N-Q 1 rbb_nq.htm QUARTERLY NOTICE OF PORTFOLIO HOLDINGS

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


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY


811-05518
Investment Company Act file number:


THE RBB FUND, INC.
(Exact name of registrant as specified in charter)

615 East Michigan Street,
Milwaukee, WI  53202
(Address of principal executive offices) (Zip code)


Salvatore Faia, President
c/o U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI  53202
(Name and address of agent for service)


Registrant's telephone number, including area code:  (414) 765-5145



Date of fiscal year end:  August 31

Date of reporting period:  May 31, 2017


 
Item 1. Schedule of Investments.
 
ABBEY CAPITAL FUTURES STRATEGY FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
May 31, 2017
(Unaudited)
 
   
COUPON*
   
MATURITY DATE
 
PAR (000's)
   
VALUE
 
SHORT-TERM INVESTMENTS - 85.8%
                     
U.S. TREASURY OBLIGATIONS - 85.8%
                     
U.S. Treasury Bills
   
0.593
%
 
06/22/17
 
$
25,324
   
$
25,313,440
 
U.S. Treasury Bills
   
0.603
%
 
07/20/17
   
6,546
     
6,538,407
 
U.S. Treasury Bills
   
0.633
%
 
08/17/17
   
43,099
     
43,014,871
 
U.S. Treasury Bills
   
0.924
%
 
10/12/17
   
2,139
     
2,131,306
 
U.S. Treasury Bills
   
0.611
%
 
06/01/17
   
51,841
     
51,841,000
 
U.S. Treasury Bills
   
0.611
%
 
06/08/17
   
74,252
     
74,242,347
 
U.S. Treasury Bills
   
0.588
%
 
06/29/17
   
65,727
     
65,683,949
 
U.S. Treasury Bills
   
0.562
%
 
07/06/17
   
11,452
     
11,443,766
 
U.S. Treasury Bills
   
0.592
%
 
07/13/17
   
19,870
     
19,850,925
 
U.S. Treasury Bills
   
0.614
%
 
07/27/17
   
86,048
     
85,931,921
 
U.S. Treasury Bills
   
0.610
%
 
08/03/17
   
70,077
     
69,966,208
 
U.S. Treasury Bills
   
0.641
%
 
08/10/17
   
32,125
     
32,068,267
 
U.S. Treasury Bills
   
0.745
%
 
08/24/17
   
7,734
     
7,717,465
 
U.S. Treasury Bills
   
0.847
%
 
08/31/17
   
10,695
     
10,669,246
 
U.S. Treasury Bills
   
0.855
%
 
09/07/17
   
48,838
     
48,714,342
 
U.S. Treasury Bills
   
0.885
%
 
09/28/17
   
28,209
     
28,119,719
 
U.S. Treasury Bills
   
0.925
%
 
10/05/17
   
18,480
     
18,416,780
 
U.S. Treasury Bills
   
0.975
%
 
10/26/17
   
3,600
     
3,585,308
 
U.S. Treasury Bills
   
1.039
%
 
11/16/17
   
53,676
     
53,417,389
 
U.S. Treasury Bills
   
1.081
%
 
11/24/17
   
23,182
     
23,063,100
 
                         
681,729,756
 
TOTAL SHORT-TERM INVESTMENTS
                           
(Cost $681,905,333)
                       
681,729,756
 
TOTAL PURCHASED OPTIONS - 0.0%**
                     
(Cost $515,172)
                       
217,061
 
TOTAL INVESTMENTS - 85.8%
                           
(Cost $682,420,505)***
                       
681,946,817
 
                             
OTHER ASSETS IN EXCESS OF LIABILITIES - 14.2%
                       
112,639,937
 
NET ASSETS - 100.0%
                     
$
794,586,754
 
 
* Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments.
       
** See page 10 for detailed information regarding the Purchased Options.
             
*** The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
             
               
Cost of investments
 
$
682,420,505
                     
Gross unrealized appreciation
 
$
951
                     
Gross unrealized (depreciation)
   
(474,639
)
                   
Net unrealized appreciation (depreciation)
 
$
(473,688
)
                   
                             
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
 
most recent annual report.
                     
