N-CSR 1 fp0085036-6_ncsr.htm

 

As filed with the Securities and Exchange Commission on 11/08/2023

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

811-23011

Investment Company Act file number

 

The RBB FUND TRUST
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Steven Plump, President

c/o U.S. Bank Global Fund Services

615 East Michigan Street

Milwaukee, WI 53202
(Name and address of agent for service)

 

(609) 731-6256

Registrant's telephone number, including area code

 

Date of fiscal year end: August 31

 

Date of reporting period: August 31, 2023

 

 

Item 1. Reports to Stockholders.

 

 

 

 

THE ENERGY & MINERALS GROUP EV, SOLAR & BATTERY MATERIALS
(LITHIUM, NICKEL, COPPER, COBALT) FUTURES STRATEGY ETF

 

A Series of
THE RBB FUND TRUST

 

Annual Report

 

August 31, 2023

 

 

 

 

 

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper,
Cobalt) Futures Strategy ETF (CHRG)

 

 

 

Table of Contents

 

 

   

Shareholder Letter

1

Performance Data

4

Fund Expense Example

5

Consolidated Portfolio Holdings Summary Table

7

Consolidated Portfolio of Investments

8

Consolidated Financial Statements

10

Notes to Consolidated Financial Statements

14

Report of Independent Registered Public Accounting Firm

25

Notice to Shareholders

26

Trustees and Executive Officers

28

Privacy Notice

33

 

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Shareholder Letter

(Unaudited)

 

To the Shareholders of CHRG,

 

On behalf of The Energy & Minerals Group Advisors, LLC (“EMG Advisors”) team, we want to express our appreciation for the confidence you have placed in The Energy & Minerals Group EV, Solar & Battery Materials Futures Strategy ETF (the “Fund” or “CHRG”).

 

Performance

 

 

The Fund’s share price closed on August 31, 2023 at $19.11; year-to-date performance as of this day was -24.00%. Despite this near-term downward pressure on commodities broadly, we continue to believe that the global energy expansion that is underway will drive demand for the commodities necessary to shift from a fuel-intensive to a material-intensive energy system. This shift is maturing faster than anyone could have predicted, underpinned by an alignment of domestic politics, geopolitics, and technological innovation, on a scale that the world has never seen.

 

Our strategy is to provide investors with actively managed exposure to the commodities required for this global shift, currently Copper, Lithium, and Nickel. Leveraging our team’s decades worth of experience in the energy and mineral sector, we have summarized our key drivers of both positive and negative pressures on the future prices of the underlying metals in this letter, and communicate about these same themes daily via our LinkedIn and Twitter feeds, and weekly through a newsletter you can subscribe to at www.emgadvisors.com.

 

The table below represents the holdings of the Fund as of August 31, 2023.

 

Collateral

Security

Symbol

Value (USD)

Weight (%)

UNITED STATES TREAS BILLS 12/28/2023

1,965,387

82.75%

Cash & other

409,648

17.25%

 

Commodities

Security

Contracts

Value (USD)

Weight (%)

Copper

COPPER FUTURE Mar24

17

1,633,700

63.73%

Lithium

Lithium LiOH COME Oct23

2

65,400

2.55%

Lithium

Lithium LiOH COME Nov23

2

75,000

2.93%

Lithium

Lithium LiOH COME Dec23

2

75,000

2.93%

Lithium

Lithium LiOH COME Jan24

2

77,580

3.03%

Lithium

Lithium LiOH COME Feb24

2

77,580

3.03%

Lithium

Lithium LiOH COME Mar24

5

193,950

7.57%

Nickel

LME NICKEL FUTURE Sep23

2

241,356

9.42%

Nickel

LME NICKEL FUTURE Mar24

1

123,726

4.83%

 

 

 

1

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Shareholder Letter (Continued)

(Unaudited)

 

Allocations

 

 

The Portfolio Managers increased the Fund’s Copper exposure at the beginning of April 2023, lowering exposure to Lithium, Nickel, and Cobalt; Copper futures outperformed most other “green energy metals” futures contracts to the downside. Cobalt was removed from the portfolio on June 1. Lithium exposure was increased to 25% as of July 1. The table below represents the Fund’s target exposures month-to-month.

 

Commodity

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Cobalt

3.8%

3.8%

1.5%

1.5%

1.5%

Copper

52.4%

52.4%

52.4%

75.8%

75.8%

75.8%

70.0%

70.0%

Lithium

28.5%

28.5%

11.8%

11.8%

11.8%

11.8%

25.0%

25.0%

Nickel

15.3%

15.3%

10.3%

10.3%

10.3%

10.3%

5.0%

5.0%

 

Markets

 

 

There has been increased volatility across commodity markets (metals, oil, agriculture, etc.); low global inventories of industrial and base metals are lending price support, while uncertainty in demand is resulting in downward pressure. There is a lack of conviction in China’s post-pandemic recovery, against a backdrop of a global economic slowdown that’s been intensified amid high inflation and ongoing interest rate hikes. We continue to believe that these pressures are near-term, and that the future supply / demand imbalance is not yet priced into the green energy metals.

 

We believe that the global energy expansion, transition, shift, or whatever you want to call it, is happening. Over $4 trillion dollars has been committed to be spent through 2030 to enable this shift. This commitment dwarfs many of the greatest infrastructure projects in human history combined. For example, the nearly 50,000 mile US Interstate Highway System, known as one of America’s greatest investments, took 35 years and over $530 billion (in today’s dollars) to complete. The capital committed to global green energy initiatives is nearly 8x that and is expected to be spent within one decade, not three.

 

2

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Shareholder Letter (Concluded)

(Unaudited)

 

We expect that this high velocity of investment will drive demand for the commodities necessary to facilitate the shift from a fuel-intensive to a material-intensive energy system. Our strategy is to invest in the commodities that we believe are required for this long-term shift, leveraging our team’s 70+ years of combined domain experience to actively manage the Fund’s exposures to the underlying metals required as technology develops and this shift breaks out of its infancy.

 

CHRG!

 

Thank you,

 

 

Will McDonough
Founder, CEO & Portfolio Manager
The Energy & Minerals Group Advisors, LLC

 

The views expressed herein reflect the opinion of EMG Advisors as of the date of this report and are subject to change based on changes in the market, economic, or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results. Fund holdings and allocations are subject to change at any time.

 

There is significant risk in trading commodity interests. Investors may experience substantial loss of investment with commodity interest products.

 

 

3

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF (at NAV)

-24.00%(1)

The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF (at Market Price)

-23.54%(1)

S&P 500® Total Return Index

19.15%(2)

 

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost.

 

(1)

The Energy & Minerals Group EV,Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt Futures Strategy ETF (the “Fund”) commenced operations on December 29, 2022.

 

(2)

Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself.

 

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.

 

4

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Fund Expense Example

August 31, 2023 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

This example is based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2023 through August 31, 2023, and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

5

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Fund Expense Example (concluded)

August 31, 2023 (Unaudited)

 

 

Beginning
Account
Value
March 1,
2023

Ending
Account
Value
August 31,
2023

Expenses
Paid During
Period*

Annualized
Expense
Ratio

Actual Six Months
Total Investment Return
for the
Fund

The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Actual

$ 1,000.00

$ 793.30

$ 4.29

0.95%

-20.67%

Hypothetical (5% return before expenses)

1,000.00

1,020.42

4.84

0.95

N/A

 

 

*

Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2023 to August 31, 2023, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half-year period. The Fund’s ending account values on the first line in the table is based on the actual six-month total investment return for the Fund.

 

6

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Consolidated Portfolio Holdings Summary Table

(Unaudited)

 

The following table presents a consolidated summary of the portfolio holdings of the Fund:

 

 

 

% OF Net
Assets

   

VALUE

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Obligations

    82.8 %   $ 1,965,387  

Money Market Deposit Account

    5.5       131,189  

OTHER ASSETS IN EXCESS OF LIABILITIES (including futures contracts)

    11.7       278,459  

NET ASSETS

    100.0 %   $ 2,375,035  

 

The Fund seeks to achieve its investment objective by concentrating its investments in a combination of financial instruments that are economically linked to elements necessary for the production of batteries and battery energy storage systems (“BESS”) used in the electric vehicle and solar industries.

 

As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.

 

Portfolio holdings are subject to change at any time.

 

Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

 

7

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Consolidated Portfolio of Investments

August 31, 2023

 

 

 

COUPON*

   

MATURITY
DATE

   

PAR
(000’s)

   

VALUE

 
                                 

SHORT-TERM INVESTMENTS — 88.3%

                               

U.S. TREASURY OBLIGATIONS — 82.8%

                               

United States Treasury Bill

    3.553 %     12/28/23     $ 2,000     $ 1,965,387  

TOTAL U.S. TREASURY OBLIGATIONS

                               

(Cost $1,965,485)

                            1,965,387  

 

 

 

NUMBER OF
SHARES
(000’s)

   

 

 
                 

MONEY MARKET DEPOSIT ACCOUNT — 5.5%

               

U.S. Bank Money Market Deposit Account, 5.20%(a)

    131       131,189  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

               

(Cost $131,189)

            131,189  
                 

TOTAL SHORT-TERM INVESTMENTS

               

(Cost $2,096,674)

            2,096,576  

TOTAL INVESTMENTS — 88.3%

               

(Cost $2,096,674)

            2,096,576  
                 

OTHER ASSETS IN EXCESS OF LIABILITIES — 11.7%

            278,459  

NET ASSETS — 100.0%

          $ 2,375,035  

 

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

8

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

CONSOLIDATED PORTFOLIO OF INVESTMENTS IN FUTURES
COnTRACTS

August 31, 2023

 

Futures contracts outstanding as of August 31, 2023 were as follows:

 

LONG CONTRACTS(1)

 

EXPIRATION
DATE

   

NUMBER OF
CONTRACTS

   

NOTIONAL
AMOUNT

   

VALUE AND
UNREALIZED
APPRECIATION/
(DEPRECIATION)

 
                                 

Copper

    Mar-24       17     $ 1,633,700     $ 13,578  

Lithium Hydroxide Monohydrate

    Oct-23       2       65,400       (50,605 )

Lithium Hydroxide Monohydrate

    Nov-23       2       75,000       (41,005 )

Lithium Hydroxide Monohydrate

    Dec-23       2       75,000       (41,005 )

Lithium Hydroxide Monohydrate

    Jan-24       2       77,580       (1,436 )

Lithium Hydroxide Monohydrate

    Feb-24       2       77,580       (1,436 )

Lithium Hydroxide Monohydrate

    Mar-24       5       193,950       (35,090 )

London Metals Exchange Nickel

    Sep-23       2       241,356       (49,107 )

London Metals Exchange Nickel

    Mar-24       1       123,726       (45 )
                            $ (206,151 )

 

SHORT CONTRACTS(1)

 

EXPIRATION
DATE

   

NUMBER OF
CONTRACTS

   

NOTIONAL
AMOUNT

   

VALUE AND
UNREALIZED
APPRECIATION/
(DEPRECIATION)

 
                                 

London Metals Exchange Nickel

    Sep-23       2     $ (241,356 )   $ 2,304  
                            $ 2,304  

Total Futures Contracts

                          $ (203,847 )

 

(1)

All futures contracts are held by The Energy & Minerals Group EV & Solar Battery Materials Futures Cayman Fund, Ltd., a wholly-owned subsidiary of the Fund.

 

The accompanying notes are an integral part of these financial statements.

 

 

9

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

CONSOLIDATED Statement of Assets and Liabilities

August 31, 2023

 

ASSETS

       

Short-term investments in securities, at value (cost $2,096,674)

  $ 2,096,576  

Deposits with brokers for futures contracts

    420,727  

Cash and cash equivalents

    62,719  

Unrealized appreciation on futures contracts

    15,882  

Interest receivable

    826  

Total assets

    2,596,730  
         

LIABILITIES

       

Unrealized depreciation on futures contracts

    219,729  

Payables for:

       

Advisory fees

    1,966  

Total liabilities

    221,695  

Net assets

  $ 2,375,035  
         

NET ASSETS CONSIST OF:

       

Paid-in capital

  $ 2,355,601  

Total distributable earnings/(losses)

    19,434  

Net assets

  $ 2,375,035  
         

Shares issued and outstanding (unlimited number of shares authorized without par value)

    125,000  

Net asset value and redemption price per share

  $ 19.00  

 

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

CONSOLIDATED Statement of Operations

FOR THE Period ENDED August 31, 2023(1)

 

INVESTMENT INCOME

       

Interest

  $ 83,984  

Total investment income

    83,984  
         

EXPENSES

       

Advisory fees (Note 2)

    19,603  

Total expenses

    19,603  

Net investment income/(loss)

    64,381  
         

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

       

Net realized gain/(loss) from:

       

Investments

    (340 )

Futures contracts

    (599,215 )

Net change in unrealized appreciation/(depreciation) from:

       

Investments

    (98 )

Futures contracts

    (203,847 )

Net realized and unrealized gain/(loss) from investments

    (803,500 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (739,119 )

 

(1)

Inception date of the Fund was December 29, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

11

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

CONSOLIDATED Statement of Changes in Net Assets

 

 

 

For the
PERIOD Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

       

Net investment income/(loss)

  $ 64,381  

Net realized gain/(loss) from investments and futures contracts

    (599,555 )

Net change in unrealized appreciation/(depreciation) from investments and futures contracts

    (203,945 )

Net increase/(decrease) in net assets resulting from operations

    (739,119 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    5,626,324  

Shares redeemed

    (2,512,170 )

Net increase/(decrease) in net assets from capital share transactions

    3,114,154  

Total increase/(decrease) in net assets

    2,375,035  
         

NET ASSETS:

       

Beginning of period

     

End of period

  $ 2,375,035  
         

SHARE TRANSACTIONS:

       

Shares sold

    225,000  

Shares redeemed

    (100,000 )

Net increase/(decrease) in shares outstanding

    125,000  

 

(1)

Inception date of the Fund was December 29, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

CONSOLIDATED Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

PERIOD
Ended
August 31,
2023
(1)

   

PER SHARE OPERATING PERFORMANCE

         

Net asset value, beginning of period

  $ 25.00    

Net investment income/(loss)(2)

    0.47    

Net realized and unrealized gain/(loss) from investments and futures contracts

    (6.47 )  

Net increase/(decrease) in net assets resulting from operations

    (6.00 )  

Net asset value, end of period

  $ 19.00    

Market value, end of period

  $ 19.11    

Total investment return/(loss) on net asset value(3)

    (24.00 )%(5)  

Total investment return/(loss) on market price(4)

    (23.54 )%(5)  

RATIOS/SUPPLEMENTAL DATA

         

Net assets, end of period (000’s omitted)

  $ 2,375    

Ratio of expenses to average net assets

    0.95 %(6)  

Ratio of net investment income/(loss) to average net assets

    3.12 %(6)  

Portfolio turnover rate

    0 %(5)  

 

(1)

Inception date of the Fund was December 29, 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.

 

 

13

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to Consolidated Financial Statements

August 31, 2023

 

1. Organization And Significant Accounting Policies

 

The RBB Fund Trust, (the “Trust”) was organized as a Delaware statutory trust on August 29, 2014, and is registered under the Investment Company Act of 1940 as amended (the “1940 Act”), as an open-end management investment company. The Trust is a “series fund,” which is a mutual fund complex divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, the Trust has eight separate investment portfolios, including The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF (the “Fund”), which commenced investment operations on December 29, 2022.

 

The Fund seeks long-term capital appreciation. The Fund seeks to achieve its investment objective by concentrating its investments in a combination of financial instruments that are economically linked to elements necessary for the production of batteries and battery energy storage systems (“BESS”) used in the electric vehicle and solar industries. Such elements are currently lithium, nickel, copper and cobalt. The Fund may also invest in financial instruments that are economically linked to manganese or graphite.

 

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, 2023, and the period covered by these Notes to Consolidated Financial Statements is the since inception period from December 29, 2022 through August 31, 2023 (the “current fiscal period”).

 

CONSOLIDATION OF SUBSIDIARY — The Fund invests up to 25% of its total assets in The Energy & Minerals Group EV & Solar Battery Materials Futures Cayman Fund, Ltd., a wholly-owned subsidiary of the Fund (the “Subsidiary”), organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $279,599, which represented 11.77% of the Fund’s net assets.

 

PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued by the Valuation Designee (as defined below) in accordance with procedures adopted by the Trust’s Board of Trustees (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.

 

14

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

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 Energy & Minerals Group Advisors, 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.

 

The following is a summary of the inputs used, as of the end of the reporting period, in valuing the Fund’s investments carried at fair value:

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Short-Term Investments

  $ 2,096,576     $ 131,189     $ 1,965,387     $  

Commodity Futures Contracts

    15,882       15,882              

Total Assets

  $ 2,112,458     $ 147,071     $ 1,965,387     $  

 

 

 

TOTAL

   

LEVEL 1

   

LEVEL 2

   

LEVEL 3

 

Commodity Futures Contracts

  $ (219,729 )   $ (219,729 )   $     $  

Total Liabilities

  $ (219,729 )   $ (219,729 )   $     $  

 

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

 

 

15

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

 

During the current fiscal period, the Fund had no Level 3 transfers.

 

DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

 

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include futures contracts.

 

During the current fiscal period, the Fund used long and short contracts on commodities (through investment in the Subsidiary) to gain investment exposure in accordance with its investment objective.

