the Fund and the counterparty is in place and to the extent the Fund obtains collateral to cover the Fund’s exposure to the counterparty.

 

Credit Risk — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

21

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

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, LP The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

Prior to May 29, 2020, Equinox Institutional Asset Management, LP (“Equinox”) served as adviser to the Predecessor Fund and Campbell served as a sub-adviser to the Predecessor Fund. Equinox was entitled to an advisory fee from the Predecessor Fund at the same rate payable to Campbell as Adviser to the Fund. Equinox, not the Predecessor Fund, paid a sub-advisory fee to Campbell.

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rate (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue this arrangement at any time after December 31, 2024.

 

 

Expense Cap

Advisory Fee

Class A

Class C

Class I

1.64%

2.00%

2.75%

1.75%

 

Prior to May 29, 2020, Equinox and Campbell had contractually agreed to reduce their advisory fees and/or reimburse certain expenses of the Predecessor Fund, to ensure that the Predecessor Fund’s total annual operating expenses, excluding (i) taxes, (ii) interest, (iii) extraordinary items, (iv) acquired fund fees and expenses, and (v) brokerage commissions, did not exceed, on an annual basis, 2.14% with respect to Class A shares, 2.89% with respect to Class C shares, and 1.89% with respect to Class I shares of the Predecessor Fund’s average daily net assets.

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed by the Adviser were as follows:

 

Gross
Advisory Fees

Waivers and/or
Reimbursements

Net
Advisory Fees

$16,918,761

$(944,150)

$15,974,611

 

If at any time the Fund’s total annual Fund operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement.

 

As of the end of the current fiscal period, the Fund had amounts available for recoupment as follows:

 

Expiration

August 31,
2025

August 31,
2026

August 31,
2027

Total

$392,091

$951,565

$944,150

$2,287,806

 

22

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Fund pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from the Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in the Fund’s 12b-1 Plan.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Consolidated Statement of Operations.

 

3. Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Consolidated Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases and sales of investment securities (excluding short-term investments and derivative transactions) or long-term U.S. Government securities by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the consolidated financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

23

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Continued)

August 31, 2024

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows(a):

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized

Appreciation/
(Depreciation)

$1,009,555,172

$26,964,600

$(59,185,744)

$(32,221,144)

 

 

(a)

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to futures and forwards not regulated by Section 1256 of the Internal Revenue Code and timing difference related to taxable income from a wholly owned controlled foreign corporation.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

The following permanent differences as of August 31, 2024, primarily attributable to investments in wholly-owned controlled foreign corporation were reclassified among the following accounts:

 

Distributable
Earnings/(Loss)

PAID-IN
CAPITAL

$16,512,923

$(16,512,923)

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Capital
Loss

Carryforwards

Other
Temporary
Differences

Unrealized
Appreciation/
(Depreciation)

$15,894,051

$—

$(4,677,037)

$(389,353)

$(30,343,394)

 

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, 2024 and August 31, 2023 was as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

2024

$16,054,435

$—

$16,054,435

2023

51,700,811

49,096,105

100,796,916

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Fund may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2024, the Fund had $(4,677,037) of long-term loss carryovers. For the fiscal year ended August 31, 2024, the Fund did not have any deferred post-October losses.

 

24

 

 

Campbell Systematic Macro Fund

 

Notes To Consolidated Financial Statements (Concluded)

August 31, 2024

 

6. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the consolidated financial statements were issued and has determined that there was the following subsequent event:

 

On September 27, 2024, a special meeting of shareholders of the Fund (the “Special Meeting”) was convened for the purpose of obtaining shareholder approval of (i) a new investment advisory agreement between the Company, on behalf of the Fund, and the Adviser (the “New Investment Advisory Agreement”), and (ii) a new investment advisory agreement between the Subsidiary and the Adviser (the “New Subsidiary Advisory Agreement,” and together with the New Investment Advisory Agreement, the “New Investment Advisory Agreements”). As described in the proxy statement filed on behalf of the Fund with the SEC on August 13, 2024, the Fund sought shareholder approval of the New Investment Advisory Agreements in connection with the long-planned transition of majority ownership (the “Transition”) of the Adviser’s parent company, Campbell & Company, LP.

 

There were not sufficient shareholder votes present to approve the New Investment Advisory Agreements at the Special Meeting convened on September 27, 2024 and, as a result, the Special Meeting was adjourned to October 25, 2024. At the re-convened Shareholder Meeting held on October 25, 2024, shareholders of the Fund approved each of the New Investment Advisory Agreements.

 

25

 

 

Campbell Systematic Macro Fund

 

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of Campbell Systematic Macro Fund
and Board of Directors of The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying consolidated statement of assets and liabilities of Campbell Systematic Macro Fund (the “Fund”) (one of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the consolidated portfolio of investments, as of August 31, 2024, 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 from October 1, 2019 through August 31, 2020 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, 2024, 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 from October 1, 2019 through August 31, 2020, in conformity with U.S. generally accepted accounting principles.

 

The consolidated financial highlights of the Fund for each of the periods presented through September 30, 2019, were audited by other auditors whose report dated November 27, 2019, expressed an unqualified opinion on those financial statements.

 

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, 2024, by correspondence with the custodian and brokers. 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, 2024

 

26

 

 

Campbell Systematic Macro 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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2024. During the year ended August 31, 2024, the Fund paid $16,054,435 of ordinary income distributions. 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 0% 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 2024. 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 2025.

 

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

 

 

Campbell Systematic Macro Fund

 

Other Information

(Unaudited)

 

APPROVAL OF CURRENT INVESTMENT ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Campbell and the Company, on behalf of the Fund (the “Investment Advisory Agreement”), and the investment advisory agreement between Campbell and the Subsidiary (the “Subsidiary Advisory Agreement,” and together with the Investment Advisory Agreement, the “Current Investment Advisory Agreements”) at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Current Investment Advisory Agreements for an additional one-year term. The Board’s decision to approve the Current Investment Advisory Agreements reflects the exercise of its business judgment to continue the existing arrangements. In approving the Current Investment Advisory Agreements, 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 of the Investment Advisory Agreement and the Subsidiary Advisory Agreement, the Directors took into account all the materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. The Directors reviewed these materials with management of Campbell and discussed the Current Investment Advisory Agreements with counsel in executive sessions, at which no representatives of Campbell were present. Among other things, the Directors considered (i) the nature, extent, and quality of services provided by Campbell; (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 Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its Peer Group; and (xi) a report comparing the performance of the Fund to the performance of its benchmark.

 

The Directors evaluated the nature, extent and quality of the services provided by Campbell under the Current Investment Advisory Agreements, on the basis of the functions that Campbell performed, and the quality and stability of the staff committed to those functions, Campbell’s compliance record and financial condition and its background and history in providing services to the Fund. The Directors considered Campbell’s disciplined investment decision-making process used for the Fund and the Subsidiary. The Directors also considered the fact that Campbell had not experienced any significant legal, compliance or regulatory difficulties. Based on the information provided and the Directors’ prior experience with Campbell, the Directors concluded that the nature and extent of the services that Campbell provided, as well as the quality of those services, were satisfactory.

 

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. Information on the Fund’s investment performance was provided for the three-month, one-year, three-year, five-year, ten-year, and since inception periods ended December 31, 2023. The Directors noted that the Fund outperformed its primary benchmark, the S&P 500 Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023. The Directors noted that the Fund outperformed the median of its Peer Group for the three-year, five-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

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 ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other,

 

28

 

 

Campbell Systematic Macro Fund

 

Other Information (Continued)

(Unaudited)

 

unaffiliated investment advisory firms. The Directors noted that both the Fund’s net advisory fee and Fund’s total net expenses were above the median and in the 4th quartile of its Peer Group. The Directors noted that Campbell had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024 to limit total annual operating expenses to agreed upon levels for the Fund.

 

Based on the information provided, the Directors concluded that the amount of advisory fees that the Fund paid under the Investment Advisory Agreement to Campbell was reasonable in light of the nature and quality of the services provided.

 

In considering the overall fairness of the Current Investment Advisory Agreements, the Directors assessed the degree to which economies of scale would be expected to be realized if the Fund’s assets increased, as well as the extent to which fee levels would reflect those economies of scale for the benefit of the Fund’s shareholders. The Directors determined that the fee schedules in the Current Investment Advisory Agreements were reasonable and appropriate.

 

In addition to the above factors, the Directors also considered other benefits received by Campbell from its management of the Fund, including, without limitation, the ability to market its advisory services for similar products in the future.

 

After reviewing the information regarding the Fund’s costs, Campbell’s estimated profitability and economies of scale, and after considering Campbell’s services, the Directors concluded that the investment advisory fees to be paid by the Fund were fair and reasonable in light of the nature and quality of the services provided and that the Current Investment Advisory Agreements should be approved for an additional annual period ending August 16, 2025.

 

APPROVAL OF NEW INVESTMENT ADVISORY AGREEMENTS

 

At the Meeting, the Board, including a majority of the Independent Directors, also approved the New Investment Advisory Agreements. The Board’s decision to approve the New Investment Advisory Agreements reflects the exercise of its business judgment.

 

In the course of the Board’s review, the Directors, with the assistance and advice of independent counsel, considered their legal responsibilities with regard to all factors deemed to be relevant to the Fund, including, but not limited to the following: (i) the quality of services expected to be provided to the Fund and the Subsidiary; (ii) the performance of the Fund; (iii) the fact that the Transition was not expected to affect the manner in which the Fund or Subsidiary was advised; (iv) the fact that the current investment management team would continue to manage the Fund and the Subsidiary; (v) the fact that the fee structure under the New Investment Advisory Agreements would be identical to the fee structure under the Current Investment Advisory Agreements; and (vi) other factors deemed relevant.

 

The Directors also evaluated the New Investment Advisory Agreements in light of information they had requested and received from the Adviser prior to the Meeting. The Directors reviewed these materials with management of the Adviser and independent counsel to the Independent Directors. The Independent Directors also discussed the New Investment Advisory Agreements with counsel in an executive session, at which no representatives of the Adviser were present. The Directors considered whether the New Investment Advisory Agreements would be in the best interests of the Fund and its shareholders and the overall fairness of the New Investment Advisory Agreements. Among other things, the Directors reviewed information concerning: (i) the nature, extent and quality of the services provided by the Adviser; (ii) the Fund’s investment performance; (iii) the cost of the services provided and the profits realized by the Adviser and its affiliates from their relationship with the Fund; (iv) the extent to which economies of scale had been or would be realized as the Fund grows; and (v) the extent to which fee levels reflect the economies of scale, if any, for the benefit of the Fund’s shareholders. In their deliberations, the Directors did not rank the importance of any particular piece of information or factor considered, and it is presumed that each Director attributed different weights to the various factors.

 

29

 

 

Campbell Systematic Macro Fund

 

Other Information (Continued)

(Unaudited)

 

Nature, Extent and Quality of Services Provided to the Fund. The Directors evaluated the nature, extent and quality of the services that the Adviser would provide under the New Investment Advisory Agreements, which were the same services that the Adviser provided under the Current Investment Advisory Agreements, on the basis of the functions that the Adviser performed, and the quality and stability of the staff committed to those functions, the Adviser’s compliance record and financial condition and its background and history in providing services to the Fund under the Current Investment Advisory Agreements. The Directors considered the Adviser’s disciplined investment decision-making process used for the Fund and the Subsidiary. The Directors also considered the fact that the Adviser had not experienced any significant legal, compliance or regulatory difficulties. Based on the information provided and the Directors’ prior experience with the Adviser, the Directors concluded that the nature and extent of the services that the Adviser would provide under the New Investment Advisory Agreements, as well as the quality of those services, was satisfactory.

 

In this regard, the Directors considered representations by the Adviser that the Transition would not lead to a reduction in the quality or scope of services provided to the Fund or the Subsidiary. The Directors took into account that there would be no change that would adversely impact the Adviser’s ability to provide the same quality of services as were provided in the past; that the New Investment Advisory Agreements were materially the same as the Current Investment Advisory Agreements; that there were no material litigation, or regulatory or administrative proceedings pending against the Adviser or its principal executive officers related to services that the Adviser provided to the Fund alleging violations of securities or related laws, fraudulent conduct, breach of fiduciary duty, or similar violations; that there were no pending regulatory inquiries by the SEC or other regulators involving the Adviser related to services that the Adviser provided to the Fund; that the Fund would not bear any expenses related to the Transition, including expenses related to the proxy statement; and that there were no planned fee increases for the Fund over the next two years.

 

Section 15(f) of the Investment Company Act. The Directors also considered whether the arrangements between the Adviser and the Fund complied with the conditions of Section 15(f) of the 1940 Act. Section 15(f) provides a non-exclusive safe harbor for an investment adviser to an investment company or any of its affiliated persons to receive any amount or benefit in connection with a change in control of the investment adviser so long as two conditions are met. First, for a period of three years after closing of the applicable transaction, at least 75% of the board members of the investment company cannot be “interested persons” (as defined in the 1940 Act) of the investment adviser or predecessor adviser. Second, an “unfair burden” must not be imposed upon a Fund as a result of the transaction or any express or implied terms, conditions or understandings applicable thereto. The term “unfair burden” is defined in Section 15(f) to include any arrangement during the two-year period after the closing of the transaction whereby the investment adviser (or predecessor or successor adviser) or any interested person of any such investment adviser, receives or is entitled to receive any compensation, directly or indirectly, from a Fund or its shareholders (other than fees for bona fide investment advisory or other services) or from any person in connection with the purchase or sale of securities or other property to, from or on behalf of a Fund (other than bona fide ordinary compensation as principal underwriter for the Fund).

 

Consistent with the first condition of Section 15(f), the Adviser represented that it was not aware of any current plans to reconstitute the Board following the Transition. Thus, at least 75% of the Directors of the Company would not be “interested persons” (as defined in the 1940 Act) of the Adviser for a period of three years after closing of the Transition and would be in compliance with this provision of Section 15(f). With respect to the second condition of Section 15(f), the Adviser represented that the Transition would not have an economic impact on the Adviser’s ability to provide services to the Fund and no fee increases were contemplated. Thus, the Directors found that the Transition would not result in an “unfair burden” (as defined in Section 15(f)) during the two-year period following the closing of the Transition. The Adviser represented that neither it nor any interested person of the Adviser would receive any compensation from the Fund or its shareholders, except as permitted pursuant to Section 15(f).

 

30

 

 

Campbell Systematic Macro Fund

 

Other Information (Concluded)

(Unaudited)

 

Costs of Services Provided and Profits Realized by the Adviser. The Board also considered the advisory fee rate payable by the Fund under the New Investment Advisory Agreements. 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) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms. The Directors noted that both the Fund’s net advisory fee and Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group. The Directors also noted that Campbell had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024 to limit total annual operating expenses to agreed upon levels for the Fund. The Board further noted that the management fees and total expenses of the Fund were not expected to change as a result of the Transition or approval of the New Investment Advisory Agreements. The Directors also reviewed analyses of the Adviser’s estimated profitability related to its provision of advisory services to the Fund. Based on the information provided, the Directors concluded that the amount of management fees that the Fund currently pays, and would pay under the New Investment Advisory Agreements, to the Adviser were reasonable in light of the nature and quality of the services provided.

 

Investment Performance of the Fund. 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. Information on the Fund’s investment performance was provided for the three-month, one-year, three-year, five-year, ten-year, and since inception periods ended December 31, 2023. The Directors noted that the Fund outperformed its primary benchmark, the S&P 500 Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023. The Directors noted that the Fund outperformed the median of its Peer Group for the three-year, five-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023. After considering all of the information, the Directors concluded that, although past performance is not a guarantee of future results, the Fund and their shareholders were likely to benefit from the Adviser’s continued provision of investment management services.

 

Economies of Scale and Fee Levels Reflecting Those Economies. In considering the overall fairness of the New Investment Advisory Agreements, the Directors assessed the degree to which economies of scale would be expected to be realized if the Fund’s assets increased as well as the extent to which fee levels would reflect those economies of scale for the benefit of the Fund’s shareholders. The Directors noted that the Fund’s management fee structure did not contain any breakpoint reductions as the Fund’s assets grew in size, but that the feasibility of incorporating breakpoints would continue to be reviewed on a regular basis. The Directors determined that the fee schedules in the New Investment Advisory Agreements were reasonable and appropriate.

 

Other Benefits to the Adviser. In addition to the above factors, the Directors also considered other benefits received by the Adviser from its management of the Fund and the Subsidiary, including, without limitation, the ability to market its advisory services for similar products in the future.

 

Based on all of the information presented to and considered by the Directors and the conclusions that it reached, the Board approved the New Investment Advisory Agreements for an initial period ending August 16, 2025, on the basis that their terms and conditions were fair to, and in the best interests of, the Fund and its shareholders.

 

31

 

 

Campbell Systematic Macro Fund

 

Affirmation of the Commodity Pool Operator

August 31, 2024

 

To the best of the knowledge and belief of the undersigned, the information contained in the Annual Report for the year ended August 31, 2024 is accurate and complete.

 

 

 

Kevin D. Cole, Chief Executive Officer &
Chief Investment Officer
Campbell & Company, LP
CAMPBELL SYSTEMATIC MACRO FUND

 

32

 

 

Investment Adviser
Campbell & Company Investment Adviser LLC
2850 Quarry Lake Drive
Baltimore, Maryland 21209

 

Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

Financial Statements
August 31, 2024

US Treasury 3 Month Bill ETF | (Nasdaq: TBIL)

US Treasury 6 Month Bill ETF | (Nasdaq: XBIL)

US Treasury 12 Month Bill ETF | (Nasdaq: OBIL)

US Treasury 2 Year Note ETF | (Nasdaq: UTWO)

US Treasury 3 Year Note ETF | (Nasdaq: UTRE)

US Treasury 5 Year Note ETF | (Nasdaq: UFIV)

US Treasury 7 Year Note ETF | (Nasdaq: USVN)

US Treasury 10 Year Note ETF | (Nasdaq: UTEN)

US Treasury 20 Year Bond ETF | (Nasdaq: UTWY)

US Treasury 30 Year Bond ETF | (Nasdaq: UTHY)

Each a series of The RBB Fund, Inc.

 

F/m Investments, LLC d/b/a North Slope Capital, LLC

 

 

 

Table of Contents

 

   

Schedules of Investments

1

Financial Statements

11

Notes to Financial Statements

37

Report of Independent Registered Public Accounting Firm

50

Shareholder Tax Information

52

Other Information

53

Approval of Investment Advisory Agreement

54

 

 

 

 

US Treasury 3 Month Bill ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

SHORT-TERM INVESTMENTS — 100.0%

               

U.S. Treasury Bills — 100.0%

               

5.21%, 09/03/2024(a)

  $ 18,000,000     $ 18,000,000  

5.07%, 11/29/2024(a)

    4,136,218,000       4,086,588,554  

TOTAL SHORT-TERM INVESTMENTS (Cost $4,103,035,203)

            4,104,588,554  
                 

TOTAL INVESTMENTS — 100.0% (Cost $4,103,035,203)

          $ 4,104,588,554  

Liabilities in Excess of Other Assets — (0.0)%(b)

            (81,468 )

TOTAL NET ASSETS — 100.0%

          $ 4,104,507,086  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

US Treasury 6 Month Bill ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

SHORT-TERM INVESTMENTS — 100.0%

               

U.S. Treasury Bills — 100.0%

               

5.21%, 09/03/2024(a)

  $ 2,500,000     $ 2,500,000  

4.76%, 02/27/2025(a)

    609,859,000       595,803,653  

TOTAL SHORT-TERM INVESTMENTS (Cost $598,251,173)

            598,303,653  
                 

TOTAL INVESTMENTS — 100.0% (Cost $598,251,173)

          $ 598,303,653  

Liabilities in Excess of Other Assets — (0.0)%(b)

            190,172  

TOTAL NET ASSETS — 100.0%

          $ 598,493,825  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

US Treasury 12 Month Bill ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

SHORT-TERM INVESTMENTS — 100.0%

               

U.S. Treasury Bills — 100.0%

               

5.23%, 09/03/2024(a)

  $ 1,000,000     $ 1,000,000  

4.44%, 08/07/2025(a)

    245,802,000       236,043,820  

TOTAL SHORT-TERM INVESTMENTS (Cost $236,946,333)

            237,043,820  
                 

TOTAL INVESTMENTS — 100.0% (Cost $236,946,333)

          $ 237,043,820  

Liabilities in Excess of Other Assets — (0.0)%(b)

            53,762  

TOTAL NET ASSETS — 100.0%

          $ 237,097,582  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

US Treasury 2 Year Note ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.6%

               

United States Treasury Note/Bond, 4.38%, 07/31/2026

  $ 447,462,000     $ 450,817,965  

TOTAL U.S. TREASURY SECURITIES (Cost $447,635,077)

            450,817,965  
                 

TOTAL INVESTMENTS — 99.6% (Cost $447,635,077)

          $ 450,817,965  

Other Assets in Excess of Liabilities — 0.4%

            1,656,201  

TOTAL NET ASSETS — 100.0%

          $ 452,474,166  

 

Percentages are stated as a percent of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

US Treasury 3 Year Note ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.8%

               

United States Treasury Note/Bond, 3.75%, 08/15/2027

  $ 7,450,000     $ 7,441,852  

TOTAL U.S. TREASURY SECURITIES (Cost $7,448,718)

            7,441,852  
                 

TOTAL INVESTMENTS — 99.8% (Cost $7,448,718)

          $ 7,441,852  

Other Assets in Excess of Liabilities — 0.2%

            12,693  

TOTAL NET ASSETS — 100.0%

          $ 7,454,545  

 

Percentages are stated as a percent of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

US Treasury 5 Year Note ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.6%

               

United States Treasury Note/Bond, 3.63%, 08/31/2029

  $ 24,200,000     $ 24,101,687  

TOTAL U.S. TREASURY SECURITIES (Cost $24,148,744)

            24,101,687  
                 

TOTAL INVESTMENTS — 99.6% (Cost $24,148,744)

          $ 24,101,687  

Other Assets in Excess of Liabilities — 0.4%

            106,755  

TOTAL NET ASSETS — 100.0%

          $ 24,208,442  

 

Percentages are stated as a percent of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

US Treasury 7 Year Note ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.5%

               

United States Treasury Note/Bond, 3.75%, 08/31/2031

  $ 5,385,000     $ 5,363,965  

TOTAL U.S. TREASURY SECURITIES (Cost $5,378,856)

            5,363,965  
                 

TOTAL INVESTMENTS — 99.5% (Cost $5,378,856)

          $ 5,363,965  

Other Assets in Excess of Liabilities — 0.5%

            27,729  

TOTAL NET ASSETS — 100.0%

          $ 5,391,694  

 

Percentages are stated as a percent of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

US Treasury 10 Year Note ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.8%

               

United States Treasury Note/Bond, 3.88%, 08/15/2034

  $ 157,272,000     $ 156,706,804  

TOTAL U.S. TREASURY SECURITIES (Cost $157,598,404)

            156,706,804  
                 

TOTAL INVESTMENTS — 99.8% (Cost $157,598,404)

          $ 156,706,804  

Other Assets in Excess of Liabilities — 0.2%

            267,922  

TOTAL NET ASSETS — 100.0%

          $ 156,974,726  

 

Percentages are stated as a percent of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

US Treasury 20 Year Bond ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.7%

               

United States Treasury Note/Bond, 4.13%, 08/15/2044

  $ 26,824,000     $ 26,174,356  

TOTAL U.S. TREASURY SECURITIES (Cost $26,389,961)

            26,174,356  
                 

 

 

 

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.3%

               

U.S. Treasury Bills — 0.3%

               

5.22%, 09/03/2024(a)

    83,000     $ 83,000  

TOTAL SHORT-TERM INVESTMENTS (Cost $82,975)

            83,000  
                 

TOTAL INVESTMENTS — 100.0% (Cost $26,472,936)

          $ 26,257,356  

Liabilities in Excess of Other Assets — (0.0)%(b)

            (7,786 )

TOTAL NET ASSETS — 100.0%

          $ 26,249,570  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

US Treasury 30 Year Bond ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 99.4%

               

United States Treasury Note/Bond, 4.25%, 08/15/2054

  $ 17,744,000     $ 17,854,900  

TOTAL U.S. TREASURY SECURITIES (Cost $18,024,699)

            17,854,900  
                 

 

 

 

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.4%

               

U.S. Treasury Bills — 0.4%

               

5.23%, 09/03/2024(a)

    65,000     $ 65,000  

TOTAL SHORT-TERM INVESTMENTS (Cost $64,981)

            65,000  
                 

TOTAL INVESTMENTS — 99.8% (Cost $18,089,680)

          $ 17,919,900  

Other Assets in Excess of Liabilities — 0.2%

            34,768  

TOTAL NET ASSETS — 100.0%

          $ 17,954,668  

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown is the effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

US Benchmark Series

Statements of Assets and Liabilities

August 31, 2024

 

 

 

US Treasury
3 Month
Bill ETF

   

US Treasury
6 Month
Bill ETF

   

US Treasury
12 Month
Bill ETF

   

US Treasury
2 Year
Note ETF

 

ASSETS

                               

Investments in securities of unaffiliated issuers, at value (cost $—, $—, $—, and $447,635,077, respectively)

  $     $     $     $ 450,817,965  

Short-term investments, at value (cost $4,103,035,203, $598,251,173, $236,946,333, and $—, respectively)

    4,104,588,554       598,303,653       237,043,820        

Cash equivalents

    8,828,184       1,093,937       80,660       8,704  

Receivables for:

                               

Investments sold

    3,999,429                    

Capital shares sold

                1,002,526        

Interest

    19,124       3,882       392       1,704,123  

Total assets

    4,117,435,291       599,401,472       238,127,398       452,530,792  
                                 

LIABILITIES

                               

Payables for:

                               

Investments purchased

    8,397,855       830,441       1,000,633       -  

Capital shares redeemed

    4,002,936       -       -       -  

Advisory fees

    527,414       77,206       29,183       56,626  

Total liabilities

    12,928,205       907,647       1,029,816       56,626  

Net assets

  $ 4,104,507,086     $ 598,493,825     $ 237,097,582     $ 452,474,166  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 82,030     $ 11,930     $ 4,730     $ 9,320  

Paid-in capital

    4,094,391,342       597,801,623       237,261,787       457,859,456  

Total distributable earnings/(losses)

    10,033,714       680,272       (168,935 )     (5,394,610 )

Net assets

  $ 4,104,507,086     $ 598,493,825     $ 237,097,582     $ 452,474,166  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    82,030,000       11,930,000       4,730,000       9,320,000  

Net asset value and redemption price per share

  $ 50.04     $ 50.17     $ 50.13     $ 48.55  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

US Benchmark Series

Statements of Assets and Liabilities (CONTINUED)

AUGUST 31, 2024

 

 

 

US Treasury
3 Year
Note ETF

   

US Treasury
5 Year
Note ETF

   

US Treasury
7 Year
Note ETF

   

US Treasury
10 Year
Note ETF

 

ASSETS

                               

Investments in securities of unaffiliated issuers, at value (cost $7,448,718, $24,148,744, $5,378,856, and $157,598,404, respectively)

  $ 7,441,852     $ 24,101,687     $ 5,363,965     $ 156,706,804  

Short-term investments, at value (cost $—, $—, $—, and $—, respectively)

                       

Cash equivalents

    749       10,617       2,185       5,921  

Receivables for:

                               

Investments sold

          24,211,373       5,391,965        

Capital shares sold

          24,249,953       5,405,983        

Interest

    12,919       2,112       504       282,325  

Total assets

    7,455,520       72,575,742       16,164,602       156,995,050  
                                 

LIABILITIES

                               

Payables for:

                               

Investments purchased

          24,156,014       5,380,529        

Capital shares redeemed

          24,208,401       5,391,694        

Advisory fees

    975       2,885       685       20,324  

Total liabilities

    975       48,367,300       10,772,908       20,324  

Net assets

  $ 7,454,545     $ 24,208,442     $ 5,391,694     $ 156,974,726  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 150     $ 490     $ 110     $ 3,490  

Paid-in capital

    7,557,933       24,246,734       5,433,511       161,320,078  

Total distributable earnings/(losses)

    (103,538 )     (38,782 )     (41,927 )     (4,348,842 )

Net assets

  $ 7,454,545     $ 24,208,442     $ 5,391,694     $ 156,974,726  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    150,000       490,000       110,000       3,490,000  

Net asset value and redemption price per share

  $ 49.70     $ 49.40     $ 49.02     $ 44.98  

 

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

US Benchmark Series

Statements of Assets and Liabilities (Concluded)

AUGUST 31, 2024

 

 

 

US Treasury
20 Year
BOND ETF

   

US Treasury
30 Year
BOND ETF

 

ASSETS

               

Investments in securities of unaffiliated issuers, at value (cost $26,389,961, $18,024,699, respectively)

  $ 26,174,356     $ 17,854,900  

Short-term investments, at value (cost $82,975, $64,981, respectively)

    83,000       65,000  

Cash

           

Cash equivalents

    831       2,357  

Receivables for:

               

Investments sold

    26,192,897        

Capital shares sold

    26,447,400        

Interest

    50,930       34,892  

Total assets

    78,949,414       17,957,149  
                 

LIABILITIES

               

Payables for:

               

Investments purchased

    26,447,088        

Capital shares redeemed

    26,249,552        

Advisory fees

    3,204       2,481  

Total liabilities

    52,699,844       2,481  

Net assets

  $ 26,249,570     $ 17,954,668  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 560     $ 390  

Paid-in capital

    27,099,495       18,970,654  

Total distributable earnings/(losses)

    (850,485 )     (1,016,376 )

Net assets

  $ 26,249,570     $ 17,954,668  
                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    560,000       390,000  

Net asset value and redemption price per share

  $ 46.87     $ 46.04  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

13

 

 

US Benchmark Series

Statements of Operations

FOR THE Year ENDED AUGUST 31, 2024

 

 

 

US Treasury
3 Month
Bill ETF

   

US Treasury
6 Month
Bill ETF

   

US Treasury
12 Month
Bill ETF

   

US Treasury
2 Year
Note ETF

 

INVESTMENT INCOME

                               

Interest income

  $ 165,669,041     $ 28,291,808     $ 10,551,527     $ 16,928,392  

Securities lending income, net

    46,179       16,508       1,989       9,238  

Total investment income

    165,715,220       28,308,316       10,553,516       16,937,630  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    4,625,006       800,012       310,472       545,743  

Total expenses

    4,625,006       800,012       310,472       545,743  

Net investment income/(loss)

    161,090,214       27,508,304       10,243,044       16,391,887  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from investments

    (914,375 )     (99,011 )     231,308       1,387,377  

Net realized gain from redemption in-kind

    89,768       1,040,648       576,414       45,934  

Net change in unrealized appreciation/ (depreciation) on investments

    1,563,232       32,186       162,196       2,968,793  

Net realized and unrealized gain/(loss)

    738,625       973,823       969,918       4,402,104  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 161,828,839     $ 28,482,127     $ 11,212,962     $ 20,793,991  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

US Benchmark Series

Statements of Operations (CONTINUED)

FOR THE Year ENDED AUGUST 31, 2024

 

 

 

US Treasury
3 Year
Note ETF

   

US Treasury
5 Year
Note ETF

   

US Treasury
7 Year
Note ETF

   

US Treasury
10 Year
Note ETF

 

INVESTMENT INCOME

                               

Interest income

  $ 245,373     $ 608,870     $ 186,138     $ 4,763,502  

Securities lending income, net

                      5,260  

Total investment income

    245,373       608,870       186,138       4,768,762  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    8,651       21,494       6,540       168,751  

Total expenses

    8,651       21,494       6,540       168,751  

Net investment income/(loss)

    236,722       587,376       179,598       4,600,011  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from investments

    (62,004 )     50,622       18,609       (950,075 )

Net realized gain from redemption in-kind

    130,318       422,481       152,959       8,435,681  

Net change in unrealized appreciation/(depreciation) on investments

    (11,081 )     (54,206 )     (16,332 )     (1,296,293 )

Net realized and unrealized gain/(loss)

    57,233       418,897       155,236       6,189,313  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 293,955     $ 1,006,273     $ 334,834     $ 10,789,324  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

15

 

 

US Benchmark Series

Statements of Operations (Concluded)

FOR THE Year ENDED AUGUST 31, 2024

 

 

 

US Treasury
20 Year
Bond ETF

   

US Treasury
30 Year
Bond ETF

 

INVESTMENT INCOME

               

Interest income

  $ 626,369     $ 604,912  

Securities lending income, net

    2,089        

Total investment income

    628,458       604,912  
                 

EXPENSES

               

Advisory fees (Note 3)

    20,746       20,561  

Total expenses

    20,746       20,561  

Net investment income/(loss)

    607,712       584,351  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from investments

    (524,217 )     (614,004 )

Net realized gain from redemption in-kind

    2,868,123       2,226,756  

Net change in unrealized appreciation/(depreciation) on investments

    (221,457 )     (208,473 )

Net realized and unrealized gain/(loss)

    2,122,449       1,404,279  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 2,730,161     $ 1,988,630  

 

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

US Treasury 3 Month Bill ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
Year ENDED
AUGUST 31,
2024

   

FOR THE
Year ENDED
AUGUST 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 161,090,214     $ 28,135,880  

Net realized gain/(loss) from investments

    (824,607 )     (193,513 )

Net change in unrealized appreciation/(depreciation) on investments

    1,563,232       (10,665 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    161,828,839       27,931,702  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (155,670,454 )     (23,559,224 )

Net decrease in net assets from dividends and distributions to shareholders

    (155,670,454 )     (23,559,224 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    12,999,111,483       2,413,134,681  

Shares redeemed

    (10,677,346,091 )     (679,767,752 )

Net increase/(decrease) in net assets from capital share transactions

    2,321,765,392       1,733,366,929  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    2,327,923,777       1,737,739,407  
                 

NET ASSETS:

               

Beginning of period

  $ 1,776,583,309     $ 38,843,902  

End of period

  $ 4,104,507,086     $ 1,776,583,309  
                 

SHARE TRANSACTIONS:

               

Shares sold

    260,270,000       48,300,000  

Shares redeemed

    (213,730,000 )     (13,590,000 )

Net increase/(decrease) in shares

    46,540,000       34,710,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

US Treasury 6 Month Bill ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
PERIOD ENDED
AUGUST 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 27,508,304     $ 3,466,353  

Net realized gain/(loss) from investments

    941,637       (273,097 )

Net change in unrealized appreciation/(depreciation) on investments

    32,186       20,294  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    28,482,127       3,213,550  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (27,247,652 )     (2,720,580 )

Net decrease in net assets from dividends and distributions to shareholders

    (27,247,652 )     (2,720,580 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    2,381,621,708       353,006,880  

Shares redeemed

    (2,095,680,768 )     (42,181,440 )

Net increase/(decrease) in net assets from capital share transactions

    285,940,940       310,825,440  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    287,175,415       311,318,410  
                 

NET ASSETS:

               

Beginning of period

  $ 311,318,410     $  

End of period

  $ 598,493,825     $ 311,318,410  
                 

SHARE TRANSACTIONS:

               

Shares sold

    47,590,000       7,050,000  

Shares redeemed

    (41,870,000 )     (840,000 )

Net increase/(decrease) in shares

    5,720,000       6,210,000  

 

(1)

Inception date of the Fund was March 6, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

US Treasury 12 Month Bill ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 10,243,044     $ 2,560,805  

Net realized gain/(loss) from investments

    807,722       (559,463 )

Net change in unrealized appreciation/(depreciation) on investments

    162,196       (64,709 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    11,212,962       1,936,633  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (10,123,493 )     (2,206,389 )

Net decrease in net assets from dividends and distributions to shareholders

    (10,123,493 )     (2,206,389 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    399,728,007       208,609,456  

Shares redeemed

    (290,001,787 )     (82,057,807 )

Net increase/(decrease) in net assets from capital share transactions

    109,726,220       126,551,649  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    110,815,689       126,281,893  
                 

NET ASSETS:

               

Beginning of period

  $ 126,281,893     $  

End of period

  $ 237,097,582     $ 126,281,893  
                 

SHARE TRANSACTIONS:

               

Shares sold

    8,010,000       4,160,000  

Shares redeemed

    (5,810,000 )     (1,630,000 )

Net increase/(decrease) in shares

    2,200,000       2,530,000  

 

(1)

Inception date of the Fund was November 14, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

US Treasury 2 Year Note ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
Year ENDED
AUGUST 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 16,391,887     $ 9,978,594  

Net realized gain/(loss) from investments

    1,433,311       (6,349,565 )

Net change in unrealized appreciation/(depreciation) on investments

    2,968,793       219,991  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    20,793,991       3,849,020  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (16,431,423 )     (9,134,861 )

Net decrease in net assets from dividends and distributions to shareholders

    (16,431,423 )     (9,134,861 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    214,457,600       949,817,059  

Shares redeemed

    (71,688,277 )     (657,095,514 )

Net increase/(decrease) in net assets from capital share transactions

    142,769,323       292,721,545  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    147,131,891       287,435,704  
                 

NET ASSETS:

               

Beginning of period

  $ 305,342,275     $ 17,906,571  

End of period

  $ 452,474,166     $ 305,342,275  
                 

SHARE TRANSACTIONS:

               

Shares sold

    4,470,000       19,390,000  

Shares redeemed

    (1,490,000 )     (13,410,000 )

Net increase/(decrease) in shares

    2,980,000       5,980,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

US Treasury 3 Year Note ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 236,722     $ 23,851  

Net realized gain/(loss) from investments

    68,314       (39,008 )

Net change in unrealized appreciation/(depreciation) on investments

    (11,081 )     4,215  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    293,955       (10,942 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (233,355 )     (19,629 )

Net decrease in net assets from dividends and distributions to shareholders

    (233,355 )     (19,629 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    37,055,893       3,006,457  

Shares redeemed

    (31,132,512 )     (1,505,322 )

Net increase/(decrease) in net assets from capital share transactions

    5,923,381       1,501,135  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    5,983,981       1,470,564  
                 

NET ASSETS:

               

Beginning of period

  $ 1,470,564     $  

End of period

  $ 7,454,545     $ 1,470,564  
                 

SHARE TRANSACTIONS:

               

Shares sold

    750,000       60,000  

Shares redeemed

    (630,000 )     (30,000 )

Net increase/(decrease) in shares

    120,000       30,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

US Treasury 5 Year Note ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 587,376     $ 28,549  

Net realized gain/(loss) from investments

    473,103       (64,395 )

Net change in unrealized appreciation/(depreciation) on investments

    (54,206 )     7,114  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    1,006,273       (28,732 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (563,162 )     (19,503 )

Net decrease in net assets from dividends and distributions to shareholders

    (563,162 )     (19,503 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    56,333,058       5,428,657  

Shares redeemed

    (36,939,589 )     (1,008,560 )

Net increase/(decrease) in net assets from capital share transactions

    19,393,469       4,420,097  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    19,836,580       4,371,862  
                 

NET ASSETS:

               

Beginning of period

  $ 4,371,862     $  

End of period

  $ 24,208,442     $ 4,371,862  
                 

SHARE TRANSACTIONS:

               

Shares sold

    1,150,000       110,000  

Shares redeemed

    (750,000 )     (20,000 )

Net increase/(decrease) in shares

    400,000       90,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

US Treasury 7 Year Note ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 179,598     $ 15,045  

Net realized gain/(loss) from investments

    171,568       (47,170 )

Net change in unrealized appreciation/(depreciation) on investments

    (16,332 )     1,429  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    334,834       (30,696 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (169,345 )     (11,541 )

Net decrease in net assets from dividends and distributions to shareholders

    (169,345 )     (11,541 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    14,998,698       2,014,762  

Shares redeemed

    (10,735,308 )     (1,009,710 )

Net increase/(decrease) in net assets from capital share transactions

    4,263,390       1,005,052  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    4,428,879       962,815  
                 

NET ASSETS:

               

Beginning of period

  $ 962,815     $  

End of period

  $ 5,391,694     $ 962,815  
                 

SHARE TRANSACTIONS:

               

Shares sold

    310,000       40,000  

Shares redeemed

    (220,000 )     (20,000 )

Net increase/(decrease) in shares

    90,000       20,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

US Treasury 10 Year Note ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
Year ENDED
AUGUST 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 4,600,011     $ 753,933  

Net realized gain/(loss) from investments

    7,485,606       (3,708,055 )

Net change in unrealized appreciation/(depreciation) on investments

    (1,296,293 )     906,748  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    10,789,324       (2,047,374 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (4,342,882 )     (679,725 )

Net decrease in net assets from dividends and distributions to shareholders

    (4,342,882 )     (679,725 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    325,251,999       82,290,461  

Shares redeemed

    (230,817,259 )     (43,803,707 )

Net increase/(decrease) in net assets from capital share transactions

    94,434,740       38,486,754  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    100,881,182       35,759,655  
                 

NET ASSETS:

               

Beginning of period

  $ 56,093,544     $ 20,333,889  

End of period

  $ 156,974,726     $ 56,093,544  
                 

SHARE TRANSACTIONS:

               

Shares sold

    7,370,000       1,790,000  

Shares redeemed

    (5,140,000 )     (950,000 )

Net increase/(decrease) in shares

    2,230,000       840,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

US Treasury 20 Year Bond ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 607,712     $ 20,666  

Net realized gain/(loss) from investments

    2,343,906       (110,655 )

Net change in unrealized appreciation/(depreciation) on investments

    (221,457 )     5,844  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    2,730,161       (84,145 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (615,765 )     (15,177 )

Net decrease in net assets from dividends and distributions to shareholders

    (615,765 )     (15,177 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    107,378,565       1,973,766  

Shares redeemed

    (85,117,835 )      

Net increase/(decrease) in net assets from capital share transactions

    22,260,730       1,973,766  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    24,375,126       1,874,444  
                 

NET ASSETS:

               

Beginning of period

  $ 1,874,444     $  

End of period

  $ 26,249,570     $ 1,874,444  
                 

SHARE TRANSACTIONS:

               

Shares sold

    2,340,000       40,000  

Shares redeemed

    (1,820,000 )      

Net increase/(decrease) in shares

    520,000       40,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

25

 

 

US Treasury 30 Year Bond ETF

STATEMENTS of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 584,351     $ 35,783  

Net realized gain/(loss) from investments

    1,612,752       (241,154 )

Net change in unrealized appreciation/(depreciation) on investments

    (208,473 )     38,693  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    1,988,630       (166,678 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (582,433 )     (29,955 )

Net decrease in net assets from dividends and distributions to shareholders

    (582,433 )     (29,955 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    48,337,298       2,978,700  

Shares redeemed

    (34,570,894 )      

Net increase/(decrease) in net assets from capital share transactions

    13,766,404       2,978,700  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    15,172,601       2,782,067  
                 

NET ASSETS:

               

Beginning of period

  $ 2,782,067     $  

End of period

  $ 17,954,668     $ 2,782,067  
                 

SHARE TRANSACTIONS:

               

Shares sold

    1,070,000       60,000  

Shares redeemed

    (740,000 )      

Net increase/(decrease) in shares

    330,000       60,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

US Treasury 3 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

                       

Net asset value, beginning of period

  $ 50.06     $ 49.80     $ 49.75  

Net investment income/(loss)(2)

    2.61       2.49       0.09  

Net realized and unrealized gain/(loss) from investments

    (3)      (0.29 )     (0.04 )

Net increase/(decrease) in net assets resulting from operations

    2.61       2.20       0.05  

Dividends and distributions to shareholders from:

                       

Net investment income

    (2.63 )     (1.94 )      

Total dividends and distributions to shareholders

    (2.63 )     (1.94 )      

Net asset value, end of period

  $ 50.04     $ 50.06     $ 49.80  

Market value, end of period

  $ 50.03     $ 50.10     $ 49.81  

Total investment return/(loss) on net asset value(4)

    5.37 %     4.50 %     0.10 %(6)

Total investment return/(loss) on market price(5)

    5.27 %     4.56 %     0.12 %(6)

RATIOS/SUPPLEMENTAL DATA

                       

Net assets, end of period (000’s omitted)

  $ 4,104,507     $ 1,776,583     $ 38,844  

Ratio of expenses to average net assets

    0.15 %     0.15 %     0.15 %(7)

Ratio of net investment income/(loss) to average net assets

    5.21 %     4.98 %     2.61 %(7)

Portfolio turnover rate

    0 %     0 %     0 %(6)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Rounds to less than $0.005 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.

 

 

27

 

 

US Treasury 6 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 50.13     $ 50.00  

Net investment income/(loss)(2)

    2.58       1.28  

Net realized and unrealized gain/(loss) from investments

    0.09       (0.12 )

Net increase/(decrease) in net assets resulting from operations

    2.67       1.16  

Dividends and distributions to shareholders from:

               

Net investment income

    (2.63 )     (1.03 )

Total dividends and distributions to shareholders

    (2.63 )     (1.03 )

Net asset value, end of period

  $ 50.17     $ 50.13  

Market value, end of period

  $ 50.17     $ 50.17  

Total investment return/(loss) on net asset value(3)

    5.48 %     2.35 %(5)

Total investment return/(loss) on market price(4)

    5.41 %     2.42 %(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 598,494     $ 311,318  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    5.14 %     5.26 %(6)

Portfolio turnover rate

    0 %     0 %(5)

 

(1)

Inception date of the Fund was March 6, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

US Treasury 12 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
Period
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.91     $ 50.07  

Net investment income/(loss)(2)

    2.47       1.96  

Net realized and unrealized gain/(loss) from investments

    0.25       (0.48 )

Net increase/(decrease) in net assets resulting from operations

    2.72       1.48  

Dividends and distributions to shareholders from:

               

Net investment income

    (2.50 )     (1.64 )

Total dividends and distributions to shareholders

    (2.50 )     (1.64 )

Net asset value, end of period

  $ 50.13     $ 49.91  

Market value, end of period

  $ 50.14     $ 49.94  

Total investment return/(loss) on net asset value(3)

    5.58 %     3.01 %(5)

Total investment return/(loss) on market price(4)

    5.54 %     3.08 %(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 237,098     $ 126,282  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.94 %     4.93 %(6)

Portfolio turnover rate

    0 %     0 %(5)

 

(1)

Inception date of the Fund was November 14, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

29

 

 

US Treasury 2 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

                       

Net asset value, beginning of period

  $ 48.16     $ 49.74     $ 49.84  

Net investment income/(loss)(2)

    2.16       2.02       0.11  

Net realized and unrealized gain/(loss) from investments

    0.43       (1.84 )     (0.21 )

Net increase/(decrease) in net assets resulting from operations

    2.59       0.18       (0.10 )

Dividends and distributions to shareholders from:

                       

Net investment income

    (2.20 )     (1.76 )      

Total dividends and distributions to shareholders

    (2.20 )     (1.76 )      

Net asset value, end of period

  $ 48.55     $ 48.16     $ 49.74  

Market value, end of period

  $ 48.56     $ 48.19     $ 49.74  

Total investment return/(loss) on net asset value(3)

    5.54 %     0.38 %     (0.20 )%(5)

Total investment return/(loss) on market price(4)

    5.51 %     0.44 %     (0.20 )%(5)

RATIOS/SUPPLEMENTAL DATA

                       

Net assets, end of period (000’s omitted)

  $ 452,474     $ 305,342     $ 17,907  

Ratio of expenses to average net assets

    0.15 %     0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.49 %     4.15 %     3.54 %(6)

Portfolio turnover rate

    1091 %     1048 %     100 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

US Treasury 3 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.02     $ 50.00  

Net investment income/(loss)(2)

    2.01       0.82  

Net realized and unrealized gain/(loss) from investments

    0.76       (1.15 )

Net increase/(decrease) in net assets resulting from operations

    2.77       (0.33 )

Dividends and distributions to shareholders from:

               

Net investment income

    (2.09 )     (0.65 )

Total dividends and distributions to shareholders

    (2.09 )     (0.65 )

Net asset value, end of period

  $ 49.70     $ 49.02  

Market value, end of period

  $ 49.70     $ 49.04  

Total investment return/(loss) on net asset value(3)

    5.82 %     (0.66 )%(5)

Total investment return/(loss) on market price(4)

    5.78 %     (0.62 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 7,455     $ 1,471  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.09 %     3.86 %(6)

Portfolio turnover rate

    905 %     422 %(5)

 

(1)

Inception date of the Fund was March 27, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

31

 

 

US Treasury 5 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.    

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 48.58     $ 50.00  

Net investment income/(loss)(2)

    1.98       0.79  

Net realized and unrealized gain/(loss) from investments

    0.86       (1.63 )

Net increase/(decrease) in net assets resulting from operations

    2.84       (0.84 )

Dividends and distributions to shareholders from:

               

Net investment income

    (2.02 )     (0.58 )

Total dividends and distributions to shareholders

    (2.02 )     (0.58 )

Net asset value, end of period

  $ 49.40     $ 48.58  

Market value, end of period

  $ 49.40     $ 48.61  

Total investment return/(loss) on net asset value(3)

    6.06 %     (1.69 )%(5)

Total investment return/(loss) on market price(4)

    5.97 %     (1.62 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 24,208     $ 4,372  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.09 %     3.77 %(6)

Portfolio turnover rate

    1036 %     548 %(5)

 

(1)

Inception date of the Fund was March 27, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

US Treasury 7 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 48.14     $ 50.00  

Net investment income/(loss)(2)

    1.97       0.75  

Net realized and unrealized gain/(loss) from investments

    0.90       (2.03 )

Net increase/(decrease) in net assets resulting from operations

    2.87       (1.28 )

Dividends and distributions to shareholders from:

               

Net investment income

    (1.99 )     (0.58 )

Total dividends and distributions to shareholders

    (1.99 )     (0.58 )

Net asset value, end of period

  $ 49.02     $ 48.14  

Market value, end of period

  $ 49.02     $ 48.16  

Total investment return/(loss) on net asset value(3)

    6.15 %     (2.58 )%(5)

Total investment return/(loss) on market price(4)

    6.11 %     (2.55 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 5,392     $ 963  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.11 %     3.55 %(6)

Portfolio turnover rate

    1064 %     497 %(5)

 

(1)

Inception date of the Fund was March 27, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

33

 

 

US Treasury 10 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

                       

Net asset value, beginning of period

  $ 44.52     $ 48.41     $ 49.91  

Net investment income/(loss)(2)

    1.79       1.55       0.09  

Net realized and unrealized gain/(loss) from investments

    0.42       (3.88 )     (1.59 )

Net increase/(decrease) in net assets resulting from operations

    2.21       (2.33 )     (1.50 )

Dividends and distributions to shareholders from:

                       

Net investment income

    (1.75 )     (1.56 )      

Total dividends and distributions to shareholders

    (1.75 )     (1.56 )      

Net asset value, end of period

  $ 44.98     $ 44.52     $ 48.41  

Market value, end of period

  $ 45.00     $ 44.55     $ 48.26  

Total investment return/(loss) on net asset value(3)

    5.15 %     (4.87 )%     (3.00 )%(5)

Total investment return/(loss) on market price(4)

    5.12 %     (4.49 )%     (3.31 )%(5)

RATIOS/SUPPLEMENTAL DATA

                       

Net assets, end of period (000’s omitted)

  $ 156,975     $ 56,094     $ 20,334  

Ratio of expenses to average net assets

    0.15 %     0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.08 %     3.40 %     2.77 %(6)

Portfolio turnover rate

    317 %     289 %     97 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

US Treasury 20 Year Bond ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 46.86     $ 50.00  

Net investment income/(loss)(2)

    2.00       0.81  

Net realized and unrealized gain/(loss) from investments

    (0.01 )(7)     (3.34 )

Net increase/(decrease) in net assets resulting from operations

    1.99       (2.53 )

Dividends and distributions to shareholders from:

               

Net investment income

    (1.98 )     (0.61 )

Total dividends and distributions to shareholders

    (1.98 )     (0.61 )

Net asset value, end of period

  $ 46.87     $ 46.86  

Market value, end of period

  $ 46.87     $ 46.89  

Total investment return/(loss) on net asset value(3)

    4.47 %     (5.10 )%(5)

Total investment return/(loss) on market price(4)

    4.39 %     (5.04 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 26,250     $ 1,874  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.38 %     3.87 %(6)

Portfolio turnover rate

    344 %     219 %(5)

 

(1)

Inception date of the Fund was March 27, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

(7)

The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

 

35

 

 

US Treasury 30 Year Bond ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2024

   

2023(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 46.37     $ 50.00  

Net investment income/(loss)(2)

    1.89       0.77  

Net realized and unrealized gain/(loss) from investments

    (0.34 )(7)     (3.83 )

Net increase/(decrease) in net assets resulting from operations

    1.55       (3.06 )

Dividends and distributions to shareholders from:

               

Net investment income

    (1.88 )     (0.57 )

Total dividends and distributions to shareholders

    (1.88 )     (0.57 )

Net asset value, end of period

  $ 46.04     $ 46.37  

Market value, end of period

  $ 46.07     $ 46.38  

Total investment return/(loss) on net asset value(3)

    3.59 %     (6.17 )%(5)

Total investment return/(loss) on market price(4)

    3.61 %     (6.12 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 17,955     $ 2,782  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.25 %     3.72 %(6)

Portfolio turnover rate

    286 %     180 %(5)

 

(1)

Inception date of the Fund was March 27, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

(7)

The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

US Benchmark Series

Notes to Financial Statements

AUGUST 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the US Treasury 3 Month Bill ETF, the US Treasury 6 Month Bill ETF, the US Treasury 12 Month Bill ETF, the US Treasury 2 Year Note ETF, the US Treasury 3 Year Note ETF, the US Treasury 5 Year Note ETF, the US Treasury 7 Year Note ETF, the US Treasury 10 Year Note ETF, the US Treasury 20 Year Bond ETF, and the US Treasury 30 Year Bond ETF (each a “Fund” and together the “Funds” or “US Benchmark Series”).

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the US Treasury 3 Month Bill ETF, the US Treasury 6 Month Bill ETF, the US Treasury 12 Month Bill ETF, the US Treasury 2 Year Note ETF, the US Treasury 3 Year Note ETF, the US Treasury 5 Year Note ETF, the US Treasury 7 Year Note ETF, the US Treasury 10 Year Note ETF, the US Treasury 20 Year Bond ETF, and the US Treasury 30 Year Bond ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield of its corresponding benchmark index (“Underlying Index”): the ICE BofA US 3-Month Treasury Bill Index, the ICE BofA US 6-Month Treasury Bill Index, the ICE BofA US 12-Month Treasury Bill Index, the ICE BofA Current 2-Year US Treasury Index, the ICE BofA Current 3-Year US Treasury Index, the ICE BofA Current 5-Year US Treasury Index, the ICE BofA Current 7-Year US Treasury Index, the ICE BofA Current 10-Year US Treasury Index, the ICE BofA Current 20-Year US Treasury Index, the ICE BofA Current 30-Year US Treasury Index, respectively.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Funds is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION — The Funds value their investments at fair value. Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated F/m Investments, LLC d/b/a North Slope Capital, LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

 

37

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Funds’ investments carried at fair value:

 

US TREASURY 3 MONTH BILL ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Bills

  $ 4,104,588,554     $     $ 4,104,588,554     $  

Total Investments*

  $ 4,104,588,554     $     $ 4,104,588,554     $  

 

US TREASURY 6 MONTH BILL ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Bills

  $ 598,303,653     $     $ 598,303,653     $  

Total Investments*

  $ 598,303,653     $     $ 598,303,653     $  

 

US TREASURY 12 MONTH BILL ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Bills

  $ 237,043,820     $     $ 237,043,820     $  

Total Investments*

  $ 237,043,820     $     $ 237,043,820     $  

 

US TREASURY 2 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 450,817,965     $     $ 450,817,965     $  

Total Investments*

  $ 450,817,965     $     $ 450,817,965     $  

 

US TREASURY 3 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 7,441,852     $     $ 7,441,852     $  

Total Investments*

  $ 7,441,852     $     $ 7,441,852     $  

 

US TREASURY 5 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 24,101,687     $     $ 24,101,687     $  

Total Investments*

  $ 24,101,687     $     $ 24,101,687     $  

 

38

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

US TREASURY 7 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 5,363,965     $     $ 5,363,965     $  

Total Investments*

  $ 5,363,965     $     $ 5,363,965     $  

 

US TREASURY 10 YEAR NOTE ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 156,706,804     $     $ 156,706,804     $  

Total Investments*

  $ 156,706,804     $     $ 156,706,804     $  

 

US TREASURY 20 YEAR BOND ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 26,174,356     $     $ 26,174,356     $  

U.S. Treasury Bills

  $ 83,000     $     $ 83,000     $  

Total Investments*

  $ 26,257,356     $     $ 26,257,356     $  

 

US TREASURY 30 YEAR BOND ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

U.S. Treasury Securities

  $ 17,854,900     $     $ 17,854,900     $  

U.S. Treasury Bills

  $ 65,000     $     $ 65,000     $  

Total Investments*

  $ 17,919,900     $     $ 17,919,900     $  

 

*

Please refer to the Schedule of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Funds did not have any significant Level 3 transfers during the current fiscal period.

 

 

39

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. Each Fund expects to declare and pay distributions, if any, monthly, however it may declare and pay distributions more or less frequently. Net realized capital gains (including net short-term capital gains), if any, will be distributed by each Fund at least annually. Brokers may make the DTC book-entry dividend reinvestment service available to their customers who own a Fund’s Shares. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole Shares of that Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash. In order to achieve the maximum total return on their investments, investors are encouraged to use the dividend reinvestment service. To determine whether the dividend reinvestment service is available and whether there is a commission or other charge for using this service, consult your broker. Brokers may require a Fund’s shareholders to adhere to specific procedures and timetables.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

2. INVESTMENT POLICIES AND PRACTICES

 

The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.

 

Cash Equivalents and Short-Term InvestmentS - The Funds may invest in cash, cash equivalents, and a variety of short-term instruments in such proportions as warranted by prevailing market conditions and the Funds’ principal investment strategies. The Funds may temporarily invest without limit in such instruments for liquidity purposes, or in an attempt to respond to adverse market, economic, political or other conditions. During such periods, a Fund may not be able to achieve its investment objective.

 

Illiquid Investments - Pursuant to Rule 22e-4 under the 1940 Act, a Fund may invest up to 15% of its net assets in illiquid investments. An illiquid investment as defined in Rule 22e-4 is an investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions within 7 calendar days or less without the sale or disposition significantly changing the market value of the investment. These investments may include restricted securities and repurchase agreements maturing in more than 7 days. Restricted securities are securities that may not be sold to the public without an effective registration

 

40

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

statement under the Securities Act of 1933, as amended (the “1933 Act”), and thus may be sold only in privately negotiated transactions or pursuant to an exemption from registration. Subject to the adoption of guidelines by the Board, certain restricted securities that may be sold to institutional investors pursuant to Rule 144A under the 1933 Act and non-exempt commercial paper may be determined to be liquid by the Adviser. Illiquid investments involve the risk that the investments will not be able to be sold at the time the Adviser desires or at prices approximating the value at which a Fund is carrying the investments. To the extent an investment held by a Fund is deemed to be an illiquid investment or a less liquid investment, a Fund will be exposed to a greater liquidity risk.

 

Inflation Protected Securities - Each Fund may invest in inflation protected securities. Inflation protected securities are fixed income securities designed to provide protection against the negative effects of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out the inflation accruals as part of a semiannual coupon.

 

Other Investment Companies - Each Fund may invest in other investment companies, including open-end funds, closed-end funds, unit investment trusts, and exchange-traded funds (“ETFs”) registered under the 1940 Act that invest primarily in Fund eligible investments. Under the 1940 Act, a Fund’s investment in such securities is generally limited to 3% of the total voting stock of any one investment company; 5% of such Fund’s total assets with respect to any one investment company; and 10% of such Fund’s total assets in the aggregate. A Fund’s investments in other investment companies may include money market mutual funds. Investments in money market funds are not subject to the percentage limitations set forth above. The SEC has adopted revisions to the rules permitting funds to invest in other investment companies in excess of the limits described above. While Rule 12d1-4 permits more types of fund of fund arrangements without reliance on an exemptive order or no-action letters, it imposes new conditions, including limits on control and voting of acquired funds’ shares, evaluations and findings by investment advisers, fund investment agreements, and limits on most three-tier fund structures. Rule 12d1-4 went into effect on January 19, 2021. The rescission of the applicable exemptive orders and the withdrawal of the applicable no-action letters was effective on January 19, 2022. These regulatory changes may adversely impact a Fund’s investment strategies and operations.

 

U.S. Government Securities - Each Fund may invest in U.S. government securities, including bills, notes and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. government agencies or instrumentalities. U.S. government agency securities include securities issued by (a) the Federal Housing Administration, Farmers Home Administration, Export-Import Bank of the United States, Small Business Administration, and the Government National Mortgage Association, whose securities are supported by the full faith and credit of the United States; (b) the Federal Home Loan Banks, Federal Intermediate Credit Banks, and the Tennessee Valley Authority, whose securities are supported by the right of the agency to borrow from the U.S. Treasury; (c) the Federal National Mortgage Association, whose securities are supported by the discretionary authority of the U.S. government to purchase certain obligations of the agency or instrumentality; and (d) the Student Loan Marketing Association, whose securities are supported only by its credit. While the U.S. government provides financial support to such U.S. government-sponsored agencies or instrumentalities, no assurance can be given that it always will do so since it is not so obligated by law. The U.S. government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate.

 

Zero-Coupon and Step Coupon Securities - Each Fund may invest in zero-coupon and step coupon securities. Zero-coupon securities pay no cash income to their holders until they mature. When held to maturity, their entire return comes from the difference between their purchase price and their maturity value. Step coupon securities are debt securities that may not pay interest for a specified period of time and then, after the initial period, may pay interest at a series of different rates. Both zero-coupon and step coupon securities are issued at substantial discounts from their value at maturity. Because interest on these securities is not paid on a current basis, the values of securities of this type are subject to greater fluctuations than are the value of securities that distribute income regularly and may be more speculative than such securities. Accordingly, the values of these securities may be highly volatile as interest rates rise or fall. In addition, while such securities generate income for purposes of generally accepted accounting standards, they do not generate cash flow and thus could cause a Fund to be forced to liquidate securities at an inopportune time in order to distribute cash, as required by the Code.

 

Temporary Investments - During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be

 

 

41

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed-income obligations (which generally have remaining maturities of one year or less) and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of U.S. banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for U.S. Government Securities.

 

In lieu of purchasing money market instruments, the Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear that fund’s fees and expenses, which will be in addition to the fees and expenses of the Fund. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

Reverse Repurchase Agreement - Reverse repurchase agreements are a form of secured borrowing and subject a Fund to the risks associated with leverage, including exposure to potential gains and losses in excess of the amount invested, resulting in an increase in the speculative character of the Fund’s outstanding shares. If the securities held by a Fund decline in value while these transactions are outstanding, the NAV of a Fund’s outstanding shares will decline in value by proportionately more than the decline in value of the securities. In addition, reverse repurchase agreements involve the risk that the investment return earned by a Fund (from the investment of the proceeds) will be less than the interest expense of the transaction, that the market value of the securities sold by a Fund will decline below the price the Fund is obligated to pay to repurchase the securities, and that the other party may fail to return the securities in a timely manner or at all.

 

When a Fund enters into a reverse repurchase agreement, it is subject to the risk that the buyer under the agreement may file for bankruptcy, become insolvent or otherwise default on its obligations to the Fund. In the event of a default by the counterparty, there may be delays, costs and risks of loss involved in a Fund’s exercising its rights under the agreement, or those rights may be limited by other contractual agreements or obligations or by applicable law. Such an insolvency may result in a loss equal to the amount by which the value of the securities or other assets sold by the Fund exceeds the repurchase price payable by the Fund; if the value of the purchased securities or other assets increases during such a delay, that loss may also be increased. A Fund could lose money if it is unable to recover the securities or if the value of investments made by the Fund using the proceeds of the transaction is less than the value of securities. When a Fund enters into a reverse repurchase agreement, it must identify on its books cash or liquid assets that have a value equal to or greater than the repurchase price.

 

3. INVESTMENT ADVISER AND OTHER SERVICES

 

Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the investment advisory agreement (the “Advisory Agreement”) between the Adviser and the Company on behalf of each Fund. The Adviser is controlled by Diffractive Managers Group, LLC, a Delaware limited liability company, and EQSF Holdings, LLC, a Delaware limited liability company owned by three officers of the Company. The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.15% of each Fund’s average daily net assets during the month. From the unitary management fee, the Adviser pays most of the expenses of each Fund, including transfer agency, custody, fund administration, legal, audit and other services. However, under the Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes, distribution fees and expenses paid by each Fund under any distribution plan adopted, and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business. The Adviser will not be liable for any error of judgment, mistake of law, or for any loss suffered by a Fund in connection with the performance of the Advisory Agreement, except a loss resulting from a breach of fiduciary duty with respect to the receipt of compensation for services or a loss resulting from willful misfeasance, bad faith or gross negligence on the part of the Adviser in the performance of its duties, or from reckless disregard of its obligations and duties under the Advisory Agreement.

 

42

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

US Treasury 3 Month Bill ETF

  $ 4,625,006  

US Treasury 6 Month Bill ETF

    800,012  

US Treasury 12 Month Bill ETF

    310,472  

US Treasury 2 Year Note ETF

    545,743  

US Treasury 3 Year Note ETF

    8,651  

US Treasury 5 Year Note ETF

    21,494  

US Treasury 7 Year Note ETF

    6,540  

US Treasury 10 Year Note ETF

    168,751  

US Treasury 20 Year Bond ETF

    20,746  

US Treasury 30 Year Bond ETF

    20,561  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

Under the Funds’ unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. As of the end of the current fiscal period, there were no director and officer fees charged or paid by the Funds.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:

 

FUND

 

U.S. GOVERNMENT
PURCHASES

   

U.S. GOVERNMENT
SALES

 

US Treasury 3 Month Bill ETF

  $     $  

US Treasury 6 Month Bill ETF

           

US Treasury 12 Month Bill ETF

           

US Treasury 2 Year Note ETF

    4,001,132,966       3,973,848,857  

 

 

43

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

FUND

 

U.S. GOVERNMENT
PURCHASES

   

U.S. GOVERNMENT
SALES

 

US Treasury 3 Year Note ETF

  $ 69,522,241     $ 50,775,824  

US Treasury 5 Year Note ETF

    191,732,469       148,160,503  

US Treasury 7 Year Note ETF

    56,159,602       44,069,085  

US Treasury 10 Year Note ETF

    531,871,655       350,102,750  

US Treasury 20 Year Bond ETF

    89,398,746       50,521,652  

US Treasury 30 Year Bond ETF

    70,195,543       39,223,872  

 

During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Funds were as follows:

 

FUND

 

U.S. GOVERNMENT
IN-KIND PURCHASES

   

U.S. GOVERNMENT
IN-KIND SALES

 

US Treasury 3 Month Bill ETF

  $     $  

US Treasury 6 Month Bill ETF

           

US Treasury 12 Month Bill ETF

           

US Treasury 2 Year Note ETF

    181,325,110       66,245,734  

US Treasury 3 Year Note ETF

    12,791,583       25,617,153  

US Treasury 5 Year Note ETF

    9,655,562       33,899,414  

US Treasury 7 Year Note ETF

    2,857,011       10,697,374  

US Treasury 10 Year Note ETF

    137,943,382       225,030,174  

US Treasury 20 Year Bond ETF

    67,670,832       84,358,737  

US Treasury 30 Year Bond ETF

    16,903,688       34,199,225  

 

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, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

US Treasury 3 Month Bill ETF

  $ 4,103,035,203     $ 1,553,351     $     $ 1,553,351  

US Treasury 6 Month Bill ETF

    598,251,173       52,480             52,480  

US Treasury 12 Month Bill ETF

    236,946,333       97,487             97,487  

 

44

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

US Treasury 2 Year Note ETF

  $ 447,635,077     $ 3,182,888     $     $ 3,182,888  

US Treasury 3 Year Note ETF

    7,448,718             (6,866 )     (6,866 )

US Treasury 5 Year Note ETF

    24,148,779             (47,092 )     (47,092 )

US Treasury 7 Year Note ETF

    5,378,868             (14,903 )     (14,903 )

US Treasury 10 Year Note ETF

    157,598,404             (891,600 )     (891,600 )

US Treasury 20 Year Bond ETF

    26,472,968       24       (215,637 )     (215,613 )

US Treasury 30 Year Bond ETF

    18,089,680       19       (169,799 )     (169,780 )

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2024, there were permanent differences related to redemptions in-kind between distributable earnings/(loss) and paid-in capital, respectively for the following funds:

 

FUND

 

Distributable
Earnings/(Loss)

   

Paid-In-Capital

 

US Treasury 3 Month Bill ETF

  $ (89,721 )   $ 89,721  

US Treasury 6 Month Bill ETF

    (1,040,649 )     1,040,649  

US Treasury 12 Month Bill ETF

    (575,737 )     575,737  

US Treasury 2 Year Note ETF

    (45,880 )     45,880  

US Treasury 3 Year Note ETF

    (125,410 )     125,410  

US Treasury 5 Year Note ETF

    (422,464 )     422,464  

US Treasury 7 Year Note ETF

    (152,952 )     152,952  

US Treasury 10 Year Note ETF

    (8,405,079 )     8,405,079  

US Treasury 20 Year Bond ETF

    (2,865,559 )     2,865,559  

US Treasury 30 Year Bond ETF

    (2,225,941 )     2,225,941  

 

 

45

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

   

Net UNREALIZED
APPRECIATION/
(DEPRECIATION)

   

Capital
loss
carryover

   

Qualified late-
year loss

 

US Treasury 3 Month Bill ETF

  $ 10,050,654     $     $ 1,553,351     $ (1,570,291 )   $  

US Treasury 6 Month Bill ETF

    1,006,425             52,480       (378,633 )      

US Treasury 12 Month Bill ETF

    473,967             97,487       (740,389 )      

US Treasury 2 Year Note ETF

    821,844             3,182,888       (9,399,342 )      

US Treasury 3 Year Note ETF

    7,588             (6,866 )     (104,260 )      

US Treasury 5 Year Note ETF

    33,260             (47,092 )     (24,950 )      

US Treasury 7 Year Note ETF

    13,757             (14,903 )     (40,781 )      

US Treasury 10 Year Note ETF

    364,380             (891,600 )     (3,821,622 )      

US Treasury 20 Year Bond ETF

                (215,613 )     (634,872 )      

US Treasury 30 Year Bond ETF

    7,747             (169,780 )     (854,343 )      

 

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 years ended August 31, 2024 and August 31, 2023 were as follows:

 

FUND

 

Ordinary
Income

   

Long-Term
Capital Gains

 

US Treasury 3 Month Bill ETF

               

August 31, 2023

  $ 23,559,224     $  

August 31, 2024

    155,670,454        

US Treasury 6 Month Bill ETF

               

August 31, 2023

    2,720,580        

August 31, 2024

    27,247,652        

US Treasury 12 Month Bill ETF

               

August 31, 2023

    2,206,389        

August 31, 2024

    10,123,493        

US Treasury 2 Year Note ETF

               

August 31, 2023

    9,134,861        

August 31, 2024

    16,431,423        

US Treasury 3 Year Note ETF

               

August 31, 2023

    19,629        

August 31, 2024

    233,355        

US Treasury 5 Year Note ETF

               

August 31, 2023

    19,503        

August 31, 2024

    563,162        

 

46

 

 

 

US Benchmark Series

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

FUND

 

Ordinary
Income

   

Long-Term
Capital Gains

 

US Treasury 7 Year Note ETF

               

August 31, 2023

  $ 11,541     $  

August 31, 2024

    169,345        

US Treasury 10 Year Note ETF

               

August 31, 2023

    679,725        

August 31, 2024

    4,342,882        

US Treasury 20 Year Bond ETF

               

August 31, 2023

    15,177        

August 31, 2024

    615,765        

US Treasury 30 Year Bond ETF

               

August 31, 2023

    29,955        

August 31, 2024

    582,433        

 

The Funds are permitted to carry forward capital losses for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2024, the US Treasury 3 Month Bill ETF had unexpiring short-term losses of $1,570,291, the US Treasury 6 Month Bill ETF had unexpiring short-term losses of $378,633, the US Treasury 12 Month Bill ETF had unexpiring short-term losses of $740,389, the US Treasury 2 Year Note ETF had unexpiring short-term losses of $9,399,342, the US Treasury 3 Year Note ETF had unexpiring short-term losses of $104,260, the US Treasury 5 Year Note ETF had unexpiring short-term losses of $24,950, the US Treasury 7 Year Note ETF had unexpiring short-term losses of $40,781, the US Treasury 10 Year Note ETF had unexpiring short-term losses of $3,821,622, the US Treasury 20 Year Bond ETF had unexpiring short-term losses of $634,872, and the US Treasury 30 Year Bond ETF had unexpiring short-term losses of $854,343.

 

During the tax year ended August 31, 2024 the following Funds utilized capital loss carryforwards:

 

FUND

 

Capital Loss
Carryforward Used

 

US Treasury 12 Month Bill ETF

  $ 231,986  

US Treasury 2 Year Note ETF

    1,387,432  

US Treasury 5 Year Note ETF

    50,639  

US Treasury 7 Year Note ETF

    18,616  

 

6. SECURITIES LENDING

 

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned domestic 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 receive compensation in the form of loan fees owed by borrowers and income earned on collateral investments. A portion of the interest received on the loan collateral is retained by the Funds and the remainder is rebated to the borrower of the securities. Pursuant to the securities lending agreement between the Trust, on behalf of the Funds, and the Custodian, each Fund pays a fee to the Custodian for administrative and custodial fees, which is calculated daily and paid monthly, in the amount of 20% of the Fund’s net income. The net amount of interest earned, after the interest rebate and the

 

 

47

 

 

US Benchmark Series

Notes to Financial Statements (conTINUed)

AUGUST 31, 2024

 

allocation to the Custodian, is shown below. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with collateral 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 net income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE OF
SECURITIES LOANED

   

MARKET VALUE OF
COLLATERAL

   

INCOME RECEIVED
FROM SECURITIES
LENDING

 

US Treasury 3 Month Bill ETF

  $     $     $ 46,179  

US Treasury 6 Month Bill ETF

                16,508  

US Treasury 12 Month Bill ETF

                1,989  

US Treasury 2 Year Note ETF

                9,238  

US Treasury 3 Year Note ETF

                 

US Treasury 5 Year Note ETF

                 

US Treasury 7 Year Note ETF

                 

US Treasury 10 Year Note ETF

                5,260  

US Treasury 20 Year Bond ETF

                2,089  

US Treasury 30 Year Bond ETF

                 

 

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. As of August 31, 2024, there are no open lending transactions to report.

 

7. SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on the NASDAQ, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 10,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with Quasar. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $300, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets.

 

48

 

 

 

US Benchmark Series

Notes to Financial Statements (conCLuded)

AUGUST 31, 2024

 

8. SUBSEQUENT EVENTS

 

In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

Subsequent to August 31, 2024, the Funds paid the following distributions:

 

Fund

Record Date

Ex-Date

Pay Date

Distribution
Rate Per Share

US Treasury 3 Month Bill ETF

9/3/2024

9/3/2024

9/4/2024

$0.21517188

US Treasury 6 Month Bill ETF

9/3/2024

9/3/2024

9/4/2024

$0.20928230

US Treasury 12 Month Bill ETF

9/3/2024

9/3/2024

9/4/2024

$0.18580548

US Treasury 2 Year Note ETF

9/3/2024

9/3/2024

9/4/2024

$0.17097167

US Treasury 3 Year Note ETF

9/3/2024

9/3/2024

9/4/2024

$0.16210533

US Treasury 5 Year Note ETF

9/3/2024

9/3/2024

9/4/2024

$0.15856641

US Treasury 7 Year Note ETF

9/3/2024

9/3/2024

9/4/2024

$0.16280936

US Treasury 10 Year Note ETF

9/3/2024

9/3/2024

9/4/2024

$0.14909562

US Treasury 20 Year Bond ETF

9/3/2024

9/3/2024

9/4/2024

$0.17534541

US Treasury 30 Year Bond ETF

9/3/2024

9/3/2024

9/4/2024

$0.16489010

         

US Treasury 3 Month Bill ETF

10/1/2024

10/1/2024

10/2/2024

$0.20593852

US Treasury 6 Month Bill ETF

10/1/2024

10/1/2024

10/2/2024

$0.19329910

US Treasury 12 Month Bill ETF

10/1/2024

10/1/2024

10/2/2024

$0.17220435

US Treasury 2 Year Note ETF

10/1/2024

10/1/2024

10/2/2024

$0.15036067

US Treasury 3 Year Note ETF

10/1/2024

10/1/2024

10/2/2024

$0.14283260

US Treasury 5 Year Note ETF

10/1/2024

10/1/2024

10/2/2024

$0.14600416

US Treasury 7 Year Note ETF

10/1/2024

10/1/2024

10/2/2024

$0.15037436

US Treasury 10 Year Note ETF

10/1/2024

10/1/2024

10/2/2024

$0.14108438

US Treasury 20 Year Bond ETF

10/1/2024

10/1/2024

10/2/2024

$0.16104204

US Treasury 30 Year Bond ETF

10/1/2024

10/1/2024

10/2/2024

$0.15969500

 

 

49

 

 

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Report of Independent Registered
Public Accounting Firm

 

To the Shareholders and Board of Directors of
The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of The RBB Fund, Inc. comprising the funds listed below (the “Funds”) as of August 31, 2024, the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated 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 as of August 31, 2024, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

Fund Name

 

Statements of
Operations

   

Statement(s) of
Changes in Net
Assets

   

Financial
Highlights

 

US Treasury 3 Month Bill ETF, US Treasury 2 Year Note ETF, and US Treasury 10 year Note ETF

For the year ended August 31, 2024

For the years ended August 31, 2024 and 2023

For the years ended August 31, 2024 and 2023 and for the period from August 8, 2022 (commencement of operations) through August 31, 2022

US Treasury 12 Month Bill ETF

For the year ended August 31, 2024

For the year ended August 31, 2024 and for the period from November 14, 2022 (commencement of operations) through August 31, 2023

US Treasury 6 Month Bill ETF

For the year ended August 31, 2024

For the year ended August 31, 2024 and for the period from March 6, 2023 (commencement of operations) through August 31, 2023

US Treasury 3 Year Note ETF, US Treasury 5 Year Note ETF, US Treasury 7 Year Note ETF, US Treasury 20 Year Bond ETF, and US Treasury 30 Year Bond ETF

For the year ended August 31, 2024

For the year ended August 31, 2024 and for the period from March 27, 2023 (commencement of operations) through August 31, 2023

 

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 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.

 

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, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we

 

50

 

 

 

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Report of Independent Registered
Public Accounting Firm (Concluded)

 

performed other auditing procedures. 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 investment companies advised by F/M Investments, LLC since 2021.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 29, 2024

 

 

51

 

 

US BENCHMARK SERIES

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the Fund paid ordinary income dividends, and did not pay long-term capital gains 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 2024. 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 2025.

 

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.

 

52

 

 

 

US BENCHMARK SERIES

Other Information

(UNAUDITED)

 

FREQUENCY DISTRIBUTIONS OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available, without charge, on the Funds’ website at www.ustreasuryetf.com.

 

 

53

 

 

US BENCHMARK SERIES

Approval of Investment Advisory Agreement

(UNAUDITED)

 

As required by the 1940 Act, 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 F/m Investments, LLC (“F/m”) and the Company (the “Investment Advisory Agreement”) on behalf of the US Treasury 3 Month Bill ETF, US Treasury 6 Month Bill ETF, US Treasury 12 Month Bill ETF, US Treasury 2 Year Note ETF, US Treasury 3 Year Note ETF, US Treasury 5 Year Note ETF, US Treasury 7 Year Note ETF, US Treasury 10 Year Note ETF, US Treasury 20 Year Bond ETF, and US Treasury 30 Year Bond ETF (for this section only, each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term ending August 16, 2025. The Board’s decision to approve the Investment Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangements. In approving the Investment Advisory Agreement, the Board considered information provided by F/m with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the renewal and approval of the Investment Advisory Agreement between the Company and F/m 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. The Directors reviewed these materials with management of F/m and discussed the Investment Advisory Agreement with counsel in executive sessions, at which no representatives of F/m were present. Among other things, the Directors considered (i) the nature, extent, and quality of F/m’s services provided to the Funds; (ii) descriptions of the experience and qualifications of F/m’s personnel providing those services; (iii) F/m’s investment philosophies and processes; (iv) F/m’s assets under management and client descriptions; (v) F/m’s soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) F/m’s advisory fee arrangement with the Company and other similarly managed clients; (vii) F/m’s compliance policies and procedures; (viii) F/m’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 Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to each Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its 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 F/m. The Directors concluded that F/m had substantial resources to provide services to the Funds and that F/m’s services had been acceptable.

 

The Directors also considered the investment performance of the Funds. Information on the Funds’ investment performance was provided for the three-month, one-year, and since inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

The Directors considered that because each of the Funds was designed to track the performance of its respective index, a relevant consideration was the extent to which such 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 three-month, one-year, and since-inception periods ended December 31, 2023, as applicable, each of the aforementioned Fund’s performance was in line with its index before fees and expenses.

 

The Directors noted that the US Treasury 3 Month Bill ETF outperformed the median of its Peer Group for the one-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

The Directors noted that the US Treasury 6 Month Bill ETF matched the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

54

 

 

 

US BENCHMARK SERIES

APPROVAL OF INVESTMENT ADVISORY AGREEMENT (continued)

(UNAUDITED)

 

The Directors noted that the US Treasury 12 Month Bill ETF outperformed the median of its Peer Group for the one-year and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

The Directors noted that the US Treasury 2 Year Note ETF underperformed the median of its Peer Group for the three-month, one-year, and since-inception periods ended December 31, 2023.

 

The Directors noted that the US Treasury 3 Year Note ETF outperformed the median of its Peer Group for the three-month period ended December 31, 2023, and underperformed the median of its Peer Group for the since-inception period ended December 31, 2023.

 

The Directors noted that the US Treasury 5 Year Note ETF underperformed the median of its Peer Group for the three-month and since-inception periods ended December 31, 2023.

 

The Directors noted that the US Treasury 7 Year Note ETF outperformed the median of its Peer Group for the three-month period ended December 31, 2023, and underperformed the median of its Peer Group for the since-inception period ended December 31, 2023.

 

The Directors noted that the US Treasury 10 Year Note ETF outperformed the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

The Directors noted that the US Treasury 20 Year Bond ETF outperformed the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month period ended December 31, 2023.

 

The Directors noted that the US Treasury 30 Year Bond ETF underperformed the median of its Peer Group for the three-month and since-inception periods ended December 31, 2023.

 

The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreement. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios were compared to similar information for ETFs advised by other, unaffiliated investment advisory firms.

 

The Directors noted that the net advisory fee of the US Treasury 3 Month Bill ETF ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 6 Month Bill ETF ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 12 Month Bill ETF ranked above the median and in the 4th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 2 Year Note ETF ranked above the median and in the 4th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 3 Year Note ETF ranked above the median and in the 4th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 5 Year Note ETF ranked above the median and in the 4th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 7 Year Note ETF ranked above the median and in the 4th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 10 Year Note ETF ranked above the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 3rd quintile of its Peer Group.

 

 

55

 

 

US BENCHMARK SERIES

APPROVAL OF INVESTMENT ADVISORY AGREEMENT (concluded)

(UNAUDITED)

 

The Directors noted that the net advisory fee of the US Treasury 20 Year Bond ETF ranked above the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 3rd quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the US Treasury 30 Year Bond ETF ranked above the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 3rd quintile of its Peer Group.

 

The Board also took into consideration that the advisory fee for each Fund was a “unitary fee,” meaning the Funds paid no expenses other than the advisory fee and certain other costs such as interest, brokerage and extraordinary expenses. The Board noted that F/m continued to be responsible for compensating the Funds’ other service providers and paying other expenses of the Funds out of its own fees and resources.

 

After reviewing the information regarding the Funds’ costs, profitability and economies of scale, and after considering F/m’s services, the Directors concluded that the investment advisory fees to be paid by the Funds were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one year period ending August 16, 2025.

 

56

 

 

 

Investment Adviser

F/m Investments, LLC d/b/a North Slope Capital, LLC
3050 K Street NW, Suite W-201
Washington, DC 20007

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, Wisconsin 53201-0701

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

57

 

 

 

 

F/m Corporate Bond ETFs

 

Financial Statements

August 31, 2024

 

F/m 2-Year Investment Grade Corporate Bond ETF | (NYSE: ZTWO)

 

F/m 3-Year Investment Grade Corporate Bond ETF | (NYSE: ZTRE)

 

F/m 10-Year Investment Grade Corporate Bond ETF | (NYSE: ZTEN)

 

Each a series of The RBB Fund, Inc.