                             
                             
Futures contracts outstanding as of May 31, 2017 were as follows:
                 
                             
LONG CONTRACTS
 
EXPIRATION DATE
 
NUMBER OF CONTRACTS
   
NOTIONAL COST
   
UNREALIZED APPRECIATION (DEPRECIATION)
 
10-Year Mini Japanese Government Bond Futures
 
Jun-17
   
37
   
$
5,112,426
   
$
(16,036
)
30-DAY Interbank Futures
       
 Nov-17
   
516
     
92,322,803
     
42,548
 
3-Month Euro Euribor
       
 Jun-17
   
5
     
1,340,068
     
491
 
3-Month Euro Euribor
       
 Sep-17
   
45
     
12,050,164
     
4,255
 
3-Month Euro Euribor
       
 Dec-17
   
112
     
30,732,056
     
6,923
 
3-Month Euro Euribor
       
 Mar-18
   
402
     
109,464,743
     
45,552
 
3-Month Euro Euribor
       
 Sep-18
   
15
     
4,210,685
     
1,109
 
3-Month Euro Euribor
       
 Dec-18
   
945
     
252,188,656
     
25,388
 
3-Month Euro Euribor
       
 Jun-19
   
8
     
2,241,299
     
365
 
3-Month Euro Euribor
       
 Sep-19
   
3
     
839,184
     
84
 
3-Month Euro Euribor
       
 Mar-20
   
1
     
279,420
     
28
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
1

 
90-DAY Bank Bill
       
 Jun-17
   
2
     
150,435
     
145
 
90-DAY Bank Bill
       
 Sep-17
   
97
     
7,131,541
     
12,845
 
90-DAY Bank Bill
       
 Dec-17
   
228
     
16,821,380
     
47,688
 
90-DAY Bank Bill
       
 Mar-18
   
248
     
18,305,496
     
68,060
 
90-DAY Bank Bill
       
 Jun-18
   
34
     
2,503,217
     
7,846
 
90-DAY Bank Bill
       
 Sep-18
   
20
     
1,472,676
     
6,372
 
90-DAY Eurodollar Futures
       
 Sep-17
   
40
     
9,864,425
     
3,075
 
90-DAY Eurodollar Futures
       
 Mar-18
   
86
     
21,179,575
     
5,450
 
90-DAY Eurodollar Futures
       
 Sep-18
   
66
     
16,219,913
     
10,313
 
90-DAY Eurodollar Futures
       
 Dec-18
   
524
     
128,666,175
     
74,075
 
90-DAY Eurodollar Futures
       
 Mar-19
   
64
     
15,701,313
     
13,888
 
90-DAY Eurodollar Futures
       
 Jun-19
   
33
     
8,088,888
     
9,725
 
90-DAY Eurodollar Futures
       
 Sep-19
   
53
     
12,982,675
     
16,900
 
90-DAY Eurodollar Futures
       
 Dec-19
   
30
     
7,343,775
     
8,850
 
90-DAY Eurodollar Futures
       
 Mar-20
   
35
     
8,563,588
     
10,975
 
90-DAY Eurodollar Futures
       
 Jun-20
   
39
     
9,537,450
     
13,163
 
90-DAY Eurodollar Futures
       
 Sep-20
   
46
     
11,240,650
     
19,000
 
90-DAY Eurodollar Futures
       
 Dec-20
   
21
     
5,129,825
     
7,563
 
90-DAY Sterling Futures
       
 Jun-17
   
10
     
1,552,284
     
1,611
 
90-DAY Sterling Futures
       
 Sep-17
   
24
     
3,803,877
     
1,933
 
90-DAY Sterling Futures
       
 Dec-17
   
62
     
9,848,674
     
4,559
 
90-DAY Sterling Futures
       
 Mar-18
   
2,112
     
336,434,048
     
137,672
 
90-DAY Sterling Futures
       
 Sep-18
   
208
     
32,947,083
     
12,772
 
90-DAY Sterling Futures
       
 Dec-18
   
234
     
37,113,915
     
9,136
 
90-DAY Sterling Futures
       
 Mar-19
   
265
     
41,881,011
     
12,224
 
90-DAY Sterling Futures
       
 Jun-19
   
49
     
7,859,613
     
2,464
 
90-DAY Sterling Futures
Sep-19
   
35
     
5,612,838
     
1,933
 
90-DAY Sterling Futures
Dec-19
   
24
     
3,844,550
     
1,836
 
90-DAY Sterling Futures
Mar-20
   
1
     
159,986
     
81
 
Amsterdam Index Futures
Jun-17
   
122
     
14,449,148
     
(196,992
)
AUD/USD Currency Futures
Jun-17
   
129
     
9,698,318
     
(111,039
)
Australian 10-Year Bond Futures