 

The following tables provide quantitative disclosures about fair value amounts of, and gains and losses on, the Fund’s derivative instruments as of and for the current fiscal period.

 

The following tables list the fair values and location on the Consolidated Statement of Assets and Liabilities of the Fund’s derivative holdings as of the end of the reporting period, grouped by derivative type and primary risk exposure category by contract type.

 

DERIVATIVE TYPE

 

CONSOLIDATED
STATEMENT OF ASSETS
AND LIABILITIES
LOCATION

   

COMMODITY
CONTRACTS

   

TOTAL

 

Asset Derivatives

Futures Contracts (a)

    Unrealized appreciation on futures contracts     $ 15,882     $ 15,882  

Total Value - Assets

          $ 15,882     $ 15,882  
                         

Liability Derivatives

Futures Contracts (a)

    Unrealized depreciation on futures contracts     $ (219,729 )   $ (219,729 )

Total Value - Liabilities

          $ (219,729 )   $ (219,729 )

 

(a)

This amount represents the cumulative appreciation/(depreciation) of futures contracts as reported in the Consolidated Portfolio of Investments.

 

16

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

The following table lists the amounts of net 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

   

TOTAL

 

Realized Gain/(Loss)

Futures Contracts

    Net realized gain/(loss) from futures contracts     $ (599,215 )   $ (599,215 )

Total Realized Gain/(Loss)

          $ (599,215 )   $ (599,215 )

 

The following table lists the amounts of net 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

   

TOTAL

 

Change in Unrealized Appreciation/(Depreciation)

Futures Contracts

    Net change in unrealized appreciation/(depreciation) on futures contracts     $ (203,847 )   $ (203,847 )

Total Change in Unrealized Appreciation/(Depreciation)

          $ (203,847 )   $ (203,847 )

 

During the current fiscal period, the Fund’s quarterly average volume of derivatives was as follows:

 

 

LONG FUTURES
NOTIONAL AMOUNT

   

SHORT FUTURES
NOTIONAL AMOUNT

 
  $ 2,836,360     $ (229,126 )

 

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

 

 

17

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

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.

 

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, Inc. (“RBB”), a series trust of affiliated funds. Expenses incurred on behalf of a specific class, fund or fund family of the Trust or RBB, 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 the Trust and RBB, or in such other manner as the Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

 

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

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 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

 

18

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

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 Rule 18f-4 and has adopted procedures for investing in derivatives and other transactions in compliance with Rule 18f-4.

 

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 — There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.

 

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.

 

U.S. GOVERNMENT SECURITIES — The Fund may invest in U.S. government securities. Securities issued or guaranteed by the U.S. government or its agencies or instrumentalities include U.S. Treasury securities, which are backed by the full faith and credit of the U.S. Treasury and which differ only in their interest rates, maturities, and times of issuance. U.S. Treasury bills have initial maturities of one-year or less; U.S. Treasury notes have initial maturities of one to ten years; and U.S. Treasury bonds generally have initial maturities of greater than ten years. Certain U.S. government securities are issued or guaranteed by agencies or instrumentalities of the U.S. government including, but not limited to, obligations of U.S. government agencies or instrumentalities such as Fannie Mae, Freddie Mac, Ginnie Mae, the Small Business Administration, the Federal Farm Credit Administration, the Federal Home Loan Banks, Banks for Cooperatives (including the Central Bank for Cooperatives), the Federal Land Banks, the Federal Intermediate Credit Banks, the Tennessee Valley Authority, the Export-Import Bank of the United States, the Commodity Credit Corporation, the Federal Financing Bank, the Student Loan Marketing Association, the National Credit Union Administration and the Federal Agricultural Mortgage Corporation (Farmer Mac).

 

Some obligations issued or guaranteed by U.S. government agencies and instrumentalities, including, for example, Ginnie Mae pass-through certificates, are supported by the full faith and credit of the U.S. Treasury. Other obligations issued by or guaranteed by federal agencies, such as those securities issued by Fannie Mae, are supported by the discretionary authority of the U.S. government

 

 

19

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

to purchase certain obligations of the federal agency, while other obligations issued by or guaranteed by federal agencies, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Treasury, while the U.S. government provides financial support to such U.S. government-sponsored federal agencies, no assurance can be given that the U.S. government will always do, since the U.S. government is not so obligated by law. U.S. Treasury notes and bonds typically pay coupon interest semi-annually and repay the principal at maturity.

 

CASH AND CASH EQUIVALENTS — Cash and cash equivalents are valued at cost plus accrued interest, which approximates fair 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

 

The Energy & Minerals Group Advisors, LLC serves as the Adviser to the Fund. Vident Investment Advisory, LLC (“VIA”) served as investment sub-adviser to the Fund since inception. On July 14, 2023, VIA contributed substantially all of its assets and certain liabilities to Vident Advisory, LLC (“Vident” or Sub-Adviser”), an affiliate of VIA. Vident was then acquired by Casey Crawford through various holding entities. This transaction resulted in a “change of control” of the Fund’s investment sub-adviser, causing the assignment and automatic termination of the sub-advisory agreement as required by the 1940 Act. As a result of this change in control, the Board, at a meeting held on May 16-17, 2023, approved a new sub-advisory agreement between the Adviser and Vident, which is materially identical to the previous agreement. The new sub-advisory agreement with Vident became effective July 14, 2023 when the change in control became effective.

 

Expenses of the Fund are deducted from the Fund’s total income before dividends are paid. Subject to the overall supervision of the Board, the Adviser manages the overall investment operations of the Fund in accordance with the Fund’s investment objective and policies and formulates a continuing investment strategy for the Fund pursuant to the terms of Investment Advisory Agreement between the Trust and the Adviser (the “Advisory Agreement”). Under the terms of the Advisory Agreement, the Fund pays the Adviser a unitary management fee that is computed and paid monthly at an annual rate of 0.95% of the Fund’s average daily net assets during the month. From the unitary management fees, the Adviser pays most of the expenses of the Fund, including the cost of sub-advisory fees to Vident, Subsidiary expenses, transfer agency, custody, fund administration, legal, audit and other services. However, under the Advisory Agreement, the Adviser is not responsible for interest expenses, brokerage commissions and other trading expenses, taxes and other extraordinary costs such as litigation and other expenses not incurred in the ordinary course of business.

 

During the current fiscal period, investment advisory fees accrued were as follows:

 

 

ADVISORY FEES

 
  $ 19,603  

 

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.

 

20

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

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 the Trust.

 

Under the Fund’s unitary fee, the Adviser compensates Fund Services and the Custodian for services provided.

 

3. Trustee And Officer Compensation

 

The Trustees of the Trust receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Trust. Vigilant Compliance, LLC is compensated for the services provided to the Trust. Employees of the Trust serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Trust. They are compensated by the Trust for services provided. Certain employees of Fund Services serve as officers of the Trust. They are not compensated by the Fund or the Trust. As of the end of the reporting period, there were no trustee and officer fees charged or paid by the Fund.

 

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

 

It is the Fund’s intention to meet the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), that are applicable to a regulated investment company (“RIC”). The Fund intends to continue to operate so as to qualify to be taxed as a RIC under the Code and, as such, to not be subject to federal income tax on the portion of its taxable income and gains distributed to stockholders. To qualify for RIC tax treatment, among other requirements, the Fund is required to distribute at least 90% of its investment company taxable income, as defined by 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. While the Fund intends to distribute substantially all of its taxable net investment income and capital gains, if any, in a manner necessary to minimize the imposition of a 4% excise tax, there can be no assurance that it will avoid any or all of the excise tax. In such event, the Fund will be liable only for the amount by which it does not meet the foregoing distribution requirements. The Fund has adopted August 31 as its tax year end.

 

In accounting for income taxes, the Fund follows the guidance in FASB ASC Codification 740, as amended by ASU 2009-06, “Accounting for Uncertainty in Income Taxes” (“ASC 740”). ASC 740 prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the consolidated financial statements. Management has concluded, there were no uncertain tax positions as of August 31, 2023 for federal income tax purposes or in, the Fund’s major state and local tax jurisdiction of Delaware.

 

 

21

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

Because U.S. federal income tax regulations differ from U.S. GAAP, distributions in accordance with tax regulations may differ from net investment income and realized gains recognized for financial reporting purposes. Differences may be permanent or temporary. Permanent difference are reclassified among capital accounts in the financial statements to reflect the applicable tax characterization. Temporary differences arise when certain items of income, expense, gain or loss are recognized at some time in the future. The tax basis components of distributable earnings may differ from the amount reflected in the Statement of Assets and Liabilities due to temporary book/tax differences due to a tax free incorporation transfer.

 

As of August 31, 2023, 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)

 
  $ 2,096,674     $     $ (98 )   $ (98 )

 

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying consolidated financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

The following permanent differences as of August 31, 2023, primarily attributable to investments in the Subsidiary were reclassified among the following accounts:

 

 

DISTRIBUTABLE
EARNINGS/(LOSS)

   

PAID-IN
CAPITAL

 
  $ 758,553     $ (758,553 )

 

As of August 31, 2023, the components of distributable earnings on a tax basis were as follows:

 

 

UNDISTRIBUTED
ORDINARY
INCOME

   

UNDISTRIBUTED
LONG-TERM
GAINS

   

Other
Temporary
Differences

   

NET
UNREALIZED
APPRECIATION/
(DEPRECIATION)

 
  $ 66,719     $     $ (47,187 )   $ (98 )

 

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.

 

22

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (continued)

August 31, 2023

 

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2023 were as follows:

 

 

ORDINARY
INCOME

   

LONG-TERM
GAINS

   

total

 
  $     $     $  

 

The Fund is permitted to carry forward capital losses for an unlimited period. Capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2023, the Fund had unexpiring short-term capital loss carryovers of $340 to offset future capital gains.

 

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 period ended August 31, 2023, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2023. As of August 31, 2023, the Fund did not elect to defer any post-October capital losses or late-year ordinary losses.

 

6. SHARE TRANSACTIONS

 

Shares of the Fund are listed and traded on the NYSE Arca, 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 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 the Fund. Creation Units may only be purchased or redeemed by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem shares directly from the Fund. Rather, most retail investors may purchase shares in the secondary market with the assistance of a broker and are subject to customary brokerage commissions or fees.

 

The Fund currently offers one class of shares, which has no front-end sales load, no deferred sales charge, and no redemption fee. A fixed transaction fee is imposed for the transfer and other transaction costs associated with the purchase or sale of Creation Units. The standard fixed transaction fee for the Fund is $300, payable to the custodian. In addition, a variable fee may be charged on all cash transactions or substitutes for Creation Units of up to a maximum of 2% as a percentage of the value of the Creation Units subject to the transaction. Variable fees are imposed to compensate the Fund for the transaction costs associated with the cash transactions. Variable fees received by the Fund, if any, are displayed in the capital shares transactions section of the Consolidated Statement of Changes in Net Assets.

 

 

23

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notes to CONSOLIDATED Financial Statements (CONCLUDED)

August 31, 2023

 

7. New Accounting Pronouncements And Regulatory Updates

 

In June 2022, the FASB issued Accounting Standards Update 2022-03, which amends Fair Value Measurement (Topic 820): Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions (“ASU 2022-03”). ASU 2022-03 clarifies guidance for fair value measurement of an equity security subject to a contractual sale restriction and establishes new disclosure requirements for such equity securities. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and for interim periods within those fiscal years, with early adoption permitted. Management is currently evaluating the impact of these amendments on the financial statements.

 

In October 2022, the SEC adopted and form admendments rule relating tailored shareholder reports for mutual funds and ETFs and fee information in investment company advertisements. The rule and form amendments will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendments until the Fund is required to comply.

 

In December 2022, the FASB issued an Accounting Standards Update, ASU 2022-06, Reference Rate Reform (Topic 848) – Deferral of the Sunset Date of Topic 848 (“ASU 2022-06”). ASU 2022-06 is an amendment to ASU 2020-04, which provided optional guidance to ease the potential accounting burden due to the discontinuation of the London Inter-Bank Offered Rate and other interbank-offered based reference rates and which was effective as of March 12, 2020 through December 31, 2022. ASU 2022-06 extends the effective period through December 31, 2024. Management is currently evaluating the impact, if any, of applying ASU 2022-06.

 

8. Subsequent Events

 

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 available to be issued, and has determined that there was the following subsequent event: The U.S.-designated terrorist group Hamas attacked Israel on October 7, 2023, resulting in an ensuing war in the region. Current hostilities and the potential for future hostilities may diminish the value, or cause significant volatility in the share price, of companies based in or having significant operations in Israel. The Israeli securities market may be closed for extended periods of time or trading on the Israeli securities market may be suspended altogether. How long the armed conflict and related events will last cannot be predicted.

 

24

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Report of Independent Registered Public Accounting Firm

 

To the Shareholders of The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF and
Board of Trustees of The RBB Fund Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated portfolio of investments and consolidated portfolio of investments in futures contracts, of The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF (the “Fund”), a series of The RBB Fund Trust, as of August 31, 2023, the consolidated statements of operations and changes in net assets, the related notes, and the consolidated financial highlights for the period December 29, 2022 (commencement of operations) through August 31, 2023 (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, 2023, 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, 2023, by correspondence with the custodian and broker. 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 Fund’s auditor since 2022.

 

 

COHEN & COMPANY, LTD.
Cleveland, Ohio
October 30, 2023

 

 

25

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notice to Shareholders

(Unaudited)

 

Information on Proxy Voting

 

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 are available (i) without charge, upon request, by calling (800) 617-0004; and (ii) on the SEC’s website at http://www.sec.gov.

 

Quarterly Schedule of Investments

 

The Trust 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 Trust’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.emgadvisors.com.

 

LIQUIDITY RISK MANAGEMENT PROGRAM

 

The Trust has adopted and implemented a Liquidity Risk Management Program (the “Trust Program”) as required by rule 22e-4 under the 1940 Act. In accordance with the Trust Program, the Adviser has adopted and implemented a liquidity risk management program (the “Adviser Program” and together with the Trust Program, the “Programs”) on behalf of the Fund. The Programs seek to assess, manage and review the Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interest in the Fund.

 

The Board has appointed Vigilant Compliance, LLC (“Vigilant”) as the program administrator for the Trust Program and the Liquidity Risk Management Committee of the Adviser as the program administrator for the Adviser Program. The process of monitoring and determining the liquidity of the Fund’s investments is supported by one or more third-party vendors.

 

At meetings held during the current fiscal period, the Board and its Regulatory Oversight Committee received and reviewed a written report (the “Report”) of Vigilant and the Adviser concerning the operation of the Programs for the period from December 28, 2022 to December 31, 2022 (the “Period”). The Report summarized the operation of the Programs and the information and factors considered by Vigilant and the Adviser in reviewing the adequacy and effectiveness of the implementation of the Programs with respect to the Fund. Such information and factors included, among other things: (i) the methodology used to classify the liquidity of the Fund’s portfolio investments and the Adviser’s assessment that the Fund’s strategy remained appropriate for an exchange traded fund; (ii) analyses of the Fund’s trading environment and reasonably anticipated trading size; (iii) that the Fund held primarily highly liquid assets (investments that the Fund anticipates can be converted to cash within 3 business days or less in current market conditions without significantly changing their market value); (iv) that the Fund either held a percentage of highly liquid assets above its highly liquid investment minimum at all times during the Period or did not require the establishment of a highly liquid investment minimum; (v) confirmation that the Fund did not breach the 15% maximum illiquid security threshold (investments that cannot be sold or disposed of in seven days or less in current market conditions without the sale of the investment significantly changing the market value of the investment) during the Period and the procedures for monitoring compliance with the limit; (vi) that the processes, technologies and third-party vendors used to assess, manage, and/or periodically review the

 

26

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Notice to Shareholders (concluded)

(Unaudited)

 

Fund’s Liquidity Risk functioned appropriately during the Period; and (vii) that the Programs operated adequately during the Period. The Report also indicated that there were no material changes made to the Programs during the Period.

 

Based on the review, the Report concluded that the Programs were being implemented effectively and reasonably designed to assess and manage Liquidity Risk in the Fund’s portfolio.

 

There can be no assurance that the Trust Program or the Adviser Program will achieve its objectives under all circumstances in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.

 

APPROVAL OF INVESTMENT SUB-ADVISORY AGREEMENTS

 

As required by the 1940 Act, the Board, including all of the Trustees who are not “interested persons” of the Trust, as that term is defined in the 1940 Act (the “Independent Trustees”), considered the approval of a new Sub-Advisory Agreement (the “Sub-Advisory Agreement”) by and among the Adviser and Vident, with respect to The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF (the “Fund”) at a meeting of the Board held on May 16-17, 2023 (the “Meeting”). At the Meeting, the Board, including all of the Independent Trustees, approved the new Sub-Advisory Agreement for an initial period ending August 16, 2024. The Board’s decision to approve the Sub-Advisory Agreement reflects the exercise of its business judgment. In approving the Sub-Advisory Agreement, the Board considered information provided by the Adviser and Vident, with the assistance and advice of counsel to the Independent Trustees and the Trust.

 

In considering the approval of the Sub-Advisory Agreement by and among the Adviser and Vident, with respect to the Fund, the Board took into account all materials provided prior to and during the Meeting and at other meetings throughout the past year, the presentations made during the Meeting, and the discussions held during the Meeting. Among other things, the Board considered (i) the nature, extent, and quality of services to be provided to the Fund by Vident; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) Vident’s investment philosophies and processes; (iv) Vident’s assets under management and client descriptions; (v) Vident’s soft dollar commission and trade allocation policies; (vi) Vident’s advisory fee arrangements with the Fund and other similarly managed clients, as applicable; (vii) Vident’s compliance procedures; and (viii) Vident’s financial information and insurance coverage.