 

F/m Investments, LLC d/b/a North Slope Capital, LLC

 

 

 

Table of Contents

 

   

Schedules of Investments

1

Financial Statements

36

Notes to Financial Statements

44

Report of Independent Registered Public Accounting Firm

56

Shareholder Tax Information

57

Other Information

58

 

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3%

               

Administrative and Support and Waste Management and Remediation Services — 0.2%

               

Enstar Finance LLC, 5.50% to 01/15/2027 then 5 yr. CMT Rate + 4.01%, 01/15/2042

  $ 28,000     $ 25,756  
                 

Communications — 3.5%

               

Alphabet, Inc., 2.00%, 08/15/2026

    27,000       25,973  

AT&T, Inc., 1.70%, 03/25/2026

    27,000       25,812  

Booking Holdings, Inc., 3.60%, 06/01/2026

    25,000       24,665  

Charter Communications Operating LLC / Charter Communications Operating Capital, 6.15%, 11/10/2026

    25,000       25,612  

Comcast Corp., 3.15%, 03/01/2026

    26,000       25,511  

Cox Communications, Inc., 3.35%, 09/15/2026 (a)

    26,000       25,285  

Netflix, Inc., 4.38%, 11/15/2026

    26,000       26,013  

Omnicom Group, Inc. / Omnicom Capital, Inc., 3.60%, 04/15/2026

    26,000       25,536  

Paramount Global, 2.90%, 01/15/2027

    27,000       25,596  

Sprint LLC, 7.63%, 03/01/2026

    24,000       24,743  

T-Mobile USA, Inc., 2.63%, 04/15/2026

    26,000       25,192  

TWDC Enterprises 18 Corp., 1.85%, 07/30/2026

    27,000       25,796  

Verizon Communications, Inc., 2.63%, 08/15/2026

    26,000       25,127  

Warnermedia Holdings, Inc., 6.41%, 03/15/2026

    24,000       23,998  
              354,859  
                 

Consumer Discretionary — 7.5%

               

Amazon.com, Inc., 1.00%, 05/12/2026

    27,000       25,614  

American Honda Finance Corp., 5.25%, 07/07/2026

    25,000       25,372  

AutoZone, Inc., 5.05%, 07/15/2026

    25,000       25,239  

BMW US Capital LLC, 2.80%, 04/11/2026 (a)

    26,000       25,336  

DR Horton, Inc., 1.30%, 10/15/2026

    28,000       26,224  

eBay, Inc., 1.40%, 05/10/2026

    27,000       25,592  

ERAC USA Finance LLC, 3.30%, 12/01/2026 (a)

    26,000       25,366  

General Motors Financial Co., Inc., 5.40%, 04/06/2026

    25,000       25,230  

GXO Logistics, Inc., 1.65%, 07/15/2026

    27,000       25,461  

Harley-Davidson Financial Services, Inc., 3.05%, 02/14/2027 (a)

    26,000       24,837  

Hasbro, Inc., 3.55%, 11/19/2026

    26,000       25,293  

Home Depot, Inc., 5.15%, 06/25/2026

    25,000       25,395  

Hyatt Hotels Corp., 5.75%, 01/30/2027

    24,000       24,473  

Hyundai Capital America, 5.50%, 03/30/2026 (a)

    24,000       24,238  

Las Vegas Sands Corp., 3.50%, 08/18/2026

    26,000       25,254  

Lennar Corp., 5.25%, 06/01/2026

    24,000       24,147  

Lowe’s Cos., Inc., 2.50%, 04/15/2026

    26,000       25,194  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Consumer Discretionary — 7.5% (continued)

               

Marriott International, Inc., 3.13%, 06/15/2026

  $ 26,000     $ 25,318  

Mattel, Inc., 3.38%, 04/01/2026 (a)

    25,000       24,288  

NIKE, Inc., 2.38%, 11/01/2026

    27,000       25,972  

Nissan Motor Acceptance Co. LLC, 1.85%, 09/16/2026 (a)

    26,000       24,234  

O’Reilly Automotive, Inc., 5.75%, 11/20/2026

    25,000       25,608  

PulteGroup, Inc., 5.00%, 01/15/2027

    25,000       25,229  

Ross Stores, Inc., 0.88%, 04/15/2026

    27,000       25,423  

Southwest Airlines Co., 3.00%, 11/15/2026

    27,000       26,020  

Stanley Black & Decker, Inc., 3.40%, 03/01/2026

    26,000       25,508  

Starbucks Corp., 4.85%, 02/08/2027

    26,000       26,253  

Tapestry, Inc., 7.00%, 11/27/2026

    24,000       24,756  

TJX Cos., Inc., 2.25%, 09/15/2026

    25,000       24,018  

Toyota Motor Credit Corp., 4.45%, 05/18/2026

    25,000       25,027  
              755,919  
                 

Consumer Staples — 6.8%

               

Altria Group, Inc., 2.63%, 09/16/2026

    26,000       25,027  

Archer-Daniels-Midland Co., 2.50%, 08/11/2026

    27,000       26,061  

Bunge Ltd. Finance Corp., 3.25%, 08/15/2026

    24,000       23,399  

Campbell Soup Co., 5.30%, 03/20/2026

    25,000       25,293  

Cargill, Inc., 4.50%, 06/24/2026 (a)

    25,000       25,059  

Colgate-Palmolive Co., 4.80%, 03/02/2026

    24,000       24,213  

Conagra Brands, Inc., 5.30%, 10/01/2026

    25,000       25,341  

Conopco, Inc., 7.25%, 12/15/2026

    24,000       25,491  

Constellation Brands, Inc., 3.70%, 12/06/2026

    26,000       25,536  

Flowers Foods, Inc., 3.50%, 10/01/2026

    26,000       25,407  

General Mills, Inc., 3.20%, 02/10/2027

    26,000       25,233  

Hershey Co., 2.30%, 08/15/2026

    27,000       26,018  

Ingredion, Inc., 3.20%, 10/01/2026

    26,000       25,310  

Kellanova, 3.25%, 04/01/2026

    26,000       25,481  

Kenvue, Inc., 5.35%, 03/22/2026

    25,000       25,361  

Keurig Dr Pepper, Inc., 2.55%, 09/15/2026

    27,000       25,978  

Kraft Heinz Foods Co., 3.00%, 06/01/2026

    26,000       25,319  

Kroger Co., 4.70%, 08/15/2026

    25,000       25,074  

Mars, Inc., 0.88%, 07/16/2026 (a)

    27,000       25,283  

Molson Coors Beverage Co., 3.00%, 07/15/2026

    26,000       25,289  

PepsiCo, Inc., 2.38%, 10/06/2026

    27,000       26,078  

Philip Morris International, Inc., 4.75%, 02/12/2027

    26,000       26,234  

 

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Consumer Staples — 6.8% (continued)

               

Smithfield Foods, Inc., 4.25%, 02/01/2027 (a)

  $ 26,000     $ 25,467  

Sysco Corp., 3.30%, 07/15/2026

    26,000       25,429  

Target Corp., 1.95%, 01/15/2027

    26,000       24,827  

Tyson Foods, Inc., 4.00%, 03/01/2026

    26,000       25,737  

Walmart, Inc., 1.05%, 09/17/2026

    27,000       25,435  
              684,380  
                 

Energy — 6.2%

               

Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 2.06%, 12/15/2026

    27,000       25,664  

Boardwalk Pipelines LP, 5.95%, 06/01/2026

    25,000       25,392  

BP Capital Markets America, Inc., 3.12%, 05/04/2026

    25,000       24,465  

Chevron Corp., 2.95%, 05/16/2026

    26,000       25,452  

Columbia Pipelines Holding Co. LLC, 6.06%, 08/15/2026 (a)

    25,000       25,516  

Continental Resources, Inc., 2.27%, 11/15/2026 (a)

    27,000       25,503  

Diamondback Energy, Inc., 3.25%, 12/01/2026

    26,000       25,302  

Energy Transfer LP, 6.05%, 12/01/2026

    25,000       25,738  

EnLink Midstream Partners LP, 4.85%, 07/15/2026

    25,000       24,924  

Enterprise Products Operating LLC, 4.60%, 01/11/2027

    26,000       26,212  

EQT Corp., 3.13%, 05/15/2026 (a)

    26,000       25,239  

Exxon Mobil Corp., 3.04%, 03/01/2026

    25,000       24,555  

HF Sinclair Corp., 5.88%, 04/01/2026

    24,000       24,250  

Kinder Morgan, Inc., 1.75%, 11/15/2026

    27,000       25,445  

Marathon Petroleum Corp., 5.13%, 12/15/2026

    24,000       24,278  

MPLX LP, 1.75%, 03/01/2026

    27,000       25,814  

Occidental Petroleum Corp., 5.55%, 03/15/2026

    24,000       24,197  

ONEOK, Inc., 5.55%, 11/01/2026

    25,000       25,470  

Phillips 66 Co., 3.55%, 10/01/2026

    25,000       24,498  

Pioneer Natural Resources Co., 5.10%, 03/29/2026

    24,000       24,230  

Plains All American Pipeline LP / PAA Finance Corp., 4.50%, 12/15/2026

    26,000       25,875  

Sabine Pass Liquefaction LLC, 5.88%, 06/30/2026

    24,000       24,318  

Valero Energy Corp., 3.40%, 09/15/2026

    24,000       23,422  

Western Midstream Operating LP, 4.65%, 07/01/2026

    25,000       24,872  

Williams Cos., Inc., 5.40%, 03/02/2026

    24,000       24,232  
              624,863  
                 

Financials — 27.9%

               

Aflac, Inc., 1.13%, 03/15/2026

    27,000       25,649  

Air Lease Corp., 1.88%, 08/15/2026

    26,000       24,652  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Financials — 27.9% (continued)

               

Alexandria Real Estate Equities, Inc., 3.80%, 04/15/2026

  $ 26,000     $ 25,638  

Allstate Corp., 3.28%, 12/15/2026

    26,000       25,356  

American Express Co., 5.10% to 02/16/2027 then SOFR + 1.00%, 02/16/2028

    25,000       25,333  

American Tower Corp., 3.38%, 10/15/2026

    26,000       25,347  

Ameriprise Financial, Inc., 2.88%, 09/15/2026

    26,000       25,213  

Apollo Management Holdings LP, 4.40%, 05/27/2026 (a)

    24,000       23,898  

Arch Capital Finance LLC, 4.01%, 12/15/2026

    26,000       25,645  

Ares Capital Corp., 2.15%, 07/15/2026

    26,000       24,519  

Ares Finance Co. III LLC, 4.13% to 06/30/2026 then 5 yr. CMT Rate + 3.24%, 06/30/2051 (a)

    25,000       23,516  

Athene Global Funding, 2.95%, 11/12/2026 (a)

    27,000       25,980  

AvalonBay Communities, Inc., 2.95%, 05/11/2026

    26,000       25,331  

Aviation Capital Group LLC, 1.95%, 09/20/2026 (a)

    27,000       25,375  

Bain Capital Specialty Finance, Inc., 2.55%, 10/13/2026

    27,000       25,374  

Bank of New York Mellon Corp., 4.95% to 04/26/2026 then SOFR + 1.03%, 04/26/2027

    25,000       25,137  

Barings BDC, Inc., 3.30%, 11/23/2026

    27,000       25,586  

Berkshire Hathaway, Inc., 3.13%, 03/15/2026

    26,000       25,632  

Blackstone Private Credit Fund, 2.63%, 12/15/2026

    27,000       25,338  

Blackstone Secured Lending Fund, 2.75%, 09/16/2026

    26,000       24,676  

Blue Owl Capital Corp., 3.40%, 07/15/2026

    27,000       26,000  

Blue Owl Capital Corp. II, 8.45%, 11/15/2026 (a)

    24,000       25,157  

Blue Owl Credit Income Corp., 4.70%, 02/08/2027

    26,000       25,388  

Blue Owl Technology Finance Corp., 3.75%, 06/17/2026 (a)

    26,000       24,814  

Boston Properties LP, 2.75%, 10/01/2026

    27,000       25,724  

Brighthouse Financial Global Funding, 1.55%, 05/24/2026 (a)

    27,000       25,521  

Brixmor Operating Partnership LP, 4.13%, 06/15/2026

    26,000       25,688  

Camden Property Trust, 5.85%, 11/03/2026

    25,000       25,786  

Capital One Financial Corp., 3.75%, 07/28/2026

    26,000       25,471  

Cboe Global Markets, Inc., 3.65%, 01/12/2027

    25,000       24,566  

CBRE Services, Inc., 4.88%, 03/01/2026

    24,000       24,028  

Charles Schwab Corp., 0.90%, 03/11/2026

    27,000       25,515  

Chubb INA Holdings LLC, 3.35%, 05/03/2026

    26,000       25,536  

Citizens Financial Group, Inc., 2.85%, 07/27/2026

    26,000       24,989  

CNA Financial Corp., 4.50%, 03/01/2026

    25,000       24,918  

COPT Defense Properties LP, 2.25%, 03/15/2026

    27,000       25,887  

Corebridge Global Funding, 5.35%, 06/24/2026 (a)

    25,000       25,343  

Crown Castle, Inc., 1.05%, 07/15/2026

    28,000       26,256  

CubeSmart LP, 3.13%, 09/01/2026

    26,000       25,219  

Discover Financial Services, 4.10%, 02/09/2027

    26,000       25,552  

 

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Financials — 27.9% (continued)

               

EPR Properties, 4.75%, 12/15/2026

  $ 26,000     $ 25,687  

Equinix, Inc., 1.45%, 05/15/2026

    27,000       25,577  

Equitable Financial Life Global Funding, 1.70%, 11/12/2026 (a)

    26,000       24,427  

ERP Operating LP, 2.85%, 11/01/2026

    27,000       26,143  

Essex Portfolio LP, 3.38%, 04/15/2026

    26,000       25,406  

Extra Space Storage LP, 3.50%, 07/01/2026

    26,000       25,486  

F&G Global Funding, 1.75%, 06/30/2026 (a)

    27,000       25,360  

Fidelity National Information Services, Inc., 1.15%, 03/01/2026

    27,000       25,620  

Fiserv, Inc., 3.20%, 07/01/2026

    26,000       25,386  

FS KKR Capital Corp., 2.63%, 01/15/2027

    26,000       24,261  

GATX Corp., 3.25%, 09/15/2026

    26,000       25,221  

Global Payments, Inc., 1.20%, 03/01/2026

    27,000       25,603  

GLP Capital LP / GLP Financing II, Inc., 5.38%, 04/15/2026

    24,000       24,016  

Goldman Sachs Bank USA/New York NY, 5.41% to 05/21/2026 then SOFR + 0.75%, 05/21/2027

    25,000       25,282  

Golub Capital BDC, Inc., 2.50%, 08/24/2026

    27,000       25,422  

Guardian Life Global Funding, 1.25%, 05/13/2026 (a)

    27,000       25,571  

Hanover Insurance Group, Inc., 4.50%, 04/15/2026

    26,000       25,905  

HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 06/15/2026 (a)

    26,000       24,907  

Healthcare Realty Holdings LP, 3.50%, 08/01/2026

    26,000       25,402  

Healthpeak OP LLC, 3.25%, 07/15/2026

    26,000       25,368  

Hercules Capital, Inc., 3.38%, 01/20/2027

    26,000       24,595  

Jefferies Financial Group, Inc., 4.85%, 01/15/2027

    26,000       26,054  

Kimco Realty OP LLC, 2.80%, 10/01/2026

    27,000       26,022  

Kite Realty Group LP, 4.00%, 10/01/2026

    26,000       25,517  

Legg Mason, Inc., 4.75%, 03/15/2026

    24,000       24,056  

Lincoln National Corp., 3.63%, 12/12/2026

    24,000       23,532  

Loews Corp., 3.75%, 04/01/2026

    26,000       25,702  

Main Street Capital Corp., 3.00%, 07/14/2026

    27,000       25,738  

Marsh & McLennan Cos., Inc., 3.75%, 03/14/2026

    26,000       25,719  

Mastercard, Inc., 2.95%, 11/21/2026

    26,000       25,315  

Mid-America Apartments LP, 1.10%, 09/15/2026

    28,000       26,124  

Morgan Stanley, 1.59% to 05/04/2026 then SOFR + 0.88%, 05/04/2027

    27,000       25,651  

Morgan Stanley Direct Lending Fund, 4.50%, 02/11/2027

    25,000       24,626  

Mutual of Omaha Cos. Global Funding, 5.80%, 07/27/2026 (a)

    25,000       25,436  

Nasdaq, Inc., 3.85%, 06/30/2026

    24,000       23,742  

New York Life Global Funding, 5.45%, 09/18/2026 (a)

    25,000       25,523  

NNN REIT, Inc., 3.60%, 12/15/2026

    26,000       25,471  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Financials — 27.9% (continued)

               

Northwestern Mutual Global Funding, 1.75%, 01/11/2027 (a)

  $ 27,000     $ 25,482  

Oaktree Specialty Lending Corp., 2.70%, 01/15/2027

    27,000       25,258  

Old Republic International Corp., 3.88%, 08/26/2026

    26,000       25,564  

Pacific Life Global Funding II, 1.38%, 04/14/2026 (a)

    27,000       25,692  

PayPal Holdings, Inc., 2.65%, 10/01/2026

    27,000       26,087  

Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.70%, 06/15/2026 (a)

    27,000       25,582  

PNC Financial Services Group, Inc., 6.62% to 10/20/2026 then SOFR + 1.73%, 10/20/2027

    23,000       23,922  

Principal Financial Group, Inc., 3.10%, 11/15/2026

    26,000       25,167  

Progressive Corp., 2.45%, 01/15/2027

    26,000       24,943  

Prologis LP, 3.25%, 10/01/2026

    26,000       25,456  

Prospect Capital Corp., 3.36%, 11/15/2026

    28,000       25,429  

Public Storage Operating Co., 1.50%, 11/09/2026

    27,000       25,402  

Realty Income Corp., 4.13%, 10/15/2026

    26,000       25,782  

Regency Centers LP, 3.60%, 02/01/2027

    26,000       25,423  

Reinsurance Group of America, Inc., 3.95%, 09/15/2026

    24,000       23,709  

Reliance Standard Life Global Funding II, 1.51%, 09/28/2026 (a)

    28,000       25,970  

Sabra Health Care LP, 5.13%, 08/15/2026

    26,000       26,054  

Santander Holdings USA, Inc., 2.49% to 01/06/2027 then SOFR + 1.25%, 01/06/2028

    27,000       25,339  

SBL Holdings, Inc., 5.13%, 11/13/2026 (a)

    26,000       25,535  

Simon Property Group LP, 3.25%, 11/30/2026

    25,000       24,371  

Sixth Street Specialty Lending, Inc., 2.50%, 08/01/2026

    25,000       23,701  

State Street Corp., 5.27%, 08/03/2026

    25,000       25,391  

Synchrony Financial, 3.70%, 08/04/2026

    26,000       25,404  

Tanger Properties LP, 3.13%, 09/01/2026

    25,000       24,044  

Truist Financial Corp., 6.05% to 06/08/2026 then SOFR + 2.05%, 06/08/2027

    25,000       25,515  

UDR, Inc., 2.95%, 09/01/2026

    26,000       25,093  

US Bancorp, 2.38%, 07/22/2026

    26,000       25,108  

Ventas Realty LP, 3.25%, 10/15/2026

    26,000       25,214  

VICI Properties LP / VICI Note Co., Inc., 4.25%, 12/01/2026 (a)

    24,000       23,692  

Voya Financial, Inc., 3.65%, 06/15/2026

    25,000       24,565  

WEA Finance LLC, 2.88%, 01/15/2027 (a)

    27,000       25,671  

Welltower OP LLC, 4.25%, 04/01/2026

    26,000       25,824  

Western Union Co., 1.35%, 03/15/2026

    27,000       25,587  

Weyerhaeuser Co., 4.75%, 05/15/2026

    26,000       26,028  

WP Carey, Inc., 4.25%, 10/01/2026

    26,000       25,714  
              2,828,144  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Health Care — 6.0%

               

Abbott Laboratories, 3.75%, 11/30/2026

  $ 24,000     $ 23,789  

AbbVie, Inc., 2.95%, 11/21/2026

    26,000       25,270  

Agilent Technologies, Inc., 3.05%, 09/22/2026

    26,000       25,194  

Amgen, Inc., 2.20%, 02/21/2027

    26,000       24,667  

Astrazeneca Finance LLC, 4.80%, 02/26/2027

    25,000       25,342  

Baxter International, Inc., 1.92%, 02/01/2027

    27,000       25,349  

Bristol-Myers Squibb Co., 3.20%, 06/15/2026

    26,000       25,512  

Cigna Group, 5.69%, 03/15/2026

    26,000       25,995  

CVS Health Corp., 2.88%, 06/01/2026

    27,000       26,182  

Elevance Health, Inc., 1.50%, 03/15/2026

    27,000       25,782  

Eli Lilly & Co., 4.50%, 02/09/2027

    25,000       25,223  

Gilead Sciences, Inc., 3.65%, 03/01/2026

    24,000       23,678  

HCA, Inc., 5.38%, 09/01/2026

    26,000       26,179  

Highmark, Inc., 1.45%, 05/10/2026 (a)

    27,000       25,389  

Johnson & Johnson, 2.45%, 03/01/2026

    26,000       25,363  

Laboratory Corp. of America Holdings, 1.55%, 06/01/2026

    27,000       25,581  

Novartis Capital Corp., 2.00%, 02/14/2027

    26,000       24,725  

Providence St Joseph Health Obligated Group, 2.75%, 10/01/2026

    27,000       25,890  

Quest Diagnostics, Inc., 3.45%, 06/01/2026

    26,000       25,460  

Solventum Corp., 5.45%, 02/25/2027 (a)

    25,000       25,350  

Stryker Corp., 3.50%, 03/15/2026

    24,000       23,599  

Thermo Fisher Scientific, Inc., 5.00%, 12/05/2026

    25,000       25,403  

UnitedHealth Group, Inc., 1.15%, 05/15/2026

    27,000       25,617  

Universal Health Services, Inc., 1.65%, 09/01/2026

    27,000       25,360  
              605,899  
                 

Industrials — 8.0%

               

3M Co., 2.25%, 09/19/2026

    27,000       25,799  

Amphenol Corp., 4.75%, 03/30/2026

    25,000       25,062  

Boeing Co., 2.70%, 02/01/2027

    26,000       24,647  

Carrier Global Corp., 2.49%, 02/15/2027

    26,000       24,920  

Caterpillar Financial Services Corp., 4.35%, 05/15/2026

    26,000       25,996  

CNH Industrial Capital LLC, 1.45%, 07/15/2026

    27,000       25,472  

CSX Corp., 2.60%, 11/01/2026

    27,000       26,059  

Emerson Electric Co., 0.88%, 10/15/2026

    28,000       26,108  

FedEx Corp., 3.25%, 04/01/2026

    26,000       25,472  

Fortive Corp., 3.15%, 06/15/2026

    26,000       25,297  

General Dynamics Corp., 1.15%, 06/01/2026

    27,000       25,613  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Industrials — 8.0% (continued)

               

Hexcel Corp., 4.20%, 02/15/2027

  $ 25,000     $ 24,402  

Honeywell International, Inc., 2.50%, 11/01/2026

    27,000       26,064  

Howmet Aerospace, Inc., 5.90%, 02/01/2027

    26,000       26,799  

Hubbell, Inc., 3.35%, 03/01/2026

    24,000       23,519  

Illinois Tool Works, Inc., 2.65%, 11/15/2026

    27,000       26,184  

JB Hunt Transport Services, Inc., 3.88%, 03/01/2026

    26,000       25,679  

John Deere Capital Corp., 4.50%, 01/08/2027

    26,000       26,231  

L3Harris Technologies, Inc., 5.40%, 01/15/2027

    24,000       24,500  

Norfolk Southern Corp., 2.90%, 06/15/2026

    26,000       25,285  

Northrop Grumman Corp., 3.20%, 02/01/2027

    26,000       25,311  

PACCAR Financial Corp., 5.20%, 11/09/2026

    25,000       25,482  

Republic Services, Inc., 2.90%, 07/01/2026

    26,000       25,286  

RTX Corp., 5.75%, 11/08/2026

    25,000       25,646  

Ryder System, Inc., 2.90%, 12/01/2026

    26,000       25,084  

Textron, Inc., 4.00%, 03/15/2026

    26,000       25,718  

Union Pacific Corp., 2.75%, 03/01/2026

    26,000       25,352  

United Parcel Service, Inc., 2.40%, 11/15/2026

    27,000       25,921  

Veralto Corp., 5.50%, 09/18/2026 (a)

    25,000       25,324  

Vontier Corp., 1.80%, 04/01/2026

    27,000       25,678  

Westinghouse Air Brake Technologies Corp., 3.45%, 11/15/2026

    26,000       25,361  

Xylem, Inc., 3.25%, 11/01/2026

    26,000       25,300  
              814,571  
                 

Materials — 5.0%

               

Amcor Finance USA, Inc., 3.63%, 04/28/2026

    26,000       25,482  

Berry Global, Inc., 4.88%, 07/15/2026 (a)

    25,000       24,737  

Celanese US Holdings LLC, 1.40%, 08/05/2026

    27,000       25,242  

CF Industries, Inc., 4.50%, 12/01/2026 (a)

    26,000       25,806  

Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, 3.40%, 12/01/2026 (a)

    26,000       25,320  

Ecolab, Inc., 2.70%, 11/01/2026

    26,000       25,125  

EIDP, Inc., 4.50%, 05/15/2026

    26,000       26,030  

FMC Corp., 5.15%, 05/18/2026

    24,000       24,145  

Georgia-Pacific LLC, 0.95%, 05/15/2026 (a)

    27,000       25,454  

Glencore Funding LLC, 1.63%, 04/27/2026 (a)

    27,000       25,703  

Graphic Packaging International LLC, 1.51%, 04/15/2026 (a)

    27,000       25,403  

Newmont Corp. / Newcrest Finance Pty Ltd., 5.30%, 03/15/2026 (a)

    25,000       25,231  

Owens Corning, 3.40%, 08/15/2026

    26,000       25,430  

PPG Industries, Inc., 1.20%, 03/15/2026

    27,000       25,607  

 

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Materials — 5.0% (continued)

               

Sealed Air Corp., 1.57%, 10/15/2026 (a)

  $ 28,000     $ 26,034  

Silgan Holdings, Inc., 1.40%, 04/01/2026 (a)

    27,000       25,413  

Sonoco Products Co., 2.25%, 02/01/2027

    26,000       24,608  

Steel Dynamics, Inc., 5.00%, 12/15/2026

    26,000       25,966  

Westlake Corp., 3.60%, 08/15/2026

    26,000       25,484  

WRKCo, Inc., 4.65%, 03/15/2026

    26,000       25,883  
              508,103  
                 

Technology — 8.2%

               

Adobe, Inc., 2.15%, 02/01/2027

    26,000       24,806  

Analog Devices, Inc., 3.50%, 12/05/2026

    24,000       23,611  

Apple, Inc., 3.35%, 02/09/2027

    25,000       24,615  

Avnet, Inc., 4.63%, 04/15/2026

    26,000       25,840  

Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.88%, 01/15/2027

    25,000       24,656  

Broadridge Financial Solutions, Inc., 3.40%, 06/27/2026

    26,000       25,408  

CDW LLC / CDW Finance Corp., 2.67%, 12/01/2026

    26,000       24,805  

Cisco Systems, Inc., 4.80%, 02/26/2027

    26,000       26,421  

Concentrix Corp., 6.65%, 08/02/2026

    25,000       25,693  

Dell International LLC / EMC Corp., 6.02%, 06/15/2026

    25,000       25,534  

DXC Technology Co., 1.80%, 09/15/2026

    27,000       25,356  

Electronic Arts, Inc., 4.80%, 03/01/2026

    24,000       24,014  

Fortinet, Inc., 1.00%, 03/15/2026

    27,000       25,546  

Hewlett Packard Enterprise Co., 1.75%, 04/01/2026

    27,000       25,792  

HP, Inc., 1.45%, 06/17/2026

    27,000       25,569  

Intel Corp., 2.60%, 05/19/2026

    26,000       24,983  

Intuit, Inc., 5.25%, 09/15/2026

    25,000       25,479  

Jabil, Inc., 1.70%, 04/15/2026

    27,000       25,661  

Kyndryl Holdings, Inc., 2.05%, 10/15/2026

    27,000       25,368  

Lam Research Corp., 3.75%, 03/15/2026

    26,000       25,725  

Marvell Technology, Inc., 1.65%, 04/15/2026

    27,000       25,714  

Micron Technology, Inc., 4.19%, 02/15/2027

    25,000       24,751  

Microsoft Corp., 3.30%, 02/06/2027

    25,000       24,612  

NVIDIA Corp., 3.20%, 09/16/2026

    26,000       25,548  

Oracle Corp., 2.65%, 07/15/2026

    26,000       25,104  

Roper Technologies, Inc., 3.80%, 12/15/2026

    24,000       23,651  

S&P Global, Inc., 2.95%, 01/22/2027

    27,000       26,183  

Skyworks Solutions, Inc., 1.80%, 06/01/2026

    27,000       25,609  

Take-Two Interactive Software, Inc., 5.00%, 03/28/2026

    24,000       24,112  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Technology — 8.2% (continued)

               

TD SYNNEX Corp., 1.75%, 08/09/2026

  $ 27,000     $ 25,434  

Teledyne Technologies, Inc., 1.60%, 04/01/2026

    27,000       25,709  

Texas Instruments, Inc., 4.60%, 02/08/2027

    26,000       26,277  

VMware LLC, 1.40%, 08/15/2026

    27,000       25,397  
              832,983  
                 

Utilities — 8.0%

               

Ameren Corp., 5.70%, 12/01/2026

    25,000       25,574  

Black Hills Corp., 3.15%, 01/15/2027

    27,000       26,134  

CenterPoint Energy, Inc., 1.45%, 06/01/2026

    27,000       25,487  

Cleco Corporate Holdings LLC, 3.74%, 05/01/2026

    26,000       25,470  

CMS Energy Corp., 3.00%, 05/15/2026

    26,000       25,241  

Dominion Energy, Inc., 1.45%, 04/15/2026

    26,000       24,696  

DTE Energy Co., 2.85%, 10/01/2026

    25,000       24,184  

Duke Energy Corp., 2.65%, 09/01/2026

    25,000       24,118  

Emera US Finance LP, 3.55%, 06/15/2026

    26,000       25,318  

Entergy Corp., 2.95%, 09/01/2026

    25,000       24,235  

Evergy Kansas Central, Inc., 2.55%, 07/01/2026

    26,000       25,141  

Eversource Energy, 4.75%, 05/15/2026

    26,000       26,008  

Exelon Corp., 3.40%, 04/15/2026

    26,000       25,520  

FirstEnergy Pennsylvania Electric Co., 5.15%, 03/30/2026 (a)

    24,000       24,086  

ITC Holdings Corp., 3.25%, 06/30/2026

    26,000       25,336  

KeySpan Gas East Corp., 2.74%, 08/15/2026 (a)

    27,000       25,867  

National Fuel Gas Co., 5.50%, 10/01/2026

    24,000       24,353  

National Rural Utilities Cooperative Finance Corp., 4.80%, 02/05/2027

    26,000       26,317  

New York State Electric & Gas Corp., 3.25%, 12/01/2026 (a)

    26,000       25,109  

NextEra Energy Capital Holdings, Inc., 1.88%, 01/15/2027

    27,000       25,441  

Pacific Gas and Electric Co., 2.95%, 03/01/2026

    26,000       25,225  

PPL Capital Funding, Inc., 3.10%, 05/15/2026

    26,000       25,308  

Public Service Electric and Gas Co., 0.95%, 03/15/2026

    27,000       25,581  

Sempra, 5.40%, 08/01/2026

    25,000       25,368  

Sierra Pacific Power Co., 2.60%, 05/01/2026

    26,000       25,170  

Southern California Edison Co., 5.35%, 03/01/2026

    25,000       25,298  

Southern Co., 3.25%, 07/01/2026

    26,000       25,378  

Southwestern Electric Power Co., 1.65%, 03/15/2026

    27,000       25,834  

Spire, Inc., 5.30%, 03/01/2026

    24,000       24,154  

 

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 87.3% (continued)

               

Utilities — 8.0% (continued)

               

Vistra Operations Co. LLC, 3.70%, 01/30/2027 (a)

  $ 27,000     $ 26,274  

WEC Energy Group, Inc., 5.60%, 09/12/2026

    24,000       24,481  

Xcel Energy, Inc., 3.35%, 12/01/2026

    26,000       25,291  
              806,997  

TOTAL CORPORATE BONDS (Cost $8,764,476)

            8,842,474  
                 

FOREIGN CORPORATE BONDS — 11.2%

               

Communications — 0.5%

               

Rogers Communications, Inc., 2.90%, 11/15/2026

    26,000       25,067  

TELUS Corp., 2.80%, 02/16/2027

    26,000       24,915  
              49,982  
                 

Consumer Discretionary — 0.2%

               

Magna International, Inc., 5.98%, 03/21/2026

    24,000       24,001  
                 

Consumer Staples — 0.5%

               

BAT International Finance PLC, 1.67%, 03/25/2026

    27,000       25,770  

JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 2.50%, 01/15/2027

    27,000       25,635  
              51,405  
                 

Energy — 1.0%

               

Enbridge, Inc., 5.90%, 11/15/2026

    25,000       25,700  

Shell International Finance BV, 2.88%, 05/10/2026

    26,000       25,419  

TransCanada PipeLines Ltd., 6.20%, 03/09/2026

    24,000       24,003  

Woodside Finance Ltd., 3.70%, 09/15/2026 (a)

    26,000       25,405  
              100,527  
                 

Financials — 3.8%

               

Aircastle Ltd., 4.25%, 06/15/2026

    26,000       25,649  

Avolon Holdings Funding Ltd., 4.25%, 04/15/2026 (a)

    26,000       25,597  

Bank of Montreal, 5.30%, 06/05/2026

    25,000       25,341  

Bank of Nova Scotia, 2.70%, 08/03/2026

    26,000       25,148  

Brookfield Finance, Inc., 4.25%, 06/02/2026

    25,000       24,788  

Canadian Imperial Bank of Commerce, 5.93%, 10/02/2026

    25,000       25,702  

Commonwealth Bank of Australia, 1.13%, 06/15/2026 (a)

    27,000       25,530  

GAIF Bond Issuer Pty Ltd., 3.40%, 09/30/2026 (a)

    26,000       25,281  

Macquarie Group Ltd., 1.63% to 09/23/2026 then SOFR + 0.91%, 09/23/2027 (a)

    26,000       24,394  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 11.2% (continued)

               

Financials — 3.8% (continued)

               

Manulife Financial Corp., 4.15%, 03/04/2026

  $ 26,000     $ 25,869  

Royal Bank of Canada, 1.20%, 04/27/2026

    27,000       25,643  

Sumitomo Mitsui Financial Group, Inc., 2.63%, 07/14/2026

    26,000       25,115  

Toronto-Dominion Bank, 5.53%, 07/17/2026

    25,000       25,465  

Trinity Acquisition PLC, 4.40%, 03/15/2026

    26,000       25,824  

Westpac Banking Corp., 2.85%, 05/13/2026

    26,000       25,347  
              380,693  
                 

Health Care — 0.7%

               

Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/2026

    25,000       25,014  

Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/2026

    26,000       25,434  

Utah Acquisition Sub, Inc., 3.95%, 06/15/2026

    26,000       25,630  
              76,078  
                 

Industrials — 1.5%

               

Canadian National Railway Co., 2.75%, 03/01/2026

    26,000       25,377  

Canadian Pacific Railway Co., 1.75%, 12/02/2026

    27,000       25,480  

Element Fleet Management Corp., 6.27%, 06/26/2026 (a)

    25,000       25,570  

Sydney Airport Finance Co. Pty Ltd., 3.63%, 04/28/2026 (a)

    24,000       23,562  

Trane Technologies Financing Ltd., 3.50%, 03/21/2026

    26,000       25,543  

Triton Container International Ltd., 2.05%, 04/15/2026 (a)

    27,000       25,689  
              151,221  
                 

Materials — 1.5%

               

ArcelorMittal SA, 4.55%, 03/11/2026

    26,000       25,863  

BHP Billiton Finance USA Ltd., 5.25%, 09/08/2026

    26,000       26,415  

CCL Industries, Inc., 3.25%, 10/01/2026 (a)

    25,000       24,217  

Nutrien Ltd., 4.00%, 12/15/2026

    26,000       25,691  

Suzano International Finance BV, 5.50%, 01/17/2027

    25,000       25,201  

Yara International ASA, 3.80%, 06/06/2026 (a)

    26,000       25,493  
              152,880  
                 

Technology — 1.0%

               

CGI, Inc., 1.45%, 09/14/2026

    27,000       25,283  

Genpact Luxembourg SARL/Genpact USA, Inc., 1.75%, 04/10/2026

    27,000       25,731  

NXP BV / NXP Funding LLC / NXP USA, Inc., 3.88%, 06/18/2026

    26,000       25,631  

Thomson Reuters Corp., 3.35%, 05/15/2026

    26,000       25,418  
              102,063  

 

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Concluded)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 11.2% (continued)

               

Utilities — 0.5%

               

Algonquin Power & Utilities Corp., 5.37%, 06/15/2026 (b)

  $ 25,000     $ 25,179  

Fortis, Inc., 3.06%, 10/04/2026

    26,000       25,081  
              50,260  

TOTAL FOREIGN CORPORATE BONDS (Cost $1,129,237)

            1,139,110  
                 

TOTAL INVESTMENTS — 98.5% (Cost $9,893,713)

          $ 9,981,584  

Other Assets in Excess of Liabilities — 1.5%

            143,876  

TOTAL NET ASSETS — 100.0%

          $ 10,125,460  

 

Percentages are stated as a percent of net assets.

 

ASA - Advanced Subscription Agreement

 

CMT - Constant Maturity Treasury Rate

 

PLC - Public Limited Company

 

SA - Sociedad Anónima

 

SOFR - Secured Overnight Financing Rate

 

(a)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $1,511,341 or 14.9% of the Fund’s net assets.

 

(b)

Step coupon bond. The rate disclosed is as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

13

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0%

               

Communications — 2.2%

               

Alphabet, Inc., 0.80%, 08/15/2027

  $ 60,000     $ 55,012  

AT&T, Inc., 2.30%, 06/01/2027

    58,000       54,859  

Comcast Corp., 3.30%, 02/01/2027

    57,000       55,694  

Cox Communications, Inc., 3.50%, 08/15/2027 (a)

    57,000       55,180  

Expedia Group, Inc., 4.63%, 08/01/2027

    57,000       57,162  

Meta Platforms, Inc., 3.50%, 08/15/2027

    57,000       56,147  

T-Mobile USA, Inc., 3.75%, 04/15/2027

    57,000       55,965  

Walt Disney Co., 2.20%, 01/13/2028

    59,000       55,394  

Warnermedia Holdings, Inc., 3.76%, 03/15/2027

    59,000       56,525  
              501,938  
                 

Consumer Discretionary — 8.6%

               

Amazon.com, Inc., 3.15%, 08/22/2027

    55,000       53,660  

AutoNation, Inc., 3.80%, 11/15/2027

    57,000       55,072  

AutoZone, Inc., 3.75%, 06/01/2027

    57,000       55,942  

BMW US Capital LLC, 4.90%, 04/02/2027 (a)

    54,000       54,684  

BorgWarner, Inc., 2.65%, 07/01/2027 (b)

    58,000       55,258  

Cintas Corp. No 2, 3.70%, 04/01/2027

    56,000       55,197  

Darden Restaurants, Inc., 3.85%, 05/01/2027

    57,000       55,912  

DR Horton, Inc., 1.40%, 10/15/2027

    59,000       53,882  

eBay, Inc., 3.60%, 06/05/2027

    55,000       53,881  

General Motors Financial Co., Inc., 5.00%, 04/09/2027

    55,000       55,476  

Harley-Davidson Financial Services, Inc., 3.05%, 02/14/2027 (a)

    56,000       53,494  

Hasbro, Inc., 3.50%, 09/15/2027

    57,000       54,852  

Home Depot, Inc., 4.88%, 06/25/2027

    54,000       55,045  

Hyundai Capital America, 5.30%, 03/19/2027 (a)

    54,000       54,793  

Las Vegas Sands Corp., 5.90%, 06/01/2027

    54,000       55,123  

Lear Corp., 3.80%, 09/15/2027

    55,000       53,520  

Leggett & Platt, Inc., 3.50%, 11/15/2027

    57,000       54,226  

Leland Stanford Junior University, 1.29%, 06/01/2027

    58,000       53,832  

Lennar Corp., 4.75%, 11/29/2027

    55,000       55,489  

Lowe’s Cos., Inc., 3.10%, 05/03/2027

    59,000       57,052  

Marriott International, Inc./MD, 5.00%, 10/15/2027

    54,000       54,844  

Masco Corp., 3.50%, 11/15/2027

    57,000       55,183  

Mattel, Inc., 5.88%, 12/15/2027 (a)

    54,000       54,578  

McDonald’s Corp., 3.50%, 07/01/2027

    56,000       54,799  

Meritage Homes Corp., 5.13%, 06/06/2027

    55,000       55,340  

 

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Consumer Discretionary — 8.6% (continued)

               

Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/2027 (a)

  $ 55,200     $ 55,712  

NIKE, Inc., 2.75%, 03/27/2027

    59,000       56,989  

O’Reilly Automotive, Inc., 3.60%, 09/01/2027

    56,000       54,698  

Snap-on, Inc., 3.25%, 03/01/2027

    56,000       54,643  

Southwest Airlines Co., 5.13%, 06/15/2027

    57,000       57,481  

Starbucks Corp., 4.85%, 02/08/2027

    56,000       56,544  

Tapestry, Inc., 4.13%, 07/15/2027

    60,000       58,619  

Toll Brothers Finance Corp., 4.88%, 03/15/2027

    55,000       55,055  

Toyota Motor Credit Corp., 3.05%, 03/22/2027

    57,000       55,425  

VF Corp., 2.80%, 04/23/2027

    61,000       57,115  
              1,933,415  
                 

Consumer Staples — 7.5%

               

BAT Capital Corp., 3.56%, 08/15/2027

    57,000       55,603  

Bunge Ltd. Finance Corp., 3.75%, 09/25/2027

    55,000       53,897  

Campbell Soup Co., 5.20%, 03/19/2027

    54,000       55,128  

Cargill, Inc., 3.63%, 04/22/2027 (a)

    57,000       55,987  

Church & Dwight Co., Inc., 3.15%, 08/01/2027

    57,000       55,358  

Clorox Co., 3.10%, 10/01/2027

    56,000       53,863  

Coca-Cola Co., 1.45%, 06/01/2027

    61,000       56,994  

Colgate-Palmolive Co., 3.10%, 08/15/2027

    57,000       55,657  

Conagra Brands, Inc., 1.38%, 11/01/2027

    61,000       55,362  

Constellation Brands, Inc., 4.35%, 05/09/2027

    55,000       54,796  

Costco Wholesale Corp., 1.38%, 06/20/2027

    59,000       54,897  

Dollar General Corp., 3.88%, 04/15/2027

    57,000       55,692  

Estee Lauder Cos., Inc., 3.15%, 03/15/2027

    55,000       53,500  

General Mills, Inc., 3.20%, 02/10/2027

    57,000       55,319  

Hormel Foods Corp., 4.80%, 03/30/2027

    57,000       57,771  

J M Smucker Co., 3.38%, 12/15/2027

    59,000       57,332  

Kellanova, 3.40%, 11/15/2027

    57,000       55,311  

Keurig Dr Pepper, Inc., 5.10%, 03/15/2027

    54,000       54,900  

Kimberly-Clark Corp., 1.05%, 09/15/2027

    62,000       56,514  

Kraft Heinz Foods Co., 3.88%, 05/15/2027

    57,000       56,207  

Kroger Co., 3.70%, 08/01/2027

    56,000       54,873  

McCormick & Co., Inc., 3.40%, 08/15/2027

    57,000       55,554  

Mondelez International, Inc., 2.63%, 03/17/2027

    56,000       53,592  

PepsiCo, Inc., 3.00%, 10/15/2027

    58,000       56,235  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

15

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Consumer Staples — 7.5% (continued)

               

Philip Morris International, Inc., 5.13%, 11/17/2027

  $ 54,000     $ 55,205  

Procter & Gamble Co., 1.90%, 02/01/2027

    58,000       55,130  

Smithfield Foods, Inc., 4.25%, 02/01/2027 (a)

    58,000       56,811  

Sysco Corp., 3.25%, 07/15/2027

    59,000       57,070  

Tyson Foods, Inc., 3.55%, 06/02/2027

    59,000       57,578  

Walmart, Inc., 3.95%, 09/09/2027

    55,000       55,094  
              1,667,230  
                 

Energy — 7.9%

               

Baker Hughes Holdings LLC / Baker Hughes Co.-Obligor, Inc., 3.34%, 12/15/2027

    57,000       55,292  

Boardwalk Pipelines LP, 4.45%, 07/15/2027

    58,000       57,700  

Cheniere Corpus Christi Holdings LLC, 5.13%, 06/30/2027

    54,000       54,543  

Chevron Corp., 2.00%, 05/11/2027

    58,000       54,940  

Continental Resources, Inc./OK, 4.38%, 01/15/2028

    56,000       54,941  

Coterra Energy, Inc., 3.90%, 05/15/2027

    57,000       55,869  

DCP Midstream Operating LP, 5.63%, 07/15/2027

    55,000       56,428  

Devon Energy Corp., 5.25%, 10/15/2027

    54,000       54,330  

Diamondback Energy, Inc., 5.20%, 04/18/2027

    54,000       54,910  

Energy Transfer LP, 5.50%, 06/01/2027

    54,000       55,062  

Eni USA, Inc., 7.30%, 11/15/2027

    52,000       56,208  

EnLink Midstream LLC, 5.63%, 01/15/2028 (a)

    55,000       56,013  

Enterprise Products Operating LLC, 3.95%, 02/15/2027

    57,000       56,543  

EQT Corp., 3.90%, 10/01/2027

    57,000       55,695  

Exxon Mobil Corp., 3.29%, 03/19/2027

    58,000       57,164  

Gray Oak Pipeline LLC, 3.45%, 10/15/2027 (a)

    56,000       53,707  

Hess Corp., 4.30%, 04/01/2027

    56,000       55,617  

HF Sinclair Corp., 6.38%, 04/15/2027 (a)

    55,000       55,425  

Marathon Oil Corp., 4.40%, 07/15/2027

    55,000       54,794  

MPLX LP, 4.13%, 03/01/2027

    56,000       55,384  

NGPL PipeCo LLC, 4.88%, 08/15/2027 (a)

    56,000       55,894  

Occidental Petroleum Corp., 5.00%, 08/01/2027

    55,000       55,456  

ONEOK, Inc., 4.00%, 07/13/2027

    59,000       58,244  

Phillips 66 Co., 4.95%, 12/01/2027

    54,000       54,843  

Sabine Pass Liquefaction LLC, 5.00%, 03/15/2027

    55,000       55,378  

Schlumberger Holdings Corp., 5.00%, 05/29/2027 (a)

    54,000       54,788  

Targa Resources Corp., 5.20%, 07/01/2027

    54,000       54,795  

TC PipeLines LP, 3.90%, 05/25/2027

    55,000       53,763  

Tennessee Gas Pipeline Co. LLC, 7.00%, 03/15/2027

    54,000       56,816  

 

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Energy — 7.9% (continued)

               

Texas Eastern Transmission LP, 3.50%, 01/15/2028 (a)

  $ 57,000     $ 54,785  

Valero Energy Corp., 2.15%, 09/15/2027

    59,000       55,232  

Williams Cos., Inc., 3.75%, 06/15/2027

    55,000       53,863  
              1,774,422  
                 

Financials — 25.4%

               

Air Lease Corp., 5.85%, 12/15/2027

    53,000       54,903  

Alexandria Real Estate Equities, Inc., 3.95%, 01/15/2028

    56,000       54,832  

Ally Financial, Inc., 7.10%, 11/15/2027

    54,000       57,347  

American Equity Investment Life Holding Co., 5.00%, 06/15/2027

    55,000       54,929  

American Express Credit Corp., 3.30%, 05/03/2027

    57,000       55,899  

American Tower Corp., 3.55%, 07/15/2027

    57,000       55,335  

Andrew W Mellon Foundation, 0.95%, 08/01/2027

    58,000       53,076  

Aon North America, Inc., 5.13%, 03/01/2027

    54,000       54,979  

Ares Capital Corp., 2.88%, 06/15/2027

    59,000       55,363  

Athene Holding Ltd., 4.13%, 01/12/2028

    56,000       54,899  

AvalonBay Communities, Inc., 3.20%, 01/15/2028

    57,000       54,777  

Aviation Capital Group LLC, 3.50%, 11/01/2027 (a)

    57,000       54,635  

Bank of America Corp., 3.42% to 12/20/2027 then 3 mo. Term SOFR + 1.30%, 12/20/2028

    57,000       54,960  

Bank of New York Mellon Corp., 5.80% to 10/25/2027 then SOFR + 1.80%, 10/25/2028

    55,000       57,326  

Berkshire Hathaway Finance Corp., 2.30%, 03/15/2027

    57,000       54,691  

BlackRock Funding, Inc., 4.60%, 07/26/2027

    55,000       55,789  

Blackstone Holdings Finance Co. LLC, 5.90%, 11/03/2027 (a)

    53,000       55,070  

Blackstone Private Credit Fund, 3.25%, 03/15/2027

    59,000       55,871  

Blackstone Secured Lending Fund, 2.13%, 02/15/2027

    59,000       54,623  

Blue Owl Capital Corp. III, 3.13%, 04/13/2027

    61,000       57,167  

Blue Owl Credit Income Corp., 7.75%, 09/16/2027

    54,000       56,852  

Boston Properties LP, 6.75%, 12/01/2027

    55,000       57,487  

Brighthouse Financial, Inc., 3.70%, 06/22/2027

    56,000       54,167  

Brixmor Operating Partnership LP, 3.90%, 03/15/2027

    55,000       53,790  

Cantor Fitzgerald LP, 4.50%, 04/14/2027 (a)

    55,000       54,210  

Capital One Financial Corp., 4.93% to 05/10/2027 then SOFR + 2.06%, 05/10/2028

    55,000       55,270  

Charles Schwab Corp., 2.45%, 03/03/2027

    58,000       55,233  

Citigroup, Inc., 4.45%, 09/29/2027

    55,000       54,741  

CNA Financial Corp., 3.45%, 08/15/2027

    57,000       55,423  

CNO Global Funding, 5.88%, 06/04/2027 (a)

    54,000       55,330  

Corebridge Financial, Inc., 3.65%, 04/05/2027

    55,000       53,851  

Crown Castle, Inc., 5.00%, 01/11/2028

    55,000       55,496  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Financials — 25.4% (continued)

               

Digital Realty Trust LP, 3.70%, 08/15/2027

  $ 57,000     $ 55,599  

Discover Financial Services, 4.10%, 02/09/2027

    58,000       57,000  

Eaton Vance Corp., 3.50%, 04/06/2027

    55,000       53,775  

Empower Finance 2020 LP, 1.36%, 09/17/2027 (a)

    60,000       54,464  

EPR Properties, 4.50%, 06/01/2027

    59,000       57,740  

Equinix, Inc., 1.80%, 07/15/2027

    59,000       54,834  

Equitable Financial Life Global Funding, 1.40%, 08/27/2027 (a)

    59,000       53,916  

ERP Operating LP, 3.25%, 08/01/2027

    57,000       55,376  

Essex Portfolio LP, 3.63%, 05/01/2027

    55,000       53,672  

Extra Space Storage LP, 3.88%, 12/15/2027

    56,000       54,781  

F&G Annuities & Life, Inc., 7.40%, 01/13/2028

    53,000       55,534  

Federal Realty OP LP, 3.25%, 07/15/2027

    59,000       56,768  

Fiserv, Inc., 2.25%, 06/01/2027

    59,000       55,673  

FS KKR Capital Corp., 3.25%, 07/15/2027

    61,000       57,264  

GATX Corp., 5.40%, 03/15/2027

    56,000       57,042  

Global Payments, Inc., 4.95%, 08/15/2027

    55,000       55,605  

Goldman Sachs BDC, Inc., 6.38%, 03/11/2027

    57,000       58,624  

Goldman Sachs Group, Inc., 3.62% to 03/15/2027 then SOFR + 1.85%, 03/15/2028

    55,000       53,693  

Golub Capital BDC, Inc., 2.05%, 02/15/2027

    59,000       54,297  

Guardian Life Global Funding, 1.25%, 11/19/2027 (a)

    62,000       56,186  

HAT Holdings I LLC / HAT Holdings II LLC, 8.00%, 06/15/2027 (a)

    53,000       55,533  

Healthcare Realty Holdings LP, 3.75%, 07/01/2027

    56,000       54,466  

Healthpeak OP LLC, 1.35%, 02/01/2027

    60,000       55,613  

Highwoods Realty LP, 3.88%, 03/01/2027

    55,000       53,228  

Jackson Financial, Inc., 5.17%, 06/08/2027

    57,000       57,775  

Jefferies Financial Group, Inc., 6.45%, 06/08/2027

    56,000       58,608  

JPMorgan Chase & Co., 4.85% to 07/25/2027 then SOFR + 1.99%, 07/25/2028

    58,000       58,521  

Kimco Realty OP LLC, 3.80%, 04/01/2027

    57,000       55,853  

Lazard Group LLC, 3.63%, 03/01/2027

    56,000       54,629  

LPL Holdings, Inc., 5.70%, 05/20/2027

    54,000       54,973  

Main Street Capital Corp., 6.50%, 06/04/2027

    54,000       55,190  

Markel Group, Inc., 3.50%, 11/01/2027

    59,000       57,191  

Mastercard, Inc., 3.30%, 03/26/2027

    57,000       55,875  

Mercury General Corp., 4.40%, 03/15/2027

    58,000       56,994  

Mid-America Apartments LP, 3.60%, 06/01/2027

    55,000       53,785  

Morgan Stanley Direct Lending Fund, 4.50%, 02/11/2027

    57,000       56,148  

Mutual of Omaha Cos. Global Funding, 5.35%, 04/09/2027 (a)

    54,000       55,026  

New York Life Global Funding, 4.85%, 01/09/2028 (a)

    55,000       55,810  

 

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Financials — 25.4% (continued)

               

NNN REIT, Inc., 3.50%, 10/15/2027

  $ 59,000     $ 57,245  

Northern Trust Corp., 4.00%, 05/10/2027

    55,000       54,775  

Northwestern Mutual Global Funding, 5.07%, 03/25/2027 (a)

    55,000       56,187  

Omega Healthcare Investors, Inc., 4.50%, 04/01/2027

    58,000       57,308  

Pacific Life Global Funding II, 1.45%, 01/20/2028 (a)

    61,000       55,211  

PayPal Holdings, Inc., 3.90%, 06/01/2027

    56,000       55,545  

Penske Truck Leasing Co. Lp / PTL Finance Corp., 4.40%, 07/01/2027 (a)

    56,000       55,655  

Progressive Corp., 2.50%, 03/15/2027

    57,000       54,545  

Prologis LP, 2.13%, 04/15/2027

    58,000       54,891  

Prudential Financial, Inc., 4.50% to 09/15/2027 then 3 mo. LIBOR US + 2.38%, 09/15/2047 (c)

    59,000       56,445  

Public Storage Operating Co., 3.09%, 09/15/2027

    57,000       54,993  

Radian Group, Inc., 4.88%, 03/15/2027

    55,000       54,770  

Realty Income Corp., 3.40%, 01/15/2028

    57,000       55,033  

Regency Centers LP, 3.60%, 02/01/2027

    58,000       56,712  

Reliance Standard Life Global Funding II, 4.93%, 09/01/2027 (a)

    5,000       5,003  

RenaissanceRe Finance, Inc., 3.45%, 07/01/2027

    56,000       54,295  

Sammons Financial Group, Inc., 4.45%, 05/12/2027 (a)

    57,000       55,973  

Santander Holdings USA, Inc., 4.40%, 07/13/2027

    59,000       58,284  

Simon Property Group LP, 3.38%, 12/01/2027

    59,000       57,208  

State Street Corp., 4.99%, 03/18/2027

    54,000       54,861  

Synchrony Financial, 3.95%, 12/01/2027

    57,000       54,922  

Tanger Properties LP, 3.88%, 07/15/2027

    56,000       54,392  

Truist Financial Corp., 4.87% to 01/26/2028 then SOFR + 1.44%, 01/26/2029

    55,000       55,131  

UDR, Inc., 3.50%, 01/15/2028

    57,000       54,987  

US Bancorp, 4.55% to 07/22/2027 then SOFR + 1.66%, 07/22/2028

    57,000       57,019  

Ventas Realty LP, 3.85%, 04/01/2027

    57,000       55,872  

VICI Properties LP / VICI Note Co., Inc., 3.75%, 02/15/2027 (a)

    56,000       54,297  

Visa, Inc., 1.90%, 04/15/2027

    58,000       54,971  

Voya Financial, Inc., 4.70% to 01/23/2028 then 3 mo. LIBOR US + 2.08%, 01/23/2048 (c)

    64,000       56,548  

Wells Fargo & Co., 3.53% to 03/24/2027 then SOFR + 1.51%, 03/24/2028

    56,000       54,529  

Welltower OP LLC, 2.70%, 02/15/2027

    59,000       56,757  

Weyerhaeuser Co., 6.95%, 10/01/2027

    54,000       57,490  

Willis North America, Inc., 4.65%, 06/15/2027

    58,000       58,095  
              5,675,331  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Health Care — 7.7%

               

Abbott Laboratories, 1.15%, 01/30/2028

  $ 61,000     $ 55,466  

AbbVie, Inc., 4.80%, 03/15/2027

    54,000       54,724  

Amgen, Inc., 2.20%, 02/21/2027

    58,000       55,027  

Astrazeneca Finance LLC, 4.80%, 02/26/2027

    54,000       54,738  

Baxter International, Inc., 1.92%, 02/01/2027

    59,000       55,392  

Becton Dickinson & Co., 3.70%, 06/06/2027

    57,000       55,855  

Bio-Rad Laboratories, Inc., 3.30%, 03/15/2027

    59,000       56,992  

Bristol-Myers Squibb Co., 4.90%, 02/22/2027

    54,000       54,862  

Cardinal Health, Inc., 3.41%, 06/15/2027

    59,000       57,400  

Cencora, Inc., 3.45%, 12/15/2027

    59,000       57,190  

Centene Corp., 4.25%, 12/15/2027

    56,000       54,751  

Cigna Group, 3.40%, 03/01/2027

    56,000       54,585  

CommonSpirit Health, 6.07%, 11/01/2027

    55,000       57,551  

CVS Health Corp., 1.30%, 08/21/2027

    60,000       54,735  

Elevance Health, Inc., 3.65%, 12/01/2027

    56,000       54,790  

Eli Lilly & Co., 4.50%, 02/09/2027

    57,000       57,508  

Gilead Sciences, Inc., 2.95%, 03/01/2027

    55,000       53,257  

HCA, Inc., 4.50%, 02/15/2027

    56,000       55,784  

Humana, Inc., 1.35%, 02/03/2027

    60,000       55,581  

Illumina, Inc., 5.75%, 12/13/2027

    55,000       56,699  

Johnson & Johnson, 0.95%, 09/01/2027

    60,000       55,016  

Kaiser Foundation Hospitals, 3.15%, 05/01/2027

    55,000       53,636  

Laboratory Corp. of America Holdings, 3.60%, 09/01/2027

    55,000       53,529  

Merck & Co., Inc., 1.70%, 06/10/2027

    59,000       55,288  

Novartis Capital Corp., 2.00%, 02/14/2027

    58,000       55,155  

Solventum Corp., 5.45%, 02/25/2027 (a)

    54,000       54,756  

SSM Health Care Corp., 3.82%, 06/01/2027

    57,000       56,203  

Thermo Fisher Scientific, Inc., 4.80%, 11/21/2027

    54,000       54,987  

UnitedHealth Group, Inc., 2.95%, 10/15/2027

    56,000       54,056  

Viatris, Inc., 2.30%, 06/22/2027

    58,000       54,217  

Zoetis, Inc., 3.00%, 09/12/2027

    57,000       54,724  
              1,714,454  
                 

Industrials — 8.7%

               

3M Co., 2.88%, 10/15/2027

    58,000       55,505  

AGCO Corp., 5.45%, 03/21/2027

    54,000       54,829  

Allegion US Holding Co., Inc., 3.55%, 10/01/2027

    59,000       57,289  

Amphenol Corp., 5.05%, 04/05/2027

    54,000       55,014  

 

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Industrials — 8.7% (continued)

               

Boeing Co., 5.04%, 05/01/2027

  $ 56,000     $ 56,074  

Burlington Northern Santa Fe LLC, 3.25%, 06/15/2027

    55,000       53,680  

Carrier Global Corp., 2.49%, 02/15/2027

    56,000       53,674  

Caterpillar Financial Services Corp., 5.00%, 05/14/2027

    54,000       55,116  

CSX Corp., 3.25%, 06/01/2027

    55,000       53,619  

Eaton Corp., 3.10%, 09/15/2027

    59,000       57,187  

Emerson Electric Co., 1.80%, 10/15/2027

    58,000       53,936  

General Dynamics Corp., 3.50%, 04/01/2027

    57,000       56,027  

Hexcel Corp., 4.20%, 02/15/2027

    56,000       54,661  

Honeywell International, Inc., 1.10%, 03/01/2027

    59,000       54,773  

Howmet Aerospace, Inc., 5.90%, 02/01/2027

    54,000       55,659  

Hubbell, Inc., 3.15%, 08/15/2027

    59,000       56,743  

Huntington Ingalls Industries, Inc., 3.48%, 12/01/2027

    57,000       55,028  

Ingersoll Rand, Inc., 5.20%, 06/15/2027

    54,000       54,947  

John Deere Capital Corp., 4.75%, 01/20/2028

    54,000       54,856  

Keysight Technologies, Inc., 4.60%, 04/06/2027

    55,000       54,897  

Lennox International, Inc., 1.70%, 08/01/2027

    60,000       55,546  

Lockheed Martin Corp., 5.10%, 11/15/2027

    54,000       55,514  

Norfolk Southern Corp., 7.80%, 05/15/2027

    53,000       57,517  

Northrop Grumman Corp., 3.25%, 01/15/2028

    57,000       54,999  

Otis Worldwide Corp., 2.29%, 04/05/2027

    60,000       56,837  

PACCAR Financial Corp., 5.00%, 05/13/2027

    54,000       55,209  

Parker-Hannifin Corp., 4.25%, 09/15/2027

    55,000       54,715  

Republic Services, Inc., 3.38%, 11/15/2027

    59,000       57,346  

RTX Corp., 3.50%, 03/15/2027

    56,000       54,795  

Ryder System, Inc., 2.85%, 03/01/2027

    57,000       54,682  

Textron, Inc., 3.65%, 03/15/2027

    55,000       53,798  

Union Pacific Corp., 2.15%, 02/05/2027

    58,000       55,200  

United Parcel Service, Inc., 3.05%, 11/15/2027

    57,000       54,989  

Waste Management, Inc., 4.95%, 07/03/2027

    54,000       55,051  

Xylem, Inc./NY, 1.95%, 01/30/2028

    61,000       56,253  
              1,935,965  
                 

Information Technology — 0.2%

               

VeriSign, Inc., 4.75%, 07/15/2027

    55,000       54,826  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Materials — 5.2%

               

Air Products and Chemicals, Inc., 1.85%, 05/15/2027

  $ 58,000     $ 54,626  

Albemarle Corp., 4.65%, 06/01/2027

    58,000       57,845  

Bayport Polymers LLC, 4.74%, 04/14/2027 (a)

    57,000       56,006  

Carlisle Cos., Inc., 3.75%, 12/01/2027

    56,000       54,623  

Celanese US Holdings LLC, 6.17%, 07/15/2027

    55,000       56,753  

Ecolab, Inc., 5.25%, 01/15/2028

    54,000       55,781  

Freeport-McMoRan, Inc., 5.00%, 09/01/2027

    54,000       54,076  

Georgia-Pacific LLC, 2.10%, 04/30/2027 (a)

    57,000       53,834  

Glencore Funding LLC, 4.00%, 03/27/2027 (a)

    58,000       56,960  

International Flavors & Fragrances, Inc., 1.83%, 10/15/2027 (a)

    60,000       55,042  

Martin Marietta Materials, Inc., 3.50%, 12/15/2027

    56,000       54,512  

Mosaic Co., 4.05%, 11/15/2027

    56,000       55,024  

Nucor Corp., 4.30%, 05/23/2027

    58,000       57,961  

Owens Corning, 5.50%, 06/15/2027

    54,000       55,348  

Packaging Corp. of America, 3.40%, 12/15/2027

    57,000       55,104  

RPM International, Inc., 3.75%, 03/15/2027

    55,000       53,742  

Sherwin-Williams Co., 3.45%, 06/01/2027

    59,000       57,520  

Sonoco Products Co., 2.25%, 02/01/2027

    58,000       54,896  

Steel Dynamics, Inc., 1.65%, 10/15/2027

    61,000       55,886  

Vulcan Materials Co., 3.90%, 04/01/2027

    56,000       55,292  

WRKCo, Inc., 3.38%, 09/15/2027

    59,000       56,977  
              1,167,808  
                 

Technology — 6.4%

               

Adobe, Inc., 2.15%, 02/01/2027

    58,000       55,336  

Apple, Inc., 3.35%, 02/09/2027

    56,000       55,138  

Applied Materials, Inc., 3.30%, 04/01/2027

    55,000       53,763  

Arrow Electronics, Inc., 3.88%, 01/12/2028

    57,000       55,267  

Autodesk, Inc., 3.50%, 06/15/2027

    55,000       53,675  

Broadcom, Inc., 5.05%, 07/12/2027

    55,000       55,842  

Cisco Systems, Inc., 4.80%, 02/26/2027

    54,000       54,875  

Dell International LLC / EMC Corp., 6.10%, 07/15/2027

    55,000       57,439  

Equifax, Inc., 5.10%, 12/15/2027

    54,000       54,937  

FactSet Research Systems, Inc., 2.90%, 03/01/2027

    56,000       53,733  

HP, Inc., 3.00%, 06/17/2027

    58,000       55,680  

Intel Corp., 3.75%, 08/05/2027

    57,000       55,345  

Intuit, Inc., 1.35%, 07/15/2027

    60,000       55,491  

Jabil, Inc., 4.25%, 05/15/2027

    59,000       58,343  

 

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Technology — 6.4% (continued)

               

Micron Technology, Inc., 4.19%, 02/15/2027

  $ 57,000     $ 56,432  

Microsoft Corp., 3.30%, 02/06/2027

    56,000       55,131  

Moody’s Corp., 3.25%, 01/15/2028

    57,000       55,214  

NetApp, Inc., 2.38%, 06/22/2027

    58,000       54,821  

Oracle Corp., 3.25%, 11/15/2027

    57,000       55,076  

QUALCOMM, Inc., 3.25%, 05/20/2027

    56,000       54,623  

Roper Technologies, Inc., 1.40%, 09/15/2027

    60,000       54,919  

S&P Global, Inc., 2.45%, 03/01/2027

    56,000       53,587  

Take-Two Interactive Software, Inc., 3.70%, 04/14/2027

    57,000       55,892  

Texas Instruments, Inc., 4.60%, 02/08/2027

    56,000       56,596  

VMware LLC, 3.90%, 08/21/2027

    57,000       56,020  

Workday, Inc., 3.50%, 04/01/2027

    55,000       53,795  
              1,436,970  
                 

Utilities — 8.2%

               

Alabama Power Co., 3.75%, 09/01/2027

    56,000       55,276  

Alliant Energy Finance LLC, 5.40%, 06/06/2027 (a)

    54,000       55,140  

Ameren Corp., 1.95%, 03/15/2027

    59,000       55,282  

American Electric Power Co., Inc., 5.75%, 11/01/2027

    55,000       57,016  

American Water Capital Corp., 2.95%, 09/01/2027

    56,000       53,926  

Arizona Public Service Co., 2.95%, 09/15/2027

    57,000       54,413  

Atmos Energy Corp., 3.00%, 06/15/2027

    56,000       54,140  

Boston Gas Co., 3.15%, 08/01/2027 (a)

    58,000       55,632  

CenterPoint Energy Houston Electric LLC, 3.00%, 02/01/2027

    57,000       55,275  

CMS Energy Corp., 3.45%, 08/15/2027

    57,000       55,627  

Consolidated Edison Co. of New York, Inc., 3.13%, 11/15/2027

    57,000       54,925  

Duke Energy Corp., 3.15%, 08/15/2027

    59,000       56,893  

Duquesne Light Holdings, Inc., 3.62%, 08/01/2027 (a)

    57,000       55,213  

Edison International, 5.75%, 06/15/2027

    54,000       55,334  

Entergy Louisiana LLC, 3.12%, 09/01/2027

    59,000       56,905  

Evergy Missouri West, Inc., 5.15%, 12/15/2027 (a)

    57,000       58,023  

Exelon Corp., 2.75%, 03/15/2027

    56,000       53,790  

FirstEnergy Corp., 3.90%, 07/15/2027

    56,000       54,934  

ITC Holdings Corp., 4.95%, 09/22/2027 (a)

    57,000       57,543  

MidAmerican Energy Co., 3.10%, 05/01/2027

    59,000       57,326  

National Fuel Gas Co., 3.95%, 09/15/2027

    55,000       53,614  

National Rural Utilities Cooperative Finance Corp., 4.80%, 02/05/2027

    56,000       56,682  

NextEra Energy Capital Holdings, Inc., 3.55%, 05/01/2027

    55,000       53,721  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 88.0% (continued)

               

Utilities — 8.2% (continued)

               

NiSource, Inc., 3.49%, 05/15/2027

  $ 55,000     $ 53,580  

NRG Energy, Inc., 2.45%, 12/02/2027 (a)

    61,000       56,613  

NSTAR Electric Co., 3.20%, 05/15/2027

    59,000       57,221  

Public Service Enterprise Group, Inc., 5.85%, 11/15/2027

    55,000       57,155  

Rochester Gas and Electric Corp., 3.10%, 06/01/2027 (a)

    59,000       56,740  

Sempra, 3.25%, 06/15/2027

    58,000       56,088  

Southwest Gas Corp., 5.80%, 12/01/2027

    56,000       57,842  

Virginia Electric and Power Co., 3.50%, 03/15/2027

    55,000       53,874  

WEC Energy Group, Inc., 1.38%, 10/15/2027

    61,000       55,574  

Xcel Energy, Inc., 1.75%, 03/15/2027

    59,000       55,034  
              1,836,351  

TOTAL CORPORATE BONDS (Cost $19,430,137)

            19,698,710  
                 

FOREIGN CORPORATE BONDS — 10.9%

               

Communications — 0.7%

               

Rogers Communications, Inc., 3.20%, 03/15/2027

    55,000       53,209  

TELUS Corp., 2.80%, 02/16/2027

    58,000       55,580  

Videotron Ltd., 5.13%, 04/15/2027 (a)

    54,000       53,915  
              162,704  
                 

Consumer Discretionary — 0.2%

               

Honda Motor Co. Ltd., 2.53%, 03/10/2027

    56,000       53,669  
                 

Consumer Staples — 0.5%

               

Alimentation Couche-Tard, Inc., 3.55%, 07/26/2027 (a)

    59,000       57,231  

Heineken NV, 3.50%, 01/29/2028 (a)

    57,000       55,544  
              112,775  
                 

Energy — 1.5%

               

BP Capital Markets PLC, 3.28%, 09/19/2027

    55,000       53,538  

Canadian Natural Resources Ltd., 3.85%, 06/01/2027

    57,000       55,901  

Cenovus Energy, Inc., 4.25%, 04/15/2027

    55,000       54,395  

Enbridge, Inc., 5.25%, 04/05/2027

    54,000       55,015  

Equinor ASA, 3.00%, 04/06/2027

    55,000       53,315  

Transcanada Trust, 5.30% to 03/15/2027 then 3 mo. LIBOR US + 3.21%, 03/15/2077 (c)

    57,000       54,548  
              326,712  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 10.9% (continued)

               

Financials — 3.5%

               

Aircastle Ltd., 2.85%, 01/26/2028 (a)

  $ 60,000     $ 55,530  

Avolon Holdings Funding Ltd., 2.53%, 11/18/2027 (a)

    58,000       53,660  

AXIS Specialty Finance PLC, 4.00%, 12/06/2027

    56,000       54,718  

Bank of Montreal, 2.65%, 03/08/2027

    56,000       53,789  

Bank of Nova Scotia, 5.40%, 06/04/2027

    54,000       55,386  

Brookfield Finance, Inc., 3.90%, 01/25/2028

    56,000       54,705  

Canadian Imperial Bank of Commerce, 5.24%, 06/28/2027

    54,000       55,172  

Commonwealth Bank of Australia, 2.55%, 03/14/2027 (a)

    56,000       53,631  

Macquarie Bank Ltd., 5.27%, 07/02/2027 (a)

    54,000       55,386  

Manulife Financial Corp., 2.48%, 05/19/2027

    58,000       55,334  

ORIX Corp., 5.00%, 09/13/2027

    55,000       55,735  

Royal Bank of Canada, 6.00%, 11/01/2027

    55,000       57,644  

Scentre Group Trust 1 / Scentre Group Trust 2, 3.75%, 03/23/2027 (a)

    56,000       54,754  

Westpac Banking Corp., 5.46%, 11/18/2027

    54,000       55,806  
              771,250  
                 

Health Care — 0.7%

               

CSL Finance PLC, 3.85%, 04/27/2027 (a)

    57,000       56,036  

Royalty Pharma PLC, 1.75%, 09/02/2027

    60,000       55,355  

Smith & Nephew PLC, 5.15%, 03/20/2027

    54,000       54,772  
              166,163  
                 

Industrials — 1.0%

               

CNH Industrial NV, 3.85%, 11/15/2027

    56,000       54,882  

Element Fleet Management Corp., 5.64%, 03/13/2027 (a)

    54,000       55,094  

Transurban Finance Co. Pty Ltd., 3.38%, 03/22/2027 (a)

    57,000       55,248  

Tyco Electronics Group SA, 3.13%, 08/15/2027

    57,000       55,153  
              220,377  
                 

Materials — 1.5%

               

ArcelorMittal SA, 6.55%, 11/29/2027

    54,000       56,929  

Kinross Gold Corp., 4.50%, 07/15/2027

    56,000       55,762  

LYB International Finance II BV, 3.50%, 03/02/2027

    56,000       54,617  

Newcastle Coal Infrastructure Group Pty Ltd., 4.40%, 09/29/2027 (a)

    56,672       55,160  

Nutrien Ltd., 5.20%, 06/21/2027

    54,000       55,000  

UPM-Kymmene Oyj, 7.45%, 11/26/2027 (a)

    54,000       57,542  
              335,010  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

25

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Concluded)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 10.9% (continued)

               

Technology — 1.0%

               

Flex Ltd., 6.00%, 01/15/2028

  $ 54,000     $ 55,722  

Nokia Oyj, 4.38%, 06/12/2027

    59,000       58,340  

NXP BV / NXP Funding LLC / NXP USA, Inc., 4.40%, 06/01/2027 (b)

    58,000       57,821  

Open Text Corp., 6.90%, 12/01/2027 (a)

    55,000       57,749  
              229,632  
                 

Utilities — 0.3%

               

APA Infrastructure Ltd., 4.25%, 07/15/2027 (a)

    59,000       58,749  

TOTAL FOREIGN CORPORATE BONDS (Cost $2,403,302)

            2,437,041  

 

 

 

Units

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.5%

               

Investments Purchased with Proceeds from Securities Lending — 0.5%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42%(d)

    99,470     $ 99,470  

TOTAL SHORT-TERM INVESTMENTS (Cost $99,470)

            99,470  
                 

TOTAL INVESTMENTS — 99.4% (Cost $21,932,909)

          $ 22,235,221  

Other Assets in Excess of Liabilities — 0.6%

            142,091  

TOTAL NET ASSETS — 100.0%

          $ 22,377,312  

 

Percentages are stated as a percent of net assets.

 

ASA - Advanced Subscription Agreement

 

LIBOR - London Interbank Offered Rate

 

NV - Naamloze Vennootschap

 

PLC - Public Limited Company

 

SA - Sociedad Anónima

 

SOFR - Secured Overnight Financing Rate

 

(a)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $3,111,088 or 13.9% of the Fund’s net assets.

 

(b)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $97,363 which represented 0.5% of net assets.

 

(c)

Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.

 

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2%

               

Communications — 2.5%

               

AT&T, Inc., 5.40%, 02/15/2034

  $ 64,000     $ 66,090  

Charter Communications Operating LLC / Charter Communications Operating Capital, 6.55%, 06/01/2034

    64,000       66,297  

Comcast Corp., 5.30%, 06/01/2034

    65,000       67,383  

T-Mobile USA, Inc., 5.15%, 04/15/2034

    66,000       67,191  

Verizon Communications, Inc., 4.40%, 11/01/2034

    70,000       67,191  

Walt Disney Co., 6.20%, 12/15/2034

    60,000       67,371  
              401,523  
                 

Consumer Discretionary — 6.6%

               

Amazon.com, Inc., 4.80%, 12/05/2034

    65,000       66,905  

AutoZone, Inc., 5.40%, 07/15/2034

    68,000       69,663  

BMW US Capital LLC, 5.15%, 04/02/2034 (a)

    65,000       66,010  

Choice Hotels International, Inc., 5.85%, 08/01/2034

    68,000       69,515  

Cornell University, 4.84%, 06/15/2034

    65,000       66,544  

ERAC USA Finance LLC, 5.20%, 10/30/2034 (a)

    65,000       66,529  

General Motors Financial Co., Inc., 5.95%, 04/04/2034

    65,000       67,268  

GXO Logistics, Inc., 6.50%, 05/06/2034

    63,000       65,443  

Hasbro, Inc., 6.05%, 05/14/2034

    66,000       68,312  

Home Depot, Inc., 4.95%, 06/25/2034

    66,000       67,634  

Hyatt Hotels Corp., 5.50%, 06/30/2034

    68,000       68,957  

Las Vegas Sands Corp., 6.20%, 08/15/2034

    65,000       66,568  

Marriott International, Inc., 5.30%, 05/15/2034

    66,000       67,119  

McDonald’s Corp., 5.20%, 05/17/2034

    65,000       67,790  

Starbucks Corp., 5.00%, 02/15/2034

    65,000       65,971  

Whirlpool Corp., 5.75%, 03/01/2034

    65,000       65,822  
              1,076,050  
                 

Consumer Staples — 4.9%

               

Anheuser-Busch InBev Worldwide, Inc., 5.00%, 06/15/2034

    65,000       66,662  

BAT Capital Corp., 6.00%, 02/20/2034

    64,000       67,481  

Campbell Soup Co., 5.40%, 03/21/2034

    64,000       66,098  

Coca-Cola Co., 5.00%, 05/13/2034

    64,000       66,537  

Coca-Cola Consolidated, Inc., 5.45%, 06/01/2034

    64,000       66,592  

Estee Lauder Cos., Inc., 5.00%, 02/14/2034

    65,000       66,192  

Keurig Dr Pepper, Inc., 5.30%, 03/15/2034

    64,000       65,967  

Mars, Inc., 3.60%, 04/01/2034 (a)

    73,000       66,281  

PepsiCo, Inc., 4.80%, 07/17/2034

    68,000       69,312  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

27

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Consumer Staples — 4.9% (continued)

               

Philip Morris International, Inc., 5.25%, 02/13/2034

  $ 65,000     $ 66,462  

Procter & Gamble Co., 5.80%, 08/15/2034

    63,000       70,293  

Tyson Foods, Inc., 5.70%, 03/15/2034

    64,000       66,585  
              804,462  
                 

Energy — 8.2%

               

Boardwalk Pipelines LP, 5.63%, 08/01/2034 (b)

    67,000       68,400  

BP Capital Markets America, Inc., 5.23%, 11/17/2034

    65,000       66,883  

Cameron LNG LLC, 3.30%, 01/15/2035 (a)

    78,000       66,402  

Cheniere Energy Partners LP, 5.75%, 08/15/2034 (a)

    64,000       66,262  

Cheniere Energy, Inc., 5.65%, 04/15/2034 (a)

    64,000       65,859  

Coterra Energy, Inc., 5.60%, 03/15/2034

    64,000       65,502  

Diamondback Energy, Inc., 5.40%, 04/18/2034

    65,000       66,159  

Energy Transfer LP, 5.60%, 09/01/2034

    65,000       66,906  

Enterprise Products Operating LLC, 4.85%, 01/31/2034

    66,000       66,264  

EQT Corp., 5.75%, 02/01/2034

    66,000       67,404  

Kinder Morgan, Inc., 5.40%, 02/01/2034

    66,000       66,981  

Marathon Oil Corp., 5.70%, 04/01/2034

    63,000       66,472  

MPLX LP, 5.50%, 06/01/2034

    66,000       67,153  

Occidental Petroleum Corp., 5.55%, 10/01/2034

    68,000       69,097  

Ovintiv, Inc., 6.50%, 08/15/2034

    63,000       68,252  

Phillips 66, 4.65%, 11/15/2034

    69,000       66,772  

Plains All American Pipeline LP / PAA Finance Corp., 5.70%, 09/15/2034

    65,000       66,480  

Targa Resources Corp., 6.50%, 03/30/2034

    60,000       65,469  

Whistler Pipeline LLC, 5.95%, 09/30/2034 (a)

    68,000       69,285  

Williams Cos., Inc., 5.15%, 03/15/2034

    65,000       65,283  
              1,337,285  
                 

Financials — 26.7%

               

Agree LP, 5.63%, 06/15/2034

    65,000       67,043  

Alexandria Real Estate Equities, Inc., 2.95%, 03/15/2034

    79,000       66,787  

Ally Financial, Inc., 6.18% to 07/26/2034 then SOFR + 2.29%, 07/26/2035

    68,000       69,254  

American Express Co., 5.28% to 07/26/2034 then SOFR + 1.42%, 07/26/2035

    68,000       69,491  

American Homes 4 Rent LP, 5.50%, 02/01/2034

    67,000       68,231  

American International Group, Inc., 3.88%, 01/15/2035

    72,000       66,483  

American Tower Corp., 5.45%, 02/15/2034

    66,000       68,158  

Aon North America, Inc., 5.45%, 03/01/2034

    64,000       66,228  

Arthur J Gallagher & Co., 5.45%, 07/15/2034

    65,000       66,817  

 

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Financials — 26.7% (continued)

               

AvalonBay Communities, Inc., 5.35%, 06/01/2034

  $ 65,000     $ 67,262  

Bank of New York Mellon Corp., 5.61% to 07/21/2034 then SOFR + 1.77%, 07/21/2039

    68,000       70,482  

BlackRock Funding, Inc., 5.00%, 03/14/2034

    65,000       67,045  

Blue Owl Finance LLC, 6.25%, 04/18/2034 (a)

    64,000       66,310  

Brixmor Operating Partnership LP, 5.50%, 02/15/2034

    67,000       67,766  

Brown & Brown, Inc., 5.65%, 06/11/2034

    65,000       67,002  

Capital One Financial Corp., 5.88% to 07/26/2034 then SOFR + 1.99%, 07/26/2035

    68,000       69,751  

CBRE Services, Inc., 5.95%, 08/15/2034

    64,000       67,622  

Chubb INA Holdings LLC, 5.00%, 03/15/2034

    65,000       66,607  

Cincinnati Financial Corp., 6.13%, 11/01/2034

    62,000       66,249  

Citizens Financial Group, Inc., 6.65% to 04/25/2034 then SOFR + 2.33%, 04/25/2035

    62,000       67,003  

CNA Financial Corp., 5.13%, 02/15/2034

    68,000       68,507  

CNO Financial Group, Inc., 6.45%, 06/15/2034

    65,000       67,803  

Crown Castle, Inc., 5.80%, 03/01/2034

    64,000       67,000  

Equinix Europe 2 Financing Corp. LLC, 5.50%, 06/15/2034

    65,000       67,272  

Essex Portfolio LP, 5.50%, 04/01/2034

    65,000       66,717  

Extra Space Storage LP, 5.40%, 02/01/2034

    67,000       68,204  

Fiserv, Inc., 5.45%, 03/15/2034

    64,000       65,961  

GATX Corp., 6.05%, 03/15/2034

    62,000       65,901  

Goldman Sachs Group, Inc., 5.33% to 07/23/2034 then SOFR + 1.55%, 07/23/2035 (b)

    68,000       69,278  

HA Sustainable Infrastructure Capital, Inc., 6.38%, 07/01/2034 (a)

    69,000       69,478  

Highwoods Realty LP, 7.65%, 02/01/2034

    61,000       68,513  

Host Hotels & Resorts LP, 5.70%, 07/01/2034

    67,000       67,922  

Huntington Bancshares, Inc., 5.71% to 02/02/2034 then SOFR + 1.87%, 02/02/2035

    66,000       67,648  

Jefferies Financial Group, Inc., 6.20%, 04/14/2034

    64,000       67,342  

JPMorgan Chase & Co., 5.29% to 07/22/2034 then SOFR + 1.46%, 07/22/2035

    66,000       67,731  

KeyCorp, 6.40% to 03/06/2034 then SOFR + 2.42%, 03/06/2035

    62,000       66,432  

Kimco Realty OP LLC, 6.40%, 03/01/2034

    60,000       66,086  

Kite Realty Group LP, 5.50%, 03/01/2034

    65,000       65,893  

Lincoln National Corp., 5.85%, 03/15/2034

    64,000       66,709  

LPL Holdings, Inc., 6.00%, 05/20/2034

    66,000       67,824  

Marsh & McLennan Cos., Inc., 5.15%, 03/15/2034

    64,000       66,307  

Mastercard, Inc., 4.88%, 05/09/2034

    65,000       66,713  

MetLife, Inc., 6.38%, 06/15/2034

    60,000       67,023  

Mid-America Apartments LP, 5.00%, 03/15/2034 (b)

    65,000       65,116  

Morgan Stanley, 5.32% to 07/19/2034 then SOFR + 1.56%, 07/19/2035

    68,000       69,462  

Nasdaq, Inc., 5.55%, 02/15/2034

    66,000       68,743  

NNN REIT, Inc., 5.50%, 06/15/2034

    65,000       66,478  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

29

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Financials — 26.7% (continued)

               

Nuveen LLC, 5.85%, 04/15/2034 (a)

  $ 64,000     $ 66,995  

Old Republic International Corp., 5.75%, 03/28/2034

    65,000       67,245  

PayPal Holdings, Inc., 5.15%, 06/01/2034

    66,000       67,788  

Phillips Edison Grocery Center Operating Partnership I LP, 5.75%, 07/15/2034

    65,000       66,928  

PNC Financial Services Group, Inc., 5.40% to 07/23/2034 then SOFR + 1.60%, 07/23/2035

    68,000       69,643  

Prologis LP, 5.00%, 03/15/2034

    65,000       65,720  

Prologis Targeted US Logistics Fund LP, 5.50%, 04/01/2034 (a)

    64,000       66,116  

Prudential Financial, Inc., 6.50% to 03/15/2034 then 5 yr. CMT Rate + 2.40%, 03/15/2054

    66,000       68,257  

Realty Income Corp., 5.13%, 02/15/2034

    67,000       67,603  

Reinsurance Group of America, Inc., 5.75%, 09/15/2034

    65,000       67,514  

Safehold GL Holdings LLC, 6.10%, 04/01/2034

    64,000       66,571  

Sammons Financial Group, Inc., 6.88%, 04/15/2034 (a)

    63,000       66,614  

Santander Holdings USA, Inc., 6.34% to 05/31/2034 then SOFR + 2.14%, 05/31/2035

    66,000       68,438  

TPG Operating Group II LP, 5.88%, 03/05/2034

    64,000       67,282  

UDR, Inc., 3.10%, 11/01/2034

    80,000       67,057  

Ventas Realty LP, 5.63%, 07/01/2034

    65,000       67,308  

VICI Properties LP, 5.75%, 04/01/2034

    65,000       66,954  

WP Carey, Inc., 5.38%, 06/30/2034

    67,000       67,490  
              4,381,177  
                 

Health Care — 9.0%

               

AbbVie, Inc., 5.05%, 03/15/2034

    64,000       65,950  

Adventist Health System/West, 5.76%, 12/01/2034

    65,000       66,598  

Astrazeneca Finance LLC, 5.00%, 02/26/2034

    65,000       66,936  

Bayer US Finance II LLC, 4.20%, 07/15/2034 (a)

    76,000       68,226  

Becton Dickinson & Co., 5.11%, 02/08/2034

    65,000       66,005  

Bristol-Myers Squibb Co., 5.20%, 02/22/2034

    64,000       66,384  

Cardinal Health, Inc., 5.45%, 02/15/2034

    66,000       68,212  

Cencora, Inc., 5.13%, 02/15/2034

    65,000       66,112  

Cigna Group, 5.25%, 02/15/2034

    66,000       67,408  

CommonSpirit Health, 5.32%, 12/01/2034

    66,000       67,498  

CVS Health Corp., 5.70%, 06/01/2034 (b)

    65,000       66,592  

Elevance Health, Inc., 5.38%, 06/15/2034

    65,000       67,357  

Eli Lilly & Co., 4.70%, 02/09/2034

    65,000       65,827  

GlaxoSmithKline Capital, Inc., 5.38%, 04/15/2034

    62,000       65,994  

HCA, Inc., 5.60%, 04/01/2034

    64,000       65,769  

Health Care Service Corp. A Mutual Legal Reserve Co., 5.45%, 06/15/2034 (a)

    65,000       66,653  

Humana, Inc., 5.95%, 03/15/2034

    62,000       65,557  

 

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Health Care — 9.0% (continued)

               

Johnson & Johnson, 4.95%, 06/01/2034

  $ 64,000     $ 66,944  

Solventum Corp., 5.60%, 03/23/2034 (a)

    65,000       66,266  

Thermo Fisher Scientific, Inc., 5.20%, 01/31/2034

    65,000       67,734  

UnitedHealth Group, Inc., 5.15%, 07/15/2034

    68,000       69,871  

Wyeth LLC, 6.50%, 02/01/2034

    60,000       67,942  
              1,471,835  
                 

Industrials — 7.7%

               

AGCO Corp., 5.80%, 03/21/2034

    64,000       65,824  

Allegion US Holding Co., Inc., 5.60%, 05/29/2034

    65,000       67,396  

Amphenol Corp., 5.25%, 04/05/2034

    65,000       66,881  

Boeing Co., 6.53%, 05/01/2034 (a)

    63,000       66,724  

Carrier Global Corp., 5.90%, 03/15/2034

    61,000       65,800  

Cummins, Inc., 5.15%, 02/20/2034 (b)

    64,000       66,381  

Ingersoll Rand, Inc., 5.45%, 06/15/2034

    64,000       66,562  

John Deere Capital Corp., 5.10%, 04/11/2034

    65,000       67,172  

L3Harris Technologies, Inc., 5.35%, 06/01/2034

    65,000       66,666  

Lockheed Martin Corp., 4.75%, 02/15/2034

    66,000       66,843  

Norfolk Southern Corp., 5.55%, 03/15/2034

    63,000       66,565  

Northrop Grumman Corp., 4.90%, 06/01/2034

    66,000       66,625  

PACCAR Financial Corp., 5.00%, 03/22/2034

    64,000       65,931  

Parker-Hannifin Corp., 4.20%, 11/21/2034

    71,000       67,829  

Republic Services, Inc., 5.00%, 04/01/2034

    66,000       67,146  

RTX Corp., 6.10%, 03/15/2034

    61,000       66,408  

United Parcel Service, Inc., 5.15%, 05/22/2034

    65,000       67,402  

Waste Management, Inc., 4.88%, 02/15/2034

    65,000       65,982  

Westinghouse Air Brake Technologies Corp., 5.61%, 03/11/2034

    64,000       66,650  
              1,266,787  
                 

Information Technology — 0.4%

               

Kyndryl Holdings, Inc., 6.35%, 02/20/2034

    64,000       67,366  
                 

Materials — 4.5%

               

Air Products and Chemicals, Inc., 4.85%, 02/08/2034 (b)

    65,000       65,981  

CF Industries, Inc., 5.15%, 03/15/2034

    66,000       65,807  

Dow Chemical Co., 5.15%, 02/15/2034

    67,000       67,720  

Eastman Chemical Co., 5.63%, 02/20/2034

    64,000       65,884  

Freeport-McMoRan, Inc., 5.40%, 11/14/2034

    66,000       67,283  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

31

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Materials — 4.5% (continued)

               

Glencore Funding LLC, 5.63%, 04/04/2034 (a)

  $ 65,000     $ 66,187  

Lubrizol Corp., 6.50%, 10/01/2034

    57,000       65,716  

LYB International Finance III LLC, 5.50%, 03/01/2034

    64,000       65,607  

Newmont Corp. / Newcrest Finance Pty Ltd., 5.35%, 03/15/2034 (a)

    64,000       66,218  

Owens Corning, 5.70%, 06/15/2034

    64,000       66,796  

Steel Dynamics, Inc., 5.38%, 08/15/2034

    68,000       68,965  
              732,164  
                 

Technology — 6.1%

               

Adobe, Inc., 4.95%, 04/04/2034

    65,000       67,166  

Analog Devices, Inc., 5.05%, 04/01/2034

    65,000       67,055  

Arrow Electronics, Inc., 5.88%, 04/10/2034

    65,000       66,495  

Atlassian Corp., 5.50%, 05/15/2034

    65,000       66,590  

Broadcom, Inc., 3.47%, 04/15/2034 (a)

    76,000       67,155  

Cisco Systems, Inc., 5.05%, 02/26/2034

    64,000       66,305  

Dell International LLC / EMC Corp., 5.40%, 04/15/2034

    65,000       66,691  

Intel Corp., 5.15%, 02/21/2034

    67,000       66,361  

KLA Corp., 4.70%, 02/01/2034

    66,000       66,373  

Motorola Solutions, Inc., 5.40%, 04/15/2034

    65,000       67,061  

Oracle Corp., 4.30%, 07/08/2034

    71,000       67,133  

Take-Two Interactive Software, Inc., 5.60%, 06/12/2034

    65,000       67,114  

TD SYNNEX Corp., 6.10%, 04/12/2034

    64,000       66,537  

Texas Instruments, Inc., 4.85%, 02/08/2034

    66,000       67,957  

Verisk Analytics, Inc., 5.25%, 06/05/2034

    66,000       67,227  
              1,003,220  
                 

Utilities — 12.6%

               

AEP Transmission Co. LLC, 5.15%, 04/01/2034

    66,000       67,160  

American Water Capital Corp., 5.15%, 03/01/2034

    64,000       65,743  

Arizona Public Service Co., 5.70%, 08/15/2034

    66,000       68,717  

Black Hills Corp., 6.00%, 01/15/2035

    64,000       66,855  

CenterPoint Energy Resources Corp., 5.40%, 07/01/2034

    66,000       67,314  

Consolidated Edison Co. of New York, Inc., 5.50%, 03/15/2034

    63,000       66,283  

Dominion Energy, Inc., 7.00% to 06/01/2034 then 5 yr. CMT Rate + 2.51%, 06/01/2054

    64,000       68,079  

DTE Energy Co., 5.85%, 06/01/2034

    63,000       66,355  

Duke Energy Corp., 5.45%, 06/15/2034

    65,000       66,970  

Entergy Louisiana LLC, 5.35%, 03/15/2034

    64,000       65,815  

Evergy Missouri West, Inc., 5.65%, 06/01/2034 (a)

    65,000       67,514  

 

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 89.2% (continued)

               

Utilities — 12.6% (continued)

               

Eversource Energy, 5.95%, 07/15/2034

  $ 64,000     $ 67,347  

Exelon Corp., 5.45%, 03/15/2034

    65,000       67,121  

IPALCO Enterprises, Inc., 5.75%, 04/01/2034

    64,000       65,865  

ITC Holdings Corp., 5.65%, 05/09/2034 (a)

    64,000       66,260  

Liberty Utilities Co., 5.87%, 01/31/2034 (a)

    65,000       66,855  

Monongahela Power Co., 5.85%, 02/15/2034 (a)

    65,000       68,603  

Narragansett Electric Co., 5.35%, 05/01/2034 (a)

    65,000       66,569  

NextEra Energy Capital Holdings, Inc., 5.25%, 03/15/2034

    64,000       65,074  

Niagara Mohawk Power Corp., 4.28%, 10/01/2034 (a)

    72,000       66,107  

NiSource, Inc., 5.35%, 04/01/2034

    65,000       66,351  

Pacific Gas and Electric Co., 5.80%, 05/15/2034

    64,000       65,869  

PacifiCorp, 5.45%, 02/15/2034

    66,000       67,436  

Public Service Enterprise Group, Inc., 5.45%, 04/01/2034

    65,000       66,825  

Puget Sound Energy, Inc., 5.33%, 06/15/2034

    65,000       67,083  

Southern California Edison Co., 5.20%, 06/01/2034

    66,000       67,059  

Southern Co., 5.70%, 03/15/2034

    63,000       66,469  

Union Electric Co., 5.20%, 04/01/2034

    65,000       66,638  

Vistra Operations Co. LLC, 6.00%, 04/15/2034 (a)

    64,000       66,884  

Wisconsin Power and Light Co., 5.38%, 03/30/2034

    64,000       65,996  

Xcel Energy, Inc., 5.50%, 03/15/2034

    64,000       65,535  
              2,068,751  

TOTAL CORPORATE BONDS (Cost $14,206,462)

            14,610,620  
                 

FOREIGN CORPORATE BONDS — 9.4%

               

Communications — 0.8%

               

Bell Telephone Co. of Canada or Bell Canada, 5.20%, 02/15/2034

    65,000       66,076  

Rogers Communications, Inc., 5.30%, 02/15/2034

    67,000       67,596  
              133,672  
                 

Consumer Staples — 0.8%

               

Alimentation Couche-Tard, Inc., 5.27%, 02/12/2034 (a)

    67,000       67,872  

JBS USA LUX SA / JBS USA Food Co. / JBS Luxembourg SARL, 6.75%, 03/15/2034 (a)

    61,000       66,876  
              134,748  
                 

Energy — 2.0%

               

Enbridge, Inc., 5.63%, 04/05/2034

    64,000       66,035  

Schlumberger Investment SA, 5.00%, 06/01/2034

    66,000       67,277  

Suncor Energy, Inc., 5.95%, 12/01/2034

    63,000       66,693  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

33

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 9.4% (continued)

               

Energy — 2.0% (continued)

               

TotalEnergies Capital SA, 5.15%, 04/05/2034

  $ 65,000     $ 67,201  

TransCanada PipeLines Ltd., 4.63%, 03/01/2034

    68,000       66,079  
              333,285  
                 

Financials — 1.7%

               

Arch Capital Group Ltd., 7.35%, 05/01/2034

    57,000       66,810  

Bank of Nova Scotia, 5.65%, 02/01/2034

    64,000       67,450  

Brookfield Finance, Inc., 5.68%, 01/15/2035

    68,000       70,038  

Royal Bank of Canada, 5.15%, 02/01/2034

    66,000       67,644  
              271,942  
                 

Health Care — 1.2%

               

CSL Finance PLC, 5.11%, 04/03/2034 (a)

    65,000       66,365  

Royalty Pharma PLC, 5.40%, 09/02/2034

    66,000       66,739  

Smith & Nephew PLC, 5.40%, 03/20/2034

    65,000       66,338  
              199,442  
                 

Industrials — 1.7%

               

Canadian National Railway Co., 6.25%, 08/01/2034

    61,000       68,595  

CIMIC Finance USA Pty Ltd., 7.00%, 03/25/2034 (a)

    63,000       66,917  

Trane Technologies Financing Ltd., 5.10%, 06/13/2034

    65,000       66,765  

Waste Connections, Inc., 5.00%, 03/01/2034

    65,000       65,989  
              268,266  
                 

Materials — 0.8%

               

ArcelorMittal SA, 6.00%, 06/17/2034

    65,000       67,333  

Nutrien Ltd., 5.40%, 06/21/2034

    66,000       67,255  
              134,588  
                 

Technology — 0.4%

               

Constellation Software, Inc., 5.46%, 02/16/2034 (a)

    64,000       65,952  

TOTAL FOREIGN CORPORATE BONDS (Cost $1,496,500)

            1,541,895  

 

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Schedule of Investments (Concluded)

August 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 2.4%

               

Investments Purchased with Proceeds from Securities Lending — 2.4%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42%(c)

    395,625     $ 395,625  

TOTAL SHORT-TERM INVESTMENTS (Cost $395,625)

            395,625  
                 

TOTAL INVESTMENTS — 101.0% (Cost $16,098,587)

          $ 16,548,140  

Liabilities in Excess of Other Assets — (1.0)%

            (153,126 )

TOTAL NET ASSETS — 100.0%

          $ 16,395,014  

 

Percentages are stated as a percent of net assets.