Jun-17
   
241
     
17,420,438
     
108,006
 
Australian 3-Year Bond Futures
Jun-17
   
213
     
15,627,606
     
42,044
 
Bank Acceptance Futures
Sep-17
   
36
     
6,631,596
     
1,416
 
Bank Acceptance Futures
Dec-17
   
89
     
16,202,456
     
6,903
 
Bank Acceptance Futures
Mar-18
   
162
     
29,460,421
     
14,509
 
Bank Acceptance Futures
Jun-18
   
2
     
370,322
     
259
 
Bank Acceptance Futures
Sep-18
   
2
     
363,380
     
148
 
BP Currency Futures
Jun-17
   
105
     
8,469,271
     
(3,646
)
Brent Crude Futures
Jan-17
   
9
     
488,090
     
(21,800
)
Brent Crude Futures
Sep-17
   
2
     
109,380
     
(7,200
)
Brent Crude Futures
Oct-17
   
1
     
54,860
     
(3,530
)
Brent Crude Futures
Nov-17
   
2
     
109,350
     
(6,310
)
Brent Crude Futures
Dec-17
   
7
     
380,590
     
(18,760
)
CAC40 10 Euro Futures
Jun-17
   
776
     
45,613,076
     
(367,174
)
Canadian 10-Year Bond Futures
Sep-17
   
559
     
60,043,250
     
307,658
 
Canola Futures (Winnipeg Commodity Exchange)
Jul-17
   
40
     
306,182
     
(13,307
)
Canola Futures (Winnipeg Commodity Exchange)
Nov-17
   
160
     
1,178,373
     
(52,367
)
Canola Futures (Winnipeg Commodity Exchange)
Jan-18
   
80
     
598,407
     
(27,093
)
Cattle Feeder Futures
Aug-17
   
19
     
1,429,475
     
19,988
 
Cattle Feeder Futures
Sep-17
   
15
     
1,081,588
     
57,100
 
Cattle Feeder Futures
Oct-17
   
9
     
670,900
     
4,775
 
CHF Currency Futures
Jun-17
   
20
     
2,604,616
     
(17,366
)
COP/USD Futures
Jun-17
   
101
     
3,499,901
     
(37,722
)
Copper Futures
Jul-17
   
13
     
843,050
     
(4,550
)
Copper Futures
Sep-17
   
1
     
64,950
     
(125
)
Corn Futures
Mar-18
   
14
     
279,888
     
813
 
Cotton No.2 Futures
Jul-17
   
24
     
967,260
     
(43,500
)
Cotton No.2 Futures
Dec-17
   
28
     
1,021,575
     
(2,515
)
DAX Index Futures
Jun-17
   
123
     
42,045,984
     
564,907
 
DJIA Mini E-CBOT
Jun-17
   
302
     
31,458,130
     
254,890
 
E-Mini Natural Gas
Sep-17
   
17
     
145,137
     
(13,600
)
EUR Foreign Exchange Currency Futures
Jun-17
   
222
     
31,889,162
     
(653,777
)
Euro E-Mini Futures
Jun-17
   
30
     
2,101,313
     
9,188
 
Euro STOXX 50
Jun-17
   
820
     
30,882,769
     
749,413
 
Euro-Bobl Futures
Jun-17
   
628
     
90,505,853
     
137,476
 
Euro-Bobl Futures
Sep-17
   
1,085
     
160,841,609
     
365,978
 
Euro-BTP Futures
Jun-17
   
50
     
7,443,845
     
(18,120
)
Euro-Bund Futures
Jun-17
   
1,087
     
191,112,053
     
636,426
 
Euro-Bund Futures
Sep-17
   
210
     
38,411,716
     
132,107
 
Euro-Oat Futures
Jun-17
   
58
     
9,649,607
     
80,264
 
Euro-Schatz Futures
Jun-17
   
307
     
37,878,642
     
(927
)
Euro-Schatz Futures
Sep-17
   
3
     
377,902
     
67
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
2

 
FTSE 100 Index Futures
Jun-17
   
433
     
40,113,498
     
900,004
 
FTSE 250 Index Futures
Jun-17
   
126
     
5,892,512
     
299,929
 
FTSE/JSE TOP 40
Jun-17
   
84
     
2,998,460
     
(12,010
)
FTSE/MIB Index Futures
Jun-17
   
49
     
5,485,909
     
71,316
 
Gasoline RBOB Futures
Aug-17
   
2
     
134,879
     
(1,756
)
Gasoline RBOB Futures
Sep-17
   
3
     
200,558
     
(2,701
)
Gasoline RBOB Futures
Oct-17
   
5
     
313,526
     
(7,871
)
Gold 100 Oz Futures
Aug-17
   
186
     
23,526,690
     
195,750
 
Gold 100 Oz Futures
Oct-17
   
13
     
1,649,620
     
13,080
 
Gold 100 Oz Futures
Dec-17
   
16
     
2,038,120
     
13,880
 
Hang Seng Index Futures
Jun-17
   