 

The Board also considered the fees payable to Vident under the proposed Sub-Advisory Agreement with Vident and the services to be provided by Vident. In this regard, the Board noted that the fees for Vident were payable by the Adviser.

 

After reviewing the information regarding the Adviser’s and Vident’s costs, profitability and economies of scale, and after considering the services to be provided by Vident, the Board concluded that the sub-advisory fees to be paid by the Adviser to Vident were fair and reasonable, that the Sub-Advisory Agreement is in the best interests of the Fund and its shareholders and does not involve a conflict of interest from which the Adviser or Vident derives an inappropriate advantage, and that the Sub-Advisory Agreement should be approved for an initial period ending August 16, 2024.

 

 

27

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Trustees and Executive Officers

(Unaudited)

 

TRUSTEES and Executive Officers

 

The business and affairs of the Trust are managed under the direction of the Trust’s Board. The Trustees and executive officers of the Trust, their ages, business addresses and principal occupations during the past five years are set forth below.

 

Name, Address
and Age

Position(s)
held with
the Trust

Term of
Office and
Length
of Time
Served1

Principal
Occupations
During the Past
Five Years

Other
Directorships
During
the Past 5 Years

Number of
Portfolios
in the Fund
Complex
Overseen by
the Trustee*

           

INDEPENDENT TRUSTEES

Julian A. Brodsky
615 East Michigan Street
Milwaukee, WI 53202
Age: 90

Trustee

June 2021 to present

Retired.

AMDOCS Limited (service provider to telecommunications companies).

63

Gregory P. Chandler
615 East Michigan Street
Milwaukee, WI 53202
Age: 56

Trustee

June 2021 to present

Since 2020, Chief Financial Officer, HC Parent Corp. d/b/a Herspiegel Consulting LLC (life sciences consulting services); 2020, Chief Financial Officer, Avocado Systems Inc. (cyber security software provider); from 2009 - 2020, Chief Financial Officer, Emtec, Inc. (information technology consulting/services).

FS Energy and Power Fund (business development company); Wilmington Funds (12 portfolios) (registered investment company); Emtec, Inc. (until December 2019); FS Investment Corporation (business development company) (until December 2018).

63

Lisa A. Dolly
615 East Michigan Street Milwaukee, WI, 53202
Age: 57

Trustee

October 2021 to present

From July 2019-December 2019, Chairman, Pershing LLC (broker dealer, clearing and custody firm); January 2016-June 2019, Chief Executive Officer, Pershing, LLC.

Allfunds Group PLC (United Kingdom wealthtech and fund distribution provider); Securities Industry and Financial Markets Association (trade association for broker dealers, investment banks and asset managers); Hightower Advisors (wealth management firm).

63

 

28

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Trustees and Executive Officers (CONTINUED)

(Unaudited)

 

Name, Address
and Age

Position(s)
held with
the Trust

Term of
Office and
Length
of Time
Served1

Principal
Occupations
During the Past
Five Years

Other
Directorships
During
the Past 5 Years

Number of
Portfolios
in the Fund
Complex
Overseen by
the Trustee*

           

Nicholas A. Giordano
615 East Michigan Street
Milwaukee, WI 53202
Age: 80

Trustee

June 2021 to present

Since 1997, Consultant, financial services organizations.

IntriCon Corporation (biomedical device manufacturer) (until May 2022); Wilmington Funds (12 portfolios) (registered investment company); Independence Blue Cross (healthcare insurance) (until March 2021).

63

Arnold M. Reichman
615 East Michigan Street
Milwaukee, WI 53202
Age: 75

Chair and Trustee

June 2021 to present

Retired.

EIP Investment Trust (registered investment company) (until August 2022).

63

Brian T. Shea
615 East Michigan Street
Milwaukee, WI 53202
Age: 63

Trustee

June 2021 to present

From 2014-2017, Chief Executive Officer, BNY Mellon Investment Services (fund services, global custodian and securities clearing firm); from 1983- 2014, Chief Executive Officer and various positions, Pershing LLC (broker dealer, clearing and custody firm).

Fidelity National Information Services, Inc. (financial services technology company); Ameriprise Financial, Inc. (financial services company); WisdomTree Investments, Inc. (asset management company) (until March 2019).

63

Robert A. Straniere
615 East Michigan Street
Milwaukee, WI 53202
Age: 82

Trustee

June 2021 to present

Since 2009, Administrative Law Judge, New York City; since 1980, Founding Partner, Straniere Law Group (law firm).

None.

63

INTERESTED TRUSTEE2

Robert Sablowsky
615 East Michigan Street
Milwaukee, WI 53202
Age: 85

Vice Chair and Trustee

June 2021 to present

Since 2002, Senior Director – Investments and, prior thereto, Executive Vice President, of Oppenheimer & Co., Inc. (a registered broker-dealer).

None.

63

 

 

 

29

 

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Trustees and Executive Officers (CONTINUED)

(Unaudited)

 

Name, Address
and Age

Position(s)
held with
the Trust

Term of
Office and
Length
of Time
Served1

Principal
Occupations
During the Past
Five Years

Other
Directorships
During
the Past 5 Years

Number of
Portfolios
in the Fund
Complex
Overseen by
the Trustee*

           

OFFICERS

Steven Plump
615 East Michigan Street
Milwaukee, WI 53202
Age: 64

President

August 2022 to present

From 2011 to 2021, Executive Vice President, PIMCO LLC.

N/A

N/A

Salvatore Faia, JD, CPA, CFE Vigilant Compliance, LLC Gateway Corporate Center, Ste. 216
223 Wilmington West Chester Pike
Chadds Ford, PA 19317
Age: 60

Chief Compliance Officer

June 2021 to present

Since 2004, President, Vigilant Compliance, LLC (investment management services company); since 2005, Independent Trustee of EIP Investment Trust (registered investment company); Since 2004, Chief Compliance Officer of The RBB Fund, Inc.; President of The RBB Fund, Inc. from 2009 to 2022; President of The RBB Fund Trust from 2021 to 2022.

N/A

N/A

James G. Shaw
615 East Michigan Street
Milwaukee, WI 53202
Age: 63

Chief Financial Officer and Secretary Chief Operating Officer

June 2021 to present August 2022 to present

Chief Financial Officer and Secretary (since 2016) and Chief Operating Officer (since 2022) of The RBB Fund,Inc.; Chief Financial Officer and Secretary (since 2021) and Chief Operating Officer (since 2022) of The RBB Fund Trust.

N/A

N/A

Craig A. Urciuoli
615 East Michigan Street
Milwaukee, WI 53202
Age: 49

Director of Marketing & Business Development

June 2021 to present

Director of Marketing & Business Development of The RBB Fund, Inc. (since 2019); from 2000-2019, Managing Director, Third Avenue Management LLC (investment advisory firm).

N/A

N/A

 

 

30

 

 

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Trustees and Executive Officers (CONTINUED)

(Unaudited)

 

Name, Address
and Age

Position(s)
held with
the Trust

Term of
Office and
Length
of Time
Served1

Principal
Occupations
During the Past
Five Years

Other
Directorships
During
the Past 5 Years

Number of
Portfolios
in the Fund
Complex
Overseen by
the Trustee*

           

Jennifer Witt
615 East Michigan Street
Milwaukee, WI 53202
Age: 40

Assistant Treasurer

June 2021 to present

Since 2020, Vice President, U.S. Bank Global Fund Services (fund administrative services firm); from 2016 to 2020, Assistant Vice President, U.S. Bank Global Fund Services.

N/A

N/A

Edward Paz
615 East Michigan Street
Milwaukee, WI 53202
Age: 52

Assistant Secretary

June 2021 to present

Since 2007, Vice President and Counsel, U.S. Bancorp Fund Services, LLC (fund administrative services firm).

N/A

N/A

Michael P. Malloy
One Logan Square Ste. 2000
Philadelphia, PA 19103
Age: 64

Assistant Secretary

June 2021 to present

Since 1993, Partner, Faegre Drinker Biddle & Reath LLP (law firm).

N/A

N/A

Jillian L. Bosmann
One Logan Square Ste. 2000
Philadelphia, PA 19103
Age: 44

Assistant Secretary

June 2021 to present

Since 2017, Partner, Faegre Drinker Biddle & Reath LLP (law firm).

N/A

N/A

 

*

Each Trustee oversees 63 portfolios of the fund complex, consisting of the series in the Trust (10 portfolios) and The RBB Fund, Inc. (53 portfolios).

 

1

Subject to the Trust’s Retirement Policy, each Trustee may continue to serve as a Trustee until the last day of the calendar year in which the applicable Trustee attains age 75 or until his or her successor is elected and qualified or his or her death, resignation or removal. The Board reserves the right to waive the requirements of the Policy with respect to an individual Trustee. The Board has approved waivers of the policy with respect to Messrs. Brodsky, Giordano, Sablowsky and Straniere. Each officer holds office at the pleasure of the Board until the next special meeting of the Trust or until his or her successor is duly elected and qualified, or until he or she dies, resigns or is removed.

 

2

Mr. Sablowsky is considered an “interested person” of the Trust as that term is defined in the 1940 Act and is referred to as an “Interested Trustee.” Mr. Sablowsky is considered an “Interested Trustee” of the Trust by virtue of his position as an employee of Oppenheimer & Co., Inc., a registered broker-dealer.

 

Trustee Experience, Qualifications, Attributes and/or Skills

 

The information above includes each Trustee’s principal occupations during the last five years. Each Trustee possesses extensive additional experience, skills and attributes relevant to his or her qualifications to serve as a Trustee. The cumulative background of each Trustee led to the conclusion that each Trustee should serve as a Trustee of the Trust. Mr. Brodsky has over 40 years of senior

 

 

31

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Trustees and Executive Officers (CONCLUDED)

(Unaudited)

 

executive-level management experience in the cable television and communications industry. Mr. Chandler has demonstrated leadership and management abilities as evidenced by his senior executive level positions in the investment technology consulting/services and investment banking/brokerage industries, and also serves on various boards. Ms. Dolly has over three decades of experience in the financial services industry, and she has demonstrated her leadership and management abilities by serving in numerous senior executive-level positions. Mr. Giordano has years of experience as a consultant to financial services organizations and also serves on the boards of other registered investment companies. Mr. Reichman brings decades of investment management experience to the Board, in addition to senior executive-level management experience. Mr. Sablowsky has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the financial services industry. Mr. Shea has demonstrated leadership and management abilities as evidenced by his senior executive-level positions in the brokerage, clearing, banking, and investment services industry, including service on the boards of public companies, industry regulatory organizations and a university. Mr. Straniere has been a practicing attorney for over 30 years and has served on the boards of an asset management company and another registered investment company.

 

32

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials

(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Privacy Notice

 

Exhibit A

 

FACTS

WHAT DOES THE ENERGY & MINERALS GROUP ADVISORS, LLC (“EMG”) DO WITH YOUR

PERSONAL INFORMATION?

Why?

Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What?

The type of personal information we collect, and share depend on the product of service you have with us. This information can include:

● Social Security number and transaction history

● Account balances and checking account information

● Account transactions and wire transfer instructions

When you are no longer a customer, we continue to share your information as described in this notice.

How?

All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons EMG chooses to share; and whether you can limit this sharing.

       

Reasons we share your personal information

Does EMG share?

Can you limit this?

For our everyday business purposes —
such as to process your transaction, maintain your account(s), provide you with necessary information, respond to court orders and legal investigation.

Yes

No

For our marketing purposes —
to offer our products and services to you

Yes

Yes

For joint marketing with other financial companies

No

We don’t share.

For our affiliates’ everyday business purposes —
information about your transactions and experiences

Yes

No

For our affiliates’ everyday business purposes —
Information about your creditworthiness

No

We don’t share.

For our affiliates to market to you

Yes

No

For non-affiliates to market to you

No

We don’t share.

 

To limit our sharing

Please note:

If you are a new customer, we can begin sharing your information 30 days from the days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice.

However, you can contact us at any time to limit our sharing

Questions?

Call 1-800-617-0004 or visit www.emgadvisors.com should you have any questions.

 

 

33

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Privacy Notice (continued)

 

Exhibit A

 

What we do

 

How does EMG protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

How does EMG collect my personal information?

We collect your personal information, for example, when you

● open an account

● provide account information

● give us your contact information

● make a wire transfer

● tell us where to send the money

We also collect your information from others, such as credit bureaus, affiliates, or other companies

Why can’t I limit all sharing?

Federal law gives you the right to limit only

● sharing for affiliates’ everyday business purposes-information about your creditworthiness

● affiliates from using your information to market to you

● sharing for nonaffiliates to market to you

State laws and individual companies may give you additional rights to limit sharing.

What happens when I limit sharing for an account I hold jointly with someone else?

In addition to the above information, where applicable, you have the following rights under the European Union’s General Data Protection Regulation (“GDPR”) and U.S. Privacy Laws, as applicable and to the extent permitted by law, to

● Check whether we hold personal information about you and to access such data (in accordance with our policy)

● Request the correction of personal information about you that is

● inaccurate

● Have a copy of the personal information we hold about you provided to you or another “controller” where technically feasible

● Request the erasure of your personal information

● Request the restriction of processing concerning you

The legal grounds for processing of your personal information is for contractual necessity and compliance with law.

If you wish to exercise any of your rights above, please call:1-888-229-1855.

You are required to ensure the personal information we hold about you is up-to-date and accurate and you must notify us of any changes to the personal data you provided to us.

The Funds shall retain your personal data for as long as you are an investor in the Funds and thereafter as long as necessary to comply with applicable laws that require the Funds to retain your personal data, such as the Securities and Exchange Commission’s data retention rules. Your personal data will be transferred to the United States so that the Funds may provide the agreed upon services for you. No adequacy decision has been rendered by the European Commission as to the data protection of your personal data when transferring it to the United States. However, the Funds do take the security of your personal data seriously.

European Union’s General Data Protection Regulation

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

34

 

 

 

The Energy & Minerals Group EV, Solar & Battery Materials
(Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF

Privacy Notice (CONCLUDED)

 

Exhibit A

 

Definitions

 

Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

Non-affiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

EMG does not share with non-affiliates so they can market to you.

Joint marketing

A formal agreement between non-affiliated financial companies that together market financial products or services to you.

EMG doesn’t jointly market.

Controller

“Controller” means the natural or legal person, public authority, agency or other body which, alone or jointly with others, determines the purposes and means of the processing of personal data; where the purposes and means of such processing are determined by European union or European Member state law, the controller or the specific criteria for its nomination may be provided for by European union or European Member state law.

 

 

 

35

 

 

(This Page Intentionally Left Blank.)

 

 

(This Page Intentionally Left Blank.)

 

 

INVESTMENT ADVISER

The Energy & Minerals Group Advisors, LLC
704 Goodlette Frank Road North, Suite 118
Naples, FL 34102

 

INVESTMENT SUB-ADVISER

Vident Advisory, LLC
1125 Sanctuary Parkway, Suite 515
Alpharetta, Georgia 30009

 

ADMINISTRATOR AND TRANSFER AGENT

U.S. Bancorp Global Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53202-0701

 

CUSTODIAN

U.S. Bank, N.A.
1555 North Rivercenter Drive, Suite 302
Milwaukee, WI 53202

 

INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115

 

DISTRIBUTOR

Quasar Distributors, LLC
Three Canal Plaza, Suite 100
Portland, Maine 04101

 

LEGAL COUNSEL

Faegre Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996

 

EMG-AR23

 

 

 

 

 

 

 

Evermore Global Value Fund

 

of The RBB Fund Trust

 

Annual Report ● August 31, 2023

 

 

 

 

This report is submitted for the general information of the shareholders of the Evermore Global Value Fund and may not be used as sales literature unless preceded or accompanied by a current prospectus for the Fund.

 

 

Table of Contents

   

Shareholder Letter & Management Discussion of Fund Performance (Unaudited)

1

Performance Information (Unaudited)

7

Sector Allocation (Unaudited)

8

Expense Example (Unaudited)

9

Schedule of Investments

10

Statement of Assets and Liabilities

13

Statement of Operations

14

Statements of Changes in Net Assets

15

Financial Highlights

17

Notes to Financial Statements

21

Report of Independent Registered Public Accounting Firm

36

Annual Review of Liquidity Risk Management Program (Unaudited)

37

Trustees and Executive Officers (Unaudited)

38

Additional Information (Unaudited)

43

Privacy Notice (Unaudited)

44

 

 

 

 

Evermore Global Value Fund

 

Elements of Our Investment Approach

 

As the sub-adviser to the Evermore Global Value Fund, MFP Investors LLC seeks to leverage our deep operating and investing experience, and extensive global relationships to identify and invest in special situations -- companies around the world that have compelling valuations and are undergoing strategic changes which we believe will unlock value.

 

Seeking to Generate Value . . .

 

Catalyst-Driven Investing. We do more than simply pick undervalued stocks and hope for their prices to rise. We invest in companies where we have determined a series of catalysts exist to unlock value. The catalysts we look for are not broadly recognized, but they are likely to have a significant impact on a stock’s performance over time. Catalysts may include management changes, shareholder activism, and operational and financial restructurings (e.g., cost-cutting, asset sales, breakups, spinoffs, mergers, acquisitions, liquidations, share buybacks, recapitalizations, etc.).