 

CMT - Constant Maturity Treasury Rate

 

PLC - Public Limited Company

 

SA - Sociedad Anónima

 

SOFR - Secured Overnight Financing Rate

 

(a)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $2,072,344 or 12.6% of the Fund’s net assets.

 

(b)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $385,686 which represented 2.4% of net assets.

 

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

35

 

 

F/m Corporate Bond ETFs

Statements of Assets and Liabilities

August 31, 2024

 

 

 

F/m 2-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 3-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 10-Year
Investment
Grade
Corporate
Bond ETF

 

ASSETS

                       

Investments in securities of unaffiliated issuers, at value (cost $9,893,713, $21,833,439, and 15,702,962, respectively)(1)

  $ 9,981,584     $ 22,135,751     $ 16,152,515  

Investments purchased with proceeds from securities lending collateral (cost $—, $99,470 and $395,625, respectively)

          99,470       395,625  

Cash equivalents

    46,962       6,106       3,646  

Receivables for:

                       

Interest

    98,196       238,286       240,929  

Total assets

    10,126,742       22,479,613       16,792,715  
                         

LIABILITIES

                       

Payables for:

                       

Investments purchased

                 

Advisory fees

    1,282       2,831       2,076  

Securities lending collateral (see Note 6)

          99,470       395,625  

Total liabilities

    1,282       102,301       397,701  

Net assets

  $ 10,125,460     $ 22,377,312     $ 16,395,014  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 200     $ 440     $ 320  

Paid-in capital

    10,007,035       22,069,984       16,037,026  

Total distributable earnings/(losses)

    118,225       306,888       357,668  

Net assets

  $ 10,125,460     $ 22,377,312     $ 16,395,014  
                         

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    200,000       440,000       320,000  

Net asset value and redemption price per share

  $ 50.63     $ 50.86     $ 51.23  

 

(1)

Includes market value of securities on loan of $—, $97,363, and $385,686, respectively.

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

F/m Corporate Bond ETFs

Statements of Operations

FOR THE Period ENDED August 31, 2024

 

 

 

F/m 2-Year
Investment
Grade
Corporate
Bond ETF
(1)

   

F/m 3-Year
Investment
Grade
Corporate
Bond ETF
(1)

   

F/m 10-Year
Investment
Grade
Corporate
Bond ETF
(1)

 

INVESTMENT INCOME

                       

Interest income

  $ 315,106     $ 551,757     $ 477,392  

Securities lending income, net

    139       126       3,237  

Total investment income

    315,245       551,883       480,629  
                         

EXPENSES

                       

Advisory fees (Note 3)

    9,200       16,566       13,424  

Total expenses

    9,200       16,566       13,424  

Net investment income/(loss)

    306,045       535,317       467,205  
                         

NET REALIZED AND UNREALIZED GAIN/ (LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from investments in unaffiliated issuers

    (12,155 )     (74,997 )     (183,923 )

Net realized gain/(loss) from investments in affiliated issuers (See Note 9)

    (35 )     2,720       7,440  

Net realized gain from redemption in-kind

                (3,330 )

Net change in unrealized appreciation/(depreciation) on investments of unaffiliated issuers

    87,870       302,311       449,553  

Net realized and unrealized gain/(loss)

    75,680       230,034       269,740  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 381,725     $ 765,351     $ 736,945  

 

(1)

Inception date of the Fund was January 10, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

37

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
Period ENDED
August 31,
2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 306,045  

Net realized gain/(loss) from investments

    (12,190 )

Net change in unrealized appreciation/(depreciation) on investments

    87,870  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    381,725  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (263,500 )

Net decrease in net assets from dividends and distributions to shareholders

    (263,500 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    10,007,235  

Net increase/(decrease) in net assets from capital share transactions

    10,007,235  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    10,125,460  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 10,125,460  
         

SHARE TRANSACTIONS:

       

Shares sold

    200,000  

Shares redeemed

     

Net increase/(decrease) in shares

    200,000  

 

(1)

Inception date of the Fund was January 10, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
Period ENDED
August 31,
2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 535,317  

Net realized gain/(loss) from investments

    (72,277 )

Net change in unrealized appreciation/(depreciation) on investments

    302,311  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    765,351  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (458,463 )

Net decrease in net assets from dividends and distributions to shareholders

    (458,463 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    22,070,424  

Net increase/(decrease) in net assets from capital share transactions

    22,070,424  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    22,377,312  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 22,377,312  
         

SHARE TRANSACTIONS:

       

Shares sold

    440,000  

Shares redeemed

     

Net increase/(decrease) in shares

    440,000  

 

(1)

Inception date of the Fund was January 10, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

39

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
Period ENDED
August 31,
2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 467,205  

Net realized gain/(loss) from investments

    (179,813 )

Net change in unrealized appreciation/(depreciation) on investments

    449,553  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    736,945  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (396,142 )

Net decrease in net assets from dividends and distributions to shareholders

    (396,142 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    18,028,159  

Shares redeemed

    (1,973,948 )

Net increase/(decrease) in net assets from capital share transactions

    16,054,211  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    16,395,014  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 16,395,014  
         

SHARE TRANSACTIONS:

       

Shares sold

    360,000  

Shares redeemed

    (40,000 )

Net increase/(decrease) in shares

    320,000  

 

(1)

Inception date of the Fund was January 10, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

F/m 2-Year Investment Grade Corporate Bond ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
PERIOD
ENDED
August 31,

 

 

 

2024(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.00  

Net investment income/(loss)(2)

    1.60  

Net realized and unrealized gain/(loss) from investments

    0.35  

Net increase/(decrease) in net assets resulting from operations

    1.95  

Dividends and distributions to shareholders from:

       

Net investment income

    (1.32 )

Total dividends and distributions to shareholders

    (1.32 )

Net asset value, end of period

  $ 50.63  

Market value, end of period

  $ 50.69  

Total investment return/(loss) on net asset value(3)

    3.96 %(5)

Total investment return/(loss) on market price(4)

    4.09 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 10,125  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.99 %(6)

Portfolio turnover rate

    110 %(5)

 

(1)

Inception date of the Fund was January 10, 2024.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

41

 

 

F/m 3-Year Investment Grade Corporate Bond ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
PERIOD
ENDED
August 31,

 

 

 

2024(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.00  

Net investment income/(loss)(2)

    1.55  

Net realized and unrealized gain/(loss) from investments

    0.62  

Net increase/(decrease) in net assets resulting from operations

    2.17  

Dividends and distributions to shareholders from:

       

Net investment income

    (1.31 )

Total dividends and distributions to shareholders

    (1.31 )

Net asset value, end of period

  $ 50.86  

Market value, end of period

  $ 50.93  

Total investment return/(loss) on net asset value(3)

    4.41 %(5)

Total investment return/(loss) on market price(4)

    4.55 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 22,377  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.85 %(6)

Portfolio turnover rate

    86 %(5)

 

(1)

Inception date of the Fund was January 10, 2024.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

F/m 10-Year Investment Grade Corporate Bond ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
PERIOD
ENDED
August 31,

 

 

 

2024(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.00  

Net investment income/(loss)(2)

    1.66  

Net realized and unrealized gain/(loss) from investments

    0.93  

Net increase/(decrease) in net assets resulting from operations

    2.59  

Dividends and distributions to shareholders from:

       

Net investment income

    (1.36 )

Total dividends and distributions to shareholders

    (1.36 )

Net asset value, end of period

  $ 51.23  

Market value, end of period

  $ 51.42  

Total investment return/(loss) on net asset value(3)

    5.32 %(5)

Total investment return/(loss) on market price(4)

    5.68 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 16,395  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    5.22 %(6)

Portfolio turnover rate

    131 %(5)

 

(1)

Inception date of the Fund was January 10, 2024.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

43

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements

August 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond ETF (each a “Fund” and together the “Funds” or “F/m Corporate Bond ETFs”). The F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond ETF commenced investment operations on January 10, 2024.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the F/m 2-Year Investment Grade Corporate Bond ETF, the F/m 3-Year Investment Grade Corporate Bond ETF, and the F/m 10-Year Investment Grade Corporate Bond ETF is to seek investment results that correspond (before fees and expenses) generally to the price and yield of its corresponding benchmark index (“Underlying Index”): the ICE 2-Year Target Maturity Index, the ICE 3-Year Target Maturity Index, and the ICE 10-Year Target Maturity Index, respectively.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Funds is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal period since the Funds’ inception from January 10, 2024 through August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION — The Funds value their investments at fair value. Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Units of Mount Vernon Liquid Assets Portfolio are not traded on an exchange and are valued at the investment company’s NAV per share.

 

The Board has adopted a pricing and valuation policy for use by the Funds and their Valuation Designee (as defined below) in calculating the Funds’ NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Funds have designated F/m Investments, LLC d/b/a North Slope Capital, LLC (the “Adviser” or “F/m”) as their “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of each Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

44

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

 

Level 3 – Prices are determined using significant unobservable inputs (including each Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing each Fund’s investments carried at fair value:

 

F/M 2-YEAR INVESTMENT GRADE CORPORATE
BOND ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Corporate Bonds

  $ 8,842,474     $     $ 8,842,474     $  

Foreign Corporate Bonds

    1,139,110             1,139,110        

Total Investments

  $ 9,981,584     $     $ 9,981,584     $  

 

F/M 3-YEAR INVESTMENT GRADE CORPORATE
BOND ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Corporate Bonds

  $ 19,698,710     $     $ 19,698,710     $  

Foreign Corporate Bonds

    2,437,041             2,437,041        

Investments Purchased with Proceeds from Securities Lending*

    99,470                    

Total Investments

  $ 22,235,221     $     $ 22,135,751     $  

 

F/M 10-YEAR INVESTMENT GRADE CORPORATE
BOND ETF

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Corporate Bonds

  $ 14,610,620     $     $ 14,610,620     $  

Foreign Corporate Bonds

    1,541,895             1,541,895        

Investments Purchased with Proceeds from Securities Lending*

    395,625                    

Total Investments

  $ 16,548,140     $     $ 16,152,515     $  

 

*

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 Schedule of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of each Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

 

45

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Funds did not have any significant Level 3 transfers during the current fiscal period.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. Each Fund expects to declare and pay distributions, if any, monthly, however it may declare and pay distributions more or less frequently. Net realized capital gains (including net short-term capital gains), if any, will be distributed by each Fund at least annually. Brokers may make the DTC book-entry dividend reinvestment service available to their customers who own a Fund’s Shares. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole Shares of that Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash. In order to achieve the maximum total return on their investments, investors are encouraged to use the dividend reinvestment service. To determine whether the dividend reinvestment service is available and whether there is a commission or other charge for using this service, consult your broker. Brokers may require a Fund’s shareholders to adhere to specific procedures and timetables.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

2. INVESTMENT POLICIES AND PRACTICES

 

The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.

 

46

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

Cash Equivalents and Short-Term InvestmentS - The Funds may invest in cash, cash equivalents, and a variety of short-term instruments in such proportions as warranted by prevailing market conditions and each Fund’s principal investment strategies. The Funds may temporarily invest without limit in such instruments for liquidity purposes, or in an attempt to respond to adverse market, economic, political or other conditions. During such periods, a Fund may not be able to achieve its investment objective.

 

Illiquid Investments - Pursuant to Rule 22e-4 under the 1940 Act, a Fund may invest up to 15% of its net assets in illiquid investments. An illiquid investment as defined in Rule 22e-4 is an investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions within 7 calendar days or less without the sale or disposition significantly changing the market value of the investment. These investments may include restricted securities and repurchase agreements maturing in more than 7 days. Restricted securities are securities that may not be sold to the public without an effective registration statement under the Securities Act of 1933, as amended (the “1933 Act”), and thus may be sold only in privately negotiated transactions or pursuant to an exemption from registration. Subject to the adoption of guidelines by the Board, certain restricted securities that may be sold to institutional investors pursuant to Rule 144A under the 1933 Act and non-exempt commercial paper may be determined to be liquid by the Adviser. Illiquid investments involve the risk that the investments will not be able to be sold at the time the Adviser desires or at prices approximating the value at which a Fund is carrying the investments. To the extent an investment held by a Fund is deemed to be an illiquid investment or a less liquid investment, a Fund will be exposed to a greater liquidity risk.

 

Inflation Protected Securities - Each Fund may invest in inflation protected securities. Inflation protected securities are fixed income securities designed to provide protection against the negative effects of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out the inflation accruals as part of a semiannual coupon.

 

Other Investment Companies - Each Fund may invest in other investment companies, including open-end funds, closed-end funds, unit investment trusts, and exchange-traded funds (“ETFs”) registered under the 1940 Act that invest primarily in Fund eligible investments. Under the 1940 Act, a Fund’s investment in such securities is generally limited to 3% of the total voting stock of any one investment company; 5% of such Fund’s total assets with respect to any one investment company; and 10% of such Fund’s total assets in the aggregate. A Fund’s investments in other investment companies may include money market mutual funds. Investments in money market funds are not subject to the percentage limitations set forth above. The SEC has adopted revisions to the rules permitting funds to invest in other investment companies in excess of the limits described above. While Rule 12d1-4 permits more types of fund of fund arrangements without reliance on an exemptive order or no-action letters, it imposes new conditions, including limits on control and voting of acquired funds’ shares, evaluations and findings by investment advisers, fund investment agreements, and limits on most three-tier fund structures. Rule 12d1-4 went into effect on January 19, 2021. The rescission of the applicable exemptive orders and the withdrawal of the applicable no-action letters was effective on January 19, 2022. These regulatory changes may adversely impact a Fund’s investment strategies and operations.

 

U.S. Government Securities - Each Fund may invest in U.S. government securities, including bills, notes and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. government agencies or instrumentalities. U.S. government agency securities include securities issued by (a) the Federal Housing Administration, Farmers Home Administration, Export-Import Bank of the United States, Small Business Administration, and the Government National Mortgage Association, whose securities are supported by the full faith and credit of the United States; (b) the Federal Home Loan Banks, Federal Intermediate Credit Banks, and the Tennessee Valley Authority, whose securities are supported by the right of the agency to borrow from the U.S. Treasury; (c) the Federal National Mortgage Association, whose securities are supported by the discretionary authority of the U.S. government to purchase certain obligations of the agency or instrumentality; and (d) the Student Loan Marketing Association, whose securities are supported only by its credit. While the U.S. government provides financial support to such U.S. government-sponsored agencies or instrumentalities, no assurance can be given that it always will do so since it is not so obligated by law. The U.S. government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate.

 

Zero-Coupon and Step Coupon Securities - Each Fund may invest in zero-coupon and step coupon securities. Zero-coupon securities pay no cash income to their holders until they mature. When held to maturity, their entire return comes from the difference between their purchase price and their maturity value. Step coupon securities are debt securities that may not pay interest for a specified period of time and then, after the initial period, may pay interest at a series of different rates. Both

 

 

47

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

zero-coupon and step coupon securities are issued at substantial discounts from their value at maturity. Because interest on these securities is not paid on a current basis, the values of securities of this type are subject to greater fluctuations than are the value of securities that distribute income regularly and may be more speculative than such securities. Accordingly, the values of these securities may be highly volatile as interest rates rise or fall. In addition, while such securities generate income for purposes of generally accepted accounting standards, they do not generate cash flow and thus could cause a Fund to be forced to liquidate securities at an inopportune time in order to distribute cash, as required by the Code.

 

CREDIT RISK - The value of your investment in each Fund may change in response to changes in the credit ratings of the Fund’s portfolio securities, including with respect to the underlying funds. Generally, investment risk and price volatility increase as a security’s credit rating declines. The financial condition of an issuer of a fixed income security held by each Fund may cause it to default or become unable to pay interest or principal due on the security.

 

144A SECURITIES RISK- Rule 144A securities are securities that are exempt from registration in compliance with the 1933 Act, and the rules thereunder, and may have legal restrictions on resale. Under Rule 144A under the 1933 Act these privately placed securities may be resold to qualified institutional buyers (“QIBs”), subject to certain conditions. An insufficient number of QIBs interested in purchasing Rule 144A securities at a particular time could adversely affect the marketability of the securities and a Fund might be unable to dispose of the securities promptly or at a reasonable price. Please refer to the Schedule of Investments for further details regarding each Fund’s investments in Rule 144A securities.

 

Temporary Investments - During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed-income obligations (which generally have remaining maturities of one year or less) and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of U.S. banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for U.S. Government Securities.

 

In lieu of purchasing money market instruments, the Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear that fund’s fees and expenses, which will be in addition to the fees and expenses of the Fund. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

3. INVESTMENT ADVISER AND OTHER SERVICES

 

Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the investment advisory agreement (the “Advisory Agreement”) between the Adviser and the Company on behalf of each Fund. The Adviser is controlled by Diffractive Managers Group, LLC, a Delaware limited liability company, and EQSF Holdings, LLC, a Delaware limited liability company owned by three officers of the Company. The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.15% of each Fund’s average daily net assets during the month. From the unitary management fee, the Adviser pays most of the expenses of each Fund, including transfer agency, custody, fund administration, legal, audit and other services. However, under the Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes, distribution fees and expenses paid by each Fund under any distribution plan adopted, and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business. The Adviser will not be liable for any error of judgment, mistake of law, or for any loss suffered by a Fund in connection with the performance of the Advisory Agreement, except a loss resulting from a breach of fiduciary duty with respect to the receipt of compensation for services or a loss resulting from willful misfeasance, bad faith or gross negligence on the part of the Adviser in the performance of its duties, or from reckless disregard of its obligations and duties under the Advisory Agreement.

 

48

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $ 9,200  

F/m 3-Year Investment Grade Corporate Bond ETF

    16,566  

F/m 10-Year Investment Grade Corporate Bond ETF

    13,424  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as each Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of each Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Under each Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. As of the end of the current fiscal period, there were no director and officer fees charged or paid by the Funds.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:

 

 

 

F/m 2-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 3-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 10-Year
Investment
Grade
Corporate
Bond ETF

 

Purchases of investment securities

  $ 10,589,786     $ 15,580,999     $ 19,016,239  

Proceeds from sales of investment securities

    10,602,647       15,401,977       18,683,589  

 

 

49

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Funds were as follows:

 

 

 

F/m 2-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 3-Year
Investment
Grade
Corporate
Bond ETF

   

F/m 10-Year
Investment
Grade
Corporate
Bond ETF

 

In-kind purchases of investment securities

  $ 9,819,212     $ 21,594,187     $ 17,522,491  

Proceeds from in-kind sales of investment securities

                1,965,949  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5. FEDERAL INCOME TAX INFORMATION

 

Each 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. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, each 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, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:

 

   

FEDERAL
Tax Cost

   

Unrealized
appreciation

   

Unrealized
(depreciation)

   

net unrealized
appreciation/
depreciation

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $ 9,894,086     $ 89,749     $ (2,251 )   $ 87,498  

F/m 3-Year Investment Grade Corporate Bond ETF

  $ 21,937,864     $ 302,485     $ (5,129 )   $ 297,356  

F/m 10-Year Investment Grade Corporate Bond ETF

  $ 16,111,177     $ 449,800     $ (12,838 )   $ 436,962  

 

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.

 

50

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

As of August 31, 2024, there were permanent differences related to redemptions in-kind between distributable earnings/(loss) and paid-in capital, respectively for the Fund:

 

   

Distributable
earnings/(loss)

   

PAID-IN-CAPITAL

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $     $  

F/m 3-Year Investment Grade Corporate Bond ETF

  $     $  

F/m 10-Year Investment Grade Corporate Bond ETF

  $ 16,865     $ (16,865 )

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

   

undistributed
ordinary
income

   

undistributed
long-term
capital gains

   

net unrealized
appreciation/
(depreciation)

   

capital
loss
carryover

   

qualified
late-year
loss

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $ 42,545     $ 0     $ 87,498     $ (11,818 )   $ 0  

F/m 3-Year Investment Grade Corporate Bond ETF

  $ 76,854     $ 0     $ 297,356     $ (67,322 )   $ 0  

F/m 10-Year Investment Grade Corporate Bond ETF

  $ 71,063     $ 0     $ 436,962     $ (150,357 )   $ 0  

 

The difference between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2024 was as follows:

 

   

Ordinary
income

   

long-term
capital gains

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $ 263,500     $ 0  

F/m 3-Year Investment Grade Corporate Bond ETF

  $ 458,463     $ 0  

F/m 10-Year Investment Grade Corporate Bond ETF

  $ 396,142     $ 0  

 

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. As of August 31, 2024, the F/m 2-Year Investment Grade Corporate Bond ETF, F/m 3-Year Investment Grade Corporate Bond ETF, and F/m 10-Year Investment Grade Corporate Bond ETF had unexpiring short-term losses of $11,818, $67,322, and $150,357, respectfully.

 

6. SECURITIES LENDING

 

The Funds may make secured loans of their Fund 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 domestic securities, and 105% of the current market value of the loaned foreign securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, each 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 Funds receive compensation in the form of loan fees owed by borrowers and income earned on collateral investments. A portion of the interest

 

 

51

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

received on the loan collateral is retained by the Funds and the remainder is rebated to the borrower of the securities. Pursuant to the securities lending agreement between the Trust, on behalf of the Funds, and the Custodian, each Fund pays a fee to the Custodian for administrative and custodial fees, which is calculated daily and paid monthly, in the amount of 20% of the Fund’s net income. The net amount of interest earned, after the interest rebate and the allocation to the Custodian, is shown below. Collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable Net Asset Value of $1.00. The Funds will bear the risk of loss of the invested collateral. Investments purchased with collateral 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 net income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE
OF SECURITIES
LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME
RECEIVED FROM
SECURITIES
LENDING

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $     $     $ 139  

F/m 3-Year Investment Grade Corporate Bond ETF

    97,363       99,470       126  

F/m 10-Year Investment Grade Corporate Bond ETF

    385,686       395,625       3,237  

 

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 STATEMENTS OF ASSETS AND LIABILITIES

 

FUND

 

GROSS AMOUNTS
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENTS
OF ASSETS AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET AMOUNT2

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $     $     $     $     $     $  

F/m 3-Year Investment Grade Corporate Bond ETF

    97,363             97,363       (97,363 )            

F/m 10-Year Investment Grade Corporate Bond ETF

    385,686             385,686       (385,686 )            

 

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.

 

52

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

7. SHARE TRANSACTIONS

 

Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 10,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with Quasar. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $500, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets.

 

8. TRANSACTIONS WITH AFFILIATES

 

The following issuers are affiliated with the Funds. Fund of funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirements, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the 1940 Act, such affiliated issuers are:

 

   

January 10, 2024*

   

Additions

   

Reductions

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

PROCEEDS

 

F/m 2-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 2 Year Note ETF

        $       55,667     $ 2,691,959       (55,667 )   $ (2,691,924 )

F/m 3-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 3 Year Note ETF

                21,783       1,074,011       (21,783 )     (1,076,731 )

F/m 10-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 10 Year Note ETF

                32,262       1,438,527       (32,262 )     (1,445,967 )

 

*

Inception date of the Funds was January 10, 2024.

 

 

53

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (continued)

August 31, 2024

 

   

August 31, 2024

 

Issuer Name

 

Dividend
Income

   

Capital Gain
Distribution

   

Net Change in
Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

F/m 2-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 2 Year Note ETF

  $     $     $     $ (35 )   $     $     $  

F/m 3-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 3 Year Note ETF

                      2,720                    

F/m 10-Year Investment Grade Corporate Bond ETF

 

U.S. Treasury 10 Year Note ETF

                      7,440                    

 

9. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

Subsequent to the end of the current fiscal period, the Funds paid the following distributions:

 

Fund

Record Date

Ex-Date

Pay Date

Distribution
Rate Per Share

F/m 2-Year Investment Grade Corporate Bond ETF

9/3/2024

9/3/2024

9/4/2024

$0.21100080

F/m 3-Year Investment Grade Corporate Bond ETF

9/3/2024

9/3/2024

9/4/2024

$0.19416452

F/m 10-Year Investment Grade Corporate Bond ETF

9/3/2024

9/3/2024

9/4/2024

$0.22246050

 

54

 

 

 

F/m Corporate Bond ETFs

Notes to Financial Statements (Concluded)

August 31, 2024

 

Fund

Record Date

Ex-Date

Pay Date

Distribution
Rate Per Share

F/m 2-Year Investment Grade Corporate Bond ETF

10/1/2024

10/1/2024

10/2/2024

$0.18727575

F/m 3-Year Investment Grade Corporate Bond ETF

10/1/2024

10/1/2024

10/2/2024

$0.18403575

F/m 10-Year Investment Grade Corporate Bond ETF

10/1/2024

10/1/2024

10/2/2024

$0.21168219

 

 

 

55

 

 

 

 

US CREDIT SERIES

Report of Independent Registered
Public Accounting Firm

 

To the Shareholders and Board of Directors of
The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of The RBB Fund, Inc. comprising the funds listed below (the “Funds”) as of August 31, 2024, the related statements of operations and changes in net assets, and the financial highlights for each of the periods indicated 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 as of August 31, 2024, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

 

 

FUND NAME  

STATEMENTS OF

OPERATIONS

STATEMENT OF

CHANGES IN NET

ASSETS

FINANCIAL

HIGHLIGHTS

F/m 2-Year Investment Grade Corporate Bond ETF, F/m 3-Year Investment Grade Corporate Bond ETF, and F/m 10- Year Investment Grade Corporate Bond ETF

  For the period from January 10, 2024 (commencement of operations) through August 31, 2024

 

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 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.

 

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, 2024, by correspondence with the custodian. 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 investment companies advised by F/M Investments, LLC since 2021.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 29, 2024

 

56

 

 

 

US CREDIT SERIES

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the Funds paid ordinary income dividends, and did not pay long-term capital gains 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 Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

 

57

 

 

US CREDIT SERIES

Other Information

(UNAUDITED)

 

Frequency Distributions of Premiums and Discounts

 

Information regarding how often shares of the Fund trade on an exchange at price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available, without charge, on the Fund’s website at www.fminvest.com/etfs/us-credit-series/.

 

58

 

 

 

Investment Adviser

F/m Investments, LLC d/b/a North Slope Capital, LLC
3050 K Street NW, Suite W-201
Washington, DC 20007

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, Wisconsin 53201-0701

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

59

 

 

 

 

 

 

Financial Statements
August 31, 2024

 

F/m Investments
Large Cap Focused Fund
of

The RBB Fund, Inc.

 

Investor Class Shares (IAFMX)

 

Institutional Class Shares (IAFLX)

 

 

 

Table of Contents

 

   

Schedule of Investments

1

Financial Statements

3

Financial Highlights

6

Notes to Financial Statements

8

Report of Independent Registered Public Accounting Firm

14

 

 

 

 

F/m Investments Large Cap Focused Fund

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 92.1%

               

Communication Services — 16.3%

               

Alphabet, Inc. - Class A

    17,901     $ 2,924,666  

Meta Platforms, Inc. - Class A

    8,214       4,282,040  

Netflix, Inc.(a)

    4,911       3,444,330  
              10,651,036  

Consumer Discretionary — 12.0%

               

Amazon.com, Inc.(a)

    24,805       4,427,693  

Burlington Stores, Inc.(a)

    6,527       1,750,802  

Home Depot, Inc. (The)

    4,659       1,716,842  
              7,895,337  

Consumer Staples — 2.4%

               

Target Corp.

    10,042       1,542,652  
                 

Health Care — 2.4%

               

BioMarin Pharmaceutical, Inc.(a)

    17,588       1,604,201  
                 

Industrials — 4.4%

               

L3Harris Technologies, Inc.

    7,136       1,688,877  

Veralto Corp.

    10,391       1,168,260  
              2,857,137  

Information Technology — 54.6%(c)

               

Adobe, Inc.(a)

    3,703       2,127,040  

Advanced Micro Devices, Inc.(a)

    18,972       2,818,480  

Analog Devices, Inc.

    6,870       1,613,351  

Apple, Inc.

    31,564       7,228,156  

Broadcom, Inc.

    9,090       1,480,034  

First Solar, Inc.(a)

    7,911       1,798,724  

Keysight Technologies, Inc.(a)

    10,009       1,542,587  

Microsoft Corp.

    11,491       4,793,356  

NVIDIA Corp.

    55,080       6,574,900  

Palo Alto Networks, Inc.(a)

    4,197       1,522,336  

Salesforce, Inc.

    4,836       1,223,024  

ServiceNow, Inc.(a)

    2,253       1,926,315  

Zebra Technologies Corp. - Class A(a)

    3,354       1,158,404  
              35,806,707  

TOTAL COMMON STOCKS (Cost $42,417,405)

            60,357,070  
                 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

F/m Investments Large Cap Focused Fund

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

SHORT-TERM INVESTMENTS — 8.0%

               

Money Market Funds — 8.0%

               

First American Treasury Obligations Fund - Class X, 5.18%(b)

    5,265,183     $ 5,265,183  

TOTAL SHORT-TERM INVESTMENTS (Cost $5,265,183)

            5,265,183  
                 

TOTAL INVESTMENTS — 100.1% (Cost $47,682,588)

          $ 65,622,253  

Liabilities in Excess of Other Assets — (0.1)%

            (78,314 )

TOTAL NET ASSETS — 100.0%

          $ 65,543,939  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

(a)

Non-income producing security.

 

(b)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

(c)

As of August 31, 2024, the Fund had a significant portion of its assets invested in this sector. See Note 4 in the Notes to the Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

F/m Investments Large Cap Focused Fund

Statement of Assets and Liabilities

AUGUST 31, 2024

 

ASSETS

       

Investments in securities, at value (cost $47,682,588)

  $ 65,622,253  

Receivables for:

       

Interest

    34,230  

Prepaid expenses and other assets

    6,808  

Total assets

    65,663,291  
         

LIABILITIES

       

Payables for:

       

Advisory fees

    39,545  

Distribution fees - Investor Class

    24,807  

Transfer agent fees

    32,289  

Administration and accounting fees

    4,252  

Other accrued expenses and liabilities

    18,459  

Total liabilities

    119,352  
         

Net assets

  $ 65,543,939  
         

Net assets consist of:

       

Par value

  $ 3,759  

Paid-in capital

    49,469,954  

Total distributable earnings/(losses)

    16,070,226  

Net assets

  $ 65,543,939  
         

Investor Class Shares:

       

Net assets

  $ 14,157,011  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    824,546  

Net asset value, offering and redemption price per share

  $ 17.17  
         

Institutional Class Shares:

       

Net assets

  $ 51,386,928  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,934,821  

Net asset value, offering and redemption price per share

  $ 17.51  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

F/m Investments Large Cap Focused Fund

Statements of Operations

 

 

 

For the
period Ended
august 31,
2024
^

   

For the
Year Ended
June 30,
2024

 

INVESTMENT INCOME

               

Dividends

  $ 30,535     $ 278,192  

Interest income

    21,615       88,651  

Total investment income

    52,150       366,843  
                 

EXPENSES

               

Advisory fees (Note 2)

    77,331       416,231  

Transfer agent fees

    23,602       106,585  

Distribution fees - Investor Class

    5,972       33,121  

Audit and tax fees

    3,352       28,023  

Administration and accounting fees

    1,695       74,852  

Printing and shareholder reporting fees

    1,471       14,762  

Registration fees

    445       7,310  

Legal fees

          14,495  

Custodian fees

          14,273  

Director fees

          11,575  

Insurance fees

          5,331  

Officer fees

          4,000  

Other fees

    2,075       12,416  

Total expenses before waivers and/or reimbursements

    115,943       742,974  

Less: waivers and/or reimbursements (Note 2)

    (10,543 )     (174,698 )

Net expenses after waivers and/or reimbursements

    105,400       568,276  

Net investment income/(loss)

    (53,250 )     (201,433 )
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from investments

    3,473,495       596,468  

Net change in unrealized appreciation/(depreciation) on investments

    (3,428,005 )     12,604,124  

Net realized and unrealized gain/(loss)

    45,490       13,200,592  
                 

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (7,760 )   $ 12,999,159  

 

^

The Fund changed its fiscal year end to August 31 during the period. The period is from July 1, 2024 to August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

F/m Investments Large Cap Focused Fund

Statements of Changes in Net Assets

 

 

 

For the
period Ended
august 31,
2024
^

   

For The
Year Ended
June 30,
2024

   

For The
Year Ended
June 30,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

                       

Net investment income/(loss)

  $ (53,250 )   $ (201,433 )   $ 67,379  

Net realized gain/(loss) from investments

    3,473,495       596,468       (1,383,722 )

Net change in unrealized appreciation/(depreciation) on investments

    (3,428,005 )     12,604,124       15,737,874  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (7,760 )     12,999,159       14,421,531  
                         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

                       

Institutional Class

                (1,103,801 )

Investor Class

                (6,385,005 )

Total distributions to shareholders

                (7,488,806 )
                         

CAPITAL SHARE TRANSACTIONS

                       

INVESTOR CLASS

                       

Proceeds from shares sold

    230,302       532,377       2,882,866  

Reinvestments of distributions to shareholders

                1,103,801  

Shares redeemed

    (338,776 )     (2,089,516 )     (2,559,333 )

Total Investor Class

    (108,474 )     (1,557,139 )     1,427,334  
                         

INSTITUTIONAL CLASS

                       

Proceeds from shares sold

          1,360,760       279,786  

Reinvestments of distributions to shareholders

                6,385,005  

Shares redeemed

    (479,382 )     (8,027,363 )     (19,639,968 )

Total Institutional Class

    (479,382 )     (6,666,603 )     (12,975,177 )

Net increase/(decrease) in net assets from capital share transactions

    (587,856 )     (8,223,742 )     (11,547,843 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    (595,616 )     4,775,417       (4,615,118 )
                         

NET ASSETS:

                       

Beginning of period

  $ 66,139,555     $ 61,364,138     $ 65,979,256  

End of period

  $ 65,543,939     $ 66,139,555     $ 61,364,138  
                         

SHARE TRANSACTIONS

                       

INVESTOR CLASS

                       

Shares sold

    13,884       36,101       247,255  

Shares issued in reinvestment of distributions to shareholders

                107,269  

Shares redeemed

    (20,961 )     (136,708 )     (212,368 )

Net increase/(decrease) in shares

    (7,077 )     (100,607 )     142,156  
                         

INSTITUTIONAL CLASS

                       

Shares sold

          93,308       21,103  

Shares issued in reinvestment of distributions to shareholders

                611,005  

Shares redeemed

    (28,096 )     (579,145 )     (1,588,452 )

Net increase/(decrease) in shares

    (28,096 )     (485,837 )     (956,344 )

 

^

The Fund changed its fiscal year end to August 31 during the period. The period is from July 1, 2024 to August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

F/m Investments Large Cap Focused Fund

Investor Class

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
period
Ended
august 31,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

 

 

 

2024^

   

2024(d)

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                               

Net asset value, beginning of period

  $ 17.17     $ 13.82     $ 12.57     $ 19.96     $ 15.90     $ 13.42  

Net investment income/(loss) (a)

    (0.03 )     (0.09 )     (0.01 )     (0.08 )     (0.12 )     (0.03 )

Net realized and unrealized gain/ (loss) from investments

    0.03       3.44       3.04       (3.07 )     6.59       3.10  

Net increase/(decrease) in net assets resulting from operations

          3.35       3.03       (3.15 )     6.47       3.07  

Dividends and distributions to shareholders from:

                                               

Net investment income

                                  (0.05 )

Net realized capital gains

                (1.78 )     (4.24 )     (2.41 )     (0.54 )

Total distributions

                (1.78 )     (4.24 )     (2.41 )     (0.59 )

Net asset value, end of period

  $ 17.17     $ 17.17     $ 13.82     $ 12.57     $ 19.96     $ 15.90  

Total investments return/(loss) (b)

    0.00 %(e)     24.24 %     28.91 %     (21.33 )%     42.64 %     23.56 %

RATIOS/SUPPLEMENTAL DATA

                                               

Net assets, end of period (000’s omitted)

  $ 14,157     $ 14,279     $ 12,887     $ 9,934     $ 13,643     $ 11,157  

Ratio of total expenses to average net assets (c)

    1.24 %(f)     1.44 %     1.39 %     1.39 %     1.41 %     1.50 %

Ratio of net expenses to average net assets

    1.15 %(f)     1.15 %     1.15 %     1.15 %     1.15 %     1.15 %

Ratio of net investment income/(loss) to average net assets

    (0.68 )%(f)     (0.53 )%     (0.11 )%     (0.46 )%     (0.63 )%     (0.24 )%

Portfolio turnover rate

    19 %(e)     59 %     113 %     169 %     195 %     139 %

 

^

The amounts shown are for the fiscal period from July 1, 2024 to August 31, 2024.

 

(a)

Per share net investment income (loss) has been determined on the basis of average number of shares outstanding during the period.

 

(b)

Total return is a measure of the change in value of an investment in the Fund over the periods covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser and/or administrator not reduced/waived its fees, the total returns would have been lower.

 

(c)

Ratios were determined based on expenses prior to any fee reductions/waivers by the Adviser and/or administrator (Note 2).

 

(d)

Prior to the close of business on October 27, 2023, the Fund was a series (the “Predecessor Fund”) of the F/m Funds Trust Fund, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to October 30, 2023 included herein is that of the Predecessor Fund (Note 1).

 

(e)

Not annualized.

 

(f)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

F/m Investments Large Cap Focused Fund

Institutional Class

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
period
Ended
august 31,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

   

For the
Year
Ended
June 30,

 

 

 

2024^

   

2024(e)

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                               

Net asset value, beginning of period

  $ 17.50     $ 14.06     $ 12.72     $ 20.10     $ 15.96     $ 13.47  

Net investment income/(loss) (a)

    (b)      (0.03 )     0.02       (0.02 )     (0.05 )     (b) 

Net realized and unrealized gain/ (loss) from investments

    0.01       3.47       3.10       (3.12 )     6.60       3.11  

Net increase/(decrease) in net assets resulting from operations

    0.01       3.44       3.12       (3.14 )     6.55       3.11  

Dividends and distributions to shareholders from:

                                               

Net investment income

                                  (0.08 )

Net realized capital gains

                (1.78 )     (4.24 )     (2.41 )     (0.54 )

Total distributions

                (1.78 )     (4.24 )     (2.41 )     (0.62 )

Net asset value, end of period

  $ 17.51     $ 17.50     $ 14.06     $ 12.72     $ 20.10     $ 15.96  

Total investments return/(loss) (c)

    0.06 %(f)     24.47 %     29.31 %     (21.12 )%     43.00 %     23.84 %

RATIOS/SUPPLEMENTAL DATA

                                               

Net assets, end of period (000’s omitted)

  $ 51,387     $ 51,860     $ 48,477     $ 56,045     $ 75,757     $ 41,963  

Ratio of total expenses to average net assets (d)

    0.99 %(g)     1.20 %     1.14 %     1.14 %     1.16 %     1.25 %

Ratio of net expenses to average net assets

    0.90 %(g)     0.90 %     0.90 %     0.90 %     0.90 %     0.90 %

Ratio of net investment income/(loss) to average net assets

    (0.43 )%(g)     (0.28 )%     0.16 %     (0.21 )%     (0.38 )%     0.01 %

Portfolio turnover rate

    19 %(f)     59 %     113 %     169 %     195 %     139 %

 

^

The amounts shown are for the fiscal period from July 1, 2024 to August 31, 2024.

 

(a)

Per share net investment income (loss) has been determined on the basis of average number of shares outstanding during the period.

 

(b)

Rounds to less than $0.005 per share.

 

(c)

Total return is a measure of the change in value of an investment in the Fund over the periods covered, which assumes any dividends or capital gains distributions are reinvested in shares of the Fund. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser and/or administrator not reduced/waived its fees, the total returns would have been lower.

 

(d)

Ratios were determined based on expenses prior to any fee reductions/waivers by the Adviser and/or administrator (Note 2).

 

(e)

Prior to the close of business on October 27, 2023, the Fund was a series (the “Predecessor Fund”) of the F/m Funds Trust Fund, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to October 30, 2023 included herein is that of the Predecessor Fund. (Note 1).

 

(f)

Not annualized.

 

(g)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements

AUGUST 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the F/m Investments Large Cap Focused Fund (the “Fund”). The Fund commenced operations on October 3, 2016 as a separate series (the “Predecessor Fund”) of the F/m Funds Trust, an open end management investment company established as an Ohio business trust. Effective as of the close of business on October 27, 2023, the Predecessor Fund was reorganized into the Fund, as a new series of RBB in a tax-free reorganization (the “Reorganization”), whereby the Fund acquired all the assets and liabilities of the Predecessor Fund in exchange for shares of the Fund which were distributed pro rata by the Predecessor Fund to its shareholders in complete liquidation and termination of the Predecessor Fund. The Agreement and Plan of Reorganization pursuant to which the Reorganization was accomplished was approved by shareholders of the Predecessor Fund on June 29, 2023. Unless otherwise indicated, references to the “Fund” in these Notes to Financial Statements refer to the Predecessor Fund and Fund. The Fund currently offers two classes of shares: Investor Class shares (sold without any sales loads, but subject to a distribution and/or shareholder servicing fee of up to 0.25% of the average daily net assets attributable to Investor Class shares and requiring a $1,000 initial investment) and Institutional Class shares (sold without any sales loads and distribution and/or shareholder servicing fees and requiring a $100,000 initial investment). Each share class represents an ownership interest of the respective class in the same investment portfolio.

 

The investment objective of the Fund is long-term growth of capital.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

As a tax-free reorganization, any unrealized appreciation or depreciation on the securities held by the Fund on the date of Reorganization was treated as a non-taxable event, thus the cost basis of the securities held reflects their historical cost basis as of the date of Reorganization. As a result of the Reorganization, the Fund is the accounting successor. The Reorganization was accomplished by a tax-free exchange of the Fund’s shares and value of net assets for the same shares and value of the Predecessor Fund’s shares. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the Reorganization, the net assets, fair value of investments, net unrealized appreciation and fund shares outstanding of the Predecessor Fund were as follows:

 

Net Assets

 

Fair Value of
Investments

   

Net Unrealized
Appreciation

   

Fund Shares
Outstanding

 

$ 50,119,303

  $ 50,294,970     $ 1,790,168       4,024,353  

 

The Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of the Company. The end of the reporting period for the Fund is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal period from July 1, 2024 through August 31, 2024 (the “current fiscal period”).

 

The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.”

 

Portfolio valuation – The Fund values its portfolio securities at fair value as of the close of regular trading on the New York Stock Exchange (the “NYSE”) (normally 4:00 p.m. Eastern time) on each business day the NYSE is open for business. The Fund values its listed securities, including common stocks, on the basis of a security’s last sale price on the security’s primary exchange, if available, otherwise at the exchange’s most recently quoted bid price. NASDAQ-listed securities are valued at the NASDAQ official closing price. Investments in registered investment companies, including money market funds, are reported

 

8

 

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

at their respective NAV as reported by those companies. When using a quoted price and when the market for the security is considered active, the security will be classified as Level 1 within the fair value hierarchy (see below). In the event that market quotations are not readily available or are considered unreliable due to market or other events, the Fund values its securities and other assets at fair value as determined by F/m Investments, LLC (the “Adviser”) as the Valuation Designee (as defined below), in accordance with procedures established by and under the general supervision of the board of directors of the Company (the “Board” or the “Directors”) pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, (the “1940 Act”). Under these procedures, the securities will be classified as Level 2 or 3 within the fair value hierarchy, depending on the inputs used. Unavailable or unreliable market quotes may be due to the following factors: a substantial bid-ask spread; infrequent sales resulting in stale prices; insufficient trading volume; small trade size; a temporary lapse in any reliable pricing source; and actions of the securities or futures markets, such as the suspension or limitation of trading. As a result, the prices of securities used to calculate the Fund’s net asset value (“NAV”) may differ from quoted or published prices for the same securities.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS – The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

 

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Common Stocks

  $ 60,357,070     $ 60,357,070     $     $  

Short-Term Investments

    5,265,183       5,265,183              

Total Investments*

  $ 65,622,253     $ 65,622,253     $     $  

 

*

Please refer to the Schedule of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

 

9

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Fund did not have any significant Level 3 transfers during the current fiscal period.

 

USE OF ESTIMATES – The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES – The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS to shareholders – Distributions to shareholders arising from net investment income and realized capital gains, if any, are declared and paid annually to shareholders. The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends and distributions to shareholders are recorded on the ex-dividend date.

 

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.

 

2. INVESTMENT ADVISER AND OTHER SERVICES

 

Effective October 30, 2023, under the terms of an investment advisory agreement between the Company, on behalf of the Fund, and the Adviser (the “Advisory Agreement”), the Adviser serves as the investment adviser to the Fund, and, the Fund pays the Adviser a fee, which is computed and accrued daily and paid monthly, at the annual rate of 0.70% of its average daily net assets.

 

Under an expense limitation agreement between the Company, on behalf of the Fund, and the Adviser (the “Expense Limitation Agreement”), the Adviser has contractually agreed until October 30, 2025 to reduce its investment advisory fees and to pay other operating expenses to the extent necessary to limit annual ordinary operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest, taxes, and any other items as agreed upon by the parties from time to time) to 1.15% of the average daily net assets allocable to Investor Class shares and 0.90% of Institutional Class shares of the Fund.

 

10

 

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

Advisory fee reductions and expense reimbursements by the Adviser are subject to repayment by the Fund for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause the Fund’s ordinary operating expenses (excluding interest, taxes, acquired fund fees and expenses, brokerage commissions, dividend expenses on short sales, and other expenditures which are capitalized in accordance with generally accepted accounting principles and other extraordinary expenses) to exceed the expense caps that were in effect when the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the expense cap currently in effect.

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

GROSS
ADVISORY FEES

 

WAIVERS AND/OR
REIMBURSEMENTS

   

RECOUPMENTS

   

NET
ADVISORY FEES

 

$ 77,331

  $ (10,543 )   $     $ 66,788  

 

At the end of the current fiscal period, the Fund had amounts available for recoupment by the Adviser as follows:

 

 

EXPIRATION

 
 

June 30,
2025

   

June 30,
2026

   

June 30,
2027

   

AUGUST 31,
2027

   

Total

 
  $     $     $ 126,934     $ 10,543     $ 137,477  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

DISTRIBUTION PLAN

 

The Fund has adopted a plan of distribution (the “Plan”), pursuant to Rule 12b-1 under the 1940 Act which permits Investor Class shares of the Fund to make payments to securities dealers and other financial organizations (including payments directly to the Adviser, Quasar, and Ultimus Fund Distributors, LLC) for expenses related to the distribution and servicing of the Fund’s Investor Class shares. The annual limitation for payment of expenses pursuant to the Plan is 0.25% of the Fund’s average daily net assets allocable to Investor Class shares. The Fund has not adopted a plan of distribution with respect to Institutional Class shares. During the current fiscal period, Investor Class shares of the Fund incurred $5,972 of distribution fees under the Plan.

 

DIRECTOR AND OFFICER COMPENSATION

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of the Company serve as President, Chief Financial Officer, Chief Operating Officer,

 

 

11

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

3. Investment Transactions

 

During the current fiscal period, cost of purchases and proceeds from sales of investment securities, other than short-term investments, were $11,631,787 and $16,142,991, respectively.

 

4. Sector Risk

 

If the Fund has significant investments in the securities of issuers in industries within a particular business sector, any development affecting that sector will have a greater impact on the value of the net assets of the Fund than would be the case if the Fund did not have significant investments in that sector. In addition, this may increase the risk of loss of an investment in the Fund and increase the volatility of the Fund’s NAV per share. From time to time, circumstances may affect a particular sector and the companies within such sector. For instance, economic or market factors, regulation or deregulation, or other developments may negatively impact all companies in a particular sector and therefore the value of the Fund’s portfolio would be adversely affected. As of August 31, 2024, the Fund had 54.6% of its net assets invested in the Information Technology sector.

 

5. FEDERAL INCOME TAX INFORMATION

 

The Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal income tax provision is provided in the Fund’s financial statements.

 

In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also the Fund’s intention to declare as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.

 

The following information is computed on a tax basis for each item as of August 31, 2024:

 

Tax cost of portfolio investments

  $ 47,687,452  

Gross unrealized appreciation

  $ 18,037,954  

Gross unrealized depreciation

    (103,153 )

Net unrealized appreciation

    17,934,801  

Other accumulated losses

    (1,864,575 )

Total distributable earnings

  $ 16,070,226  

 

The difference between the federal income tax cost of investments and the financial statement cost of investments is due to certain timing differences in the recognition of capital gains or losses under income tax regulations and GAAP. These “book/tax” differences are temporary in nature and are primarily due to the tax deferral of losses on wash sales.

 

During the fiscal period ended August 31, 2024 and year ended June 30, 2024, the Fund did not pay any distributions to shareholders.

 

The tax character of distributions paid to shareholders during the year ended June 30, 2023 was as follows:

 

 

Ordinary Income

   

Long Term Capital Gain

   

Total Distributions

 
  $     $ 7,488,806     $ 7,488,806  

 

12

 

 

 

F/m Investments Large Cap Focused Fund

Notes to Financial Statements (CONCLUDED)

AUGUST 31, 2024

 

As of August 31, 2024, the Fund had short-term capital loss carryforwards (“CLCFs”) in the amount of $1,864,575 for income tax purposes. These CLCFs, which do not expire, may be utilized in future years to offset net realized capital gains, if any, prior to distributing such gains to shareholders. As of August 31, 2024, the Fund utilized 3,473,495 of CLCFs that were available as of June 30, 2024.

 

For the fiscal period ended August 31, 2024, the Fund reclassified $203,294 of distributable earnings against paid-in capital on the Statement of Assets and Liabilities. These reclassifications are primarily due to the disallowance of net operating losses. Such reclassification, the result of permanent differences between the financial statement and income tax reporting requirements, had no effect on the Fund’s net assets or NAV per share.

 

The Fund recognizes the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed the Fund’s tax positions taken on Federal income tax returns for all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements and does not expect this to change over the next year. The Fund identifies its major tax jurisdiction as U.S. Federal.

 

The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statement of Operations. During the fiscal period ended August 31, 2024, the Fund did not incur any interest or penalties.

 

6. Non-Diversified Fund

 

The Fund is a non-diversified fund. A non-diversified fund may or may not have a diversified portfolio of investments at any given time and may have large amounts of assets invested in a very small number of companies, industries or securities. Such lack of diversification substantially increases market risks and the risk of loss associated with an investment in the Fund, because the value of each security will have a greater impact on the Fund’s performance and the value of each shareholder’s investment. When the value of a security in a non-diversified fund falls, it may have a greater impact on the Fund than it would have in a diversified fund.

 

7. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined there were no significant events requiring recognition or disclosure in the financial statements.

 

 

13

 

 

F/m Investments Large Cap Focused Fund

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Directors of
The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of F/m Investments Large Cap Focused Fund (the “Fund”), a series of The RBB Fund, Inc., as of August 31, 2024, the related statements of operations for the period from July 1, 2024 through August 31, 2024 and for the year ended June 30, 2024, the statements of changes in net assets for the period from July 1, 2024 through August 31, 2024 and each of the two years ended June 30, 2024 and 2023, and the financial highlights for the period from July 1, 2024 through August 31, 2024 and each of the three years ended June 30, 2024, 2023 and 2022, 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, 2024, the results of its operations, the changes in net assets, and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.

 

The Fund’s financial highlights for the years ended June 30, 2021, and prior, were audited by other auditors whose report dated August 27, 2021, expressed an unqualified opinion on those financial highlights.

 

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 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 procedures included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian. 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 investment companies advised by F/m Investments, LLC since 2021.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 29, 2024

 

14

 

 

 

Investment Adviser

F/m Investments, LLC
3050K Street NW,
Suite W-201
Washington, DC 20007

 

Administrator and Transfer Agent

U.S.Bank Global Fund Services
P.O. Box 701
Milwaukee, Wisconsin 53201-0701

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue,
Suite 800
Cleveland, OH 44115

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

15

 

 

 

 

 

 

Oakhurst Mutual Funds
Financial Statements
August 31, 2024

 

Oakhurst Fixed Income Fund

Oakhurst Short Duration Bond Fund

Oakhurst Short Duration High Yield Credit Fund

 

Each a series of The RBB Fund, Inc.

 

 

 

Table of Contents

 

   

Schedule of Investments

1

Financial Statements

17

Financial Highlights

22

Notes to Financial Statements

25

Report of Independent Registered Public Accounting Firm

36

Other Information

37

 

 

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

U.S. TREASURY SECURITIES — 30.2%

               

United States Treasury Note/Bond

               

5.25%, 11/15/2028

    1,635,000     $ 1,730,928  

5.25%, 02/15/2029

    3,000,000       3,195,937  

4.13%, 07/31/2031

    2,414,000       2,460,017  

2.75%, 08/15/2032

    2,500,000       2,313,037  

4.13%, 11/15/2032

    4,330,000       4,412,879  

3.50%, 02/15/2033

    4,800,000       4,672,219  

3.88%, 08/15/2033

    5,348,000       5,339,957  

4.50%, 11/15/2033

    3,337,000       3,491,076  

4.00%, 02/15/2034

    1,775,000       1,787,619  

4.38%, 05/15/2034

    1,000,000       1,037,031  

3.00%, 05/15/2042

    4,699,000       3,961,661  

2.50%, 02/15/2045

    4,323,000       3,255,253  

TOTAL U.S. TREASURY SECURITIES (Cost $38,917,113)

            37,657,614  
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 22.6%

               

ABN Amro Mortgage Corp., Series 2003-12, Class 1A, 5.00%, 12/25/2033

    86,214       84,466  

Banc of America Mortgage Securities, Inc.

               

Series 2003-J, Class 2A1, 5.07%, 11/25/2033 (a)

    225,523       204,722  

Series 2004-A, Class 3A1, 6.37%, 02/25/2034 (a)

    12,277       12,366  

Bear Stearns Alt-A Trust, Series 2003-6, Class 2A1, 5.81%, 01/25/2034 (a)

    144,566       132,283  

Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-49, Class A9, 5.72%, 12/19/2033 (a)

    31,588       30,091  

Credit Suisse Management LLC, Series 2002-AR31, Class 4A2, 6.25%, 11/25/2032 (a)

    34,686       34,514  

Credit Suisse Mortgage Capital Certificates, Series 2013-IVR1, Class A2, 3.00%, 03/25/2043 (a)(b)

    320,061       287,991  

Fannie Mae Whole Loan, Series 2004-W3, Class A7, 5.50%, 05/25/2034

    335,351       342,243  

Federal Home Loan Mortgage Corp.

               

Series 2569, Class LD, 5.50%, 02/15/2033

    26,571       27,534  

Series 3622, Class WA, 5.50%, 09/15/2039

    133,243       137,490  

Series 3793, Class UA, 4.00%, 06/15/2033

    26,998       26,324  

Series 3827, Class HA, 3.50%, 11/15/2025

    20,600       20,380  

Series 3940, Class PD, 2.50%, 02/15/2041

    75,764       73,572  

Series 4077, Class AP, 4.00%, 01/15/2042

    28,729       28,352  

Series 4183, Class PA, 3.50%, 01/15/2043

    19,764       19,549  

Series 4566, Class CA, 3.00%, 01/15/2043

    3,178       3,170  

Series 4753, Class JA, 3.00%, 12/15/2047

    939,713       855,884  

Series 4760, Class A, 3.00%, 02/15/2048

    590,416       558,660  

Series 4960, Class PD, 2.00%, 10/25/2049

    653,737       550,084  

Series 5145, Class AB, 1.50%, 09/25/2049

    1,143,257       912,522  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 22.6% (continued)

Series 5206, Class DV, 3.50%, 06/25/2033

    979,229     $ 929,417  

Series 5227, Class JQ, 4.00%, 04/25/2047

    970,883       943,006  

Series 5231, Class LV, 4.50%, 05/25/2052

    1,032,025       1,010,801  

Series 5252, Class BA, 4.00%, 02/25/2050

    1,026,795       1,004,213  

Federal National Mortgage Association

               

Series 2005-80, Class BA, 5.00%, 04/25/2029

    19,626       20,125  

Series 2009-96, Class DB, 4.00%, 11/25/2029

    50,251       49,891  

Series 2013-13, Class MA, 4.00%, 01/25/2043

    211,100       206,958  

Series 2014-80, Class KA, 2.00%, 03/25/2044

    257,831       201,405  

Series 2016-24, Class HA, 3.00%, 04/25/2044

    50,416       48,688  

Series 2016-49, Class LA, 3.50%, 01/25/2043

    88,753       87,544  

Series 2016-89, Class CG, 3.00%, 04/25/2046

    102,923       95,174  

Series 2017-105, Class N, 3.00%, 01/25/2048

    1,137,583       1,019,505  

Series 2017-22, Class EC, 3.00%, 06/25/2044

    91,543       89,423  

Series 2018-45, Class AB, 3.00%, 06/25/2048

    195,704       175,215  

Series 2019-33, Class N, 3.00%, 03/25/2048

    241,809       226,919  

Series 2022-22, Class EV, 4.00%, 07/25/2033

    702,998       681,443  

Government National Mortgage Association

               

Series 2017-84, Class JD, 3.00%, 05/20/2047

    33,459       30,119  

Series 2018-6, Class JA, 2.75%, 01/20/2048

    194,537       180,261  

Series 2019-152, Class HA, 3.50%, 08/20/2049

    131,345       126,321  

Series 2019-61, Class KU, 3.50%, 05/20/2049

    463,234       419,355  

Series 2019-99, Class JC, 3.00%, 08/20/2049

    68,041       62,008  

Series 2020-122, Class DP, 2.50%, 07/20/2050

    1,104,384       950,126  

Series 2020-123, Class PB, 2.25%, 08/20/2050

    549,361       451,186  

Series 2020-133, Class A, 6.35%, 05/20/2050 (a)

    224,698       231,750  

Series 2020-133, Class HA, 3.50%, 09/20/2050

    266,659       244,008  

Series 2020-134, Class NP, 2.50%, 09/20/2050

    849,798       711,568  

Series 2020-183, Class AY, 2.00%, 11/20/2050

    852,671       691,412  

Series 2020-5, Class NA, 3.50%, 12/20/2049

    196,420       183,192  

Series 2020-78, Class CB, 5.00%, 09/20/2034

    168,243       166,587  

Series 2020-84, Class WA, 3.50%, 06/20/2050

    159,940       146,660  

Series 2020-95, Class NB, 4.50%, 07/20/2050

    21,271       20,302  

Series 2022-20, Class KA, 2.50%, 01/20/2052

    1,018,160       907,134  

Series 2022-24, Class BC, 4.00%, 02/20/2052

    639,682       609,873  

Series 2022-78, Class LA, 4.50%, 07/20/2050

    832,780       827,690  

GS Mortgage-Backed Securities Trust, Series 2021-PJ1, Class A4, 2.50%, 06/25/2051 (a)(b)

    591,888       488,959  

Harborview Mortgage Loan Trust

               

Series 2003-1, Class A, 5.85%, 05/19/2033 (a)

    38,847       34,965  

 

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 22.6% (continued)

Series 2004-4, Class 2A, 6.02% (1 mo. Term SOFR + 0.67%), 06/19/2034

    50,764     $ 45,464  

Impac CMB Trust, Series 2005-4, Class 2A1, 5.99% (1 mo. Term SOFR + 0.41%), 05/25/2035

    175,975       164,923  

Impac Funding Corp., Series 2003-3, Class A1, 5.20%, 08/25/2033 (a)

    19,889       19,463  

Impac Secured Assets CMN Owner Trust, Series 2006-1, Class 2A1, 6.09% (1 mo. Term SOFR + 0.81%), 05/25/2036

    80,507       73,182  

JP Morgan Mortgage Trust

               

Series 2003-A1, Class 1A1, 5.17%, 10/25/2033 (a)

    47,900       45,651  

Series 2004-A1, Class 4A1, 6.50%, 02/25/2034 (a)

    18,213       17,991  

Series 2004-A3, Class SF3, 6.52%, 06/25/2034 (a)

    45,586       43,587  

Series 2004-A4, Class 2A2, 6.50%, 09/25/2034 (a)

    502,589       466,215  

Series 2004-A5, Class 2A1, 6.89%, 12/25/2034 (a)

    22,809       23,114  

Series 2013-3, Class A3, 3.36%, 07/25/2043 (a)(b)

    51,807       47,968  

Series 2017-2, Class A3, 3.50%, 05/25/2047 (a)(b)

    102,270       92,007  

Mastr Adjustable Rate Mortgages Trust, Series 2003-3, Class 2A1, 7.45%, 09/25/2033 (a)

    48,049       46,437  

MASTR Asset Securitization Trust, Series 2004-1, Class 3A7, 5.25%, 01/25/2034

    35,520       34,585  

Merrill Lynch Mortgage Investors, Inc.

               

Series 2004-A3, Class 1A, 5.62%, 05/25/2034 (a)

    106,752       96,332  

Series 2005-A1, Class 1A, 6.48%, 12/25/2034 (a)

    193,306       188,557  

MortgageIT Trust, Series 2004-1, Class A2, 6.29% (1 mo. Term SOFR + 1.01%), 11/25/2034

    662,278       627,029  

Nationstar Mortgage Loan Trust, Series 2013-A, Class A, 3.75%, 12/25/2052 (a)(b)

    31,086       29,174  

New Residential Mortgage Loan Trust, Series 2017-3A, Class A1, 4.00%, 04/25/2057 (a)(b)

    175,454       168,857  

RCKT Mortgage Trust, Series 2022-1, Class A5, 2.50%, 01/25/2052 (a)(b)

    1,296,084       1,140,920  

Rithm Capital Corp., Series 2015-2A, Class A2, 3.75%, 08/25/2055 (a)(b)

    155,103       148,152  

Sequoia Mortgage Trust

               

Series 2003-8, Class A1, 6.09% (1 mo. Term SOFR + 0.75%), 01/20/2034

    137,920       131,974  

Series 2004-6, Class A2, 6.01% (1 mo. Term SOFR + 0.67%), 07/20/2034

    65,830       59,379  

Series 2013-5, Class A1, 2.50%, 05/25/2043 (a)(b)

    151,592       131,885  

Series 2013-6, Class A2, 3.00%, 05/25/2043 (a)

    177,734       158,910  

Series 2018-5, Class A7, 3.50%, 05/25/2048 (a)(b)

    706,859       637,257  

Series 2019-2, Class A1, 4.00%, 06/25/2049 (a)(b)

    510,005       476,295  

Series 2019-4, Class A1, 3.50%, 11/25/2049 (a)(b)

    508,032       455,177  

Series 2020-4, Class A2, 2.50%, 11/25/2050 (a)(b)

    528,752       436,217  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A4, 7.23%, 02/25/2034 (a)

    52,388       50,393  

Structured Asset Mortgage Investments, Inc.

               

Series 2003-AR4, Class A1, 6.16% (1 mo. Term SOFR + 0.81%), 01/19/2034

    23,375       22,501  

Series 2004-AR4, Class 1A1, 6.16% (1 mo. Term SOFR + 0.81%), 12/19/2034

    32,461       30,456  

Series 2004-AR6, Class A1A, 6.16% (1 mo. Term SOFR + 0.81%), 02/19/2035

    903,835       835,132  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 22.6% (continued)

Structured Asset Securities Corp.

               

Series 2003-34A, Class 5A4, 6.41%, 11/25/2033 (a)

    84,895     $ 82,249  

Series 2003-9A, Class 2A1, 6.65%, 03/25/2033 (a)

    56,710       54,984  

Terwin Mortgage Trust, Series 2004-1HE, Class M1, 6.52% (1 mo. Term SOFR + 1.24%), 02/25/2034 (b)

    283,949       271,918  

WaMu Mortgage Pass Through Certificates

               

Series 2002-AR2, Class A, 4.49% (Enterprise 11th District COFI Replacement Index + 1.25%), 02/27/2034

    74,445       70,864  

Series 2003-AR8, Class A, 6.31%, 08/25/2033 (a)

    130,693       125,346  

Series 2005-AR13, Class A1A3, 6.95% (1 mo. Term SOFR + 1.67%), 10/25/2045

    116,835       115,141  

Series 2005-AR2, Class 1A1A, 6.05% (1 mo. Term SOFR + 0.77%), 01/25/2045

    850,389       831,059  

Wells Fargo Alternative Loan Trust, Series 2002-1, Class 1A1, 6.25%, 08/25/2032

    171,070       173,651  

Wells Fargo Mortgage Backed Securities Trust, Series 2021-RR1, Class A3, 2.50%, 12/25/2050 (a)(b)

    988,746       883,649  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $30,396,741)

            28,169,445  
                 

CORPORATE BONDS — 21.8%

               

Communications — 1.5%

               

BellSouth LLC, 6.88%, 10/15/2031

    895,000       969,760  

Discovery Communications LLC, 5.00%, 09/20/2037

    1,025,000       879,447  
              1,849,207  

Consumer Discretionary — 0.8%

               

Fortune Brands Innovations, Inc., 5.88%, 06/01/2033

    900,000       952,855  
                 

Energy — 2.1%

               

El Paso Natural Gas Co. LLC, 8.38%, 06/15/2032

    823,000       972,137  

Gray Oak Pipeline LLC, 3.45%, 10/15/2027 (b)

    613,000       588,341  

Phillips 66 Partners LP

               

3.55%, 10/01/2026

    565,000       539,219  

3.75%, 03/01/2028

    515,000       483,754  
              2,583,451  

Financials — 8.2%

               

American Homes 4 Rent LP, 5.50%, 02/01/2034

    970,000       988,949  

Antares Holdings LP, 7.95%, 08/11/2028 (b)

    800,000       845,628  

Aviation Capital Group LLC, 6.38%, 07/15/2030 (b)

    900,000       955,755  

Bank of America Corp., 5.29% to 04/25/2033 then SOFR + 1.91%, 04/25/2034

    905,000       929,621  

Blackstone Private Credit Fund, 3.25%, 03/15/2027

    1,033,000       978,406  

Blue Owl Capital Corp., 2.63%, 01/15/2027

    1,054,000       990,642  

Bridge Housing Corp., 3.25%, 07/15/2030

    1,045,000       919,408  

Crown Castle, Inc., 5.10%, 05/01/2033

    968,000       969,905  

 

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 21.8% (continued)

Financials — 8.2% (continued)

               

First Citizens BancShares, Inc./NC, 3.38% to 03/15/2025 then 3 mo. Term SOFR + 2.47%, 03/15/2030

    141,000     $ 136,534  

FS KKR Capital Corp., 6.88%, 08/15/2029

    950,000       977,297  

Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, 02/01/2029

    750,000       659,039  

Jackson Financial, Inc., 3.13%, 11/23/2031

    1,100,000       952,863  
              10,304,047  

Health Care — 2.8%

               

Bristol-Myers Squibb Co., 5.88%, 11/15/2036

    907,000       985,853  

CVS Pass-Through Trust, 6.94%, 01/10/2030

    293,625       302,544  

CVS Pass-Through Trust Series 2009, 8.35%, 07/10/2031 (b)

    455,328       500,188  

CVS Pass-Through Trust Series 2013, Series 2013, 4.70%, 01/10/2036 (b)

    193,278       179,945  

CVS Pass-Through Trust Series 2014, 4.16%, 08/11/2036 (b)

    623,232       562,908  

Quest Diagnostics, Inc., 6.40%, 11/30/2033

    880,000       969,745  
              3,501,183  

Industrials — 0.8%

               

MasTec, Inc., 5.90%, 06/15/2029

    950,000       983,482  
                 

Technology — 3.1%

               

Applied Materials, Inc., 5.85%, 06/15/2041

    867,000       956,655  

Hewlett Packard Enterprise Co., 6.20%, 10/15/2035

    857,000       923,720  

Leidos Holdings, Inc., 5.95%, 12/01/2040

    945,000       964,429  

Ricoh USA, Inc., 6.75%, 12/01/2025

    1,000,000       983,522  
              3,828,326  

Utilities — 2.5%

               

Berkshire Hathaway Energy Co., 6.50%, 09/15/2037

    858,000       961,251  

Elwood Energy LLC, 8.16%, 07/05/2026

    233,397       219,393  

National Rural Utilities Cooperative Finance Corp., 8.00%, 03/01/2032

    805,000       961,151  

Potomac Electric Power Co., 7.90%, 12/15/2038

    780,000       1,014,708  
              3,156,503  

TOTAL CORPORATE BONDS (Cost $27,214,914)

            27,159,054  
                 

MORTGAGE-BACKED SECURITIES — 9.0%

               

Federal Home Loan Mortgage Corp.

               

Pool C91859, 3.50%, 12/01/2035

    191,825       186,665  

Pool SB8257, 5.50%, 09/01/2038

    916,441       930,334  

Pool SD3148, 5.00%, 06/01/2053

    1,007,326       1,008,000  

Pool SD3386, 5.50%, 07/01/2053

    1,423,548       1,437,053  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

MORTGAGE-BACKED SECURITIES — 9.0% (continued)

Federal National Mortgage Association

               

Pool CB4024, 4.50%, 07/01/2052

    1,270,739     $ 1,256,012  

Pool FM5329, 2.00%, 01/01/2031

    419,863       397,820  

Pool FS0862, 2.50%, 12/01/2036

    799,008       749,137  

Pool FS3430, 4.00%, 11/01/2052

    952,683       913,218  

Pool FS4239, 5.00%, 03/01/2053

    1,269,689       1,263,671  

Pool FS4522, 5.00%, 05/01/2053

    1,446,571       1,437,802  

Pool FS5649, 5.50%, 08/01/2053

    384,623       387,666  

Pool FS5779, 5.50%, 09/01/2053

    1,138,259       1,148,953  

Pool MA0584, 4.50%, 10/01/2040

    8,812       8,545  

Pool MA1201, 3.50%, 10/01/2032

    76,432       74,610  

TOTAL MORTGAGE-BACKED SECURITIES (Cost $11,043,903)

            11,199,486  
                 

ASSET-BACKED SECURITIES — 8.6%

               

Air Canada, Series 2017-1, 3.55%, 01/15/2030 (b)

    866,000       804,776  

Alaska Airlines, Inc., Series A, 4.80%, 08/15/2027 (b)

    1,252,079       1,246,126  

American Airlines Group, Inc., Series AA, 3.15%, 02/15/2032

    965,982       884,327  

Countrywide Asset-Backed Certificates, Series 2004-6, Class 2A3, 6.59% (1 mo. Term SOFR + 1.31%), 11/25/2034

    148,892       149,027  

DB Master Finance Parent LLC, Series 2021-1A, Class A2II, 2.49%, 11/20/2051 (b)

    1,053,218       954,012  

Domino’s SPV Guarantor LLC, Series 2021-1A, Class A2I, 2.66%, 04/25/2051 (b)

    636,988       582,983  

Flagship Credit Auto Trust, Series 2020-4, Class D, 2.18%, 02/16/2027 (b)

    735,000       715,617  

Impac CMB Trust, Series 2007-A, Class M1, 6.19% (1 mo. Term SOFR + 0.91%), 05/25/2037 (b)

    235,937       224,451  

Jack in the Box, Inc., Series 2022-1A, Class A2I, 3.45%, 02/26/2052 (b)

    845,500       801,787  

Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1, 5.95% (1 mo. Term SOFR + 0.67%), 10/25/2034

    696,181       679,117  

SBA Depositor LLC

               

Series 2020-1-2, 2.33%, 01/15/2028 (b)

    10,000       9,172  

Series 2021-3, 2.59%, 10/15/2031 (b)

    1,200,000       1,015,959  

United Airlines, Inc., 5.88%, 02/15/2037

    960,000       979,425  

Verizon Master Trust, Series 2023-6, Class A, 5.35%, 09/22/2031 (b)

    750,000       780,078  

World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, 11/15/2027

    998,000       960,107  

TOTAL ASSET-BACKED SECURITIES (Cost $10,780,792)

            10,786,964  
                 

U.S. GOVERNMENT AGENCY ISSUES — 2.8%

               

Federal Farm Credit Banks Funding Corp 1.15% 08/12/2030

    2,000,000       1,690,896  

Federal Farm Credit Banks Funding Corp 2.40% 03/24/2036

    900,000       727,604  

Tennessee Valley Authority 4.65%, 06/15/2035

    1,100,000       1,139,212  

TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $3,885,690)

            3,557,712  

 

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

OAKHURST FIXED INCOME FUND

Schedule of Investments (CONCLUDED)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 2.3%

               

Energy — 0.7%

               

Enbridge, Inc., 5.70%, 03/08/2033

    904,000     $ 943,496  
 

Financials — 1.6%

               

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.30%, 01/30/2032

    1,075,000       956,528  

Fairfax Financial Holdings Ltd., 5.63%, 08/16/2032

    966,000       986,412  
              1,942,940  

TOTAL FOREIGN CORPORATE BONDS (Cost $2,729,220)

            2,886,436  
                 

CONVERTIBLE BONDS — 0.8%

               

Financials — 0.8%

               

PennyMac Corp., 8.50%, 06/01/2029 (b)

    1,000,000       1,002,000  

TOTAL CONVERTIBLE BONDS (Cost $997,500)

            1,002,000  

 

 

 

Shares

   

 

 
                 

SHORT-TERM INVESTMENTS — 1.5%

               

Money Market Funds — 1.5%

               

Invesco Treasury Portfolio - Class Institutional, 5.16% (c)

    1,832,788     $ 1,832,788  

TOTAL SHORT-TERM INVESTMENTS (Cost $1,832,788)

            1,832,788  
                 

TOTAL INVESTMENTS — 99.6% (Cost $127,798,661)

          $ 124,251,499  

Other Assets in Excess of Liabilities — 0.4%

            546,213  

TOTAL NET ASSETS — 100.0%

          $ 124,797,712  

 

Percentages are stated as a percent of net assets.

 

SOFR - Secured Overnight Financing Rate

 

(a)

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of August 31, 2024.

 

(b)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $17,466,152 or 14.0% of the Fund’s net assets.

 

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

OAKHURST SHORT DURATION BOND FUND

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 37.3%

               

Citigroup Financial Products, Inc., Series 2005-6, Class A1, 7.56% (1 yr. CMT Rate + 2.10%), 09/25/2035

    66,991     $ 66,795  

Credit Suisse Management LLC, Series 2004-6, Class 2A1, 4.75%, 09/25/2024

    12,056       2  

Federal Home Loan Mortgage Corp.

               

Series 2580, Class PY, 4.00%, 03/15/2033

    8,976       8,729  

Series 3597, Class LH, 4.50%, 07/15/2039

    88,867       88,237  

Series 3664, Class DA, 4.00%, 11/15/2037

    243,028       240,261  

Series 4312, Class GA, 2.50%, 12/15/2041

    38,036       36,891  

Series 4768, Class E, 3.50%, 09/15/2042

    134,130       132,941  

Series 4938, Class BL, 2.25%, 07/25/2049

    382,439       334,981  

Series 4960, Class PD, 2.00%, 10/25/2049

    217,912       183,361  

Federal National Mortgage Association

               

Series 2005-109, Class PC, 6.00%, 12/25/2035

    27,110       27,439  

Series 2005-80, Class BA, 5.00%, 04/25/2029

    68,692       70,436  

Series 2008-17, Class PA, 4.50%, 10/25/2037

    73,003       72,086  

Series 2008-49, Class PA, 5.00%, 04/25/2038

    61,083       60,003  

Series 2009-94, Class DA, 4.50%, 10/25/2039

    136,840       136,410  

Series 2010-112, Class CY, 4.00%, 10/25/2025

    3,857       3,840  

Series 2012-136, Class PD, 2.50%, 11/25/2042

    171,892       165,855  

Series 2012-41, Class BA, 2.50%, 04/25/2027

    152,586       148,831  

Series 2013-82, Class BP, 2.75%, 12/25/2042

    284,714       268,663  

Series 2014-80, Class KA, 2.00%, 03/25/2044

    79,948       62,451  

Series 2016-72, Class AP, 3.00%, 07/25/2044

    74,057       70,718  

Series 2018-14, Class PA, 3.50%, 04/25/2047

    300,877       289,241  

Government National Mortgage Association

               

Series 2018-131, Class PG, 3.00%, 09/20/2048

    81,059       74,295  

Series 2019-152, Class HA, 3.50%, 08/20/2049

    129,868       124,900  

Series 2019-24, Class PE, 3.25%, 02/20/2049

    177,805       166,163  

Series 2019-65, Class EB, 3.00%, 05/20/2049

    153,011       135,818  

Series 2020-95, Class NB, 4.50%, 07/20/2050

    59,638       56,920  

GSR Mortgage Loan Trust

               

Series 2003-13, Class 1A1, 6.30%, 10/25/2033 (a)

    70,564       70,354  

Series 2003-7F, Class 1A4, 5.25%, 06/25/2033

    143,412       145,170  

Series 2004-10F, Class 7A1, 5.50%, 09/25/2034

    16,182       15,968  

Series 2005-5F, Class 8A2, 5.50% (1 mo. Term SOFR + 0.61%), 06/25/2035

    36,419       34,383  

Series 2005-AR6, Class 1A1, 6.59%, 09/25/2035 (a)

    4,384       4,416  

Impac CMB Trust, Series 2005-4, Class 2A1, 5.99% (1 mo. Term SOFR + 0.41%), 05/25/2035

    105,374       98,756  

JP Morgan Mortgage Trust, Series 2018-8, Class A3, 4.00%, 01/25/2049 (a)(b)

    86,088       79,907  

 

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

OAKHURST SHORT DURATION BOND FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

COLLATERALIZED MORTGAGE OBLIGATIONS — 37.3% (continued)

Mastr Adjustable Rate Mortgages Trust

               

Series 2004-13, Class 2A1, 6.49%, 04/21/2034 (a)

    78,714     $ 76,159  

Series 2004-6, Class 4A6, 6.60%, 07/25/2034 (a)

    103,980       103,630  

MASTR Alternative Loans Trust, Series 2003-1, Class 2A1, 6.50%, 01/25/2033

    206,072       210,315  

MASTR Asset Securitization Trust, Series 2003-11, Class 7A5, 5.25%, 12/25/2033

    173,947       172,446  

Mastr Seasoned Securities Trust, Series 2005-1, Class 1A1, 5.73%, 09/25/2032 (a)

    291,741       292,475  

MortgageIT Trust

               

Series 2004-2, Class M1, 6.22% (1 mo. Term SOFR + 0.94%), 12/25/2034

    369,690       352,120  

Series 2005-5, Class A1, 5.91% (1 mo. Term SOFR + 0.63%), 12/25/2035

    283,615       276,991  

Nationstar Mortgage Loan Trust, Series 2013-A, Class A, 3.75%, 12/25/2052 (a)(b)

    202,057       189,631  

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 3A3, 5.90%, 09/25/2034 (a)

    15,164       14,799  

Structured Asset Mortgage Investments, Inc., Series 2004-AR6, Class A1A, 6.16% (1 mo. Term SOFR + 0.81%), 02/19/2035

    310,924       287,289  

Structured Asset Securities Corp., Series 2003-34A, Class 3A4, 5.99%, 11/25/2033 (a)

    38,662       38,342  

WaMu Mortgage Pass Through Certificates

               

Series 2002-AR2, Class A, 4.49% (Enterprise 11th District COFI Replacement Index + 1.25%), 02/27/2034

    13,536       12,884  

Series 2003-AR8, Class A, 6.31%, 08/25/2033 (a)

    57,466       55,115  

Wells Fargo Mortgage Backed Securities Trust, Series 2004-K, Class 2A6, 7.32%, 07/25/2034 (a)

    204,259       208,916  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $6,134,712)

            5,766,333  
                 

CORPORATE BONDS — 37.0%

               

Communications — 4.0%

               

AT&T, Inc., 6.55%, 01/15/2028

    210,000       221,868  

Discovery Communications LLC, 3.95%, 03/20/2028

    205,000       194,383  

TFCF America, Inc., 3.70%, 09/15/2024 (c)

    200,000       199,814  
              616,065  

Consumer Discretionary — 4.1%

               

Macmillan Bloedel Pembroke LP, 7.70%, 02/15/2026

    250,000       259,219  

Southwest Airlines Co., 3.45%, 11/16/2027

    200,000       192,058  

United Airlines 2020-1 Class B Pass Through Trust, Series B, 4.88%, 01/15/2026

    189,840       187,589  
              638,866  

Energy — 4.8%

               

El Paso Natural Gas Co. LLC, 7.50%, 11/15/2026

    269,000       284,046  

Phillips 66 Partners LP, 3.61%, 02/15/2025

    293,000       290,184  

Texas Gas Transmission LLC, 7.25%, 07/15/2027

    160,000       169,286  
              743,516  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

OAKHURST SHORT DURATION BOND FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 37.0% (continued)

Financials — 12.4%

               

Ally Financial, Inc., 2.20%, 11/02/2028

    215,000     $ 192,965  

American Tower Corp., 5.50%, 03/15/2028

    185,000       190,116  

Antares Holdings LP, 8.50%, 05/18/2025 (b)

    275,000       277,866  

Ares Capital Corp., 7.00%, 01/15/2027

    175,000       181,578  

Athene Global Funding, 5.52%, 03/25/2027 (b)

    100,000       101,995  

Aviation Capital Group LLC, 6.25%, 04/15/2028 (b)

    185,000       192,376  

Blue Owl Capital Corp., 2.88%, 06/11/2028

    215,000       196,653  

Fidelity & Guaranty Life Holdings, Inc., 5.50%, 05/01/2025 (b)

    92,000       91,643  

Goldman Sachs BDC, Inc., 3.75%, 02/10/2025

    290,000       287,376  

Goldman Sachs Group, Inc., 3.85%, 01/26/2027

    200,000       197,153  
              1,909,721  

Health Care — 1.7%

               

CVS Pass-Through Trust, 6.04%, 12/10/2028

    259,390       262,701  
                 

Industrials — 2.5%

               

GE Capital Funding LLC, 4.05%, 05/15/2027

    200,000       196,441  

Ryder System, Inc., 6.30%, 12/01/2028

    185,000       197,256  
              393,697  

Materials — 1.5%

               

International Paper Co., 7.20%, 11/01/2026

    215,000       225,020  
                 

Technology — 3.0%

               

Leidos, Inc., 3.63%, 05/15/2025

    295,000       291,593  

Ricoh USA, Inc., 6.75%, 12/01/2025

    180,000       177,034  
              468,627  

Utilities — 3.0%

               

Elwood Energy LLC, 8.16%, 07/05/2026

    203,544       191,331  

PacifiCorp, 6.71%, 01/15/2026

    270,000       274,196  
              465,527  

TOTAL CORPORATE BONDS (Cost $5,713,007)

            5,723,740  
                 

ASSET-BACKED SECURITIES — 12.7%

               

Accredited Mortgage Loan Trust, Series 2004-3, Class 2A2, 6.59% (1 mo. Term SOFR + 1.31%), 10/25/2034

    48,502       47,892  

ACE Securities Corp., Series 2003-NC1, Class A2A, 6.23% (1 mo. Term SOFR + 0.95%), 07/25/2033

    234,621       216,171  

Alaska Airlines, Inc., Series A, 4.80%, 08/15/2027 (b)

    153,764       153,033  

Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-W10, Class A2, 3.56% (1 mo. Term SOFR + 0.89%), 10/25/2034

    211,056       204,707  

 

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

OAKHURST SHORT DURATION BOND FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

ASSET-BACKED SECURITIES — 12.7% (continued)

CarMax Auto Owner Trust, Series 2021-3, Class A4, 0.74%, 01/15/2027

    160,000     $ 153,647  

Carvana Auto Receivables Trust

               

Series 2021-N1, Class B, 1.09%, 01/10/2028

    176,914       170,239  

Series 2021-P2, Class A4, 0.80%, 01/10/2027

    289,151       282,115  

Countrywide Asset-Backed Certificates, Series 2004-6, Class 2A3, 6.59% (1 mo. Term SOFR + 1.31%), 11/25/2034

    152,019       152,157  

DB Master Finance Parent LLC, Series 2021-1A, Class A2I, 2.05%, 11/20/2051 (b)

    277,163       260,023  

OneMain Holdings, Inc., Series 2006-1, Class A5, 5.75%, 12/25/2035 (a)(b)

    1,001       1,080  

Soundview Home Equity Loan Trust, Series 2003-2, Class A2, 6.69% (1 mo. Term SOFR + 1.41%), 11/25/2033

    142,591       145,533  

World Omni Select Auto Trust, Series 2021-A, Class C, 1.09%, 11/15/2027

    175,000       168,356  

TOTAL ASSET-BACKED SECURITIES (Cost $1,979,261)

            1,954,953  
                 

U.S. TREASURY SECURITIES — 9.2%

               

United States Treasury Note/Bond

               

4.88%, 05/31/2026

    335,000       339,737  

4.63%, 06/30/2026

    447,000       451,916  

4.50%, 07/15/2026

    325,000       328,053  

3.75%, 08/15/2027

    300,000       299,660  

TOTAL U.S. TREASURY SECURITIES (Cost $1,406,995)

            1,419,366  
                 

MORTGAGE-BACKED SECURITIES — 1.0%

               

Federal Home Loan Mortgage Corp., Pool J12630, 4.00%, 07/01/2025

    31,154       30,946  

Federal National Mortgage Association

               

Pool AL0300, 4.50%, 06/01/2026

    30,603       30,602  

Pool AL4309, 4.00%, 10/01/2028

    91,245       90,353  

TOTAL MORTGAGE-BACKED SECURITIES (Cost $154,403)

            151,901  
                 

CONVERTIBLE BONDS — 1.0%

               

Financials — 1.0%

               

PennyMac Corp., 8.50%, 06/01/2029 (b)

    150,000       150,300  

TOTAL CONVERTIBLE BONDS (Cost $149,625)

            150,300  

 

 

 

Units

   

 

 
                 

SHORT-TERM INVESTMENTS — 1.8%

               

Investments Purchased with Proceeds from Securities Lending — 1.3%

               

Mount Vernon Liquid Assets Portfolio, LLC 5.42% (d)

    197,125       197,125  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

OAKHURST SHORT DURATION BOND FUND

Schedule of Investments (CONCLUDED)

August 31, 2024

 

 

 

Shares

   

Value

 
                 

SHORT-TERM INVESTMENTS — (continued)

               

Money Market Funds — 0.5%

               

Invesco Treasury Portfolio - Class Institutional, 5.16% (e)

    88,619     $ 88,619  

TOTAL SHORT-TERM INVESTMENTS (Cost $285,744)

            285,744  
                 

TOTAL INVESTMENTS — 100.0% (Cost $15,823,747)

          $ 15,452,337  

Other Assets in Excess of Liabilities — 0.0% (e)

            3,909  

TOTAL NET ASSETS — 100.0%

          $ 15,456,246  

 

Percentages are stated as a percent of net assets.

 

CMT - Constant Maturity Treasury Rate

 

SOFR - Secured Overnight Financing Rate

 

(a)

Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of August 31, 2024.

 

(b)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $1,497,854 or 9.7% of the Fund’s net assets.

 

(c)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $193,061 which represented 1.2% of net assets.

 

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

(e)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 76.5%

               

Communications — 5.8%

               

Cincinnati Bell Telephone Co. LLC, 6.30%, 12/01/2028

    309,000     $ 292,836  

DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.95%, 01/15/2025

    438,000       427,050  

McGraw-Hill Education, Inc., 5.75%, 08/01/2028 (a)

    200,000       196,236  

Newfold Digital Holdings Group, Inc., 11.75%, 10/15/2028 (a)

    240,000       238,936  

Qwest Corp., 7.25%, 09/15/2025

    250,000       249,067  

Uber Technologies, Inc., 6.25%, 01/15/2028 (a)

    515,000       519,707  

Univision Communications, Inc., 6.63%, 06/01/2027 (a)

    200,000       198,143  
              2,121,975  

Consumer Discretionary — 13.4%

               

Affinity Interactive, 6.88%, 12/15/2027 (a)

    300,000       257,408  

American Airlines, Inc., 7.25%, 02/15/2028 (a)

    200,000       201,460  

Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 5.75%, 07/15/2027 (a)

    500,000       489,437  

Cornerstone Building Brands, Inc., 9.50%, 08/15/2029 (a)

    250,000       247,793  

Empire Resorts, Inc., 7.75%, 11/01/2026 (a)

    250,000       241,388  

GEO Group, Inc., 8.63%, 04/15/2029

    250,000       259,566  

Landsea Homes Corp., 8.88%, 04/01/2029 (a)

    300,000       311,708  

MGM Resorts International, 5.50%, 04/15/2027

    625,000       625,361  

PetSmart, Inc. / PetSmart Finance Corp., 4.75%, 02/15/2028 (a)

    262,000       250,931  

Prime Security Services Borrower LLC / Prime Finance, Inc., 5.75%, 04/15/2026 (a)

    520,000       521,403  

Staples, Inc., 10.75%, 09/01/2029 (a)

    250,000       236,579  

United Airlines 2020-1 Class B Pass Through Trust, Series B, 4.88%, 01/15/2026

    474,600       468,973  

White Cap Parent LLC, 8.25% (includes 9.00% PIK), 03/15/2026 (a)

    750,000       752,344  
              4,864,351  

Consumer Staples — 5.3%

               

B&G Foods, Inc., 5.25%, 09/15/2027

    750,000       710,235  

Energizer Holdings, Inc., 6.50%, 12/31/2027 (a)

    708,000       719,261  

Land O’Lakes Capital Trust I, 7.45%, 03/15/2028 (a)

    500,000       489,976  
              1,919,472  

Energy — 8.7%

               

CVR Energy, Inc., 8.50%, 01/15/2029 (a)

    250,000       254,688  

Encino Acquisition Partners Holdings LLC, 8.50%, 05/01/2028 (a)

    500,000       517,064  

Martin Midstream Partners LP / Martin Midstream Finance Corp., 11.50%, 02/15/2028 (a)

    250,000       273,904  

New Fortress Energy, Inc., 6.50%, 09/30/2026 (a)

    685,000       593,729  

Phillips 66 Partners LP

               

2.45%, 12/15/2024

    20,000       19,804  

3.61%, 02/15/2025

    529,000       523,916  

3.55%, 10/01/2026

    5,000       4,772  

3.75%, 03/01/2028

    73,000       68,571  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

13

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 76.5% (continued)

Energy — 8.7% (continued)

               

SM Energy Co., 6.63%, 01/15/2027

    663,000     $ 666,364  

Summit Midstream Holdings LLC, 8.63%, 10/31/2029 (a)

    250,000       259,674  
              3,182,486  

Financials — 18.4%

               

Armor Holdco, Inc., 8.50%, 11/15/2029 (a)

    260,000       250,257  

Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL, 5.75%, 05/15/2026 (a)

    519,000       518,263  

Burford Capital Global Finance LLC, 6.25%, 04/15/2028 (a)

    750,000       742,621  

First Citizens BancShares, Inc./NC, 3.38% to 03/15/2025 then 3 mo. Term SOFR + 2.47%, 03/15/2030

    141,000       136,534  

Freedom Mortgage Corp., 12.00%, 10/01/2028 (a)

    246,000       268,042  

Hightower Holding LLC, 9.13%, 01/31/2030 (a)

    250,000       259,051  

HUB International Ltd., 5.63%, 12/01/2029 (a)

    730,000       716,251  

Jefferies Finance LLC / JFIN Co.-Issuer Corp., 5.00%, 08/15/2028 (a)

    250,000       237,726  

MBIA, Inc., 7.00%, 12/15/2025

    675,000       673,785  

Midcap Financial Issuer Trust, 6.50%, 05/01/2028 (a)

    750,000       720,561  

Navient Corp., 5.00%, 03/15/2027

    530,000       520,855  

New York Community Bancorp, Inc., 8.27% (3 mo. Term SOFR + 3.04%), 11/06/2028

    543,000       480,579  

Rithm Capital Corp., 6.25%, 10/15/2025 (a)

    675,000       675,782  

Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 10.50%, 02/15/2028 (a)

    250,000       256,806  

Voya Financial, Inc., 4.70% to 01/23/2028 then 3 mo. LIBOR US + 2.08%, 01/23/2048 (b)

    285,000       252,529  
              6,709,642  

Health Care — 2.1%

               

AdaptHealth LLC, 4.63%, 08/01/2029 (a)

    275,000       251,211  

CHS/Community Health Systems, Inc., 5.63%, 03/15/2027 (a)

    270,000       261,542  

Prime Healthcare Services, Inc., 9.38%, 09/01/2029 (a)

    250,000       252,411  
              765,164  

Industrials — 3.5%

               

Brundage-Bone Concrete Pumping Holdings, Inc., 6.00%, 02/01/2026 (a)

    720,000       720,565  

RXO, Inc., 7.50%, 11/15/2027 (a)

    550,000       570,438  
              1,291,003  

Materials — 5.5%

               

Arsenal AIC Parent LLC, 11.50%, 10/01/2031 (a)

    510,000       577,889  

Chemours Co., 5.38%, 05/15/2027

    250,000       243,142  

Clearwater Paper Corp., 4.75%, 08/15/2028 (a)

    725,000       677,540  

Domtar Corp., 6.75%, 10/01/2028 (a)

    270,000       247,655  

Mercer International, Inc., 5.13%, 02/01/2029

    300,000       245,658  
              1,991,884  

 

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Schedule of Investments (Continued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 76.5% (continued)

Technology — 10.8%

               

Cloud Software Group, Inc., 6.50%, 03/31/2029 (a)

    533,000     $ 525,787  

Gen Digital, Inc., 6.75%, 09/30/2027 (a)

    645,000       661,124  

McAfee Corp., 7.38%, 02/15/2030 (a)

    265,000       254,432  

MicroStrategy, Inc., 6.13%, 06/15/2028 (a)

    250,000       244,935  

Ricoh USA, Inc., 6.75%, 12/01/2025

    700,000       688,466  

Sabre GLBL, Inc., 11.25%, 12/15/2027 (a)

    710,000       719,723  

Unisys Corp., 6.88%, 11/01/2027 (a)

    280,000       263,336  

Xerox Holdings Corp., 5.00%, 08/15/2025 (a)

    600,000       591,030  
              3,948,833  

Utilities — 3.0%

               

AmeriGas Partners LP / AmeriGas Finance Corp., 5.88%, 08/20/2026

    250,000       247,413  

Elwood Energy LLC, 8.16%, 07/05/2026

    583,072       548,088  

Ferrellgas LP / Ferrellgas Finance Corp., 5.88%, 04/01/2029 (a)

    250,000       234,593  

Midland Cogeneration Venture LP, 6.00%, 03/15/2025 (a)

    58,814       58,078  
              1,088,172  

TOTAL CORPORATE BONDS (Cost $27,606,619)

            27,882,982  
                 

FOREIGN CORPORATE BONDS — 15.0%

               

Consumer Discretionary — 7.3%

               

Carnival Corp., 7.63%, 03/01/2026 (a)

    695,000       702,511  

Garda World Security Corp., 4.63%, 02/15/2027 (a)

    515,000       502,561  

Hawaiian Brand Intellectual Property Ltd. / HawaiianMiles Loyalty Ltd., 11.00%, 04/15/2029 (a)

    412,500       420,532  

NCL Corp. Ltd., 3.63%, 12/15/2024 (a)

    512,000       509,460  

Rakuten Group, Inc., 11.25%, 02/15/2027 (a)

    500,000       543,570  
              2,678,634  

Consumer Staples — 0.7%

               

Herbalife Nutrition Ltd. / HLF Financing, Inc., 7.88%, 09/01/2025 (a)

    260,000       259,669  
                 

Financials — 5.5%

               

ASG Finance Designated Activity Co., 9.75%, 05/15/2029 (a)

    250,000       251,832  

Fly Leasing Ltd.

               

5.25%, 10/15/2024

    620,000       607,985  

7.00%, 10/15/2024 (a)

    750,000       751,091  

Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/2027 (a)

    375,000       384,956  
              1,995,864  

Industrials — 0.9%

               

Bombardier, Inc., 7.88%, 04/15/2027 (a)

    342,000       343,348  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

15

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Schedule of Investments (CONCLUDED)

August 31, 2024

 

 

 

Par

   

Value

 
                 

FOREIGN CORPORATE BONDS — 15.0% (continued)

Materials — 0.6%

               

First Quantum Minerals Ltd., 9.38%, 03/01/2029 (a)

    200,000     $ 213,177  

TOTAL FOREIGN CORPORATE BONDS (Cost $5,377,588)

            5,490,692  
                 

CONVERTIBLE BONDS — 2.3%

               

Financials — 2.3%

               

PennyMac Corp.

               

5.50%, 11/01/2024

    590,000       586,313  

8.50%, 06/01/2029 (a)

    250,000       250,500  
              836,813  

TOTAL CONVERTIBLE BONDS (Cost $838,395)

            836,813  
                 

ASSET-BACKED SECURITIES — 1.6%

               

United Airlines, Inc., Series 2016-1B, 3.65%, 01/07/2026

    598,437       582,423  

TOTAL ASSET-BACKED SECURITIES (Cost $560,061)

            582,423  

 

 

 

Shares

   

 

 
                 

SHORT-TERM INVESTMENTS — 3.5%

               

Money Market Funds — 3.5%

               

Invesco Treasury Portfolio - Class Institutional, 5.16% (c)

    1,260,581     $ 1,260,581  

TOTAL SHORT-TERM INVESTMENTS (Cost $1,260,581)

            1,260,581  
                 

TOTAL INVESTMENTS — 98.9% (Cost $35,643,244)

          $ 36,053,491  

Other Assets in Excess of Liabilities — 1.1%

            397,941  

TOTAL NET ASSETS — 100.0%

          $ 36,451,432  

 

Percentages are stated as a percent of net assets.

 

LIBOR - London Interbank Offered Rate

 

PIK - Payment in Kind

 

SOFR - Secured Overnight Financing Rate

 

(a)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $24,662,625 or 67.7% of the Fund’s net assets.

 

(b)

Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon reset date.

 

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

Oakhurst Mutual Funds

Statements of Assets and Liabilities

August 31, 2024

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short
Duration
Bond Fund

   

Oakhurst
Short
Duration
High Yield
Credit Fund

 

ASSETS

                       

Investments of securities of unaffiliated issuers, at value (cost $125,965,873, $15,538,003, and $34,382,663, respectively)

  $ 122,418,711     $ 15,166,593 (1)    $ 34,792,910  

Short-term investments, at value (cost $1,832,788 and $88,619, and $1,260,581, respectively)

    1,832,788       88,619       1,260,581  

Investments purchased with proceeds from securities lending collateral, at value (cost $ —, $197,125, and $ —, respectively)

          197,125        

Receivable for:

                       

Due from Adviser (Note 2)

          33,524       7,662  

Dividends and interest

    833,520       104,592       640,558  

Investments sold

          148,937        

Capital shares sold

    172,366             1,373  

Securities lending income

    161       1,884       1,298  

Prepaid and other expenses

    4,771             4,142  

Total assets

    125,262,317       15,741,274       36,708,524  
                         

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

    207,298       41,118       198,257  

Distributions

    157,027       1,073       6,093  

Administration and accounting fees

    22,145       6,890       7,580  

Professional fees

    19,845       20,273       20,098  

Advisory fees

    16,114              

Securities lending collateral (see Note 5)

          197,125        

Other accrued expenses and liabilities

    42,176       18,549       25,064  

Total liabilities

    464,605       285,028       257,092  

Net assets

    124,797,712       15,456,246       36,451,432  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 14,022     $ 1,628     $ 4,086  

Paid-in capital

    137,496,282       20,781,830       48,181,168  

Total distributable earnings/(loss)

    (12,712,592 )     (5,327,212 )     (11,733,822 )

Net assets

  $ 124,797,712     $ 15,456,246     $ 36,451,432  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    14,021,970       1,627,530       4,085,714  

Net asset value, offering and redemption price per share

  $ 8.90     $ 9.50     $ 8.92  

 

(1)

Includes market value of securities on loan of $193,061.

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

Oakhurst Mutual Funds

Statements of Operations

FOR THE Year ENDED August 31, 2024

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short
Duration
Bond Fund

   

Oakhurst
Short
Duration
High Yield
Credit Fund

 

INVESTMENT INCOME

                       

Interest

  $ 5,194,206     $ 907,005     $ 2,751,064  

Securities lending income, net

    861       3,870       8,591  

Total investment income

    5,195,067       910,875       2,759,655  
                         

EXPENSES

                       

Advisory fees (Note 2)

    570,542       71,777       282,199  

Administration and accounting fees (Note 2)

    119,476       51,101       58,996  

Transfer agent fees (Note 2)

    104,914       63,585       67,293  

Audit and tax service fees

    18,872       22,289       20,581  

Printing and shareholder reporting fees

    11,647       9,350       9,842  

Custodian fees (Note 2)

    9,542       3,281       3,607  

Registration and filing fees

    9,351       10,496       9,310  

Director fees

    5,788       5,788        

Legal fees

    4,988       5,108       878  

Other expenses

    34,859       20,404       24,925  

Total expenses before waivers and reimbursments

    889,979       263,179       477,631  

Less: waivers and reimbursemets (Note 2)

    (224,568 )     (140,157 )     (120,174 )

Net expenses after waivers and reimbursments

    665,411       123,022       357,457  

Net investment income/(loss)

    4,529,656       787,853       2,402,198  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from investments

    (2,820,459 )     (475,847 )     (425,905 )

Net change in unrealized appreciation/(depreciation) on investments

    7,204,480       1,126,187       1,802,716  

Net realized and unrealized gain/(loss) from investments

    4,384,021       650,340       1,376,811  
                         

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 8,913,677     $ 1,438,193     $ 3,779,009  

 

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

OAKHURST FIXED INCOME FUND

Statements of Changes in Net Assets

 

 

 

Year Ended
August 31,
2024

   

Year Ended
August 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 4,529,656     $ 3,756,470  

Net realized gain/(loss) on investments

    (2,820,459 )     (4,450,490 )

Net change in unrealized appreciation/(depreciation) on investments

    7,204,480       50,843  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    8,913,677       (643,177 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (4,568,696 )     (3,883,963 )

Net decrease in net assets from dividends and distributions to shareholders

    (4,568,696 )     (3,883,963 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    45,762,565       35,053,632  

Reinvestment of distributions

    2,866,950       2,486,866  

Shares redeemed

    (43,584,779 )     (37,015,263 )

Net increase/(decrease) in net assets from capital share transactions

    5,044,736       525,235  

Total increase/(decrease) in net assets

    9,389,717       (4,001,905 )
                 

NET ASSETS:

               

Beginning of period

    115,407,995       119,409,900  

End of period

  $ 124,797,712     $ 115,407,995  
                 

SHARE TRANSACTIONS:

               

Shares sold

    5,304,313       4,050,926  

Shares reinvested

    332,675       288,571  

Shares redeemed

    (5,090,417 )     (4,287,559 )

Net increase/(decrease) in shares outstanding

    546,571       51,938  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

OAKHURST SHORT DURATION BOND FUND

Statements of Changes in Net Assets

 

 

 

Year Ended
August 31,
2024

   

Year Ended
August 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 787,853     $ 1,336,521  

Net realized gain/(loss) on investments

    (475,847 )     (2,021,832 )

Net change in unrealized appreciation/(depreciation) on investments

    1,126,187       1,307,819  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    1,438,193       622,508  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (791,430 )     (1,417,288 )

Net decrease in net assets from dividends and distributions to shareholders

    (791,430 )     (1,417,288 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    2,661,769       7,798,441  

Reinvestment of distributions

    773,968       1,398,059  

Shares redeemed

    (15,735,509 )     (39,080,692 )

Net increase/(decrease) in net assets from capital share transactions

    (12,299,772 )     (29,884,192 )

Total increase/(decrease) in net assets

    (11,653,009 )     (30,678,972 )
                 

NET ASSETS:

               

Beginning of period

    27,109,255       57,788,227  

End of period

  $ 15,456,246     $ 27,109,255  
                 

SHARE TRANSACTIONS:

               

Shares sold

    285,193       852,160  

Shares reinvested

    83,538       152,703  

Shares redeemed

    (1,692,988 )     (4,257,943 )

Net increase/(decrease) in shares outstanding

    (1,324,257 )     (3,253,080 )

 

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Statements of Changes in Net Assets

 

 

 

Year Ended
August 31,
2024

   

Year Ended
August 31,
2023

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 2,402,198     $ 3,341,257  

Net realized gain/(loss) on investments

    (425,905 )     (8,762,831 )

Net change in unrealized appreciation/(depreciation) on investments

    1,802,716       7,335,135  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,779,009       1,913,561  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (2,416,379 )     (3,364,705 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,416,379 )     (3,883,963 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    5,749,951       10,876,689  

Reinvestment of distributions

    2,327,603       3,291,666  

Shares redeemed

    (16,767,917 )     (35,451,954 )

Net increase/(decrease) in net assets from capital share transactions

    (8,690,363 )     (21,283,599 )

Total increase/(decrease) in net assets

    (7,327,733 )     (22,734,743 )
                 

NET ASSETS:

               

Beginning of period

    43,779,165       66,513,908  

End of period

  $ 36,451,432     $ 43,779,165  
                 

SHARE TRANSACTIONS:

               

Shares sold

    652,966       1,263,476  

Shares reinvested

    266,023       384,295  

Shares redeemed

    (1,925,652 )     (4,118,132 )

Net increase/(decrease) in shares outstanding

    (1,006,663 )     (2,470,361 )

 

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

OAKHURST FIXED INCOME FUND

Institutional Shares

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

 

 

 

2024(1)

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 8.56     $ 8.90     $ 10.28     $ 10.40     $ 10.10  

Net investment income/(loss)(3)

    0.34       0.27       0.19       0.15       0.22  

Net realized and unrealized gain/(loss) from investments

    0.35       (0.33 )     (1.26 )     (2)      0.32  

Net increase/(decrease) in net assets resulting from operations

    0.69       (0.06 )     (1.07 )     0.15       0.54  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.35 )     (0.28 )     (0.22 )     (0.21 )     (0.24 )

Net realized gains on investments

                (0.09 )     (0.06 )      

Total distributions

    (0.35 )     (0.28 )     (0.31 )     (0.27 )     (0.24 )

Net asset value, end of period

  $ 8.90     $ 8.56     $ 8.90     $ 10.28     $ 10.40  

Total investment return/(loss)(4)

    8.21 %     (0.62 )%     (10.59 )%     1.42 %     5.45 %

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets at end of period (000’s omitted)

  $ 124,798     $ 115,408     $ 119,410     $ 126,210     $ 96,428  

Ratio of expenses to average net assets with waivers and/or reimbursements

    0.58 %     0.60 %     0.60 %     0.60 %     0.60 %

Ratio of expenses to average net assets without waivers and reimbursements

    0.78 %     0.78 %     0.84 %     0.80 %     0.87 %

Ratio of net investment income/(loss) to average net assets with waviers

    3.97 %     3.16 %     1.97 %     1.45 %     2.20 %

Portfolio turnover rate

    41 %     36 %     48 %     52 %     43 %

 

(1)

Prior to the close of business on October 27, 2023, the Fund was a series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to October 30, 2023 included herein is that of the Predecessor Fund (Note 1).

 

(2)

Rounds to less than $0.01 per share.

 

(3)

Per share data calculated using average shares outstanding method.

 

(4)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower.

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

OAKHURST SHORT DURATION BOND FUND

Institutional Shares

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

 

 

 

2024(1)

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 9.18     $ 9.31     $ 9.99     $ 9.98     $ 9.94  

Net investment income/(loss)(2)

    0.36       0.31       0.14       0.15       0.22  

Net realized and unrealized gain/(loss) from investments

    0.33       (0.11 )     (0.60 )     0.07       0.07  

Net increase/(decrease) in net assets resulting from operations

    0.69       0.20       (0.46 )     0.22       0.29  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.37 )     (0.33 )     (0.22 )     (0.21 )     (0.25 )

Net asset value, end of period

  $ 9.50     $ 9.18     $ 9.31     $ 9.99     $ 9.98  

Total investment return/(loss)(3)

    7.68 %     2.23 %     (4.65 )%     2.26 %     2.95 %

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets at end of period (000’s omitted)

  $ 15,456     $ 27,109     $ 57,788     $ 131,145     $ 125,823  

Ratio of expenses to average net assets with waivers and/or reimbursements

    0.60 %     0.60 %     0.60 %     0.60 %     0.60 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.28 %     1.03 %     0.77 %     0.65 %     0.68 %

Ratio of net investment income/(loss) to average net assets with waviers

    3.84 %     3.24 %     1.58 %     1.51 %     2.13 %

Portfolio turnover rate

    48 %     22 %     70 %     102 %     70 %

 

(1)

Prior to the close of business on October 27, 2023, the Fund was a diversified series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to October 30, 2023 included herein is that of the Predecessor Fund (Note 1).

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower.

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

OAKHURST SHORT DURATION HIGH YIELD CREDIT FUND

Institutional Shares

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

   

For the
Year
Ended
August 31,

 

 

 

2024(1)

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 8.60     $ 8.79     $ 10.06     $ 9.64     $ 9.95  

Net investment income/(loss)(2)

    0.56       0.53       0.47       0.47       0.52  

Net realized and unrealized gain/(loss) from investments

    0.33       (0.19 )     (1.26 )     0.42       (0.31 )

Net increase/(decrease) in net assets resulting from operations

    0.89       0.34       (0.79 )     0.89       0.21  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.57 )     (0.53 )     (0.48 )     (0.47 )     (0.52 )

Net asset value, end of period

  $ 8.92     $ 8.60     $ 8.79     $ 10.06     $ 9.64  

Total investment return/(loss)(3)

    10.66 %     4.05 %     (8.11 )%     9.45 %     2.27 %

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets at end of period (000’s omitted)

  $ 36,451     $ 43,779     $ 66,514     $ 101,433     $ 41,894  

Ratio of expenses to average net assets with waivers and/or reimbursements

    0.95 %     0.95 %     0.95 %     0.95 %     0.95 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.27 %     1.22 %     1.11 %     1.18 %     1.29 %

Ratio of net investment income/(loss) to average net assets with waviers

    6.39 %     6.00 %     4.84 %     4.72 %     5.38 %

Portfolio turnover rate

    49 %     52 %     53 %     60 %     113 %

 

(1)

Prior to the close of business on October 27, 2023, the Fund was a diversified series (the “Predecessor Fund”) of F/m Funds Trust, an open-end management investment company organized as an Ohio business trust. The Predecessor Fund was reorganized into the Fund following the close of business on October 27, 2023 (the “Reorganization”). As a result of the Reorganization, the performance and accounting history of the Predecessor Fund was assumed by the Fund. Performance and accounting information prior to October 30, 2023 included herein is that of the Predecessor Fund (Note 1).

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any. The returns shown do not reflect the deduction of taxes a shareholder would pay on Fund distributions or the redemption of Fund shares. Had the Adviser not reduced/waived its fees, the total returns would have been lower.

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund (each a “Fund” and together the “Funds” or “Oakhurst Mutual Funds”). The Oakhurst Fixed Income Fund, the Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund commenced operations on October 31, 2012, April 26, 2013, and October 1, 2015, respectively. Each fund was treated as a separate series (the “Predecessor Funds”) of the F/m Funds Trust, an open end management investment company established as an Ohio business trust. Effective as of the close of business on October 27, 2023, the Predecessor Funds were reorganized into the Funds, as new series of RBB in a tax-free reorganization (the “Reorganization”), whereby the Funds acquired all the assets and liabilities of the Predecessor Funds in exchange for shares of the Funds which were distributed pro rata by the Predecessor Funds to their respective shareholders in complete liquidation and termination of the Predecessor Funds. The Agreement and Plan of Reorganization pursuant to which the Reorganization was accomplished was approved by shareholders of the Predecessor Funds on June 29, 2023 with respect to the Oakhurst Short Duration Bond Fund and Oakhurst Short Duration High Yield Credit Fund, and on July 31, 2023, with respect to the Oakhurst Fixed Income Fund. Unless otherwise indicated, references to the “Funds” in these Notes to Financial Statements refer to the Predecessor Funds and Funds. Each Fund has registered two classes of shares, Institutional shares and Retail shares. As of the date of this report, Retail shares of each Fund are not currently offered. When both share classes of each Fund are offered, each share class of a Fund will represent an ownership interest in the corresponding Fund’s investment portfolio.

 

The investment objective of Oakhurst Fixed Income Fund is total return.

 

The investment objective of Oakhurst Short Duration Bond Fund is to seek a high level of income consistent with preservation of capital and liquidity.

 

The investment objective of Oakhurst Short Duration High Yield Credit Fund is to seek a high level of income and capital appreciation.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

As a tax-free reorganization, any unrealized appreciation or depreciation on the securities held by the Funds on the date of Reorganization was treated as a non-taxable event, thus the cost basis of the securities held reflects their historical cost basis as of the date of Reorganization. As a result of the Reorganization, the Funds are the accounting successors of the Predecessor Funds. The Reorganization was accomplished by a tax-free exchange of the Funds’ shares and value of net assets for the same shares and value of the Predecessor Funds’ shares. For financial reporting purposes, assets received and shares issued by the Funds were recorded at fair value; however, the cost basis of the investments received from the Funds was carried forward to align ongoing reporting of the Funds’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the Reorganization, the net assets, fair value of investments, net unrealized depreciation and shares outstanding of the Predecessor Funds were as follows:

 

Oakhurst Fixed Income Fund:

Net Assets

 

Fair Value of
Investments

   

Net Unrealized
Depreciation

   

Fund Shares
Outstanding

 

$ 106,907,416

  $ 106,032,661     $ (14,475,288 )     12,935,591  

 

 

25

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

Oakhurst Short Duration Bond Fund:

Net Assets

 

Fair Value of
Investments

   

Net Unrealized
Depreciation

   

Fund Shares
Outstanding

 

$ 25,997,806

  $ 25,801,854     $ (1,679,767 )     2,849,158  

 

Oakhurst Short Duration High Yield Credit Fund:

Net Assets

 

Fair Value of
Investments

   

Net Unrealized
Depreciation

   

Fund Shares
Outstanding

 

$ 40,532,559

  $ 39,809,676     $ (1,974,807 )     4,786,327  

 

The Funds are investment companies and follow accounting and reporting guidance under the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Funds is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION – The Funds value their investments at fair value. Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Units of Mount Vernon Liquid Assets Portfolio are not traded on an exchange and are valued at the investment company’s NAV per share.

 

The Board has adopted a pricing and valuation policy for use by the Funds and its Valuation Designee (as defined below) in calculating each Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Funds have designated F/m Investments, LLC d/b/a Oakhurst Capital Management, LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

26

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Funds’ investments carried at fair value:

 

Oakhurst Fixed Income Fund

 

Total

   

Level 1

   

Level 2

   

Level 3

 

U.S. Treasury Securities

  $ 37,657,614     $     $ 37,657,614     $  

Collateralized Mortgage Obligations

    28,169,445             28,169,445        

Corporate Bonds

    27,159,054             27,159,054        

Mortgage-Backed Securities

    11,199,486             11,199,486        

Asset-Backed Securities

    10,786,964             10,786,964        

U.S. Government Agency Issues

    3,557,712             3,557,712        

Foreign Corporate Bonds

    2,886,436             2,886,436        

Convertible Bonds

    1,002,000             1,002,000        

Money Market Funds

    1,832,788       1,832,788              

Total Investments*

  $ 124,251,499     $ 1,832,788     $ 122,418,711     $  

 

Oakhurst Short Duration Bond Fund

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Collateralized Mortgage Obligations

  $ 5,766,333     $     $ 5,766,333     $  

Corporate Bonds

    5,723,740             5,723,740        

Asset-Backed Securities

    1,954,953             1,954,953        

U.S. Treasury Securities

    1,419,366             1,419,366        

Mortgage-Backed Securities

    151,901             151,901        

Convertible Bonds

    150,300             150,300        

Investments Purchased with Proceeds from Securities Lending**

    197,125                    

Money Market Funds

    88,619       88,619              

Total Investments*

  $ 15,452,337     $ 88,619     $ 15,166,593     $  

 

Oakhurst Short Duration
High Yield Credit Fund

 

Total

   

Level 1

   

Level 2

   

Level 3

 

Corporate Bonds

  $ 27,882,982     $     $ 27,882,982     $  

Foreign Corporate Bonds

    5,490,692             5,490,692        

Convertible Bonds

    836,813             836,813        

Asset-Backed Securities

    582,423             582,423        

Money Market Funds

    1,260,581       1,260,581              

Total Investments*

  $ 36,053,491     $ 1,260,581     $ 34,792,910     $  

 

*

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.

 

 

27

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Funds did not have any significant Level 3 transfers during the current fiscal period.

 

USE OF ESTIMATES – The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES – The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS – Each Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. Each Fund expects to declare and pay distributions, if any, monthly, however it may declare and pay distributions more or less frequently. Net realized capital gains (including net short-term capital gains), if any, will be distributed by each Fund at least annually. 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.

 

28

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

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

 

Effective October 30, 2023, under the terms of an investment advisory agreement between the Company, on behalf of the Funds, and the Adviser (the “Current Advisory Agreement”), the Adviser serves as the investment adviser to the Funds, and the Funds pay the Adviser a fee, which is computed and accrued daily and paid monthly, at the annual rate of 0.50%, 0.35%, and 0.75% of the average daily net assets of the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund, respectively. Oakhurst Capital Advisors, LLC (the “Sub-Adviser”) serves as the investment sub-adviser to the Funds. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Funds, primarily in the form of oversight of the Sub-Adviser pursuant to the terms of the Current Advisory Agreement between the Adviser and the Company on behalf of the Funds. The Sub-Adviser is paid a fee equal to the annual rate of 0.475% of the Oakhurst Fixed Income Fund’s average daily net assets, 0.325% of the Oakhurst Short Duration Bond Fund’s average daily net assets, and 0.725% of the Oakhurst Short Duration High Yield Credit Fund’s average daily net assets. Compensation of the Sub-Adviser is paid by the Adviser (not the Funds) at the annual rate of the average value of a Fund’s daily net assets. The Sub-Adviser’s fee is reduced on a pro-rata basis to the extent that the Adviser reduces its advisory fees or reimburses expenses of the Funds.

 

Effective October 30, 2023, under an expense limitation agreement between the Company, on behalf of the Funds, and the Adviser (the “Current Expense Limitation Agreement”), the Adviser has contractually agreed until October 30, 2025 to reduce its investment advisory fees and to pay other operating expenses to the extent necessary to limit annual ordinary operating expenses (excluding brokerage commissions, taxes, interest, acquired fund fees and expenses and extraordinary expenses) to 0.60% (0.58% until October 30, 2024) of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Fixed Income Fund, 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration Bond Fund, and 0.95% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration High Yield Credit Fund. During the period from October 30, 2023 through August 31, 2024, the Adviser reduced advisory fees for the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund by $181,008, $108,148, and $94,367, respectively.

 

Prior to October 30, 2023, the Sub-Adviser served as the investment adviser to the Predecessor Funds pursuant to an investment advisory agreement between the F/m Funds Trust, on behalf of the Predecessor Funds, and the Sub-Adviser (the “Prior Advisory Agreement”). The fee structure under the Prior Advisory Agreement was identical to the fee structure under the Current Advisory Agreement. In addition, the Sub-Adviser contractually agreed through October 29, 2023 to limit the amount of the Predecessor Funds’ total annual operating expenses (excluding brokerage costs, taxes, borrowing costs, interest, acquired fund fees and expense and extraordinary expenses) pursuant to an expense limitation agreement (the “Prior Expense Limitation Agreement”) to 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Fixed Income Fund, 0.60% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration Bond Fund, and 0.95% of the average daily net assets allocable to the Institutional Class shares of the Oakhurst Short Duration High Yield Credit Fund. During the period from September 1, 2023 through October 29, 2023, the Sub-Adviser reduced advisory fees to the Predecessor Funds by $43,560, $32,009, and $25,807, for the Oakhurst Fixed Income Fund, the Oakhurst Short Duration Bond Fund, and the Oakhurst Short Duration High Yield Credit Fund, respectively.

 

Advisory fee reductions and expense reimbursements by the Adviser are subject to repayment by the Funds for a period of three years after such fees and expenses were incurred, provided that the repayments do not cause the Funds’ ordinary operating expenses (excluding brokerage commissions, taxes, interest, acquired fund fees and expenses and extraordinary expenses) to exceed the expense caps that were in effect when the fees and expenses were paid, waived, or absorbed by the Adviser, as well as the expense cap currently in effect. The advisory fees and expense waivers and/or reimbursement under the Prior Expense Limitation Agreement are not subject to repayment by the Funds.

 

Prior to October 30, 2023, the Adviser served as the investment sub-adviser to the Predecessor Funds pursuant to a sub-advisory agreement by and among F/m Funds Trust, on behalf of the Predecessor Funds, the Adviser and the Sub-Adviser (the “Prior Sub-Advisory Agreement”). Pursuant to the Prior Sub-Advisory Agreement, the Adviser received compensation from the Sub-Adviser for its services to the Predecessor Funds. The Adviser was not compensated directly by the Predecessor Funds.

 

 

29

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

 

 

Gross
Advisory Fees

   

Waivers and/or
Reimbursements

   

Recoupments

   

Net
Advisory Fees

 

Oakhurst Fixed Income Fund

  $ 570,542     $ (224,568 )   $     $ 345,974  

Oakhurst Short Duration Bond Fund

    71,777       (140,157 )           (68,380 )

Oakhurst Short Duration High Yield Credit Fund

    282,199       (120,174 )           162,025  

 

At the end of the current fiscal period, the Fund had amounts available for recoupment by the Adviser as follows:

 

 

 

EXPIRATION

 

 

 

August 31,
2027

   

Total

 

Oakhurst Fixed Income Fund

  $ 181,008     $ 181,008  

Oakhurst Short Duration Bond Fund

  $ 108,148     $ 108,148  

Oakhurst Short Duration High Yield Credit Fund

  $ 94,367     $ 94,367  

 

Ultimus Fund Solutions served as administrator for the Funds through October 27, 2023. Effective October 28, 2023, U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Ultimus Fund Solutions served as transfer and dividend disbursing agent for the Funds through October 27, 2023. Effective October 28, 2023, Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Ultimus Fund Distributors, LLC served as the principal underwriter and distributor of the Funds’ shares pursuant to a distribution agreement with F/m Funds Trust through October 27, 2023. Effective October 28, 2023, Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a distribution agreement with the Company.

 

DIRECTOR AND OFFICER COMPENSATION - The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Key Bridge Compliance, LLC provided the Chief Compliance Officer and compliance services to F/m Funds Trust. Additionally, certain trustees of the Predecessor Funds were affiliated with the Adviser and were not paid by the Predecessor Funds for serving in such capacities. Employees of the Company serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

30

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

3. INVESTMENT TRANSACTIONS

 

During the current fiscal period ended August 31, 2024, cost of purchases and proceeds from sales and maturities of investment securities, other than short-term investments and U.S. government securities, were as follows:

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short Duration
Bond Fund

   

Oakhurst
Short Duration
High Yield
Credit Fund

 

Purchases of investment securities

  $ 30,607,940     $ 3,967,314     $ 17,781,011  

Proceeds from sales and maturities of investment securities

    33,292,496       11,554,790       25,639,749  

 

During the current fiscal period ended August 31, 2024, cost of purchases and proceeds from sales and maturities of U.S. government long-term securities were as follows:

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short Duration
Bond Fund

   

Oakhurst
Short Duration
High Yield
Credit Fund

 

Purchases of U.S. government long-term securities

  $ 20,202,065     $ 5,203,926     $  

Proceeds from sales and maturities of U.S. government securities

    12,655,167       3,802,882        

 

4. FEDERAL INCOME TAX INFORMATION

 

Each Fund has qualified and intends to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”). Accordingly, the Funds intend to distribute their taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal income tax provision is provided in the Funds’ financial statements.

 

In order to avoid imposition of the excise tax applicable to regulated investment companies, it is also each Fund’s intention to declare as dividends in each calendar year at least 98% of its net investment income (earned during the calendar year) and 98.2% of its net realized capital gains (earned during the twelve months ended October 31) plus undistributed amounts from prior years.

 

The following information is computed on a tax basis for each item as of August 31, 2024:

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short Duration
Bond Fund

   

Oakhurst
Short Duration
High Yield
Credit Fund

 

Tax cost of investments

  $ 127,957,171     $ 15,824,501     $ 35,643,747  

Gross unrealized appreciation

    1,871,494       72,577       635,708  

Gross unrealized depreciation

    (5,577,166 )     (444,741 )     (225,964 )

Net unrealized appreciation/(depreciation) on investments

    (3,705,672 )     (372,164 )     409,744  

Undistributed ordinary income

    226,365       42,851       13,297  

 

 

31

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short Duration
Bond Fund

   

Oakhurst
Short Duration
High Yield
Credit Fund

 

Accumulated capital and other losses

  $ (9,076,258 )   $ (4,996,826 )   $ (12,150,770 )

Distributions payable

    (157,027 )     (1,073 )     (6,093 )

Total distributable earnings/(loss)

  $ (12,712,592 )   $ (5,327,212 )   $ (11,733,822 )

 

The difference between the federal income tax cost of investments and the financial statement cost of investments for each Fund is due to certain timing differences in the recognition of capital gains and losses under income tax regulations and GAAP. These timing differences are temporary in nature and are due to the tax deferral of losses on wash sales.

 

The tax character of distributions paid to shareholders during the fiscal years ended August 31, 2023 and August 31, 2024 was as follows:

 

Year Ended

 

Ordinary
Income

   

Long-Term
Capital Gains

   

Total
Distributions*

 

Oakhurst Fixed Income Fund:

                       

August 31, 2023

  $ 4,008,527     $     $ 4,008,527  

August 31, 2024

  $ 4,548,812     $     $ 4,548,812  

Oakhurst Short Duration Bond Fund:

                       

August 31, 2023

  $ 1,532,262     $     $ 1,532,262  

August 31, 2024

  $ 792,322     $     $ 792,322  

Oakhurst Short Duration High Yield Credit Fund:

                       

August 31, 2023

  $ 3,601,448     $     $ 3,601,448  

August 31, 2024

  $ 2,418,079     $     $ 2,418,079  

 

*

Total Distributions may not tie to the amounts listed on the Statements of Changes in Net Assets due to dividends payable amounts.

 

As of August 31, 2024, the Funds had the following capital loss carryforwards (“CLCFs”) for federal income tax purposes:

 

 

 

Oakhurst
Fixed Income
Fund

   

Oakhurst
Short Duration
Bond Fund

   

Oakhurst
Short Duration
High Yield
Credit Fund

 

Short-term loss carryforwards

  $ (901,758 )   $ (1,981,555 )   $ (4,706,925 )

Long-term loss carryforwards

    (8,174,500 )     (3,015,271 )     (7,443,845 )

Total

  $ (9,076,258 )   $ (4,996,826 )   $ (12,150,770 )

 

These CLCFs may be carried forward indefinitely and are available to offset net realized capital gains in future years, thereby reducing future taxable capital gain distributions.

 

32

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

The Funds recognize the tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has reviewed each Fund’s tax positions taken on Federal income tax returns for the current and all open tax years (generally, three years) and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements and does not expect this to change over the next year. Each Fund identifies its major tax jurisdiction as U.S. Federal.

 

Each Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expenses on the Statements of Operations. During the fiscal year ended August 31, 2024, the Funds did not incur any interest or penalties.

 

5. SECURITIES LENDING

 

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned domestic securities and 105% of the current market value of the loaned foreign 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 receive compensation in the form of loan fees owed by borrowers and income earned on collateral investments. A portion of the interest received on the loan collateral is retained by the Funds and the remainder is rebated to the borrower of the securities. Pursuant to the securities lending agreement between the Trust, on behalf of the Funds, and the Custodian, each Fund pays a fee to the Custodian for administrative and custodial fees, which is calculated daily and paid monthly, in the amount of 20% of the Fund’s net income. The net amount of interest earned, after the interest rebate and the allocation to the Custodian, is shown below. Collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable Net Asset Value of $1.00. The Funds will bear the risk of loss of the invested collateral. Investments purchased with collateral 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 net income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE
OF SECURITIES
LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME
RECEIVED FROM
SECURITIES
LENDING

 

Oakhurst Fixed Income Fund

  $     $     $ 861  

Oakhurst Short Duration Bond Fund

    193,061       197,125       3,870  

Oakhurst Short Duration High Yield Credit Fund

                8,591  

 

 

 

33

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

                           

GROSS AMOUNTS NOT OFFSET IN
THE STATEMENTS OF ASSETS AND LIABILITIES

 

FUND

 

GROSS AMOUNTS
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENTS
OF ASSETS AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET AMOUNT2

 

Oakhurst Fixed Income Fund

  $     $     $     $     $     $  

Oakhurst Short Duration Bond Fund

    193,061             193,061       (193,061 )            

Oakhurst Short Duration High Yield Credit Fund

                                   

 

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.

 

6. Risks Associated with Collateralized Mortgage Obligations

 

Oakhurst Fixed Income Fund and Oakhurst Short Duration Bond Fund have each adopted a fundamental policy to concentrate its investments in collateralized mortgage obligations (“CMOs”). This means each Fund generally aims to invest at least 25% of its total assets in agency and non-agency CMOs. The Funds’ investments in CMOs are subject to prepayment risk, especially when interest rates decline. Prepayment risk is the risk that the principal on CMOs, other asset-backed securities or any fixed-income security with an embedded call option may be prepaid at any time, which could reduce yield and market value. This could reduce the effective maturity of a CMO and cause the Funds to reinvest their assets at a lower prevailing interest rate. CMOs are also subject to extension risk, which is the risk that rising interest rates will increase the effective maturity of CMOs due to the deceleration of prepayments. CMOs may also be subject to risks unique to the housing industry, including mortgage lending practices, defaults, foreclosures and changes in real estate values. The Funds’ investments in CMOs are subject to default risk, prepayment and extension risk and market risk when interest rates rise. As a result of each Fund’s policy to concentrate in CMOs, the Funds will be subject to the risks associated with these securities to a greater degree than a fund that does not concentrate in CMOs. As of the end of the current fiscal period, Oakhurst Fixed Income Fund and Oakhurst Short Duration Bond Fund had 22.6% and 37.3%, respectively, of the value of their net assets invested in CMOs.

 

7. Risks Associated with Lower Rated Debt Securities

 

Oakhurst Short Duration High Yield Credit Fund invests primarily in lower-rated debt securities (commonly called “junk” bonds). These securities are often considered to be speculative and involve greater risk of default or price changes than higher-rated securities due to changes in the issuer’s creditworthiness. Prices of lower-rated securities have been found to be less sensitive to interest rate changes and more sensitive to adverse economic changes and individual corporate developments than more highly rated investments. An economic downturn tends to disrupt the market for lower-rated securities and may adversely affect their

 

34

 

 

 

Oakhurst Mutual Funds

Notes to Financial Statements

August 31, 2024

 

values. Such an economic downturn may be expected to result in increased defaults by the issuers of such securities. Securities rated below Baa by Moody’s Investors Service, Inc. or BBB by S&P Global Ratings or Fitch Ratings, Inc. are generally considered to be “junk” bonds.

 

8. Risks Associated with Rule 144A Securities

 

Rule 144A securities are securities that are exempt from registration in compliance with the Securities Act of 1933, as amended, and the rules thereunder, and may have legal restrictions on resale. Under Rule 144A, these privately placed securities may be resold to qualified institutional buyers (“QIBs”), subject to certain conditions. An insufficient number of QIBs interested in purchasing Rule 144A securities at a particular time could adversely affect the marketability of the securities and a Fund might be unable to dispose of the securities promptly or at a reasonable price. Please refer to the Schedule of Investments for further details regarding each Fund’s investments in 144A securities.

 

9. Bank Line of Credit

 

Oakhurst Fixed Income Fund had an uncommitted senior secured line of credit up to $6,000,000 with its custodian bank which expired on December 15, 2023. Oakhurst Short Duration Bond Fund had an uncommitted senior secured line of credit up to $3,000,000, with its custodian bank which expired on December 15, 2023. Oakhurst Short Duration High Yield Credit Fund had an uncommitted senior secured line of credit up to $3,500,000, with its custodian bank which expired on December 15, 2023. All portfolio securities held by each Fund were pledged as collateral for its line of credit. Borrowings under the lines of credit bore interest at a rate per annum equal to the bank’s Prime Rate at the time of borrowing. During the current fiscal period, none of the Funds borrowed under their respective lines of credit.

 

10. Subsequent Events

 

In preparing these financial statements, management has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

Subsequent to the end of the current fiscal period, the Funds paid the following distributions:

 

Fund

 

Record Date

   

EX-DATE/
PAY DATE

   

Distribution
Rate Per Share

 

Oakhurst Fixed Income Fund

    September 26, 2024       September 27, 2024     $ 0.02451799  

Oakhurst Short Duration Bond Fund

    September 26, 2024       September 27, 2024     $ 0.02730690  

Oakhurst Short Duration High Yield Credit Fund

    September 26, 2024       September 27, 2024     $ 0.04437409  

 

 

35

 

 

Oakhurst Mutual Funds

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Directors of

The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and Oakhurst Short Duration High Yield Credit Fund (the “Funds”), each a series of The RBB Fund, Inc., as of August 31, 2024, 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, the 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 financial position of each of the Funds as of August 31, 2024, the results of their operations, the changes in net assets, and the financial highlights for each of 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 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.

 

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, 2024, by correspondence with the custodian and broker. 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 Funds’ auditor since 2017.

 

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

October 29, 2024

 

 

36

 

 

 

Oakhurst Mutual Funds

Other Information

(Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (1) the renewal of the investment advisory agreement between F/m and the Company (the “Investment Advisory Agreement”) on behalf of the Oakhurst Fixed Income Fund, Oakhurst Short Duration Bond Fund, and Oakhurst Short Duration High Yield Credit Fund (for this section only, each a “Fund” and collectively the “Funds”), and (2) the renewal of the sub-advisory agreement among F/m, the Company and Oakhurst Capital Advisors, LLC (the “Sub-Adviser”) (the “Sub-Advisory Agreement”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement and the Sub-Advisory Agreement for an additional one-year term ending August 16, 2025. The Board’s decision to approve the Advisory Agreement and the Sub-Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Advisory Agreement and the Sub-Advisory Agreement, the Board considered information provided by F/m and the Sub-Adviser with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the renewal and approval of the Advisory Agreement with respect to the Funds, and the renewal and approval of the Sub-Advisory Agreement among the Company, F/m and the Sub-Advisers with respect to the Funds, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. The Directors reviewed these materials with management of F/m, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of F/m or the Sub-Adviser were present. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Funds by F/m and the Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) F/m’s and the Sub-Adviser’s investment philosophies and processes; (iv) F/m’s and the Sub-Adviser’s assets under management and client descriptions; (v) F/m’s and the Sub-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) F/m’s and the Sub-Adviser’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) F/m’s and the Sub-Adviser’s compliance procedures; (viii) F/m’s and the Sub-Adviser’s financial information and insurance coverage, as applicable; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its 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 F/m and the Sub-Adviser. The Directors concluded that F/m and the Sub-Adviser had substantial resources to provide services to the Funds, and that F/m’s and the Sub-Adviser’s services had been acceptable.

 

The Directors also considered the investment performance of the Funds. Information on the Funds’ investment performance was provided for the three-month, one-year, three-year, five-year, ten-year, and since inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

In reaching this conclusion, the Directors noted that the Oakhurst Fixed Income Fund outperformed its benchmark, the Bloomberg US Aggregate Bond Index, for the one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month period ended December 31, 2023. The Board noted that the Oakhurst Fixed Income Fund’s total return outperformed the median of its Peer Group for the one-year, three-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month and five-year periods ended December 31, 2023.

 

The Directors noted that the Oakhurst Short Duration Bond Fund outperformed its primary benchmark, the ICE BofA U.S. Corp./Govt. 1-3 Years Bond Index, for the three-month, one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023. The Directors noted that the Oakhurst Short Duration Bond Fund outperformed the median of its Peer Group for the one-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, three-year, and five-year periods ended December 31, 2023.

 

 

37

 

 

Oakhurst Mutual Funds

Other Information

(Unaudited)

 

The Directors noted that the Oakhurst Short Duration High Yield Credit Fund underperformed its primary benchmark, the ICE BofA 1-5 Year U.S. Cash Pay High Yield Constrained Index, for the three-month, one-year, three-year, five-year and since-inception periods ended December 31, 2023. The Directors noted that the Oakhurst Short Duration High Yield Credit Fund outperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023, equaled the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-year and five-year periods ended December 3, 2023.

 

The Board also considered the advisory fee rate payable by the Funds under the Advisory Agreement. In this regard, information on the fees paid by a Fund and the Fund’s 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 also considered the fees payable to the Sub-Adviser under the Sub-Advisory Agreement and the information provided by F/m on the services provided by the Sub-Adviser. In this regard, the Directors noted that the fees for the Sub-Adviser were paid directly by F/m and not by the Funds. The Directors noted that F/m had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024, to limit total annual operating expenses to agreed upon levels for the Fund.

 

The Directors noted that the Oakhurst Fixed Income Fund’s net advisory fee was above the median and ranked in the 4th quintile of its Peer Group and the Fund’s total net expenses were above the median and ranked in the 4th quintile of its Peer Group.

 

The Directors noted that the Oakhurst Short Duration Bond Fund’s net advisory fee was below the median and ranked in the 1st quintile of its Peer Group, and the Fund’s total net expenses was above the median and ranked in the 4th quintile of its Peer Group.

 

The Directors noted that the Oakhurst Short Duration High Yield Credit Fund’s net advisory fee was above the median and ranked in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were above the median and ranked in the 5th quintile of its Peer Group.

 

After reviewing the information regarding F/m’s and the Sub-Adviser’s costs, profitability and economies of scale, and after considering the services to be provided by F/m and the Sub-Adviser, the Directors concluded that the advisory fees to be paid by the Funds to F/m 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 Agreement should be approved and continued for an additional one-year period ending August 16, 2025.

 

38

 

 

 

Investment Adviser

F/m Investments, LLC d/b/a Oakhurst Capital Management, LLC
3050 K Street, NW
Suite 201
Washington, DC 20007

 

Sub-Adviser

Oakhurst Capital Advisors, LLC
1875 Century Park E,
Suite 950
Los Angeles, CA 90067

 

Administrator and Transfer Agent

U.S.Bank Global Fund Services
P.O. Box 701
Milwaukee,Wisconsin 53201-0701

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue,
Suite 800
Cleveland, OH 44115

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

39

 

 

 

 

 

Financial Statements
August 31, 2024

 

F/m Opportunistic Income ETF | (Nasdaq: XFIX)

 

a series of The RBB Fund, Inc.

 

F/m Investments, LLC d/b/a North Slope Capital, LLC

 

 

 

Table of Contents

 

   

Schedule of Investments

1

Financial Statements

4

Notes to Financial Statements

8

Report of Independent Registered Public Accounting Firm

18

Shareholder Tax Information

19

Other Information

20

 

 

 

 

F/m Opportunistic Income ETF

Schedule of Investments

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 75.1%

               

Consumer Discretionary — 9.0%

               

Ford Motor Co., 3.25%, 02/12/2032

  $ 1,843,000     $ 1,569,730  

VF Corp., 2.95%, 04/23/2030(a)

    1,885,000       1,627,113  
              3,196,843  
                 

Energy — 11.7%

               

Cheniere Energy Partners LP, 4.50%, 10/01/2029

    1,643,000       1,606,797  

Kinder Morgan, Inc., 5.55%, 06/01/2045

    1,713,000       1,661,708  

Phillips 66 Partners LP

               

3.61%, 02/15/2025

    65,000       64,362  

3.75%, 03/01/2028(a)

    500,000       469,006  

3.15%, 12/15/2029

    365,000       318,683  
              4,120,556  
                 

Finance and Insurance — 4.5%

               

Nationwide Financial Services, Inc., 6.75%, 05/15/2037

    1,571,000       1,594,565  
                 

Financials — 9.2%

               

Bank of America Corp., 5.88% to 03/15/2028 then 3 mo. Term SOFR + 3.19%, Perpetual

    1,631,000       1,619,692  

JPMorgan Chase & Co., 4.60% to 02/01/2025 then 3 mo. Term SOFR + 3.13%, Perpetual

    1,638,000       1,629,322  
              3,249,014  
                 

Health Care — 4.8%

               

Viatris, Inc., 3.85%, 06/22/2040

    2,218,000       1,693,870  
                 

Industrials — 4.7%

               

Concentrix Corp., 6.85%, 08/02/2033(a)

    1,575,000       1,644,824  
                 

Information Technology — 6.6%

               

Kyndryl Holdings, Inc., 6.35%, 02/20/2034

    1,605,000       1,689,405  

VeriSign, Inc., 4.75%, 07/15/2027

    661,000       658,905  
              2,348,310  
                 

Manufacturing — 9.2%

               

Celanese US Holdings LLC, 6.33%, 07/15/2029

    1,541,000       1,628,948  

Dell, Inc., 6.50%, 04/15/2038

    1,490,000       1,620,882  
              3,249,830  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

F/m Opportunistic Income ETF

Schedule of Investments (COntinued)

August 31, 2024

 

 

 

Par

   

Value

 
                 

CORPORATE BONDS — 75.1% (Continued)

               

Mining, Quarrying, and Oil and Gas Extraction — 4.0%

               

Freeport Minerals Corp., 9.50%, 06/01/2031

  $ 1,128,000     $ 1,398,754  
                 

Professional, Scientific, and Technical Services — 4.5%

               

Leidos, Inc., 5.75%, 03/15/2033

    1,525,000       1,585,571  
                 

Utilities — 4.5%

               

Florida Power & Light Co., 3.80%, 12/15/2042

    1,913,000       1,600,340  
                 

Wholesale Trade — 2.4%

               

Ricoh USA, Inc., 6.75%, 12/01/2025

    875,000       860,095  

TOTAL CORPORATE BONDS (Cost $25,237,000)

            26,542,572  
                 

FOREIGN CORPORATE BONDS — 4.3%

               

Information Technology — 4.3%

               

Nokia Oyj, 6.63%, 05/15/2039

    1,445,000       1,527,760  

TOTAL FOREIGN CORPORATE BONDS (Cost $1,429,787)

            1,527,760  
                 

MUNICIPAL BONDS — 0.4%

               

New Hampshire Business Finance Authority

               

3.25%, 04/01/2028

    130,000       100,605  

3.96%, 10/01/2031

    40,000       36,227  

TOTAL MUNICIPAL BONDS (Cost $145,506)

            136,832  

 

 

 

Shares

   

 

 
                 

EXCHANGE TRADED FUNDS — 18.8%

               

F/m 10-Year Investment Grade Corporate Bond ETF(c)

    30,000       1,542,600  

F/m 3-Year Investment Grade Corporate Bond ETF(c)

    41,200       2,098,209  

US Treasury 10 Year Note ETF(a)(c)

    64,060       2,882,700  

US Treasury 2 Year Note ETF(c)

    2,600       126,269  

TOTAL EXCHANGE TRADED FUNDS (Cost $6,542,334)

            6,649,778  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

F/m Opportunistic Income ETF

Schedule of Investments (CONCLUDED)

August 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 8.1%

               

Investments Purchased with Proceeds from Securities Lending — 8.1%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42% (b)

    2,860,737     $ 2,860,737  

TOTAL SHORT-TERM INVESTMENTS (Cost $2,860,737)

            2,860,737  

TOTAL INVESTMENTS — 106.7% (Cost $36,215,364)

            37,717,679  

Liabilities in Excess of Other Assets — (6.7)%

            (2,374,582 )

TOTAL NET ASSETS — 100.0%

          $ 35,343,097  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

SOFR - Secured Overnight Financing Rate

 

(a)

All or a portion of this security is on loan as of August 31, 2024. The total market value of these securities was $2,795,195 which represented 7.9% of net assets.

 

(b)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

(c)

Affiliated company as defined by the Investment Company Act of 1940, as amended.

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

F/m Opportunistic Income ETF

Statement of Assets and Liabilities

August 31, 2024

 

 

 

 

 

ASSETS

       

Investments in securities of unaffiliated issuers, at value (cost $26,812,293)

  $ 28,207,164 (1) 

Investments in securities of affiliated issuers, at value (cost $6,542,334) (See Note 8)

    6,649,778  

Investments purchased with proceeds from securities lending collateral, at value (cost $2,860,737)

    2,860,737  

Cash equivalents

    115,895  

Receivables for:

       

Interest

    379,330  

Securities lending

    2,213  

Total assets

    38,215,117  
         

LIABILITIES

       

Payables for:

       

Securities lending collateral (see Note 6)

    2,860,737  

Advisory fees

    11,283  

Total liabilities

    2,872,020  

Net assets

  $ 35,343,097  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 670  

Paid-in capital

    33,723,650  

Total distributable earnings/(losses)

    1,618,777  

Net assets

  $ 35,343,097  
         

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    670,000  

Net asset value and redemption price per share

  $ 52.75  

 

(1)

Includes market value of securities on loan of $2,795,195

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

F/m Opportunistic Income ETF

Statement of Operations

FOR THE Period ENDED August 31, 2024(1)

 

 

 

 

 

INVESTMENT INCOME

       

Interest income

  $ 1,617,416  

Dividends from unaffiliated investments

    20,783  

Dividends from affiliated investments (See Note 8)

    44,505  

Securities lending income, net

    3,501  

Total investment income

    1,686,205  
         

EXPENSES

       

Advisory fees (Note 3)

    108,078  

Total expenses

    108,078  

Net investment income/(loss)

    1,578,127  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from investments in unaffiliated issuers

    (36,843 )

Net realized gain/(loss) from investments in affiliated issuers (See Note 8)

    742  

Net realized gain from redemption in-kind

    178,748  

Net change in unrealized appreciation/(depreciation) on investments of unaffiliated issuers

    1,394,871  

Net change in unrealized appreciation/(depreciation) on investments of affiliated issuers (See Note 8)

    107,444  

Net realized and unrealized gain/(loss)

    1,644,962  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 3,223,089  

 

(1)

Inception date of the Fund was September 5, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

F/m Opportunistic Income ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
Period ENDED
August 31,
2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 1,578,127  

Net realized gain/(loss) from investments

    142,647  

Net change in unrealized appreciation/(depreciation) on investments

    1,502,315  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,223,089  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (1,425,564 )

Net decrease in net assets from dividends and distributions to shareholders

    (1,425,564 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    39,262,915  

Shares redeemed

    (5,717,343 )

Net increase/(decrease) in net assets from capital share transactions

    33,545,572  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    35,343,097  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 35,343,097  
         

SHARE TRANSACTIONS:

       

Shares sold

    780,000  

Shares redeemed

    (110,000 )

Net increase/(decrease) in shares

    670,000  

 

(1)

Inception date of the Fund was September 5, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

F/m Opportunistic Income ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

FOR THE
Period
ENDED
August 31,

 

 

 

2024(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.00  

Net investment income/(loss)(2)

    2.85  

Net realized and unrealized gain/(loss) from investments

    2.45  

Net increase/(decrease) in net assets resulting from operations

    5.30  

Dividends and distributions to shareholders from:

       

Net investment income

    (2.55 )

Total dividends and distributions to shareholders

    (2.55 )

Net asset value, end of period

  $ 52.75  

Market value, end of period

  $ 52.88  

Total investment return/(loss) on net asset value(3)

    10.93 %(5)

Total investment return/(loss) on market price(4)

    11.15 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 35,343  

Ratio of expenses to average net assets

    0.39 %(6)

Ratio of net investment income/(loss) to average net assets

    5.68 %(6)

Portfolio turnover rate

    92 %(5)

 

(1)

Inception date of the Fund was September 5, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements

August 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the F/m Opportunistic Income ETF (the “Fund”). The Fund commenced investment operations on September 5, 2023.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the Fund is to maximize total return, including both income and appreciation, by identifying undervalued and opportunistic sectors and securities in the U.S. fixed income markets.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Fund is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal period since the Fund’s inception from September 5, 2023 through August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION — The Fund values its investments at fair value. The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Units of Mount Vernon Liquid Assets Portfolio are not traded on an exchange and are valued at the investment company’s NAV per share.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated F/m Investments, LLC d/b/a North Slope Capital, LLC (the “Adviser” or “F/m”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the 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.

 

8

 

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Corporate Bonds

  $ 26,542,572     $     $ 26,542,572     $  

Exchange Traded Funds

    6,649,778       6,649,778              

Foreign Corporate Bonds

    1,527,760             1,527,760        

Municipal Bonds

    136,832             136,832        

Investments Purchased with Proceeds from Securities Lending*

    2,860,737                    

Total Investments**

  $ 37,717,679     $ 6,649,778     $ 28,207,164     $  

 

*

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 Schedule of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers in and out of each level is disclosed when the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

The Fund did not have any significant Level 3 transfers during the current fiscal period.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion

 

 

9

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — The Fund will distribute substantially all of its net investment income and net realized capital gains, if any, to its shareholders. The Fund expects to declare and pay distributions, if any, monthly, however it may declare and pay distributions more or less frequently. Net realized capital gains (including net short-term capital gains), if any, will be distributed by the Fund at least annually. Brokers may make the DTC book-entry dividend reinvestment service available to their customers who own the Fund’s Shares. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole Shares of the Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash. In order to achieve the maximum total return on their investments, investors are encouraged to use the dividend reinvestment service. To determine whether the dividend reinvestment service is available and whether there is a commission or other charge for using this service, consult your broker. Brokers may require the Fund’s shareholders to adhere to specific procedures and timetables.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

2. INVESTMENT POLICIES AND PRACTICES

 

The sections below describe some of the different types of investments that may be made by the Fund and the investment practices in which the Fund may engage.

 

Cash Equivalents and Short-Term InvestmentS - The Fund may invest in cash, cash equivalents, and a variety of short-term instruments in such proportions as warranted by prevailing market conditions and the Fund’s principal investment strategies. The Fund may temporarily invest without limit in such instruments for liquidity purposes, or in an attempt to respond to adverse market, economic, political or other conditions. During such periods, the Fund may not be able to achieve its investment objective.

 

Illiquid Investments - Pursuant to Rule 22e-4 under the 1940 Act, the Fund may invest up to 15% of its net assets in illiquid investments. An illiquid investment as defined in Rule 22e-4 is an investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions within 7 calendar days or less without the sale or disposition significantly changing the market value of the investment. These investments may include restricted securities and repurchase agreements maturing in more than 7 days. Restricted securities are securities that may not be sold to the public without an effective registration statement under the Securities Act of 1933, as amended (the “1933 Act”), and thus may be sold only in privately negotiated transactions or pursuant to an exemption from registration. Subject to the adoption of guidelines by the Board, certain restricted securities that may be sold to institutional investors pursuant to Rule 144A under the 1933 Act and non-exempt commercial paper may be determined to be liquid by the Adviser. Illiquid investments involve the risk that the investments will not be able to be sold at the time the Adviser desires or at prices approximating the value at which the Fund is carrying the investments. To the extent an investment held by the Fund is deemed to be an illiquid investment or a less liquid investment, the Fund will be exposed to a greater liquidity risk.

 

Inflation Protected Securities - The Fund may invest in inflation protected securities. Inflation protected securities are fixed income securities designed to provide protection against the negative effects of inflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation into the principal value of the bond. Most other issuers pay out the inflation accruals as part of a semiannual coupon.

 

10

 

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

Other Investment Companies - The Fund may invest in other investment companies, including open-end funds, closed-end funds, unit investment trusts, and exchange-traded funds (“ETFs”) registered under the 1940 Act that invest primarily in Fund eligible investments. Under the 1940 Act, the Fund’s investment in such securities is generally limited to 3% of the total voting stock of any one investment company; 5% of such Fund’s total assets with respect to any one investment company; and 10% of such Fund’s total assets in the aggregate. The Fund’s investments in other investment companies may include money market mutual funds. Investments in money market funds are not subject to the percentage limitations set forth above. The SEC has adopted revisions to the rules permitting funds to invest in other investment companies in excess of the limits described above. While Rule 12d1-4 permits more types of fund of fund arrangements without reliance on an exemptive order or no-action letters, it imposes new conditions, including limits on control and voting of acquired funds’ shares, evaluations and findings by investment advisers, fund investment agreements, and limits on most three-tier fund structures. These regulatory changes may adversely impact the Fund’s investment strategies and operations.

 

U.S. Government Securities - The Fund may invest in U.S. government securities, including bills, notes and bonds differing as to maturity and rates of interest, which are either issued or guaranteed by the U.S. Treasury or by U.S. government agencies or instrumentalities. U.S. government agency securities include securities issued by (a) the Federal Housing Administration, Farmers Home Administration, Export-Import Bank of the United States, Small Business Administration, and the Government National Mortgage Association, whose securities are supported by the full faith and credit of the United States; (b) the Federal Home Loan Banks, Federal Intermediate Credit Banks, and the Tennessee Valley Authority, whose securities are supported by the right of the agency to borrow from the U.S. Treasury; (c) the Federal National Mortgage Association, whose securities are supported by the discretionary authority of the U.S. government to purchase certain obligations of the agency or instrumentality; and (d) the Student Loan Marketing Association, whose securities are supported only by its credit. While the U.S. government provides financial support to such U.S. government-sponsored agencies or instrumentalities, no assurance can be given that it always will do so since it is not so obligated by law. The U.S. government, its agencies and instrumentalities do not guarantee the market value of their securities, and consequently, the value of such securities may fluctuate.

 

Zero-Coupon and Step Coupon Securities - The Fund may invest in zero-coupon and step coupon securities. Zero-coupon securities pay no cash income to their holders until they mature. When held to maturity, their entire return comes from the difference between their purchase price and their maturity value. Step coupon securities are debt securities that may not pay interest for a specified period of time and then, after the initial period, may pay interest at a series of different rates. Both zero-coupon and step coupon securities are issued at substantial discounts from their value at maturity. Because interest on these securities is not paid on a current basis, the values of securities of this type are subject to greater fluctuations than are the value of securities that distribute income regularly and may be more speculative than such securities. Accordingly, the values of these securities may be highly volatile as interest rates rise or fall. In addition, while such securities generate income for purposes of generally accepted accounting standards, they do not generate cash flow and thus could cause a Fund to be forced to liquidate securities at an inopportune time in order to distribute cash, as required by the Code.

 

CREDIT RISK - The value of your investment in the Fund may change in response to changes in the credit ratings of the Fund’s portfolio securities, including with respect to the underlying funds. Generally, investment risk and price volatility increase as a security’s credit rating declines. The financial condition of an issuer of a fixed income security held by the Fund may cause it to default or become unable to pay interest or principal due on the security.

 

Temporary Investments - During periods of adverse market or economic conditions, the Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, the Fund would not be pursuing its stated investment objective with its usual investment strategies. The Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed-income obligations (which generally have remaining maturities of one year or less) and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of U.S. banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for U.S. Government Securities.

 

 

11

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

In lieu of purchasing money market instruments, the Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. The Fund, as an investor in a money market fund, will indirectly bear that fund’s fees and expenses, which will be in addition to the fees and expenses of the Fund. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

3. INVESTMENT ADVISER AND OTHER SERVICES

 

The Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of the Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for the Fund pursuant to the terms of the investment advisory agreement (the “Advisory Agreement”) between the Adviser and the Company on behalf of the Fund. The Adviser is controlled by Diffractive Managers Group, LLC, a Delaware limited liability company, and EQSF Holdings, LLC, a Delaware limited liability company owned by three officers of the Company. The Fund compensates the Adviser with a unitary management fee for its services at an annual rate of 0.39% of the Fund’s average daily net assets during the month. From the unitary management fee, the Adviser pays most of the expenses of the Fund, including transfer agency, custody, fund administration, legal, audit and other services. However, under the Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes, distribution fees and expenses paid by the Fund under any distribution plan adopted, and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business. The Adviser will not be liable for any error of judgment, mistake of law, or for any loss suffered by the Fund in connection with the performance of the Advisory Agreement, except a loss resulting from a breach of fiduciary duty with respect to the receipt of compensation for services or a loss resulting from willful misfeasance, bad faith or gross negligence on the part of the Adviser in the performance of its duties, or from reckless disregard of its obligations and duties under the Advisory Agreement.

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

 

ADVISORY FEES

 
  $ 108,078  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. As of the end of the current fiscal period, there were no director and officer fees charged or paid by the Fund.

 

12

 

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding in-kind transactions and short-term investments) of the Fund were as follows:

 

 

 

 

 

Purchases of investment securities

  $ 32,961,323  

Sales of investment securities

    26,074,652  

 

During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Fund were as follows:

 

 

 

 

 

In-kind purchases of investment securities

  $ 32,466,840  

Proceeds from in-kind sales of investment securities

    5,141,802  

 

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, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:

 

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 
  $ 36,215,364     $ 1,519,194     $ (16,879 )   $ 1,502,315  

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2024, there were permanent differences related to redemptions in-kind between distributable earnings/(loss) and paid-in capital, respectively for the Fund:

 

 

DISTRIBUTABLE
EARNINGS/(LOSS)

   

PAID-IN-CAPITAL

 
  $ (178,750 )   $ 178,750  

 

 

13

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

 

Undistributed
Ordinary
Income

   

Undistributed
Long-Term
Capital Gains

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

   

Capital
loss
Carryover

   

Qualified
Late-year
Loss

 
  $ 152,563     $     $ 1,502,315     $ (36,101 )   $  

 

The tax character of distributions paid during the fiscal year ended August 31, 2024 was as follows:

 

 

Ordinary
Income

   

Long-Term
Capital Gains

 
  $ 1,425,564     $  

 

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. As of August 31, 2024, the Fund had unexpiring short-term losses of $36,101.

 

6. SECURITIES LENDING

 

The Fund may make secured loans of its Fund 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 domestic securities and 105% of the current market value of the loaned foreign 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 receives compensation in the form of loan fees owed by borrowers and income earned on collateral investments. A portion of the interest received on the loan collateral is retained by the Fund and the remainder is rebated to the borrower of the securities. Pursuant to the securities lending agreement between the Trust, on behalf of the Fund, and the Custodian, each Fund pays a fee to the Custodian for administrative and custodial fees, which is calculated daily and paid monthly, in the amount of 20% of the Fund’s net income. The net amount of interest earned, after the interest rebate and the allocation to the Custodian, is shown below. Collateral is invested in the Mount Vernon Liquid Assets Portfolio, LLC of which the investment objective is to seek to maximize income to the extent consistent with the preservation of capital and liquidity and maintain a stable Net Asset Value of $1.00. The Fund will bear the risk of loss of the invested collateral. Investments purchased with collateral 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 net income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE
OF SECURITIES
LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME
RECEIVED FROM
SECURITIES
LENDING

 

F/m Opportunistic Income ETF

  $ 2,795,195     $ 2,860,737     $ 3,501  

 

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

 

14

 

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

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 AMOUNTS NOT OFFSET IN
THE STATEMENT OF ASSETS AND LIABILITIES

 

FUND

 

GROSS AMOUNTS
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET AMOUNT2

 

F/m Opportunistic Income ETF

  $ 2,795,195     $     $ 2,795,195     $ (2,795,195 )   $     $  

 

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. SHARE TRANSACTIONS

 

Shares of the Fund are listed and traded on the NASDAQ, Inc. (the “Exchange”). Market prices for the shares may be different from their NAV. The Fund issues and redeems shares on a continuous basis at NAV only in blocks of 10,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of the Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with Quasar. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Fund is $300, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate the Fund for the transaction costs associated with the cash transactions. Variable fees received by the Fund, if any, are displayed in the capital shares transactions section of the Statement of Changes in Net Assets.

 

 

15

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (continued)

August 31, 2024

 

8. TRANSACTIONS WITH AFFILIATES

 

The following issuers are affiliated with the Fund. Fund of funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirements, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the 1940 Act, such affiliated issuers are:

 

   

September 5, 2023*

   

Additions

   

Reductions

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

Proceeds

 

F/m 2-Year Investment Grade Corporate Bond ETF

        $       33,800     $ 1,694,741       (33,800 )   $ (1,694,654 )

F/m 3-Year Investment Grade Corporate Bond ETF

                43,000       2,165,763       (1,800 )     (90,200 )

F/m 10-Year Investment Grade Corporate Bond ETF

                30,000       1,507,200              

U.S. Treasury 3 Month Bill ETF

                310,120       15,478,131       (310,120 )     (15,479,286 )

U.S. Treasury 2 Year Note ETF

                2,600       126,022              

U.S. Treasury 7 Year Note ETF

                8,680       418,310       (8,680 )     (416,550 )

U.S. Treasury 10 Year Note ETF

                68,610       3,033,992       (4,550 )     (201,878 )
                  496,810       24,424,159       (358,950 )     (17,882,568 )

 

*

Inception date of the Fund was September 5, 2023.

 

16

 

 

 

F/m Opportunistic Income ETF

Notes to Financial Statements (CONCLUDED)

August 31, 2024

 

   

AUGUST 31, 2024

 

Issuer Name

 

Dividend
Income

   

Capital Gain
Distribution

   

Net Change
in Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

F/m 2-Year Investment Grade Corporate Bond ETF

  $ 2,160     $     $     $ (87 )   $     $     $  

F/m 3-Year Investment Grade Corporate Bond ETF

    8,904             22,343       303       41,200       2,098,209       2,075,866  

F/m 10-Year Investment Grade Corporate Bond ETF

    6,070             35,400             30,000       1,542,600       1,507,200  

U.S. Treasury 3 Month Bill ETF

    19,219                   1,155                    

U.S. Treasury 2 Year Note ETF

                247             2,600       126,269       126,022  

U.S. Treasury 7 Year Note ETF

                      (1,760 )                  

U.S. Treasury 10 Year Note ETF

    8,152             49,454       1,131       64,060       2,882,700       2,833,246  
    $ 44,505     $     $ 107,444     $ 742     $ 137,860     $ 6,649,778     $ 6,542,334  

 

9. SUBSEQUENT EVENTS

 

In preparing these financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued.

 

Subsequent to the end of the current fiscal period, the Fund paid the following distributions:

 

Record Date

Ex-Date

Pay Date

Distribution
Rate Per Share

9/3/2024

9/3/2024

9/4/2024

$0.22772543

10/1/2024

10/1/2024

10/2/2024

$0.24258973

 

 

17

 

 

F/m Opportunistic Income ETF

Report of Independent Registered
Public Accounting Firm

 

To the Shareholders and Board of Directors of
The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of F/m Opportunistic Income ETF (the “Fund”), a series of The RBB Fund, Inc., as of August 31, 2024, the related statements of operations and changes in net assets, and the financial highlights for the period from September 5, 2023 (commencement of operations) through August 31, 2024, 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, 2024, the results of its operations, the changes in 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 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 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 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.

 

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, 2024, by correspondence with the custodian. 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 investment companies advised by F/M Investments, LLC since 2021.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 29, 2024

 

18

 

 

 

F/m Opportunistic Income ETF

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the Fund paid ordinary income dividends, and did not pay long-term capital gains 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 2024. 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 2025.

 

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.

 

 

19

 

 

F/m Opportunistic Income ETF

Other Information

(Unaudited)

 

QUARTERLY SCHEDULE OF INVESTMENTS

 

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) as an exhibit to its report on Form N-PORT. The Company’s Forms N-PORT filings are available on the SEC’s website at http://www.sec.gov.

 

FREQUENCY DISTRIBUTIONS OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Fund trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Fund is available, without charge, on the Fund’s website at www.fminvest.com/etfs/xfix.

 

20

 

 

 

Investment Adviser

F/m Investments, LLC d/b/a North Slope Capital, LLC
3050 K Street NW, Suite W-201
Washington, DC 20007

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, Wisconsin 53201-0701

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North River Center Drive, Suite 302
Milwaukee, Wisconsin 53212

 

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, Pennsylvania 19103-6996

 

 

21

 

 

 

 

 

 

 

 

FREE MARKET U.S. EQUITY FUND
FREE MARKET INTERNATIONAL EQUITY FUND
FREE MARKET FIXED INCOME FUND

 

of

 

The RBB Fund, Inc.

 

 

Financial Statements

 

August 31, 2024

 


 

 

 

 

 

 

 

 

 

 

 

 

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

FREE MARKET U.S. EQUITY FUND

 

Portfolio of Investments

AUGUST 31, 2024

 

   

Shares

   

Value

 

OPEN-END FUNDS — 100.0%

       

iShares Core S&P 500 ETF

    620,081     $ 351,430,907  

iShares MSCI USA Value Factor ETF

    3,699,472       399,653,960  

U.S. Large Cap Value Portfolio III - Class Institutional(a)

    19,819,560       644,333,898  

U.S. Large Cap Value Series(b)

    2,825,615       240,685,924  

U.S. Large Company Portfolio - Class Institutional(a)

    7,646,066       287,033,316  

U.S. Micro Cap Portfolio - Class Institutional(c)

    22,609,423       650,473,086  

U.S. Small Cap Portfolio - Class Institutional(c)

    13,351,197       647,666,560  

U.S. Small Cap Value Portfolio - Class Institutional(c)

    22,115,591       1,079,019,682  

TOTAL OPEN-END FUNDS (Cost $2,465,972,771)

            4,300,297,333  
                 

SHORT-TERM INVESTMENTS — 0.1%

       

Money Market Funds — 0.1%

               

Invesco Government & Agency Portfolio - Class Institutional, 5.19% (d)

    3,316,794       3,316,794  

TOTAL SHORT-TERM INVESTMENTS (Cost $3,316,794)

            3,316,794  

TOTAL INVESTMENTS — 100.1% (Cost $2,469,289,565)

            4,303,614,127  

Liabilities in Excess of Other Assets — (0.1)%

            (2,428,528 )

TOTAL NET ASSETS — 100.0%

          $ 4,301,185,599  

 

Percentages are stated as a percent of net assets.