 

Supporting Our Active Value Orientation . . .

 

Original Fact-Based Research. We conduct our own, original fact-based research to validate management’s stated objectives and identify catalysts to unlock value. We also perform detailed business segment analysis on each company we research.

 

Business Operating Experience. Our senior team has hands-on business operating experience including starting and managing businesses, sitting on company boards, and assisting management of multi-national corporations restructure their businesses. We rely on this experience to better evaluate investment opportunities.

 

A Global Network of Strategic Relationships. Over the past 25+ years, members of our investment team have developed extensive global networks of strategic relationships, including individuals and families that control businesses, corporate board members, corporate management, regional brokerage firms, press contacts, etc. We leverage these relationships to help generate ideas and better evaluate investment opportunities.

 

We Invest Like Owners. When we are interested in an investment opportunity, we get to know the management team of the company, study the company’s business model, evaluate the competitive and regulatory environment, and test and crosscheck everything the management team tells us against our own experience. We ask ourselves if we would want to own the entire company. If the answer is No, we will not invest in the company.

 

Not Activists, Often Collaborators. We almost always take the approach of collaborative engagement with management, rather than taking an aggressive activist stance. On limited occasions, when we are not satisfied with the efforts of the incumbent company leadership, we may work with other shareholders to help facilitate change.

 

Executing Our Approach . . .

 

Concentration Maintains Focus. Focused and disciplined investing means knowing our businesses intimately and staying patient as the process of value creation unfolds. We maintain focus by typically investing in 30 to 40 names with a high percentage of investments in our top 10 holdings.

 

Investing Across the Capital Structure. We evaluate all components of a company’s capital structure to determine where the best risk-adjusted return potential exists. At times, we may invest in multiple parts of a company’s capital structure (e.g., investing in both a company’s debt and equity).

 

Targeting Complex Investment Opportunities. We often research family-controlled holding companies or conglomerates that are often under-researched and/or misunderstood, which can create gaps between price and value.

 

Merger Arbitrage and Distressed Companies. We may take advantage of announced merger and acquisition deals where an attractive spread (difference) exists between the market price and the announced deal price for the target company. We also look for opportunities in distressed companies that have filed or may file for bankruptcy, distressed companies involved in reorganizations or financial restructurings, and distressed companies that emerged from bankruptcy or reorganization.

 

Tactically Managing Cash Levels. We are not afraid to hold significant cash positions when it makes sense for the portfolio.

 

1

 

 

Evermore Global Value Fund

A Letter from the Portfolio Managers

 

Dear Shareholder,

 

The Evermore Global Value Fund (the “Fund”) moved onto The RBB Fund Trust platform in December 2022 and, in connection with that transition, the Fund’s fiscal year end was changed to August 31st from December 31st. In light of our recently published Semi-Annual letter, which was posted on our website at the end of August 2023, we will be relatively brief in this Annual Shareholder letter and portfolio update, as much of the salient discussion points were covered in that recent Semi-Annual letter.

 

Portfolio Review – Investment Performance

 

For the year-to-date (YTD) period ended August 31, 2023 (the “Period”), the Institutional Class shares of the Fund were up 9.28%, outperforming the MSCI All Country World Index ex USA, which was up 8.78% for the Period. As shown in the chart below, the Fund’s performance during the Period exceeded that of its benchmark indices and peer group.

 

The performance data quoted represents past performance and is no guarantee of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month end may be obtained by calling 866-EVERMORE (866-383-7667). Prior to December 28, 2022, the Fund imposed a 2% redemption fee on shares redeemed within 90 days. Performance data quoted does not reflect the redemption fee. If reflected, total returns would be reduced. The performance data quoted reflects fee waivers in effect and would have been less in their absence.

 

Year-to-Date Period Ended August 31, 2023

 

 

Morningstar Global Small/Mid Stock Category Average represents an average of all funds in the Morningstar Global Small/Mid Stock Category.

 

 

2

 

 

Portfolio Review – Characteristics

 

The Fund ended the Period with $106.1 million in net assets and 23 issuer positions. As of August 31, 2023, 36.4% of the Fund’s net assets were in micro- and small-capitalization (up to $2 billion) companies; 16.3% were in mid-capitalization (between $2 billion and $10 billion) companies; and 25.2% were in large- capitalization (> $10 billion) companies.

 

Set forth below please find the following geographic and strategy classification breakdowns (shown as a % of Fund net assets) as of August 31, 2023.

 

Region Exposure

Strategy Classification

 

Country Exposure

 

 

As we discussed in the Semi-Annual letter (available on our website), the largest contributors to Fund performance during the Period were in a category we categorize as Family-Controlled Companies (FCC). We expect this area to continue to grow within the portfolio, as the number of family-controlled businesses that are undergoing value-accretive changes has been growing over the last few years. Excluding the impact of cash, our investments in family-controlled companies represent 76.2% of the portfolio (68.2% inclusive of cash) at the end of the Period.

 

3

 

 

Portfolio Review – New Investments

 

The Fund initiated four new positions during the Period – DHT Holdings, Inc. (ticker: DHT US), Stainless Tankers ASA (STST NO), Genco Shipping & Trading (GNK US) and Solvay SA (SOLB BB). Below please find a summary of our recent investment in Solvay SA.

 

The Fund initiated a position in Solvay SA (SOLB BB) during the Period. Headquartered in Belgium, Solvay is a $11.2 billion market cap diversified chemicals company with market leading positions in a variety of segments, including soda ash, silica, specialty polymers, composites, mining reagents, etc.

 

Solvay is a classic investment case for the Fund that underscores the intersection of a family-controlled company and catalysts on the horizon:

 

 

A family-controlled company with a longstanding history that began in 1863 with brothers Ernest and Alfred Solvay that developed the breakthrough ammonia-soda process that is still implemented today to produce soda ash. The Solvay family owns about 31% of the company through its investment holding company, Solvac SA.

 

 

A “new” CEO with a proven, multi-year track record. Since taking the helm in March 2019, CEO Ilham Kadri has helped to transform the company over the last few years by optimizing the portfolio (divested product lines), deleveraging the balance sheet and focusing on free cash flow generation.

 

 

Separation of the company is the next major step in Solvay’s transformation. While the company first announced this initiative back in March 2022, Solvay is now ready to split into two separately-listed companies by the end of 2023. Solvay (parent) will split into Syensqo (SpecialtyCo), which will focus on the growth-oriented assets, and Solvay (EssentialsCo), which will focus on the more resilient, mature assets in the portfolio.

 

We believe this transformation will help to crystallize the true intrinsic value of Solvay’s specialty chemical assets, which are masked within a conglomerate that generally tends to trade closer to the segment with the lowest valuation multiple. Given that we are still in the market opportunistically adding to our position, we expect to discuss Solvay in greater detail in future portfolio commentaries.

 

Portfolio Review – Exited Investments

 

The Fund exited four investments during the Period: BW LPG (BWLPG NO), Viaplay Group (VPLAYB SS), Atlantic Sapphire (ASA NO) and Aker Horizon (AKH NO).

 

Portfolio Review – Top Contributors & Detractors

 

The top three contributors to, and detractors from, Fund performance during the Period can be found below. The summaries for the most impactful contributor and detractor for the Period are the same securities as discussed in our Semi-Annual letter.

 

 

BW LPG (BWLPG NO) is one of the leading liquified petroleum gas (“LPG”) vessel operators in the world. The Fund exited its position in BW LPG during the second quarter of 2023, realizing a healthy gain for a position that we held for just under a year. It was the largest contributor to Fund performance during the Period.

 

Headquartered in Singapore and listed on the Oslo exchange, BW LPG has a market cap of $1.4 billion and a fleet of 45 Very Large Gas Carriers (VLGCs), of which 16 vessels are outfitted with the latest cost-effective, low emissions LPG dual-fuel propulsion technology. The main family-controlled shareholder is the BW Group (41% stake), a well-regarded maritime and green-related family-controlled holding company managed by the long-term oriented value creator and savvy investor, Andreas Sohmen-Pao. It should be noted that the BW Group is also an anchor shareholder in another Fund investment, Cadeler, an offshore wind installation vessel operator.

 

4

 

 

Since we initiated our position in late August 2022, the VLGC rates continued to strengthen, and the order book of new vessels delivered this year has been well absorbed. Given the strong cash flow generation, BW LPG has paid a significant amount of dividends so far this year, representing a 100% payout ratio and dividend yield (the dividend per share, divided by the price per share) in excess of 30%. In May 2023, the company announced a share buyback program to purchase up to 6 million shares for a maximum of $50 million. In mid-June 2023, BW LPG announced a reverse book building process to purchase shares through a Dutch Auction. We decided to tender all our shares at NOK 108 per share and lock in a substantial return as the share price appreciated faster than we expected.

 

Viaplay Group (VPLAYB SS), a $453 million market cap, Nordic streaming media company, was the largest detractor to performance during the Period. In June 2023, Viaplay had an unexpected turn of events, announcing a profit warning and the CEO’s resignation on a Sunday afternoon (NY time).

 

We were certainly surprised and extremely disappointed by these recent developments, especially for our long-term holding that had successfully navigated the pandemic and grew the subscriber base significantly over the last two years. Earlier this year, Viaplay initiated its planned price increases across various markets but clearly those efforts were unsuccessful with a higher-than-expected churn recently. Management revised downward the full-year 2023 guidance and withdrew the operating and financial targets for 2025 citing a rapid deterioration of advertising revenues and lower demand in the Nordic and international streaming markets. They attributed the higher churn levels to the rising cost of living following the price increases.

 

Anders Jensen, who was the CEO since Viaplay spun out from its former parent, Modern Times Group (MTG) in April 2019, resigned effective immediately. Anders was replaced by Jorgen Madsen Lindemann, who was the former CEO of the predecessor parent company, MTG, and prior to that held senior leadership positions at MTG spanning over 26 years, including head of Nordic operations and international operations, and head of sports rights acquisition and production. Subsequent to the end of the second quarter of 2023, Viaplay withdrew its full year 2023 guidance (but kept the Q2 2023 guidance intact) on the back of the new CEO’s review of current operations and the Chairman, Pernille Erenbjerg stepped down from the board due to personal health-related reasons in July 2023. With increased uncertainty, diminishing investor confidence, and a greater likelihood of impairments in the expanded international markets, we ultimately decided to exit our position in Viaplay at a loss during the third quarter of 2023. While we believe there should be minimal solvency risk, a potential liquidity constraint could result in a dilutive equity raise if Viaplay’s core Nordic markets slow down at a sharper pace. We will monitor how the situation unfolds at Viaplay as the company provides an update on its strategy and medium-term outlook, which will include a cost savings program, content cost savings initiatives, review of the international operations and non-core assets and renegotiations with its distribution partners. Our thesis was no longer intact so we exited the investment.

 

Closing Thoughts

 

In 2023, we have been busier than ever scouring the globe for interesting situations across the entire capital structure. Our focus continues to be steadfast on finding compelling investment cases across various regions, sectors, and industries and “tagging along” with great value creators in compelling yet cheap family-controlled companies that have the ability to compound well over time. We look forward to discussing the recent developments and portfolio updates in our next commentary.

 

Please feel free to contact us at dmarcus@mfpllc.com or to@mfpllc.com with any questions or thoughts.

 

Sincerely,

 

David E. Marcus

 

Lead Portfolio Manager

Thomas O

 

Co-Portfolio Manager

 

Opinions expressed are those of MFP Investors LLC and are subject to change, are not guaranteed and should not be considered investment advice.

 

Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Current and future portfolio holdings are subject to risk. Please refer to the Schedules of Investments for complete holdings information.

 

MSCI All-Country World ex USA Index captures large and mid-cap representation across 22 Developed Markets countries (excluding the United States) and 24 Emerging Markets countries.

 

HFRX Event Driven Index utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe.

 

5

 

 

Mutual fund investing involves risk. Principal loss is possible. Investments in foreign securities involve greater volatility and political, economic and currency risks and differences in accounting methods. This risk is greater for investments in Emerging Markets. Investing in smaller companies involves additional risks such as limited liquidity and greater volatility than larger companies. The Fund may make short sales of securities, which involve the risk that losses may exceed the original amount invested in the securities. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment in lower-rated, non-rated and distressed securities presents a greater risk of loss to principal and interest than higher-rated securities. Due to the focused portfolio, the Fund may have more volatility and more risk than a fund that invests in a greater number of securities. Additional special risks relevant to the fund involve liquidity, currency, derivatives and hedging. Please refer to the Fund’s prospectus for further details.

 

You cannot invest directly in an index.

 

MFP Investors LLC is the sub-adviser to the Evermore Global Value Fund, which is distributed by Quasar Distributors, LLC.

 

6

 

 

Evermore Global Value Fund

Performance Information (Unaudited)

 

 

Comparison of Change in Value of $10,000 Investment in Evermore Global Value Fund vs. MSCI All-Country World Index ex USA & HFRX Event Driven Index

 

 

Average Annual Total Returns For The Periods Ended August 31, 2023:

 
 

Calendar
YTD
(3)

1 Year

5 Year

10 Year

Since Inception
(1/1/2010)

Value of
$10,000
(8/31/2023)

Investor Class(1)

8.94%

0.93%

-4.61%

2.67%

2.27%

$13,010

Institutional Class(1)

9.28%

1.21%

-4.36%

2.92%

2.52%

$13,335

MSCI All-Country World Index ex USA

8.78%

11.89%

3.33%

4.38%

4.27%(2)

$15,350

HFRX Event Driven Index

-1.01%

-3.25%

0.54%

0.78%

1.38%(2)

$10,804

 

(1) The Fund commenced operations on January 1, 2010 as a separate series (the “Predecessor Fund”) of Evermore Funds Trust. Effective as of the close of business on December 27, 2022, the Predecessor Fund was reorganized as a new series of The RBB Fund Trust (the “Reorganization”). The performance shown for periods prior to December 28, 2022 represents the performance of the Predecessor Fund.

 

(2) Index performance shown is from inception date of the Fund and is not the inception date of the index itself.

 

(3) Not annualized.

 

This chart illustrates the performance of a hypothetical $10,000 investment made on August 31, 2013, and reflects all Fund expenses. The chart is not intended to imply any future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The chart assumes reinvestment of capital gains and dividends for a fund and dividends for an index. Index returns do not reflect the effects of fees and expenses. It is not possible to invest directly in an index.

 

Performance data quoted represents past performance; past performance does not guarantee future results. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. Performance data current to the most recent month end may be obtained by calling 866-EVERMORE or (866-383-7667). The Total Annual Fund Operating Expenses as stated in the Fund’s Prospectus dated March 30, 2023, as revised May 2, 2023, are 1.73% and 1.48% for Investor Class and Institutional Class, respectively. The Total Annual Fund Operating Expenses After Fee Waiver/Expense Reimbursements, as stated in the Fund’s Prospectus dated March 30, 2023, as revised May 2, 2023, are 1.61% and 1.36% for Investor Class and Institutional Class, respectively.

 

7

 

 

Evermore Global Value Fund

Sector Allocation as a Percentage of Total Portfolio at August 31, 2023 (Unaudited)

 

 

 

*

Data is expressed as a percentage of total portfolio. Data expressed excludes collateral on loaned securities and forward foreign currency contracts. Please refer to the Schedule of Investments and Schedule of Forward Foreign Currency Contracts for more details on the Fund’s individual holdings.

 

8

 

 

Evermore Global Value Fund

Expense Example for the Six Months Ended August 31, 2023 (Unaudited)

 

 

As a shareholder of the Evermore Global Value Fund (the “Fund”), you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including investment advisory fees, distribution fees, and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from March 1, 2023 through August 31, 2023, and held for the entire period.

 

Actual Expenses

 

The first line of the accompanying table provides information about actual account values based on actual returns and actual expenses. You will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Fund’s transfer agent. If you request a redemption be made by wire transfer, currently a $15.00 fee is charged by the Fund’s transfer agent. An Individual Retirement Account (“IRA”) will be charged a $15.00 annual maintenance fee. To the extent the Fund invests in shares of other investment companies as part of its investment strategy, you will indirectly bear your proportionate share of any fees and expenses charged by the underlying funds in which the Fund invests in addition to the expenses of the Fund. Actual expenses of the underlying funds may vary. These expenses are not included in the example below. The example below includes, but is not limited to, investment advisory fees, shareholder servicing fees, fund accounting fees, custody fees and transfer agent fees. However, the example below does not include portfolio trading commissions and related expenses, and other extraordinary expenses as determined under generally accepted accounting principles. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Period’’ to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

   

Beginning
Account Value
03/01/23

   

Ending Account
Value 08/31/23

   

Expenses Paid
During the
Period*

   

Annualized
Expense
Ratio

 

Investor Class Actual *

  $ 1,000     $ 979.90     $ 7.98       1.60 %

Investor Class Hypothetical (5% annual return before expenses)

  $ 1,000     $ 1,017.14     $ 8.13       1.60 %
                                 

Institutional Class Actual*

  $ 1,000     $ 981.90     $ 6.74       1.35 %

Institutional Class Hypothetical (5% annual return before expenses)

  $ 1,000     $ 1,018.40     $ 6.87       1.35 %

 

*

Expenses are equal to the Fund’s annualized six-month expense ratio for the period March 1, 2023 to August 31, 2023, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account value on the first line in the table is based on the actual six-month total investment return for the Fund.