 

 

(a)

A portfolio of Dimensional Investment Group Inc.

(b)

A portfolio of DFA Investment Trust Company.

(c)

A portfolio of DFA Investment Dimensions Group Inc.

(d)

The rate shown represents the 7-day effective yield as of August 31, 2024.

 

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

1

 

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

 

 

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

 

Portfolio of Investments

AUGUST 31, 2024

 

   

Shares

   

Value

 

OPEN-END FUNDS — 99.9%

       

Dimensional International Small Cap ETF(a)

    10,798,589     $ 283,678,933  

Canadian Small Company Series(b)

    2,108,704       41,103,028  

DFA International Small Cap Value Portfolio - Class Institutional(c)

    55,524,361       1,321,479,796  

DFA International Value Portfolio III - Class Institutional (d)

    26,315,159       500,514,321  

DFA International Value Series(b)

    13,260,640       488,389,388  

Emerging Markets Small Cap Portfolio - Class Institutional(c)

    6,501,987       157,543,151  

Emerging Markets Value Portfolio - Class Institutional(c)

    4,903,650       157,112,949  

iShares Core MSCI EAFE ETF(a)

    2,120,454       163,677,844  

iShares Core MSCI Emerging Markets ETF

    3,086,448       168,087,958  

TOTAL OPEN-END FUNDS (Cost $2,571,703,270)

            3,281,587,368  

 

   

Units

         

SHORT-TERM INVESTMENTS — 1.9%

       

Investments Purchased with Proceeds from Securities Lending — 1.8%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42%(e)

    60,371,483       60,371,482  
         
   

Shares

         

Money Market Funds — 0.1%

               

Invesco Government & Agency Portfolio - Class Institutional, 5.19% (f)

    3,494,131       3,494,131  

TOTAL SHORT-TERM INVESTMENTS (Cost $63,865,613)

            63,865,613  

TOTAL INVESTMENTS — 101.8% (Cost $2,635,568,883)

            3,345,452,981  

Liabilities in Excess of Other Assets — (1.8)%

            (62,004,762 )

TOTAL NET ASSETS — 100.0%

          $ 3,283,448,219  

 

Percentages are stated as a percent of net assets.

 

 

(a)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $59,175,552 which represented 1.8% of net assets.

(b)

A portfolio of Dimensional Investment Group Inc.

(c)

A portfolio of DFA Investment Trust Company.

(d)

A portfolio of DFA Investment Dimensions Group Inc.

(e)

The rate shown is as of August 31, 2024.

(f)

The rate shown represents the 7-day effective yield as of August 31, 2024.

 

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

2

 

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

 

 

FREE MARKET FUNDS

FREE MARKET FIXED INCOME FUND

 

Portfolio of Investments

AUGUST 31, 2024

 

   

Shares

   

Value

 

OPEN-END FUNDS — 99.5%

       

DFA One-Year Fixed Income Portfolio - Class Institutional(a)

    40,595,446     $ 415,291,417  

DFA Two-Year Global Fixed Income Portfolio - Class Institutional(a)

    72,133,191       721,331,912  

Dimensional Inflation-Protected Securities ETF(b)

    3,459,553       144,300,377  

iShares 1-3 Year Treasury Bond ETF(b)

    1,387,785       114,908,598  

iShares 1-5 Year Investment Grade Corporate Bond ETF(b)

    13,273,190       694,586,033  

iShares 3-7 Year Treasury Bond ETF(b)

    1,469,507       174,459,871  

iShares 5-10 Year Investment Grade Corporate Bond ETF(b)

    3,297,917       174,987,476  

iShares Core International Aggregate Bond ETF(b)

    8,487,881       435,343,416  

TOTAL OPEN-END FUNDS (Cost $2,920,832,785)

            2,875,209,100  

 

   

Units

         

SHORT-TERM INVESTMENTS — 2.1%

               

Investments Purchased with Proceeds from Securities Lending — 1.6%

       

Mount Vernon Liquid Assets Portfolio, LLC, 5.42%(c)

    45,081,700       45,081,700  
         
   

Shares

         

Money Market Funds — 0.5%

               

Invesco Government & Agency Portfolio - Class Institutional, 5.19% (d)

    15,509,502       15,509,502  

TOTAL SHORT-TERM INVESTMENTS (Cost $60,591,202)

            60,591,202  

TOTAL INVESTMENTS — 101.6% (Cost $2,981,423,987)

            2,935,800,302  

Liabilities in Excess of Other Assets — (1.6)%

            (44,862,228 )

TOTAL NET ASSETS — 100.0%

          $ 2,890,938,074  

 

Percentages are stated as a percent of net assets.

 

 

(a)

A portfolio of DFA Investment Dimensions Group Inc.

(b)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $44,071,104 which represented 1.5% of net assets.

(c)

The rate shown is as of August 31, 2024.

(d)

The rate shown represents the 7-day effective yield as of August 31, 2024.

 

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

3

 

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

 

 

FREE MARKET FUNDS

Statements of Assets and Liabilities

AUGUST 31, 2024

 

   

Free Market
U.S. Equity
Fund

   

Free Market
International
Equity Fund

   

Free Market
Fixed Income
Fund

 

ASSETS

                       

Investments in non-affiliated funds, at value (cost $2,465,972,771, $2,571,703,270 and $2,920,832,785, respectively)

  $ 4,300,297,333     $ 3,281,587,368     $ 2,875,209,100  

Short-term investments, at value (cost $3,316,794, $3,494,131 and $15,509,502, respectively)

    3,316,794       3,494,131       15,509,502  

Investments purchased with proceeds from securities lending collateral (cost $—, $60,371,482 and $45,081,700, respectively)

          60,371,482       45,081,700  

Receivables for:

                       

Capital shares sold

    1,372,632       1,168,529       1,216,415  

Dividends and interest

    13       19,129       2,480,644  

Prepaid expenses and other assets

    172,483       120,416       110,521  

Total assets

    4,305,159,255       3,346,761,055       2,939,607,882  

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

    1,923,704       1,420,757       1,622,583  

Advisory fees

    1,721,118       1,321,467       1,203,984  

Administration and accounting fees

    141,534       105,776       111,300  

Transfer agent fees

    5,651       7,788       7,856  

Securities lending collateral (see Note 6)

          60,371,482       45,081,700  

Investments purchased

                500,000  

Other accrued expenses and liabilities

    181,649       85,566       142,385  

Total liabilities

    3,973,656       63,312,836       48,669,808  

Net assets

  $ 4,301,185,599     $ 3,283,448,219     $ 2,890,938,074  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 174,161     $ 264,240     $ 285,469  

Paid-in capital

    2,309,260,075       2,459,133,575       2,948,937,925  

Total distributable earnings/(loss)

    1,991,751,363       824,050,404       (58,285,320 )

Net assets

  $ 4,301,185,599     $ 3,283,448,219     $ 2,890,938,074  
                         

CAPITAL SHARES:

                       

Net assets

  $ 4,301,185,599     $ 3,283,448,219     $ 2,890,938,074  

Shares outstanding ($0.001 par value, 700,000,000 shares authorized)

    174,160,756       264,239,592       285,468,934  

Net asset value, offering and redemption price per share

  $ 24.70     $ 12.43     $ 10.13  

 

 

4

 

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

 

 

FREE MARKET FUNDS

Statements of Operations

FOR THE Year ENDED AUGUST 31, 2024

 

   

Free Market
U.S. Equity
Fund

   

Free Market
International
Equity Fund

   

Free Market
Fixed Income
Fund

 

INVESTMENT INCOME

                       

Dividends from non-affiliated funds

  $ 62,528,752     $ 102,476,812     $ 103,397,366  

Interest income

    247,464       269,011       769,707  

Securities lending income

    27,974       184,440       156,457  

Total investment income

    62,804,190       102,930,263       104,323,530  
                         

EXPENSES

                       

Advisory fees (Note 2)

    19,003,981       14,615,451       13,737,559  

Administration and accounting fees (Note 2)

    556,767       450,429       390,760  

Director fees

    422,578       329,344       312,975  

Officer fees

    285,794       221,480       210,714  

Legal fees

    190,499       147,836       142,697  

Custodian fees (Note 2)

    99,521       81,312       79,522  

Registration and filing fees

    89,566       72,350       71,513  

Transfer agent fees (Note 2)

    66,537       71,342       70,768  

Printing and shareholder reporting fees

    57,485       56,001       52,805  

Audit and tax service fees

    42,623       43,448       41,997  

Other expenses

    165,464       238,488       108,612  

Total expenses

    20,980,815       16,327,481       15,219,922  

Net investment income/(loss)

    41,823,375       86,602,782       89,103,608  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from:

                       

Non-affiliated funds

    71,585,093       27,470,048       (18,576,023 )

Capital gain distributions from non-affiliated fund investments

    64,832,047       1,394,269        

Net change in unrealized appreciation/(depreciation) on:

                       

Non-affiliated funds

    551,485,192       379,850,519       99,079,963  

Net realized and unrealized gain/(loss) on investments

    687,902,332       408,714,836       80,503,940  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 729,725,707     $ 495,317,618     $ 169,607,548  

 

 

5

 

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

 

 

FREE MARKET U.S. EQUITY FUND

Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 41,823,375     $ 40,625,266  

Net realized gain/(loss) from investments

    136,417,140       125,519,038  

Net change in unrealized appreciation/(depreciation) on investments

    551,485,192       167,184,995  

Net increase/(decrease) in net assets resulting from operations

    729,725,707       333,329,299  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (155,017,081 )     (254,085,784 )

Net decrease in net assets from dividends and distributions to shareholders

    (155,017,081 )     (254,085,784 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    476,286,979       478,766,781  

Reinvestment of distributions

    154,979,410       253,858,591  

Shares redeemed

    (583,688,219 )     (425,824,595 )

Net increase/(decrease) in net assets from capital shares

    47,578,170       306,800,777  

Total increase/(decrease) in net assets

    622,286,796       386,044,292  
                 

NET ASSETS:

               

Beginning of period

    3,678,898,803       3,292,854,511  

End of period

  $ 4,301,185,599     $ 3,678,898,803  
                 

SHARES TRANSACTIONS:

               

Shares sold

    21,414,430       23,305,151  

Dividends and distributions reinvested

    6,949,749       13,098,999  

Shares redeemed

    (26,322,345 )     (20,585,763 )

Net increase/(decrease) in shares outstanding

    2,041,834       15,818,387  

 

 

 

6

 

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

 

 

FREE MARKET INTERNATIONAL EQUITY FUND

Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 86,602,782     $ 70,936,748  

Net realized gain/(loss) from investments

    28,864,317       1,605,191  

Net change in unrealized appreciation/(depreciation) on investments

    379,850,519       317,867,303  

Net increase/(decrease) in net assets resulting from operations

    495,317,618       390,409,242  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (71,432,283 )     (86,538,910 )

Net decrease in net assets from dividends and distributions to shareholders

    (71,432,283 )     (86,538,910 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    386,235,877       387,653,039  

Reinvestment of distributions

    71,413,639       86,521,788  

Shares redeemed

    (423,715,477 )     (347,793,059 )

Net increase/(decrease) in net assets from capital shares

    33,934,039       126,381,768  

Total increase/(decrease) in net assets

    457,819,374       430,252,100  
                 

NET ASSETS:

               

Beginning of period

    2,825,628,845       2,395,376,745  

End of period

  $ 3,283,448,219     $ 2,825,628,845  
                 

SHARES TRANSACTIONS:

               

Shares sold

    34,170,229       38,443,413  

Dividends and distributions reinvested

    6,416,320       8,874,030  

Shares redeemed

    (37,820,659 )     (33,803,982 )

Net increase/(decrease) in shares outstanding

    2,765,890       13,513,461  

 

 

 

7

 

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

 

 

FREE MARKET FIXED INCOME FUND

Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 89,103,608     $ 46,630,289  

Net realized gain/(loss) from investments

    (18,576,023 )     (4,986,787 )

Net change in unrealized appreciation/(depreciation) on investments

    99,079,963       68,242  

Net increase/(decrease) in net assets resulting from operations

    169,607,548       41,711,744  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (82,530,062 )     (42,935,911 )

Net decrease in net assets from dividends and distributions to shareholders

    (82,530,062 )     (42,935,911 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    414,922,883       409,425,077  

Reinvestment of distributions

    82,496,375       42,929,725  

Shares redeemed

    (478,913,639 )     (414,939,183 )

Net increase/(decrease) in net assets from capital shares

    18,505,619       37,415,619  

Total increase/(decrease) in net assets

    105,583,105       36,191,452  
                 

NET ASSETS:

               

Beginning of period

    2,785,354,969       2,749,163,517  

End of period

  $ 2,890,938,074     $ 2,785,354,969  
                 

SHARES TRANSACTIONS:

               

Shares sold

    41,907,589       42,009,136  

Dividends and distributions reinvested

    8,351,711       4,445,055  

Shares redeemed

    (48,478,845 )     (42,657,402 )

Net increase/(decrease) in shares outstanding

    1,780,455       3,796,789  

 

 

8

 

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

 

 

FREE MARKET FUNDS

FREE MARKET U.S. EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 21.37     $ 21.07     $ 23.59     $ 16.06     $ 16.90  

Net investment income/(loss)(1)

    0.24       0.24       0.21       0.21       0.17  

Net realized and unrealized gain/(loss) on investments

    4.00       1.68       (1.69 )     7.62       (2) 

Net increase/(decrease) in net assets resulting from operations

    4.24       1.92       (1.48 )     7.83       0.17  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.25 )     (0.21 )     (0.41 )     (0.08 )     (0.16 )

Net realized capital gains

    (0.66 )     (1.41 )     (0.63 )     (0.22 )     (0.85 )

Total dividends and distributions to shareholders

    (0.91 )     (1.62 )     (1.04 )     (0.30 )     (1.01 )

Net asset value, end of period

  $ 24.70     $ 21.37     $ 21.07     $ 23.59     $ 16.06  

Total investment return/(loss)(3)

    20.30 %     9.92 %     (6.77 )%     49.28 %     0.32 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 4,301,186     $ 3,678,899     $ 3,292,855     $ 3,635,318     $ 2,839,337  

Ratio of expenses to average net assets(4)

    0.54 %     0.55 %     0.56 %     0.55 %     0.56 %

Ratio of net investment income/(loss) to average net assets(4)

    1.08 %     1.18 %     0.92 %     1.05 %     1.05 %

Portfolio turnover rate

    4 %     2 %     7 %     5 %     14 %

 

 

(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.

 

9

 

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

 

 

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for each share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 10.81     $ 9.66     $ 11.60     $ 8.89     $ 9.09  

Net investment income/(loss)(1)

    0.33       0.27       0.34       0.18       0.19  

Net realized and unrealized gain/(loss) on investments

    1.57       1.22       (2.13 )     2.84       (0.13 )

Net increase/(decrease) in net assets resulting from operations

    1.90       1.49       (1.79 )     3.02       0.06  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.28 )     (0.34 )     (0.15 )     (0.13 )     (0.14 )

Net realized capital gains

                      (0.18 )     (0.12 )

Total dividends and distributions to shareholders

    (0.28 )     (0.34 )     (0.15 )     (0.31 )     (0.26 )

Net asset value, end of period

  $ 12.43     $ 10.81     $ 9.66     $ 11.60     $ 8.89  

Total investment return/(loss)(2)

    17.86 %     15.82 %     (15.63 )%     34.43 %     0.30 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 3,283,448     $ 2,825,629     $ 2,395,377     $ 2,682,213     $ 2,153,655  

Ratio of expenses to average net assets(3)

    0.55 %     0.55 %     0.56 %     0.56 %     0.58 %

Ratio of net investment income/(loss) to average net assets(3)

    2.92 %     2.68 %     3.08 %     1.70 %     2.13 %

Portfolio turnover rate

    13 %     3 %     2 %     5 %     28 %

 

 

(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.

 

10

 

 

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
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

   

For the
Year Ended
August 31, 2022

   

For the
Year Ended
August 31, 2021

   

For the
Year Ended
August 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 9.82     $ 9.82     $ 10.56     $ 10.61     $ 10.47  

Net investment income/(loss)(1)

    0.32       0.17       0.05       0.03       0.15  

Net realized and unrealized gain/(loss) on investments

    0.29       (0.01 )     (0.74 )     (2)      0.16  

Net increase/(decrease) in net assets resulting from operations

    0.61       0.16       (0.69 )     0.03       0.31  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.30 )     (0.16 )     (0.05 )     (0.05 )     (0.17 )

Net realized capital gains

                      (0.03 )      

Return of capital

                      (2)       

Total dividends and distributions to shareholders

    (0.30 )     (0.16 )     (0.05 )     (0.08 )     (0.17 )

Net asset value, end of period

  $ 10.13     $ 9.82     $ 9.82     $ 10.56     $ 10.61  

Total investment return/(loss)(3)

    6.30 %     1.62 %     (6.51 )%     0.31 %     2.98 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 2,890,938     $ 2,785,355     $ 2,749,164     $ 2,820,610     $ 2,307,909  

Ratio of expenses to average net assets(4)

    0.55 %     0.55 %     0.56 %     0.56 %     0.56 %

Ratio of net investment income/(loss) to average net assets(4)

    3.20 %     1.72 %     0.51 %     0.27 %     1.39 %

Portfolio turnover rate

    8 %     3 %     3 %     2 %     46 %

 

 

(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.

 

 

11

 

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

 

 

FREE MARKET FUNDS

Notes to Financial Statements

AUGUST 31, 2024

 

1.

Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund (each a “Fund” and collectively, the “Funds”). Each Fund operates as a “fund of funds” and commenced investment operations on December 31, 2007.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

Investment Company Securities – The Funds pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Fund invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Fund will incur higher expenses, many of which may be duplicative. Furthermore, because the Funds invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Fund’s assets among the ETFs and underlying funds. Accordingly, the Funds’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Funds allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Funds invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds’ and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds’ and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Funds’ or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Fund’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in ETFs are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board” or “Directors”). Direct investments in fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market.

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Matson Money, Inc. (“Matson Money” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee

 

12

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Funds’ investments carried at fair value:

 

FREE MARKET U.S. EQUITY Fund

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-End Funds

  $ 4,059,611,409     $     $     $ 4,059,611,409  

Investments Measured at Net Asset Value*

                      240,685,924  

Investments Purchased with Proceeds From Securities Lending Collateral*

                       

Short-Term Investments

    3,316,794                   3,316,794  

Total Investments**

  $ 4,062,928,203     $     $     $ 4,303,614,127  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

**

Please refer to the Portfolio of Investments for further details.

 

FREE MARKET INTERNATIONAL EQUITY Fund

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-End Funds

  $ 2,752,094,952     $     $     $ 2,752,094,952  

Investments Measured at Net Asset Value*

                      529,492,416  

Investments Purchased with Proceeds From Securities Lending Collateral*

                      60,371,482  

Short-Term Investments

    3,494,131                   3,494,131  

Total Investments**

  $ 2,755,589,083     $     $     $ 3,345,452,981  

 

*

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.

 

13

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

FREE MARKET FIXED INCOME Fund

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-End Funds

  $ 2,875,209,100     $     $     $ 2,875,209,100  

Investments Measured at Net Asset Value*

                       

Investments Purchased with Proceeds From Securities Lending Collateral*

                      45,081,700  

Short-Term Investments

    15,509,502                   15,509,502  

Total Investments**

  $ 2,890,718,602     $     $     $ 2,935,800,302  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

 

**

Please refer to the Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust

 

14

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Funds’ pro-rata expenses of the underlying mutual funds in which each Fund invests.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Fund with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

MARKET RISK — The value of a Fund’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Fund, and you could lose money.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss for such claims is considered to be remote.

 

For additional information about the DFA Underlying Funds’ and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds’ and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.

 

2.

Investment Adviser and Other Services

 

Matson Money, Inc. serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following tables.

 

AVERAGE DAILY NET ASSETS

 

ADVISORY FEE

 

For the first $1 billion

    0.50 %

Over $1 billion to $3 billion

    0.49  

Over $3 billion to $5 billion

    0.48  

Over $5 billion

    0.47  

 

The Adviser has voluntarily agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses exceed the rates (“Expense Caps”) shown in the following table annually of each Fund’s average daily net assets. The Adviser may not recoup waived management fees or reimbursed expenses. The Adviser may discontinue these arrangements at any time.

 

FUND

 

EXPENSE CAPS

 

Free Market U.S. Equity Fund

    1.13 %

Free Market International Equity Fund

    1.35  

Free Market Fixed Income Fund

    1.00  

 

15

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

Free Market U.S. Equity Fund

  $ 19,003,981  

Free Market International Equity Fund

    14,615,451  

Free Market Fixed Income Fund

    13,737,559  

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Vigilant Distributors, LLC (the “Distributor”), serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

3.

Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4.

Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchase and sales of investment securities (excluding short-term investments) of the Funds were as follows:

 

   

Purchases

   

Sales

 

Free Market U.S. Equity Fund

  $ 138,801,469     $ 141,739,786  

Free Market International Equity Fund

    414,199,307       378,269,317  

Free Market Fixed Income Fund

    254,454,846       232,746,990  

 

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.

 

16

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Fund were as follows:

 

   

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Free Market U.S. Equity Fund

  $ 2,424,962,605     $ 1,900,629,558     $ (21,978,036 )   $ 1,878,651,522  

Free Market International Equity Fund

    2,541,914,986       837,789,581       (34,251,586 )     803,537,995  

Free Market Fixed Income Fund

    2,982,159,803       17,662,748       (64,022,249 )     (46,359,501 )

 

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, 2024, primarily attributable to equalization, short term dividend reclass, distribution reclass, and dividend reclass, were reclassified among the following accounts:

 

   

DISTRIBUTABLE
EARNINGS/(LOSS)

   

Paid-In
Capital

 

Free Market U.S. Equity Fund

  $ 113,099,841     $ 113,099,841  

Free Market International Equity Fund

    89,087,106       89,087,106  

Free Market Fixed Income Fund

    11,889,373       11,889,373  

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

   

Undistributed
Ordinary Income

   

Undistributed
Long-Term
Capital Gains

   

Capital Loss
CarryForwards

   

NET Unrealized
Appreciation/
(Depreciation)

 

Free Market U.S. Equity Fund

  $ 14,101,181     $ 98,998,660     $     $ 1,878,651,522  

Free Market International Equity Fund

    89,087,106             (68,574,697 )     803,537,995  

Free Market Fixed Income Fund

    11,889,373             (23,815,192 )     (46,359,501 )

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes and are inclusive of underlying partnerships and investments. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

The tax character of distributions paid during the fiscal years ended August 31, 2023 and August 31, 2024 were as follows:

 

           

Ordinary
Income

   

Long-Term
Gains

   

RETURN OF
CAPITAL

   

Total

 

Free Market U.S. Equity Fund

2024

  $ 42,924,002     $ 112,093,079     $     $ 155,017,081  
 

2023

    33,276,666       220,809,118             254,085,784  

Free Market International Equity Fund

2024

    71,432,283                   71,432,283  
 

2023

    86,538,910                   86,538,910  

Free Market Fixed Income Fund

2024

    82,530,062                   82,530,062  
 

2023

    42,935,911                   42,935,911  

 

Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.

 

17

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

AUGUST 31, 2024

 

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, 2024, the Free Market International Equity Fund had $16,264,666 of short-term capital loss carryforwards and $52,310,031 of long-term capital loss carryforwards, the Free Market Fixed Income Fund had $4,159,113 of short-term capital loss carryforwards and $19,656,079 of long-term capital loss carryforwards.

 

6. SECURITIES LENDING

 

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the current fiscal period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

Fund

         

Market Value of
Securities Loaned

   

Market Value of
Collateral

   

INCOME RECEIVED
FROM SECURITIES
LENDING

 

Free Market U.S. Equity Fund

          $     $     $ 27,974  

Free Market International Equity Fund

            59,175,552       60,371,482       184,440  

Free Market Fixed Income Fund

            44,071,104       45,081,700       156,457  

 

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
STATEMENTS OF ASSETS AND LIABILITIES

 

Fund

 

GROSS AMOUNTS
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENTS
OF ASSETS AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH COLLATERAL
RECEIVED

   

Net
Amount
2

 

Free Market U.S. Equity Fund

  $     $     $     $     $     $  

Free Market International Equity Fund

    59,175,552             59,175,552       (59,175,552 )            

Free Market Fixed Income Fund

    44,071,104             44,071,104       (44,071,104 )            

 

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.

 

18

 

 

FREE MARKET FUNDS

Notes to Financial Statements (Concluded)

AUGUST 31, 2024

 

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 subsequent events requiring recognition or disclosure in the financial statements.

 

19

 

 

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 (three of the funds constituting The RBB Fund, Inc., hereafter collectively referred to as the “Funds”) as of August 31, 2024, the related statements of operations for the year ended August 31, 2024, the statements of changes in net assets for each of the two years in the period ended August 31, 2024, including the related notes and the financial highlights for each of the five years in the period ended August 31, 2024 (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, 2024, 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, 2024 and each of the financial highlights for each of the five years in the period ended August 31, 2024 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, 2024 by correspondence with the custodian and investment manager of investee funds. We believe that our audits provide a reasonable basis for our opinions.

 

 

Philadelphia, Pennsylvania
October 29, 2024

 

We have served as the auditor of one or more Matson Money, Inc. investment companies since 2008.

 

20

 

 

FREE MARKET FUNDS

Shareholder Tax Information

(Unaudited)

 

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2024 were as follows:

 

   

Ordinary
Income

   

Long-Term
CAPITAL GAINS

   

RETURN OF
CAPITAL

   

Total

 

Free Market U.S. Equity Fund

  $ 42,924,002     $ 112,093,079     $     $ 155,017,081  

Free Market International Equity Fund

    71,432,283                   71,432,283  

Free Market Fixed Income Fund

    82,530,062                   82,530,062  

 

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 0.00% for each Fund.

 

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 91.22% 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 65.55% for the Free Market Fixed Income Fund. A total of 26.45% 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 2024. 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 2025.

 

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 $10,825,272 and earned $74,603,378 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.

 

21

 

 

FREE MARKET FUNDS

Other Information

(Unaudited)

 

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Matson Money and the Company (the “Investment Advisory Agreement”) on behalf of the Free Market U.S. Equity Fund, Free Market International Equity Fund and Free Market Fixed Income Fund, (for this section only, each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2024 (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 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 Agreement 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. The Directors reviewed these materials with management of Matson Money, and discussed the aforementioned Agreement with counsel in executive sessions, at which no representatives of Matson Money were present. 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 Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to each Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its Peer 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 three-month, one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

In reaching this conclusion, the Directors observed that the Free Market U.S. Equity Fund outperformed its primary benchmark, the Russell 2500 Index, for the three-year, five-year, and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, and ten-year periods ended December 31, 2023. The Directors noted that the Free Market U.S. Equity Fund outperformed the median of its Peer Group for the three-month, one-year, three-year, and since-inception periods ended December 31, 2023, and underperformed its Peer Group for the five-year and ten-year periods ended December 31, 2023.

 

The Directors noted that the Free Market International Equity Fund outperformed its primary benchmark, the MSCI World ex-US Index, for the three-year and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year, and ten-year periods ended December 31, 2023. The Directors noted that the Free Market International Equity Fund outperformed the median of its Peer Group for the three-year period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, one-year, five-year, ten-year and since-inception periods ended December 31, 2023.

 

22

 

 

FREE MARKET FUNDS

Other Information (Concluded)

(Unaudited)

 

 

The Directors noted that the Free Market Fixed Income Fund outperformed its primary benchmark, the FTSE World Government Bond 1-5 Years, for the three-month and one-year periods ended December 31, 2023, and underperformed its benchmark for the three-year, five-year, ten-year, and since-inception periods ended December 31, 2023. The Directors noted that the Free Market Fixed Income Fund underperformed the median of its Peer Group for the three-month, one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023.

 

The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreement. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios (before and after the voluntary fee waiver and expense reimbursements) were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms.

 

The Directors noted that the Free Market U.S. Equity Fund’s net advisory fee and total net expenses (including acquired fund fees and expenses) both ranked below the median and in the 1st quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Free Market International Equity Fund ranked below the median and in the 2nd quintile of its Peer Group, and the Fund’s total net expenses (including acquired fund fees and expenses) were below the median and in the 1st quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Free Market Fixed Income Fund ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses (including acquired fund fees and expenses) were above the median and in the 4th quintile of its Peer 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 to be paid by the Funds were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one year period ending August 16, 2025.

 

23

 

 

Investment Adviser

Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Vigilant Distributors, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
MATSON MONEY FIXED INCOME VI PORTFOLIO

 

of

 

The RBB Fund, Inc.

 

 

Financial Statements

 

August 31, 2024


 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

MATSON MONEY U.S. EQUITY VI PORTFOLIO

 

Portfolio of Investments

August 31, 2024

 

   


Shares

   

Value

 

OPEN-END FUNDS — 99.2%

       

U.S. Large Cap Value Portfolio III - Class Institutional(a)

    226,934     $ 7,377,627  

U.S. Large Company Portfolio - Class Institutional(a)

    103,661       3,891,420  

U.S. Micro Cap Portfolio – Class Institutional(b)

    148,443       4,270,714  

U.S. Small Cap Portfolio – Class Institutional(b)

    88,273       4,282,108  

U.S. Small Cap Value Portfolio – Class Institutional(b)

    58,482       2,853,324  

VA U.S. Large Value Portfolio(b)

    30,654       1,146,170  

VA U.S. Targeted Value Portfolio(b)

    175,341       4,266,044  

TOTAL OPEN-END FUNDS (Cost $21,413,676)

            28,087,407  
                 

SHORT-TERM INVESTMENTS — 0.9%

       

Money Market Funds — 0.9%

               

STIT-Government & Agency Portfolio - Class Institutional, 5.19%(c)

    242,702       242,702  

TOTAL SHORT-TERM INVESTMENTS (Cost $242,702)

            242,702  

TOTAL INVESTMENTS — 100.1% (Cost $21,656,378)

            28,330,109  

Liabilities in Excess of Other Assets — (0.1)%(d)

            (25,435 )

TOTAL NET ASSETS — 100.0%

          $ 28,304,674  

 

Percentages are stated as a percent of net assets.

 

 

(a)

A portfolio of Dimensional Investment Group Inc.

(b)

A portfolio of DFA Investment Trust Company.

(c)

The rate shown represents the 7-day effective yield as of August 31, 2024.

(d)

Represents less than 0.05% of net assets.

 

Portfolio holdings are subject to change at any time.

 

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

 

1

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

 

Portfolio of Investments

August 31, 2024

 

   


Shares

   

Value

 

OPEN-END FUNDS — 99.4%

               

DFA International Small Cap Value Portfolio - Class Institutional(a)

    247,442     $ 5,889,112  

DFA International Value Portfolio III - Class Institutional(b)

    333,095       6,335,464  

Emerging Markets Small Cap Portfolio - Class Institutional(a)

    41,678       1,009,868  

Emerging Markets Value Portfolio - Class Institutional(a)

    31,630       1,013,432  

iShares Core MSCI EAFE ETF(c)

    10,935       844,073  

iShares Core MSCI Emerging Markets ETF

    19,929       1,085,333  

VA International Small Portfolio(a)

    273,868       3,579,456  

VA International Value Portfolio(a)

    68,932       1,056,032  

TOTAL OPEN-END FUNDS (Cost $16,953,776)

            20,812,770  
                 
   

UNITS

         

SHORT-TERM INVESTMENTS — 4.8%

               

Investments Purchased with Proceeds from Securities Lending — 3.9%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42%(d)

    821,284       821,284  
                 
   

Shares

         

Money Market Funds — 0.9%

               

STIT-Government & Agency Portfolio - Class Institutional, 5.19% (e)

    194,498       194,498  

TOTAL SHORT-TERM INVESTMENTS (Cost $1,015,782)

            1,015,782  

TOTAL INVESTMENTS — 104.2% (Cost $17,969,558)

            21,828,552  

Liabilities in Excess of Other Assets — (4.2)%

            (871,519 )

TOTAL NET ASSETS — 100.0%

          $ 20,957,033  

 

Percentages are stated as a percent of net assets.

 

 

(a)

A portfolio of DFA Investment Trust Company.

(b)

A portfolio of DFA Investment Dimensions Group Inc.

(c)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $805,015 which represented 3.8% of net assets.

(d)

The rate shown is as of August 31, 2024.

(e)

The rate shown represents the 7-day effective yield as of August 31, 2024.

 

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

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

 

2

 

 

MATSON MONEY VI PORTFOLIOS

MATSON MONEY FIXED INCOME VI PORTFOLIO

 

Portfolio of Investments

August 31, 2024

 

   


Shares

   

Value

 

OPEN-END FUNDS — 98.7%

               

DFA One-Year Fixed Income Portfolio - Class Institutional(a)

    289,452     $ 2,961,097  

DFA Two-Year Global Fixed Income Portfolio - Class Institutional(a)

    387,370       3,873,702  

Dimensional Inflation-Protected Securities ETF

    30,829       1,285,899  

iShares 1-3 Year Treasury Bond ETF

    12,519       1,036,573  

iShares 1-5 Year Investment Grade Corporate Bond ETF

    118,461       6,199,064  

iShares 3-7 Year Treasury Bond ETF

    13,036       1,547,634  

iShares 5-10 Year Investment Grade Corporate Bond ETF

    29,153       1,546,858  

iShares Core International Aggregate Bond ETF

    75,522       3,873,524  

VA Global Bond Portfolio(a)

    256,707       2,585,040  

VA Short-Term Fixed Income Portfolio(a)

    49,758       517,485  

TOTAL OPEN-END FUNDS (Cost $25,910,608)

            25,426,876  
                 

SHORT-TERM INVESTMENTS — 1.3%

               

Money Market Funds — 1.3%

               

STIT-Government & Agency Portfolio - Class Institutional, 5.19% (b)

    326,158       326,158  

TOTAL SHORT-TERM INVESTMENTS (Cost $326,158)

            326,158  

TOTAL INVESTMENTS — 100.0% (Cost $26,236,766)

            25,753,034  

Liabilities in Excess of Other Assets — (0.0)%

            (30 )

TOTAL NET ASSETS — 100.0%

          $ 25,753,004  

 

Percentages are stated as a percent of net assets.

 

 

(a)

A portfolio of DFA Investment Dimensions Group Inc.

(b)

The rate shown represents the 7-day effective yield as of August 31, 2024.

 

ETF

Exchange-Traded Fund

 

Portfolio holdings are subject to change at any time.

 

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

 

3

 

 

MATSON MONEY VI PORTFOLIOS

Statements of Assets and Liabilities

August 31, 2024

 

   

MATSON MONEY
U.S. EQUITY
VI PORTFOLIO

   

MATSON MONEY
INTERNATIONAL EQUITY
VI PORTFOLIO

   

MATSON MONEY
FIXED INCOME
VI PORTFOLIO

 

ASSETS

                       

Investments in non-affiliated funds, at value (cost $21,413,676, $16,953,776 and $25,910,608, respectively)

  $ 28,087,407     $ 20,812,770     $ 25,426,876  

Short-term investments, at value (cost $242,702, $194,498 and $326,158, respectively)

    242,702       194,498       326,158  

Investments purchased with proceeds from securities lending collateral (cost $—, $821,284 and $—, respectively)

          821,284        

Receivables for:

                       

Investments sold

    36,006       810       64,797  

Dividends and interest

          52       14,008  

Prepaid expenses and other assets

    520       64       473  

Total assets

    28,366,635       21,829,478       25,832,312  
                         

LIABILITIES

                       

Payables for:

                       

Audit Fees

  $ 35,918     $ 35,914     $ 35,913  

Advisory fees

    11,726       8,659       11,084  

Capital shares redeemed

    8,116       2,178       26,376  

Administration and accounting fees

    3,452       3,144       3,507  

Transfer agent fees

    673       556       700  

Securities lending collateral (see Note 6)

          821,284        

Other accrued expenses and liabilities

    2,076       710       1,728  

Total liabilities

    61,961       872,445       79,308  

Net assets

  $ 28,304,674     $ 20,957,033     $ 25,753,004  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 807     $ 742     $ 1,051  

Paid-in capital

    19,729,387       17,283,397       26,615,740  

Total distributable earnings/(loss)

    8,574,480       3,672,894       (863,787 )

Net assets

  $ 28,304,674     $ 20,957,033     $ 25,753,004  
                         

CAPITAL SHARES:

                       

Net assets

  $ 28,304,674     $ 20,957,033     $ 25,753,004  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    806,715       742,314       1,051,418  

Net asset value, offering and redemption price per share

  $ 35.09     $ 28.23     $ 24.49  

 

 

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

 

4

 

 

MATSON MONEY VI PORTFOLIOS

Statements of Operations

FOR THE Year ENDED August 31, 2024

 

   

MATSON MONEY
U.S. EQUITY
VI PORTFOLIO

   

MATSON MONEY
INTERNATIONAL EQUITY
VI PORTFOLIO

   

MATSON MONEY
FIXED INCOME
VI PORTFOLIO

 

INVESTMENT INCOME

                       

Dividends from non-affiliated funds

  $ 428,541     $ 746,373     $ 1,011,936  

Interest income

    13,530       10,484       21,798  

Securities lending income

          1,329       5,246  

Total investment income

    442,071       758,186       1,038,980  
                         

EXPENSES

                       

Advisory fees (Note 2)

    138,890       103,360       134,682  

Audit and tax service fees

    36,340       36,129       36,128  

Administration and accounting fees (Note 2)

    17,337       16,488       17,289  

Printing and shareholder reporting fees

    3,237       3,024       3,116  

Director fees

    3,054       2,279       2,979  

Custodian fees (Note 2)

    2,782       2,560       2,449  

Officer fees

    2,165       1,606       2,119  

Legal fees

    1,363       1,007       1,361  

Other expenses

    4,955       4,571       4,919  

Total expenses

    210,123       171,024       205,042  

Net investment income/(loss)

    231,948       587,162       833,938  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                       

Net realized gain/(loss) from:

                       

Non-affiliated funds

    1,375,562       350,082       (324,337 )

Capital gain distributions from non-affiliated fund investments

    859,417       16,616        

Net change in unrealized appreciation/(depreciation) on:

                       

Non-affiliated funds

    2,699,915       2,366,865       1,087,837  

Net realized and unrealized gain/(loss) on investments

    4,934,894       2,733,563       763,460  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 5,166,842     $ 3,320,725     $ 1,597,398  

 

 

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

 

5

 

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 231,948     $ 251,488  

Net realized gain/(loss) from investments

    2,234,979       1,833,022  

Net change in unrealized appreciation/(depreciation) on investments

    2,699,915       656,457  

Net increase/(decrease) in net assets resulting from operations

    5,166,842       2,740,967  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (2,176,502 )     (2,775,746 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,176,502 )     (2,775,746 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    2,413,824       1,602,156  

Reinvestment of distributions

    2,176,501       2,775,746  

Shares redeemed

    (7,046,852 )     (4,389,190 )

Net increase/(decrease) in net assets from capital shares

    (2,456,527 )     (11,288 )

Total increase/(decrease) in net assets

    533,813       (46,067 )
                 

NET ASSETS:

               

Beginning of period

    27,770,861       27,816,928  

End of period

  $ 28,304,674     $ 27,770,861  
                 

SHARES TRANSACTIONS:

               

Shares sold

    75,772       53,564  

Dividends and distributions reinvested

    68,790       96,851  

Shares redeemed

    (217,257 )     (142,873 )

Net increase/(decrease) in shares outstanding

    (72,695 )     7,542  

 

 

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

 

6

 

 

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 587,162     $ 526,970  

Net realized gain/(loss) from investments

    366,698       (219,290 )

Net change in unrealized appreciation/(depreciation) on investments

    2,366,865       2,773,306  

Net increase/(decrease) in net assets resulting from operations

    3,320,725       3,080,986  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (638,754 )     (663,764 )

Net decrease in net assets from dividends and distributions to shareholders

    (638,754 )     (663,764 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    1,745,197       1,869,280  

Reinvestment of distributions

    638,754       663,764  

Shares redeemed

    (4,460,211 )     (3,699,124 )

Net increase/(decrease) in net assets from capital shares

    (2,076,260 )     (1,166,080 )

Total increase/(decrease) in net assets

    605,711       1,251,142  
                 

NET ASSETS:

               

Beginning of period

    20,351,322       19,100,180  

End of period

  $ 20,957,033     $ 20,351,322  
                 

SHARES TRANSACTIONS:

               

Shares sold

    66,262       84,786  

Dividends and distributions reinvested

    25,168       29,553  

Shares redeemed

    (168,854 )     (154,187 )

Net increase/(decrease) in shares outstanding

    (77,424 )     (39,848 )

 

 

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

 

7

 

 

MATSON MONEY FIXED INCOME VI PORTFOLIO

Statements of Changes in Net Assets

 

   

FOR THE
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 833,938     $ 439,628  

Net realized gain/(loss) from investments

    (324,337 )     (193,139 )

Net change in unrealized appreciation/(depreciation) on investments

    1,087,837       127,777  

Net increase/(decrease) in net assets resulting from operations

    1,597,398       374,266  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (721,924 )     (338,690 )

Net decrease in net assets from dividends and distributions to shareholders

    (721,924 )     (338,690 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    2,993,093       2,633,205  

Reinvestment of distributions

    721,924       338,690  

Shares redeemed

    (5,764,504 )     (4,379,286 )

Net increase/(decrease) in net assets from capital shares

    (2,049,487 )     (1,407,391 )

Total increase/(decrease) in net assets

    (1,174,013 )     (1,371,815 )
                 

NET ASSETS:

               

Beginning of period

    26,927,017       28,298,832  

End of period

  $ 25,753,004     $ 26,927,017  
                 

SHARES TRANSACTIONS:

               

Shares sold

    125,742       112,199  

Dividends and distributions reinvested

    30,435       14,630  

Shares redeemed

    (241,074 )     (186,124 )

Net increase/(decrease) in shares outstanding

    (84,897 )     (59,295 )

 

 

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

 

8

 

 

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
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 31.58     $ 31.90     $ 36.70     $ 25.62     $ 27.08  

Net investment income/(loss)(1)

    0.27       0.28       0.23       0.25       0.22  

Net realized and unrealized gain/(loss) on investments

    5.74       2.62       (2.37 )     12.06       (0.04 )

Net increase/(decrease) in net assets resulting from operations

    6.01       2.90       (2.14 )     12.31       0.18  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.33 )     (0.26 )     (0.34 )     (0.29 )     (0.24 )

Net realized capital gains

    (2.17 )     (2.96 )     (2.32 )     (0.94 )     (1.40 )

Total dividends and distributions to shareholders

    (2.50 )     (3.22 )     (2.66 )     (1.23 )     (1.64 )

Net asset value, end of period

  $ 35.09     $ 31.58     $ 31.90     $ 36.70     $ 25.62  

Total investment return/(loss)(2)

    19.90 %     10.14 %     (6.64 )%     49.31 %     (0.02 )%
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 28,305     $ 27,771     $ 27,817     $ 31,796     $ 25,070  

Ratio of expenses to average net assets with waivers, if any(3)

    0.76 %     0.74 %     0.73 %     0.74 %     0.76 %

Ratio of expenses to average net assets without waivers, if any(3)

    0.76 %     0.74 %     0.73 %     0.74 %     0.76 %

Ratio of net investment income/(loss) to average net assets(3)

    0.84 %     0.90 %     0.65 %     0.77 %     0.86 %

Portfolio turnover rate

    8 %     9 %     15 %     18 %     18 %

 

 

(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.

 

9

 

 

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
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 24.83     $ 22.22     $ 28.00     $ 21.35     $ 22.27  

Net investment income/(loss)(1)

    0.73       0.61       0.73       0.37       0.42  

Net realized and unrealized gain/(loss) on investments

    3.46       2.73       (4.87 )     6.80       (0.25 )

Net increase/(decrease) in net assets resulting from operations

    4.19       3.34       (4.14 )     7.17       0.17  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.79 )     (0.50 )     (0.82 )     (0.35 )     (0.52 )

Net realized capital gains

          (0.23 )     (0.82 )     (0.17 )     (0.57 )

Total dividends and distributions to shareholders

    (0.79 )     (0.73 )     (1.64 )     (0.52 )     (1.09 )

Net asset value, end of period

  $ 28.23     $ 24.83     $ 22.22     $ 28.00     $ 21.35  

Total investment return/(loss)(2)

    17.23 %     15.39 %     (15.66 )%     33.96 %     0.17 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 20,957     $ 20,351     $ 19,100     $ 22,780     $ 18,559  

Ratio of expenses to average net assets with waivers, if any(3)

    0.83 %     0.80 %     0.80 %     0.80 %     0.83 %

Ratio of expenses to average net assets without waivers, if any(3)

    0.83 %     0.80 %     0.80 %     0.80 %     0.83 %

Ratio of net investment income/(loss) to average net assets(3)

    2.84 %     2.60 %     2.86 %     1.48 %     1.99 %

Portfolio turnover rate

    6 %     11 %     11 %     18 %     26 %

 

 

(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.

 

10

 

 

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
YEAR ENDED
AUGUST 31, 2024

   

FOR THE
YEAR ENDED
AUGUST 31, 2023

   

FOR THE
YEAR ENDED
AUGUST 31, 2022

   

FOR THE
YEAR ENDED
AUGUST 31, 2021

   

FOR THE
YEAR ENDED
AUGUST 31, 2020

 

Per Share Operating Performance

                                       

Net asset value, beginning of period

  $ 23.70     $ 23.67     $ 25.55     $ 25.66     $ 25.38  

Net investment income/(loss)(1)

    0.74       0.37       0.10       0.02       0.43  

Net realized and unrealized gain/(loss) on investments

    0.69       (0.05 )     (1.90 )     0.04       0.27  

Net increase/(decrease) in net assets resulting from operations

    1.43       0.32       (1.80 )     0.06       0.70  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.64 )     (0.29 )     (0.08 )     (0.16 )     (0.42 )

Net realized capital gains

                             

Return of capital

                      (0.01 )      

Total dividends and distributions to shareholders

    (0.64 )     (0.29 )     (0.08 )     (0.17 )     (0.42 )

Net asset value, end of period

  $ 24.49     $ 23.70     $ 23.67     $ 25.55     $ 25.66  

Total investment return/(loss)(2)

    6.12 %     1.36 %     (7.08 )%     0.22 %     2.80 %
                                         

Ratios/Supplemental Data

                                       

Net assets, end of period (000’s omitted)

  $ 25,753     $ 26,927     $ 28,299     $ 33,103     $ 27,323  

Ratio of expenses to average net assets with waivers, if any(3)

    0.76 %     0.74 %     0.73 %     0.73 %     0.74 %

Ratio of expenses to average net assets without waivers, if any(3)

    0.76 %     0.74 %     0.73 %     0.73 %     0.74 %

Ratio of net investment income/(loss) to average net assets(3)

    3.10 %     1.59 %     0.39 %     0.07 %     1.69 %

Portfolio turnover rate

    15 %     8 %     7 %     8 %     46 %

 

 

(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.

 

11

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements

August 31, 2024

 

1.

Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Matson Money U.S. Equity VI Portfolio, the Matson Money International Equity VI Portfolio and the Matson Money Fixed Income VI Portfolio (each, a “Portfolio” and collectively, the “Portfolios”). Each Portfolio operates as a “fund of funds” and commenced investment operations on February 18, 2014. Shares of the Portfolios are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

INVESTMENT COMPANY SECURITIES — The Portfolios pursue their investment objectives by investing primarily in shares of registered, open-end investment companies and exchange-traded funds (“ETFs”) (collectively, “underlying funds”). When a Portfolio invests in underlying funds it will indirectly bear its proportionate share of any fees and expenses payable directly by the underlying fund. In connection with its investments in other investment companies, a Portfolio will incur higher expenses, many of which may be duplicative. Furthermore, because the Portfolios invest in shares of ETFs and underlying funds their performances are directly related to the ability of the ETFs and underlying funds to meet their respective investment objectives, as well as the allocation of each Portfolio’s assets among the ETFs and underlying funds. Accordingly, the Portfolios’ investment performance will be influenced by the investment strategies of and risks associated with the ETFs and underlying funds in direct proportion to the amount of assets the Portfolios allocate to the ETFs and underlying funds utilizing such strategies. As disclosed in the Portfolio of Investments, the Portfolios invest in a number of different underlying funds, including underlying funds that are portfolios of DFA Investment Dimensions Group Inc., and Dimensional Investment Group Inc. (collectively, “DFA Underlying Funds”) and iShares by BlackRock (“iShares Underlying Funds”). Information about DFA Underlying Funds’ and iShares Underlying Funds’ risks may be found in such DFA Underlying Funds’ and iShares Underlying Funds’ annual or semiannual report to shareholders, which can be found at us.dimensional.com and iShares.com, respectively. Additional information about derivatives related risks, if applicable, may also be found in each such DFA Underlying Funds’ or iShares Underlying Funds’ annual or semiannual report to shareholders. The annual and semiannual reports to shareholders for the underlying funds may also be found by visiting the SEC’s website at http://www.sec.gov.

 

PORTFOLIO VALUATION — Investments in the underlying funds are valued at each Portfolio’s net asset value (“NAV”) determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). Investments in ETFs are valued at their last reported sale price. As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors (the “Board” or “Directors”). 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.

 

12

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (continued)

August 31, 2024

 

The Board has adopted a pricing and valuation policy for use by each Portfolio and its Valuation Designee (as defined below) in calculating a Portfolio’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Matson Money, Inc. (“Matson Money” or the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee, in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Portfolios’ investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● Level 3 —

Prices are determined using significant unobservable inputs (including the Portfolios’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Portfolios’ investments carried at fair value:

 

MATSON MONEY U.S. EQUITY VI PORTFOLIO

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-end Funds

  $ 22,675,193     $     $     $ 22,675,193  

Investments Measured at Net Asset Value*

                      5,412,214  

Investments Purchased with Proceeds From Securities Lending Collateral*

                       

Short-Term Investments

    242,702                   242,702  

Total Investments**

  $ 22,917,895     $     $     $ 28,330,109  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

**

Please refer to the Portfolio of Investments for further details.

 

MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-end Funds

  $ 16,177,282     $     $     $ 16,177,282  

Investments Measured at Net Asset Value*

                      4,635,488  

Investments Purchased with Proceeds From Securities Lending Collateral*

                      821,284  

Short-Term Investments

    194,498                   194,498  

Total Investments**

  $ 16,371,780     $     $     $ 21,828,552  

 

*

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.

 

13

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

August 31, 2024

 

MATSON MONEY FIXED INCOME VI PORTFOLIO

 

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

TOTAL

 

Open-end Funds

  $ 22,324,351     $     $     $ 22,324,351  

Investments Measured at Net Asset Value*

                      3,102,525  

Investments Purchased with Proceeds From Securities Lending Collateral*

                       

Short-Term Investments

    326,158                   326,158  

Total Investments**

  $ 22,650,509     $     $     $ 25,753,034  

 

*

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

**

Please refer to the Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolios’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolios may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Portfolio to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when a Portfolio had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Portfolio had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Portfolios had no Level 3 transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Portfolios record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Portfolio’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund

 

14

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

August 31, 2024

 

Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolios. In addition to the net annual operating expenses that the Portfolios bear directly, the shareholders indirectly bear the Portfolios’ pro-rata expenses of the underlying mutual funds in which each Portfolio invests.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders recorded on the ex-dividend date for each Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Portfolio’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

MARKET RISK — The value of a Portfolio’s shares will fluctuate as a result of the movement of the overall stock market or the value of the underlying fund held by a Portfolio, and you could lose money.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

OTHER — In the normal course of business, the Portfolios may enter into contracts that provide general indemnifications. Each Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolios in the future, and, therefore, cannot be estimated; however, the Portfolios expect the risk of material loss for such claims to be remote.

 

For additional information about the DFA Underlying Funds’ and iShares Underlying Funds’ valuation policies, refer to the DFA Underlying Funds’ and iShares Underlying Funds’ most recent annual or semiannual report which can be found at us.dimensional.com and iShares.com, respectively.

 

2.

Investment Adviser and Other Services

 

Matson Money, Inc. serves as the investment adviser to each Portfolio. Each Portfolio compensates the Adviser for its services at an annual rate based on each Portfolio’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

AVERAGE DAILY NET ASSETS

 

ADVISORY FEE

 

For the first $1 billion

    0.50 %

Over $1 billion to $5 billion

    0.49  

Over $5 billion

    0.47  

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Portfolio operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Portfolio’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and certain of these expenses could cause total annual Portfolio operating

 

15

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (Continued)

August 31, 2024

 

expenses to exceed the Expense Caps: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.

 

PORTFOLIO

 

EXPENSE CAPS

 

Matson Money U.S. Equity VI Portfolio

    1.13 %

Matson Money International Equity VI Portfolio

    1.35  

Matson Money Fixed Income VI Portfolio

    1.00  

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

PORTFOLIO

 

ADVISORY FEES

 

Matson Money U.S. Equity VI Portfolio

  $ 138,890  

Matson Money International Equity VI Portfolio

    103,360  

Matson Money Fixed Income VI Portfolio

    134,682  

 

Effective September 1, 2019, if at any time a Portfolio’s total annual Portfolio operating expenses for a year are less than the Expense Cap, the Adviser is entitled to reimbursement by the Portfolio of the advisory fees forgone and other payments remitted by the Adviser to the Portfolio within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Portfolio to exceed the Expense Cap that was in effect at the time of the waiver or reimbursement. As of the end of the reporting period, the Portfolios had no amounts available for recoupment.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”) serves as administrator for the Portfolios. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Portfolios’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Portfolios. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Vigilant Distributors, LLC (the “Distributor”), serves as the principal underwriter and distributor of the Portfolios’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

3.

Director and Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Portfolios or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

16

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (CONTINUED)

August 31, 2024

 

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

  $ 2,166,974     $ 5,690,720  

Matson Money International Equity VI Portfolio

    1,235,290       3,320,390  

Matson Money Fixed Income VI Portfolio

    4,005,071       5,882,874  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

5.

Federal Income Tax Information

 

The Portfolios have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Portfolios to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Portfolios have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Portfolios are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by each Portfolio were as follows:

 

   

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET
UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Matson Money U.S. Equity Portfolio

  $ 21,868,690     $ 6,678,753     $ (217,334 )   $ 6,461,419  

Matson Money International Equity Portfolio

    17,658,748       4,030,350       (681,830 )     3,348,520  

Matson Money Fixed Income Portfolio

    26,437,012       289,502       (973,480 )     (683,978 )

 

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2024, there were no permanent differences between distributable earnings/(loss) and paid in capital.

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

   

Undistributed
Ordinary Income

   

Undistributed
Long-Term
Capital Gains

   

Capital Loss
CarryForwards

   

Net
Unrealized
Appreciation/
(Depreciation)

 

Matson Money U.S. Equity Portfolio

  $ 32,566     $ 2,080,495     $     $ 6,461,419  

Matson Money International Equity Portfolio

    101,036       223,338             3,348,520  

Matson Money Fixed Income Portfolio

    232,765             (412,574 )     (683,978 )

 

17

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (CONTINUED)

August 31, 2024

 

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, 2023 and August 31, 2024 were as follows:

 

           

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

RETURN OF
CAPITAL

   

TOTAL

 

Matson Money U.S. Equity Portfolio

2024

  $ 284,964     $ 1,891,538           $ 2,176,502  
 

2023

    225,930       2,549,816             2,775,746  

Matson Money International Equity Portfolio

2024

    638,754                   638,754  
 

2023

    453,501       210,263             663,764  

Matson Money Fixed Income Portfolio

2024

    721,924                   721,924  
 

2023

    338,690                   338,690  

 

Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes.

 

Pursuant to federal income tax rules applicable to regulated investment companies, the Portfolios may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the fiscal year ended August 31, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024. The Matson Money Fixed Income Portfolio deferred qualified late-year losses of $412,574, which will be treated as arising on the first business day of the following fiscal year.

 

The Portfolios are permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2024, the Portfolios had no unexpiring short-term or long-term losses.

 

6. SECURITIES LENDING

 

The Portfolios may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned securities, as marked to market each day that the NAV of the Portfolios is determined. When the collateral falls below specified amounts, the Portfolios’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Portfolios will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Portfolios will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Portfolios to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the current fiscal period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE OF
SECURITIES LOANED

   

MARKET VALUE OF
COLLATERAL

   

INCOME RECEIVED
FROM SECURITIES
LENDING

 

Matson Money U.S. Equity Portfolio

  $     $     $  

Matson Money Internation Equity Portfolio

    805,015       821,284       1,329  

Matson Money Fixed Income Portfolio

                5,246  

 

18

 

 

MATSON MONEY VI PORTFOLIOS

Notes to Financial Statements (concluded)

August 31, 2024

 

Securities lending transactions are entered into by the Portfolios’ securities lending agent on behalf of the Portfolios under a Master Securities Lending Agreement (“MSLA”) which permits the Portfolios’ securities lending agent on behalf of the Portfolios under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Portfolios to the same counterparty against amounts to be received and create one single net payment due to or from the Portfolios. The following table is a summary of the Portfolios’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

                           

GROSS AMOUNTS NOT OFFSET IN THE
STATEMENTS OF ASSETS AND LIABILITIES

 

PORTFOLIO

 

GROSS AMOUNTS
OF RECOGNIZED
ASSETS

   

GROSS AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS AND
LIABILITIES

   

NET AMOUNTS OF
ASSETS PRESENTED
IN THE STATEMENTS
OF ASSETS AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET
AMOUNT
2

 

Matson Money U.S. Equity Portfolio

  $     $     $     $     $     $  

Matson Money International Equity Portfolio

    805,015             805,015       (805,015 )            

Matson Money Fixed Income Portfolio

                                   

 

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.

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 subsequent events requiring recognition or disclosure in the financial statements.

 

19

 

 

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 (three of the funds constituting The RBB Fund, Inc., hereafter collectively referred to as the “Funds”) as of August 31, 2024, the related statements of operations for the year ended August 31, 2024, the statements of changes in net assets for each of the two years in the period ended August 31, 2024, including the related notes and the financial highlights for each of the five years in the period ended August 31, 2024 (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, 2024, 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, 2024 and each of the financial highlights for each of the five years in the period ended August 31, 2024 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, 2024 by correspondence with the custodian and investment manager of investee funds. We believe that our audits provide a reasonable basis for our opinions.

 

 

Philadelphia, Pennsylvania
October 29, 2024

 

We have served as the auditor of one or more Matson Money, Inc. investment companies since 2008.

 

20

 

 

MATSON MONEY VI PORTFOLIOS

Shareholder Tax Information
(Unaudited)

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2024 were as follows:

 

   

Ordinary
Income

   

Long-Term
CAPITAL GAINS

   

Return of
Capital

   

Total

 

Matson Money U.S. Equity Portfolio

  $ 284,964     $ 1,891,538     $     $ 2,176,502  

Matson Money International Equity Portfolio

    638,754                   638,754  

Matson Money Fixed Income Portfolio

    721,924                   721,924  

 

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 0.00% for each Portfolio.

 

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 93.40% 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 51.17% 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 2024. 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 2025.

 

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 $50,835 and earned $671,293 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.

 

21

 

 

MATSON MONEY VI PORTFOLIOS

Other Information

(Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreement between Matson Money and the Company (the “Investment Advisory Agreement”) on behalf of the Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio and Matson Money Fixed Income VI Portfolio (for this section only, each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement for an additional one-year term ending August 16, 2025. 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 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 Agreement 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. The Directors reviewed these materials with management of Matson Money, and discussed the aforementioned Investment Advisory Agreement with counsel in executive sessions, at which no representatives of Matson Money were present. 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 Fuse Research Network, LLC comparing each Portfolio’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Portfolio based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Portfolio to the performance of its Peer 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 three-month, one-year, three-year, five-year, and since-inception periods ended December 31, 2024, as applicable. The Directors considered the Portfolios’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Portfolios as compared to their respective benchmarks and Peer Groups was acceptable.

 

The Directors noted that the Matson Money U.S. Equity VI Portfolio outperformed its primary benchmark, the Russell 2500 Index, for the three-year and five-year periods ended December 31, 2023, and underperformed its benchmark for the three-month, one-year and since inception periods ended December 31, 2023. The Directors noted that the Matson Money U.S. Equity VI Portfolio outperformed the median of its Peer Group for the three-month, one-year, three-year, and since-inception periods ended December 31, 2023 and underperformed the median of its Peer Group for the five-year period ended December 31, 2023.

 

The Directors noted that the Matson Money International Equity VI Portfolio outperformed its primary benchmark, the MSCI World ex-US Index, for the three-year period ended December 31, 2023, and underperformed its benchmark for the three-month, one-year, five-year and since-inception periods ended December 31, 2023. The Directors noted that the Matson

 

22

 

 

MATSON MONEY VI PORTFOLIOS

Other Information (Concluded)

(Unaudited)

 

Money International Equity VI Portfolio outperformed the median of its Peer Group for the three-year period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, one-year, five-year, and since-inception periods ended December 31, 2023.

 

The Directors noted that the Matson Money Fixed Income VI Portfolio outperformed its primary benchmark, the FTSE World Government Bond 1-5 Years, for the three-month and one-year periods ended December 31, 2023, and underperformed its benchmark for the three-year, five-year, and since-inception periods ended December 31, 2023. The Directors noted that the Matson Money Fixed Income VI Portfolio outperformed the median of its Peer Group for the three-month period ended December 31, 2023, and underperformed the median of its Peer Group for the one-year, three-year, five-year, and since-inception periods ended December 31, 2023.

 

The Board also considered the advisory fee rates payable by the Portfolios under the Investment Advisory Agreement. 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 net advisory fee of the Matson Money U.S. Equity VI Portfolio ranked below the median and in the 2nd quintile of its Peer Group, and the Portfolio’s total net expenses (including acquired fund fees and expenses) were above the median and in the 4th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Matson Money International Equity VI Portfolio ranked below the median and in the 4th quintile of its Peer Group, and the Portfolio’s total net expenses (including acquired fund fees and expenses) were above the median and in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Matson Money Fixed Income VI Portfolio ranked above the median and in the 3rd quintile of its Peer Group, and the Portfolio’s total net expenses (including acquired fund fees and expenses) were above the median and in the 5th quintile of its Peer Group.

 

In addition, the Directors noted that Matson Money had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024 to limit total annual operating expenses to agreed upon levels for the Matson Money U.S. Equity VI Portfolio, Matson Money International Equity VI Portfolio, and Matson Money Fixed Income VI Portfolio.

 

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 to be paid by the Portfolios were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one year period ending August 16, 2025.

 

23

 

 

Investment Adviser

Matson Money, Inc.
5955 Deerfield Blvd.
Mason, OH 45040

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Vigilant Distributors, LLC
Gateway Corporate Center, Suite 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1800
2001 Market Street
Philadelphia, PA 19103-7042

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

Financial Statements

Motley Fool Asset Management ETFs
Series of The RBB Fund, Inc.

8/31/24

 

Motley Fool Global Opportunities ETF

Motley Fool Mid-Cap Growth ETF

Motley Fool 100 Index ETF

Motley Fool Small-Cap Growth ETF

Motley Fool Capital Efficiency 100 Index ETF

Motley Fool Next Index ETF

 

 

 

 

Motley Fool Global Opportunities ETF (TMFG)

Motley Fool Mid-Cap Growth ETF (TMFM)

Motley Fool 100 Index ETF (TMFC)

Motley Fool Small-Cap Growth ETF (TMFS)

Motley Fool Capital Efficiency 100 Index ETF (TMFE)

Motley Fool Next Index ETF (TMFX)

 

 

Table of Contents

 

   

Schedules of Investments

1

Financial Statements

30

Notes to Financial Statements

46

Report of Independent Registered Public Accounting Firm

59

Shareholder Tax Information

61

Notice to Shareholders

62

 

 

 

 

Motley Fool global opportunities ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 94.7%

               

Argentina — 2.2%

               

MercadoLibre, Inc. (a)

    4,795     $ 9,885,660  

Australia — 1.5%

               

Atlassian Corp. - Class A (a)

    39,751       6,582,765  

Canada — 9.8%

               

Brookfield Asset Management Ltd. – Class A

    261,214       10,647,083  

Canadian National Railway Co. (b)

    115,890       13,654,160  

Waste Connections, Inc.

    101,209       18,875,478  
              43,176,721  

China — 1.7%

               

Yum China Holdings, Inc.

    216,296       7,312,968  

France — 1.9%

               

Vivendi

    766,495       8,595,691  

Germany — 2.2%

               

Symrise

    75,276       9,906,160  

Ireland — 6.0%

               

ICON PLC (a)

    52,805       17,006,378  

Kerry Group PLC - Class A

    76,975       7,726,005  

Kerry Group PLC - Class A

    19,529       1,899,687  
              26,632,070  

Japan — 3.4%

               

Nintendo Co. Ltd.

    274,280       14,825,642  

Kenya — 0.1%

               

Safaricom PLC

    4,000,000       450,485  

Netherlands — 3.1%

               

Universal Music Group

    525,208       13,718,748  

Philippines — 2.6%

               

International Container Terminal Services, Inc.

    1,610,522       11,364,004  

Spain — 3.0%

               

Cellnex Telecom (c)

    338,325       13,063,275  

Taiwan — 1.9%

               

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

    47,659       8,183,050  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

1

 

 

Motley Fool global opportunities ETF

Schedule of Investments (continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

United Arab Emirates — 0.0%(d)

               

NMC Health PLC (a)(e)

    485,482     $ 0  

United Kingdom — 7.1%

               

London Stock Exchange Group PLC

    89,050       11,987,320  

Rentokil Initial PLC - ADR (b)

    448,276       14,447,936  

System1 Group PLC (a)

    459,245       4,704,390  
              31,139,646  

United States — 48.2%(f)

               

Alphabet, Inc. - Class C

    94,401       15,586,549  

Amazon.com, Inc. (a)

    114,105       20,367,742  

American Tower Corp.

    62,958       14,106,369  

Aon PLC - Class A

    30,054       10,330,161  

Axon Enterprise, Inc. (a)

    66,060       24,109,918  

BioMarin Pharmaceutical, Inc. (a)

    82,350       7,511,144  

Comcast Corp. - Class A

    215,388       8,522,903  

Costco Wholesale Corp.

    16,191       14,448,525  

DexCom, Inc. (a)

    181,675       12,597,345  

Equinix, Inc.

    14,044       11,717,752  

Fastenal Co.

    128,190       8,752,813  

Mastercard, Inc. - Class A

    32,076       15,503,614  

Salesforce, Inc.

    40,252       10,179,731  

SBA Communications Corp.

    24,808       5,622,981  

Starbucks Corp.

    97,592       9,229,275  

Waters Corp. (a)

    21,568       7,470,077  

Watsco, Inc. (b)

    34,075       16,199,937  
              212,256,836  

TOTAL COMMON STOCKS (Cost $248,904,202)

            417,093,721  
                 

PREFERRED STOCKS — 2.1%

               

Germany — 2.1%

               

Dr. Ing. H.c. F. Porsche 0.00% (c)

    119,977       9,394,982  

TOTAL PREFERRED STOCKS (Cost $11,323,002)

            9,394,982  

 

 

The accompanying notes are an integral part of these financial statements.

 

2

 

 

 

Motley Fool global opportunities ETF

Schedule of Investments (concluded)

AUGUST 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 7.7%

               

Investments Purchased with Proceeds from Securities Lending — 7.7%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42% (g)

    34,052,359     $ 34,052,359  

TOTAL SHORT-TERM INVESTMENTS (Cost $34,052,359)

            34,052,359  
                 

TOTAL INVESTMENTS — 104.5% (Cost $294,279,563)

            460,541,062  

Liabilities in Excess of Other Assets — (4.5)%

            (20,078,590 )

TOTAL NET ASSETS — 100.0%

          $ 440,462,472  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

ADR — American Depositary Receipt

 

PLC — Public Limited Company

 

(a)

Non-income producing security.

 

(b)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $33,637,720 which represented 7.6% of net assets.

 

(c)

Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of August 31, 2024, the value of these securities total $22,458,257 or 5.1% of the Fund’s net assets.

 

(d)

Represents less than 0.05% of net assets.

 

(e)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $0 or 0.0% of net assets as of August 31, 2024.

 

(f)

To the extent that the Fund invests a significant portion of its assets in the securities of companies of a single country or region, it is more likely to be impacted by events or conditions affecting the country or region.

 

(g)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

3

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 98.4%

               

Aerospace & Defense — 6.0%

               

Axon Enterprise, Inc. (a)

    33,277     $ 12,145,107  

Air Freight & Logistics — 2.6%

               

GXO Logistics, Inc. (a)(b)

    105,018       5,256,151  

Automobile Components — 3.3%

               

Gentex Corp. (b)

    214,062       6,706,563  

Biotechnology — 5.4%

               

BioMarin Pharmaceutical, Inc. (a)

    65,105       5,938,227  

Ultragenyx Pharmaceutical, Inc. (a)(b)

    89,678       5,091,917  
              11,030,144  

Building Products — 2.2%

               

Trex Co., Inc. (a)

    71,679       4,568,819  

Capital Markets — 6.0%

               

Morningstar, Inc.

    14,587       4,576,963  

StoneX Group, Inc. (a)

    92,666       7,678,305  
              12,255,268  

Chemicals — 2.5%

               

Eastman Chemical Co.

    49,762       5,094,136  

Financial Services — 3.4%

               

Toast, Inc. - Class A (a)(b)

    275,596       6,851,317  

Ground Transportation — 3.7%

               

RXO, Inc. (a)

    261,690       7,447,697  

Health Care Equipment & Supplies — 10.0%

               

Cooper Cos., Inc. (a)

    71,175       7,525,333  

DexCom, Inc. (a)

    76,925       5,333,979  

Globus Medical, Inc. - Class A (a)

    104,046       7,564,144  
              20,423,456  

Health Care Providers & Services — 3.1%

               

HealthEquity, Inc. (a)

    79,555       6,329,396  

Health Care REITs — 1.8%

               

Alexandria Real Estate Equities, Inc. (b)

    30,916       3,696,626  

 

 

The accompanying notes are an integral part of these financial statements.

 

4

 

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Insurance — 10.9%

               

Brown & Brown, Inc.

    122,066     $ 12,832,799  

Goosehead Insurance, Inc. - Class A (a)(b)

    109,534       9,238,097  
              22,070,896  

Life Sciences Tools & Services — 2.9%

               

Waters Corp. (a)

    16,817       5,824,568  

Professional Services — 7.1%

               

Broadridge Financial Solutions, Inc.

    45,390       9,661,715  

TransUnion

    48,600       4,704,966  
              14,366,681  

Real Estate Management & Development — 2.3%

               

CoStar Group, Inc. (a)

    59,664       4,612,027  

Software — 11.1%

               

Alarm.com Holdings, Inc. (a)

    97,708       5,817,534  

Guidewire Software, Inc. (a)

    32,342       4,811,519  

Tyler Technologies, Inc. (a)

    20,305       11,936,701  
              22,565,754  

Specialized REITs — 3.6%

               

SBA Communications Corp.

    32,144       7,285,759  

Specialty Retail — 1.8%

               

Tractor Supply Co.

    13,854       3,706,638  

Trading Companies & Distributors — 8.7%

               

Fastenal Co.

    103,468       7,064,795  

Herc Holdings, Inc.

    32,700       4,786,299  

Watsco, Inc. (b)

    12,110       5,757,336  
              17,608,430  

TOTAL COMMON STOCKS (Cost $126,514,287)

          $ 199,845,433  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

5

 

 

Motley Fool mid-cap growth ETF

Schedule of Investments (CONCLUDED)

AUGUST 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 14.2%

               

Investments Purchased with Proceeds from Securities Lending — 14.2%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42% (c)

    28,802,749     $ 28,802,749  

TOTAL SHORT-TERM INVESTMENTS (Cost $28,802,749)

            28,802,749  
                 

TOTAL INVESTMENTS — 112.6% (Cost $155,317,036)

            228,648,182  

Liabilities in Excess of Other Assets — (12.6)%

            (25,509,210 )

TOTAL NET ASSETS — 100.0%

          $ 203,138,972  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

REIT — Real Estate Investment Trust

 

(a)

Non-income producing security.

 

(b)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $28,330,814 which represented 13.9% of net assets.

 

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

6

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 99.7%

               

Altaba, Inc. - Escrow Shares (a)(b)

    8,565     $ 13,276  

Aerospace & Defense — 0.4%

               

TransDigm Group, Inc.

    2,499       3,431,652  

Air Freight & Logistics — 0.3%

               

FedEx Corp.

    11,101       3,316,646  

Automobiles — 2.9%

               

Tesla, Inc. (b)

    132,762       28,425,672  

Banks — 3.0%

               

JPMorgan Chase & Co.

    115,471       25,957,881  

Truist Financial Corp.

    59,447       2,643,013  
              28,600,894  

Beverages — 0.2%

               

Monster Beverage Corp. (b)

    46,293       2,181,789  

Biotechnology — 2.2%

               

Amgen, Inc.

    24,633       8,223,234  

Biogen, Inc. (b)

    6,177       1,264,803  

Gilead Sciences, Inc.

    56,733       4,481,907  

Moderna, Inc. (b)

    14,825       1,147,455  

Vertex Pharmaceuticals, Inc. (b)

    11,691       5,797,450  
              20,914,849  

Broadline Retail — 5.4%

               

Amazon.com, Inc. (b)

    278,890       49,781,865  

Coupang, Inc. (b)

    76,492       1,694,298  

eBay, Inc. (c)

    21,628       1,278,215  
              52,754,378  

Capital Markets — 1.9%

               

Charles Schwab Corp.

    71,944       4,683,554  

CME Group, Inc.

    16,240       3,503,618  

Intercontinental Exchange, Inc.

    25,546       4,126,956  

Moody’s Corp.

    8,110       3,955,572  

Nasdaq, Inc.

    24,676       1,778,646  
              18,048,346  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

7

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Chemicals — 0.8%

               

Ecolab, Inc.

    12,830     $ 3,248,300  

Sherwin-Williams Co.

    11,520       4,255,142  
              7,503,442  

Commercial Services & Supplies — 1.0%

               

Cintas Corp.

    4,607       3,709,188  

Copart, Inc. (b)

    44,280       2,345,069  

Waste Management, Inc.

    18,057       3,828,806  
              9,883,063  

Communications Equipment — 0.5%

               

Arista Networks, Inc. (b)

    14,340       5,067,469  

Consumer Staples Distribution & Retail — 1.7%

               

Costco Wholesale Corp.

    17,872       15,948,615  

Electronic Equipment, Instruments & Components — 0.2%

               

Corning, Inc.

    36,664       1,534,388  

Entertainment — 2.3%

               

Electronic Arts, Inc.

    11,805       1,792,235  

Netflix, Inc. (b)

    17,372       12,183,852  

ROBLOX Corp. - Class A (b)

    25,246       1,110,571  

Walt Disney Co.

    73,442       6,637,688  

Warner Bros Discovery, Inc. (b)(c)

    104,827       821,844  
              22,546,190  

Financial Services — 9.8%

               

Berkshire Hathaway, Inc. - Class B (b)

    95,958       45,668,331  

Block, Inc. (b)

    24,420       1,613,674  

Mastercard, Inc. - Class A

    42,501       20,542,433  

PayPal Holdings, Inc. (b)

    42,035       3,044,595  

Visa, Inc. - Class A

    86,132       23,804,301  
              94,673,334  

Ground Transportation — 1.5%

               

Old Dominion Freight Line, Inc.

    9,287       1,790,534  

Uber Technologies, Inc. (b)

    81,019       5,924,919  

Union Pacific Corp.

    27,636       7,077,303  
              14,792,756  

 

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Health Care Equipment & Supplies — 1.7%

               

Align Technology, Inc. (b)

    3,185     $ 755,546  

Becton Dickinson & Co.

    13,264       3,215,326  

DexCom, Inc. (b)

    15,322       1,062,427  

IDEXX Laboratories, Inc. (b)

    3,533       1,700,539  

Intuitive Surgical, Inc. (b)

    15,777       7,772,223  

ResMed, Inc. (c)

    6,227       1,525,740  
              16,031,801  

Health Care Providers & Services — 3.7%

               

CVS Health Corp.

    56,008       3,205,898  

HCA Healthcare, Inc.

    11,631       4,601,107  

McKesson Corp.

    5,760       3,231,821  

UnitedHealth Group, Inc.

    42,078       24,834,436  
              35,873,262  

Health Care Technology — 0.2%

               

Veeva Systems, Inc. - Class A (b)

    6,866       1,486,077  

Hotels, Restaurants & Leisure — 2.2%

               

Airbnb, Inc. - Class A (b)

    25,047       2,938,264  

Booking Holdings, Inc.

    1,318       5,152,365  

Chipotle Mexican Grill, Inc. (b)

    56,726       3,181,194  

DoorDash, Inc. - Class A (b)

    17,448       2,245,732  

Marriott International, Inc. - Class A

    12,642       2,966,951  

Starbucks Corp.

    51,151       4,837,350  
              21,321,856  

Industrial Conglomerates — 0.3%

               

3M Co.

    24,576       3,310,141  

Insurance — 0.3%

               

Aflac, Inc. (c)

    25,998       2,869,139  

Interactive Media & Services — 10.3%

               

Alphabet, Inc. - Class C

    329,638       54,426,530  

Meta Platforms, Inc. - Class A

    87,867       45,805,946  
              100,232,476  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

IT Services — 0.5%

               

Cognizant Technology Solutions Corp. - Class A

    21,268     $ 1,654,013  

Gartner, Inc. (b)

    3,276       1,611,661  

MongoDB, Inc. (b)(c)

    2,910       846,199  

Snowflake, Inc. - Class A (b)

    6,697       764,998  
              4,876,871  

Life Sciences Tools & Services — 0.1%

               

Illumina, Inc. (b)

    6,772       889,841  

Machinery — 0.2%

               

Cummins, Inc.

    5,834       1,825,167  

Media — 0.2%

               

Trade Desk, Inc. - Class A (b)

    20,890       2,183,632  

Oil, Gas & Consumable Fuels — 0.2%

               

Kinder Morgan, Inc.

    94,945       2,047,964  

Pharmaceuticals — 3.9%

               

Bristol-Myers Squibb Co.

    78,398       3,915,980  

Eli Lilly & Co.

    35,375       33,960,708  
              37,876,688  

Real Estate Management & Development — 0.1%

               

CoStar Group, Inc. (b)

    17,431       1,347,416  

Semiconductors & Semiconductor Equipment — 12.4%

               

Advanced Micro Devices, Inc. (b)

    63,932       9,497,738  

Broadcom, Inc.

    183,358       29,854,349  

Lam Research Corp.

    5,285       4,339,038  

NVIDIA Corp.

    644,597       76,945,544  
              120,636,669  

Software — 15.0%

               

Adobe Systems, Inc. (b)

    17,572       10,093,532  

Autodesk, Inc. (b)

    9,908       2,560,227  

Crowdstrike Holdings, Inc. - Class A (b)

    9,335       2,588,409  

Datadog, Inc. - Class A (b)

    14,297       1,662,169  

Fair Isaac Corp. (b)

    1,025       1,773,527  

Fortinet, Inc. (b)

    32,673       2,506,346  

Intuit, Inc.

    12,531       7,897,788  

 

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

Motley Fool 100 Index ETF

Schedule of Investments (continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Software (continued)

               

Microsoft Corp.

    197,421     $ 82,352,196  

Palo Alto Networks, Inc. (b)

    14,746       5,348,669  

Roper Technologies, Inc.

    4,824       2,674,474  

Salesforce, Inc.

    38,300       9,686,070  

ServiceNow, Inc. (b)

    9,450       8,079,750  

Synopsys, Inc. (b)

    6,108       3,173,595  

Workday, Inc. - Class A (b)

    11,348       2,986,680  

Zoom Video Communications, Inc. - Class A (b)

    13,187       910,958  

Zscaler, Inc. (b)

    5,928       1,185,481  
              145,479,871  

Specialized REITs — 1.3%

               

American Tower Corp.

    21,574       4,833,870  

Crown Castle, Inc.

    19,428       2,176,325  

Digital Realty Trust, Inc.

    12,813       1,942,579  

Equinix, Inc.

    4,322       3,606,104  
              12,558,878  

Specialty Retail — 1.7%

               

Home Depot, Inc.

    45,199       16,655,831  

Technology Hardware, Storage & Peripherals — 9.7%

               

Apple, Inc.

    410,940       94,105,260  

Textiles, Apparel & Luxury Goods — 0.5%

               

NIKE, Inc. - Class B (c)

    60,013       5,000,283  

Wireless Telecommunication Services — 1.1%

               

T-Mobile US, Inc.

    54,954       10,920,459  

TOTAL COMMON STOCKS (Cost $624,698,031)

            967,166,341  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

Motley Fool 100 Index ETF

Schedule of Investments (Concluded)

AUGUST 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 1.1%

               

Investments Purchased with Proceeds from Securities Lending — 1.1%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42% (d)

    10,257,974     $ 10,257,974  

TOTAL SHORT-TERM INVESTMENTS (Cost $10,257,974)

            10,257,974  
                 

TOTAL INVESTMENTS — 100.8% (Cost $634,956,005)

            977,424,315  

Liabilities in Excess of Other Assets — (0.8)%

            (7,539,477 )

TOTAL NET ASSETS — 100.0%

          $ 969,884,838  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

REIT — Real Estate Investment Trust

 

(a)

Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $13,276 or 0.0% of net assets as of August 31, 2024.

 

(b)

Non-income producing security.

 

(c)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $10,202,881 which represented 1.1% of net assets.

 

(d)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 99.4%

               

Aerospace & Defense — 8.7%

               

Axon Enterprise, Inc. (a)

    9,409     $ 3,434,003  

Leonardo DRS, Inc. (a)

    118,368       3,378,222  
              6,812,225  

Air Freight & Logistics — 3.6%

               

GXO Logistics, Inc. (a)

    55,712       2,788,386  

Automobile Components — 4.9%

               

Fox Factory Holding Corp. (a)

    36,738       1,487,154  

Gentex Corp.

    75,312       2,359,525  
              3,846,679  

Banks — 3.1%

               

Live Oak Bancshares, Inc. (b)

    57,217       2,459,759  

Biotechnology — 3.8%

               

Ultragenyx Pharmaceutical, Inc. (a)

    52,913       3,004,400  

Building Products — 2.3%

               

Trex Co., Inc. (a)

    27,813       1,772,801  

Capital Markets — 3.4%

               

StoneX Group, Inc. (a)

    32,366       2,681,847  

Electronic Equipment, Instruments & Components — 1.9%

               

IPG Photonics Corp. (a)

    21,130       1,444,658  

Financial Services — 3.5%

               

Toast, Inc. - Class A (a)(b)

    109,056       2,711,132  

Ground Transportation — 5.9%

               

Landstar System, Inc.

    7,452       1,360,437  

RXO, Inc. (a)

    114,440       3,256,962  
              4,617,399  

Health Care Equipment & Supplies — 13.8%

               

Globus Medical, Inc. - Class A (a)

    51,400       3,736,780  

Inari Medical, Inc. (a)(b)

    56,160       2,427,797  

Penumbra, Inc. (a)

    9,877       1,998,315  

UFP Technologies, Inc. (a)(b)

    7,680       2,620,646  
              10,783,538  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

13

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments (CONTINUED)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Health Care Providers & Services — 3.2%

               

HealthEquity, Inc. (a)

    31,842     $ 2,533,349  

Health Care Technology — 1.3%

               

Certara, Inc. (a)(b)

    85,248       1,044,288  

Industrial REITs — 2.6%

               

STAG Industrial, Inc.

    51,019       2,070,351  

Insurance — 4.2%

               

Goosehead Insurance, Inc. - Class A (a)(b)

    39,338       3,317,767  

Oil, Gas & Consumable Fuels — 3.3%

               

Northern Oil & Gas, Inc. (b)

    63,888       2,541,465  

Personal Care Products — 2.1%

               

BellRing Brands, Inc. (a)

    28,800       1,610,784  

Semiconductors & Semiconductor Equipment — 3.0%

               

SiTime Corp. (a)(b)

    13,344       1,930,343  

Wolfspeed, Inc. (a)(b)

    45,794       446,491  
              2,376,834  

Software — 16.1%

               

Alarm.com Holdings, Inc. (a)

    56,020       3,335,431  

DoubleVerify Holdings, Inc. (a)

    52,897       1,042,071  

LiveRamp Holdings, Inc. (a)

    46,944       1,216,789  

nCino, Inc. (a)

    52,640       1,577,094  

Q2 Holdings, Inc. (a)(b)

    33,286       2,470,154  

Smartsheet, Inc. - Class A (a)

    59,859       2,921,119  
              12,562,658  

Textiles, Apparel & Luxury Goods — 2.4%

               

Crocs, Inc. (a)

    12,859       1,879,600  

Trading Companies & Distributors — 6.3%

               

Herc Holdings, Inc.

    14,256       2,086,651  

Watsco, Inc. (b)

    5,946       2,826,848  
              4,913,499  

TOTAL COMMON STOCKS (Cost $68,204,891)

            77,773,419  

 

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

 

MOTLEY FOOL Small-Cap Growth ETF

Schedule of Investments (Concluded)

AUGUST 31, 2024

 

 

 

Units

   

Value

 
                 

SHORT-TERM INVESTMENTS — 27.4%

               

Investments Purchased with Proceeds from Securities Lending — 27.4%

               

Mount Vernon Liquid Assets Portfolio, LLC, 5.42% (c)

    21,476,806     $ 21,476,806  

TOTAL SHORT-TERM INVESTMENTS (Cost $21,476,806)

            21,476,806  
                 

TOTAL INVESTMENTS — 126.8% (Cost $89,681,697)

            99,250,225  

Liabilities in Excess of Other Assets — (26.8)%

            (21,001,545 )

TOTAL NET ASSETS — 100.0%

          $ 78,248,680  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

REIT — Real Estate Investment Trust

 

(a)

Non-income producing security.

 

(b)

All or a portion of this security is on loan as of August 31, 2024. At August 31, 2024, the total market value of these securities was $20,968,235 which represented 26.8% of net assets.

 

(c)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of these financial statements.

 

 

15

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 99.8%

               

Air Freight & Logistics — 0.1%

               

GXO Logistics, Inc. (a)

    529     $ 26,477  

Beverages — 0.5%

               

Boston Beer Co., Inc. - Class A (a)

    50       13,586  

Monster Beverage Corp. (a)

    4,444       209,446  
              223,032  

Biotechnology — 2.4%

               

Exelixis, Inc. (a)

    1,383       36,000  

Gilead Sciences, Inc.

    6,760       534,040  

Neurocrine Biosciences, Inc. (a)

    557       70,772  

Vertex Pharmaceuticals, Inc. (a)

    1,018       504,816  
              1,145,628  

Broadline Retail — 4.8%

               

Amazon.com, Inc. (a)

    11,920       2,127,720  

eBay, Inc.

    2,308       136,403  

Etsy, Inc. (a)

    528       29,087  
              2,293,210  

Capital Markets — 0.6%

               

Cboe Global Markets, Inc.

    465       95,511  

Nasdaq, Inc.

    2,215       159,657  

PJT Partners, Inc. - Class A

    139       17,167  
              272,335  

Chemicals — 2.2%

               

Balchem Corp.

    136       24,076  

Ecolab, Inc.

    1,366       345,844  

RPM International, Inc.

    728       84,630  

Sherwin-Williams Co.

    1,534       566,614  
              1,021,164  

Commercial Services & Supplies — 2.1%

               

Cintas Corp.

    606       487,902  

Rollins, Inc.

    2,582       129,565  

Waste Management, Inc.

    1,820       385,913  
              1,003,380  

 

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Communications Equipment — 1.0%

               

Arista Networks, Inc. (a)

    1,341     $ 473,883  

Consumer Staples Distribution & Retail — 4.9%

               

Casey’s General Stores, Inc.

    234       84,781  

Costco Wholesale Corp.

    2,527       2,255,044  
              2,339,825  

Distributors — 0.1%

               

LKQ Corp.

    1,371       57,020  

Entertainment — 3.5%

               

Electronic Arts, Inc.

    1,338       203,135  

Netflix, Inc. (a)

    2,090       1,465,822  
              1,668,957  

Financial Services — 9.9%

               

Jack Henry & Associates, Inc.

    371       64,194  

Mastercard, Inc. - Class A

    4,896       2,366,432  

Visa, Inc. - Class A

    8,091       2,236,110  
              4,666,736  

Food Products — 0.1%

               

Darling Ingredients, Inc. (a)

    615       25,664  

Ground Transportation — 2.0%

               

Landstar System, Inc.

    177       32,313  

Old Dominion Freight Line, Inc.

    1,044       201,283  

RXO, Inc. (a)

    497       14,145  

Union Pacific Corp.

    2,682       686,833  
              934,574  

Health Care Equipment & Supplies — 3.4%

               

Becton Dickinson & Co.

    1,232       298,649  

IDEXX Laboratories, Inc. (a)

    531       255,586  

Insulet Corp. (a)

    351       71,172  

Intuitive Surgical, Inc. (a)

    1,632       803,972  

ResMed, Inc.

    726       177,885  

STAAR Surgical Co. (a)

    243       8,041  
              1,615,305  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Health Care Providers & Services — 8.2%

               

CVS Health Corp.

    5,561     $ 318,311  

HCA Healthcare, Inc.

    1,500       593,385  

McKesson Corp.

    573       321,499  

UnitedHealth Group, Inc.

    4,484       2,646,457  
              3,879,652  

Health Care Technology — 0.3%

               

Veeva Systems, Inc. - Class A (a)

    655       141,768  

Household Durables — 0.1%

               

Dream Finders Homes, Inc. - Class A (a)

    418       13,982  

Meritage Homes Corp.

    161       31,889  
              45,871  

Interactive Media & Services — 9.3%

               

Alphabet, Inc. - Class C

    12,272       2,026,230  

Meta Platforms, Inc. - Class A

    4,330       2,257,272  

Pinterest, Inc. - Class A (a)

    3,252       104,194  
              4,387,696  

IT Services — 1.4%

               

Cognizant Technology Solutions Corp. - Class A

    2,455       190,925  

EPAM Systems, Inc. (a)

    258       51,796  

Gartner, Inc. (a)

    433       213,019  

GoDaddy, Inc. - Class A (a)

    763       127,734  

MongoDB, Inc. (a)

    340       98,869  
              682,343  

Machinery — 0.1%

               

Tennant Co.

    107       10,451  

Toro Co.

    487       45,096  
              55,547  

Media — 0.6%

               

New York Times Co. - Class A

    851       46,745  

Trade Desk, Inc. - Class A (a)

    2,134       223,067  
              269,812  

Personal Care Products — 0.1%

               

elf Beauty, Inc. (a)

    294       44,038  

 

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Pharmaceuticals — 5.0%

               

Eli Lilly & Co.

    2,478     $ 2,378,930  

Professional Services — 0.0%(b)

               

TaskUS, Inc. - Class A (a)

    473       6,291  

Upwork, Inc. (a)

    644       6,208  
              12,499  

Semiconductors & Semiconductor Equipment — 9.6%

               

Broadcom, Inc.

    11,992       1,952,538  

Cirrus Logic, Inc. (a)

    276       40,210  

Impinj, Inc. (a)

    124       20,844  

Lam Research Corp.

    576       472,902  

NVIDIA Corp.

    16,751       1,999,567  

Universal Display Corp.

    236       45,718  
              4,531,779  

Software — 15.6%

               

Adobe Systems, Inc. (a)

    2,817       1,618,113  

Appfolio, Inc. - Class A (a)

    175       40,598  

Autodesk, Inc. (a)

    1,188       306,979  

DocuSign, Inc. (a)

    1,071       63,414  

Fair Isaac Corp. (a)

    175       302,797  

Fortinet, Inc. (a)

    4,277       328,089  

HubSpot, Inc. (a)

    244       121,773  

Manhattan Associates, Inc. (a)

    267       70,603  

Microsoft Corp.

    4,893       2,041,066  

Nutanix, Inc. - Class A (a)

    1,581       99,904  

Palo Alto Networks, Inc. (a)

    1,618       586,881  

Pegasystems, Inc.

    485       34,377  

Samsara, Inc. - Class A (a)

    2,475       101,648  

ServiceNow, Inc. (a)

    997       852,435  

Synopsys, Inc. (a)

    862       447,878  

Workday, Inc. - Class A (a)

    1,322       347,937  

Zuora, Inc. - Class A (a)

    710       6,241  
              7,370,733  

Specialty Retail — 5.4%

               

Camping World Holdings, Inc. - Class A

    176       3,861  

Home Depot, Inc.

    6,007       2,213,580  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Schedule of Investments (Concluded)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Specialty Retail (continued)

               

Stitch Fix, Inc. - Class A (a)

    506     $ 1,913  

Tractor Supply Co.

    497       132,972  

Ulta Beauty, Inc. (a)

    227       80,095  

Wayfair, Inc. - Class A (a)

    554       23,573  

Williams-Sonoma, Inc.

    494       66,359  

Winmark Corp.

    37       13,342  
              2,535,695  

Technology Hardware, Storage & Peripherals — 5.1%

               

Apple, Inc.

    10,125       2,318,625  

Pure Storage, Inc. - Class A (a)

    1,898       97,348  
              2,415,973  

Textiles, Apparel & Luxury Goods — 1.2%

               

NIKE, Inc. - Class B

    6,245       520,333  

Skechers USA, Inc. - Class A (a)

    683       46,772  

Under Armour, Inc. - Class A (a)

    2,306       17,733  
              584,838  

Trading Companies & Distributors — 0.2%

               

Watsco, Inc.

    199       94,609  

TOTAL COMMON STOCKS (Cost $36,977,146)

            47,198,973  
                 

TOTAL INVESTMENTS — 99.8% (Cost $36,977,146)

            47,198,973  

Other Assets in Excess of Liabilities — 0.2%

            127,365  

TOTAL NET ASSETS — 100.0%

          $ 47,326,338  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

(a)

Non-income producing security.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS — 99.7%

               

Aerospace & Defense — 4.9%

               

AeroVironment, Inc. (a)

    396     $ 80,689  

Axon Enterprise, Inc. (a)

    1,070       390,518  

HEICO Corp.

    1,710       438,718  

Rocket Lab USA, Inc. (a)

    6,975       43,733  

Textron, Inc.

    2,702       246,422  
              1,200,080  

Air Freight & Logistics — 0.3%

               

GXO Logistics, Inc. (a)

    1,551       77,628  

Automobile Components — 0.7%

               

BorgWarner, Inc.

    3,227       109,944  

Phinia, Inc.

    649       31,126  

XPEL, Inc. (a)

    391       16,926  
              157,996  

Banks — 0.7%

               

Axos Financial, Inc. (a)

    809       56,169  

Western Alliance Bancorp

    1,545       126,195  
              182,364  

Beverages — 0.7%

               

Boston Beer Co., Inc. - Class A (a)

    167       45,377  

Celsius Holdings, Inc. (a)

    3,299       125,461  
              170,838  

Biotechnology — 5.6%

               

2seventy bio, Inc. (a)

    729       3,550  

Alnylam Pharmaceuticals, Inc. (a)

    1,791       470,478  

AnaptysBio, Inc. (a)

    387       14,741  

BioMarin Pharmaceutical, Inc. (a)

    2,690       245,355  

Bluebird Bio, Inc. (a)

    2,729       1,532  

Bridgebio Pharma, Inc. (a)

    2,649       73,775  

Editas Medicine, Inc. (a)

    1,165       4,357  

Emergent BioSolutions, Inc. (a)

    743       6,174  

Exact Sciences Corp. (a)

    2,613       161,196  

Exelixis, Inc. (a)

    4,124       107,348  

Ionis Pharmaceuticals, Inc. (a)

    2,065       98,459  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Biotechnology (continued)

               

Neurocrine Biosciences, Inc. (a)

    1,425     $ 181,061  
              1,368,026  

Broadline Retail — 0.4%

               

Etsy, Inc. (a)

    1,657       91,284  

Building Products — 0.4%

               

Trex Co., Inc. (a)

    1,540       98,160  

Capital Markets — 4.8%

               

Affiliated Managers Group, Inc.

    452       78,571  

Cboe Global Markets, Inc.

    1,490       306,046  

FactSet Research Systems, Inc.

    542       229,180  

Houlihan Lokey, Inc.

    973       152,391  

Interactive Brokers Group, Inc. - Class A

    1,516       195,397  

Jefferies Financial Group, Inc.

    3,003       180,030  

PJT Partners, Inc. - Class A

    340       41,990  
              1,183,605  

Chemicals — 1.2%

               

Balchem Corp.

    460       81,434  

RPM International, Inc.

    1,824       212,040  
              293,474  

Commercial Services & Supplies — 1.5%

               

Healthcare Services Group, Inc. (a)

    1,043       11,359  

Rollins, Inc.

    6,857       344,084  
              355,443  

Communications Equipment — 0.7%

               

Ubiquiti, Inc.

    858       166,040  

Construction & Engineering — 0.5%

               

MasTec, Inc. (a)

    1,103       124,782  

Consumer Finance — 0.5%

               

Nelnet, Inc. - Class A

    516       59,639  

Upstart Holdings, Inc. (a)

    1,244       52,870  
              112,509  

 

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Consumer Staples Distribution & Retail — 0.8%

               

Casey’s General Stores, Inc.

    526     $ 190,575  

Distributors — 0.6%

               

LKQ Corp.

    3,779       157,169  

Diversified Consumer Services — 0.5%

               

Chegg, Inc. (a)

    1,449       3,130  

Duolingo, Inc. (a)

    611       129,880  
              133,010  

Diversified Telecommunication Services — 0.0%(b)

               

Bandwidth, Inc. - Class A (a)

    382       6,555  

Electronic Equipment, Instruments & Components — 2.7%

               

Cognex Corp.

    2,432       98,204  

Coherent Corp. (a)

    2,161       168,450  

Evolv Technologies Holdings, Inc. (a)

    2,212       8,715  

IPG Photonics Corp. (a)

    647       44,235  

Littelfuse, Inc.

    352       95,815  

Zebra Technologies Corp. - Class A (a)

    729       251,782  
              667,201  

Energy Equipment & Services — 0.2%

               

Core Laboratories, Inc.

    664       12,988  

Oceaneering International, Inc. (a)

    1,436       38,757  
              51,745  

Entertainment — 3.5%

               

Live Nation Entertainment, Inc. (a)

    3,252       317,623  

Roku, Inc. (a)

    1,938       131,338  

Take-Two Interactive Software, Inc. (a)

    2,479       400,879  
              849,840  

Financial Services — 2.7%

               

Euronet Worldwide, Inc. (a)

    649       70,033  

Jack Henry & Associates, Inc.

    1,032       178,567  

Marqeta, Inc. - Class A (a)

    7,336       39,101  

Toast, Inc. - Class A (a)

    7,860       195,400  

Walker & Dunlop, Inc.

    479       51,282  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Financial Services (continued)

               

WEX, Inc. (a)

    596     $ 113,848  
              648,231  

Food Products — 2.0%

               

Darling Ingredients, Inc. (a)

    2,264       94,477  

Freshpet, Inc. (a)

    687       93,432  

McCormick & Co., Inc.

    3,767       301,473  
              489,382  

Ground Transportation — 2.1%

               

Landstar System, Inc.

    507       92,558  

RXO, Inc. (a)

    1,666       47,414  

U-Haul Holding Co. (a)

    2,686       190,760  

XPO, Inc. (a)

    1,648       188,894  
              519,626  

Health Care Equipment & Supplies — 3.1%

               

Globus Medical, Inc. - Class A (a)

    1,912       139,003  

Inari Medical, Inc. (a)

    823       35,578  

Insulet Corp. (a)

    992       201,148  

Masimo Corp. (a)

    754       88,610  

QuidelOrtho Corp. (a)

    949       40,095  

Solventum Corp. (a)

    2,445       156,749  

STAAR Surgical Co. (a)

    697       23,064  

TransMedics Group, Inc. (a)

    468       78,652  
              762,899  

Health Care Providers & Services — 1.8%

               

Fulgent Genetics, Inc. (a)

    426       9,610  

Guardant Health, Inc. (a)

    1,732       44,305  

HealthEquity, Inc. (a)

    1,234       98,177  

Progyny, Inc. (a)

    1,350       31,711  

Quest Diagnostics, Inc.

    1,572       246,757  
              430,560  

Health Care Technology — 0.6%

               

Doximity, Inc. - Class A (a)

    2,626       96,584  

GoodRx Holdings, Inc. - Class A (a)

    5,312       41,965  

 

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Health Care Technology (continued)

               

Teladoc, Inc. (a)

    2,401     $ 17,215  
              155,764  

Hotels, Restaurants & Leisure — 4.0%

               

Cava Group, Inc. (a)

    1,616       184,289  

Dave & Buster’s Entertainment, Inc. (a)

    561       17,582  

Hyatt Hotels Corp. - Class A

    1,433       217,701  

Planet Fitness, Inc. - Class A (a)

    1,241       100,782  

Sweetgreen, Inc. - Class A (a)

    1,606       50,766  

Texas Roadhouse, Inc.

    946       159,637  

Vail Resorts, Inc.

    535       97,209  

Wingstop, Inc.

    417       161,008  
              988,974  

Household Durables — 2.3%

               

Dream Finders Homes, Inc. - Class A (a)

    1,328       44,422  

iRobot Corp. (a)

    408       2,986  

Meritage Homes Corp.

    515       102,006  

NVR, Inc. (a)

    46       421,933  
              571,347  

Household Products — 0.2%

               

Spectrum Brands Holdings, Inc.

    414       39,048  

Industrial REITs — 0.4%

               

STAG Industrial, Inc.

    2,579       104,656  

Insurance — 2.1%

               

Kinsale Capital Group, Inc.

    329       161,569  

Lemonade, Inc. (a)

    999       18,511  

Markel Group, Inc. (a)

    185       296,126  

Safety Insurance Group, Inc.

    212       18,772  

Trupanion, Inc. (a)

    594       27,164  
              522,142  

Interactive Media & Services — 1.9%

               

Bumble, Inc. - Class A (a)

    1,786       11,984  

Match Group, Inc. (a)

    3,572       132,914  

Pinterest, Inc. - Class A (a)

    9,670       309,827  
              454,725  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

25

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

IT Services — 5.3%

               

Cloudflare, Inc. - Class A (a)

    4,810     $ 395,093  

DigitalOcean Holdings, Inc. (a)

    1,292       48,360  

EPAM Systems, Inc. (a)

    786       157,797  

Fastly, Inc. - Class A (a)

    1,936       11,655  

GoDaddy, Inc. - Class A (a)

    1,997       334,318  

Okta, Inc. (a)

    2,381       187,456  

Twilio, Inc. - Class A (a)

    2,425       152,193  
              1,286,872  

Leisure Products — 0.6%

               

Hasbro, Inc.

    1,972       134,412  

Life Sciences Tools & Services — 0.5%

               

Mesa Laboratories, Inc.

    77       10,294  

Repligen Corp. (a)

    792       119,537  
              129,831  

Machinery — 3.7%

               

Chart Industries, Inc. (a)

    595       72,828  

Middleby Corp. (a)

    761       107,012  

Proto Labs, Inc. (a)

    360       11,009  

RBC Bearings, Inc. (a)

    412       122,714  

Tennant Co.

    272       26,566  

Toro Co.

    1,471       136,215  

Westinghouse Air Brake Technologies Corp.

    2,497       423,416  
              899,760  

Media — 0.6%

               

Boston Omaha Corp. - Class A (a)

    446       6,374  

New York Times Co. - Class A

    2,326       127,767  

PubMatic, Inc. - Class A (a)

    707       11,029  
              145,170  

Oil, Gas & Consumable Fuels — 0.9%

               

Clean Energy Fuels Corp. (a)

    3,161       9,768  

EQT Corp.

    6,043       202,501  

Excelerate Energy, Inc. - Class A

    357       6,508  

Vitesse Energy, Inc.

    419       10,835  
              229,612  

 

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Passenger Airlines — 0.3%

               

Alaska Air Group, Inc. (a)

    1,796     $ 64,854  

Hawaiian Holdings, Inc. (a)

    735       12,730  
              77,584  

Personal Care Products — 0.5%

               

elf Beauty, Inc. (a)

    793       118,783  

Pharmaceuticals — 0.8%

               

Viatris, Inc.

    16,854     203,596  

Professional Services — 3.7%

               

Broadridge Financial Solutions, Inc.

    1,675       356,540  

NV5 Global, Inc. (a)

    229       22,014  

Paycom Software, Inc.

    803       130,712  

Robert Half, Inc.

    1,460       91,498  

SS&C Technologies Holdings, Inc.

    3,503       263,040  

TaskUS, Inc. - Class A (a)

    1,246       16,572  

Upwork, Inc. (a)

    1,884       18,162  
              898,538  

Real Estate Management & Development — 0.8%

               

Redfin Corp. (a)

    1,692       15,803  

Zillow Group, Inc. - Class C (a)

    3,321       183,652  
              199,455  

Retail REITs — 0.1%

               

Retail Opportunity Investments Corp.

    1,805       27,598  

Semiconductors & Semiconductor Equipment — 4.8%

               

Cirrus Logic, Inc. (a)

    756       110,142  

Enphase Energy, Inc. (a)

    1,873       226,708  

First Solar, Inc. (a)

    1,515       344,465  

Impinj, Inc. (a)

    393       66,063  

Silicon Laboratories, Inc. (a)

    453       53,622  

Skyworks Solutions, Inc.

    2,271       248,879  

Universal Display Corp.

    672       130,180  
              1,180,059  

Software — 11.7%

               

Alarm.com Holdings, Inc. (a)

    710       42,273  

Appfolio, Inc. - Class A (a)

    514       119,243  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

27

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Continued)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Software (continued)

               

Appian Corp. - Class A (a)

    1,025     $ 33,251  

Asana, Inc. - Class A (a)

    3,231       45,428  

Blackbaud, Inc. (a)

    715       59,774  

BlackLine, Inc. (a)

    997       49,401  

Box, Inc. - Class A (a)

    2,052       66,895  

Braze, Inc. - Class A (a)

    1,440       64,483  

Confluent, Inc. - Class A (a)

    4,174       88,572  

DocuSign, Inc. (a)

    2,899       171,650  

Gitlab, Inc. - Class A (a)

    2,251       106,697  

HubSpot, Inc. (a)

    722       360,329  

Manhattan Associates, Inc. (a)

    871       230,319  

Nutanix, Inc. - Class A (a)

    3,493       220,723  

Pegasystems, Inc.

    1,204       85,340  

Q2 Holdings, Inc. (a)

    852       63,227  

Samsara, Inc. - Class A (a)

    7,797       320,223  

Smartsheet, Inc. - Class A (a)

    1,959       95,599  

Tyler Technologies, Inc. (a)

    601       353,310  

UiPath, Inc. - Class A (a)

    8,108       104,431  

Unity Software, Inc. (a)

    5,134       84,044  

Varonis Systems, Inc. (a)

    1,579       89,371  

Zuora, Inc. - Class A (a)

    2,098       18,441  
              2,873,024  

Specialty Retail — 7.7%

               

Camping World Holdings, Inc. - Class A

    640       14,042  

CarMax, Inc. (a)

    2,227       188,293  

Carvana Co. (a)

    1,657       249,577  

Chewy, Inc. - Class A (a)

    6,171       176,182  

Designer Brands, Inc. - Class A

    818       5,432  

Five Below, Inc. (a)

    780       58,835  

GameStop Corp. - Class A (a)

    6,035       141,340  

RH (a)

    263       66,723  

Sleep Number Corp. (a)

    318       4,837  

Stitch Fix, Inc. - Class A (a)

    1,731       6,543  

Tractor Supply Co.

    1,526       408,281  

Ulta Beauty, Inc. (a)

    676       238,520  

Wayfair, Inc. - Class A (a)

    1,728       73,526  

Williams-Sonoma, Inc.

    1,821       244,615  

 

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

MOTLEY FOOL next index ETF

Schedule of Investments (Concluded)

AUGUST 31, 2024

 

 

 

Shares

   

Value

 
                 

COMMON STOCKS (continued)

               

Specialty Retail (continued)

               

Winmark Corp.

    52     $ 18,751  
              1,895,497  

Technology Hardware, Storage & Peripherals — 1.0%

               

Pure Storage, Inc. - Class A (a)

    4,604       236,139  

Textiles, Apparel & Luxury Goods — 0.8%

               

Skechers USA, Inc. - Class A (a)

    2,161       147,985  

Under Armour, Inc. - Class A (a)

    6,103       46,932  
              194,917  

Trading Companies & Distributors — 1.5%

               

Watsco, Inc.

    527       250,546  

WESCO International, Inc.

    720       119,074  
              369,620  

TOTAL COMMON STOCKS (Cost $24,624,583)

            24,426,145  
                 

TOTAL INVESTMENTS — 99.7% (Cost $24,624,583)

            24,426,145  

Other Assets in Excess of Liabilities — 0.3%

            88,426  

TOTAL NET ASSETS — 100.0%

          $ 24,514,571  

 

Percentages are stated as a percent of net assets.

 

The Global Industry Classification Standard (“GICS®”) was developed by and/or is the exclusive property of MSCI, Inc. (“MSCI”) and Standard & Poor’s Financial Services LLC (“S&P”). GICS® is a service mark of MSCI and S&P and has been licensed for use by U.S. Bank Global Fund Services.

 

REIT — Real Estate Investment Trust

 

(a)

Non-income producing security.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of these financial statements.

 

 

29

 

 

Motley Fool ETFs

Statements of Assets and Liabilities

AUGUST 31, 2024

 

 

 

Motley
Fool Global
Opportunities
ETF

   

Motley Fool
Mid-Cap
Growth ETF

   

Motley
Fool 100
Index ETF

   

Motley Fool
Small-Cap
Growth ETF

 

ASSETS

                               

Investments in securities of unaffiliated issurers, at value (cost $260,227,204, $126,514,287, $624,698,031 and $68,204,891 respectively)^

  $ 426,488,703     $ 199,845,433     $ 967,166,341     $ 77,773,419  

Investments purchased with proceeds from securities lending collateral (cost $34,052,359, $28,802,749, $10,257,974 and $21,476,806 respectively)

    34,052,359       28,802,749       10,257,974       21,476,806  

Cash and cash equivalents

    13,848,001       3,330,333       2,494,703       507,825  

Receivables for:

                               

Dividends and tax reclaims

    436,106       106,527       608,889       23,412  

Total assets

    474,825,169       232,085,042       980,527,907       99,781,462  
                                 

LIABILITIES

                               

Payables for:

                               

Securities lending collateral (see Note 7)

    34,052,359       28,802,749       10,257,974       21,476,806  

Advisory fees

    310,338       143,321       385,095       55,976  

Total liabilities

    34,362,697       28,946,070       10,643,069       21,532,782  

Net assets

  $ 440,462,472     $ 203,138,972     $ 969,884,838     $ 78,248,680  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 14,044     $ 7,118     $ 17,625     $ 2,400  

Paid-in capital

    221,243,963       100,813,106       633,389,138       85,998,034  

Total distributable earnings/(losses)

    219,204,465       102,318,748       336,478,075       (7,751,754 )

Net assets

  $ 440,462,472     $ 203,138,972     $ 969,884,838     $ 78,248,680  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    14,043,873       7,117,511       17,625,000       2,400,000  

Net asset value, price per share

  $ 31.36     $ 28.54     $ 55.03     $ 32.60  
                                 

^ Includes market value of securities on loan

  $ 33,637,720     $ 28,330,814     $ 10,202,881     $ 20,968,235  

 

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

Motley Fool ETFs

Statements of Assets and Liabilities (concluded)

AUGUST 31, 2024

 

 

 

Motley Fool
Capital
Efficiency 100
Index ETF

   

Motley
Fool Next
Index ETF

 

ASSETS

               

Investments in securities of unaffiliated issurers, at value (cost $36,977,146 and $24,624,583 respectively)^

  $ 47,198,973     $ 24,426,145  

Cash and cash equivalents

    113,021       84,560  

Receivables for:

               

Dividends and tax reclaims

    33,546       14,317  

Total assets

    47,345,540       24,525,022  
                 

LIABILITIES

               

Payables for:

               

Advisory fees

    19,202       10,451  

Total liabilities

    19,202       10,451  

Net assets

  $ 47,326,338     $ 24,514,571  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 1,850     $ 1,350  

Paid-in capital

    37,448,697       26,530,059  

Total distributable earnings/(losses)

    9,875,791       (2,016,838 )

Net assets

  $ 47,326,338     $ 24,514,571  
                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    1,850,000       1,350,000  

Net asset value, price per share

  $ 25.58     $ 18.16  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

31

 

 

Motley Fool ETFs

Statements of Operations

FOR THE YEAR ENDED AUGUST 31, 2024

 

 

 

Motley
Fool Global
Opportunities
ETF

   

Motley Fool
Mid-Cap
Growth ETF

   

Motley
Fool 100
Index ETF

   

Motley Fool
Small-Cap
Growth ETF

 

INVESTMENT INCOME

                               

Dividends

  $ 6,149,134     $ 1,748,100     $ 5,449,722     $ 506,939  

Less foreign taxes withheld

    (397,309 )                  

Securities lending income

    56,860       42,484       28,436       34,158  

Total investment income

    5,808,685       1,790,584       5,478,158       541,097  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    3,631,316       1,633,412       3,573,161       665,835  

Total expenses

    3,631,316       1,633,412       3,573,161       665,835  

Net investment income/(loss)

    2,177,369       157,172       1,904,997       (124,738 )
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from:

                               

Investments

    73,740,037       30,724,805       5,115,735       (11,531,737 )

Foreign currency transactions

    (659,548 )                  

Redemption in-kind

    28,177,786       13,067,346       30,127,251       4,418,984  

Net change in unrealized appreciation/(depreciation) on:

                               

Investments

    (21,782,537 )     (10,270,372 )     169,139,961       16,332,435  

Foreign currency translation

    62,086                    

Net realized and unrealized gain

    79,537,824       33,521,779       204,382,947       9,219,682  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 81,715,193     $ 33,678,951     $ 206,287,944     $ 9,094,944  

 

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

Motley Fool ETFs

Statements of Operations (CONCLUDED)

FOR THE YEAR ENDED AUGUST 31, 2024

 

 

 

Motley Fool
Capital
Efficiency 100
Index ETF

   

Motley
Fool NEXT
INDEX ETF

 

INVESTMENT INCOME

               

Dividends

  $ 315,068     $ 162,605  

Total investment income

    315,068       162,605  
                 

EXPENSES

               

Advisory fees (Note 3)

    170,046       129,230  

Total expenses

    170,046       129,230  

Net investment income/(loss)

    145,022       33,375  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from:

               

Investments

    743,150       (121,916 )

Redemption in-kind

    1,705,327       408,441  

Net change in unrealized appreciation/(depreciation) on:

               

Investments

    7,226,975       3,254,754  

Net realized and unrealized gain

    9,675,452       3,541,279  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 9,820,474     $ 3,574,654  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

33

 

 

MOTLEY FOOL Global Opportunities ETF
Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS

               

Net investment income/(loss)

  $ 2,177,369     $ 1,883,189  

Net realized gain from investments and foreign currency transactions

    101,258,275       20,808,505  

Net change in unrealized appreciation/(depreciation) on investments, foreign currency translation and assets and liabilities denominated in foreign currencies

    (21,720,451 )     21,314,343  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    81,715,193       44,006,037  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total dividends and distributions to shareholders

    (23,006,101 )     (2,705,256 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    7,701,448       1,935,173  

Shares redeemed

    (55,914,052 )     (46,922,013 )

Net decrease in net assets from capital share transactions

    (48,212,604 )     (44,986,840 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    10,496,488       (3,686,059 )
                 

NET ASSETS:

               

Beginning of period

  $ 429,965,984     $ 433,652,043  

End of period

  $ 440,462,472     $ 429,965,984  
                 

SHARES TRANSACTIONS:

               

Shares sold

    275,000       75,000  

Shares redeemed

    (1,950,000 )     (1,875,000 )

Net increase/(decrease) in shares outstanding

    (1,675,000 )     (1,800,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

MOTLEY FOOL Mid-Cap Growth ETF
Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS

               

Net investment income/(loss)

  $ 157,172     $ 569,856  

Net realized gain from investments and foreign currency transactions

    43,792,151       17,160,148  

Net change in unrealized depreciation on investments, foreign currency translation, and assets and liabilities denominated in foreign currencies

    (10,270,372 )     (2,432,722 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    33,678,951       15,297,282  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total dividends and distributions to shareholders

    (4,987,801 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    8,257,740          

Shares redeemed

    (28,155,655 )     (29,995,560 )

Net decrease in net assets from capital share transactions

    (19,897,915 )     (29,995,560 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    8,793,235       (14,698,278 )
                 

NET ASSETS:

               

Beginning of period

  $ 194,345,737     $ 209,044,015  

End of period

  $ 203,138,972     $ 194,345,737  
                 

SHARES TRANSACTIONS:

               

Shares sold

    300,000        

Shares redeemed

    (1,075,000 )     (1,325,000 )

Net increase/(decrease) in shares outstanding

    (775,000 )     (1,325,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

 

35

 

 

Motley Fool 100 Index ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS:

               

Net investment income

  $ 1,904,997     $ 1,549,001  

Net realized gain from investments

    35,242,986       10,767,400  

Net change in unrealized appreciation/(depreciation) on investments

    169,139,961       78,108,704  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    206,287,944       90,425,105  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (846,637 )     (1,701,998 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    255,012,722       76,561,270  

Shares redeemed

    (40,092,155 )     (33,030,150 )

Net increase/(decrease) in net assets from capital share transactions

    214,920,567       43,531,120  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    420,361,874       132,254,227  
                 

NET ASSETS:

               

Beginning of period

    549,522,964       417,268,737  

End of period

  $ 969,884,838     $ 549,522,964  
                 

SHARES TRANSACTIONS:

               

Shares sold

    5,225,000       1,950,000  

Shares redeemed

    (825,000 )     (1,000,000 )

Net increase/(decrease) in shares outstanding

    4,400,000       950,000  

 

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

Motley Fool Small-Cap Growth ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS:

               

Net investment income/(loss)

  $ (124,738 )   $ 102,230  

Net realized gain/(loss) from investments

    (7,112,753 )     (3,442,931 )

Net change in unrealized appreciation/(depreciation) on investments

    16,332,435       13,349,768  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    9,094,944       10,009,067  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (2,037 )     (227,522 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    15,776,198       691,953  

Shares redeemed

    (19,475,617 )     (15,668,161 )

Net increase/(decrease) in net assets from capital share transactions

    (3,699,419 )     (14,976,208 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    5,393,488       (5,194,663 )
                 

NET ASSETS:

               

Beginning of period

    72,855,192       78,049,855  

End of period

  $ 78,248,680     $ 72,855,192  
                 

SHARES TRANSACTIONS:

               

Shares sold

    550,000       25,000  

Shares redeemed

    (650,000 )     (625,000 )

Net increase/(decrease) in shares outstanding

    (100,000 )     (600,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

 

37

 

 

MOTLEY FOOL CAPITAL EFFICIENCY 100 INDEX ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS:

               

Net investment income

  $ 145,022     $ 107,613  

Net realized gain/(loss) from investments

    2,448,477       (527,598 )

Net change in unrealized appreciation/(depreciation) on investments

    7,226,975       4,912,480  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    9,820,474       4,492,495  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (109,818 )     (76,457 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    20,561,140       474,105  

Shares redeemed

    (5,405,930 )     (3,183,860 )

Net increase/(decrease) in net assets from capital share transactions

    15,155,210       (2,709,755 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    24,865,866       1,706,283  
                 

NET ASSETS:

               

Beginning of period

    22,460,472       20,754,189  

End of period

  $ 47,326,338     $ 22,460,472  
                 

SHARES TRANSACTIONS:

               

Shares sold

    900,000       25,000  

Shares redeemed

    (225,000 )     (200,000 )

Net increase/(decrease) in shares outstanding

    675,000       (175,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

MOTLEY FOOL NEXT INDEX ETF

Statements of Changes in Net Assets

 

 

 

FOR THE
YEAR ENDED
AUGUST 31,
2024

   

FOR THE
YEAR ENDED
AUGUST 31,
2023

 

OPERATIONS:

               

Net investment income

  $ 33,375     $ 44,071  

Net realized gain/(loss) from investments

    286,525       (1,362,880 )

Net change in unrealized appreciation/(depreciation) on investments

    3,254,754       2,748,952  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,574,654       1,430,143  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (46,367 )     (64,299 )
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    420,680        

Shares redeemed

    (8,616,947 )     (4,861,270 )

Net increase/(decrease) in net assets from capital share transactions

    (8,196,267 )     (4,861,270 )

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    (4,667,980 )     (3,495,426 )
                 

NET ASSETS:

               

Beginning of period

    29,182,551       32,677,977  

End of period

  $ 24,514,571     $ 29,182,551  
                 

SHARES TRANSACTIONS:

               

Shares sold

    25,000        

Shares redeemed

    (525,000 )     (325,000 )

Net increase/(decrease) in shares outstanding

    (500,000 )     (325,000 )

 

 

The accompanying notes are an integral part of these financial statements.

 

 

39

 

 

MOTLEY FOOL Global Opportunities ETF
Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

YEARS ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 27.35     $ 24.75     $ 37.03     $ 30.17     $ 25.09  

Net investment income/(loss)(1)

    0.15       0.11       0.30       (0.05 )     *

Net realized and unrealized gain/(loss) from investments

    5.36       2.65       (10.00 )     9.03       6.21  

Net increase/(decrease) in net assets resulting from operations

    5.51       2.76       (9.70 )     8.98       6.21  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.10 )     (0.06 )     (0.77 )           (0.04 )

Net realized capital gains

    (1.40 )     (0.10 )     (1.81 )     (2.12 )     (1.09 )

Total dividends and distributions to shareholders

    (1.50 )     (0.16 )     (2.58 )     (2.12 )     (1.13 )

Net asset value, end of period

  $ 31.36     $ 27.35     $ 24.75     $ 37.03     $ 30.17  

Market value, end of period

  $ 31.30     $ 27.32     $ 24.74     $     $  

Total investment return/(loss) on net asset value (2)

    21.00 %     11.24 %     (27.61 )%     30.86 %     25.64 %

Total investment return/(loss) on market value (3)

    20.86 %     11.19 %     (27.65 )%     %     %

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets, end of period (000’s omitted)

  $ 440,462     $ 429,966     $ 433,652     $ 181,509     $ 122,406  

Ratio of expenses to average net assets

    0.85 %     0.85 %     0.87 %     0.95 %     0.95 %

Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.85 %     0.85 %     0.88 %     0.98 %     1.00 %

Ratio of net investment income/(loss) to average net assets

    0.51 %     0.45 %     1.08 %     (0.16 )%     (0.01 )%

Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.51 %     0.45 %     1.07 %     (0.19 )%     (0.06 )%

Portfolio turnover rate

    38 %     4 %     14 %     12 %     10 %

 

*

Amount represents less than $0.005 per share.

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

MOTLEY FOOL Mid-Cap Growth ETF
Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

YEARS ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 24.62     $ 22.68     $ 33.20     $ 29.79     $ 24.48  

Net investment income/(loss)(1)

    0.02       0.07       (0.04 )     (0.09 )     (0.02 )

Net realized and unrealized gain/(loss) from investments

    4.54       1.87       (8.38 )     6.90       6.79  

Net increase/(decrease) in net assets resulting from operations

    4.56       1.94       (8.42 )     6.81       6.77  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.06 )                        

Net realized capital gains

    (0.58 )           (2.10 )     (3.40 )     (1.46 )

Total dividends and distributions to shareholders

    (0.64 )           (2.10 )     (3.40 )     (1.46 )

Net asset value, end of period

  $ 28.54     $ 24.62     $ 22.68     $ 33.20     $ 29.79  

Market value, end of period

  $ 28.52     $ 24.58     $ 22.62     $     $  

Total investment return/(loss) on net asset value(2)

    18.95 %     8.58 %     (26.66 )%     24.38 %     28.77 %

Total investment return/(loss) on market value(3)

    19.06 %     8.65 %     (26.84 )%     %     %

RATIOS/SUPPLEMENTAL DATA

                                       

Net assets, end of period (000’s omitted)

  $ 203,139     $ 194,346     $ 209,044     $ 54,460     $ 39,488  

Ratio of expenses to average net assets

    0.85 %     0.85 %     0.90 %     0.95 %     0.95 %

Ratio of expenses to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.85 %     0.85 %     0.88 %     0.98 %     1.00 %

Ratio of net investment income/(loss) to average net assets

    0.08 %     0.29 %     (0.17 )%     (0.30 )%     (0.06 )%

Ratio of net investment income/(loss) to average net assets (before waivers and reimbursement of expenses and/or recapture of previously waived fees)

    0.08 %     0.29 %     (0.15 )%     (0.33 )%     (0.11 )%

Portfolio turnover rate

    31 %     18 %     2 %     15 %     14 %

 

*

Amount represents less than $0.005 per share.

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

The accompanying notes are an integral part of these financial statements.

 

 

41

 

 

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.

 

 

 

YEARS ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 41.55     $ 33.99     $ 42.16     $ 33.67     $ 22.46  

Net investment income/(loss)(1)

    0.13       0.13       0.08       0.05       0.11  

Net realized and unrealized gain/(loss) from investments

    13.41       7.57       (8.15 )     8.59       11.23  

Net increase/(decrease) in net assets resulting from operations

    13.54       7.70       (8.07 )     8.64       11.34  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.06 )     (0.14 )     (0.02 )     (0.10 )     (0.13 )

Net realized capital gains

                (0.08 )     (0.05 )      

Total dividends and distributions to shareholders

    (0.06 )     (0.14 )     (0.10 )     (0.15 )     (0.13 )

Net asset value, end of period

  $ 55.03     $ 41.55     $ 33.99     $ 42.16     $ 33.67  

Market value, end of period

  $ 54.97     $ 41.53     $ 34.00     $ 42.20     $ 33.66  

Total investment return/(loss) on net asset value(2)

    32.61 %     22.71 %     (19.18 )%     25.74 %     50.67 %

Total investment return/(loss) on market price(3)

    32.54 %     22.63 %     (19.24 )%     25.91 %     50.89 %

RATIO/SUPPLEMENTAL DATA

                                       

Net assets, end of period (000’s omitted)

  $ 969,885     $ 549,523     $ 417,269     $ 528,011     $ 337,547  

Ratio of expenses to average net assets

    0.50 %     0.50 %     0.50 %     0.50 %     0.50 %

Ratio of net investment income/(loss) to average net assets

    0.27 %     0.37 %     0.20 %     0.15 %     0.43 %

Portfolio turnover rate

    24 %     6 %     15 %     23 %     26 %

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

MOTLEY FOOL 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 respective periods. This information has been derived from information provided in the financial statements.

 

 

 

YEARS ENDED
AUGUST 31,

 

 

 

2024

   

2023

   

2022

   

2021

   

2020

 

PER SHARE OPERATING PERFORMANCE

                                       

Net asset value, beginning of period

  $ 29.14     $ 25.18     $ 40.73     $ 32.59     $ 23.33  

Net investment income/(loss)(1)

    (0.04 )     0.04       (0.15 )     (0.19 )     (0.07 )

Net realized and unrealized gain/(loss) from investments

    3.50       4.00       (14.53 )     10.48       9.67  

Net increase/(decrease) in net assets resulting from operations

    3.46       4.04       (14.68 )     10.29       9.60  

Dividends and distributions to shareholders from:

                                       

Net realized capital gains

          (0.08 )     (0.87 )     (2.15 )     (0.34 )

Total dividends and distributions to shareholders

          (0.08 )     (0.87 )     (2.15 )     (0.34 )

Net asset value, end of period

  $ 32.60     $ 29.14     $ 25.18     $ 40.73     $ 32.59  

Market value, end of period

  $ 32.60     $ 29.17     $ 25.18     $ 40.74     $ 32.68  

Total investment return/(loss) on net asset value(2)

    11.87 %     16.13 %     (36.66 )%     32.00 %     41.58 %

Total investment return/(loss) on market price(3)

    11.77 %     16.21 %     (36.65 )%     31.54 %     41.88 %

RATIO/SUPPLEMENTAL DATA

                                       

Net assets, end of period (000’s omitted)

  $ 78,249     $ 72,855     $ 78,050     $ 189,382     $ 106,745  

Ratio of expenses to average net assets

    0.85 %     0.85 %     0.85 %     0.85 %     0.85 %

Ratio of net investment income/(loss) to average net assets

    (0.16 )%     0.15 %     (0.46 )%     (0.51 )%     (0.29 )%

Portfolio turnover rate

    30 %     62 %     11 %     21 %     27 %

 

*

Amount represents less than $0.005 per share.

 

(1)

Per share data calculated using average shares outstanding method.

 

(2)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(3)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

The accompanying notes are an integral part of these financial statements.

 

 

43

 

 

Motley Fool CAPITAL EFFICIENCY 100 INDEX ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

For the
year Ended
august 31,

   

For the
year Ended
august 31,

   

For the
Period Ended
august 31,

 

 

 

2024

   

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

                       

Net asset value, beginning of period

  $ 19.12     $ 15.37     $ 20.00  

Net investment income/(loss)(2)

    0.10       0.09       0.05  

Net realized and unrealized gain/(loss) from investments

    6.45       3.72       (4.68 )

Net increase/(decrease) in net assets resulting from operations

    6.55       3.81       (4.63 )

Dividends and distributions to shareholders from:

                       

Net investment income

    (0.09 )     (0.06 )      

Total dividends and distributions to shareholders

    (0.09 )     (0.06 )      

Net asset value, end of period

  $ 25.58     $ 19.12     $ 15.37  

Market value, end of period

  $ 25.61     $ 19.15     $ 15.38  

Total investment return/(loss) on net asset value(3)

    34.44 %     24.81 %     (23.13 )%(5)

Total investment return/(loss) on market price(4)

    34.34 %     24.99 %     (23.09 )%(5)

RATIO/SUPPLEMENTAL DATA

    .                  

Net assets, end of period (000’s omitted)

  $ 47,326     $ 22,460     $ 20,754  

Ratio of expenses to average net assets

    0.50 %     0.50 %     0.50 %(6)

Ratio of net investment income/(loss) to average net assets

    0.43 %     0.53 %     0.50 %(6)

Portfolio turnover rate

    35 %     25 %     17 %(5)

 

(1)

Inception date of the Fund was December 30, 2021.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

44

 

 

 

MOTLEY FOOL NEXT INDEX ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

For the
year Ended
august 31,

   

For the
year Ended
august 31,

   

For the
period Ended
august 31,

 

 

 

2024

   

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

                       

Net asset value, beginning of period

  $ 15.77     $ 15.02     $ 20.00  

Net investment income/(loss)(2)

    0.02       0.02       0.03  

Net realized and unrealized gain/(loss) from investments

    2.40       0.76       (5.01 )

Net increase/(decrease) in net assets resulting from operations

    2.42       0.78       (4.98 )

Dividends and distributions to shareholders from:

                       

Net investment income

    (0.03 )     (0.03 )      

Total dividends and distributions to shareholders

    (0.03 )     (0.03 )      

Net asset value, end of period

  $ 18.16     $ 15.77     $ 15.02  

Market value, end of period

  $ 18.15     $ 15.78     $ 15.01  

Total investment return/(loss) on net asset value(3)

    15.31 %     5.21 %     (24.88 )%(5)

Total investment return/(loss) on market price(4)

    15.18 %     5.39 %     (24.97 )%(5)

RATIO/SUPPLEMENTAL DATA

                       

Net assets, end of period (000’s omitted)

  $ 24,515     $ 29,183     $ 32,678  

Ratio of expenses to average net assets

    0.50 %     0.50 %     0.50 %(6)

Ratio of net investment income/(loss) to average net assets

    0.13 %     0.15 %     0.26 %(6)

Portfolio turnover rate

    18 %     27 %     11 %(5)

 

(1)

Inception date of the Fund was December 30, 2021.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

45

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements

AUGUST 31, 2024

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Motley Fool Global Opportunities ETF (“Global Opportunities Fund”), the Motley Fool Mid-Cap Growth ETF (“Mid-Cap Growth Fund”), the Motley Fool 100 Index ETF (the “Fool 100 Fund”), the Motley Fool Small-Cap Growth ETF (“Small-Cap Growth Fund”), the Motley Fool Capital Efficiency 100 Index ETF (“Capital Efficiency Fund”) and the Motley Fool Next Index ETF (“Next Fund”) (each a “Fund” and together the “Funds”). The Global Opportunities Fund, Mid-Cap Growth Fund, Fool 100 Fund, Small-Cap Growth Fund, Capital Efficiency Fund and Next Fund commenced investment operations on June 17, 2014, June 17, 2014, January 29, 2018, October 29, 2018, December 30, 2021 and December 30, 2021, respectively.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of each Fund is to achieve long-term capital appreciation. The Global Opportunities Fund pursues its objective by investing primarily in common stocks of United States companies and of companies that are organized under the laws of other countries around the world. The Mid-Cap Growth Fund pursues its objective by investing primarily in common stocks of companies that are organized in the United States and that are engaged in a broad range of industries.

 

The investment objective of the Fool 100 Fund is to achieve investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool 100 Index (the “Fool 100 Index”). The Fool 100 Index was developed by The Motley Fool, LLC (“The Motley Fool”), an affiliate of Motley Fool Asset Management, LLC (the “Adviser”), in 2017 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters or the highest-rated stocks in Fool IQ, the company’s analyst opinion database. Every company include in the Fool 100 Index is incorporated and listed in the U.S. The investment objective of the Small-Cap Growth Fund is to achieve long-term capital appreciation.

 

The investment objective of the Capital Efficiency Fund is to seek investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool Capital Efficiency 100 Index (the “Capital Efficiency 100 Index”). The Capital Efficiency 100 Index was developed by The Motley Fool in 2021 and is a proprietary, rules-based index designed to track the performance of the highest scoring stocks of U.S. companies, measured by a company’s capital efficiency, that have been recommended by The Motley Fool’s analysts and newsletters, and that also meet certain liquidity requirements. Capital efficiency is a measure of how a business turns its investments into revenue and profit and it provides insight into the company’s return on invested capital. Every company included in the Capital Efficiency 100 Index is incorporated and listed in the U.S. The investment objective of the Next Fund is to seek investment results that correspond (before fees and expenses) generally to the total return performance of the Motley Fool Next Index (the “Next Index”). The Next Index was developed by The Motley Fool in 2021 and is a proprietary, rules-based index designed to track the performance of the 100 largest, most liquid U.S. companies that have been recommended by The Motley Fool’s analysts and newsletters. Every company included in the Next Index is incorporated and listed in the U.S.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies”.

 

The end of the reporting period for the Funds is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions

 

46

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated the Adviser as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 – Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 – Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Funds’ investments carried at fair value:

 

GLOBAL OPPORTUNITIES FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 417,093,721     $     $ 0     $ 417,093,721  

Preferred Stocks

    9,394,982                   9,394,982  

Investments Purchased with Proceeds From Securities Lending Collateral (a)

                      34,052,359  

Total Assets

  $ 426,488,703     $     $     $ 460,541,062  

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

MID-CAP GROWTH FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 199,845,433     $     $     $ 199,845,433  

Investments Purchased with Proceeds From Securities Lending Collateral (a)

                        28,802,749  

Total Assets

  $ 199,845,433     $     $     $ 228,648,182  

 

FOOL 100 FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 967,153,065     $     $ 13,276     $ 967,166,341  

Investments Purchased with Proceeds From Securities Lending Collateral (a)

                        10,257,974  

Total Assets

  $ 967,153,065     $     $ 13,276     $ 977,424,315  

 

SMALL-CAP GROWTH FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 77,773,419     $     $     $ 77,773,419  

Investments Purchased with Proceeds From Securities Lending Collateral (a)

                      21,476,806  

Total Assets

  $ 77,773,419     $     $     $ 99,250,225  

 

CAPITAL EFFICIENCY FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 47,198,973     $     $     $ 47,198,973  

Total Assets

  $ 47,198,973     $     $     $ 47,198,973  

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

NEXT FUND

 

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Assets:

                               

Common Stocks

  $ 24,426,145     $     $     $ 24,426,145  

Total Assets

  $ 24,426,145     $     $     $ 24,426,145  

 

Refer to the Schedule of Investments for industry classifications.

 

(a)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts listed in the Schedule of Investments.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

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 and related disclosures are presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 transfers.

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses, including investment advisory fees, are accrued daily and taken into account for the purpose of determining the NAV of each Fund.

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Each Fund pays dividends from its net investment income and distributes any net capital gains that it realizes. Dividends and capital gains distributions are generally paid once a year and as required to comply with federal excise tax requirements. Distributions to shareholders are determined in accordance with tax regulations and recorded on the ex dividend date. Additionally, each Fund reports details of distribution-related transactions on quarterly account statements. You may not receive a separate confirmation statement for these transactions.

 

U.S. TAX STATUSNo provision is made for U.S. income taxes as it is the Funds’ intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

FOREIGN CURRENCY TRANSLATION — The books and records of the Funds are maintained in U.S. dollars as follows: (1) the values of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales and income are translated at the rates of exchange prevailing on the respective dates of such transactions. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement from foreign currency transactions are reported in the Statements of Operations for the current period. The Funds do not isolate the portion of gains and losses on investments.

 

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

2. Investment Policies and Practices

 

The sections below describe some of the different types of investments that may be made by the Funds and the investment practices in which the Funds may engage.

 

TYPES OF FIXED-INCOME SECURITIES — Each Fund may invest in bonds and other types of debt obligations of U.S. and foreign issuers. Fixed income securities purchased by a Fund may include, among others, bonds, notes, and debentures issued by corporations; debt securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities (“U.S. Government Securities”); municipal securities; mortgage-backed and asset-backed securities; and debt securities issued or guaranteed by foreign governments, their agencies, instrumentalities, or political subdivisions, or by government-owned, -controlled, or -sponsored entities, including central banks. These investments also include money market instruments and other types of obligations. Investors should recognize that, although securities ratings issued by S&P Global Ratings (“S&P”), a division of The McGraw-Hill Companies, Inc., and Moody’s Investors Services©, Inc. (“Moody’s”), provide a generally useful guide as to credit risks, they do not offer any criteria to evaluate interest rate risk. Changes in interest rate levels generally cause fluctuations in the prices of fixed-income securities and will, therefore, cause fluctuations in the NAV per share of a Fund. Subsequent to the purchase of a fixed-income security by a Fund, the ratings or credit quality of such security may deteriorate. Any such subsequent adverse changes in the rating or quality of a security held by a Fund would not require a Fund to sell the security.

 

REAL ESTATE INVESTMENT TRUSTS — Real estate investment trusts (“REITs”) are pooled investment vehicles that manage a portfolio of real estate or real estate-related loans to earn profits for their shareholders. REITs are generally classified as equity REITs, mortgage REITs, or a combination of equity and mortgage REITs. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of the borrower on any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property type, and are subject to heavy cash-flow dependency, default by borrowers, and self-liquidation. REITs must also meet certain requirements under the Internal Revenue Code of 1986, as amended (the “Code”), to avoid entity level tax and be eligible to pass through certain tax attributes of their income to shareholders. REITs are consequently subject to the risk of failing to meet these requirements for favorable tax treatment and of failing to maintain their exemptions from registration under the 1940 Act. REITs are also subject to the risks of changes in the Code, affecting their tax status.

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

REITs (especially mortgage REITs) are also subject to interest rate risks. When interest rates decline, the value of a REIT’s investment in fixed-rate obligations can be expected to rise. Conversely, when interest rates rise, the value of a REIT’s investment in fixed-rate obligations can be expected to decline. In contrast, as interest rates on adjustable-rate mortgage loans are reset periodically, yields on a REIT’s investments in such loans will gradually align themselves to reflect changes in market interest rates, causing the value of such investments to fluctuate less dramatically in response to interest rate fluctuations than would investments in fixed-rate obligations.

 

The management of a REIT may be subject to conflicts of interest with respect to the operation of the business of the REIT and may be involved in real estate activities competitive with the REIT. REITs may own properties through joint ventures or in other circumstances in which a REIT may not have control over its investments. REITs may use significant amounts of leverage.

 

REITs often do not provide complete tax information until after the end of the calendar year. Consequently, because of the delay, it may be necessary for a Fund, if invested in REITs, to request permission to extend the deadline for issuance of Forms 1099-DIV beyond January 31. Alternatively, amended Forms 1099-DIV may be sent.

 

FOREIGN SECURITIES — The Global Opportunities Fund and the Mid-Cap Growth Fund may invest in equity and fixed-income securities of foreign companies, including companies located in both developed and emerging-market countries. Investment in foreign securities may include the purchase of American Depositary Receipts (“ADRs”) and other depositary receipts (European Depositary Receipts (“EDRs”) and Global Depositary Receipts (“GDRs”)) that represent indirect interests in securities of foreign issuers. A significant portion of a Fund’s exposure to foreign investments may be composed of such investments. Investments in foreign securities are affected by risk factors generally not associated with investments in the securities of U.S. companies in the U.S. With respect to such securities, there may be more limited information publicly available concerning the issuer than would be the case with respect to domestic securities, foreign issuers may use different accounting standards, and foreign trading markets may not be as liquid as are U.S. markets. Foreign securities also involve such risks as currency risks, possible imposition of withholding or confiscatory taxes, possible currency transfer restrictions, expropriation or other adverse political or economic developments, and the difficulty of enforcing obligations in other countries. These risks may be greater in emerging-market countries and in less-developed countries.

 

The purchase of securities denominated in foreign currencies will subject the value of the Funds’ investments in those securities to fluctuations caused by changes in foreign exchange rates. To hedge against the effects of changes in foreign exchange rates, the Funds may enter into forward foreign currency exchange contracts (“forward contracts”). These contracts represent agreements to exchange an amount of currency at an agreed-upon future date and rate. The Funds will generally use forward contracts only to “lock in” the price in U.S. dollars of a foreign security that a Fund plans to purchase or to sell. In certain limited cases, it may use such contracts to hedge against an anticipated substantial decline in the price of a foreign currency against the U.S. dollar that would adversely affect the U.S. dollar value of foreign securities held by the Fund. Forward contracts will not be used in all cases and, in any event, cannot completely protect the Funds against all changes in the values of foreign securities resulting from fluctuations in foreign exchange rates. The Funds will not enter into a forward contract if, as a result, forward contracts would represent more than 20% of a Fund’s total assets. For hedging purposes, the Funds may also use options on foreign currencies, which expose the Funds to certain risks.

 

Some foreign securities are traded in the U.S. in the form of ADRs. ADRs are receipts typically issued by a U.S. bank or company evidencing ownership of the underlying securities of foreign issuers. EDRs and GDRs are receipts typically issued by foreign banks or trust companies, evidencing ownership of underlying securities issued by either a foreign or U.S. issuer. Generally, depositary receipts in registered form are designed for use in the U.S. and depositary receipts in bearer form are designed for use in securities markets outside the U.S. Depositary receipts may not necessarily be denominated in the same currency as the underlying securities into which they may be converted. Depositary receipts generally involve the same risks as other investments in foreign securities. However, holders of ADRs and other depositary receipts may not have all the legal rights of shareholders and may experience difficulty in receiving shareholder communications.

 

PARTICIPATORY NOTES — A participatory note, as used by a Fund, is an instrument used by investors to obtain exposure to an equity investment, including common stocks and warrants, in a local market where direct ownership is not permitted (or is impractical.) In countries where direct ownership by a foreign investor, such as a Fund, is not allowed by local law, such as Saudi Arabia, an investor may gain exposure to the market through a participatory note, which derives its value from a group of underlying equity securities. A participatory note is intended (disregarding the effect of any fees and expenses) to reflect the

 

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

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.

 

TEMPORARY INVESTMENTS — During periods of adverse market or economic conditions, a Fund may temporarily invest all or a substantial portion of its assets in high-quality, fixed-income securities, money market instruments, and shares of money market mutual funds, or it may hold cash. At such times, a Fund would not be pursuing its stated investment objective with its usual investment strategies. A Fund may also hold these investments for liquidity purposes. Fixed-income securities will be deemed to be of high quality if they are rated “A” or better by S&P or Moody’s or, if unrated, are determined to be of comparable quality by the Adviser. Money market instruments are high-quality, short-term fixed income obligations (which generally have remaining maturities of one year or less), and may include U.S. Government Securities, commercial paper, certificates of deposit and banker’s acceptances issued by domestic branches of United States banks that are members of the Federal Deposit Insurance Corporation, and repurchase agreements for US. Government Securities. In lieu of purchasing money market instruments, a Fund may purchase shares of money market mutual funds that invest primarily in U.S. Government Securities and repurchase agreements involving those securities, subject to certain limitations imposed by the 1940 Act. A Fund, as an investor in a money market fund, will indirectly bear the fees and expenses of the money market fund. These indirect fees and expenses will be in addition to the fees and expenses of the Funds. Repurchase agreements involve certain risks not associated with direct investments in debt securities.

 

3. INVESTMENT adviser and other services

 

Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreements between the Adviser and the Company on behalf of each Fund. The Adviser is a wholly-owned subsidiary of Motley Fool Investment Management, LLC, which is a wholly owned subsidiary of The Motley Fool Holdings Inc. (“TMF Holdings”), a multimedia financial-services holding company that also owns The Motley Fool, which publishes investment information and analysis across a wide range of media, including investment newsletter services, websites, and books. TMF Holdings is controlled by David Gardner and Tom Gardner, along with other private shareholders. Each Fund compensates the Adviser with a unitary management fee for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown on the following table. From the Advisory Fee, the Adviser pays most of the expenses of each Fund, including the cost of

 

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Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

transfer agency, custody, fund administration, legal, audit and other services. However, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.

 

FUND

 

ADVISORY FEE

 

Global Opportunities Fund

    0.85 %

Mid-Cap Growth Fund

    0.85 %

Fool 100 Fund

    0.50 %

Small-Cap Growth Fund

    0.85 %

Capital Efficiency Fund

    0.50 %

Next Fund

    0.50 %

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

GROSS ADVISORY
FEES

   

RECOUPMENT/
WAIVERS

   

NET ADVISORY
FEES

 

Global Opportunities Fund

  $ 3,631,316     $     $ 3,631,316  

Mid-Cap Growth Fund

    1,633,412             1,633,412  

Fool 100 Fund

    3,573,161             3,573,161  

Small-Cap Growth Fund

    665,835             665,835  

Capital Efficiency Fund

    170,046             170,046  

Next Fund

    129,230             129,230  

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Foreside Funds Distributors, LLC (“Foreside”) serves as the principal underwriter and distributor of the Global Opportunities Fund’s shares and Mid-Cap Growth Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Quasar Distributors, LLC (“Quasar”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fool 100 Fund’s shares, Small-Cap Growth Fund’s shares, Capital Efficiency Fund’s shares and Next Fund’s shares pursuant to a Distribution Agreement with RBB.

 

Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for its services provided.

 

DIRECTOR AND OFFICER COMPENSATION — The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. During the current fiscal period, director and officer fees charged to the Funds were paid by the Adviser out of each Fund’s unitary fee.

 

 

53

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

REDEMPTION FEE — Prior to January 1, 2018, the Global Opportunities Fund and Mid-Cap Growth Fund imposed a redemption fee of 2.00% on redemptions/exchanges of Fund shares held less than 90 days. The redemption fee was calculated as a percentage of the net asset value of the total redemption proceeds and was retained by the Funds and accounted for as additional paid-in capital. Effective January 1, 2018, the Funds have eliminated their redemption fees. Please see the Funds’ prospectus for more information.

 

TRANSACTIONS WITH AFFILIATES — Advisers to investment companies, including the Motley Fool Asset Management Funds, are permitted under 17a-7 of the 1940 Act to purchase or sell securities directly between affiliated clients. When affecting these “cross” transactions, Rule 17a-7 imposes restrictions on how the trades are processed and reported. The specified conditions within Rule 17a-7 are outlined in procedures established by or under the direction of the Board of Directors. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another Fund complies with Rule 17a-7 under the 1940 Act.

 

During the current fiscal period, the Funds did not engage in any security transactions with affiliates.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales and maturities of investment securities (excluding in-kind transactions and short-term investments) of the Funds were as follows:

 

FUND

 

PURCHASES

   

SALES

 

Global Opportunities Fund

  $ 158,893,864     $ 180,541,208  

Mid-Cap Growth Fund

    58,997,491       65,524,875  

Fool 100 Fund

    176,114,679       170,284,951  

Small-Cap Growth Fund

    28,238,882       22,855,067  

Capital Efficiency Fund

    12,846,856       11,846,009  

Next Fund

    4,764,198       5,181,933  

 

There were no purchases or sales of long-term U.S. Government Securities during the current fiscal period.

 

During the current fiscal period, aggregate purchases and sales and maturities of in-kind transactions of the Funds were as follows:

 

FUND

 

PURCHASES

   

SALES

 

Global Opportunities Fund

  $ 7,428,580     $ 55,963,180  

Mid-Cap Growth Fund

    7,824,521       27,287,734  

Fool 100 Fund

    248,186,529       39,388,187  

Small-Cap Growth Fund

    14,527,952       18,649,915  

Capital Efficiency Fund

    19,546,440       5,330,503  

Next Fund

    404,519       8,253,830  

 

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.

 

54

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

As of August 31, 2024, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:

 

FUND

 

FEDERAL
TAX COST

   

UNREALIZED
APPRECIATION

   

UNREALIZED
(DEPRECIATION)

   

NET UNREALIZED
APPRECIATION/
(DEPRECIATION)

 

Global Opportunities Fund

  $ 294,396,604     $ 182,697,242     $ (16,552,784 )   $ 166,144,458  

Mid-Cap Growth Fund

    155,317,036       75,749,999       (2,418,853 )     73,331,146  

Fool 100 Fund

    645,764,427       353,845,571       (22,185,683 )     331,659,888  

Small-Cap Growth Fund

    89,878,141       17,620,813       (8,248,729 )     9,372,084  

Capital Efficiency Fund

    37,237,277       10,790,564       (828,868 )     9,961,696  

Next Fund

    24,638,698       4,552,624       (4,765,177 )     (212,553 )

 

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, 2024, primarily attributable to foreign currency transactions and in-kind redemptions gains, were reclassified among the following accounts:

 

FUND

 

DISTRIBUTABLE
EARNINGS/(LOSS)

   

PAID-IN
CAPITAL

 

Global Opportunities Fund

  $ (28,172,666 )   $ 28,172,666  

Mid-Cap Growth Fund

    (13,067,346 )     13,067,346  

Fool 100 Fund

    (30,058,743 )     30,058,743  

Small-Cap Growth Fund

    (4,429,097 )     4,429,097  

Capital Efficiency Fund

    (1,689,960 )     1,689,960  

Next Fund

    (347,899 )     347,899  

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
CAPITAL GAINS

   

CAPITAL Loss
Carryover

   

Qualified
Late-Year
LOSS DEFERRAL

   

UNREALIZED
APPRECIATION/
(DEPRECIATION)

   

Total

 

Global Opportunities Fund

  $ 5,617,271     $ 47,442,736     $     $     $ 166,144,458     $ 219,204,465  

Mid-Cap Growth Fund

    157,172       28,830,430                   73,331,146       102,318,748  

Fool 100 Fund

    3,031,288       1,786,899                   331,659,888       336,478,075  

Small-Cap Growth Fund

                (16,995,261 )     (128,577 )     9,372,084       (7,751,754 )

Capital Efficiency Fund

    109,143             (195,048 )           9,961,696       9,875,791  

Next Fund

    17,732             (1,822,017 )           (212,553 )     (2,016,838 )

 

The differences between the book and tax basis components of distributable earnings (losses) relate primarily to the timing of recognition of income and gains for federal income tax purposes.

 

 

55

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2023 and August 31, 2024 was as follows:

 

FUND

 

Tax
year

   

ORDINARY
INCOME

   

LONG-TERM
CAPITAL GAIN

   

TOTAL

 

Global Opportunities Fund

    2024     $ 1,589,216     $ 21,416,885     $ 23,006,101  
      2023       1,203,987       1,501,269       2,705,256  

Mid-Cap Growth Fund

    2024       486,537       4,501,264       4,987,801  
      2023                    

Fool 100 Fund

    2024       846,637             846,637  
      2023       1,701,998             1,701,998  

Small-Cap Growth Fund

    2024       2,037             2,037  
      2023             227,522       227,522  

Capital Efficiency Fund

    2024       109,818             109,818  
      2023       76,457             76,457  

Next Fund

    2024       46,367             46,367  
      2023       64,299             64,299  

 

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, 2024 any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024. The Small-Cap Growth Fund deferred $128,577 post October loss which will be treated as arising on the first business day of the following fiscal year.

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2024, the Small-Cap fund had $122,332 of short term capital loss carryforwards and $16,872,929 of long-term capital loss carryforwards, the Capital Efficiency Fund had $195,048 of short-term capital loss carryforwards, and the Next Fund had $1,301,761 of short-term capital loss carryforwards and $520,256 of long-term capital loss carryforwards.

 

6. SHARE TRANSACTIONS

 

Shares of the Global Opportunities Fund, Mid-Cap Growth Fund, Fool 100 Fund and Small-Cap Growth Fund are listed and trade on the Cboe BZX Exchange, Inc. Shares of the Capital Efficiency Fund and Next Fund are listed and trade on the NYSE, Arca, Inc. Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 25,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources

 

56

 

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (continued)

AUGUST 31, 2024

 

to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

Each Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for each Fund is $250, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate each Fund for the transaction costs associated with the cash transactions. Variable fees received by each Fund, if any, are displayed in the capital shares transactions section of the Statements of Changes in Net Assets. Each Fund may issue an unlimited number of shares of beneficial interest, with $0.001 par value per share. Shares of each Fund have equal rights and privileges.

 

7. SECURITIES LENDING

 

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 100% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the Funds’ lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Investments purchased with proceeds from securities lending are overnight and continuous. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and cash collateral as of the end of the reporting period and the income generated from the program during the current fiscal period with respect to such secured loans were as follows:

 

FUND

 

MARKET VALUE
OF SECURITIES
LOANED

   

MARKET VALUE
OF COLLATERAL

   

INCOME
RECEIVED FROM
SECURITIES
LENDING

 

Global Opportunities Fund

  $ 33,637,720     $ 34,052,359     $ 56,860  

Mid-Cap Growth Fund

    28,330,814       28,802,749       42,484  

Fool 100 Fund

    10,202,881       10,257,974       28,436  

Small-Cap Growth Fund

    20,968,235       21,476,806       34,158  

 

 

 

57

 

 

Motley Fool Asset Management ETFs

Notes to Financial Statements (concluded)

AUGUST 31, 2024

 

Securities lending transactions are entered into by the Funds’ securities lending agent on behalf of the Funds under a Master Securities Lending Agreement (“MSLA”) which permits the Funds’ securities lending agent on behalf of the Funds under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable on behalf of the Funds to the same counterparty against amounts to be received and create one single net payment due to or from the Funds. The following table is a summary of the Funds’ open securities lending transactions which are subject to a MSLA as of the end of the reporting period:

 

                           

GROSS AMOUNTS NOT OFFSET IN THE
STATEMENTS OF ASSETS AND LIABILITIES

 

FUND

 

GROSS
AMOUNTS OF
RECOGNIZED
ASSETS

   

GROSS
AMOUNTS
OFFSET IN THE
STATEMENTS
OF ASSETS
AND
LIABILITIES

   

NET AMOUNTS
OF ASSETS
PRESENTED
IN THE
STATEMENTS
OF ASSETS
AND
LIABILITIES

   

FINANCIAL
INSTRUMENTS
1

   

CASH
COLLATERAL
RECEIVED

   

NET
AMOUNT
2

 

Global Opportunities Fund

  $ 33,637,720     $     $ 33,637,720     $ (33,637,720 )   $     $  

Mid-Cap Growth Fund

    28,330,814             28,330,814       (28,330,814 )            

Fool 100 Fund

    10,202,881             10,202,881       (10,202,881 )            

Small-Cap Growth Fund

    20,968,235             20,968,235       (20,968,235 )            

 

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. 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.

 

58

 

 

 

Motley Fool Asset Management 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 Global Opportunities ETF, Motley Fool Mid-Cap Growth ETF, Motley Fool 100 Index ETF, Motley Fool Small-Cap Growth ETF, Motley Fool Capital Efficiency 100 Index ETF, and Motley Fool Next Index ETF (the “Funds”), each a series of The RBB Fund, Inc., including the schedules of investments, as of August 31, 2024, 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 the Funds as of August 31, 2024, the results of their operations, the changes in their net assets, and their financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

 

Individual Funds
constituting
Motley Fool
ETFs

Statement of
operations

Statements of
changes in net assets

Financial highlights

Motley Fool Global Opportunities ETF, Motley Fool Mid-Cap Growth ETF, Motley Fool 100 Index ETF, and Motley Fool Small-Cap Growth ETF

For the year ended August 31, 2024

For each of the two years in the period ended August 31, 2024

For each of the five years in the period ended August 31, 2024

Motley Fool Capital Efficiency 100 Index ETF and Motley Fool Next Index ETF

For the year ended August 31, 2024

For each of the two years in the period ended August 31, 2024

For each of the two years in the period ended August 31, 2024 and for the period December 30, 2021 (commencement of operations) through August 31, 2022

 

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

 

 

59

 

 

Motley Fool Asset Management ETFs

Report of Independent Registered
Public Accounting Firm (CONCLUDED)

 

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, 2024 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, 2024

 

60

 

 

 

Motley Fool Asset Management 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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the following dividends and distributions were paid by the Funds:

 

FUND

 

ORDINARY
INCOME

   

LONG-TERM
capital gain

 

Global Opportunities Fund

  $ 1,589,216     $ 21,416,885  

Mid-Cap Growth Fund

    486,537       4,501,264  

Fool 100 Fund

    846,637        

Small-Cap Growth Fund

    2,037        

Capital Efficiency Fund

    109,818        

Next Fund

    46,367        

 

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, 2024 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates:

 

Global Opportunities Fund

85%

Mid-Cap Growth Fund

100%

Fool 100 Fund

100%

Small-Cap Growth Fund

100%

Capital Efficiency Fund

100%

Next Fund

100%

 

The percentage of total ordinary income dividends paid qualifying for the corporate dividends received deduction for the Funds are as follows:

 

Global Opportunities Fund

60%

Mid-Cap Growth Fund

100%

Fool 100 Fund

100%

Small-Cap Growth Fund

100%

Capital Efficiency Fund

100%

Next Fund

100%

 

Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

 

61

 

 

Motley Fool Asset Management ETFs

Notice to Shareholders

(Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, 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 Motley Fool Asset Management, LLC (“MFAM”) and the Company (the “Investment Advisory Agreement”) on behalf of the Motley Fool Mid-Cap Growth ETF, the Motley Fool Global Opportunities ETF, the Motley Fool Small-Cap Growth ETF, Motley Fool 100 Index ETF, Motley Fool Capital Efficiency 100 Index ETF and Motley Fool Next Index ETF (for this section only, each a “Fund” and collectively the “Funds”), at a meeting of the Board held on May 15-16, 2024 (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 arrangements. In approving the Investment Advisory Agreement, the Board considered information provided by MFAM 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 MFAM 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. The Directors reviewed these materials with management of MFAM and discussed the Investment Advisory Agreement with counsel in executive sessions, at which no representatives of MFAM were present. Among other things, the Directors considered (i) the nature, extent, and quality of MFAM’s services provided to the Funds; (ii) descriptions of the experience and qualifications of MFAM’s personnel providing those services; (iii) MFAM’s investment philosophies and processes; (iv) MFAM’s assets under management and client descriptions; (v) MFAM’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) MFAM’s advisory fee arrangement with the Company and other similarly managed clients; (vii) MFAM’s compliance policies and procedures; (viii) MFAM’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 Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to each Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its 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 MFAM. The Directors concluded that MFAM had substantial resources to provide services to the Funds and that MFAM’s services had been acceptable.

 

The Directors also considered the investment performance of the Funds. Information on the Funds’ investment performance was provided for the three-month, one-year, three-year, five-year, and since inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

The Directors then noted the performance of the Motley Fool 100 Index ETF, Motley Fool Capital Efficiency 100 Index ETF, and Motley Fool Next Index ETF. The Directors considered that because each of the aforementioned Funds was designed to track the performance of its respective index, the relevant consideration was the extent to which such 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 three-month, one-year, three-year, and since-inception periods ended December 31, 2023, as applicable, each of the aforementioned Fund’s performance was in line with its index before fees and expenses.

 

The Directors noted that the Motley Fool 100 Index ETF outperformed the median of its Peer Group for the three-month, one-year, three-year, five-year and since-inception periods ended December 31, 2023.

 

The Directors noted that the Motley Fool Capital Efficiency 100 Index ETF outperformed the median of its Peer Group for the three-month, one-year, and since-inception periods ended December 31, 2023.

 

62

 

 

 

Motley Fool Asset Management ETFs

Notice to Shareholders (Concluded)

(Unaudited)

 

The Directors noted that the Motley Fool Next Index ETF outperformed the median of its Peer Group for the three-month and one-year periods ended December 31, 2023, and underperformed the median of its Peer Group for the since-inception period ended December 31, 2023.

 

The Directors noted that the Motley Fool Global Opportunities ETF outperformed its primary benchmark, the FTSE Global All Cap Net Tax Index, for the three-month, one-year, five-year, and since inception periods ended December 31, 2023, and underperformed its benchmark for the three-year period ended December 31, 2023. The Directors noted that the Motley Fool Global Opportunities ETF outperformed the median of its Peer Group for the one-year, five-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-year period ended December 31, 2023.

 

The Directors noted that the Motley Fool Mid-Cap Growth ETF underperformed its primary benchmark, the Russell Midcap Growth Index, for the three-month, one-year, three-year, five-year and since inception periods ended December 31, 2023. The Directors noted that the Motley Fool Mid-Cap Growth ETF outperformed the median of its Peer Group for the one-year period ended December 31, 2023, equaled the performance of the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, three-year, and five-year periods ended December 31, 2023.

 

The Directors noted that the Motley Fool Small-Cap Growth ETF outperformed its primary benchmark, the Russell 2000 Growth Index, for the one-year, five-year, and since-inception periods ended December 31, 2023, and underperformed its benchmark for the three-month and three-year periods ended December 31, 2023. The Directors noted that the Motley Fool Small-Cap Growth ETF outperformed the median of its Peer Group for the one-year period ended December 31, 2023, equaled the performance of the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, three-year, and five-year periods ended December 31, 2023.

 

The Board also considered the advisory fee rates payable by the Funds under the Investment Advisory Agreement. In this regard, information on the fees paid by the Funds and the Funds’ total operating expense ratios were compared to similar information for ETFs advised by other, unaffiliated investment advisory firms.

 

The Directors noted that the net advisory fee of the Motley Fool Mid-Cap Growth ETF ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses were above the median and in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Motley Fool Global Opportunities ETF ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses were below the median and in the 2nd quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Motley Fool Small-Cap Growth ETF ranked above the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were below the median and in the 1st quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Motley Fool 100 Index ETF equaled the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses were below the median and in the 2nd quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the Motley Fool Capital Efficiency 100 Index ETF equaled the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses equaled the median and ranked in the 3rd quintile of its Peer Group.

 

The Directors noted that both the net advisory fee and total net expenses of the Motley Fool Next Index ETF ranked above the median and in the 4th quintile of its Peer Group.

 

The Board also took into consideration that the advisory fee for each Fund 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 Funds’ other service providers and paying other expenses of the Funds 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 to be paid by the Funds were fair and reasonable and that the Investment Advisory Agreement should be approved and continued for an additional one year period ending August 16, 2025.

 

 

63

 

 

Investment Adviser

Motley Fool Asset Management, LLC
2000 Duke Street
Suite 275
Alexandria, VA 22314

 

Administrator and Transfer Agent

U.S. Bank Global Fund Services
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

Tait, Weller & Baker LLP
Two Liberty Place
50 S 16th St. Suite 2900
Philadelphia, PA 19102-2529

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

64

 

 

 

 

 

 

 

Optima Strategic Credit Fund

 

of

 

THE RBB FUND, INC.

 

 

Financial Statements

 

 

 

 

August 31, 2024

 

 

 

 

 

Optima Strategic Credit Fund

 

Table of Contents

 

   

Schedule of Investments

1

Schedule of Credit Default Swaps

2

Statement of Assets And Liabilities

3

Statement of Operations

4

Statements of Changes in Net Assets

5

Financial Highlights

6

Notes To Financial Statements

7

Report of Independent Registered Public Accounting Firm

15

Shareholder Tax Information

16

Other Information

17

 

 

 

 

Optima Strategic Credit Fund

 

Schedule of Investments

as of August 31, 2024

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 76.9%

               

Money Market Funds — 76.9%

               

First American Treasury Obligations Fund - Class X, 5.18%(a)

    16,454,390     $ 16,454,390  

TOTAL SHORT-TERM INVESTMENTS (Cost $16,454,390)

    16,454,390  
         

TOTAL INVESTMENTS — 76.9% (Cost $16,454,390)

  $ 16,454,390  

Other Assets in Excess of Liabilities — 23.1%

    4,931,426  

TOTAL NET ASSETS — 100.0%

  $ 21,385,816  

 

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the financial statements.
1

 

 

Optima Strategic Credit Fund

 

Schedule of Credit Default Swaps

August 31, 2024

 

Reference Obligation*

 

Financing
Rate Received
(Paid)

   

Rating of
Reference
Entity

   

Maturity
Date

   

Notional
Amount
(b)

   

Value(c)

   

Upfront
Payments
(Receipts)

   

Unrealized
Appreciation
(Depreciation)

 

Sell Protection(a):

                                                       

MARKIT CDX North American High Yield (Series #42)

    5.00% Quarterly       B/BB(d)       06/20/2029       20,000,000     $ 1,478,029     $ 1,039,511     $ 438,518  
                                    $ 1,478,029     $ 1,039,511     $ 438,518  

 

 

*

Centrally cleared swap.

 

The Fund has recorded an asset of $19,218 as of August 31, 2024 related to the current day’s variation margin related to these contracts.

 

(a)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation of underlying securities comprising the referenced index.

 

(b)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

(c)

The prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

 

(d)

Rating provided by Markit

 

The accompanying notes are an integral part of the financial statements.
2

 

 

Optima Strategic Credit Fund

 

Statement of Assets And Liabilities

August 31, 2024

 

ASSETS

       

Short-term investments, at value (cost $16,454,390)

  $ 16,454,390  

Cash and cash equivalents

    250,000  

Deposit at broker for swap contracts

    4,685,752  

Receivables for:

       

Interest

    53,064  

Variation margin on centrally cleared swaps

    19,218  

Prepaid expenses and other assets

    1,720  

Total assets

    21,464,144  
         

LIABILITIES

       

Payables for:

       

Audit expenses

    24,541  

Broker fees

    22,334  

Administration and accounting services fees

    10,098  

Advisory fees

    6,334  

Transfer agent fees

    5,739  

Printing and shareholder reporting fees

    2,626  

Capital shares redeemed

    2,014  

Custodian fees

    194  

Other accrued expenses and liabilities

    4,448  

Total liabilities

    78,328  

Net assets

    21,385,816  
         

NET ASSETS CONSIST OF:

       

Par value

  $ 2,175  

Paid-in capital

    22,457,329  

Total distributable earnings/(losses)

  $ (1,073,688 )

Net assets

  $ 21,385,816  
         

FOUNDERS CLASS SHARES:

       

Net assets

  $ 21,385,816  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,175,009  

Net asset value, offering and redemption price per share

  $ 9.83  

 

 

The accompanying notes are an integral part of the financial statements.
3

 

 

Optima Strategic Credit Fund

 

Statement of Operations

For the Year Ended August 31, 2024

 

INVESTMENT INCOME

       

Interest

  $ 1,240,311  

Broker interest income

    137,525  

Total investment income

    1,377,836  

EXPENSES

       

Broker expenses

    240,833  

Advisory fees (Note 2)

    130,215  

Transfer agent fees (Note 2)

    52,318  

Administration and accounting services fees (Note 2)

    40,380  

Registration and filing fees

    26,808  

Audit fees and tax services

    20,500  

Officer fees

    16,975  

Director fees

    16,906  

Legal fees

    10,763  

Printing and shareholder reporting fees

    6,199  

Custodian fees (Note 2)

    533  

Broker interest expense

    339  

Other expenses

    9,090  

Total expenses before waivers and/or reimbursements

    571,859  

Waivers and reimbursements (Note 2)

    (34,140 )

Net expenses after waivers and/or reimbursements

    537,719  

Net investment income/(loss)

    840,117  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Short-term investments

    (1,476 )

Swap contracts

    120,869  

Net change in unrealized appreciation/(depreciation) from:

       

Short-term investments

    14,070  

Swap contracts

    438,518  

Net realized and unrealized gain/(loss) from investments

    571,981  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 1,412,098  

 

 

The accompanying notes are an integral part of the financial statements.
4

 

 

Optima Strategic Credit Fund

 

Statements of Changes in Net Assets

 

   

For the
Year Ended
August 31, 2024

   

For the
Year Ended
August 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 840,117     $ 957,345  

Net realized gain/(loss) from investments and swap contracts

    119,393       (1,108,197 )

Net change in unrealized appreciation/(depreciation) on investments

    452,588       172,530  

Net increase/(decrease) in net assets resulting from operations

    1,412,098       21,678  

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (1,717,031 )     (606,258 )

Net decrease in net assets from dividends and distributions to shareholders

    (1,717,031 )     (606,258 )

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    3,195,352       11,485,654  

Proceeds from reinvestment of distributions

    1,717,030       606,258  

Shares redeemed

    (30,588,784 )     (5,242,501 )

Net increase/(decrease) in net assets from capital share transactions

    (25,676,402 )     6,849,411  

Total increase/(decrease) in net assets

    (25,981,335 )     6,264,831  

NET ASSETS:

               

Beginning of period

    47,367,151       41,102,320  

End of period

  $ 21,385,816     $ 47,367,151  

SHARE TRANSACTIONS:

               

Shares sold

    329,159       1,162,982  

Shares reinvested

    179,648       61,989  

Shares redeemed

    (3,178,245 )     (534,927 )

Net increase/(decrease) in shares outstanding

    (2,669,438 )     690,044  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

Optima Strategic Credit Fund

 

Financial Highlights

 

Contained below is per share operating performance data for Founders Class outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

For the
Year Ended
August 31,
2024

   

For the
Year Ended
August 31,
2023

   

For the
Period
December 29,
2021
(1)
to August 31,
2022

 

Per Share Operating Performance

                       

Net asset value, beginning of period

  $ 9.78     $ 9.89     $ 10.00  

Net investment income/(loss)(2)

    0.31       0.19        

Net realized and unrealized gain/(loss) from investments

    0.25       (0.18 )     (0.11 )

Net increase/(decrease) in net assets resulting from operations

    0.56       0.01       (0.11 )

Total dividends and distributions to shareholders

    (0.51 )     (0.12 )      

Net asset value, end of period

  $ 9.83     $ 9.78     $ 9.89  

Total investment return/(loss)(3)

    5.95 %     0.12 %     (1.10 )%(4)

Ratios/Supplemental Data

                       

Net assets, end of period (000’s omitted)

  $ 21,386     $ 47,367     $ 41,102  

Ratio of expenses to average net assets with waivers and/or reimbursements

    2.06 %     1.61 %     1.48 %(5)

Ratio of expenses to average net assets without waivers and/or reimbursements

    2.20 %     1.61 %     1.94 %(5)

Ratio of expenses to average net assets with waivers and reimbursements (excluding broker and interest expense)

    1.13 %     1.18 %     1.25 %(5)

Ratio of expenses to average net assets without waivers and reimbursements (excluding broker and interest expense)

    1.27 %     1.18 %     1.71 %(5)

Ratio of net investment income/(loss) to average net assets

    3.23 %     1.94 %     0.03 %(5)

Portfolio turnover rate

    0 %     0 %     0 %(4)

 

 

(1)

Inception date of the Founders Class Shares of the Fund was December 29, 2021.

(2)

Calculated based on average shares outstanding for the period.

(3)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of the period reported and includes reinvestments of dividends and distributions, if any.

(4)

Not annualized.

(5)

Annualized.

 

The accompanying notes are an integral part of the financial statements.
6

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the Optima Strategic Credit Fund (the “Fund”), which commenced investment operations on December 29, 2021. The Fund is authorized to offer two classes of shares, Founders Class Shares and Investor Class Shares. Investor Class Shares have not yet commenced operations as of the end of the reporting period.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

 

The investment objective of the Fund is to seek total return.

 

The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services – Investment Companies.”

 

The end of the reporting period for the Fund is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

Portfolio Valuation — The Fund values its investments at fair value. The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities listed or traded on U.S. exchanges, including swaps contracts, are valued at the last sales prices on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by the Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Fund has designated Optima Asset Management LLC (the “Adviser”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

 

● Level 1 –

Prices are determined using quoted prices in active markets for identical securities.

 

 

● Level 2 –

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

● 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.

 

7

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing the Fund’s investments carried at fair value:

 

 

LEVEL 1

   

LEVEL 2

   

LEVEL 3

   

Total

 

Investments:

                               

Money Market Funds

  $ 16,454,390     $     $     $ 16,454,390  

Total Investments

  $ 16,454,390     $     $     $ 16,454,390  
                                 

Other Financial Instruments:

                               

Credit Default Swaps*

  $     $ 438,518     $     $ 438,518  

Total Other Financial Instruments

  $     $ 438,518     $     $ 438,518  

 

*

The fair value of the Fund’s investment represents the net unrealized appreciation (depreciation) as of August 31, 2024.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in

 

8

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

Credit Default Swap – During the current fiscal period, the Fund entered into credit default swaps to preserve a return or spread on a particular investment or portion of its portfolio, as a duration management technique and to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold) in the Statement of Operations. In the case of credit default swaps where the Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps, the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin on the Statement of Assets and Liabilities. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately as Deposit at Broker for Swap Contracts on the Statement of Assets and Liabilities. The average quarterly notional value of credit default swaps in the Fund during the current fiscal period was as follows:

 

Portfolio

 

 

Optima Strategic Credit Fund

  $ 9,742,000  

 

For the current fiscal period, the Fund invested in derivative contracts, which are reflected in the Statement of Assets and Liabilites, as follows:

 

                 

DERIVATIVE ASSETS

 
 

RISK

   

DERIVATIVE TYPE

   

STATEMENT OF ASSETS
AND LIABILITIES
LOCATION

   

NET UNREALIZED
APPRECATION
(DEPRECIATION)

 
    Credit       Swap contracts       Variation margin receivable on swap contracts     $ 438,518 *

 

*

Includes cumulative appreciation/(depreciation) as reported on the Schedule of Credit Default Swaps. For centrally cleared credit default swap contracts, only current day’s variation margin is reported within the Statement of Assets and Liabilities.