 

9

 

 

Evermore Global Value Fund

Schedule of Investments at August 31, 2023

 

 

Country Allocation for Investments in Securities at August 31, 2023

 

Country

 

Long Exposure

 

United States^

    22.8 %

Ireland

    11.6 %

Netherlands

    9.5 %

France

    9.3 %

Sweden

    8.4 %

Monaco

    6.8 %

Norway

    6.8 %

Denmark

    4.6 %

Italy

    3.1 %

Belgium

    2.5 %

Austria

    2.5 %

Switzerland

    1.6 %

Subtotal

    89.5 %

 

Percentages are stated as a percent of net assets.

^

Excludes cash and equivalent (10.5% of net assets) consisting of Short-Term Investment-Money Market (10.5%), Securities Held as Collateral on Loaned Securities (1.3%) and net of Liabilities in Excess of Other Assets (-1.3%).

 

 

Shares

 

 

 

Value

 

COMMON STOCK — 77.9%

Aerospace & Defense — 1.6%

    109,450  

Montana Aerospace AG (Switzerland) (1)

  $ 1,717,300  

Capital Markets — 5.1%

    86,155  

KKR & Co., Inc. - Class A (United States)

    5,411,395  

Chemicals — 2.5%

    23,200  

Solvay SA (Belgium)

    2,689,279  

Entertainment — 2.5%

    389,297  

Modern Times Group MTG AB (Sweden) (1)

    2,647,227  

Health Care Equipment & Supplies — 1.6%

    29,600  

Enovis Corp. (United States) (1)

    1,658,784  

Industrial Conglomerates — 15.6%

    896,827  

Bollore SE (France)

    5,314,581  
    67,968  

EXOR NV (Netherlands) (1)

    6,024,338  
    287,085  

LIFCO AB (Sweden)

    5,265,257  
              16,604,176  

IT Services — 1.0%

    57,000  

Hemnet Group AB (Sweden)

    1,033,429  

Machinery — 3.3%

    48,800  

Esab Corp. (United States)

    3,521,896  

Marine — 16.6%

    1,287,384  

Cadeler A/S (Denmark) (1)(2)

    4,841,146  
    389,973  

Eneti, Inc. (Monaco)

    4,227,307  
    91,300  

Genco Shipping & Trading, Ltd. (United States)

    1,248,071  
    739,873  

Hoegh Autoliners ASA (Norway)

    5,160,189  
    454,000  

Stainless Tankers ASA (Norway)(1)

    2,092,422  
              17,569,135  

Media — 10.3%

    41,851  

IAC, Inc. (United States)(1)

  $ 2,315,616  
    161,892  

Universal Music Group NV (Netherlands)

    4,018,291  
    501,648  

Vivendi SA (France)

    4,574,728  
              10,908,635  

Oil, Gas & Consumable Fuels — 12.2%

    571,155  

Calumet Specialty Products Partners LP (United States) (1)

    10,012,347  
    318,300  

DHT Holdings, Inc. (Monaco)

    2,944,275  
              12,956,622  

Real Estate Management — 3.1%

    263,500  

Infrastrutture Wireless Italiane SpA (Italy)

    3,261,570  

Technology Hardware, Storage & Peripherals — 2.5%

    122,313  

Kontron AG (Austria)

    2,665,869  

TOTAL COMMON STOCKS

(Cost $55,902,753)

    82,645,317  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

10

 

 

Evermore Global Value Fund

Schedule of Investments at August 31, 2023, Continued

 

 

 


Shares

 

 

 

Principal
Amount

 

CORPORATE OBLIGATION — 11.6%

Consumer Finance — 11.6%

    15,546,058  

Lamington Road DAC 9.750%, Cash or 14.000% PIK, 4/7/2121 (Ireland)(3)(5)(6)

  $ 12,301,596  

TOTAL CORPORATE OBLIGATION

       

(Cost $14,976,054)

    12,301,596  
                 

SHORT-TERM INVESTMENT — 10.5%

Money Market — 10.5%

    11,187,456  

First American Treasury Obligations Fund - Class X, 5.27% (United States)(4)

    11,187,456  

TOTAL SHORT—TERM INVESTMENT

(Cost $11,187,456)

    11,187,456  
                 

SECURITIES HELD AS COLLATERAL ON LOANED SECURITIES — 1.3%

Money Market — 1.3%

    1,384,695  

First American Government Obligations Fund, Class X, 5.25% (United States)(4)

    1,384,695  

TOTAL SECURITIES HELD AS COLLATERAL ON LOANED SECURITIES

(Cost $1,384,695)

    1,384,695  
                 

TOTAL INVESTMENTS IN SECURITIES — 101.3%

(Cost $83,450,958)

    107,519,064  

Liabilities in Excess of Other Assets (Including Forward Foreign Currency Contracts) — (1.3)%

    (1,373,842 )

TOTAL NET ASSETS — 100.0%

  $ 106,145,222  

 

Percentages are stated as a percent of net assets.

 

(1)

Non-income producing security.

(2)

All or a portion of this security is on loan. At August 31, 2023 the total value of securities on loan was $1,285,040, which represents 1.2% of total net assets. The remaining contractual maturity of all of the securities lending transactions is overnight and continuous.

(3)

This security was fair valued in good faith by F/m Investments, LLC d/b/a North

Slope Capital, LLC (the “Adviser”), as Valuation Designee, under the oversight

of The RBB Fund Trust’s Board of Trustees. The aggregate value of this security at August 31, 2023 was $12,301,596, which represents 11.6% of net assets.

(4)

Seven-day yield as of August 31, 2023.

(5)

The Adviser has deemed all or a portion of this security as illiquid. This security has a value of $12,301,596, which represents 11.6% of total net assets at August 31, 2023

(6)

Value determined using significant unobservable inputs.

 

Glossary of Terms

PIK -

Payment In Kind

 

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS® is a service mark of MSCI, Inc. and S&P and has been licensed for use by the Fund’s Administrator, U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”).

 

The accompanying notes are an integral part of these financial statements.

 

11

 

 

Evermore Global Value Fund

Schedule of Investments at August 31, 2023, Continued

 

 

SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS at August 31, 2023

 

As of August 31, 2023, the Fund had the following forward currency contracts outstanding

 

   

Currency to be Received

   

Currency to be Delivered

         

Settlement Date

 

Amount

   

Currency

   

USD Value
at August 31,
2023

   

Amount

   

Currency

   

USD Value
at August 31,
2023

   

Net
Unrealized
Appreciation
(Depreciation)

 

9/28/2023

    1,616,978       USD     $ 1,616,978       1,421,000       CHF     $ 1,613,533     $ 3,445 (a) 

9/28/2023

    28,101,500       USD       28,101,500       25,900,000       EUR       28,115,523       (14,023 )(a)

9/28/2023

    11,618,973       USD       11,618,973       124,000,000       NOK       11,639,996       (21,023 )(a)

9/28/2023

    8,565,193       USD       8,565,193       93,800,000       SEK       8,619,820       (54,627 )(a)
                    $ 49,902,644                     $ 49,988,872     $ (86,228 )

 

CHF

Swiss Franc

EUR

Euro

NOK

Norwegian Krone

SEK

Swedish Krona

USD

U.S. Dollar

(a)

Counterparty: forward foreign currency contracts outstanding with Bank of New York Mellon.

 

The accompanying notes are an integral part of these financial statements.

 

12

 

 

Evermore Global Value Fund

Statement of Assets and Liabilities as of August 31, 2023

 

 

ASSETS

       

Investments in securities, at value (cost $83,450,958) (1) (Note 2)

  $ 107,519,064  

Foreign currency, at value (cost $276,437)

    247,864  

Unrealized appreciation on forward foreign currency contracts

    3,445  

Receivables:

       

Fund shares sold

    84,465  

Securities lending income

    10,427  

Dividends and interest, net of foreign withholding taxes

    308,734  

Dividend reclaims

    426,089  

Prepaid expenses

    2,959  

Total assets

    108,603,047  
         

LIABILITIES

       

Unrealized depreciation on forward foreign currency contracts

    89,673  

Payables:

       

Securities lending collateral(1)

    1,384,695  

Fund shares redeemed

    739,991  

Investment advisory fees

    102,174  

Transfer agent fees

    32,700  

Administration fees

    11,577  

Custody fees

    9,088  

Distribution fees - Investor Class

    2,992  

Other accrued fees

    84,935  

Total liabilities

    2,457,825  

NET ASSETS

  $ 106,145,222  
         

COMPONENTS OF NET ASSETS

       

Paid-in capital

  $ 151,026,348  

Total distributable earnings

    (44,881,126 )

Net assets

  $ 106,145,222  

Investor Class:

       

Net assets

  $ 14,392,170  

Shares issued and outstanding (unlimited number of shares authorized without par value)

    1,342,119  

Net asset value

  $ 10.72  

Institutional Class:

       

Net assets

  $ 91,753,052  

Shares issued and outstanding (unlimited number of shares authorized without par value)

    8,475,147  

Net asset value

  $ 10.83  

 

(1)

The market value of securities out on loan was $1,285,040 as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

13

 

 

Evermore Global Value Fund

Statement of Operations

 

 

   

Fiscal Period
Ended
August 31,
2023
(1)

   

Fiscal Year
Ended
December 31,
2022^

 

INVESTMENT INCOME

               

Dividends (2)

  $ 1,928,635     $ 4,532,220  

Interest received in-kind

    405,114        

Interest

    1,086,596       1,685,790  

Securities lending income

    140,916       307,130  

Total investment income

    3,561,261       6,525,140  
                 

EXPENSES (Note 3)

               

Advisory fees

    714,806       1,546,689  

Legal fees

    90,968       134,931  

Transfer agent fees

    85,148       102,439  

Administration and accounting fees

    46,570       169,306  

Shareholder reporting fees

    38,579       13,061  

Audit and tax fees

    33,208       68,847  

Registration fees

    31,308       49,232  

Custody fees

    26,884       36,723  

Distribution fees - Investor Class

    24,690       45,598  

Interest expense

    729       930  

Trustee fees

          80,509  

Chief Compliance Officer fees

          48,567  

Insurance fees

          43,268  

Miscellaneous fees

    23,721       5,905  

Total expenses before waivers and/or reimbursements

    1,116,611       2,346,005  

Less: waivers and/or reimbursements

    (116,456 )     (190,356 )

Net expenses after waivers and/or reimbursements

    1,000,155       2,155,649  

Net investment income/(loss)

    2,561,106       4,369,491  
                 

REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCY TRANSACTIONS, FORWARD FOREIGN CURRENCY CONTRACTS & WRITTEN OPTIONS

               

Net realized gain (loss) on:

               

Investments in unaffiliated securities

    (7,463,797 )     (19,017,571 )

Investments in affiliated securities

          (2,381,175 )

Foreign currency transactions

    (50,746 )     (83,421 )

Forward foreign currency contracts

    1,695,160       11,463,945  

Written options

          (2,051,032 )

Change in net unrealized appreciation (depreciation) on:

               

Investments in unaffiliated securities

    12,283,936       (43,095,616 )

Investments in affiliated securities

          (1,632,235 )

Foreign currency translations

    11,401       (35,763 )

Forward foreign currency contracts

    541,857       722,025  

Written options

          293,745  

Net realized and unrealized gain (loss) on investments, foreign currencies, forward foreign currency contracts & written options

    7,017,811       (57,449,333 )

Net increase/(decrease) in net assets resulting from operations

  $ 9,578,917     $ (53,079,842 )

 

^

Prior to the close of business on December 27, 2022, the Fund was a series (the “Predecessor Fund”) of Evermore Funds Trust, an open-end management investment company organized as a Massachusetts business trust. The Predecessor Fund was reorganized into the Fund following the close of business on December 27, 2022 (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 December 28, 2022 included herein is that of the Predecessor Fund.

(1)

The Fund changed its fiscal year end to August 31 during the period. The period ended is from January 1, 2023 to August 31, 2023.

(2)

Net of $266,258 foreign withholding taxes for the fiscal period ended August 31, 2023 and net of $897,996 foreign withholding taxes for the fiscal year ended December 31, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

14

 

 

Evermore Global Value Fund

Statements of Changes in Net Assets

 

 

 

 

Fiscal
Period Ended
August 31,
2023
(1)

   

Fiscal
Year Ended
December 31,
2022^

   

Fiscal
Year Ended
December 31,
2021^

 

INCREASE (DECREASE) IN NET ASSETS FROM:

                       
                         

OPERATIONS

                       

Net investment income (loss)

  $ 2,561,106     $ 4,369,491     $ 4,168,816  

Net realized gain (loss) on investments, foreign currency transactions, forward foreign currency contracts & written options

    (5,819,383 )     (12,069,254 )     27,455,210  

Change in unrealized appreciation/(depreciation) on investments, foreign currency transactions, forward foreign currency contracts & written options

    12,837,194       (45,380,079 )     (14,943,640 )

Net increase (decrease) in net assets resulting from operations

    9,578,917       (53,079,842 )     16,680,386  
                         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS (NOTE 6)

                       

Investor Class

          (324,216 )     (599,203 )

Institutional Class

          (2,263,202 )     (5,826,290 )

Total distributable earnings

          (2,587,418 )     (6,425,493 )
                         

CAPITAL SHARE TRANSACTIONS

                       

Net decrease in net assets derived from net change in outstanding shares – Investor Class

    (1,773,365 )     (1,895,450 )     (6,023,401 )

Net decrease in net assets derived from net change in outstanding shares – Institutional Class

    (6,109,656 )     (64,577,199 )     (58,962,614 )

Total decrease in net assets from capital share transactions

    (7,883,021 )     (66,472,649 )     (64,986,015 )

Total increase/(decrease) in net assets

    1,695,896       (122,139,909 )     (54,731,122 )
                         

NET ASSETS

                       

Beginning of period

    104,449,326       226,589,235       281,320,357  

End of period

  $ 106,145,222     $ 104,449,326     $ 226,589,235  

 

 

The accompanying notes are an integral part of these financial statements.

 

15

 

 

Evermore Global Value Fund

Statements of Changes in Net Assets Continued

 

 

Summary of capital share transactions is as follows:

 

   

Fiscal Period Ended
August 31, 2023
(1)

 

Fiscal Year Ended
December 31, 2022^

 

Fiscal Year Ended
December 31, 2021^

 

Investor Class

 

Shares

   

Value

 

Shares

   

Value

 

Shares

   

Value

 

Shares sold

    107,943     $ 1,141,258     169,348     $ 1,892,776     185,192     $ 2,607,506  

Shares issued in reinvestment of distributions

              30,832       313,248     43,349       585,217  

Shares redeemed*

    (275,251 )     (2,914,623 )   (375,107 )     (4,101,474 )   (655,279 )     (9,216,124 )

Net decrease

    (167,308 )   $ (1,773,365 )   (174,927 )   $ (1,895,450 )   (426,738 )   $ (6,023,401 )(2)

 

   

Fiscal Period Ended
August 31, 2023
(1)

 

Fiscal Year Ended
December 31, 2022^

 

Fiscal Year Ended
December 31, 2021^

 

Institutional Class

 

Shares

   

Value

 

Shares

   

Value

 

Shares

   

Value

 

Shares sold

    724,465     $ 7,755,300     1,664,628     $ 17,782,419     1,656,438     $ 23,481,894  

Shares issued in reinvestment of distributions

              214,739       2,196,781     414,328       5,639,010  

Shares redeemed*

    (1,287,898 )     (13,864,956 )   (7,622,197 )     (84,556,399 )   (6,263,848 )     (88,083,518 )(3)

Net decrease

    (563,433 )   $ (6,109,656 )   (5,742,830 )   $ (64,577,199 )   (4,193,082 )   $ (58,962,614 )

 

^

Prior to the close of business on December 27, 2022, the Fund was a series (the “Predecessor Fund”) of Evermore Funds Trust, an open-end management investment company organized as a Massachusetts business trust. The Predecessor Fund was reorganized into the Fund following the close of business on December 27, 2022 (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 December 28, 2022 included herein is that of the Predecessor Fund.

*

Prior to December 28, 2022, there was a 2.00% redemption fee to the value of shares redeemed or exchanged within 90 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 28, 2022, the Fund eliminated its redemption fee.

(1)

The Fund changed its fiscal year end to August 31 during the period. The period ended is from January 1, 2023 to August 31, 2023.

(2)

Net of redemption fees of $2,020.

(3)

Net of redemption fees of $11,826.