 

For the current fiscal period, the effect of derivative contracts in the Fund’s Statement of Operations was as follows:

 

   

STATEMENT OF OPERATIONS

 

RISK

 

DERIVATIVE TYPE

   

LOCATION

   

NET REALIZED
GAIN(LOSS)

   

NET CHANGE
IN UNREALIZED
APPRECATION
(DEPRECIATION)

 

Credit

    Swap contracts       Swap contracts     $ 120,869     $ 438,518  

 

9

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid monthly. Net realized capital gains (including net short-term capital gains), if any, are distributed by the Fund at least annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income.

 

Active Management Risk — The Fund is subject to management risk as an actively-managed investment portfolio. The Fund’s ability to achieve its investment objective depends on the investment skill and ability of Anthony Capital Management, LLC (the “Sub-Adviser”) and on the Sub-Adviser’s ability to correctly identify economic trends.

 

Cash Positions Risk — The Fund may hold a significant position in cash and/or cash equivalent securities. When the Fund’s investment in cash or cash equivalent securities increases, the Fund may not participate in market advances or declines to the same extent that it would if the Fund were more fully invested in other securities.

 

Counterparty Risk — Counterparty risk is the risk that the other party(s) to an agreement or a participant to a transaction might default on a contract or fail to perform by failing to pay amounts due or failing to fulfill the obligations of the contract or transaction.

 

Credit Risk — Credit risk is the risk that an issuer or other obligated party of a debt security may be unable or unwilling to make interest and principal payments when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes. The Fund could also be delayed or hindered in its enforcement of rights against an issuer, guarantor, or counterparty.

 

Credit Default Swap Risk — Credit default swaps are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical credit default swap, one party (the “seller”) receives pre-determined periodic payments from the other party (the “buyer”). The seller agrees to make specific payments to the buyer if a negative credit event occurs, such as the bankruptcy of or default by the issuer of the underlying debt instrument. The use of credit default swaps involves investment techniques and risks different from those associated with ordinary portfolio security transactions, such as potentially heightened counterparty or concentration risks.

 

Cyber Security Risk — Cyber security risk is the risk of an unauthorized breach and access to Fund assets, Fund or customer data (including private shareholder information), or proprietary information, or the risk of an incident occurring that causes the Adviser, Sub-Adviser, custodian, transfer agent, distributor and/or other service providers and financial intermediaries to suffer data breaches, data corruption or lose operational functionality or prevent Fund investors from purchasing, redeeming or exchanging shares or receiving distributions. The Fund and its Adviser and Sub-Adviser have limited ability to prevent or mitigate cyber security incidents affecting third-party service providers. Successful cyber-attacks or other cyber-failures or events affecting the Fund or its service providers may adversely impact and cause financial losses to the Fund or its shareholders. Issuers of securities in which the Fund invests are also subject to cyber security risks, and the value of these securities could decline if the issuers experience cyber-attacks or other cyber-failures.

 

Fixed Income Securities Risk — Fixed income securities in which the Fund or an Underlying Fund may invest are subject to certain risks, including: interest rate risk, prepayment risk and credit/default risk. Interest rate risk involves the risk that prices of fixed income securities will rise and fall in response to interest rate changes. Prepayment risk involves the risk that in declining interest rate environments prepayments of principal could increase and require the Fund or an Underlying Fund to reinvest proceeds of the prepayments at lower interest rates. Credit risk involves the risk that the credit rating of a security may be lowered.

 

10

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

Government Intervention and Regulatory Changes — The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) (which was passed into law in July 2010) significantly revised and expanded the rulemaking, supervisory and enforcement authority of federal bank, securities and commodities regulators. There can be no assurance that future regulatory actions including, but not limited to, those authorized by the Dodd-Frank Act will not adversely impact the Fund. Major changes resulting from legislative or regulatory actions could materially affect the profitability of the Fund or the value of investments made by the Fund or force the Fund to revise its investment strategy or divest certain of its investments. Any of these developments could expose the Fund to additional costs, taxes, liabilities, enforcement actions and reputational risk.

 

In addition, effective August 19, 2022, the Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Fund, as a full derivatives user (as defined in Rule 18f-4), is subject to the full requirements of Rule 18f-4. The Fund is required to comply with Rule18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

High Yield Securities — High yield securities, which are rated below investment grade and commonly referred to as “junk” bonds, are high risk, speculative investments that may cause income and principal losses for the Fund. They generally have greater credit risk, are less liquid and have more volatile prices than investment grade securities.

 

Interest Rate Risk— Interest rate risk is the risk that prices of fixed income securities generally increase when interest rates decline and decrease when interest rates increase. The Fund may lose money if short term or long term interest rates rise sharply or otherwise change in a manner not anticipated by the Sub-Adviser. It is likely there will be less governmental action in the near future to maintain low interest rates. Changing interest rates may have unpredictable effects on the markets and the Fund’s investments and may also affect the liquidity of fixed income securities and instruments held by the Fund. Any future declines in interest rate levels could cause the Fund’s earnings to fall below the Fund’s expense ratio, resulting in a negative yield, and a decline in the Fund’s share price. A general rise in interest rates may cause investors to move out of fixed income securities on a large scale, which could adversely affect the price and liquidity of fixed income securities and could also result in increased redemptions for the Fund. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.

 

Cash and Cash Equivalents —The Fund maintains cash in bank deposit accounts which, at times, may exceed United States federally insured limits and is classified as Cash and Cash Equivalents on the Statement of Assets and Liabilities.

 

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, the Fund expects the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Optima Asset Management LLC serves as the investment adviser for the Fund. Anthony Capital Management, LLC serves as the investment sub-adviser to the Fund. Subject to the supervision of the Board, the Adviser manages the overall investment operations of the Fund, primarily in the form of oversight of the Sub-Adviser pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of the Fund. The Fund compensates the Adviser for its services at an annual rate based on the Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table. The Adviser compensates the Sub-Adviser out of the Advisory Fee.

 

The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to the rates (“Expense Cap”) shown in the following table of the Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees

 

11

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

and/or reimburse expenses, the following expenses are not taken into account and could cause net total annual Fund operating expenses to exceed the Expense Cap as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2024 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2024.

 

Advisory
Fee

Expense Cap

 

Founders Class

.50%

1.25%

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed were as follows:

 

Gross
Advisory
Fees

Waivers/
Recoupment

Net
Advisory
Fees

$130,215

$(34,140)

$96,075

 

If at any time the Fund’s total annual fund operating expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes) for a year are less than the relevant share class’s Expense Cap, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement.

 

As of the end of the current fiscal period, the Fund had amounts available for recoupment as follows:

 

Expiration

AUGUST 31,
2027

$34,140

 

U.S. Bancorp Fund Services, LLC (“Fund Services”), doing business as U.S. Bank Global Fund Services, serves as administrator for the Fund. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statement of Operations.

 

3. Director And Officer Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer,

 

12

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Continued)

August 31, 2024

 

Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Fund for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Fund or the Company. For Director and Officer compensation amounts, please refer to the Statement of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, there were no purchases or sales of investment securities or long-term U.S. Government securities (excluding short-term investments and derivative transactions) by the Fund.

 

5. Federal Income Tax Information

 

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund were as follows:

 

Federal Tax
Cost

Unrealized
Appreciation

Unrealized
(Depreciation)

Net
Unrealized
Appreciation/
(Depreciation)

$16,454,390

$0

$0

$0

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary
Income

Undistributed
Long-Term
Capital Gains

Net Unrealized
Appreciation/
(Depreciation)

Capital Loss
Carryforwards

Qualified
Late-Year
Losses

Other
Temporary
Differences

$890,630

$0

$0

$(1,964,318)

$0

$0

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains, if applicable, are reported as ordinary income for federal income tax purposes.

 

13

 

 

Optima Strategic Credit Fund

 

Notes To Financial Statements (Concluded)

August 31, 2024

 

The tax character of dividends and distributions paid during the fiscal years ended August 31, 2023 and August 31, 2024 were as follows:

 

 

Ordinary
Income

Long-Term
Gains

Total

2023

$606,258

$0

$606,258

2024

1,717,031

0

1,717,031

 

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, 2024, the Fund had unexpiring short-term losses of $1,964,318 to offset future capital gains.

 

6. Subsequent Events

 

In preparing these financial statements, management of the Fund has evaluated events and transactions for potential recognition or disclosure through the date the financial statements were issued, and has determined that there was the following subsequent event: The Fund paid the following distribution:

 

RECORD DATE

EX-DATE

PAY DATE

DISTRIBUTION
RATE PER SHARE

September 26, 2024

September 27, 2024

September 27, 2024

$0.00792420

 

14

 

 

Optima Strategic Credit Fund

 

Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Directors of
The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statement of assets and liabilities, including the schedule of investments and schedule of credit default swaps, of Optima Strategic Credit Fund (the “Fund”), a series of The RBB Fund, Inc., as of August 31, 2024, the related statement 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, the financial highlights for each of the two years in the period then ended and the period from December 29, 2021 (commencement of operations) through August 31, 2022, 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, 2024, the results of its operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of 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 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.

 

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, 2024, by correspondence with the custodians and broker. 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 Fund’s auditor since 2022.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 29, 2024

 

15

 

 

Optima Strategic Credit 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, 2024. The information and distribution reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2024. During the fiscal year ended August 31, 2024, the Fund paid $1,717,031 in 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 0%.

 

Because the Fund’s fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025. 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.

 

16

 

 

Optima Strategic Credit Fund

 

Other Information

(Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT – OPTIMA STRATEGIC CREDIT FUND

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the approval of the investment advisory agreement between the Adviser and the Company (the “Investment Advisory Agreement”) on behalf of the Fund and the approval of the sub-advisory agreement between the Adviser, the Company and the Sub-Adviser (the “Sub-Advisory Agreement”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement and the Sub-Advisory Agreement for an additional one-year term ending August 16, 2025. In approving the Investment Advisory Agreement and the Sub-Advisory Agreement, the Board considered information provided by the Adviser and the Sub-Adviser with the assistance and advice of counsel to the Independent Directors and the Company.

 

In considering the renewal and approval of the Investment Advisory Agreement between the Company and the Adviser with respect to the Fund, and the Investment Sub-Advisory Agreement by and among the Company, the Adviser and the Sub-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. The Directors reviewed these materials with management of the Adviser and the Sub-Adviser, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of the Adviser or the Sub-Adviser were present. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by the Adviser and the Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) the Adviser’s and the Sub-Adviser’s investment philosophies and processes; (iv) the Adviser’s and the Sub-Adviser’s assets under management and client descriptions; (v) the Adviser’s and the Sub-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 and the Sub-Adviser’s advisory fee arrangements with the Company and other similarly managed clients, as applicable; (vii) the Adviser’s and the Sub-Adviser’s compliance procedures; (viii) the Adviser’s and the Sub-Adviser’s financial information and insurance coverage, as applicable, and the Adviser’s profitability analysis; (ix) the extent to which economies of scale are relevant to the Fund; (x) a report prepared by Fuse Research Network, LLC comparing the Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of the Fund to the performance of its 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 the Adviser and the Sub-Adviser. The Directors concluded that the Adviser and the Sub-Adviser had substantial resources to provide services to the Fund.

 

The Directors also considered the investment performance of the Fund. Information on the Fund’s investment performance was provided for the three-month, one-year, and since-inception periods ended December 31, 2023. The Directors considered the Fund’s investment performance in light of its investment objectives and investment strategies. The Directors concluded that the investment performance of the Fund as compared to its benchmark and Peer Group was acceptable.

 

In reaching this conclusion, the Directors observed that the Fund outperformed its primary benchmark for the since-inception period ended December 31, 2023, and underperformed its benchmark for the three-month and one-year periods ended December 31, 2023. The Directors noted that the Free Market U.S. Equity Fund outperformed the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

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 ratios (before and after fee waivers and expense reimbursements) were compared to similar information for mutual funds advised by other,

 

17

 

 

Optima Strategic Credit Fund

 

Other Information (Concluded)

(Unaudited)

 

unaffiliated investment advisory firms. The Directors noted that the Fund’s net advisory fee was below the median and ranked in the 1st quintile of its Peer Group, and the Fund’s total net expenses (including acquired fund fees and expenses) equaled the median and ranked in the 3rd quintile of its Peer Group.

 

The Directors also considered the fees payable to the Sub-Adviser under the Sub-Advisory Agreement and the information provided by the Adviser on the services provided by the Sub-Adviser. In this regard, the Directors noted that the fees for the Sub-Adviser were paid directly by the Adviser and not by the Fund. The Directors noted that the Adviser had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024, to limit total annual operating expenses to agreed upon levels for the Fund.

 

After reviewing the information regarding the Adviser’s and the Sub-Adviser’s costs, profitability and economies of scale, and after considering the services to be provided by the Adviser and the Sub-Adviser, the Directors concluded that the investment advisory fees to be paid by the Fund to the Adviser and the sub-advisory fees to be paid by the Adviser to the Sub-Adviser were fair and reasonable and that the Investment Advisory Agreement and Sub-Advisory Agreement should be approved and continued for an additional one-year period ending August 16, 2025.

 

18

 

 

Investment Adviser
Optima Asset Management LLC
10 East 53rd Street
New York, New York 10022

 

Sub-Adviser
Anthony Capital Management, LLC
421 George Street, Suite 206
De Pere, Wisconsin 54115

 

Administrator and Transfer Agent
U.S. Bank Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter
Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian
U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm
Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, Ohio 44115

 

Legal Counsel
Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

SGI GLOBAL EQUITY FUND

 

SGI PRUDENT GROWTH FUND

 

SGI PEAK GROWTH FUND

 

SGI SMALL CAP CORE FUND

 

of

 

The RBB Fund, Inc.

 

Financial Statements

 

August 31, 2024

 

This report is submitted for the general information of the shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus for the Funds.

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

PORTFOLIO of Investments

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

COMMON STOCKS — 98.2%

               

Aerospace/Defense — 1.7%

               

Lockheed Martin Corp.

    6,001     $ 3,409,168  

TransDigm Group, Inc.

    371       509,461  
              3,918,629  

Beverages — 1.2%

               

Coca-Cola Co.

    38,344       2,778,790  

Biotechnology — 9.0%

               

Incyte Corp.(a)

    55,453       3,641,044  

Regeneron Pharmaceuticals, Inc.(a)

    6,113       7,242,010  

United Therapeutics Corp.(a)

    25,119       9,132,012  

Vertex Pharmaceuticals, Inc.(a)

    2,058       1,020,542  
              21,035,608  

Building Materials — 3.9%

               

Builders FirstSource, Inc.(a)

    7,278       1,266,372  

Owens Corning

    43,531       7,344,986  

Trane Technologies PLC

    1,390       502,707  
              9,114,065  

Chemicals — 0.3%

               

LyondellBasell Industries NV - Class A

    6,437       635,332  

Commercial Services — 3.3%

               

Automatic Data Processing, Inc.

    28,003       7,726,308  

Cosmetics & Personal Care — 3.3%

               

Colgate-Palmolive Co.

    72,136       7,682,484  

Diversified Financial Services — 3.1%

               

Interactive Brokers Group, Inc. - Class A

    29,667       3,823,779  

Mastercard, Inc. - Class A

    7,070       3,417,214  
              7,240,993  

Electric — 3.7%

               

AES Corp.

    26,168       448,258  

DTE Energy Co.

    22,638       2,830,203  

Evergy, Inc.

    52,442       3,101,420  

NextEra Energy, Inc.

    11,659       938,666  

Sempra

    16,234       1,334,110  
              8,652,657  

Engineering & Construction — 0.7%

       

EMCOR Group, Inc.

    4,170       1,639,060  

Environmental Control — 1.4%

               

Republic Services, Inc.

    4,641       966,303  

Waste Management, Inc.

    10,805       2,291,092  
              3,257,395  

Food — 2.9%

               

Hershey Co.

    1,921     $ 370,868  

Kroger Co., (The)

    59,413       3,161,366  

Performance Food Group Co.(a)

    14,831       1,106,986  

Sysco Corp.

    28,445       2,217,857  
              6,857,077  

Freight & Logistics — 3.7%

               

FedEx Corp.

    8,243       2,462,761  

Union Pacific Corp.

    18,409       4,714,361  

United Parcel Service, Inc. - Class B

    11,849       1,523,189  
              8,700,311  

Gas — 0.2%

               

Atmos Energy Corp.

    3,579       467,918  

Hand/Machine Tools — 0.2%

               

Snap-on, Inc.

    1,296       367,727  

Healthcare-Services — 3.3%

       

Elevance Health, Inc.

    13,037       7,260,175  

HCA Healthcare, Inc.

    1,288       509,520  
              7,769,695  

Home Builders — 3.2%

               

DR Horton, Inc.

    4,945       933,418  

Lennar Corp. - Class A

    6,083       1,107,471  

NVR, Inc.(a)

    585       5,365,889  
              7,406,778  

Insurance — 14.1%

               

Allstate Corp., (The)

    18,404       3,477,252  

American Financial Group, Inc.

    12,760       1,704,991  

American International Group, Inc.

    5,694       438,723  

Arch Capital Group Ltd.(a)

    45,691       5,167,195  

Berkshire Hathaway, Inc. - Class B(a)

    1,037       493,529  

Cincinnati Financial Corp.

    3,003       411,501  

Everest Group Ltd.

    21,217       8,322,156  

MetLife, Inc.

    7,507       581,642  

Progressive Corp.

    35,722       9,009,088  

Reinsurance Group of America, Inc.

    10,422       2,300,761  

RenaissanceRe Holdings Ltd.

    1,456       370,974  

Unum Group

    8,252       457,904  
      32,735,716  

Iron/Steel — 0.2%

               

Reliance, Inc.

    1,772       507,944  

Mining — 1.1%

               

Freeport-McMoRan, Inc.

    57,750       2,557,170  

 

 

The accompanying notes are an integral part of the financial statements.
3

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

PORTFOLIO of Investments (Concluded)

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

Oil & Gas — 2.8%

               

Coterra Energy, Inc.

    16,397     $ 398,939  

Devon Energy Corp.

    74,017       3,314,481  

EOG Resources, Inc.

    8,273       1,065,728  

Marathon Petroleum Corp.

    4,640       821,837  

Ovintiv, Inc.

    9,405       402,816  

Valero Energy Corp.

    2,814       412,898  
              6,416,699  

Online Services — 14.4%

               

Alphabet, Inc. - Class A

    43,868       7,167,154  

Amazon.com, Inc.(a)

    20,104       3,588,564  

GoDaddy, Inc. - Class A(a)

    29,925       5,009,744  

Meta Platforms, Inc. - Class A

    10,936       5,701,046  

Spotify Technology SA(a)

    6,925       2,374,444  
              23,840,952  

Pharmaceuticals — 10.4%

               

Cardinal Health, Inc.

    55,823       6,292,369  

Eli Lilly & Co.

    4,255       4,084,885  

McKesson Corp.

    10,565       5,927,810  

Merck & Co., Inc.

    43,857       5,194,862  

Neurocrine Biosciences, Inc.(a)

    21,607       2,745,385  
              24,245,311  

Pipelines — 0.2%

               

Cheniere Energy, Inc.

    2,489       461,112  

REITS — 0.2%

               

Simon Property Group, Inc.

    2,857       478,119  

Retail — 4.9%

               

Costco Wholesale Corp.

    2,449       2,185,439  

Ferguson Enterprises, Inc.

    1,969       405,043  

Lululemon Athletica, Inc.(a)

    5,968       1,548,517  

Ross Stores, Inc.

    7,925       1,193,584  

Texas Roadhouse, Inc.

    2,636       444,825  

Ulta Beauty, Inc.(a)

    3,884       1,370,430  

Walmart, Inc.

    30,805       2,379,070  

Wingstop, Inc.

    4,661       1,799,659  
              11,326,567  

Software — 5.2%

               

Adobe Systems, Inc.(a)

    895       514,097  

AppLovin Corp. - Class A(a)

    24,105       2,238,631  

Atlassian Corp. - Class A(a)

    3,196       529,258  

DocuSign, Inc.(a)

    7,190       425,720  

HubSpot, Inc.(a)

    663       330,884  

Nutanix, Inc. - Class A(a)

    7,637       482,582  

ServiceNow, Inc.(a)

    3,490       2,983,950  

Veeva Systems, Inc. - Class A(a)

    8,718       1,886,924  
                 

Software — 5.2% (continued)

               

Workday, Inc. - Class A(a)

    1,963     $ 516,642  

Zoom Video Communications, Inc. - Class A(a)

    33,155       2,290,347  
              12,199,035  

Technology — 2.5%

       

Accenture PLC - Class A

    6,586       2,252,083  

Apple, Inc.

    6,215       1,423,235  

EPAM Systems, Inc.(a)

    1,582       317,602  

Leidos Holdings, Inc.

    11,386       1,804,795  
              5,797,715  

Telecommunications — 1.3%

               

Motorola Solutions, Inc.

    6,833       3,020,459  
                 

TOTAL COMMON STOCKS (Cost $196,334,734)

            228,837,626  

EXCHANGE TRADED FUNDS — 1.2%

       

iShares MSCI Min Vol USA ETF

    29,495       2,693,483  

TOTAL EXCHANGE TRADED FUNDS (Cost $2,678,070)

            2,693,483  

TOTAL INVESTMENTS — 99.4% (Cost $199,012,804)

            231,531,109  

Other Assets in Excess of Liabilities — 0.6%

            1,427,273  

TOTAL NET ASSETS — 100.0%

  $ 232,958,382  

 

 

Percentages are stated as a percent of net assets.

 

NV - Naamloze Vennootschap

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

SA - Sociedad Anónima

 

ETF - Exchange-Traded Fund

 

(a)

Non-income producing security.

 

The accompanying notes are an integral part of the financial statements.
4

 

 

SGI GLOBAL EQUITY FUND

 

PORTFOLIO of Investments

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

COMMON STOCKS — 97.0%

               

Aerospace/Defense — 3.1%

               

Lockheed Martin Corp.

    4,418     $ 2,509,866  

Northrop Grumman Corp.

    1,649       862,773  
              3,372,639  

Auto Manufacturers — 1.9%

               

Honda Motor Co. Ltd., - ADR

    62,975       2,075,026  

Banks — 3.0%

               

Credicorp Ltd.

    9,718       1,733,205  

HDFC Bank, Ltd. - ADR

    8,455       516,685  

Popular, Inc.

    6,742       691,055  

Shinhan Financial Group Co., Ltd. - ADR

    7,890       334,931  
              3,275,876  

Beverages — 4.5%

               

Coca-Cola Co.

    40,299       2,920,468  

Coca-Cola Femsa SAB de CV - ADR

    22,875       1,926,990  
              4,847,458  

Biotechnology — 4.6%

               

Exelixis, Inc.(a)

    21,785       567,064  

United Therapeutics Corp.(a)

    7,971       2,897,857  

Vertex Pharmaceuticals, Inc.(a)

    2,955       1,465,355  
              4,930,276  

Building Materials — 0.9%

               

Boise Cascade Co.

    1,908       258,763  

UFP Industries, Inc.

    5,801       705,808  
              964,571  

Commercial Services — 0.2%

               

Automatic Data Processing, Inc.

    794       219,072  

Cosmetics & Personal Care — 3.7%

       

Colgate-Palmolive Co.

    37,534       3,997,371  

Diversified Financial Services — 2.0%

       

AerCap Holdings NV

    7,047       686,519  

CME Group, Inc.

    3,293       710,432  

Enact Holdings, Inc.

    22,072       784,659  
              2,181,610  

Electric — 1.2%

               

Consolidated Edison, Inc.

    4,528       459,864  

Evergy, Inc.

    13,873       820,449  
              1,280,313  

Electronics — 1.2%

       

Amphenol Corp. - Class A

    12,093       815,673  

Keysight Technologies, Inc.(a)

    3,101       477,926  
              1,293,599  

Environmental Control — 2.8%

       

Republic Services, Inc.

    3,230     $ 672,518  

Waste Management, Inc.

    11,022       2,337,105  
              3,009,623  

Food — 4.5%

               

Flowers Foods, Inc.

    18,440       428,546  

Kroger Co., (The)

    53,037       2,822,099  

Sysco Corp.

    4,024       313,751  

Tyson Foods, Inc. - Class A

    20,004       1,286,457  
              4,850,853  

Gas — 1.3%

               

National Fuel Gas Co.

    22,764       1,360,377  

Healthcare-Services — 3.4%

               

Centene Corp.(a)

    3,862       304,441  

Chemed Corp.

    500       293,085  

Elevance Health, Inc.

    1,437       800,251  

Ensign Group, Inc.

    1,574       238,241  

Humana, Inc.

    1,974       699,724  

Molina Healthcare, Inc.(a)

    1,814       634,519  

UnitedHealth Group, Inc.

    1,252       738,930  
              3,709,191  

Household Products/Wares — 1.0%

       

Kimberly-Clark Corp.

    7,362       1,064,987  

Insurance — 14.2%

               

Allstate Corp., (The)

    9,916       1,873,529  

American International Group, Inc.

    6,396       492,812  

Arch Capital Group Ltd.(a)

    2,146       242,691  

Axis Capital Holdings Ltd.

    14,731       1,176,712  

Berkshire Hathaway, Inc. - Class B(a)

    3,007       1,431,091  

Cincinnati Financial Corp.

    7,940       1,088,018  

Everest Group Ltd.

    3,613       1,417,163  

Loews Corp.

    6,420       526,055  

MetLife, Inc.

    28,041       2,172,617  

Progressive Corp.

    16,878       4,256,632  

Reinsurance Group of America, Inc.

    1,537       339,308  

Unum Group

    5,351       296,927  
              15,313,555  

Lodging — 0.9%

               

H World Group Ltd. - ADR

    31,734       965,983  

Mining — 3.2%

               

Agnico Eagle Mines Ltd.

    4,928       401,484  

Rio Tinto PLC - ADR

    48,675       3,079,667  
              3,481,151  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

SGI GLOBAL EQUITY FUND

 

PORTFOLIO of Investments (Concluded)

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

Oil & Gas — 1.8%

               

Cenovus Energy, Inc.

    78,136     $ 1,448,642  

Petroleo Brasileiro SA - ADR

    21,566       328,450  

Shell PLC - ADR

    3,179       227,807  
              2,004,899  

Online Services— 3.2%

               

Alphabet, Inc. - Class C

    9,481       1,565,408  

GoDaddy, Inc. - Class A(a)

    2,355       394,250  

JD.com, Inc. - ADR

    31,903       861,381  

Vipshop Holdings Ltd. - ADR

    47,183       591,675  
              3,412,714  

Pharmaceuticals — 14.5%

               

AstraZeneca PLC - ADR

    6,334       554,985  

BellRing Brands, Inc.(a)

    8,656       484,130  

Cardinal Health, Inc.

    16,284       1,835,532  

Dr Reddy’s Laboratories Ltd. - ADR

    27,857       2,325,224  

Eli Lilly & Co.

    256       245,765  

McKesson Corp.

    4,251       2,385,151  

Merck & Co., Inc.

    14,424       1,708,523  

Neurocrine Biosciences, Inc.(a)

    8,996       1,143,032  

Novo Nordisk AS - ADR

    11,012       1,532,430  

Takeda Pharmaceutical Co., Ltd. - ADR

    236,425       3,520,368  
              15,735,140  

REITS — 0.1%

               

Welltower, Inc.

    1,120       135,162  

Retail — 4.4%

               

Casey’s General Stores, Inc.

    554       200,720  

Costco Wholesale Corp.

    1,221       1,089,596  

McDonald’s Corp.

    6,736       1,944,414  

O’Reilly Automotive, Inc.(a)

    349       394,359  

Walmart, Inc.

    15,098       1,166,019  
              4,795,108  

Semiconductors — 1.1%

               

Micron Technology, Inc.

    4,987       479,949  

QUALCOMM, Inc.

    4,046       709,264  
              1,189,213  

Software — 3.8%

               

Electronic Arts, Inc.

    8,061       1,223,821  

Microsoft Corp.

    6,807       2,839,472  
              4,063,293  

Technology— 2.8%

       

Apple, Inc.

    5,643       1,292,247  

Check Point Software Technologies Ltd.(a)

    6,017       1,158,273  

Logitech International SA

    6,750       614,317  
              3,064,837  

Telecommunications — 6.5%

               

Chunghwa Telecom Co., Ltd. - ADR

    14,552     $ 562,435  

Cisco Systems, Inc.

    4,328       218,737  

Motorola Solutions, Inc.

    2,716       1,200,581  

Nice Ltd. - ADR(a)

    8,980       1,560,185  

Telefonica Brasil SA - ADR

    134,444       1,243,607  

Telkom Indonesia Persero Tbk PT - ADR

    41,944       822,102  

TIM SA - ADR

    47,940       763,205  

T-Mobile US, Inc.

    3,586       712,610  
              7,083,462  

Transportation — 1.2%

               

Canadian National Railway Co., (Canada)

    5,360       631,515  

Union Pacific Corp.

    2,578       660,200  
              1,291,715  

TOTAL COMMON STOCKS (Cost $92,113,182)

            104,969,074  

EXCHANGE TRADED FUNDS — 1.1%

       

iShares MSCI Global Min Vol Factor ETF

    9,839       1,116,431  

TOTAL EXCHANGE TRADED FUNDS (Cost $1,114,925)

            1,116,431  

TOTAL INVESTMENTS — 98.1% (Cost $93,228,107)

            106,085,505  

Other Assets in Excess of Liabilities — 1.9%

            2,101,705  

TOTAL NET ASSETS — 100.0%

  $ 108,187,210  

 

 

Percentages are stated as a percent of net assets.

 

ADR - American Depositary Receipt

 

NV - Naamloze Vennootschap

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

SA - Sociedad Anónima

 

SAB de CV - Sociedad Anónima Bursátil de Capital Variable

 

ETF - Exchange-Traded Fund

 

TBK PT - Terbuka Perseroan Terbatas

 

(a)

Non-income producing security.

 

The accompanying notes are an integral part of the financial statements.
6

 

 

SGI PRUDENT GROWTH FUND

 

PORTFOLIO of Investments

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

EXCHANGE TRADED FUNDS — 50.2%

       

iShares 20+ Year Treasury Bond ETF

    13,100     $ 1,264,019  

iShares Core U.S. Aggregate Bond ETF

    25,360       2,542,340  

iShares iBoxx $ High Yield Corporate Bond ETF

    16,197       1,285,070  

SGI Dynamic Tactical ETF(a)

    43,460       1,326,834  

SGI Enhanced Core ETF(a)

    88,610       2,286,138  

SGI Enhanced Global Income ETF(a)

    90,340       2,414,788  

SGI U.S. Large Cap Core ETF(a)

    68,160       2,401,618  

TOTAL EXCHANGE TRADED FUNDS (Cost $12,351,165)

            13,520,807  

OPEN END FUNDS — 47.2%

       

SGI Global Equity Fund - Class I(a)

    59,563       2,403,963  

SGI Small Cap Core Fund - Class I(a)(b)

    67,104       2,166,132  

SGI U.S. Large Cap Equity Fund - Class I(a)(c)

    375,480       8,162,944  

TOTAL OPEN END FUNDS (Cost $10,712,773)

            12,733,039  

TOTAL INVESTMENTS — 97.4% (Cost $23,063,938)

            26,253,846  

Other Assets in Excess of Liabilities— 2.6%

            675,292  

TOTAL NET ASSETS — 100.0%

  $ 26,929,138  

 

 

Percentages are stated as a percent of net assets.

 

ETF - Exchange-Traded Fund

 

(a)

Affiliated company as defined by the Investment Company Act of 1940. See Note 6.

 

(b)

Non-income producing security.

 

(c)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

 

The accompanying notes are an integral part of the financial statements.
7

 

 

SGI PEAK GROWTH FUND

 

PORTFOLIO of Investments

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

OPEN END FUNDS — 60.9%

       

SGI Global Equity Fund - Class I(a)

    97,995     $ 3,955,071  

SGI Small Cap Core Fund - Class I(a)(b)

    150,204       4,848,588  

SGI U.S. Large Cap Equity Fund - Class I(a)(c)

    379,835       8,257,603  

TOTAL OPEN END FUNDS (Cost $14,175,604)

            17,061,262  

EXCHANGE TRADED FUNDS — 38.4%

       

SGI Dynamic Tactical ETF(a)

    89,110       2,720,528  

SGI Enhanced Core ETF(a)

    10,750       277,350  

SGI Enhanced Global Income ETF(a)

    155,590       4,158,921  

SGI U.S. Large Cap Core ETF(a)

    102,610       3,615,463  

TOTAL EXCHANGE TRADED FUNDS (Cost $9,514,145)

            10,772,262  

TOTAL INVESTMENTS — 99.3% (Cost $23,689,749)

            27,833,524  

Other Assets in Excess of Liabilities— 0.7%

            173,659  

TOTAL NET ASSETS — 100.0%

  $ 28,007,183  

 

 

Percentages are stated as a percent of net assets.

 

ETF - Exchange-Traded Fund

 

(a)

Affiliated company as defined by the Investment Company Act of 1940. See Note 6.

 

(b)

Non-income producing security.

 

(c)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

 

The accompanying notes are an integral part of the financial statements.
8

 

 

SGI SMALL CAP CORE FUND

 

PORTFOLIO of Investments

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

COMMON STOCKS — 98.3%

               

Agriculture — 1.2%

               

Andersons, Inc.

    13,088     $ 667,096  

Fresh Del Monte Produce, Inc.

    27,726       810,708  

Vital Farms, Inc.(a)

    1,347       42,363  
              1,520,167  

Airlines — 0.4%

               

SkyWest, Inc.(a)

    6,140       476,096  

Apparel — 1.6%

               

Kontoor Brands, Inc.

    17,681       1,323,423  

Ralph Lauren Corp.

    2,111       361,530  

Rocky Brands, Inc.

    10,708       345,226  
              2,030,179  

Auto Parts & Equipment — 0.9%

       

Miller Industries, Inc.

    10,020       608,314  

Visteon Corp.(a)

    5,442       550,894  
              1,159,208  

Banks — 6.5%

               

Bank of NT Butterfield & Son Ltd.

    32,627       1,247,983  

Bankwell Financial Group, Inc.

    2,479       75,560  

Business First Bancshares, Inc.

    15,793       385,665  

Civista Bancshares, Inc.

    3,610       61,262  

CNB Financial Corp.

    2,578       62,671  

Financial Institutions, Inc.

    15,060       391,861  

First Business Financial Services, Inc.

    1,616       73,318  

First Internet Bancorp

    1,785       64,778  

Hancock Whitney Corp.

    27,750       1,491,007  

HBT Financial, Inc.

    2,790       62,552  

Independent Bank Corp.

    10,318       349,574  

Metropolitan Bank Holding Corp.(a)

    6,238       322,567  

Midland States Bancorp, Inc.

    11,224       255,570  

OFG Bancorp

    33,762       1,552,714  

Popular, Inc.

    12,229       1,253,473  

QCR Holdings, Inc.

    3,526       271,960  

Republic Bancorp, Inc. - Class A

    992       63,389  

Third Coast Bancshares, Inc.(a)

    6,637       169,974  
              8,155,878  

Beverages — 0.8%

               

Coca Cola Bottling Co.

    781       1,048,414  

Biotechnology — 1.9%

               

ANI Pharmaceuticals, Inc.(a)

    19,704       1,256,130  

Vericel Corp.(a)

    20,831       1,075,921  
              2,332,051  

Building Materials — 3.7%

               

AZEK Co., Inc., (The)(a)

    1,451     $ 61,856  

Boise Cascade Co.

    10,439       1,415,737  

Gibraltar Industries, Inc.(a)

    3,535       246,284  

Louisiana-Pacific Corp.

    12,523       1,215,357  

Masterbrand, Inc.(a)

    20,343       326,302  

UFP Industries, Inc.

    10,626       1,292,865  
              4,558,401  

Chemicals — 1.1%

               

AdvanSix, Inc.

    7,666       226,607  

AZZ.

    3,289       273,546  

Minerals Technologies, Inc.

    10,926       842,395  
              1,342,548  

Commercial Services — 5.6%

               

Arlo Technologies, Inc.(a)

    4,189       49,179  

Barrett Business Services, Inc.

    24,456       892,889  

Grand Canyon Education, Inc.(a)

    3,097       449,096  

Heidrick & Struggles International, Inc.

    16,230       626,478  

Herc Holdings, Inc.

    9,287       1,359,338  

Korn/Ferry International

    19,735       1,441,642  

Progyny, Inc.(a)

    8,248       193,745  

TriNet Group, Inc.

    6,236       641,248  

Upbound Group, Inc

    37,997       1,265,300  

Willdan Group, Inc.(a)

    1,993       75,953  
              6,994,868  

Distribution/Wholesale — 1.3%

       

H&E Equipment Services, Inc.

    23,150       1,114,671  

Resideo Technologies, Inc.(a)

    20,856       420,457  

Rush Enterprises, Inc. - Class B

    2,377       111,814  
              1,646,942  

Diversified Financial Services — 4.1%

       

Enact Holdings, Inc.

    33,080       1,175,994  

Enova International, Inc.(a)

    15,525       1,330,958  

Evercore, Inc. - Class A

    2,586       635,483  

Pagseguro Digital Ltd. - Class A(a)

    4,826       53,424  

PennyMac Financial Services, Inc.

    5,305       572,940  

Regional Management Corp.

    6,392       214,324  

Virtus Investment Partners, Inc.

    5,354       1,133,228  
              5,116,351  

Electric — 0.5%

               

Clearway Energy, Inc. - Class A

    20,969       563,437  

Electrical Components & Equipment — 0.1%

       

Insteel Industries, Inc.

    1,948     67,011  

 

 

The accompanying notes are an integral part of the financial statements.
9

 

 

SGI SMALL CAP CORE FUND

 

PORTFOLIO of Investments (CONtinued)

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

Electronics — 1.4%

               

Avnet, Inc.

    23,082     $ 1,273,664  

Bel Fuse, Inc. - Class B

    6,095       413,424  

Benchmark Electronics, Inc.

    1,494       63,510  
              1,750,598  

Engineering & Construction — 2.6%

       

EMCOR Group, Inc.

    3,614       1,420,519  

Frontdoor, Inc.(a)

    28,915       1,390,233  

Primoris Services Corp.

    8,634       487,303  
              3,298,055  

Environmental Control — 0.7%

       

Energy Recovery, Inc.(a)

    54,019       877,269  

Food — 2.0%

               

John B Sanfilippo & Son, Inc.

    7,578       718,925  

Pilgrim’s Pride Corp.(a)

    31,437       1,464,336  

Seneca Foods Corp. - Class A(a)

    4,520       272,420  
              2,455,681  

Forest Products & Paper — 1.2%

       

Sylvamo Corp.

    18,891       1,494,089  

Gas — 2.1%

               

National Fuel Gas Co.

    22,919       1,369,639  

New Jersey Resources Corp.

    14,347       664,410  

Southwest Gas Holdings, Inc.

    8,698       632,519  
              2,666,568  

Multi-Utilities — 0.1%

               

Avista Corp.

    1,730       66,847  

Healthcare-Products — 3.0%

               

Castle Biosciences, Inc.(a)

    30,441       903,184  

Inspire Medical Systems, Inc.(a)

    4,472       804,155  

iRadimed Corp.

    7,258       340,836  

LeMaitre Vascular, Inc.

    6,192       559,076  

Omnicell, Inc.(a)

    5,075       225,736  

RxSight, Inc.(a)

    8,437       475,762  

Tactile Systems Technology, Inc.(a)

    18,710       256,140  

Utah Medical Products, Inc.

    2,678       182,077  
              3,746,966  

Healthcare-Services — 2.7%

               

Addus HomeCare Corp.(a)

    9,877       1,313,740  

Astrana Health, Inc.(a)

    13,003       621,413  

National HealthCare Corp.

    6,329       867,896  

Pennant Group, Inc.(a)

    7,119       243,897  

Viemed Healthcare, Inc.(a)

    33,973       258,195  
              3,305,141  

Home Builders — 8.8%

               

Beazer Homes USA, Inc.(a)

    40,298     $ 1,260,521  

Century Communities, Inc.

    12,845       1,285,399  

Forestar Group, Inc.(a)

    32,002       990,142  

Hovnanian Enterprises, Inc. - Class A(a)

    6,346       1,372,196  

Landsea Homes Corp.(a)

    28,301       337,065  

M/I Homes, Inc.(a)

    8,873       1,414,090  

Meritage Homes Corp.

    7,229       1,431,848  

Taylor Morrison Home Corp.(a)

    21,396       1,440,593  

Tri Pointe Homes, Inc.(a)

    31,741       1,410,570  
              10,942,424  

Household Products/Wares — 0.0%(b)

       

Quanex Building Products Corp.

    2,073       57,277  

Insurance — 4.1%

               

Brighthouse Financial, Inc.(a)

    9,532       437,519  

Essent Group Ltd.

    22,340       1,436,238  

Fidelis Insurance Holdings, Ltd.

    13,161       243,742  

Horace Mann Educators Corp.

    19,271       686,240  

NMI Holdings, Inc. - Class A(a)

    36,323       1,491,786  

Palomar Holdings, Inc.(a)

    2,751       272,954  

Universal Insurance Holdings, Inc.

    26,556       568,033  
              5,136,512  

Internet — 0.1%

               

Cargurus, Inc.(a)

    2,645       76,652  

Lodging — 0.3%

               

Travel + Leisure Co.

    9,282       410,821  

Machinery-Construction & Mining — 2.3%

       

Hyster-Yale Materials Handling, Inc.

    5,678       357,487  

Oshkosh Corp.

    11,709       1,263,518  

Terex Corp.

    22,141       1,256,945  
              2,877,950  

Machinery-Diversified — 1.8%

               

Albany International Corp. - Class A

    685       64,499  

Columbus McKinnon Corp.

    7,309       250,041  

Gorman-Rupp Co.

    12,058       470,021  

Mueller Water Products, Inc. - Class A

    67,193       1,442,634  
              2,227,195  

Metal Fabricate/Hardware — 0.9%

       

Mueller Industries, Inc.

    12,625       917,963  

Northwest Pipe Co.(a)

    5,812       255,612  
              1,173,575  

 

 

The accompanying notes are an integral part of the financial statements.
10

 

 

SGI SMALL CAP CORE FUND

 

PORTFOLIO of Investments (CONtinued)

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

Mining — 0.1%

               

Caledonia Mining Corp. PLC

    4,675     $ 60,681  

Constellium SE(a)

    2,806       47,057  
              107,738  

Miscellaneous Manufacturing — 0.9%

       

Federal Signal Corp.

    7,999       755,826  

Trinity Industries, Inc.

    12,023       396,879  
              1,152,705  

Multi-National — 0.5%

               

Banco Latinoamericano de Comercio Exterior SA

    19,959       625,715  

Office Furnishings — 1.1%

               

HNI Corp.

    25,050       1,348,942  

Interface, Inc.

    3,726       70,347  
              1,419,289  

Oil & Gas — 2.7%

               

Berry Corp.

    45,453       281,354  

Matador Resources Co.

    13,662       774,909  

Murphy Oil Corp.

    1,444       53,832  

Permian Resources Corp.

    62,329       887,565  

Riley Exploration Permian, Inc.

    8,899       253,621  

SM Energy Co.

    11,773       537,202  

VAALCO Energy, Inc.

    81,665       531,574  
              3,320,057  

Pharmaceuticals — 3.1%

               

Alkermes PLC(a)

    6,366       181,113  

Amphastar Pharmaceuticals, Inc.(a)

    1,508       73,500  

BellRing Brands, Inc.(a)

    23,682       1,324,534  

Catalyst Pharmaceuticals Partners, Inc.(a)

    75,237       1,523,549  

Harmony Biosciences Holdings, Inc.(a)

    19,263       693,083  

Nature’s Sunshine Products, Inc.(a)

    4,705       64,929  
              3,860,708  

Real Estate — 0.2%

               

RMR Group, Inc. - Class A

    9,145       233,106  

REITS — 5.8%

               

Alexander & Baldwin, Inc.

    41,283       816,991  

American Assets Trust, Inc.

    14,611       398,150  

Apple Hospitality REIT, Inc.

    4,141       59,796  

CareTrust REIT, Inc.

    42,006       1,255,139  

Chatham Lodging Trust

    27,974       239,457  

EPR Properties

    27,988       1,328,590  

Innovative Industrial Properties, Inc.

    5,449       677,202  

Kilroy Realty Corp.

    13,498       489,573  

NexPoint Residential Trust, Inc.

    9,697       458,668  

REITS — (Continued)

       

Park Hotels & Resorts, Inc.

    4,051     $ 61,899  

Ryman Hospitality Properties, Inc.

    7,444       773,878  

TPG RE Finance Trust, Inc.

    67,374       610,408  

Xenia Hotels & Resorts, Inc.

    4,627       65,889  
              7,235,640  

Retail — 3.7%

               

Abercrombie & Fitch Co. - Class A(a)

    428       63,160  

American Eagle Outfitters, Inc.

    11,129       229,035  

BlueLinx Holdings, Inc.(a)

    11,545       1,161,889  

Buckle, Inc.

    23,728       994,203  

GMS, Inc.(a)

    13,619       1,181,993  

PC Connection, Inc.

    10,443       763,174  

Shoe Carnival, Inc.

    6,308       255,096  
              4,648,550  

Savings & Loans — 1.2%

               

Axos Financial, Inc.(a)

    19,681       1,366,452  

FS Bancorp, Inc.

    1,434       62,852  
              1,429,304  

Semiconductors — 3.8%

               

ACM Research, Inc. - Class A(a)

    25,878       466,839  

Alpha & Omega Semiconductor Ltd.(a)

    17,374       726,407  

Amkor Technology, Inc.

    40,998       1,348,834  

Axcelis Technologies, Inc.(a)

    7,297       797,781  

Ultra Clean Holdings, Inc.(a)

    35,631       1,343,289  

Vishay Precision Group, Inc.(a)

    1,985       54,806  
              4,737,956  

Software — 3.4%

               

Appfolio, Inc. - Class A(a)

    3,225       748,168  

CommVault Systems, Inc(a)

    8,020       1,246,308  

Health Catalyst, Inc(a)

    66,544       478,451  

SEMrush Holdings, Inc. - Class A(a)

    11,664       160,263  

Smartsheet, Inc. - Class A(a)

    17,983       877,571  

Viant Technology, Inc. - Class A(a)

    27,736       308,702  

Weave Communications, Inc(a)

    35,965       405,685  
              4,225,148  

Technology — 0.1%

               

Grid Dynamics Holdings, Inc.(a)

    5,044       70,213  

Rapid7, Inc.(a)

    1,457       55,089  
              125,302  

 

 

The accompanying notes are an integral part of the financial statements.
11

 

 

SGI SMALL CAP CORE FUND

 

PORTFOLIO of Investments (COncluded)

as of August 31, 2024

 

   

NUMBER OF
Shares

   

Value

 

Telecommunications — 1.0%

               

A10 Networks, Inc.

    4,298     $ 59,183  

Aviat Networks, Inc.(a)

    5,160       141,642  

Credo Technology Group Holding Ltd.(a)

    2,363       82,492  

IDT Corp. - Class B

    16,678       639,768  

Preformed Line Products Co.

    2,693       322,972  
              1,246,057  

Transportation — 6.9%

               

Ardmore Shipping Corp.

    61,881       1,168,313  

Costamare, Inc.

    45,491       645,517  

Covenant Logistics Group, Inc.

    8,961       471,976  

Golden Ocean Group Ltd.

    32,617       401,189  

Hub Group, Inc. - Class A

    26,147       1,232,308  

Matson, Inc.

    10,242       1,416,469  

Scorpio Tankers, Inc.

    16,892       1,208,454  

Teekay Corp.(a)

    78,699       653,989  

Teekay Tankers Ltd. - Class A

    24,189       1,375,870  

Universal Logistics Holdings, Inc.

    1,458       61,630  
              8,635,715  

TOTAL COMMON STOCKS (Cost $107,022,964)

            122,578,161  

TOTAL INVESTMENTS — 98.3% (Cost $107,022,964)

            122,578,161  

Other Assets in Excess of Liabilities— 1.7%

            2,141,982  

TOTAL NET ASSETS — 100.0%

  $ 124,720,143  

 

 

Percentages are stated as a percent of net assets.

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

SA - Sociedad Anónima

 

(a)

Non-income producing security.

 

(b)

Represents less than 0.05% of net assets.

 

The accompanying notes are an integral part of the financial statements.
12

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities

August 31, 2024

 

   

SGI U.S.
Large Cap
Equity Fund

   

SGI Global
Equity Fund

 

ASSETS

               

Investments, at fair value

               

Unaffiliated investments (cost $199,012,804 and $93,228,107, respectively)

  $ 231,531,109     $ 106,085,505  

Affiliated investments (cost $— and $—, respectively)

           

Cash and cash equivalents

    1,781,859       1,996,384  

Receivables for:

               

Capital shares sold

    153,304       50,437  

Dividends

    183,873       284,699  

Prepaid and other expenses

    36,763       16,310  

Total assets

  $ 233,686,908     $ 108,433,335  
                 

LIABILITIES

               

Payables for:

               

Capital shares redeemed

  $ 406,591     $ 129,458  

Advisory fees

    134,390       31,233  

Other accrued expenses and liabilities

    187,545       85,434  

Total liabilities

    728,526       246,125  

Net assets

  $ 232,958,382     $ 108,187,210  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 10,721     $ 2,680  

Paid-in capital

    161,792,729       78,665,886  

Total distributable earnings/(loss)

    71,154,932       29,518,644  

Net assets

  $ 232,958,382     $ 108,187,210  
                 

CLASS I SHARES:

               

Net assets applicable to Class I Shares

  $ 211,533,891     $ 108,187,210  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    9,732,331       2,680,343  

Net asset value, offering and redemption price per share

  $ 21.74     $ 40.36  
                 

CLASS A Shares:

               

Net assets applicable to Class A Shares

  $ 19,601,423     $  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    900,319        

Net asset value, offering and redemption price per share

  $ 21.77     $  

Maximum offering price per share (100/94.75 of $21.77)

  $ 22.98     $  
                 

CLASS C Shares:

               

Net assets applicable to Class C Shares

  $ 1,823,068     $  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    87,897     $  

Net asset value, offering and redemption price per share

  $ 20.74     $  
                 

 

 

The accompanying notes are an integral part of the financial statements.
13

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities (Concluded)

August 31, 2024

 

   

SGI prudent
growth
Fund

   

SGI PEAK
GROWTH
FUND

   

SGI SMALL
CAP core
FUND

 

ASSETS

                       

Investments, at fair value

                       

Unaffiliated investments (cost $4,934,949, $—, and $107,022,964, respectively)

  $ 5,091,429     $     $ 122,578,161  

Affiliated investments (cost $18,128,989, $23,689,749, and $—, respectively) (Note 6)

    21,162,417       27,833,524        

Cash and cash equivalents

    715,464       215,381       2,205,620  

Receivables for:

                       

Capital shares sold

    2,087       2,712       51,355  

Dividends

    1,351       1,088       131,659  

Prepaid and other expenses

    13,817       13,866       25,910  

Total assets

  $ 26,986,565     $ 28,066,571     $ 124,992,705  
                         

LIABILITIES

                       

Payables for:

                       

Capital shares redeemed

  $     $     $ 104,263  

Advisory fees

    16,573       17,319       83,398  

Other accrued expenses and liabilities

    40,854       42,069       84,901  

Total liabilities

    57,427       59,388       272,562  

Net assets

  $ 26,929,138     $ 28,007,183     $ 124,720,143  

NET ASSETS CONSIST OF:

                       

Par value

  $ 2,257     $ 2,226     $ 3,864  

Paid-in capital

    23,403,072       23,954,729       109,301,624  

Total distributable earnings/(loss)

    3,523,809       4,050,228       15,414,655  

Net assets

  $ 26,929,138     $ 28,007,183     $ 124,720,143  

CLASS I SHARES:

                       

Net assets applicable to Class I Shares

  $ 26,929,138     $ 28,007,183     $ 124,720,143  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,257,422       2,225,854       3,863,816  

Net asset value, offering and redemption price per share

  $ 11.93     $ 12.58     $ 32.28  

 

 

The accompanying notes are an integral part of the financial statements.
14

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations

FOR THE Year ENDED August 31, 2024

 

   

SGI U.S.
Large Cap
Equity Fund

   

SGI Global
Equity Fund

 

INVESTMENT INCOME

               

Dividends:

               

Dividends from unaffiliated investments

  $ 4,257,728     $ 2,925,623 (1) 

Dividends from affiliated investments (Note 6)

           

Interest

    274,091       107,727  

Total investment income

    4,531,819       3,033,350  
                 

EXPENSES:

               

Advisory fees (Note 2)

    1,912,790       926,566  

Transfer agent fees (Note 2)

    360,986       190,993  

Administration and accounting fees (Note 2)

    121,123       72,306  

Legal fees

    77,391       38,953  

Distribution fees - Class A Shares

    63,975        

Printing and shareholder reporting fees

           

Officer fees

    55,899       29,606  

Director fees

    55,550       27,923  

Registration and filing fees

    52,057       24,738  

Audit and tax service fees

    36,536       34,251  

Custodian fees (Note 2)

    27,347       24,090  

Distribution fees - Class C Shares

    20,456        

Other expenses

    38,866       22,725  

Total expenses before waivers and reimbursements

    2,822,976       1,392,151  

Less: waivers and reimbursements (Note 2)

    (60,639 )     (280,270 )

Net expenses after waivers and reimbursements

    2,762,337       1,111,881  

Net investment income/(loss)

    1,769,482       1,921,469  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

Net realized gain/(loss) from investments

               

Unaffiliated investments

    73,139,764       17,759,717  

Affiliated investments (Note 6)

           

Distributions from affiliated investments

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    (12,203,845 )     5,342,595  

Affiliated investments (Note 6)

           

Net realized and unrealized gain/(loss) on investments

    60,935,919       23,102,312  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 62,705,401     $ 25,023,781  

 

 

(1)

Net of foreign withholding taxes of $127,771.

 

The accompanying notes are an integral part of the financial statements.
15

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations (Concluded)

FOR THE Year ENDED August 31, 2024

 

   

SGI Prudent
Growth
Fund

   

SGI Peak
Growth
Fund

   

SGI Small
Cap Core
Fund

 

INVESTMENT INCOME

                       

Dividends:

                       

Dividends from unaffiliated investments

  $ 190,740     $ 19,951     $ 1,869,166 (1) 

Dividends from affiliated investments (Note 6)

    178,287       180,376        

Interest

    39,716       22,578       100,603  

Total investment income

    408,743       222,905       1,969,769  
                         

EXPENSES:

                       

Advisory fees (Note 2)

    179,498       175,697       1,131,092  

Transfer agent fees (Note 2)

    29,050       27,661       135,746  

Administration and accounting fees (Note 2)

    23,135       21,277       62,978  

Legal fees

    6,618       6,354       36,760  

Distribution fees - Class A Shares

                 

Printing and shareholder reporting fees

    634              

Officer fees

    5,389       4,986       20,701  

Director fees

    4,689       4,093       21,839  

Registration and filing fees

    25,230       25,146       29,372  

Audit and tax service fees

    33,374       33,374       32,465  

Custodian fees (Note 2)

    1,340             23,725  

Distribution fees - Class C Shares

                 

Other expenses

    3,625       6,297       8,445  

Total expenses before waivers and reimbursements

    312,582       304,885       1,503,123  

Less: waivers and reimbursements (Note 2)

                (38,656 )

Net expenses after waivers and reimbursements

    312,582       304,885       1,464,467  

Net investment income/(loss)

    96,161       (81,980 )     505,302  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM

INVESTMENTS

                       

Net realized gain/(loss) from investments

                       

Unaffiliated investments

    (129,295 )     93,908       5,490,049  

Affiliated investments (Note 6)

    753,939       368,368        

Distributions from affiliated investments

    138,238       178,437        

Net change in unrealized appreciation/(depreciation) on investments

                       

Unaffiliated investments

    312,778       (8,583 )     13,527,450  

Affiliated investments (Note 6)

    2,597,563       3,709,763        

Net realized and unrealized gain/(loss) on investments

    3,673,223       4,341,893       19,017,499  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 3,769,384     $ 4,259,913     $ 19,522,801  
                         

 

 

(1)

Net of foreign withholding taxes of $3,220.

 

The accompanying notes are an integral part of the financial statements.
16

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Statements of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 1,769,482     $ 3,909,918  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    73,139,764       17,344,683  

Affiliated investments (Note 6)

           

Distributions from affiliated investments (Note 6)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    (12,203,845 )     1,974,967  

Affiliated investments (Note 6)

           

Net increase/(decrease) in net assets resulting from operations

    62,705,401       23,229,568  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Distributable earnings

               

Class I Shares

    (14,011,048 )     (19,244,500 )

Class A Shares

    (1,193,012 )     (1,382,773 )

Class C Shares

    (86,619 )     (96,977 )

Total distributable earnings

    (15,290,679 )     (20,724,250 )

Net decrease in net assets from dividends and distributions to shareholders

    (15,290,679 )     (20,724,250 )
                 

 

 

The accompanying notes are an integral part of the financial statements.
17

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Statements of Changes in Net Assets (Concluded)

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    113,718,663       48,850,931  

Reinvestment of distributions

    13,978,703       19,066,017  

Shares redeemed

    (310,127,753 )     (110,308,065 )

Total from Class I Shares

    (182,430,387 )     (42,391,117 )

Class A Shares

               

Proceeds from shares sold

    610,987       6,201,827  

Reinvestment of distributions

    1,192,151       1,381,238  

Shares redeemed

    (17,914,478 )     (4,889,029 )

Total from Class A Shares

    (16,111,340 )     2,694,036  

Class C Shares

               

Proceeds from shares sold

    52,424       121,554  

Reinvestment of distributions

    86,007       96,321  

Shares redeemed

    (985,310 )     (473,379 )

Total from Class C Shares

    (846,879 )     (255,504 )

Net increase/(decrease) in net assets from capital share transactions

    (199,388,606 )     (39,952,585 )

Total increase/(decrease) in net assets

    (151,973,884 )     (37,447,267 )
                 

NET ASSETS:

               

Beginning of Period

    384,932,266       422,379,533  

End of Period

  $ 232,958,382     $ 384,932,266  
                 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    5,823,434       2,762,128  

Shares reinvested

    766,779       1,069,285  

Shares redeemed

    (16,380,384 )     (6,239,269 )

Total from Class I Shares

    (9,790,171 )     (2,407,856 )

Class A Shares

               

Shares sold

    33,263       350,650  

Shares reinvested

    65,363       77,361  

Shares redeemed

    (933,980 )     (274,723 )

Total from Class A Shares

    (835,354 )     153,288  

Class C Shares

               

Shares sold

    2,891       7,199  

Shares reinvested

    4,965       5,649  

Shares redeemed

    (53,399 )     (28,153 )

Total from Class C Shares

    (45,543 )     (15,305 )

Net increase/(decrease) in shares outstanding

    (10,671,068 )     (2,269,873 )

 

 

The accompanying notes are an integral part of the financial statements.
18

 

 

SGI GLOBAL EQUITY FUND

 

Statements of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 1,921,469     $ 1,780,348  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    17,759,717       (1,631,160 )

Affiliated investments (Note 6)

           

Distributions from affiliated investments (Note 6)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    5,342,595       8,032,739  

Affiliated investments (Note 6)

           

Net increase/(decrease) in net assets resulting from operations

    25,023,781       8,181,927  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (2,003,073 )     (4,229,443 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,003,073 )     (4,229,443 )
                 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    42,758,330       42,896,182  

Reinvestment of distributions

    2,000,278       4,221,767  

Shares redeemed

    (109,889,057 )     (19,033,537 )

Net increase/(decrease) in net assets from capital share transactions

    (65,130,449 )     28,084,412  

Total increase/(decrease) in net assets

    (42,109,741 )     32,036,896  
                 

NET ASSETS:

               

Beginning of Period

    150,296,951       118,260,055  

End of Period

  $ 108,187,210     $ 150,296,951  
 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    1,193,962       1,284,747  

Shares reinvested

    56,601       128,236  

Shares redeemed

    (2,976,690 )     (572,849 )

Net increase/(decrease) in shares outstanding

    (1,726,127 )     840,134  

 

 

The accompanying notes are an integral part of the financial statements.
19

 

 

SGI PRUDENT GROWTH FUND

 

Statements of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 96,161     $ 47,006  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    (129,295 )     (105,023 )

Affiliated investments (Note 6)

    753,939       (193,894 )

Distributions from affiliated investments (Note 6)

    138,238       182,199  

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    312,778       176,986  

Affiliated investments (Note 6)

    2,597,563       809,842  

Net increase/(decrease) in net assets resulting from operations

    3,769,384       917,116  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (114,358 )     (23,212 )

Net decrease in net assets from dividends and distributions to shareholders

    (114,358 )     (23,212 )
                 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    8,845,365       8,960,109  

Reinvestment of distributions

    114,358       23,212  

Shares redeemed

    (6,902,378 )     (4,187,290 )

Net increase/(decrease) in net assets from capital share transactions

    2,057,345       4,796,031  

Total increase/(decrease) in net assets

    5,712,371       5,689,935  
                 

NET ASSETS:

               

Beginning of Period

    21,216,767       15,526,832  

End of Period

  $ 26,929,138     $ 21,216,767  
                 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    813,262       893,341  

Shares reinvested

    10,579       2,400  

Shares redeemed

    (631,006 )     (416,101 )

Net increase/(decrease) in shares outstanding

    192,835       479,640  

 

 

The accompanying notes are an integral part of the financial statements.
20

 

 

SGI PEAK GROWTH FUND

 

Statements of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ (81,980 )   $ (81,588 )

Net realized gain/(loss) on investments

               

Unaffiliated investments

    93,908       37,722  

Affiliated investments (Note 6)

    368,368       (106,896 )

Distributions from affiliated investments (Note 6)

    178,437       211,725  

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    (8,583 )     84,217  

Affiliated investments (Note 6)

    3,709,763       761,919  

Net increase/(decrease) in net assets resulting from operations

    4,259,913       907,099  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

    (131,475 )     (1,109 )

Net decrease in net assets from dividends and distributions to shareholders

    (131,475 )     (1,109 )
                 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    8,526,607       7,812,686  

Reinvestment of distributions

    131,475       1,109  

Shares redeemed

    (4,333,988 )     (2,153,372 )

Net increase/(decrease) in net assets from capital share transactions

    4,324,094       5,660,423  

Total increase/(decrease) in net assets

    8,452,532       6,566,413  
                 

NET ASSETS:

               

Beginning of Period

    19,554,651       12,988,238  

End of Period

  $ 28,007,183     $ 19,554,651  
                 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    752,701       752,103  

Shares reinvested

    11,676       113  

Shares redeemed

    (380,709 )     (209,678 )

Net increase/(decrease) in shares outstanding

    (383,668 )     542,538  

 

 

The accompanying notes are an integral part of the financial statements.
21

 

 

SGI SMALL CAP CORE FUND

 

Statements of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
Year ENDED
AUGUST 31, 2023

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 505,302     $ 226,440  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    5,490,049       3,864,198  

Affiliated investments (Note 6)

           

Distributions from affiliated investments (Note 6)

           

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    13,527,450       3,754,938  

Affiliated investments (Note 6)

           

Net increase/(decrease) in net assets resulting from operations

    19,522,801       7,845,576  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

               

Total distributable earnings

          (554,990 )

Net decrease in net assets from dividends and distributions to shareholders

          (554,990 )
                 

INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS:

Class I Shares

               

Proceeds from shares sold

    61,310,708       20,090,886  

Reinvestment of distributions

          548,528  

Shares redeemed

    (59,615,025 )     (14,264,163 )

Net increase/(decrease) in net assets from capital share transactions

    1,695,683       6,375,251  

Total increase/(decrease) in net assets

    21,218,484       13,665,837  
                 

NET ASSETS:

               

Beginning of Period

    103,501,659       89,835,822  

End of Period

  $ 124,720,143     $ 103,501,659  
                 

SHARES TRANSACTIONS:

               

Class I Shares

               

Shares sold

    2,139,509       767,765  

Shares reinvested

          21,544  

Shares redeemed

    (2,038,827 )     (545,180 )

Net increase/(decrease) in shares outstanding

    100,682       244,129  

 

 

The accompanying notes are an integral part of the financial statements.
22

 

 

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
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 18.00     $ 17.85     $ 23.21     $ 19.55     $ 18.24  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (1)

    0.13       0.18       0.17       0.03       0.14  

Net realized and unrealized gain/(loss) on investments (2)

    4.47       0.88       (2.27 )     3.76       1.66  

Net increase/(decrease) in net assets resulting from operations

    4.60       1.06       (2.10 )     3.79       1.80  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.17 )     (0.20 )     (0.04 )     (0.08 )     (0.18 )

Net realized capital gain

    (0.69 )     (0.71 )     (3.22 )     (0.05 )     (0.31 )

Total dividends and distributions to shareholders

    (0.86 )     (0.91 )     (3.26 )     (0.13 )     (0.49 )

Net Asset Value, end of Period

  $ 21.74     $ 18.00     $ 17.85     $ 23.21     $ 19.55  

Total investment return/(loss) (3)

    26.51 %     6.02 %     (10.71 )%     19.46 %     10.10 %
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 211,534     $ 351,360     $ 391,548     $ 506,159     $ 556,511  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    0.98 %     0.98 %     0.92 %     0.87 %     0.85 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.00 %     0.97 %     0.96 %     0.87 %     0.85 %

Ratio of net investment income/(loss) to average net assets

    0.68 %     0.99 %     0.85 %     0.15 %     0.76 %

Portfolio turnover rate(4)

    194 %     88 %     133 %     91 %     129 %

 

 

(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 is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the financial statements.
23

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Financial Highlights (continued)

 

Contained below is per share operating performance data for Class A Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class a Shares

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 18.02     $ 17.88     $ 23.25     $ 19.59     $ 18.29  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (1)

    0.08       0.13       0.12       (0.02 )     0.08  

Net realized and unrealized gain/(loss) on investments (2)

    4.48       0.87       (2.27 )     3.77       1.67  

Net increase/(decrease) in net assets resulting from operations

    4.56       1.00       (2.15 )     3.75       1.75  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.12 )     (0.15 )           (0.04 )     (0.14 )

Net realized capital gain

    (0.69 )     (0.71 )     (3.22 )     (0.05 )     (0.31 )

Total dividends and distributions to shareholders

    (0.81 )     (0.86 )     (3.22 )     (0.09 )     (0.45 )

Net Asset Value, end of Period

  $ 21.77     $ 18.02     $ 17.88     $ 23.25     $ 19.59  

Total investment return/(loss) (3)

    26.19 %     5.69 %     (10.89 )%     19.20 %     9.78 %
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 19,601     $ 31,276     $ 28,285     $ 29,423     $ 23,424  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    1.22 %     1.23 %     1.17 %     1.12 %     1.10 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.25 %     1.22 %     1.21 %     1.12 %     1.10 %

Ratio of net investment income/(loss) to average net assets

    0.40 %     0.74 %     0.64 %     (0.09 )%     0.47 %

Portfolio turnover rate(4)

    194 %     88 %     133 %     91 %     129 %

 

 

(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. Total investment return does not reflect any applicable sales charge.

(4)

Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the financial statements.
24

 

 

SGI U.S. LARGE CAP EQUITY FUND

 

Financial Highlights (concluded)

 

Contained below is per share operating performance data for Class C Shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class c Shares

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 17.22     $ 17.12     $ 22.54     $ 19.11     $ 17.79  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (1)

    (0.06 )           (0.03 )     (0.17 )     (0.05 )

Net realized and unrealized gain/(loss) on investments (2)

    4.27       0.83       (2.17 )     3.65       1.71  

Net increase/(decrease) in net assets resulting from operations

    4.21       0.83       (2.20 )     3.48       1.66  

Dividends and distributions to shareholders from:

                                       

Net investment income

          (0.02 )           0.00       (0.03 )

Net realized capital gain

    (0.69 )     (0.71 )     (3.22 )     (0.05 )     (0.31 )

Total dividends and distributions to shareholders

    (0.69 )     (0.73 )     (3.22 )     (0.05 )     (0.34 )

Net Asset Value, end of Period

  $ 20.74     $ 17.22     $ 17.12     $ 22.54     $ 19.11  

Total investment return/(loss) (3)

    25.23 %     4.93 %     (11.54 )%     18.25 %     9.47 %
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 1,823     $ 2,297     $ 2,546     $ 2,917     $ 2,915  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    1.97 %     1.98 %     1.92 %     1.87 %     1.85 %

Ratio of expenses to average net assets without waivers and reimbursements

    2.00 %     1.97 %     1.96 %     1.87 %     1.85 %

Ratio of net investment income/(loss) to average net assets

    (0.35 )%     (0.01 )%     (0.15 )%     (0.84 )%     (0.26 )%

Portfolio turnover rate(4)

    194 %     88 %     133 %     91 %     129 %

 

 

(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 is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued.

 

The accompanying notes are an integral part of the financial statements.
25

 

 

SGI GLOBAL EQUITY FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

Class I Shares

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

For the
Year
Ended
August 31,
2020

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 34.11     $ 33.16     $ 38.33     $ 32.93     $ 32.62  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (1)

    0.52       0.45       0.45       0.38       0.41  

Net realized and unrealized gain/(loss) on Investments (2)

    6.18       1.62       (3.77 )     5.24       1.06  

Net increase/(decrease) in net assets resulting from operations

    6.70       2.07       (3.32 )     5.62       1.47  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.45 )     (0.31 )     (0.58 )     (0.22 )     (0.85 )

Net realized capital gain

          (0.81 )     (1.27 )           (0.31 )

Total dividends and distributions to shareholders

    (0.45 )     (1.12 )     (1.85 )     (0.22 )     (1.16 )

Net Asset Value, end of period

  $ 40.36     $ 34.11     $ 33.16     $ 38.33     $ 32.93  

Total investment return/(loss) (3)

    19.84 %     6.39 %     (9.20 )%     17.15 %     4.53 %
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 108,187     $ 150,297     $ 118,260     $ 112,035     $ 58,262  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    0.84 %     0.84 %     0.84 %     0.97 %     0.84 %

Ratio of expenses to average net assets without waivers and reimbursements

    1.05 %     1.00 %     1.01 %     1.10 %     0.98 %

Ratio of net investment income/(loss) to average net assets

    1.45 %     1.37 %     1.24 %     1.26 %     1.32 %

Portfolio turnover rate(4)

    102 %     96 %     87 %     88 %     122 %

 

 

(1)

The selected per share data is calculated based on the average shares outstanding method for the period.

(2)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(3)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(4)

Portfolio turnover is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
26

 

 

SGI PRUDENT GROWTH FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

CLASS I SHARES

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

FOR THE
PERIOD
ENDED
AUGUST 31,
2020
(1)

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 10.28     $ 9.80     $ 11.69     $ 10.60     $ 10.00  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (2)

    0.06       0.03       0.02       (0.07 )     (0.03 )

Net realized and unrealized gain/(loss) on Investments (3)

    1.64       0.46       (1.26 )     1.16       0.63  

Net increase/(decrease) in net assets resulting from operations

    1.70       0.49       (1.24 )     1.09       0.60  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.05 )     (0.01 )     (0.40 )     (4)       

Net realized capital gain

                (0.25 )     (4)       

Total dividends and distributions to shareholders

    (0.05 )     (0.01 )     (0.65 )            

Net Asset Value, end of period

  $ 11.93     $ 10.28     $ 9.80     $ 11.69     $ 10.60  

Total investment return/(loss) (5)

    16.62 %     5.04 %     (11.26 )%     10.34 %     6.00 %(7)
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 26,929     $ 21,217     $ 15,527     $ 10,807     $ 6,408  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    1.31 %     1.47 %     1.70 %     1.70 %     1.70 %(6)

Ratio of expenses to average net assets without waivers and reimbursements

    1.31 %     1.37 %     1.61 %     1.75 %     3.97 %(6)

Ratio of net investment income/(loss) to average net assets

    0.52 %     0.26 %     0.23 %     (0.67 )%     (1.08 )%(6)

Portfolio turnover rate(8)

    61 %     61 %     67 %     170 %     6 %(7)

 

 

(1)

The Fund commenced investment operations on June 8, 2020.

(2)

The selected per share data is calculated based on the average shares outstanding method for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Amount represents less than $0.005 per share.

(5)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(6)

Annualized.

(7)

Not Annualized.

(8)

Portfolio turnover is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
27

 

 

SGI PEAK GROWTH FUND

 

Financial Highlights

 

Contained below is per share operating performance data for Class I shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

CLASS I SHARES

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

For the
Year
Ended
August 31,
2021

   

FOR THE
PERIOD
ENDED
AUGUST 31,
2020
(1)

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 10.61     $ 9.99     $ 12.63     $ 10.94     $ 10.00  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (2)

    (0.03 )     (0.06 )     (0.03 )     (0.14 )     (0.04 )

Net realized and unrealized gain/(loss) on Investments (3)

    2.07       0.68       (1.27 )     1.83       0.98  

Net increase/(decrease) in net assets resulting from operations

    2.04       0.62       (1.30 )     1.69       0.94  

Dividends and distributions to shareholders from:

                                       

Net investment income

    (0.01 )     (4)      (0.75 )            

Net realized capital gain

    (0.06 )           (0.59 )            

Total dividends and distributions to shareholders

    (0.07 )           (1.34 )            

Net Asset Value, end of period

  $ 12.58     $ 10.61     $ 9.99     $ 12.63     $ 10.94  

Total investment return/(loss) (5)

    19.25 %     6.22 %     (11.64 )%     15.45 %     9.40 %(6)
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 28,007     $ 19,555     $ 12,988     $ 10,940     $ 7,327  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    1.30 %     1.53 %     1.70 %     1.70 %     1.70 %(7)

Ratio of expenses to average net assets without waivers and reimbursements

    1.30 %     1.48 %     1.58 %     1.74 %     3.52 %(7)

Ratio of net investment income/(loss) to average net assets

    (0.26 )%     (0.55 )%     (0.29 )%     (1.17 )%     (1.58 )%(7)

Portfolio turnover rate(8)

    44 %     26 %     88 %     178 %     5 %(6)

 

 

(1)

The Fund commenced investment operations on June 8, 2020.

(2)

The selected per share data is calculated based on the average shares outstanding method for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Amount represents less than $0.005 per share.

(5)

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(6)

Not annualized.

(7)

Annualized.

(8)

Portfolio turnover is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
28

 

 

SGI SMALL CAP CORE FUND

 

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

   

CLASS I SHARES

 
   

For the
Year
Ended
August 31,
2024

   

For the
Year
Ended
August 31,
2023

   

For the
Year
Ended
August 31,
2022

   

FOR THE
YEAR
ENDED
AUGUST 31,
2021
(1)

   

FOR THE
YEAR
ENDED
AUGUST 31,
2020

 

Per Share Operating Performance:

                                       

Net Asset Value, Beginning of Period

  $ 27.50     $ 25.53     $ 38.64     $ 28.16     $ 25.67  

Income/(Loss) from Investment Operations:

                                       

Net investment income/(loss) (2)

    0.12       0.06       (0.10 )     (0.15 )     (0.10 )

Net realized and unrealized gain/(loss) on Investments (3)

    4.66       2.06       (2.97 )     12.33       2.68  

Net increase/(decrease) in net assets resulting from operations

    4.78       2.12       (3.07 )     12.18       2.58  

Dividends and distributions to shareholders from:

                                       

Net investment income

                      (0.07 )      

Net realized capital gain

          (0.15 )     (10.04 )     (1.63 )     (0.09 )

Total dividends and distributions to shareholders

          (0.15 )     (10.04 )     (1.70 )     (0.09 )

Net Asset Value, end of period

  $ 32.28     $ 27.50     $ 25.53     $ 38.64     $ 28.16  

Total investment return/(loss) (4)

    17.38 %     8.37 %     (9.93 )%     44.61 %     10.04 %
                                         

Supplemental Data:

                                       

Net assets, end of period (000’s omitted)

  $ 124,720     $ 103,502     $ 89,836     $ 97,409     $ 57,109  

Ratios to Average Net Assets:

                                       

Ratio of expenses to average net assets with waivers and reimbursements

    1.23 %     1.23 %     1.23 %     1.07 %     1.25 %

Ratio of expenses to average net assets without waivers and reimbursements (5)

    1.26 %     1.25 %     1.33 %     1.12 %     1.38 %

Ratio of net investment income/(loss) to average net assets

    0.42 %     0.24 %     (0.34 )%     (0.37 )%     (0.38 )%

Portfolio turnover rate (6)

    211 %     197 %     270 %     314 %     302 %

 

 

(1)

Effective as of the close of business on March 15, 2021, the Adviser took over management of the SGI Small Cap Core Fund from its predecessor investment manager.

(2)

Calculated based on average shares outstanding for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Total investment return/(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)

During the current fiscal period, certain fees were waived and/or reimbursed. If such fee waivers and/or reimbursements had not occurred, the ratios would have been as indicated (See Note 2).

(6)

Portfolio turnover is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
29

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the SGI U.S. Large Cap Equity Fund, the SGI Global Equity Fund, the SGI Prudent Growth Fund, the SGI Peak Growth Fund and the SGI Small Cap Core Fund (each, a “Fund” and collectively, the “Funds”). The SGI Small Cap Core Fund and the SGI U.S. Large Cap Equity Fund commenced investment operations on October 1, 1999 and February 29, 2012, respectively. The SGI Global Equity Fund commenced investment operations on April 1, 2009. The SGI Prudent Growth Fund and the SGI Peak Growth Fund commenced investment operations on June 8, 2020.

 

Effective as of the close of business on March 15, 2021, Summit Global Investments, LLC (“Summit” or the “Adviser”) took over management of the SGI Small Cap Core Fund from its predecessor investment manager.

 

As of the end of the reporting period, the SGI U.S. Large Cap Equity Fund and the SGI Global Equity Fund offer three classes of shares: Class I Shares, Class A Shares and Class C Shares; the SGI Prudent Growth Fund, the SGI Peak Growth Fund and the SGI Small Cap Core Fund, all offer one class of shares; Class I Shares. As of the end of the reporting period, Class A Shares and Class C Shares of the SGI Global Equity Fund were not yet operational.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six classes of common stock. Each class represents an interest in an active or inactive investment portfolio of the Company.

 

The investment objective of each of the SGI U.S. Large Cap Equity Fund, the SGI Global Equity Fund, the SGI Prudent Growth Fund and the SGI Small Cap Core Fund is to seek long-term capital appreciation. The investment objective of the SGI Peak Growth Fund is to seek capital appreciation.

 

The Funds are investment companies and follow accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services - Investment Companies.”

 

The end of the reporting period for the Funds is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in exchange-traded funds (“ETFs”) are valued at their last reported sale price. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Company’s Board of Directors (the “Board” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

30

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Summit as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 —

Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing each Fund’s investments carried at fair value:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

SGI U.S. Large Cap Equity Fund

                               

Investments:

                               

Common Stocks

  $ 228,837,626     $     $     $ 228,837,626  

Exchange Traded Funds

    2,693,483                   2,693,483  

Total Investments

  $ 231,531,109     $     $     $ 231,531,109  
                                 

SGI Global Equity Fund

                               

Investments:

                               

Common Stocks

  $ 104,969,074     $     $     $ 104,969,074  

Exchange Traded Funds

    1,116,431                   1,116,431  

Total Investments

  $ 106,085,505     $     $     $ 106,085,505  
                                 

SGI PRUDENT GROWTH Fund

                               

Investments:

                               

Exchange Traded Funds

  $ 13,520,807     $     $     $ 13,520,807  

Open End Funds

    12,733,039                   12,733,039  

Total Investments

  $ 26,253,846     $     $     $ 26,253,846  
                                 

SGI PEAK GROWTH FUND

                               

Investments:

                               

Open End Funds

  $ 17,061,262     $     $     $ 17,061,262  

Exchange Traded Funds

    10,772,262                   10,772,262  

Total Investments

  $ 27,833,524     $     $     $ 27,833,524  
                                 

 

31

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

SGI SMALL CAP core Fund

                               

Investments:

                               

Common Stocks

  $ 122,578,161     $     $     $ 122,578,161  

Total Investments

  $ 122,578,161     $     $     $ 122,578,161  

 

 

Please refer to Portfolio of Investments for further details.

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 purchases, sales, or transfers.

 

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

32

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

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.

 

Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Summit Global Investments, LLC serves as the investment adviser to each Fund. Each Fund compensates the Adviser for its services at an annual rate based on each Fund’s average daily net assets (the “Advisory Fee”), payable on a monthly basis in arrears, as shown in the following table.

 

The Adviser has contractually agreed to waive advisory fees and/or reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed the rates (“Expense Caps”) shown in the following table of each Fund’s average daily net assets. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause total annual Fund operating expenses to exceed the Expense Caps as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary expenses, interest and taxes. This contractual limitation is in effect until December 31, 2024 for each Fund and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after a Fund’s respective contractual limitation expiration date.

 

FUND

 

ADVISORY FEE

   

EXPENSE CAPS

 
           

CLASS I

   

CLASS A

   

CLASS C

 

SGI U.S. Large Cap Equity Fund

    0.70 %     0.98 %     1.23 %     1.98 %

SGI Global Equity Fund

    0.70       0.84       1.09       1.84  

SGI Prudent Growth Fund

    0.75       1.70              

SGI Peak Growth Fund

    0.75       1.70              

SGI Small Cap Core Fund

    0.95       1.23              

 

If at any time a Fund’s total annual Fund operating expenses for a year are less than the relevant share class’ Expense Cap, the Adviser is entitled to recoup from the Fund the advisory fees forgone and other payments remitted by the Adviser to the Fund within three years from the date on which such waiver or reimbursement was made, provided such recoupment does not cause the Fund to exceed the relevant share class’s Expense Cap that was in effect at the time of the waiver or reimbursement.

 

33

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

During the current fiscal period, investment advisory fees accrued, waived and/or reimbursed and recoupments were as follows:

 

FUND

 

Gross
Advisory Fees

   

Waivers AND/OR
Reimbursements

   

RECOUPMENTS

   

Net
Advisory Fees

 

SGI U.S. Large Cap Equity Fund

  $ 1,912,790     $ (88,693 )   $ 28,054     $ 1,852,151  

SGI Global Equity Fund

    926,566       (280,270 )           646,296  

SGI Prudent Growth Fund

    179,498                   179,498  

SGI Peak Growth Fund

    175,697                   175,697  

SGI Small Cap Core Fund

    1,131,092       (59,572 )     20,916       1,092,436  

 

As of the end of the reporting period, the Funds had amounts available for recoupment by the Adviser as follows:

 

   

Expiration

         

FUND

 

August 31,
2025

   

August 31,
2026

   

August 31,
2027

   

Total

 

SGI U.S. Large Cap Equity Fund

  $ 39,816     $ 87,307     $ 88,693     $ 215,816  

SGI Global Equity Fund

    209,841       210,693       280,270       700,804  

SGI Prudent Growth Fund

                       

SGI Peak Growth Fund

                       

SGI Small Cap Core Fund

    88,935       21,348       59,572       169,855  

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

For compensation amounts paid to Fund Services and the Custodian, please refer to the Statements of Operations.

 

The Board has adopted a Plan of Distribution (the “Plan”) for the Class A Shares and Class C Shares of the Funds pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Distributor is entitled to receive from each Fund a distribution fee with respect to the Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class A Shares and up to 1.00% on an annualized basis of the average daily net assets of the Class C Shares. The actual amount of such compensation under the Plan is agreed upon by the Board and by the Distributor. Because these fees are paid out of each Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than paying other types of sales charges. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Shares, all as set forth in each Fund’s 12b-1 Plan.

 

34

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

August 31, 2024

 

3. DIRECTOR AND OFFICER Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. For Director and Officer compensation amounts, please refer to the Statements of Operations.

 

4. Purchases and Sales of Investment Securities

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:

 

FUND

 

Purchases

   

Sales

 

SGI U.S. Large Cap Equity Fund

  $ 517,970,715     $ 726,825,196  

SGI Global Equity Fund

    132,702,082       196,818,801  

SGI Prudent Growth Fund

    16,820,687       14,284,818  

SGI Peak Growth Fund

    14,673,379       10,064,772  

SGI Small Cap Core Fund

    250,071,000       248,319,094  

 

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, 2024, 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)

 

SGI U.S. Large Cap Equity Fund

  $ 199,541,743     $ 34,789,934     $ (2,800,568 )   $ 31,989,366  

SGI Global Equity Fund

    93,544,581       14,809,973       (2,269,049 )     12,540,924  

SGI Prudent Growth Fund

    23,236,885       3,189,908       (172,947 )     3,016,961  

SGI Peak Growth Fund

    24,123,868       4,143,776       (434,120 )     3,709,656  

SGI Small Cap Core Fund

    107,242,820       17,091,856       (1,756,515 )     15,335,341  

 

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to wash sales and investments in passive foreign investment companies.

 

35

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

August 31, 2024

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds.

 

The following permanent differences as of August 31, 2024, primarily attributable to Net Operating Losses and Deemed Distributions due to Shareholder Redemptions, were reclassified among the following accounts:

 

FUND

 

Distributable
Earnings/(loss)

   

Paid-in
Capital

 

SGI U.S. Large Cap Equity Fund

  $ (34,860,265 )   $ 34,860,265  

SGI Global Equity Fund

           

SGI Prudent Growth Fund

    76       (76 )

SGI Peak Growth Fund

           

SGI Small Cap Core Fund

    24,302       (24,302 )

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

Undistributed
Ordinary
Income

   

Undistributed
Long-term
capital gains

   

Capital
Loss Carry
Forward

   

Qualified
Late-
Year Loss
Deferral

   

Other
Temporary
Differences

   

Net
Unrealized
Appreciation/

(Depreciation)

 

SGI U.S. Large Cap Equity Fund

  $ 30,480,926     $ 8,684,640     $     $     $     $ 31,989,366  

SGI Global Equity Fund

    4,396,891       12,580,829                         12,540,924  

SGI Prudent Growth Fund

    485,985       29,896                   (9,033 )     3,016,961  

SGI Peak Growth Fund

    100,150       251,652                   (11,230 )     3,709,656  

SGI Small Cap Core Fund

    529,604             (450,290 )                 15,335,341  

 

The differences between the book and tax basis components of distributable earnings relate primarily to wash sales and investments in passive foreign investment companies.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2024 was as follows:

 

           

2024

         

FUND

 

Ordinary
Income

   

Long-Term
Gains

   

TOTAL

 

SGI U.S. Large Cap Equity Fund

  $ 3,031,713     $ 12,258,966     $ 15,290,679  

SGI Global Equity Fund

    2,003,073             2,003,073  

SGI Prudent Growth Fund

    114,358             114,358  

SGI Peak Growth Fund

    14,474       117,001       131,475  

SGI Small Cap Core Fund

                 

 

 

36

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (continued)

August 31, 2024

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 was as follows:

 

           

2023

         

FUND

 

Ordinary
Income

   

Long-Term
Gains

   

TOTAL

 

SGI U.S. Large Cap Equity Fund

  $ 4,425,439     $ 16,298,811     $ 20,724,250  

SGI Global Equity Fund

    1,176,535       3,052,908       4,229,443  

SGI Prudent Growth Fund

    23,212             23,212  

SGI Peak Growth Fund

          1,109       1,109  

SGI Small Cap Core Fund

          554,990       554,990  

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

 

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. As of August 31, 2024, the SGI Small Cap Core Fund had $450,290 of short-term loss carryovers. During the fiscal year, the SGI Prudent Growth Fund utilized $180,794 and the SGI Small Cap Core Fund utilized $5,472,890 of carry forward capital losses.

 

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, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024.