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

Evermore Global Value Fund

Financial Highlights for a capital share outstanding throughout the period/year

 

 

Investor Class

 

   

Fiscal Period
Ended
August 31,

   

Year Ended December 31,

 

 

 

2023#

   

2022^

   

2021^

   

2020^

   

2019^

   

2018^

 

Net asset value, beginning of period

  $ 9.84     $ 13.66     $ 13.24     $ 14.26     $ 11.70     $ 15.08  
                                                 

INCOME FROM INVESTMENT OPERATIONS

                                       

Net investment income (loss)*

    0.22       0.28       0.19       (0.00 )1     0.09       0.06  

Net realized and unrealized gain (loss) on investments

    0.66       (3.89 )     0.59       (1.00 )     2.83       (3.16 )

Total from investment operations

    0.88       (3.61 )     0.78       (1.00 )     2.92       (3.10 )
                                                 

LESS DISTRIBUTIONS

                                               

From net investment income

          (0.21 )     (0.36 )     (0.02 )     (0.10 )     (0.06 )

From net realized capital gains

                            (0.26 )     (0.22 )

Total distributions

          (0.21 )     (0.36 )     (0.02 )     (0.36 )     (0.28 )

Paid-in capital from redemption fees(2)

                0.00 (1)      0.00 (1)      0.00 (1)      0.00 (1) 

Net asset value, end of period

  $ 10.72     $ 9.84     $ 13.66     $ 13.24     $ 14.26     $ 11.70  

Total investment return/(loss)(4)

    8.94 %(5)     (26.48 )%     5.93 %     (7.01 )%     25.05 %     (21.07 )%
                                                 

SUPPLEMENTAL DATA

                                               

Net assets, end of period (thousands)

  $ 14,392     $ 14,847     $ 23,009     $ 27,956     $ 61,296     $ 63,584  

Portfolio turnover rate

    14 %(5)     17 %     33 %     21 %     28 %     29 %
                                                 

RATIO OF EXPENSES TO AVERAGE NET ASSETS(3)

                                       

Before expense waivers/reimbursement and recoupments, including interest and dividend expense

    1.76 %(6)     1.72 %     1.57 %     1.55 %     1.47 %     1.44 %

Before expense waivers/reimbursement and recoupments, excluding interest and dividend expense

    1.76 %(6)     1.72 %     1.57 %     1.55 %     1.47 %     1.44 %

After expense waivers/reimbursement and recoupments, including interest and dividend expense

    1.60 %(6)     1.60 %     1.57 %     1.55 %     1.47 %     1.44 %

After expense waivers/reimbursement and recoupments, excluding interest and dividend expense

    1.60 %(6)     1.60 %     1.57 %     1.55 %     1.47 %     1.44 %

 

The accompanying notes are an integral part of these financial statements.

 

17

 

 

Evermore Global Value Fund

Financial Highlights for a capital share outstanding throughout the period/year, Continued

 

 

   

Fiscal Period
Ended
August 31,

   

Year Ended December 31,

 

 

 

2023#

   

2022^

   

2021^

   

2020^

   

2019^

   

2018^

 

RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS(2)

               

Before expense waivers/reimbursement and recoupments, including interest and dividend expense

    3.16 %(6)     2.39 %     1.35 %     (0.04 )%     0.69 %     0.35 %

After expense waivers/reimbursement and recoupments, including interest and dividend expense

    3.32 %(6)     2.52 %     1.35 %     (0.04 )%     0.69 %     0.35 %

 

Portfolio turnover is calculated for the Fund as a whole.

^

Prior to the close of business on December 27, 2022, the Fund was a series (the “Predecessor Fund”) of Evermore Funds Trust, an open-end management investment company organized as a Massachusetts business trust. The Predecessor Fund was reorganized into the Fund following the close of business on December 27, 2022 (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 December 28, 2022 included herein is that of the Predecessor Fund.

#

Effective March 31, 2023, the Fund’s former investment adviser (the “Predecessor Adviser”) sold substantially all of its business and advisory assets to MFP Investors LLC (the “Sub-Adviser”). In connection with the change of control, F/m Investments, LLC d/b/a North Slope Capital, LLC was appointed as the investment adviser to the Fund. The performance shown for periods prior to March 31, 2023 represents the performance of the Fund or Predecessor Fund, as applicable, under the management of the Predecessor Adviser. The Fund changed its fiscal year end to August 31. The amounts shown are for the fiscal period from January 1, 2023 to August 31, 2023.

*

Calculated using the average shares outstanding method.

1

Amount less than $0.01.

2

Prior to December 28, 2022, there was a 2.00% redemption fee to the value of shares redeemed or exchanged within 90 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 28, 2022, the Fund eliminated its redemption fee.

3

Does not include expenses of the investment companies in which the Fund invests.

4

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge.

5

Not Annualized

6

Annualized

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

Evermore Global Value Fund

Financial Highlights for a capital share outstanding throughout the period/year, Continued

 

 

Institutional Class

 

   

Fiscal Period
Ended
August 31,

   

Year Ended December 31,

 

 

 

2023#

   

2022^

   

2021^

   

2020^

   

2019^

   

2018^

 

Net asset value, beginning of period

  $ 9.91     $ 13.77     $ 13.35     $ 14.35     $ 11.77     $ 15.20  
                                                 

INCOME FROM INVESTMENT OPERATIONS

                                       

Net investment income (loss)*

    0.26       0.33       0.23       0.03       0.12       0.09  

Net realized and unrealized gain (loss) on investments

    0.66       (3.95 )     0.59       (1.00 )     2.86       (3.30 )

Total from investment operations

    0.92       (3.62 )     0.82       (0.97 )     2.98       (3.21 )
                                                 

LESS DISTRIBUTIONS

                                               

From net investment income

          (0.24 )     (0.40 )     (0.03 )     (0.14 )     0.00 (1) 

From net realized capital gains

                            (0.26 )     (0.22 )

Total distributions

          (0.24 )     (0.40 )     (0.03 )     (0.40 )     (0.22 )

Paid-in capital from redemption fees(2)

                0.00 (1)      0.00 (1)      0.00 (1)      0.00 (1) 

Net asset value, end of period

  $ 10.83     $ 9.91     $ 13.77     $ 13.35     $ 14.35     $ 11.77  

Total investment return/(loss)(4)

    9.28 %(5)     (26.35 )%     6.16 %     (6.78 )%     25.41 %     (20.92 )%
                                                 

SUPPLEMENTAL DATA

                                               

Net assets, end of period (thousands)

  $ 91,753     $ 89,603     $ 203,580     $ 253,364     $ 533,731     $ 443,904  

Portfolio turnover rate

    14 %(5)     17 %     33 %     21 %     28 %     29 %
                                                 

RATIO OF EXPENSES TO AVERAGE NET ASSETS(3)

                                       

Before expense waivers/reimbursement and recoupments, including interest and dividend expense

    1.51 %(6)     1.47 %     1.32 %     1.29 %     1.22 %     1.19 %

Before expense waivers/reimbursement and recoupments, excluding interest and dividend expense

    1.51 %(6)     1.47 %     1.32 %     1.29 %     1.22 %     1.19 %

After expense waivers/reimbursement and recoupments, including interest and dividend expense

    1.35 %(6)     1.35 %     1.32 %     1.29 %     1.22 %     1.19 %

After expense waivers/reimbursement and recoupments, excluding interest and dividend expense

    1.35 %(6)     1.35 %     1.32 %     1.29 %     1.22 %     1.19 %

 

The accompanying notes are an integral part of these financial statements.

 

19

 

 

Evermore Global Value Fund

Financial Highlights for a capital share outstanding throughout the period/year, Continued

 

 

   

Fiscal Period
Ended
August 31,

   

Year Ended December 31,

 

 

 

2023#

   

2022^

   

2021^

   

2020^

   

2019^

   

2018^

 

RATIO OF NET INVESTMENT INCOME (LOSS) TO AVERAGE NET ASSETS2

       

Before expense waivers/reimbursement and recoupments, including interest and dividend expense

    3.42 %(6)     2.71 %     1.60 %     0.21 %     0.91 %     0.60 %

After expense waivers/reimbursement and recoupments, including interest and dividend expense

    3.58 %(6)     2.83 %     1.60 %     0.21 %     0.91 %     0.60 %

 

Portfolio turnover is calculated for the Fund as a whole.

^

Prior to the close of business on December 27, 2022, the Fund was a series (the “Predecessor Fund”) of Evermore Funds Trust, an open-end management investment company organized as a Massachusetts business trust. The Predecessor Fund was reorganized into the Fund following the close of business on December 27, 2022 (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 December 28, 2022 included herein is that of the Predecessor Fund.

#

Effective March 31, 2023, the Fund’s former investment adviser (the “Predecessor Adviser”) sold substantially all of its business and advisory assets to MFP Investors LLC (the “Sub-Adviser”). In connection with the change of control, F/m Investments, LLC d/b/a North Slope Capital, LLC was appointed as the investment adviser to the Fund. The performance shown for periods prior to March 31, 2023 represents the performance of the Fund or Predecessor Fund, as applicable, under the management of the Predecessor Adviser. The Fund changed its fiscal year end to August 31. The amounts shown are for the fiscal period from January 1, 2023 to August 31, 2023.

*

Calculated using the average shares outstanding method.

1

Amount less than $0.01.

2

Prior to December 28, 2022, there was a 2.00% redemption fee to the value of shares redeemed or exchanged within 90 days of purchase. The redemption fees were retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. Effective December 28, 2022, the Fund eliminated its redemption fee.

3

Does not include expenses of the investment companies in which the Fund invests.

4

Total investment return/(loss) is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total investment return does not reflect any applicable sales charge.

5

Not Annualized

6

Annualized

 

 

20

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023

 

 

NOTE 1 – ORGANIZATION

 

 

The Evermore Global Value Fund (the “Fund”) is a series of The RBB Fund Trust (the “Trust”). The Trust was organized as a Delaware statutory trust on August 29, 2014 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund commenced operations on January 1, 2010 as a separate series (the “Predecessor Fund”) of Evermore Funds Trust, a Massachusetts business trust. Effective as of the close of business on December 27, 2022, the Predecessor Fund was reorganized into a new series of the Trust in a tax-free reorganization (the “Reorganization”). The Agreement and Plan of Reorganization pursuant to which the Reorganization was accomplished was approved by shareholders of the Predecessor Fund on December 21, 2022. Unless otherwise indicated, references to the “Fund” in these Notes to Financial Statements refer to the Predecessor Fund and Fund. Evermore Global Advisors, LLC (the “Predecessor Adviser”) served as the investment adviser to the Predecessor Fund until December 27, 2022 and served as the investment adviser to the Fund until March 31, 2023. Effective March 31, 2023, the Predecessor Adviser sold substantially all of its business and advisory assets to MFP Investors LLC (the “Sub-Adviser” or “MFP”). In connection with the change of control of the Predecessor Adviser, F/m Investments, LLC d/b/a North Slope Capital, LLC (the “Adviser”) was appointed as the investment adviser to the Fund, MFP was appointed as sub-adviser to the Fund, and David Marcus and Thomas O were hired by MFP to be the sole portfolio managers of the Fund. Other than the Adviser replacing the Predecessor Adviser as the Fund’s investment adviser and MFP becoming the sub-adviser to the Fund, the change of control did not result in any significant changes to the day-to-day management or operation of the Fund. At a meeting of the Board of Trustees of the Trust (the “Board”) held on September 13-14, 2023, the Board approved a change in fiscal year end for the Fund from December 31st to August 31st, effective August 31, 2023.

 

The investment objective of the Fund is to seek capital appreciation by investing in securities from markets around the world, including U.S. markets.

 

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services-Investment Companies.”

 

The Fund offers Investor Class and Institutional Class shares. Each class of shares has equal rights as to earnings and assets except that each class bears different distribution expenses. Each class of shares has exclusive voting rights with respect to matters that affect just that class. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets. Investor Class shares have no sales charge. Institutional Class shares have no sales charge and are offered primarily for direct investment by investors such as pension and profit sharing plans, employee benefit trusts, certain financial intermediaries, endowments, foundations and corporations. For Investor Class and Institutional Class shares, the offering and redemption price per share for the Fund is equal to the Fund’s net asset value (“NAV”) per share.

 

The end of the reporting period for the Fund is August 31, 2023, and the period covered by these Notes to Financial Statements is the fiscal period from January 1, 2023 through August 31, 2023 (the “current fiscal period”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

 

The following is a summary of significant accounting policies consistently followed by the Fund. These policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”).

 

A.

Investment Valuation and Fair Value Measurement. 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. All domestic equity securities that are traded on a national securities exchange, except those listed on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) Global Market® are valued at the last reported sale price on the exchange on which the security is principally traded. Securities traded on NASDAQ will be valued at the NASDAQ Official Closing Price on each business day. If, on a particular day, an exchange-traded or NASDAQ security does not trade, then the mean between the most recent quoted bid and ask prices will be used, except on days when the ask price is more than 10% greater than the bid price. In such instances, the Valuation Designee will price the security based on fair value. All equity securities that are not traded on a listed exchange are valued at the last sale price in the over-the-counter (“OTC”) market. If a non-exchange traded security does not trade on a particular day, then the mean between the last quoted closing bid and ask price will be used, except on days when the ask price is more than 10% greater than the bid price. In such instances, the Valuation Designee will price the security based on fair value.

 

21

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The Fund invests substantially in securities traded on foreign exchanges (see “Foreign Currency Translation” below). Investments that are primarily traded on foreign exchanges are generally valued in their local currencies as of the close of their primary exchange or market, or if there were no transactions on such day, at the mean between the bid and ask prices, except on days when the ask price is more than 10% greater than the bid price. In such instances, the Valuation Designee will price the security based on fair value. The local prices are converted to U.S. dollars using the applicable currency exchange rates as of the close of the New York Stock Exchange (“NYSE”). Exchange rates are provided daily by recognized independent pricing agents. Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s exchange rate, and the relevant forward rates provided by an independent pricing service.

 

There may be less publicly available information about a foreign company than about a U.S. company. Foreign issuers may not be subject to accounting, auditing and financial reporting standards and requirements comparable to, or as uniform as, those of U.S. issuers. The number of securities traded, and the frequency of such trading, in non-U.S. securities markets, while growing in volume, is for the most part, substantially less in U.S. markets. As a result, securities of many foreign issuers may be less liquid and their prices more volatile than securities of comparable U.S. issues. Transaction costs, the costs associated with buying and selling securities on non-U.S. securities markets may be higher than in the U.S. There is generally less government supervision and regulation of exchanges, brokers and issuers than there is in the U.S. The Fund’s foreign investments may include both voting and non-voting securities, sovereign debt and participations in foreign government deals. The Fund may have greater difficulty taking appropriate legal action with respect to foreign issuers in U.S. courts.

 

For foreign securities traded on foreign exchanges, the Trust has selected Intercontinental Exchange’s Fair Value Information Services (“FVIS”) to provide pricing data with respect to foreign security holdings held by the Fund. The use of this third-party pricing service is designed to capture events occurring after a foreign exchange closes that may affect the value of certain holdings of the Fund’s securities traded on those foreign exchanges. The Fund utilizes a “trigger level”, which is a pre-determined percentage move in a specified index that must occur before foreign securities will be fair value priced using FVIS prices. The Fund utilizes a “confidence interval” when determining the use of the FVIS prices. The confidence interval is a measure of the historical relationship that each foreign exchange traded security has to movements in various indices and the price of the security’s corresponding American Depositary Receipt, if one exists. FVIS provides the confidence interval for each security for which it provides a price. If the FVIS provided price falls within the confidence interval, the Fund will value the particular security at that price. If the FVIS provided price does not fall within the confidence interval, the particular security will be valued at the preceding closing price on its respective foreign exchange, or if there were no transactions on such day, at the mean between the bid and asked prices. There were no foreign equities fair valued using FVIS as of August 31, 2023.

 

Securities for which quotations are not readily available are fair valued in accordance with the Fund’s pricing and valuation policy. When a security is “fair valued,” consideration is given to the facts and circumstances relevant to the particular situation. Fundamental valuation methods may be used to fair value a security held by the Fund, which methods 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 that could have a significant impact on the value of the security. The use of fair value pricing by a fund may cause the NAV of its shares to differ significantly from the NAV that would be calculated without regard to such considerations.

 

As described above, the Fund utilizes various methods to measure the fair value of its investments on a recurring basis. U.S. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

 

 

Level 1 —

Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. The types of assets generally included in this category are domestic equities listed in active markets and foreign equities listed in active markets that have not been fair valued using FVIS.

 

 

Level 2 —

Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, credit risk, yield curves and similar data. The types of assets generally included in this category are bonds, financial instruments classified as derivatives and foreign equities fair valued using FVIS.

 

 

Level 3 —

Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or required significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, default rates and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may also include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price.

 

22

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the level inputs used to value the Fund’s net assets as of August 31, 2023 (see Schedule of Investments for industry breakout):

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Assets

                               

Common Stocks

  $ 82,645,317     $     $     $ 82,645,317  

Corporate Obligations

              12,301,596     12,301,596  

Short-Term Investments

  11,187,456                 11,187,456  

Securities Held as Collateral on Loaned Securities

  1,384,695                 1,384,695  

Total Investments in Securities

  95,217,468           12,301,596     107,519,064  

Unrealized appreciation on Forward Foreign Currency *

          3,445              

Total Assets

  $ 95,217,468     $ 3,445     $ 12,301,596     107,522,509  

Liabilities

                               

Unrealized depreciation on Forward Foreign Currency*

        $ 89,673           $ 89,673  

Total Liabilities

  $     $ 89,673     $     $ 89,673  

 

 

*

Forward foreign currency contracts are reflected at the unrealized appreciation (depreciation).

 

Below is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

Description

 

Corporate
Obligations

 

Balance as of January 1, 2023

  $ 11,202,784  

Investment received in-kind

    405,114  

Sales proceeds and paydowns

     

Accreted discounts, net

     

Corporate Actions

     

Realized gain (loss)

     

Change in unrealized appreciation (depreciation)

    693,698  

Transfers into/(out of ) Level 3

     

Balance as of August 31, 2023

  $ 12,301,596  

Change in unrealized appreciation (depreciation) during the current fiscal period for Level 3 investments held at August 31, 2023

  $ 693,698  

 

23

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The Level 3 amounts disclosed in the table above consist of one security that is fair valued in good faith, using significant unobservable inputs, by the Valuation Designee. The table below indicates the quantitative information about Level 3 fair value measurements for the securities still held at August 31, 2023:

 

Investment Type

Fair Value

Valuation
Methodology

Unobservable
Input Type

Inputs
(Weighted
Average)

Market Value
Impact if Input
Increases

Corporate Obligation

12,301,596

Discounted Cash Flow

Yield

27.91% to 29.07% (28.43%)

Decrease

 

B.

Option Writing. Writing options may permit the writer to generate additional income in the form of the premium received for writing the option. The writer of an option may have no control over when the underlying reference instruments must be sold (in the case of a call option) or purchased (in the case of a put option) because the writer may be notified of exercise at any time prior to the expiration of the option (for American style options). In general, though, options are infrequently exercised prior to expiration. Whether or not an option expires unexercised, the writer retains the amount of the premium. Writing “covered” call options means that the writer owns the underlying reference instrument that is subject to the call option. Call options may also be written on reference instruments that the writer does not own.

 

When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains from investments. The difference between the premium received and the amount paid for the closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or, if the premium is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option. As of August 31, 2023, there were no written options held.

 

C. Financial Derivative Instruments. The Fund may use derivative instruments for risk management purposes and as part of its investment strategies. Generally, derivatives are financial instruments whose value depends on, or is derived from, the value of one or more underlying assets, reference rates, or indices (a “reference instrument”) and may relate to stocks, bonds, interest rates, currencies, commodities or related indices. Derivative instruments allow the Fund to gain or reduce exposure to the value of a reference instrument without actually owning or selling the instrument.

 

Derivative instruments may be used for “hedging,” which means that they may be used when the Sub-Adviser seeks to protect the Fund’s investments from a decline in value resulting from changes to interest rates, market prices, currency fluctuations or other market factors. Derivative instruments may also be used for other purposes, including to seek to increase liquidity, provide efficient portfolio management, broaden investment opportunities (including taking short or negative positions), implement a tax or cash management strategy, gain exposure to a particular security or segment of the market, modify the effective duration of the Fund’s portfolio investments and/or enhance total return. However derivative instruments are used, their successful use is not assured and will depend upon, among other factors, the Sub-Adviser’s ability to gauge relevant market movements.

 

During the current fiscal period, the Fund utilized forward foreign currency exchange contracts to hedge its currency exposure through the use of forward foreign currency contracts. During the current fiscal period, these forward foreign currency contracts have contributed positively to Fund performance. The Fund may invest in options to hedge portfolio tail risk. During the current fiscal period, the Fund did not invest in options.

 

24

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

Statement of Assets and Liabilities

 

The following tables show the fair value of derivative instruments as of August 31, 2023 and their location on the Fund’s Statement of Assets and Liabilities:

 

 

Asset Derivatives

Liability Derivatives

Derivative
Instruments

Statement of Assets
and Liabilities Location

 

Value

 

Statement of Assets
and Liabilities Location

 

Value

 

Foreign Exchange Contracts – Forward foreign currency contracts

Unrealized appreciation on forward foreign currency contracts

  $ 3,445  

Unrealized depreciation on forward foreign currency contracts

  $ 89,673  

Total

    $ 3,445       $ 89,673  

 

Statement of Operations

 

The following table shows the effect of derivative instruments on the Statement of Operations for the current fiscal period:

 

Amount of Realized Gain (Loss) on Derivatives Recognized in Income

   

Forward
Foreign
Currency
Contracts

 

Foreign Exchange Contracts

  $ 1,695,160  

Total

  $ 1,695,160  

 

Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income

   

Forward
Foreign
Currency
Contracts

   

Total

 

Foreign Exchange Contracts

  $ 541,857     $ 541,857  

Total

  $ 541,857     $ 541,857  

 

For the current fiscal period 2023, the Fund’s monthly average volume of derivatives was as follows:

 

Forward Foreign
Currency Contracts-
Payable
(Value At Trade Date)

Forward Foreign
Currency Contracts-
Receivable (Value At
Trade Date)

(55,730,563)

55,554,920

 

D.

Principal Risks from the Investments.

 

Foreign Securities Risk. Securities of companies located outside the U.S. involve additional risks that can increase the potential for losses in the Fund to the extent that it invests in these securities. Investments in foreign securities may be affected by currency controls and exchange rates; different accounting, auditing, financial reporting, and legal standards and practices; expropriation; changes in tax policy; greater market volatility; differing securities market structures; higher transaction costs; and various administrative difficulties, such as delays in clearing and settling portfolio transactions or in receiving payment of dividends. Certain of these risks also may apply to securities of U.S. companies with significant foreign operations. These risks can increase the potential for losses in the Fund and affect its share price. To the extent that the Fund’s assets are significantly invested in a single country or geographic region, the Fund will be subject to the risks associated with that particular country or region.

 

25

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments the Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all.

 

Small and/or Mid-Sized Companies Risk. Investments in securities of small and mid-sized companies tend to be more vulnerable to adverse developments and are more volatile and less liquid than securities of large companies. Compared to large companies, small and mid-sized companies tend to have analyst coverage by fewer Wall Street firms and may trade at prices that reflect incomplete or inaccurate information about the issuers of the securities or have less market interest for such securities.

 

Industry and Sector Risk. To the extent the Fund invests a significant portion of its assets in a particular industry or sector, the value of its investments will be affected by factors related to that industry or sector and may fluctuate more widely than that of a fund that invests more broadly across industries or sectors.

 

 

Communication Services Sector Risk. The Fund’s investments are exposed to issuers conducting business in the communication services sector. The communication services sector includes companies that facilitate communication and offer related content and information through various mediums. It includes telecom and media & entertainment companies including producers of interactive gaming products and companies engaged in content and information creation or distribution through proprietary platforms. The Fund is subject to the risk that the securities of such issuers will underperform the market as a whole due to legislative or regulatory changes, adverse market conditions and/or increased competition affecting the communication services sector. The performance of companies operating in the communication services sector has historically been closely tied to the performance of the overall economy, and also is affected by economic growth, consumer confidence, attitudes and spending. Increased sensitivity to short product cycles and aggressive pricing, challenges in bringing products to market and changes in demographics and consumer tastes also can affect the demand for, and success of, communication services products and services in the marketplace.

 

 

Energy Sector Risk. The Fund may invest to a significant extent in the energy sector of the economy. Companies in the energy industry may be significantly affected by volatile energy prices and supply and demand of energy fuels, conservation efforts, energy exploration and production, government regulation, weather or natural disasters and global events. Energy companies may also operate in, or do business in, countries with less developed regulatory regimes or countries with a history of expropriation, nationalization or other adverse policies. Because of this, the securities of energy companies can be very volatile. Energy companies may also have high levels of debt, making them more likely to restructure their businesses if there are market downturns in the energy sector or in the market as a whole.

 

 

Financial Sector Risk. Financial services companies are subject to extensive governmental regulation which may limit both the amounts and types of loans and other financial commitments they can make, the interest rates and fees they can charge, the scope of their activities, the prices they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds and can fluctuate significantly when interest rates change or due to increased competition. In addition, deterioration of the credit markets generally may cause an adverse impact in a broad range of markets, including U.S. and international credit and interbank money markets generally, thereby affecting a wide range of financial institutions and markets.

 

 

Industrials Sector Risk. The Fund may invest to a significant extent in the industrials sector of the economy. The value of securities issued by companies in the industrials sector may be adversely affected by supply and demand related to their specific products or services and industrials sector products in general. The products of manufacturing companies may face obsolescence due to rapid technological developments and frequent new product introduction. Government regulations, world events, economic conditions and exchange rates may adversely affect the performance of companies in the industrials sector. Companies in the industrials sector may be adversely affected by liability for environmental damage and product liability claims. The industrials sector may also be adversely affected by changes or trends in commodity prices, which may be influenced by unpredictable factors.

 

 

Information Technology Sector Risk. The information technology sector includes companies in the software and services, technology hardware and equipment, and semiconductors and semiconductor equipment industry groups. Companies in the information technology sector are subject to rapid obsolescence of existing technology, short product cycles, falling prices and profits, competition from new market entrants, and general economic conditions. Stocks of companies in the information technology sector, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Technological developments, fixed rate pricing, and the ability to retain skilled employees can significantly affect the industries in the information technology sector. Additionally, success in the internet services and infrastructure industry is subject to continued demand for internet services.

 

26

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

Currency Exchange Rate Risk. The values of foreign securities issued or traded in foreign currencies may be affected by changes in exchange rates between foreign currencies and the U.S. dollar, as well as between currencies of countries other than the U.S. For example, if the value of the U.S. dollar goes up compared to a foreign currency, an investment traded in that foreign currency will go down in value because it will be worth fewer U.S. dollars. The Fund may also employ strategies intended to increase exposure to certain currencies. Such currency transactions involve additional risks, and the Fund’s strategies, if unsuccessful, may decrease the value of the Fund.

 

Derivative Investment Risk. Derivatives are subject to a number of risks, such as interest rate risk, market risk, credit risk, and foreign exchange risk. Changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index, and the Fund may lose more money than its initial investment in the derivative. A small investment in a derivative could have a relatively large positive or negative impact on the performance of the Fund, potentially resulting in losses to Fund shareholders. In addition, there is the risk that an investment in derivatives will not perform as anticipated, cannot be closed out at a favorable time or price, or will increase the Fund’s volatility; that derivatives may create investment leverage; that, when a derivative is used as a substitute or alternative to a direct cash investment, the transaction may not provide a return that corresponds precisely with that of the cash investment; or that, when used for hedging purposes, derivatives will not provide the anticipated protection, causing the Fund to lose money on both the derivatives transaction and the exposure the Fund sought to hedge. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments.

 

Emerging Market Risk. The risks of foreign investments in emerging market countries may involve risks greater than, or in addition to, the risks of investing in more developed countries. These risks include volatile currency exchange rates, periods of high inflation, increased risk of default, greater social, economic and political uncertainty and instability, less governmental supervision and regulation of securities markets, weaker auditing and financial reporting standards, lack of liquidity in the markets, and the significantly smaller market capitalizations of emerging market issuers. The information available about an emerging market issuer may be less reliable than for comparable issuers in more developed capital markets. In addition, investments in certain emerging markets are subject to an elevated risk of loss resulting from market manipulation and the imposition of exchange controls (including repatriation restrictions). The legal rights and remedies available for investors in emerging markets may be more limited than the rights and remedies available in the U.S., and the ability of U.S. authorities (e.g., Securities and Exchange Commission (“SEC”) and the U.S. Department of Justice) to bring actions against bad actors in emerging markets may be limited. Political and economic structures in emerging market countries may be less established and may change rapidly. These countries also are more likely to experience high levels of inflation, deflation or currency devaluation, which can harm their economies and securities markets and increase volatility. In fact, short-term volatility in these markets and declines of 50% or more are not uncommon. Restrictions on currency trading that may be imposed by emerging market countries will have an adverse effect on the value of the securities of companies that trade or operate in such countries.

 

Family-Controlled Companies Risk. The Fund may invest a significant portion of its assets in the securities of issuers that it deems to be “family-controlled companies.” Corporate governance standards of some family-controlled companies may be weaker and less transparent, which increases the potential for loss and unequal treatment of investors. In addition, many family-controlled companies utilize a dual class ownership structure where insider shares carry greater voting rights per share than non-insider shares and therefore allow the family to continue to have outsized control even after selling of a significant portion of the company to outsiders.

 

United States Investing Risk. A decrease in imports or exports, changes in trade regulations and/or an economic recession in the U.S. may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the U.S. are changing many aspects of financial and other regulation and may have a significant effect on the U.S. markets generally, as well as on the value of certain securities. In addition, a continued rise in the U.S. public debt level or U.S. austerity measures may adversely affect U.S. economic growth and the securities to which the Fund has exposure.

 

An investment in the Fund is not a bank deposit or obligation of any bank and is not endorsed or guaranteed by any bank and is not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other governmental agency.

 

E.

Offsetting Assets and Liabilities. The Fund is subject to various Master Netting Arrangements, which govern the terms of certain transactions with select counterparties. The Master Netting Arrangements allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The Master Netting Arrangements also specify collateral posting arrangements at pre-arranged exposure levels. Under the Master Netting Arrangements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Netting Arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Netting Arrangement.

 

27

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The table below, as of August 31, 2023, discloses both gross information and net information about instruments and transactions eligible for offset in the Statement of Assets and Liabilities and instruments and transactions that are subject to an agreement similar to a master netting agreement, as well as amounts related to collateral held at clearing brokers and counterparties. For financial reporting purposes, the Fund does not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statement of Assets and Liabilities.

 

Assets

 

                           

Gross Amounts not
offset in the Statement of
Assets and Liabilities

         

Description/
Counterparty

 

Gross
Amounts
Presented in
Statement
of Assets &
Liabilities

   

Gross
Amounts
Offset in the
Statement of
Assets and
Liabilities

   

Net
Amounts
Presented
in the
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Received

   

Net
Amount

 

Securities out on loan U.S. Bank N.A.

  $ 1,285,040     $     $ 1,285,040     $     $ (1,285,040 )1   $  

Forward Foreign Currency Contracts Bank of New York

    3,445             3,445       (3,445 )            
    $ 1,288,485     $     $ 1,288,485     $ (3,445 )   $ (1,285,040 )1   $  

 

Liabilities

 

                           

Gross Amounts not
offset in the Statement of
Assets and Liabilities

         

Description/
Counterparty

 

Gross
Amounts
Presented in
Statement
of Assets &
Liabilities

   

Financial
Instruments
with
Allowable
Netting

   

Net
Amounts
Presented
in the
Statement of
Assets and
Liabilities

   

Financial
Instruments

   

Collateral
Pledged

   

Net
Amount

 

Forward Foreign Currency Contracts Bank of New York

  $ 89,673     $     $ 89,673     $ (3,445 )   $ (86,228 )   $  
    $ 89,673     $     $ 89,673     $ (3,445 )   $ (86,228 )   $  

 

 

1

The Fund received cash collateral of $1,384,695, which was subsequently invested in the First American Government Obligations Fund - Class X as reported in the Schedule of Investments.

 

In some instances, the collateral amounts disclosed in the tables were adjusted due to the requirement to limit the collateral amounts to avoid the effect of overcollateralization. Actual collateral received/pledged may be more than the amounts disclosed herein.

 

F.

Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions.

 

28

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

 

The Fund reports net realized foreign exchange gains or losses that arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities at fiscal year end, resulting from changes in exchange rates.

 

G.

Federal Income Taxes. The Fund has elected to be taxed as a “regulated investment company” and intends to distribute substantially all taxable income to its shareholders and otherwise comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income taxes or excise taxes has been made.

 

In order to avoid imposition of the excise tax applicable to regulated investment companies, the Fund intends to declare each year as dividends in each calendar year at least 98.0% 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, if any, from prior years.

 

A regulated investment company may elect to treat any portion of its qualified late year losses as arising on the first day of the next taxable year. Qualified late year losses are any ordinary and net capital losses incurred between November 1 and the end of the fiscal year, August 31. For the taxable year ended August 31, 2023, the Fund does not intend to defer any late-year ordinary and capital losses.

 

As of August 31, 2023, the Fund had Short Term Capital Loss Carryovers of $6,649,411 and Long Term Capital Loss Carryovers of $64,789,573 available for federal income tax purposes. During the tax year ended August 31, 2023, the Fund did not utilize any Short Term Capital Loss Carryover or Long Term Capital Loss Carryover.

 

Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. For the fiscal period ended August 31, 2023, the Fund had no reclassifications of net assets.

 

The Fund recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as other expense in the Statement of Operations. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for the open tax years (2020 - 2022), or expected to be taken in the Fund’s 2023 tax returns. 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.

 

The Fund seeks to recover a portion of foreign withholding taxes applied to income earned in jurisdictions where favorable treaty rates for US investors are available. The portion of such taxes believed to be recoverable is reflected as an asset on the Statement of Assets and Liabilities under the caption “Dividend Reclaims”.

 

H.

Forward Foreign Currency Contracts. The Fund may enter into forward foreign currency contracts as hedges against either specific transactions or fund positions. The aggregate principal amount of the contracts are not recorded because the Fund intends to settle the contracts prior to delivery. All commitments are marked-to-market daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Fund realizes gains or losses at the time the forward contracts are extinguished. For federal income tax purposes, the Fund elected capital treatment for all realized and unrealized transactions on forward foreign currency contracts during the current fiscal period.

 

The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the securities, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit a potential gain that might result should the value of the currency increase. These contracts involve market risk in excess of the amount reflected in the Fund’s Statement of Assets and Liabilities. The face or contract amount in U.S. dollars reflects the total exposure the Fund has in that particular currency contract. In addition, there could be exposure to risks (limited to the amount of unrealized gains) if the counterparties to the contracts are unable to meet the terms of their contracts.

 

The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Sub-Adviser believes have the financial resources to honor their obligations and by having the Sub-Adviser monitor the financial stability of counterparties. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down by at least the predetermined threshold amount.

 

29

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

I.