 

FUND

         

Late-year
ordinary loss
deferral

   

post-october
capital loss
deferral

 

SGI U.S. Large Cap Equity Fund

    2024     $     $  

SGI Global Equity Fund

    2024              

SGI Prudent Growth Fund

    2024              

SGI Peak Growth Fund

    2024              

SGI Small Cap Core Fund

    2024              

 

37

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

6. TRANSACTIONS WITH AFFILIATES

 

The following issuers are affiliated with the Funds. Fund of funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirement, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the 1940 Act; such issuers are:

 

   

August 31, 2023

   

Additions

   

Reductions

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

Cost

 

SGI Prudent Growth Fund

                                               

SGI Dynamic Tactical ETF

    148,890     $ 3,792,279       19,269     $ 515,703       (124,699 )   $ (3,204,968 )

SGI Enhanced Core ETF

                101,600       2,554,682       (12,990 )     (329,591 )

SGI Enhanced Global Income ETF

                93,670       2,409,572       (3,330 )     (87,660 )

SGI Global Equity Fund

    141,279       4,638,412       20,444       727,075       (102,160 )     (3,509,307 )

SGI Small Cap Core Fund

    69,840       2,021,405       41,190       1,166,426       (43,925 )     (1,439,874 )

SGI U.S. Large Cap Core ETF

    72,890       1,876,034       11,993       372,499       (16,723 )     (482,335 )

SGI U.S. Large Cap Equity Fund

    140,420       2,510,834       269,722       5,296,890       (34,661 )     (699,089 )

SGI U.S. Small Cap Equity Fund

    72,077       738,593       7,809       86,609       (79,886 )     (825,202 )
      645,396     $ 15,577,557       565,697     $ 13,129,456       (418,374 )   $ (10,578,026 )

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

Cost

 

SGI Peak Growth Fund

                                               

SGI Dynamic Tactical ETF

    75,030     $ 1,904,297       17,000     $ 460,681       (2,920 )   $ (77,430 )

SGI Enhanced Core ETF

                10,750       270,211              

SGI Enhanced Global Income ETF

                155,590       4,002,371              

SGI Global Equity Fund

    169,059       5,518,092       45,130       1,617,928       (116,194 )     (4,053,117 )

SGI Small Cap Core Fund

    149,014       4,229,239       84,579       2,417,378       (83,389 )     (2,654,799 )

SGI U.S. Large Cap Core ETF

    55,530       1,425,836       50,025       1,611,804       (2,945 )     (83,626 )

SGI U.S. Large Cap Equity Fund

    192,484       3,461,172       206,384       4,024,159       (19,033 )     (384,448 )

SGI U.S. Small Cap Equity Fund

    100,486       1,018,503       11,230       125,469       (111,716 )     (1,143,972 )
      741,603     $ 17,557,139       580,688     $ 14,530,001       (336,197 )   $ (8,397,392 )

 

38

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

   

August 31, 2024

 

Issuer Name

 

Dividend
Income

   

Capital
Gain
Distribution

   

Net Change in
Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

SGI Prudent Growth Fund

                                                       

SGI Dynamic Tactical ETF

  $ 38,005     $     $ 137,516     $ 345,825       43,460     $ 1,326,834     $ 1,103,014  

SGI Enhanced Core ETF

    20,010             61,048       908       88,610       2,286,138       2,225,091  

SGI Enhanced Global Income ETF

    16,336             92,876       (1,344 )     90,340       2,414,788       2,321,912  

SGI Global Equity Fund

    67,242             367,152       337,692       59,562       2,403,963       1,856,181  

SGI Small Cap Core Fund

                518,988       (115,793 )     67,104       2,166,132       1,747,957  

SGI U.S. Large Cap Core ETF

    5,702       28,170       470,532       59,882       68,160       2,401,618       1,766,199  

SGI U.S. Large Cap Equity Fund

    25,508       102,169       1,037,584       (14,652 )     375,480       8,162,944       7,108,635  

SGI U.S. Small Cap Equity Fund

    5,484       7,899       (88,133 )     141,421                    
    $ 178,287     $ 138,238     $ 2,597,563     $ 753,939       792,716     $ 21,162,417     $ 18,128,989  
                                                         

 

 

39

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (CONCLUDED)

August 31, 2024

 

   

August 31, 2024

 

Issuer Name

 

Dividend
Income

   

Capital
Gain
Distribution

   

Net Change in
Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

SGI Peak Growth Fund

                                                       

SGI Dynamic Tactical ETF

  $ 19,685     $     $ 382,744     $ 1,880       89,110     $ 2,720,528     $ 2,287,548  

SGI Enhanced Core ETF

    2,322               7,139             10,750       277,350       270,211  

SGI Enhanced Global Income ETF

    27,956               156,550             155,590       4,158,921       4,002,371  

SGI Global Equity Fund

    82,669             623,663       312,427       97,995       3,955,071       3,082,903  

SGI Small Cap Core Fund

                988,112       (140,893 )     150,204       4,848,588       3,991,818  

SGI U.S. Large Cap Core ETF

    4,405       21,760       532,445       5,759       102,610       3,615,463       2,954,014  

SGI U.S. Large Cap Equity Fund

    35,670       145,631       1,153,186       (18,605 )     379,835       8,257,603       7,100,882  

SGI U.S. Small Cap Equity Fund

    7,669       11,046       (134,076 )     207,800                    
    $ 180,376     $ 178,437     $ 3,709,763     $ 368,368       986,094     $ 27,833,524     $ 23,689,747  

 

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.

 

40

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders of SGI U.S. Large Cap Equity Fund, SGI Global Equity Fund, SGI Prudent Growth Fund, SGI Peak Growth Fund, and SGI Small Cap Core Fund, and Board of Directors of The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of SGI U.S. Large Cap Equity Fund, SGI Global Equity Fund, SGI Prudent Growth Fund, SGI Peak Growth Fund, and SGI Small Cap Core Fund (collectively referred to as the “Funds”) (five of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the portfolios of investments, as of August 31, 2024, and the related statements of operations and 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 (five of the portfolios constituting The RBB Fund, Inc.) at August 31, 2024, 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

SGI U.S. Large Cap Equity Fund SGI Global Equity Fund

For the year ended August 31, 2024

For each of the two years in the period ended August 31, 2024

For each of the five years in the period ended August 31, 2024

SGI Small Cap Core Fund

For the year ended August 31, 2024

For each of the two years in the period ended August 31, 2024

For each of the four years in the period ended August 31, 2024

SGI Prudent Growth Fund SGI Peak Growth Fund

For the year ended August 31, 2024

For each of the two years in the period ended August 31, 2024

For each of the four years in the period ended August 31, 2024 and the period June 8, 2020 (commencement of operations) through August 31, 2020

 

The financial highlights of SGI Small Cap Core Fund for each of the periods presented through August 31, 2020, were audited by other auditors whose report dated October 27, 2020, expressed an unqualified opinion on those financial statements.

 

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

 

41

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (Concluded)

 

included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian. 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, 2024

 

42

 

 

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the tax character of distributions paid by the Funds were as follows:

 

FUND

         

Ordinary Income

   

Long-Term
Gains

 

SGI U.S. Large Cap Equity Fund

    2024     $ 3,031,713     $ 12,258,966  

SGI Global Equity Fund

    2024       2,003,073        

SGI Prudent Growth Fund

    2024       114,358        

SGI Peak Growth Fund

    2024       14,474       117,001  

SGI Small Cap Core Fund

    2024              

 

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, 2024 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

    69.10 %

SGI Global Equity Fund

    53.70 %

SGI Prudent Growth Fund

    12.69 %

SGI Peak Growth Fund

    85.38 %

SGI Small Cap Core Fund

    0.00 %

 

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

    69.03 %

SGI Global Equity Fund

    25.74 %

SGI Prudent Growth Fund

    7.60 %

SGI Peak Growth Fund

    39.91 %

SGI Small Cap Core 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:

 

SGI U.S. Large Cap Equity Fund

    0.00 %

SGI Global Equity Fund

    0.00 %

SGI Prudent Growth Fund

    0.00 %

SGI Peak Growth Fund

    0.00 %

SGI Small Cap Core Fund

    0.00 %

 

43

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

SHAREHOLDER TAX INFORMATION (UNAUDITED) (Concluded)

 

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

    0.00 %

SGI Global Equity Fund

    0.00 %

SGI Prudent Growth Fund

    17.80 %

SGI Peak Growth Fund

    0.00 %

SGI Small Cap Core Fund

    0.00 %

 

Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Other Information (Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered the renewal of the investment advisory agreements between Summit Global Investments, LLC (“Summit”) and the Company (the “Investment Advisory Agreements”) on behalf of the SGI U.S. Large Cap Equity Fund, SGI Global Equity Fund, SGI Peak Growth Fund, SGI Prudent Growth Fund, and SGI Small Cap Core Fund (each a “Fund” and together the “Funds”), at a meeting of the Board held on May 15-16, 2024 (for this section only, the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreements for an additional one-year term ending August 16, 2025. 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 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. The Directors reviewed these materials with management of Summit, and discussed the Investment Advisory Agreements with counsel in executive sessions, at which no representatives of Summit were present. 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 FUSE Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its Peer 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. Information on the Funds’ investment performance was provided for the three-month, one-year, three-year, five-year, ten-year, and since inception periods ended December 31, 2023, as applicable. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

The Directors noted that the SGI U.S. Large Cap Equity Fund outperformed its benchmark, the S&P 500® Low Volatility Index, for the three-month, one-year, five-year, and ten-year periods ended December 31, 2023 and underperformed its benchmark for the three-year and since inception periods ended December 31, 2023. The Directors also noted that the SGI U.S. Large Cap Equity Fund underperformed the median of its Peer Group for the three-month, one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023.

 

The Directors noted that the SGI Global Equity Fund’s investment performance outperformed its benchmark, the MSCI ACWI Minimum Volatility (USD) Index, for the three-month, one-year, three-year, five-year, and since-inception periods ended December 31, 2023, and underperformed its benchmark for the ten-year period ended December 31,

 

45

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Other Information (Unaudited) (Concluded)

 

2023. The Directors also noted that the SGI Global Equity Fund outperformed the median of its Peer Group for the since-inception period ended December 31, 2023, and underperformed the median of its Peer Group for the three-month, one-year, three-year, five-year, and ten-year periods ended December 31, 2023.

 

The Directors noted that the SGI Small Cap Core Fund’s investment performance outperformed its benchmark, the Russell 2000® Index, for the three-month, one-year, three-year, five-year, ten-year, and since-inception periods ended December 31, 2023. The Directors also noted that the SGI Small Cap Core Fund outperformed the median of its Peer Group for the three-month, one-year, five-year, ten-year, and since-inception periods ended December 31, 2023, and underperformed the median of its Peer Group for the three-year period ended December 31, 2023.

 

Next, the Directors noted that the SGI Peak Growth Fund’s investment performance underperformed its benchmark, the S&P 500 Index, for the three-month, one-year, three-year and since-inception periods ended December 31, 2023. The Directors also noted that the SGI Peak Growth Fund underperformed the median of its Peer Group for the three-month, one-year, three-year and since-inception periods ended December 31, 2023.

 

Finally, the Directors noted that the SGI Prudent Growth Fund’s investment performance underperformed its benchmark, the S&P 500 Index, for the three-month, one-year, three-year and since-inception periods ended December 31, 2023. The Directors also noted that the SGI Prudent Growth Fund underperformed the median of its Peer Group for the three-month, one-year, three-year and since-inception periods ended December 31, 2023.

 

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 Summit had contractually agreed to waive management fees and reimburse expenses through at least December 31, 2024 for the Funds to limit total annual operating expenses to agreed upon levels for each Fund.

 

The Directors noted that the SGI U.S. Large Cap Equity Fund’s net advisory fee and total net expenses were each above the median of its Peer Group and each ranked in the 5th quintile of its Peer Group.

 

The Directors noted that the SGI Global Equity Fund’s net advisory fee was above the median of its Peer Group and ranked in the 3rd quintile of its Peer Group, and its total net expenses was above the median of its Peer Group and ranked in the 3rd quintile of its Peer Group.

 

The Directors noted that the SGI Small Cap Core Fund’s net advisory fee and total net expenses were each above the median of its Peer Group and each ranked in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the SGI Peak Growth Fund ranked below the median and in the 3rd quintile of its Peer Group, and the Fund’s total net expenses (including acquired fund fees and expenses) were above the median and in the 5th quintile of its Peer Group.

 

The Directors noted that the net advisory fee of the SGI Prudent Growth Fund ranked above the median and in the 5th quintile of its Peer Group, and the Fund’s total net expenses (including acquired fund fees and expenses) were above the median and in the 5th quintile of its Peer Group.

 

After reviewing information relating to Summit’s costs, profitability and economies of scale, and after considering the services to be provided by Summit, the Directors concluded that the investment advisory fees to be paid by the Funds to Summit were fair and reasonable and that the Investment Advisory Agreements should be approved and continued for an additional one-year period ending August 16, 2025.

 

 

46

 

 

Investment Adviser

Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

 

SGI U.S. LARGE CAP CORE ETF

 

SGI DYNAMIC TACTICAL ETF

 

SGI ENHANCED GLOBAL INCOME ETF

 

SGI ENHANCED CORE ETF

 

SGI ENHANCED NASDAQ-100 ETF

 

of

 

The RBB Fund, Inc.

 

Financial Statements

 

August 31, 2024


 

This report is submitted for the general information of the shareholders of the Funds and may not be used as sales literature unless preceded or accompanied by a current prospectus for the Funds.

 

 

SGI U.S. LARGE CAP CORE ETF

 

Portfolio of Investments

August 31, 2024

 

   

Shares

   

Value

 

COMMON STOCKS — 97.5%

Aerospace/Defense — 0.4%

TransDigm Group, Inc.

    247     $ 339,183  

Auto Manufacturers — 0.8%

Cummins, Inc.

    597       186,771  

Ford Motor Co.

    14,976       167,581  

General Motors Co.

    3,915       194,889  

PACCAR, Inc.

    1,742       167,546  
              716,787  

Banks — 2.1%

Bank of America Corp.

    33,933       1,382,770  

Citigroup, Inc.

    3,015       188,859  

JPMorgan Chase & Co.

    842       189,282  

Popular, Inc.

    1,868       191,470  
              1,952,381  

Beverages — 0.5%

Coca-Cola Co.

    6,330       458,735  

Biotechnology — 4.6%

Regeneron Pharmaceuticals, Inc.(a)

    1,895       2,244,988  

United Therapeutics Corp.(a)

    4,915       1,786,848  

Vertex Pharmaceuticals, Inc.(a)

    435       215,712  
              4,247,548  

Building Materials — 1.4%

Louisiana-Pacific Corp.

    1,918       186,142  

Owens Corning

    4,488       757,260  

Trane Technologies PLC

    908       328,387  
              1,271,789  

Chemicals — 0.5%

LyondellBasell Industries NV - Class A

    4,348       429,148  

Commercial Services — 1.9%

Automatic Data Processing, Inc.

    6,306       1,739,889  

Cosmetics & Personal Care — 0.8%

Colgate-Palmolive Co.

    6,667       710,036  

Distribution/Wholesale — 0.2%

WW Grainger, Inc.

    179       176,301  

Diversified Financial Services — 4.4%

American Express Co.

    773       199,936  

Ameriprise Financial, Inc.

    435       195,506  

Interactive Brokers Group, Inc., Class A - Class A

    1,467       189,082  

Mastercard, Inc. - Class A

    6,734       3,254,812  

Synchrony Financial

    3,850       193,501  
              4,032,837  

Electric — 1.1%

American Electric Power Co., Inc.

    1,860       186,521  

Exelon Corp.

    7,966       303,425  

Sempra

    6,635       545,264  
              1,035,210  

Electronics — 0.2%

Amphenol Corp. - Class A

    2,740     $ 184,813  

Environmental Control — 0.3%

Waste Management, Inc.

    1,479       313,607  

Food — 4.0%

Kroger Co., (The)

    29,768       1,583,955  

Pilgrim’s Pride Corp.(a)

    36,104       1,681,724  

Sysco Corp.

    4,941       385,250  
              3,650,929  

Freight & Logistics — 1.9%

CSX Corp.

    6,026       206,511  

FedEx Corp.

    651       194,499  

Union Pacific Corp.

    5,305       1,358,558  
              1,759,568  

Healthcare-Products — 0.2%

Intuitive Surgical, Inc.(a)

    372       183,258  

Healthcare-Services — 2.6%

Centene Corp.(a)

    2,516       198,336  

Elevance Health, Inc.

    1,076       599,214  

HCA Healthcare, Inc.

    595       235,376  

Humana, Inc.

    2,588       917,368  

Medpace Holdings, Inc.(a)

    470       166,977  

Universal Health Services, Inc. - Class B

    1,071       254,866  
              2,372,137  

Home Builders — 1.4%

DR Horton, Inc.

    1,274       240,480  

Lennar Corp. - Class A

    3,662       666,704  

NVR, Inc.(a)

    20       183,449  

PulteGroup, Inc.

    1,553       204,453  
              1,295,086  

Insurance — 9.2%

Allstate Corp., (The)

    16,727       3,160,399  

American Financial Group, Inc.

    4,042       540,092  

American International Group, Inc.

    2,439       187,925  

Arch Capital Group Ltd.(a)

    3,864       436,980  

Berkshire Hathaway, Inc. - Class B(a)

    1,608       765,279  

Everest Group Ltd.

    502       196,904  

Hartford Financial Services Group Inc., (The)

    1,956       227,092  

MetLife, Inc.

    2,469       191,298  

Progressive Corp.

    9,684       2,442,305  

Prudential Financial, Inc.

    1,425       172,653  

Unum Group

    3,955       219,463  
              8,540,390  

Machinery-Construction & Mining — 0.2%

Caterpillar, Inc.

    597       212,592  

 

 

The accompanying notes are an integral part of the financial statements.
1

 

 

SGI U.S. LARGE CAP CORE ETF

 

Portfolio of Investments (Continued)

August 31, 2024

 

   

Shares

   

Value

 

Media — 0.5%

Comcast Corp. - Class A

    6,014     $ 237,974  

Walt Disney Co.

    2,095       189,346  
              427,320  

Mining — 0.4%

Freeport-McMoRan, Inc.

    3,846       170,301  

Newmont Corp.

    4,259       227,388  
              397,689  

Oil & Gas — 1.2%

Chord Energy Corp.

    1,184       175,741  

ConocoPhillips

    1,635       186,047  

Diamondback Energy, Inc.

    1,056       206,036  

EOG Resources, Inc.

    1,664       214,356  

Matador Resources Co.

    3,422       194,096  

Ovintiv, Inc.

    4,160       178,173  
              1,154,449  

Online Services — 14.4%

Alphabet, Inc. - Class A

    26,370       4,308,331  

Amazon.com, Inc.(a)

    24,369       4,349,867  

Booking Holdings, Inc.

    48       187,643  

Meta Platforms, Inc. - Class A

    7,264       3,786,796  

Netflix, Inc.(a)

    278       194,975  

Spotify Technology SA(a)

    1,415       485,175  
              13,312,787  

Pharmaceuticals — 3.9%

AbbVie, Inc.

    1,200       235,572  

The Cigna Group

    554       200,443  

Eli Lilly & Co.

    2,193       2,105,324  

Neurocrine Biosciences, Inc.(a)

    8,539       1,084,965  
              3,626,304  

Real Estate — 0.2%

CBRE Group, Inc. - Class A(a)

    1,781       205,064  

REITS — 2.5%

Host Hotels & Resorts, Inc.

    10,108       178,911  

Simon Property Group, Inc.

    12,791       2,140,574  
              2,319,485  

Retail — 4.9%

Bath & Body Works, Inc.

    5,374       165,304  

Costco Wholesale Corp.

    2,602       2,321,973  

Ferguson Enterprises, Inc.

    870       178,968  

Home Depot, Inc.

    1,597       588,494  

Ross Stores, Inc.

    2,150       323,812  

Target Corp.

    1,161       178,353  

Texas Roadhouse, Inc.

    1,078       181,913  

TJX Cos., Inc.

    1,679       196,896  

Walmart, Inc.

    2,780       214,699  

Wingstop, Inc.

    495       191,124  
              4,541,536  

Semiconductors — 13.8%

Advanced Micro Devices, Inc.(a)

    1,506     $ 223,731  

Amkor Technology, Inc.

    5,629       185,194  

Applied Materials, Inc.

    9,118       1,798,617  

Broadcom, Inc.

    2,128       346,481  

KLA Corp.

    273       223,704  

Lam Research Corp.

    1,958       1,607,538  

Monolithic Power Systems, Inc.

    222       207,499  

NVIDIA Corp.

    42,322       5,051,977  

QUALCOMM, Inc.

    17,549       3,076,340  
              12,721,081  

Software — 11.7%

Adobe, Inc.(a)

    865       496,865  

AppLovin Corp. - Class A(a)

    2,247       208,679  

Autodesk, Inc.(a)

    729       188,374  

Intuit, Inc.

    535       337,189  

Microsoft Corp.

    13,733       5,728,584  

Oracle Corp.

    1,322       186,785  

Salesforce.com, Inc.

    752       190,181  

ServiceNow, Inc.(a)

    532       454,860  

Veeva Systems, Inc. - Class A(a)

    12,210       2,642,732  

Workday, Inc. - Class A(a)

    745       196,076  

Zoom Video Communications, Inc. - Class A(a)

    2,422       167,312  
              10,797,637  

Technology — 4.6%

Apple, Inc.

    16,867       3,862,543  

Cognizant Technology Solutions Corp. - Class A

    2,387       185,637  

Leidos Holdings, Inc.

    1,246       197,503  
              4,245,683  

Telecommunications — 0.7%

Arista Networks, Inc.(a)

    1,709       603,926  

TOTAL COMMON STOCKS (Cost $84,624,724)

            89,975,185  
 

 

 

 

The accompanying notes are an integral part of the financial statements.
2

 

 

SGI U.S. LARGE CAP CORE ETF

 

Portfolio of Investments (CONCLUDED)

August 31, 2024

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 1.2%

iShares Core S&P 500 ETF

    1,952     $ 1,106,296  

TOTAL EXCHANGE TRADED FUNDS (Cost $1,098,057)

            1,106,296  

TOTAL INVESTMENTS — 98.7% (Cost $85,722,781)

            91,081,481  

Other Assets in Excess of Liabilities — 1.3%

            1,210,089  

TOTAL NET ASSETS — 100.0%

          $ 92,291,570  

 

 

Percentages are stated as a percent of net assets.

 

ETF - Exchange-Traded Fund

 

NV - Naamloze Vennootschap

 

PLC - Public Limited Company

 

REIT - Real Estate Investment Trust

 

SA - Sociedad Anónima

 

(a)

Non-income producing security.

 

The accompanying notes are an integral part of the financial statements.
3

 

 

SGI DYNAMIC TACTICAL ETF

 

Portfolio of Investments

August 31, 2024

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

iShares Core MSCI EAFE ETF

    39,707     $ 3,064,983  

iShares Core U.S. Aggregate Bond ETF

    120,602       12,090,351  

iShares MSCI USA Min Vol Factor ETF

    65,812       6,009,952  

PGIM Ultra Short Bond ETF

    57,505       2,862,024  

Schwab US Dividend Equity ETF

    56,865       4,806,798  

SGI Enhanced Nasdaq-100 ETF(a)(b)

    206,880       5,263,151  

SGI U.S. Large Cap Core ETF(b)(c)

    598,640       21,093,080  

Vanguard Small-Cap ETF

    18,118       4,229,104  

TOTAL EXCHANGE TRADED FUNDS (Cost $54,134,107)

            59,419,443  

TOTAL INVESTMENTS — 99.7% (Cost $54,134,107)

            59,419,443  

Assets in Excess of Other Liabilities — 0.3%

            189,294  

TOTAL NET ASSETS — 100.0%

          $ 59,608,737  

 

 

Percentages are stated as a percent of net assets.

 

ETF - Exchange-Traded Fund

 

(a)

Non-income producing security.

 

(b)

Affiliated company as defined by the Investment Company Act of 1940. See Note 6.

 

(c)

Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov.

 

The accompanying notes are an integral part of the financial statements.
4

 

 

SGI ENHANCED GLOBAL INCOME ETF

 

Portfolio of Investments

August 31, 2024

 

   

Shares

   

Value

 

COMMON STOCKS — 98.0%

Aerospace/Defense — 0.5%

Lockheed Martin Corp.

    638     $ 362,448  

Banks — 11.4%

Banco Bilbao Vizcaya Argentaria SA - ADR

    72,812       775,448  

Banco Santander SA - ADR

    63,918       318,312  

Bancolombia SA - ADR

    53,646       1,775,146  

Bank of New York Mellon Corp.

    5,629       384,010  

Citizens Financial Group, Inc.

    8,653       372,512  

ICICI Bank Ltd. - ADR

    17,294       506,887  

ING Groep NV - ADR

    19,581       356,570  

JPMorgan Chase & Co.

    3,242       728,802  

Shinhan Financial Group Co. Ltd. - ADR

    39,039       1,657,205  

UBS Group AG

    17,551       539,869  

Woori Financial Group, Inc. - ADR

    10,218       370,198  
              7,784,959  

Beverages — 3.2%

Coca-Cola Co.

    6,271       454,459  

Coca-Cola Femsa SAB de CV - ADR

    11,272       949,553  

PepsiCo, Inc.

    4,437       767,069  
              2,171,081  

Building Materials — 0.5%

UFP Industries, Inc.

    2,940       357,710  

Commercial Services — 0.9%

Automatic Data Processing, Inc.

    2,263       624,384  

Cosmetics/Personal Care — 1.5%

Colgate-Palmolive Co.

    5,474       582,981  

Unilever PLC - ADR

    7,366       477,243  
              1,060,224  

Diversified Financial Services — 2.1%

American Express Co.

    1,364       352,799  

Janus Henderson Group PLC

    9,186       345,485  

Mastercard, Inc. - Class A

    700       338,338  

TPG, Inc. Class A

    7,633       385,085  
              1,421,707  

Electric — 3.4%

American Electric Power Co., Inc.

    3,734       374,445  

Cia Energetica de Minas Gerais - ADR

    329,040       674,532  

Clearway Energy, Inc. - Class C

    12,756       369,414  

Entergy Corp.

    2,865       345,777  

Evergy, Inc.

    9,450       558,873  
              2,323,041  

Electronics — 2.0%

Amphenol Corp. - Class A

    15,452     $ 1,042,237  

Honeywell International, Inc.

    1,515       314,984  
              1,357,221  

Food — 0.4%

Sysco Corp.

    3,711       289,347  

Healthcare-Services — 0.5%

Elevance Health, Inc.

    635       353,625  

Home Builders — 1.3%

DR Horton, Inc.

    1,830       345,431  

Lennar Corp. - Class A

    3,027       551,095  
              896,526  

Insurance — 4.3%

Allstate Corp.

    1,849       349,350  

American Financial Group, Inc.

    4,781       638,837  

American International Group, Inc.

    4,271       329,081  

Berkshire Hathaway, Inc. - Class B(a)

    734       349,325  

Corebridge Financial, Inc.

    11,053       326,727  

Progressive Corp.

    1,555       392,171  

Prudential Financial, Inc.

    4,499       545,099  
              2,930,590  

Machinery-Diversified — 0.4%

Deere & Co.

    708       273,104  

Mining — 3.3%

Rio Tinto PLC - ADR

    35,194       2,226,724  

Oil & Gas — 7.8%

Civitas Resources, Inc.

    20,400       1,251,132  

EOG Resources, Inc.

    3,687       474,960  

Equinor ASA - ADR

    72,625       1,952,886  

Permian Resources Corp. Class A

    22,063       314,177  

Petroleo Brasileiro SA - ADR

    60,943       928,162  

Shell PLC Class A - ADR

    5,208       373,205  
              5,294,522  

Online Services — 11.1%

Alibaba Group Holding Ltd. - ADR

    8,063       671,970  

Alphabet, Inc. - Class C

    12,944       2,137,184  

Amazon.com, Inc.(a)

    5,749       1,026,197  

JD.com, Inc. - ADR

    10,681       288,387  

Meta Platforms, Inc. - Class A

    5,119       2,668,586  

PDD Holdings, Inc. - ADR(a)

    3,882       373,099  

Shopify, Inc. - Class A(a)

    5,505       407,755  
              7,573,178  

Pharmaceuticals — 9.3%

AbbVie, Inc.

    3,567       700,238  

Bristol-Myers Squibb Co.

    14,475       723,026  

Eli Lilly & Co.

    2,803       2,690,936  

Novo Nordisk AS - ADR

    15,877       2,209,443  
              6,323,643  

 

 

The accompanying notes are an integral part of the financial statements.
5

 

 

SGI ENHANCED GLOBAL INCOME ETF

 

Portfolio of Investments (concluded)

August 31, 2024

 

   

Shares

   

Value

 

Private Equity — 0.6%

Brookfield Corp.

    8,097     $ 407,117  

Real Estate — 1.3%

CBRE Group, Inc. - Class A(a)

    7,555       869,883  

Retail — 3.5%

Ferguson Enterprises, Inc.

    3,237       665,883  

Home Depot, Inc.

    2,735       1,007,848  

TJX Companies, Inc.

    5,912       693,300  
              2,367,031  

Semiconductors — 9.2%

Applied Materials, Inc.

    4,904       967,363  

Broadcom, Inc.

    358       58,289  

Lam Research Corp.

    1,177       966,329  

Micron Technology, Inc.

    9,579       921,883  

NVIDIA Corp.

    7,951       949,111  

QUALCOMM, Inc.

    7,963       1,395,914  

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

    5,884       1,010,283  
              6,269,172  

Software — 3.4%

Microsoft Corp.

    4,626       1,929,690  

SAP SE - ADR

    1,721       378,121  
              2,307,811  

Technology — 6.4%

Apple, Inc.

    11,139       2,550,831  

Infosys Ltd. - ADR

    64,169       1,493,855  

Logitech International S.A.

    3,731       339,558  
              4,384,244  

Telecommunications — 3.9%

TELUS Corp.

    64,509       1,041,175  

TIM SA - ADR

    101,316       1,612,951  
              2,654,126  

Transportation — 5.8%

CSX Corp.

    40,039       1,372,136  

FedEx Corp.

    2,239       668,946  

Frontline PLC

    39,129       944,574  

TFI International, Inc.

    2,446       362,326  

Union Pacific Corp.

    2,537       649,700  
              3,997,682  

TOTAL COMMON STOCKS (Cost $64,343,973)

            66,881,100  

SHORT-TERM INVESTMENTS — 0.8%

Money Market Funds — 0.8%

First American Government Obligations Fund - Class X, 5.22%(b)

    557,853     $ 557,853  

TOTAL SHORT-TERM INVESTMENTS (Cost $557,853)

            557,853  

TOTAL INVESTMENTS — 98.8% (Cost $64,901,826)

            67,438,953  

Other Assets in Excess of Liabilities — 1.2%

            799,675  

TOTAL NET ASSETS — 100.0%

          $ 68,238,628  

 

 

Percentages are stated as a percent of net assets.

 

ADR - American Depositary Receipt

 

AG - Aktiengesellschaft

 

ASA - Advanced Subscription Agreement

 

NV - Naamloze Vennootschap

 

PLC - Public Limited Company

 

SA - Sociedad Anónima

 

SAB de CV - Sociedad Anónima Bursátil de Capital Variable

 

(a)

Non-income producing security.

 

(b)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the financial statements.
6

 

 

SGI ENHANCED CORE ETF

 

Portfolio of Investments

August 31, 2024

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 73.1%

Money Market Funds — 73.1%

Fidelity Government Cash Reserves, 5.00%(a)

    21,435,573     $ 21,435,573  

First American Government Obligations Fund - Class X, 5.22%(a)

    2,564,614       2,564,614  

JPMorgan Liquid Assets Money Market Fund - Class I, 5.25%(a)

    25,647       25,647  

PIMCO Government Money Market Fund - Class M(a)

    21,440,169       21,440,169  

T Rowe Price US Treasury Money Fund, Inc. - Class I, 5.04%(a)

    45,516       45,516  

Vanguard Federal Money Market Fund - Class I, 5.25%(a)

    24,465,521       24,465,521  

Vanguard Treasury Money Market Fund - Class I, 5.25%(a)

    24,465,871       24,465,871  

TOTAL SHORT-TERM INVESTMENTS (Cost $94,442,911)

            94,442,911  

TOTAL INVESTMENTS — 73.1% (Cost $94,442,911)

            94,442,911  

Other Assets in Excess of Liabilities — 26.9%

            34,814,124  

TOTAL NET ASSETS — 100.0%

          $ 129,257,035  

 

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the financial statements.
7

 

 

SGI ENHANCED CORE ETF

 

Portfolio of Investments

August 31, 2024

 

   

Notional Amount

   

Contracts

   

Value

 

WRITTEN OPTIONS — 0.0%(a)(b)(c)

                       

Call Options — 0.0%(a)

                       

S&P 500 Index(b)(c)

                       

Expiration: 09/03/2024; Exercise Price: $5,735.00

  $ (197,694,000 )     (350 )   $ (1,750 )

Expiration: 09/03/2024; Exercise Price: $5,750.00

    (16,380,360 )     (29 )     (145 )

Expiration: 09/04/2024; Exercise Price: $5,800.00

    (141,210,000 )     (250 )     (1,750 )

Expiration: 09/06/2024; Exercise Price: $5,830.00

    (90,374,400 )     (160 )     (1,600 )

Total Call Options

                    (5,245 )
                         

Put Options — 0.0%(a)

                       

S&P 500 Index(b)(c)

                       

Expiration: 09/03/2024; Exercise Price: $5,225.00

    (112,968,000 )     (200 )     (2,000 )

Expiration: 09/03/2024; Exercise Price: $5,235.00

    (28,242,000 )     (50 )     (500 )

Expiration: 09/03/2024; Exercise Price: $5,250.00

    (338,904,000 )     (600 )     (6,000 )

Total Put Options

                    (8,500 )

TOTAL WRITTEN OPTIONS (Premiums received $14,948)

                  $ (13,745 )

 

 

Percentages are stated as a percent of net assets.

 

(a)

Represents less than 0.05% of net assets.

 

(b)

100 shares per contract.

 

(c)

Exchange-traded.

 

The accompanying notes are an integral part of the financial statements.
8

 

 

SGI ENHANCED NASDAQ-100 ETF

 

Portfolio of Investments

August 31, 2024

 

    Shares     Value  
SHORT-TERM INVESTMENTS — 4.7%
Money Market Funds — 4.7%

First American Government Obligations Fund - Class X, 5.22%(a)

    500,034     $ 500,034  
TOTAL SHORT-TERM INVESTMENTS (Cost $500,034)             500,034  
TOTAL INVESTMENTS — 4.7% (Cost $500,034)             500,034  
Other Assets in Excess of Liabilities — 95.3%             10,053,478  
TOTAL NET ASSETS — 100.0%           $ 10,553,512  

 

 

Percentages are stated as a percent of net assets.

 

(a)

The rate shown represents the 7-day annualized effective yield as of August 31, 2024.

 

The accompanying notes are an integral part of the financial statements.
9

 

 

SGI ENHANCED NASDAQ-100 ETF

 

Portfolio of Investments

August 31, 2024

 

   

Notional Amount

   

Contracts

   

Value

 

WRITTEN OPTIONS — 0.0%(a)(b)(c)

                       

Call Options — 0.0%(a)

                       

S&P 500 Index, Expiration: 09/03/2024; Exercise Price: $5,740.00(b)(c)

  $ (6,778,080 )     (12 )   $ (60 )
                         

Put Options — 0.0% (a)

                       

S&P 500 Index, Expiration: 09/03/2024; Exercise Price: $5,250.00(b)(c)

    (16,945,200 )     (30 )     (300 )

TOTAL WRITTEN OPTIONS (Premiums received $308)

                  $ (360 )

 

 

Percentages are stated as a percent of net assets.

 

(a)

Represents less than 0.05% of net assets.

 

(b)

100 shares per contract.

 

(c)

Exchange-traded.

 

The accompanying notes are an integral part of the financial statements.
10

 

 

SGI ENHANCED NASDAQ-100 ETF

 

Portfolio of Investments

August 31, 2024

 

Futures contracts outstanding as of August 31, 2024 were as follows:

 

Description

 

Contracts
Purchased

   

Expiration
Date

   

Notional

   

Value / Unrealized
Appreciation
(Depreciation)
(1)

 

Micro E-Mini Nasdaq 100 Future Sept 2024

    5       09/20/2024     $ 196,230     $ (597 )

Nasdaq 100 Index

    25       09/20/2024       9,811,500       (98,010 )

Total Unrealized Appreciation (Depreciation)

                          $ (98,607 )

 

(1)

The Fund has recorded an asset of $1,260,940 as of August 31, 2024 related to the current day’s variation margin related to these contracts. Deposit at broker for futures contracts is reported within the Statement of Assets and Liabilities.

 

The accompanying notes are an integral part of the financial statements.
11

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities

August 31, 2024

 

   

SGI U.S.
Large Cap
CORE ETF

   

SGI
DYNAMIC
TACTICAL ETF

 

ASSETS

               

Investments, at fair value

               

Unaffiliated investments (cost $85,722,781 and $30,675,940, respectively)

  $ 91,081,481     $ 33,063,212  

Affiliated investments (cost $— and $23,458,167, respectively) (see Note 7)

          26,356,231  

Short-term investments, at value (cost $— and $—, respectively)

           

Cash and cash equivalents

    1,186,483       236,281  

Deposit at broker for futures contracts

           

Deposit at broker for options

           

Receivables for:

               

Investments sold

           

Dividends and interest

    88,887       1,014  

Total Assets

  $ 92,356,851     $ 59,656,738  
                 

LIABILITIES

               

Written options, at value (premiums received $— and $—, respectively)

  $     $  

Payables for:

               

Advisory fees

    65,281       48,001  

Investments purchased

           

Broker interest

           

Total Liabilities

    65,281       48,001  

Net assets

  $ 92,291,570     $ 59,608,737  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 2,620     $ 1,950  

Paid-in capital

    80,519,895       51,859,337  

Total distributable earnings/(losses)

    11,769,055       7,747,450  

Net assets

  $ 92,291,570     $ 59,608,737  
                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,620,000       1,950,000  

Net asset value and redemption price per share

  $ 35.23     $ 30.57  

 

 

The accompanying notes are an integral part of the financial statements.
12

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Assets and Liabilities (CONCLUDED)

August 31, 2024

 

   

SGI
ENHANCED
GLOBAL
INCOME ETF

   

SGI
ENHANCED
CORE ETF

   

SGI
ENHANCED
NASDAQ-100
ETF

 

ASSETS

                       

Investments, at fair value

                       

Unaffiliated investments (cost $64,343,973, $— and $—, respectively)

  $ 66,881,100     $     $  

Affiliated investments (cost $—, $—, and $—, respectively) (Note 6)

                 

Short-term investments, at value (cost $557,853, $94,442,911, and $500,034, respectively)

    557,853       94,442,911       500,034  

Cash and cash equivalents

                 

Deposit at broker for futures contracts

                1,260,940  

Deposit at broker for options

    615,846       34,408,660       8,766,339  

Receivables for:

                       

Investments sold

    10,846             1,512  

Dividends and interest

    236,215       519,528       33,323  

Total Assets

  $ 68,301,860     $ 129,371,099     $ 10,562,148  
                         

LIABILITIES

                       

Written options, at value (premiums received $—, $14,948, and $308, respectively)

  $     $ 13,745     $ 360  

Payables for:

                       

Advisory fees

    54,760       100,319       8,276  

Investments purchased

    771              

Broker interest

    7,701              

Total Liabilities

    63,232       114,064       8,636  

Net assets

  $ 68,238,628     $ 129,257,035     $ 10,553,512  
                         

NET ASSETS CONSIST OF:

                       

Par value

  $ 2,545     $ 5,010     $ 415  

Paid-in Capital

    65,224,756       126,476,778       10,515,488  

Total distributable earnings/(losses)

    3,011,327       2,775,247       37,609  

Net assets

  $ 68,238,628     $ 129,257,035     $ 10,553,512  
                         

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    2,545,000       5,010,000       415,000  

Net asset value and redemption price per share

  $ 26.81     $ 25.80     $ 25.43  

 

 

The accompanying notes are an integral part of the financial statements.
13

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations

FOR THE Year ENDED August 31, 2024

 

   

SGI U.S.
Large Cap
CORE ETF

   

SGI
DYNAMIC
TACTICAL ETF

 

INVESTMENT INCOME

               

Dividends

               

Dividends from unaffiliated investments

  $ 1,302,674 (1)    $ 1,384,797  

Dividends from affiliated investments (Note 6)

          80,642  

Interest

    66,088       19,002  

Total investment income

    1,368,762       1,484,441  
                 

EXPENSES

               

Advisory fees (Note 2)

    795,489       797,772  

Broker interest expense

           

Total expenses

    795,489       797,772  

Net investment income/(loss)

    573,273       686,669  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from investments

               

Unaffiliated investments

    5,256,994       1,443,073  

Affiliated investments (Note 6)

          1,167,462  

Distributions from affiliated investments (Note 6)

          398,373  

Written options

           

Futures contracts

           

Net realized gain from redemption in-kind

    16,117,021       8,237,739  

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    2,451,191       490,066  

Affiliated investments (Note 6)

          2,408,213  

Written options

           

Futures contracts

           

Net realized and unrealized gain/(loss) on investments

    23,825,206       14,144,926  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 24,398,479     $ 14,831,595  

 

 

(1)

Net of foreign withholding taxes of $182.

 

The accompanying notes are an integral part of the financial statements.
14

 

 

SUMMIT GLOBAL INVESTMENTS

 

Statements of Operations (Concluded)

FOR THE Period ENDED August 31, 2024(1)

 

   

SGI
ENHANCED
GLOBAL
INCOME ETF

   

SGI
ENHANCED
core ETF

   

SGI
ENHANCED
NASDAQ-100
ETF

 

INVESTMENT INCOME

                       

Dividends

                       

Dividends from unaffiliated investments

  $ 932,149 (2)    $ 1,701,683     $ 517  

Dividends from affiliated investments (Note 6)

                 

Interest

    29,633       429,027       60,576  

Total investment income

    961,782       2,130,710       61,093  
                         

EXPENSES

                       

Advisory fees (Note 2)

    261,368       405,684       15,052  

Broker interest expense

    43,016       3,491       3,012  

Total expenses

    304,384       409,175       18,064  

Net investment income/(loss)

    657,398       1,721,535       43,029  
                         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from investments

                       

Unaffiliated investments

    (408,372 )           8,698  

Affiliated investments (Note 6)

                 

Distributions from affiliated investments (Note 6)

                 

Written options

    661,045       1,933,544       72,659  

Futures contracts

                11,882  

Net realized gain from redemption in-kind

                 

Net change in unrealized appreciation/(depreciation) on investments

                       

Unaffiliated investments

    2,537,127              

Affiliated investments (Note 6)

                 

Written options

          1,203       (52 )

Futures contracts

                (98,607 )

Net realized and unrealized gain/(loss) on investments

    2,789,800       1,934,747       (5,420 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 3,447,198     $ 3,656,282     $ 37,609  

 

 

(1)

Inception date of the SGI Enhanced Global Income ETF, SGI Enhanced Core ETF and SGI Enhanced Nasdaq-100 ETF was February 28, 2024, February 28, 2024 and June 13, 2024, respectively.

 

(2)

Net of foreign withholding taxes of $65,249.

 

The accompanying notes are an integral part of the financial statements.
15

 

 

SGI U.S. LARGE CAP CORE ETF

 

StatementS of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
PERIOD ENDED
AUGUST 31, 2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 573,273     $ 260,042  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    5,256,994       2,283,197  

Affiliated investments (Note 6)

           

Distributions from affiliated investments (Note 6)

           

Written options

           

Futures contracts

           

Net realized gain from redemption in-kind

    16,117,021        

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    2,451,191       2,907,509  

Affiliated investments (Note 6)

           

Written options

           

Futures contracts

           

Net increase/(decrease) in net assets resulting from operations

    24,398,479       5,450,748  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (1,544,660 )      

Net decrease in net assets from dividends and distributions to shareholders

    (1,544,660 )      
 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    106,414,001       103,405,429  

Shares redeemed

    (135,001,112 )     (10,831,315 )

Net increase/(decrease) in net assets from capital shares

    (28,587,111 )     92,574,114  

Total increase/(decrease) in net assets

    (5,733,292 )     98,024,862  
                 

NET ASSETS:

               

Beginning of period

    98,024,862        

End of period

  $ 92,291,570     $ 98,024,862  
                 

SHARES TRANSACTIONS:

               

Shares sold

    3,385,000       3,890,000  

Shares redeemed

    (4,265,000 )     (390,000 )

Net increase/(decrease) in shares outstanding

    (880,000 )     3,500,000  

 

 

(1)

Inception date of the Fund was March 30, 2023.

 

The accompanying notes are an integral part of the financial statements.
16

 

 

SGI DYNAMIC TACTICAL ETF

 

StatementS of Changes in Net Assets

 

   

FOR THE
Year ENDED
AUGUST 31, 2024

   

FOR THE
PERIOD ENDED
AUGUST 31, 2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

               

Net investment income/(loss)

  $ 686,669     $ 408,384  

Net realized gain/(loss) on investments

               

Unaffiliated investments

    1,443,073       (699,494 )

Affiliated investments (Note 6)

    1,167,462       2,621  

Distributions from affiliated investments (Note 6)

    398,373        

Written options

           

Futures contracts

           

Net realized gain from redemption in-kind

    8,237,739        

Net change in unrealized appreciation/(depreciation) on investments

               

Unaffiliated investments

    490,066       1,897,206  

Affiliated investments (Note 6)

    2,408,213       489,851  

Written options

           

Futures contracts

           

Net increase/(decrease) in net assets resulting from operations

    14,831,595       2,098,568  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (972,668 )      

Net decrease in net assets from dividends and distributions to shareholders

    (972,668 )      
                 

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    23,648,762       109,300,356  

Shares redeemed

    (88,294,403 )     (1,003,473 )

Net increase/(decrease) in net assets from capital shares

    (64,645,641 )     108,296,883  

Total increase/(decrease) in net assets

    (50,786,714 )     110,395,451  
                 

NET ASSETS:

               

Beginning of period

    110,395,451        

End of period

  $ 59,608,737     $ 110,395,451  
                 

SHARES TRANSACTIONS:

               

Shares sold

    845,000       4,290,000  

Shares redeemed

    (3,145,000 )     (40,000 )

Net increase/(decrease) in shares outstanding

    (2,300,000 )     4,250,000  

 

 

(1)

Inception date of the Fund was March 29, 2023.

 

The accompanying notes are an integral part of the financial statements.
17

 

 

SGI ENHANCED GLOBAL INCOME ETF

 

Statement of Changes in Net Assets

 

   

FOR THE
Period ENDED
AUGUST 31, 2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

       

Net investment income/(loss)

  $ 657,398  

Net realized gain/(loss) on investments

       

Unaffiliated investments

    (408,372 )

Affiliated investments (Note 6)

     

Distributions from affiliated investments (Note 6)

     

Written options

    661,045  

Futures contracts

     

Net realized gain from redemption in-kind

     

Net change in unrealized appreciation/(depreciation) on investments

       

Unaffiliated investments

    2,537,127  

Affiliated investments (Note 6)

     

Written options

     

Futures contracts

     

Net increase/(decrease) in net assets resulting from operations

    3,447,198  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (435,871 )

Net decrease in net assets from dividends and distributions to shareholders

    (435,871 )
         

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    65,227,301  

Shares redeemed

     

Net increase/(decrease) in net assets from capital shares

    65,227,301  

Total increase/(decrease) in net assets

    68,238,628  
         

NET ASSETS:

       

Beginning of period

     

End of period

  $ 68,238,628  
         

SHARES TRANSACTIONS:

       

Shares sold

    2,545,000  

Shares redeemed

     

Net increase/(decrease) in shares outstanding

    2,545,000  

 

 

(1)

Inception date of the Fund was February 28, 2024.

 

The accompanying notes are an integral part of the financial statements.
18

 

 

SGI ENHANCED CORE ETF

 

Statement of Changes in Net Assets

 

   

FOR THE
Period ENDED
AUGUST 31, 2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

       

Net investment income/(loss)

  $ 1,721,535  

Net realized gain/(loss) on investments

       

Unaffiliated investments

     

Affiliated investments (Note 6)

     

Distributions from affiliated investments (Note 6)

     

Written options

    1,933,544  

Futures contracts

     

Net realized gain from redemption in-kind

     

Net change in unrealized appreciation/(depreciation) on investments

       

Unaffiliated investments

     

Affiliated investments (Note 6)

     

Written options

    1,203  

Futures contracts

     

Net increase/(decrease) in net assets resulting from operations

    3,656,282  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (881,035 )

Net decrease in net assets from dividends and distributions to shareholders

    (881,035 )
         

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    126,982,104  

Shares redeemed

    (500,316 )

Net increase/(decrease) in net assets from capital shares

    126,481,788  

Total increase/(decrease) in net assets

    129,257,035  
         

NET ASSETS:

       

Beginning of period

     

End of period

  $ 129,257,035  
         

SHARES TRANSACTIONS:

       

Shares sold

    5,030,000  

Shares redeemed

    (20,000 )

Net increase/(decrease) in shares outstanding

    5,010,000  

 

 

(1)

Inception date of the Fund was February 28, 2024.

 

The accompanying notes are an integral part of the financial statements.
19

 

 

SGI ENHANCED NASDAQ-100 ETF

 

Statement of Changes in Net Assets

 

   

FOR THE
Period ENDED
AUGUST 31, 2024
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

       

Net investment income/(loss)

  $ 43,029  

Net realized gain/(loss) on investments

       

Unaffiliated investments

    8,698  

Affiliated investments (Note 6)

     

Distributions from affiliated investments (Note 6)

     

Written options

    72,659  

Futures contracts

    11,882  

Net realized gain from redemption in-kind

     

Net change in unrealized appreciation/(depreciation) on investments

       

Unaffiliated investments

     

Affiliated investments (Note 6)

     

Written options

    (52 )

Futures contracts

    (98,607 )

Net increase/(decrease) in net assets resulting from operations

    37,609  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

     

Net decrease in net assets from dividends and distributions to shareholders

     
         

INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS:

Proceeds from shares sold

    10,515,903  

Shares redeemed

     

Net increase/(decrease) in net assets from capital shares

    10,515,903  

Total increase/(decrease) in net assets

    10,553,512  
         

NET ASSETS:

       

Beginning of period

     

End of period

  $ 10,553,512  
         

SHARES TRANSACTIONS:

       

Shares sold

    415,000  

Shares redeemed

     

Net increase/(decrease) in shares outstanding

    415,000  

 

 

(1)

Inception date of the Fund was June 13, 2024.

 

The accompanying notes are an integral part of the financial statements.
20

 

 

SGI U.S. LARGE CAP CORE ETF

 

Financial Highlights

 

Contained below is per share operating performance data for 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
Year
Ended
August 31,
2024

   

For the
Period
Ended
August 31,
2023
(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 28.01     $ 25.00  

Net investment income/(loss) (2)

    0.19       0.11  

Net realized and unrealized gain/(loss) from investments

    7.47       2.90  

Net increase/(decrease) in net assets resulting from operations

    7.66       3.01  

Dividends and distributions to shareholder from:

               

Net investment income

    (0.07 )      

Net realized capital gains

    (0.37 )      

Total dividends and distributions to shareholders

    (0.44 )      

Net asset value, end of period

  $ 35.23     $ 28.01  

Market value, end of period

  $ 35.24     $ 28.00  

Total investment return/(loss) on net asset value (3)

    27.67 %     12.03 %(5)

Total investment return/(loss) on market price (4)

    27.72 %     12.00 %(5)
                 

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s)

  $ 92,292     $ 98,025  

Ratio of expenses to average net assets

    0.85 %     0.85 %(6)

Ratio of expenses to average net assets (excluding dividend and interest expense)

    0.85 %     0.85 %(6)

Ratio of net investment income/(loss) to average net assets

    0.61 %     1.01 %(6)

Portfolio turnover rate

    225 %     95 %(5)

 

 

(1)

Inception date of the Fund was March 30, 2023.

(2)

The selected per share data is calculated based on average shares outstanding method for the period.

(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 the financial statements.
21

 

 

SGI DYNAMIC TACTICAL ETF

 

Financial Highlights

 

Contained below is per share operating performance data for 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
Year
Ended
August 31,
2024

   

For the
Period
Ended
August 31,
2023
(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 25.98     $ 25.00  

Net investment income/(loss) (2)

    0.22       0.13  

Net realized and unrealized gain/(loss) from investments

    4.61       0.85  

Net increase/(decrease) in net assets resulting from operations

    4.83       0.98  

Dividends and distributions to shareholder from:

               

Net investment income

    (0.24 )      

Net realized capital gains

           

Total dividends and distributions to shareholders

    (0.24 )      

Net asset value, end of period

  $ 30.57     $ 25.98  

Market value, end of period

  $ 30.53     $ 26.05  

Total investment return/(loss) on net asset value (3)

    18.75 %     3.90 %(5)

Total investment return/(loss) on market price (4)

    18.25 %     4.20 %(5)
                 

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s)

  $ 59,609     $ 110,395  

Ratio of expenses to average net assets

    0.95 %     0.95 %(6)

Ratio of expenses to average net assets (excluding dividend and interest expense)

    0.95 %     0.95 %(6)

Ratio of net investment income/(loss) to average net assets

    0.82 %     1.18 %(6)

Portfolio turnover rate

    167 %     66 %(5)

 

 

(1)

Inception date of the Fund was March 29, 2023.

(2)

The selected per share data is calculated based on average shares outstanding method for the period.

(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 the financial statements.
22

 

 

SGI ENHANCED GLOBAL INCOME ETF

 

Financial Highlights

 

Contained below is per share operating performance data for share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

   

For the
Period
Ended
August 31,
2024
(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 25.00  

Net investment income/(loss) (2)

    0.32  

Net realized and unrealized gain/(loss) from investments

    1.68  

Net increase/(decrease) in net assets resulting from operations

    2.00  

Dividends and distributions to shareholder from:

       

Net investment income

    (0.19 )

Net realized capital gains

     

Total dividends and distributions to shareholders

    (0.19 )

Net asset value, end of period

  $ 26.81  

Market value, end of period

  $ 26.73  

Total investment return/(loss) on net asset value (3)

    8.01 %(5)

Total investment return/(loss) on market price (4)

    7.69 %(5)
         

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s)

  $ 68,239  

Ratio of expenses to average net assets

    1.14 %(6)

Ratio of expenses to average net assets (excluding dividend and interest expense)

    0.98 %(6)

Ratio of net investment income/(loss) to average net assets

    2.46 %(6)

Portfolio turnover rate (7)

    158 %(5)

 

 

(1)

Inception date of the Fund was February 28, 2024.

(2)

The selected per share data is calculated based on average shares outstanding method for the period.

(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.

(7)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
23

 

 

SGI ENHANCED CORE ETF

 

Financial Highlights

 

Contained below is per share operating performance data for share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

   

For the
Period
Ended
August 31,
2024
(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 25.00  

Net investment income/(loss) (2)

    0.53  

Net realized and unrealized gain/(loss) from investments

    0.49  

Net increase/(decrease) in net assets resulting from operations

    1.02  

Dividends and distributions to shareholder from:

       

Net investment income

    (0.22 )

Net realized capital gains

     

Total dividends and distributions to shareholders

    (0.22 )

Net asset value, end of period

  $ 25.80  

Market value, end of period

  $ 25.80  

Total investment return/(loss) on net asset value (3)

    4.10 %(5)

Total investment return/(loss) on market price (4)

    4.11 %(5)
         

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s)

  $ 129,257  

Ratio of expenses to average net assets

    0.99 %(6)

Ratio of expenses to average net assets (excluding dividend and interest expense)

    0.98 %(6)

Ratio of net investment income/(loss) to average net assets

    4.16 %(6)

Portfolio turnover rate (7)

    0 %(5)

 

 

(1)

Inception date of the Fund was February 28, 2024.

(2)

The selected per share data is calculated based on average shares outstanding method for the period.

(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.

(7)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
24

 

 

SGI ENHANCED NASDAQ-100 ETF

 

Financial Highlights

 

Contained below is per share operating performance data for share outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

   

For the
Period
Ended
August 31,
2024
(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 25.00  

Net investment income/(loss) (2)

    0.15  

Net realized and unrealized gain/(loss) from investments

    0.28  

Net increase/(decrease) in net assets resulting from operations

    0.43  

Dividends and distributions to shareholder from:

       

Net investment income

     

Net realized capital gains

     

Total dividends and distributions to shareholders

     

Net asset value, end of period

  $ 25.43  

Market value, end of period

  $ 25.44  

Total investment return/(loss) on net asset value (3)

    1.70 %(5)

Total investment return/(loss) on market price (4)

    1.76 %(5)
         

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s)

  $ 10,554  

Ratio of expenses to average net assets

    1.18 %(6)

Ratio of expenses to average net assets (excluding dividend and interest expense)

    0.98 %(6)

Ratio of net investment income/(loss) to average net assets

    2.80 %(6)

Portfolio turnover rate (7)

    0 %(5)

 

 

(1)

Inception date of the Fund was June 13, 2024.

(2)

The selected per share data is calculated based on average shares outstanding method for the period.

(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.

(7)

Portfolio turnover rate excludes all securities, including options, whose maturities or expiration dates at the time of acquisition were one year or less and is calculated for the Fund, as a whole, for the entire period.

 

The accompanying notes are an integral part of the financial statements.
25

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements

August 31, 2024

 

1. Organization and Significant Accounting Policies

 

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is an investment company divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has sixty-five separate investment portfolios, including the SGI U.S. Large Cap Core ETF, SGI Dynamic Tactical ETF, SGI Enhanced Global Income ETF, SGI Enhanced Core ETF and the SGI Enhanced Nasdaq-100 ETF (each, a “Fund” and collectively, the “Funds”), which commenced investment operations on March 30, 2023, March 29, 2023, February 28, 2024, February 28, 2024 and June 13, 2024, respectively.

 

RBB has authorized capital of one hundred billion shares of common stock of which 92.923 billion shares are currently classified into two hundred and thirty-six 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 Core ETF and the SGI Dynamic Tactical ETF is to provide long-term capital appreciation. The investment objective of the SGI Enhanced Global Income ETF and the SGI Enhanced Nasdaq-100 ETF is to seek income and capital appreciation. The objective of the SGI Enhanced Core ETF is to seek income.

 

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 SGI U.S. Large Cap Core ETF and the SGI Dynamic Tactical ETF is August 31, 2024, and the period covered by these Notes to Financial Statements is the fiscal year ended August 31, 2024 (the “current fiscal period”).

 

The end of the reporting period for SGI Enhanced Global Income ETF and SGI Enhanced Core ETF is August 31, 2024 and the period covered by these Notes to Financial Statements is from the inception period of February 28, 2024 through August 31, 2024 (the “current fiscal period”).

 

The end of the reporting period for the SGI Enhanced Nasdaq-100 ETF is August 31, 2024 and the period covered by these Notes to Financial Statements is from the inception period of June 13, 2024 through August 31, 2024 (the “current fiscal period”).

 

Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter (“OTC”) market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in exchange-traded funds (“ETFs”) are valued at their last reported sale price. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). 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. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the

 

26

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

Company’s Board of Directors (the “Board” or “Directors”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

The Board has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating the Fund’s NAV. Pursuant to Rule 2a-5 under the 1940 Act, the Board has designated Summit Global Investments, LLC (the “Adviser” or “Summit”) as its “Valuation Designee” to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by the Valuation Designee in accordance with Rule 2a-5. The Valuation Designee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

 

Fair Value Measurements — The inputs and valuation techniques used to measure the fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

 

Level 1 —

Prices are determined using quoted prices in active markets for identical securities.

 

 

Level 2 —

Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

 

Level 3 —

Prices are determined using significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used, as of the end of the current fiscal period, in valuing each Fund’s investments carried at fair value:

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

SGI U.S. LARGE CAP CORE ETF

                               

Investments:

                               

Common Stocks

  $ 89,975,185     $     $     $ 89,975,185  

Exchange Traded Funds

    1,106,296                   1,106,296  

Total Investments

  $ 91,081,481     $     $     $ 91,081,481  
                                 

SGI DYNAMIC TACTICAL ETF

                               

Investments:

                               

Exchange Traded Funds

  $ 59,419,443     $     $     $ 59,419,443  

Total Investments

  $ 59,419,443     $     $     $ 59,419,443  
                                 

SGI ENHANCED GLOBAL INCOME ETF

                               

Investments:

                               

Common Stocks

  $ 66,881,100     $     $     $ 66,881,100  

Money Market Funds

    557,853                   557,853  

Total Investments

  $ 67,438,953     $     $     $ 67,438,953  
                                 

 

27

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

SGI ENHANCED CORE ETF

                               

Assets:

                               

Investments:

                               

Money Market Funds

  $ 94,442,911     $     $     $ 94,442,911  

Total Investments

  $ 94,442,911     $     $     $ 94,442,911  
                                 

Liabilities:

                               

Derivatives:

                               

Written Options

  $ (13,745 )   $     $     $ (13,745 )

Total Derivatives

  $ (13,745 )   $     $     $ (13,745 )
                                 

SGI ENHANCED NASDAQ-100 ETF

Assets:

                               

Investments:

                               

Money Market Funds

  $ 500,034     $     $     $ 500,034  

Total Investments

  $ 500,034     $     $     $ 500,034  
                                 

Liabilities:

                               

Derivatives:

                               

Futures - Equity Contracts

  $ (98,607 )   $     $     $ (98,607 )

Written Options

    (360 )                 (360 )

Total Derivatives

  $ (98,967 )   $     $     $ (98,967 )

 

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all Level 3 transfers are disclosed if a Fund had an amount of total Level 3 transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Funds had no Level 3 purchases, sales, or transfers.

 

28

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

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 and futures contracts.

 

During the current fiscal period, the SGI Enhanced Core ETF used options contracts to seek income in accordance with its investment objective.

 

During the current fiscal period, the SGI Enhanced Nasdaq-100 ETF used long futures contracts and options contracts to seek capital appreciation and income in accordance with its investment objective.

 

The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Funds’ derivative instruments as of and for the current fiscal period.

 

The following table lists the fair values of the Funds’ derivative holdings as of the end of the current fiscal period, grouped by contract type and risk exposure category.

 

FUND

DERIVATIVE TYPE

 

STATEMENT OF
ASSETS AND
LIABILITIES LOCATION

   

VALUE

 

SGI Enhanced Core ETF

Written Options

    Written options, at fair value     $ (13,745 )

Total Value - Liabilities

 

          $ (13,745 )
                   

SGI Enhanced Nasdaq-100 ETF

Written Options

    Written options, at fair value     $ (360 )

SGI Enhanced Nasdaq-100 ETF

Futures Contracts (a)

    Deposit at broker for futures contract       (98,607 )

Total Value - Liabilities

 

 

  $ (98,967 )

 

(a)

This amount represent the cumulative appreciation/(depreciation) of futures contracts as reported on the Portfolio of Investments.

 

The following table lists the amounts of realized gains/(losses) included in net increase/(decrease) in net assets resulting from operations during the current fiscal period.

 

FUND

DERIVATIVE TYPE

 

STATEMENT OF
OPERATIONS LOCATION

   

VALUE

 

SGI Enhanced Core ETF

Written Options

    Net realized gain/(loss) from written options     $ 1,933,544  

Total Realized Gain/(Loss)

 

          $ 1,933,544  
                   

SGI Enhanced Nasdaq-100 ETF

Written Options

    Net realized gain/(loss) from written options     $ 72,659  

SGI Enhanced Nasdaq-100 ETF

Futures Contracts

    Net realized gain/(loss) from futures contracts       11,882  

Total Realized Gain/(Loss)

 

 

  $ 84,541  

 

29

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

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.

 

FUND

DERIVATIVE TYPE

 

STATEMENT OF
OPERATIONS LOCATION

   

VALUE

 

SGI Enhanced Core ETF

Written Options

    Net change in unrealized appreciation/(depreciation) on written options     $ 1,203  

Total Change in Unrealized Appreciation/(Depreciation)

          $ 1,203  
                   

SGI Enhanced Nasdaq-100 ETF

Written Options

    Net change in unrealized appreciation/(depreciation) on written options     $ (52 )

SGI Enhanced Nasdaq-100 ETF

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts       (98,607 )

Total Change in Unrealized Appreciation/(Depreciation)

 

  $ (98,659 )

 

During the current fiscal period, the Funds’ quarterly average volume of derivatives were as follows:

 

FUND

 

WRITTEN OPTIONS
(PREMIUMS
RECEIVED)

   

LONG FUTURES
NOTIONAL
AMOUNT

 

SGI Enhanced Core ETF

  $ 13,844     $  

SGI Enhanced Global Income ETF

    4,051        

SGI Enhanced Nasdaq-100 ETF

    308       10,007,730  

 

For financial reporting purposes, the Funds do not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclam cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative intruments recognized at fair value executed with the same counterparty and master netting arrangement.

 

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

 

Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income (including amortization of premiums and accretion of discounts) is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific expenses) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Certain expenses are shared with The RBB Fund Trust (the “Trust”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Company or Trust are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB and the Trust, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

 

30

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

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 quarterly 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.

 

Sec Rule 18f-4 — Effective August 19, 2022, the U.S. Securities and Exchange Commission (the “SEC”) implemented Rule 18f-4 under the 1940 Act (“Rule 18f-4”), providing for the regulation of a registered investment company’s use of derivatives and certain related instruments. Among other things, Rule 18f-4 limits a fund’s derivatives exposure through a value-at-risk test and requires the adoption and implementation of a derivatives risk management program for certain derivatives users. The Funds, as a full derivatives user (as defined in Rule 18f-4), are subject to the full requirements of Rule 18f-4. The Funds are required to comply with Rule 18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

WRITTEN OPTIONS — 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.

 

FUTURES CONTRACTS — The Funds use futures contracts in the normal course of pursuing their investment objective. Upon entering into a futures contract, a 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, a 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 a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and a Fund basis in the contract. Futures contracts have market risks, including the risk that the change in the value

 

31

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects a Fund to risk of loss in excess of the amount shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects a Fund to unlimited risk of loss.

 

Cash and Cash Equivalents — Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

 

Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. Each Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, the Funds expect the risk of material loss from such claims to be remote.

 

2. Investment Adviser and Other Services

 

Summit Global Investments, LLC serves as the Adviser to the Funds. SG Trading Solutions, LLC (“SG Trading Solutions” or “Sub-Adviser”) serves as the investment sub-adviser to the Funds. Each Fund pays all of its expenses other than those expressly assumed by the Adviser. Expenses of each Fund are deducted from the Fund’s total income before dividends are paid. Subject to the supervision of the Board, the Adviser manages the overall investment operations of each Fund in accordance with the Fund’s respective investment objective and policies and formulates a continuing investment strategy for each Fund pursuant to the terms of the Investment Advisory Agreement between the Adviser and the Company on behalf of each Fund (each, an “Advisory Agreement” and together, the “Advisory Agreements”). The Funds compensate the Adviser with a unitary management fee for its services at an annual rate of 0.85%, 0.95%, 0.98%, 0.98% and 0.98% of the average daily net assets of the SGI U.S. Large Cap Core ETF, the SGI Dynamic Tactical ETF, the SGI Enhanced Global Income ETF, the SGI Enhanced Core ETF and the SGI Enhanced Nasdaq-100 ETF, respectively. The fee is paid monthly in arrears. From the unitary management fee, the Adviser pays most of the expenses of each Fund, including the cost of sub-advisory fees to SG Trading Solutions, transfer agency, custody, fund administration, legal, audit and other services. However, under each Investment Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business. The Sub-Adviser is an affiliate of the Adviser. The Sub-Adviser implements rigorous quantitative and fundamental analysis to achieve best execution, and is subject to oversight by the Adviser and the Board. Under the Sub-Advisory Agreement, the Sub-Adviser receives a fee from the Adviser, calculated daily and paid monthly, equal to 0.05% of the average daily net assets of each Fund. During the current fiscal period, investment advisory fees accrued were as follows:

 

FUND

 

ADVISORY FEES

 

SGI U.S. Large Cap Core ETF

  $ 795,489  

SGI Dynamic Tactical ETF

    797,772  

SGI Enhanced Global Income ETF

    261,368  

SGI Enhanced Core ETF

    405,684  

SGI Enhanced Nasdaq-100 ETF

    15,052  

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), serves as administrator for the Funds. For providing administrative and accounting services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

Fund Services serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, Fund Services is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

U.S. Bank, N.A. (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee, subject to certain minimum and out of pocket expenses.

 

32

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

Quasar Distributors, LLC (the “Distributor”), a wholly-owned broker-dealer subsidiary of Foreside Financial Group, LLC, serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

Under the Funds’ unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

3. DIRECTOR AND OFFICER Compensation

 

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Company. Vigilant Compliance, LLC is compensated for the services provided to the Company. Employees of RBB serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Company. They are compensated by the Company for services provided. Certain employees of Fund Services serve as officers of the Company. They are not compensated by the Funds or the Company. As of the end of the current fiscal period, there were no director and officer fees charged or paid by the Funds. During the current fiscal period, director and officer fees charged to the Funds were paid by the Adviser out of each Fund’s unitary fee.

 

4. PURCHASES AND SALES OF INVESTMENT SECURITIES

 

During the current fiscal period, aggregate purchases and sales of investment securities (excluding in-kind transactions, short-term investments and derivative transactions) of the Funds were as follows:

 

FUND

 

Purchases

   

Sales

 

SGI U.S. Large Cap Core ETF

  $ 198,193,523     $ 199,908,287  

SGI Dynamic Tactical ETF

    140,773,596       139,680,097  

SGI Enhanced Global Income ETF

    101,361,909       79,138,684  

SGI Enhanced Core ETF

           

SGI Enhanced Nasdaq-100 ETF

          1,256,653  

 

There were no purchases or sales of long-term U.S. Government securities during the current fiscal period.

 

During the current fiscal period, aggregate purchases and sales of in-kind transactions (excluding short-term investments) of the Funds were as follows:

 

FUND

 

Purchases

   

Sales

 

SGI U.S. Large Cap Core ETF

  $ 105,564,560     $ 133,185,626  

SGI Dynamic Tactical ETF

    22,586,336       88,052,768  

SGI Enhanced Global Income ETF

    43,022,301        

SGI Enhanced Core ETF

           

SGI Enhanced Nasdaq-100 ETF

    1,247,954        

 

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.

 

33

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

As of August 31, 2024, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the SGI U.S. Large Cap Core ETF, the SGI Dynamic Tactical ETF, the SGI Enhanced Global Income ETF, the SGI Enhanced Core ETF and the SGI Enhanced Nasdaq-100 ETF were as follows:

 

FUND

 

Federal Tax
Cost

   

Unrealized
Appreciation

   

Unrealized
(Depreciation)

   

Net Unrealized
Appreciation/
(Depreciation)

 

SGI U.S. Large Cap Core ETF

  $ 86,194,647     $ 6,548,510     $ (1,661,676 )   $ 4,886,834  

SGI Dynamic Tactical ETF

    54,177,445       5,309,057       (67,059 )     5,241,998  

SGI Enhanced Global Income ETF

    65,035,476       4,105,477       (1,702,000 )     2,403,477  

SGI Enhanced Core ETF

    94,443,194                    

SGI Enhanced Nasdaq-100 ETF

    500,034                    

 

The difference between the book basis and tax basis cost and aggregate gross unrealized appreciation and depreciation of investments is attributable primarily to timing differences related to wash sales.

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. Any permanent differences resulting from different book and tax treatment are reclassified at year-end and have no impact on net income, NAV or NAV per share of the Funds.

 

The following permanent differences as of August 31, 2024, primarily attributable to in-kind redemptions gain and loss, were reclassified among the following accounts:

 

FUND

 

Distributable
Earnings/(loss)

   

Paid-in
Capital

 

SGI U.S. Large Cap Core ETF

  $ (15,388,091 )   $ 15,388,091  

SGI Dynamic Tactical ETF

    (8,197,114 )     8,197,114  

SGI Enhanced Global Income ETF

           

SGI Enhanced Core ETF

           

SGI Enhanced Nasdaq-100 ETF

           

 

As of August 31, 2024, the components of distributable earnings on a tax basis were as follows:

 

FUND

 

Undistributed
Ordinary
Income

   

Undistributed
Long-term
capital gains

   

Capital
Loss Carry
Forward

   

Qualified
Late-
Year Loss
Deferral

   

Other
Temporary
Differences

   

Net
Unrealized
Appreciation/

(Depreciation)

 

SGI U.S. Large Cap Core ETF

  $ 6,833,121     $ 49,100     $     $     $     $ 4,886,834  

SGI Dynamic Tactical ETF

    2,002,460       502,993                         5,241,998  

SGI Enhanced Global Income ETF

    231,881       375,969                         2,403,477  

SGI Enhanced Core ETF

    1,620,288       1,154,959                          

SGI Enhanced Nasdaq-100 ETF

    43,029             (5,420 )                  

 

34

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (Continued)

August 31, 2024

 

The differences between the book and tax basis components of distributable earnings relate primarily to wash sales.

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2024 was a follows:

 

FUND

 

ORDINARY INCOME

   

LONG-TERM GAINS

   

TOTAL

 

SGI U.S. Large Cap Core ETF

  $ 1,543,545     $ 1,115     $ 1,544,660  

SGI Dynamic Tactical ETF

    972,668             972,668  

SGI Enhanced Global Income ETF

    435,871             435,871  

SGI Enhanced Core ETF

    881,035             881,035  

SGI Enhanced Nasdaq-100 ETF

                 

 

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends 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, 2024, the SGI Enhanced Nasdaq-100 ETF had $5,420 of long-term loss carryovers. During the fiscal year, the SGI Dynamic Tactical ETF utilized $499,102 of carry forward capital losses.

 

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, 2024, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2024. As of August 31, 2024 the Funds had no tax basis qualified late-year loss deferral.

 

6. TRANSACTIONS WITH AFFILIATES

 

The following issuers are affiliated with the Funds. Fund of funds are allowed to invest in other investment companies in excess of the limits imposed, if certain requirement, such as being part of the same group of investment companies, are met. As defined in Section (2)(a)(3) of the 1940 Act; such issuers are:

 

   

August 31, 2023

   

Additions

   

Reductions

 

Issuer Name

 

Share
Balance

   

Cost

   

Share
Balance

   

Cost

   

Share
Balance

   

Cost

 

SGI Dynamic Tactical ETF

                                               

SGI Small Cap Core Fund

        $       282,196     $ 7,410,455       (282,196 )   $ 7,410,455  

SGI U.S. Large Cap Core ET

    829,146       22,726,237       766,626       22,494,350       (997,132 )     26,974,854  

SGI Enhanced Nasdaq-100 ETF

                245,468       6,183,410       (38,588 )     970,976  
      829,146     $ 22,726,237       1,294,290     $ 36,088,215       (1,317,916 )   $ 35,356,285  

 

35

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Notes to Financial Statements (CONCLUDED))

August 31, 2024

 

   

August 31, 2024

 

Issuer Name

 

Dividend
Income

   

Capital
Gain
Distribution

   

Net Change in
Unrealized
Appreciation/
(Depreciation)

   

Realized
Gain/(Loss)

   

Share
Balance

   

Value

   

Cost

 

SGI Dynamic Tactical ETF

                                                       

SGI Small Cap Core Fund

  $     $     $     $ 42,329           $     $  

SGI U.S. Large Cap Core ETF

    80,642       398,373       2,357,496       4,615,629       598,640       21,093,080       18,245,733  

SGI Enhanced Nasdaq-100 ETF

                50,717       (42,869 )     206,880       5,263,151       5,212,434  
    $ 80,642     $ 398,373     $ 2,408,213     $ 4,615,089       805,520     $ 26,356,231     $ 23,458,167  

 

7. SHARE TRANSACTIONS

 

Shares of the SGI U.S. Large Cap Core ETF are listed and traded on the NYSE. Shares of the SGI Dynamic Tactical ETF, SGI Enhanced Global Income ETF, SGI Enhanced Core ETF and SGI Enhanced Nasdaq-100 ETF are listed and traded on the NASDAQ, Inc. Market prices for the shares may be different from their NAV. Each Fund issues and redeems shares on a continuous basis at NAV only in blocks of 5,000 shares, called “Creation Units.” Creation Units are issued and redeemed principally in-kind for securities included in a specified universe. Once created, shares generally trade in the secondary market at market prices that change throughout the day. Except when aggregated in Creation Units, shares are not redeemable securities of each Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from each Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

8. SUBSEQUENT EVENTS

 

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no significant events requiring recognition or disclosure in the financial statements.

 

36

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Report of Independent Registered
Public Accounting Firm

 

To the Shareholders of SGI U.S. Large Cap Core ETF, SGI Dynamic Tactical ETF, SGI Enhanced Core ETF, SGI Enhanced Global Income ETF, and SGI Enhanced Nasdaq-100 ETF and Board of Directors of The RBB Fund, Inc.

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of SGI U.S. Large Cap Core ETF, SGI Dynamic Tactical ETF, SGI Enhanced Core ETF, SGI Enhanced Global Income ETF, and SGI Enhanced Nasdaq-100 ETF (collectively referred to as the “Funds”) (five of the portfolios constituting The RBB Fund, Inc. (the “Company”)), including the portfolios of investments, as of August 31, 2024, and the related statements of operations and 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 (five of the portfolios constituting The RBB Fund, Inc.) at August 31, 2024, 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

SGI U.S. Large Cap Core ETF

For the year ended August 31, 2024

For the year ended August 31, 2024, and for the period from March 30, 2023 (commencement of operations) through August 31, 2023

SGI Dynamic Tactical ETF

For the year ended August 31, 2024

For the year ended August 31, 2024, and for the period from March 29, 2023 (commencement of operations) through August 31, 2023

SGI Enhanced Core ETF SGI Enhanced Global Income ETF

For the period from February 28, 2024 (commencement of operations) through August 31, 2024

SGI Enhanced Nasdaq-100 ETF

For the period from June 13, 2024 (commencement of operations) through August 31, 2024

 

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 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.

 

37

 

 

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, 2024, by correspondence with the custodian and brokers. 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 Investment investments companies since 2012.

 

Philadelphia, Pennsylvania
October 30, 2024

 

38

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

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, 2024. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ending December 31, 2024. During the fiscal year ended August 31, 2024, the tax character of distributions paid by the Funds were as follows:

 

FUND

         

Ordinary Income

   

Long-Term
Gains

 

SGI U.S. Large Cap Core ETF

    2024     $ 1,543,545     $ 1,115  

SGI Dynamic Tactical ETF

    2024       972,668        

SGI Enhanced Global Income ETF

    2024       435,871        

SGI Enhanced Core ETF

    2024       881,035        

SGI Enhanced Nasdaq-100 ETF

    2024              

 

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 following percentages of ordinary dividends paid during the fiscal year ended Agusut 31, 2024 are designated as “qualified dividend income,” as defined in the Act, and are subject to reduced tax rates.

 

SGI U.S. Large Cap Core ETF

    25.00 %

SGI Dynamic Tactical ETF

    31.80 %

SGI Enhanced Global Income ETF

    100.00 %

SGI Enhanced Core ETF

    0.00 %

SGI Enhanced Nasdaq-100 ETF

    0.00 %

 

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 Core ETF

    25.76 %

SGI Dynamic Tactical ETF

    9.42 %

SGI Enhanced Global Income ETF

    42.00 %

SGI Enhanced Core ETF

    0.00 %

SGI Enhanced Nasdaq-100 ETF

    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:

 

SGI U.S. Large Cap Core ETF

    0.00 %

SGI Dynamic Tactical ETF

    0.00 %

SGI Enhanced Global Income ETF

    0.00 %

SGI Enhanced Core ETF

    0.00 %

SGI Enhanced Nasdaq-100 ETF

    0.00 %

 

39

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Shareholder Tax Information (UNAUDITED) (CONCLUDED)

 

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 Core ETF

    83.15 %

SGI Dynamic Tactical ETF

    0.00 %

SGI Enhanced Global Income ETF

    0.00 %

SGI Enhanced Core ETF

    0.00 %

SGI Enhanced Nasdaq-100 ETF

    0.00 %

 

Because the Funds’ fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2024. 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 2025.

 

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.

 

40

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Other Information (Unaudited)

 

APPROVAL OF INVESTMENT ADVISORY AGREEMENT

 

As required by the 1940 Act, the Board, including all of the Directors who are not “interested persons” of the Company, as that term is defined in the 1940 Act (the “Independent Directors”), considered (1) the renewal of the investment advisory agreement between Summit and the Company (the “Investment Advisory Agreement”) on behalf of the SGI U.S. Large Cap Core ETF and the SGI Dynamic Tactical ETF (each a “Fund” and together the “Funds”), and (2) the renewal of the sub-advisory agreement among Summit, the Company and SG Trading Solutions, LLC (the “Sub-Adviser”) (the “Sub-Advisory Agreement”), at a meeting of the Board held on May 15-16, 2024 (the “Meeting”). At the Meeting, the Board, including all of the Independent Directors, approved the Investment Advisory Agreement and the Sub-Advisory Agreement for an additional one-year term ending August 16, 2025. The Board’s decision to approve the Investment Advisory Agreement and the Sub-Advisory Agreement reflects the exercise of its business judgment to continue the existing arrangement. In approving the Investment Advisory Agreement and the Sub-Advisory Agreement, the Board considered information provided by Summit and the Sub-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 Summit with respect to the Funds, and the Sub-Advisory Agreement among the Company, Summit, and the Sub-Adviser with respect to the Funds, the Directors took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. The Directors reviewed these materials with management of Summit, and discussed the aforementioned Agreements with counsel in executive sessions, at which no representatives of Summit or the Sub-Adviser were present. Among other things, the Directors considered (i) the nature, extent, and quality of services provided to the Fund by Summit and the Sub-Adviser; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Summit’s and the Sub-Adviser’s investment philosophies and processes; (iv) Summit’s and the Sub-Adviser’s assets under management and client descriptions; (v) Summit’s and the Sub-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) Summit’s and the Sub-Adviser’s advisory fee arrangements and other similarly managed clients, as applicable; (vii) Summit’s and the Sub-Adviser’s compliance procedures; (viii) Summit’s and the Sub-Adviser’s financial information and insurance coverage, as applicable; (ix) the extent to which economies of scale are relevant to the Funds; (x) a report prepared by Fuse Research Network, LLC comparing each Fund’s management fees and total expense ratios to a group of mutual funds deemed comparable to the Fund based primarily on investment strategy similarity (“Peer Group”) and comparing the performance of each Fund to the performance of its Peer Group; and (xi) a report comparing the performance of the Funds to the performance of its respective benchmark.

 

As part of their review, the Directors considered the nature, extent and quality of the services provided by Summit and the Sub-Adviser. The Directors concluded that Summit and the Sub-Adviser had substantial resources to provide services to the Fund, and that Summit’s and the Sub-Adviser’s services had been acceptable.

 

The Directors also considered the investment performance of the Funds. Information on the Funds’ investment performance was provided for the three-month and since inception periods ended December 31, 2023. The Directors considered the Funds’ investment performance in light of their respective investment objectives and investment strategies. The Directors concluded that the investment performance of each of the Funds as compared to their respective benchmarks and Peer Groups was acceptable.

 

The Directors noted that the SGI U.S. Large Cap Core ETF outperformed its primary benchmark, the S&P 500 Index, for the since-inception period ended December 31, 2023, and underperformed its benchmark for the three-month period ended December 31, 2023. The Directors noted that the SGI U.S. Large Cap Core ETF outperformed the performance of the median of its Peer Group for the three-month and one-year periods ended December 31, 2023.

 

41

 

 

SUMMIT GLOBAL INVESTMENTS

 

 

Other Information (Unaudited) (concluded)

 

The Directors noted that the SGI Dynamic Tactical ETF underperformed its primary benchmark, the S&P 500 Index, for the three-month and since-inception periods ended December, 2023. The Directors noted that the SGI Dynamic Tactical ETF outperformed the performance of the median of its Peer Group for the three-month period ended December 31, 2023, and underperformed the median of its Peer Group for the since-inception period ended December 31, 2023.

 

The Board also considered the advisory fee rate payable by the Funds under the Investment Advisory Agreement and Sub-Advisory Agreement. In this regard, information on the fees paid by the Fund and the Fund’s total operating expense ratios were compared to similar information for mutual funds advised by other, unaffiliated investment advisory firms.

 

The Directors noted that the SGI U.S. Large Cap Core ETF’s net advisory fee was above the median of its Peer Group and ranked in the 5th quintile of its Peer Group, and its total net expenses was above the median of its Peer Group and ranked in the 5th quintile of its Peer Group.

 

The Directors noted that the SGI Dynamic Tactical ETF’s net advisory fee was above the median of its Peer Group and ranked in the 5th quintile of its Peer Group, and its total net expenses (including acquired fund fees and expenses) was below the median of its Peer Group and ranked in the 2nd quintile of its Peer Group.

 

The Directors also considered the fees payable to the Sub-Adviser under the Sub-Advisory Agreement and the information provided by Summit on the services provided by the Sub-Adviser. In this regard, the Directors noted that the fees for the Sub-Adviser were paid directly by Summit and not by the Funds.

 

The Board also took into consideration that the advisory fee for each Fund 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 Summit continued to be responsible for compensating the Funds’ other service providers and paying other expenses of the Funds out of its own fees and resources.

 

After reviewing the information regarding Summit’s and the Sub-Adviser’s costs, profitability and economies of scale, and after considering the services to be provided by Summit and the Sub-Adviser, the Directors concluded that the investment advisory fees to be paid by the Fund to Summit and the sub-advisory fees to be paid by Summit to the Sub-Adviser were fair and reasonable and that the Investment Advisory Agreement and Sub-Advisory Agreement should be approved and continued for an additional one-year period ending August 16, 2025.

 

42

 

 

Investment Adviser

Summit Global Investments, LLC
620 South Main Street
Bountiful, UT 84010

 

Administrator and Transfer Agent

U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201

 

Principal Underwriter

Quasar Distributors, LLC
3 Canal Plaza, Suite 100
Portland, ME 04101

 

Custodian

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53212

 

Independent Registered Public Accounting Firm

Ernst & Young LLP
One Commerce Square
2005 Market Street, Suite 700
Philadelphia, PA 19103

 

Legal Counsel

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

 

 

 

Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.

 

Not applicable.

 

Item 9. Proxy Disclosures for Open-End Management Investment Companies.

 

This information is included in Item 7 of this Form, as part of the financial statements.

 

Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.

 

This information is included in Item 7 of this Form, as part of the financial statements.

 

Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.

 

This information is included in Item 7 of this Form, as part of the financial statements.

 

Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable.

 

Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable.

  3

 

Item 15. 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 16. 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, as amended (the “1940 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, as amended. 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 1940 Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable.

 

Item 18. Recovery of Erroneously Awarded Compensation.

 

Not applicable.

 

Item 19. 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) Not applicable.

 

(a)(3) 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)(4) Not applicable.

(a)(5) Not applicable.

 

(b) Certifications pursuant to Section 906 of the Sarbanes Oxley Act of 2002. Furnished herewith.

  4

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

  (Registrant) The RBB Fund, Inc.  
       
  By (Signature and Title)* /s/ Steven Plump  
    Steven Plump, President  
    (Principal Executive Officer)  
       
  Date 11/12/2024  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By (Signature and Title)* /s/ Steven Plump  
    Steven Plump, President  
    (Principal Executive Officer)  
       
  Date 11/12/2024  
       
  By (Signature and Title)* /s/ James Shaw  
    James Shaw, Chief Financial Officer  
    (Principal Financial Officer)  
       
  Date 11/12/2024  

 

* Print the name and title of each signing officer under his or her signature.

  5