Short Sales. The Fund may make short sales of securities, including “short sales against the box.” In a short transaction, a fund sells a security it does not own in anticipation that the market price of that security will decline. The Fund expects to make short sales (i) as a form of hedging to offset potential declines in long positions in similar securities, (ii) in order to maintain portfolio flexibility and (iii) for profit.

 

When the Fund makes a short sale, its broker borrows the security to be sold short and the broker-dealer maintains the proceeds of the short sale while the short position is open. The Fund must keep the proceeds account marked to market and must post additional collateral for its obligation to deliver securities to replace the securities that were borrowed and sold short. The Fund may have to pay a fee to borrow particular securities and is often obligated to pay over any payments received on such borrowed securities.

 

A Fund’s obligation to replace borrowed securities will be secured by collateral deposited with the broker-dealer or the Fund’s custodian bank, which usually consists of U.S. government securities or other high grade liquid securities similar to those borrowed. The Fund will also be required to segregate similar collateral to the extent, if any (excluding any proceeds of the short sales), necessary so that the value of both collateral deposits in the aggregate is at all times equal to at least 100% of the current market value of the security sold short.

 

Short sales carry risks of loss if the price of the security sold short increases after the sale. In this situation, when a Fund replaces the borrowed security by buying the security in the securities market, the Fund may pay more for the security than it has received from the purchaser in the short sale. A Fund may, however, profit from a change in the value of the security sold short, if the price decreases. As of August 31, 2023, there were no short sales.

 

J.

Security Transactions and Investment Income. Investment securities transactions are accounted for on the trade date. Gains and losses realized on sales of securities are determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Discounts/premiums on debt securities purchased are accreted/ amortized over the life of the respective securities using the effective interest method. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. Other non-cash dividends are recognized as investment income at the full value of the property received. Withholding taxes on foreign dividends have been provided for in accordance with the Trust’s understanding of the applicable country’s tax rules and rates.

 

K.

Distributions to Shareholders. Distributions to shareholders from net investment income and net realized gains on securities for the Fund, which are determined in accordance with income tax regulations, are normally declared and paid on an annual basis. Distributions are recorded on the ex-dividend date. The Fund may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements.

 

L.

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amount of revenue and expenses during the current fiscal period. Actual results could differ from those estimates.

 

M. Share Valuation. The NAV per share of the Fund is calculated by dividing the sum of the value of the securities held by the Fund, plus cash or other assets, minus all liabilities (including estimated accrued expenses) by the total number of shares outstanding for the Fund, rounded to the nearest cent. The Fund’s shares will not be priced on the days on which the NYSE is closed for trading.

 

N.

Guarantees and Indemnifications. In the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

 

O.

Securities Lending. The Fund is authorized to lend securities it holds to brokers, and other financial organizations. This activity is subject to an agreement where U.S. Bank N.A. acts as the Fund’s agent. When loaning securities, the Fund retains the benefits of owning the securities, including the economic equivalent of dividends or interest generated by the security. Pursuant to these agreements, income earned from the securities lending program is paid to the Fund, net of any fees paid to U.S. Bank N.A. and is recognized as “Securities lending net income” on the Statement of Operations.

 

Lending of the Fund’s securities exposes the Fund to risks such as the following: (i) the borrower may fail to return the loaned securities, (ii) the borrower may not be able to provide additional collateral in instances when the value of the collateral is less than the loaned securities, (iii) the Fund may experience delays in recovery of the loaned securities or delays in access to collateral, or (iv) the Fund may experience losses related to the reinvestment of collateral. To minimize these risks, loans must be continuously secured by collateral consisting of cash or securities issued or guaranteed by the U.S. government or one of its agencies or instrumentalities, or an irrevocable standby letter of credit or any combination thereof. The collateral and the securities loaned shall be marked to market daily. Upon the origination of any

 

30

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

loan, collateral required by U.S. Bank N.A. shall be equal to 100% of the market value (plus accrued interest) of the securities loaned. The collateral must be received concurrently with delivery of the loaned securities and the collateral must be kept in an account appropriately segregated by the custodian from any assets belonging to the Fund. The value of the collateral requirement is determined based upon the closing price of a borrowed security, with the collateral balance adjusted the following business day. Although there is no specified time limit regarding how long a security may be out on loan, the Fund or the borrower may request that a security on loan be returned at any time. If the Fund requests that a specific security be returned, and the borrower fails to return such security, the Fund will be able to retain the borrower’s collateral. Assets in the collateral account will be invested by U.S. Bank N.A., as directed by the Sub-Adviser in a short term U.S. government money market instrument that constitutes an “Eligible Security” (as defined in Rule 2a-7 under the 1940 Act). All of the assets that are held by the collateral account will be valued on an amortized cost basis to the extent permitted by applicable Commission or staff releases, rules, letters or orders.

 

During the current fiscal period, the Fund had loaned securities that were collateralized by cash. The cash collateral received was invested in the First American Government Obligations Fund - X Class Shares and is presented in the Fund’s Schedule of Investments as “Securities Held as Collateral on Loaned Securities.” The securities lending program restricts investments to several prescribed money market funds along with a collateralized separate account investment option.

 

P.

Restricted and Illiquid Securities. The Fund will not purchase nor otherwise acquire any investment if, as a result, more than 15% of its net assets (taken at current market value) would be invested in securities that are illiquid. Generally speaking, an illiquid security is any asset or investment of which the Fund cannot sell a normal trading unit in the ordinary course of business within seven days at approximately the value at which the Fund has valued the asset or investment, including securities that cannot be sold publicly due to legal or contractual restrictions. The sale of illiquid securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than does the sale of securities eligible for trading on national securities exchanges or in the OTC markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale.

 

Over the past several years, strong institutional markets have developed for various types of restricted securities, including repurchase agreements, some types of commercial paper, and some corporate bonds and notes (commonly known as “Rule 144A Securities”). Securities freely salable among qualified institutional investors under special rules adopted by the SEC, or otherwise determined to be liquid, may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly, the Board will monitor their liquidity. The Board will review pertinent factors such as trading activity, reliability of price information and trading patterns of comparable securities in determining whether to treat any such security as liquid for purposes of the foregoing 15% test. To the extent the Board treats such securities as liquid, temporary impairments to trading patterns of such securities may adversely affect the Fund’s liquidity. The Fund may, from time to time, participate in private investment vehicles and/or in equity or debt instruments that do not trade publicly and may never trade publicly. These types of investments carry a number of special risks in addition to the normal risks associated with equity and debt investments. In particular, private investments are likely to be illiquid, and it may be difficult or impossible to sell these investments under many conditions. The Fund may from time to time establish one or more wholly-owned special purpose subsidiaries in order to facilitate the Fund’s investment program which may reduce certain of the costs (e.g. tax consequences) to the Fund.

 

Q. REIT Distributions. The character of distributions received from real estate investment trusts (“REITs”) held by the Fund is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Fund to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Fund’s records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.

 

R.

LIBOR Discontinuation. Many financial instruments use or may use a floating rate based on the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On July 27, 2017, the Financial Conduct Authority (“FCA”) announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and ICE Benchmark Administrator have since announced that most LIBOR settings will no longer be published after December 31, 2021 and a majority of U.S. dollar LIBOR settings will cease publication after June 30, 2023. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing Secured Overnight Financing Rate (“SOFR”) that is intended to replace U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are developing in response to these new reference rates. Uncertainty related to the liquidity impact of the change in rates, and how to appropriately adjust these rates at the time of transition, poses risks for the Fund. The effect

 

31

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

of any changes to, or discontinuation of, LIBOR on the Fund will depend on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new instruments and contracts. The expected discontinuation of LIBOR could have a significant impact on the financial markets in general and may also present heightened risk to market participants, including public companies, investment advisers, investment companies, and broker-dealers. The risks associated with this discontinuation and transition will be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. For example, current information technology systems may be unable to accommodate new instruments and rates with features that differ from LIBOR. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Fund until new reference rates and fallbacks for both legacy and new instruments and contracts are commercially accepted and market practices become settled.

 

S.

SEC Rule 18f-4. Effective August 19, 2022, 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 limited derivatives user (as defined in Rule 18f-4), is not 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.

 

T.

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 available to be issued, and has determined that there were the following subsequent events:

 

Change in Fiscal Year End: The Fund changed its annual fiscal year end from December 31st to August 31st starting with the August 31, 2023 fiscal year end. As part of this change in year end, the Fund declared a distribution with a record date of October 13, 2023 to distribute its undistributed investment company taxable income and undistributed net tax-exempt income, if any, from its December 31, 2022 fiscal year end, as required for tax purposes.

 

Israel Conflict risk: The U.S.-designated terrorist group Hamas attacked Israel on October 7, 2023, resulting in an ensuing war in the region. Current hostilities and the potential for future hostilities may diminish the value, or cause significant volatility in the share price, of companies based in or having significant operations in Israel. The Israeli securities market may be closed for extended periods of time or trading on the Israeli securities market may be suspended altogether. How long the armed conflict and related events will last cannot be predicted.

 

NOTE 3 – INVESTMENT ADVISORY FEES, SERVICING FEES, AND OTHER FEES AND EXPENSES

 

 

Effective March 31, 2023, the Adviser serves as the investment adviser for the Fund and the Sub-Adviser 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 Fund’s Sub-Adviser, pursuant to the terms of an investment advisory agreement between the Trust, on behalf of the Fund, and the Adviser (the “Advisory Agreement”). Pursuant to the Advisory Agreement, the Fund compensates the Adviser for its services at the annual rate of 0.99% of the Fund’s average daily net assets, payable on a monthly basis in arrears. Pursuant to the sub-advisory agreement between the Adviser and the Sub-Adviser (the “Sub-Advisory Agreement”), the Adviser compensates the Sub-Adviser for its services at an annual rate of 0.89% of the Fund’s average daily net assets.

 

The Adviser has contractually agreed to limit the amount of the Fund’s total annual operating expenses (excluding taxes, interest on borrowings, acquired fund fees and expenses, dividends on securities sold short, brokerage commissions, and other expenditures, which are capitalized in accordance with generally accepted accounting principles, and other extraordinary expenses not incurred in the ordinary course of business) to 1.60% of the Fund’s average daily net assets attributable to Investor Class shares and to 1.35% of the Fund’s average daily net assets attributable to Institutional Class shares for the period from March 31, 2023 through December 31, 2025 (the “Expense Limitation Agreement”). The Adviser is permitted to recoup, on a class by class basis, any fees it has waived or deferred or expenses it has borne pursuant to the Expense Limitation Agreement to the extent that the Fund’s expenses (after any repayment is taken into account) do not exceed both of (i) the expense limitations that were in effect at the time of the waiver or reimbursement, and (ii) the current expense limitations. The Board must approve any recoupment payment made to the Adviser. The Fund will not be obligated to pay any such deferred fees and expenses more than three years after date on which the fees and expenses were waived or deferred.

 

32

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

Pursuant to the Sub-Advisory Agreement, the Sub-Adviser contractually agreed to reduce its fee under the Sub-Advisory Agreement by any amounts paid to the Fund by the Adviser related to applicable voluntary fee waivers, expense reimbursements (including the Expense Limitation Agreement) or other payments related to any voluntary expense cap applicable to the Fund. Accordingly, the Sub-Adviser will be entitled to recoupment from the Adviser of any recoupment received by Advisor from the Fund that Adviser has waived or deferred or expenses it has borne pursuant to the Expense Limitation Agreement related to any period during the term of the Sub-Advisory Agreement.

 

From December 28, 2022 to March 31, 2023, the Predecessor Adviser served as the investment adviser to the Fund pursuant to an investment advisory agreement between the Trust, on behalf of the Fund, and Predecessor Adviser (the “Prior Advisory Agreement”). The fee structure under the Prior Advisory Agreement was identical to the fee structure under the Advisory Agreement. In addition, the Predecessor Adviser contractually agreed until March 31, 2023 to limit the amount of the Fund’s total annual operating expenses pursuant to an expense limitation agreement that had the same terms as the Fund’s current Expense Limitation Agreement with the Adviser.

 

During the current fiscal period, the Fund incurred a total of $714,806 in advisory fees from the Adviser and Predecessor Adviser, of which $102,174 was payable at August 31, 2023.

 

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

 
  $ 714,806     $ (116,456 )   $     $ 598,350  

 

As of the end of the current fiscal period, the Fund had amounts available for recoupment by the Adviser as follows:

 

 

EXPIRATION

 
 

December 31,
2024

   

December 31,
2025

   

August 31,
2026*

   

TOTAL

 
  $     $     $ 67,954     $ 67,954  

 

*

Amount recoupable for the fiscal period January 1, 2023 through August 31, 2023 was $67,954. The total amount waived for the period was $116,456 of which $48,502 was waived by the Predecessor Adviser prior to March 31, 2023 and is no longer recoupable.

 

U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services (“Fund Services”), an indirect wholly-owned subsidiary of U.S. Bank N.A., serves as the Fund’s administrator (the “Administrator”) and, in that capacity, performs various administrative and accounting services for the Fund. Fund Services also serves as the Fund’s fund accountant, transfer agent, dividend disbursing agent and registrar. The Administrator prepares various federal and state regulatory filings, reports and returns for the Fund; prepares reports and materials to be supplied to the trustees; monitors the activities of the Fund’s custodian, transfer agent and accountants; coordinates the preparation and payment of Fund expenses and reviews the Fund’s expense accruals.

 

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 the Trust. Prior to the Reorganization, Compass Distributors, LLC, an affiliate of Foreside Financial Group, LLC, served as the Fund’s distributor.

 

The Fund has adopted a Distribution Plan (the “Plan”) in accordance with Rule 12b-1 under the 1940 Act with respect to Investor Class shares. The Plan provides that the Fund may pay a fee to the Distributor at an annual rate of 0.25% of the average daily net assets of Investor Class shares. No distribution or shareholder servicing fees are paid by Institutional Class shares. These fees may be used by the Distributor to provide compensation for sales support distribution activities, or shareholder servicing activities.

 

NOTE 4 – TRUSTEE AND OFFICER COMPENSATION

 

 

The Trustees of the Trust receive an annual retainer and meeting fees for meetings attended. An employee of Vigilant Compliance, LLC serves as Chief Compliance Officer of the Trust. Vigilant Compliance, LLC is compensated for the services provided to the Trust. Employees of the Trust serve as President, Chief Financial Officer, Chief Operating Officer, Secretary and Director of Marketing & Business Development of the Trust. They are compensated for services provided. Certain employees of Fund Services serve as officers of the Trust. They are not compensated by the Fund or the Trust. For Trustee and Officer compensation amounts, please refer to the Statement of Operations.

 

33

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

NOTE 5 – PURCHASES AND SALES OF SECURITIES

 

 

For the current fiscal period, the cost of purchases and the proceeds from the sale of securities, excluding short-term investments, were $15,017,639 and $13,520,172, respectively.

 

There were no purchases or sales of long-term U.S. government securities for the current fiscal period.

 

NOTE 6 – FEDERAL INCOME TAX INFORMATION

 

 

The tax character of distributions paid by the Fund during the current fiscal period, the year ended December 31, 2022 and the year ended December 31, 2021 were as follows:

 

   

Fiscal
Period Ended
August 31,
2023

   

December 31,
2022

   

December 31,
2021

 

Distributions paid from:

                       

Ordinary income*

  $     $ 2,587,418     $ 6,425,493  

Long-term capital gains**

                 

Total distributions

  $     $ 2,587,418     $ 6,425,493  

 

*

For federal income tax purposes, distributions of short-term capital gains are treated as ordinary income distributions.

**

The Fund designates this distribution as long-term capital gain dividends pursuant to Internal Revenue Code Section 852(b)(3)(C).

 

As of August 31, 2023, the federal tax cost and aggregate gross unrealized appreciation and depreciation of investments held by the Fund was as follows:

 

Cost of investments

  $ 80,455,028  

Gross tax unrealized appreciation

    35,997,135  

Gross tax unrealized depreciation

    (8,933,099 )

Net tax unrealized appreciation

    27,064,036  

 

As of August 31, 2023, the components of distributable earnings (losses) on a tax basis were as follows:

 

Undistributed ordinary income

  $ 2,053,713  

Undistributed long-term capital gain

     

Capital loss carryforward

    (71,438,984 )

Other accumulated losses

    (43,828 )

Unrealized appreciation/(depreciation)

    27,035,463  

Qualified late-year loss deferral

    (2,487,490 )

Total distributable earnings

    (44,881,126 )

 

Permanent differences as of August 31, 2023, primarily attributable to excise tax paid and investments in partnerships were reclassified among the following accounts:

 

Distributable earnings

  $ 39,204  

Paid-in-capital

  $ (39,204 )

 

The difference between cost of investments for financial reporting and cost of investments for Federal income tax purposes was due primarily to timing differences in recognizing certain gains and losses on security transactions (e.g., wash sale loss deferrals, passive foreign investment company transactions, unrealized gains (losses) recognition of derivatives, and investments in publicly traded partnerships).

 

34

 

 

Evermore Global Value Fund

Notes to Financial Statements August 31, 2023, Continued

 

 

The Fund is permitted to carry forward capital losses incurred for an unlimited period. Additionally, capital losses that are carried forward will retain their character as either short-term or long-term capital losses. As of August 31, 2023, the Fund had unexpiring short-term capital loss carryforwards of $6,649,411 and long-term capital loss carryforwards of $64,789,573. For the fiscal year ended August 31, 2023, the Fund deferred to September 1, 2023, $2,487,490 in qualified late-year losses.