299
     
48,433,505
     
471,777
 
H-Shares Index Futures
Jun-17
   
162
     
10,766,302
     
108,264
 
IBEX 35 Index Futures
Jun-17
   
84
     
10,191,553
     
(12,169
)
ILS/USD Futures
Jun-17
   
35
     
9,712,500
     
184,105
 
INR/USD Futures
Jun-17
   
216
     
6,671,894
     
6,826
 
JPN 10-Year Bond (Osaka Securities Exchange)
Jun-17
   
97
     
129,954,906
     
18,149
 
JPY E-Mini Futures
Jun-17
   
1
     
56,431
     
144
 
Lean Hogs Futures
Jul-17
   
83
     
2,654,170
     
102,260
 
Lean Hogs Futures
Aug-17
   
61
     
1,926,840
     
78,230
 
Lean Hogs Futures
Oct-17
   
31
     
844,330
     
4,140
 
Live Cattle Futures
Aug-17
   
80
     
3,728,660
     
165,740
 
Live Cattle Futures
Oct-17
   
47
     
2,093,750
     
127,470
 
Live Cattle Futures
Dec-17
   
13
     
606,530
     
11,750
 
London Mercantile Exchange Aluminum Forward
Jun-17
   
17
     
864,190
     
(48,084
)
London Mercantile Exchange Aluminum Forward
Jul-17
   
92
     
4,517,631
     
(93,006
)
London Mercantile Exchange Aluminum Forward
Aug-17
   
65
     
3,197,572
     
(64,978
)
London Mercantile Exchange Aluminum Forward
Sep-17
   
615
     
29,358,060
     
338,752
 
London Mercantile Exchange Copper Forward
Jun-17
   
267
     
39,483,826
     
(1,664,945
)
London Mercantile Exchange Copper Forward
Jul-17
   
17
     
2,445,363
     
(34,126
)
London Mercantile Exchange Copper Forward
Sep-17
   
17
     
2,433,957
     
(15,707
)
London Mercantile Exchange Zinc Forward ($)
Jun-17
   
98
     
6,882,408
     
(536,908
)
London Mercantile Exchange Zinc Forward ($)
Sep-17
   
19
     
1,262,150
     
(25,369
)
Long Gilt Futures
Sep-17
   
971
     
160,406,623
     
335,253
 
Low Sulphur Gasoil G Futures
Aug-17
   
1
     
46,375
     
(1,575
)
Mini HSI Index Futures
Jun-17
   
145
     
4,735,976
     
5,618
 
Mini MSCI EAFE Index Futures
Jun-17
   
71
     
6,424,630
     
270,315
 
Mini MSCI Emerging Markets Index Future
Jun-17
   
144
     
6,967,730
     
259,630
 
MSCI Singapore Exchange ETS
Jun-17
   
233
     
6,069,118
     
(64,196
)
MSCI Taiwan Index
Jun-17
   
198
     
7,384,500
     
(3,060
)
MXN Futures
Jun-17
   
171
     
4,525,665
     
45,165
 
Nasdaq 100 E-Mini
Jun-17
   
546
     
61,743,792
     
1,518,498
 
Natural Gas Futures
Sep-17
   
8
     
272,680
     
(25,080
)
Natural Gas Futures
Oct-17
   
9
     
306,670
     
(25,870
)
Natural Gas Futures
Nov-17
   
24
     
822,170
     
(58,010
)
Natural Gas Futures
Dec-17
   
28
     
993,050
     
(64,290
)
Natural Gas Futures
Jan-18
   
25
     
906,470
     
(56,470
)
Natural Gas Futures
Feb-18
   
29
     
1,040,480
     
(59,990
)
Natural Gas Futures
Mar-18
   
10
     
340,540
     
(9,240
)
New York Harbor Ultra-Low Sulfur Diesel Futures
Aug-17
   
4
     
258,565
     
(2,230
)
New York Harbor Ultra-Low Sulfur Diesel Futures
Sep-17
   
4
     
260,702
     
(2,738
)
New York Harbor Ultra-Low Sulfur Diesel Futures
Oct-17
   
5
     
335,475
     
(10,626
)
Nikkei 225 (Chicago Mercantile Exchange)
Jun-17
   
39
     
3,846,250
     
(9,625
)
Nikkei 225 (Singapore Exchange)
Jun-17
   
204
     
17,779,349
     
235,892
 
Nikkei 225 Mini
Jun-17
   
710
     
12,389,749
     
(16,271
)
NZD Currency Futures
Jun-17
   
11
     
784,610
     
(3,940
)
OMX Stockholm 30 Index Futures
Jun-17
   
159
     
2,989,802
     
(12,509
)
Palladium Futures
Sep-17
   
11
     
855,650
     
41,895
 
PLN/USD Futures
Jun-17
   
29
     
3,730,145
     
171,515
 
Red Wheat Futures (Minneapolis Grain Exchange)
Sep-17
   
3
     
85,937
     
538
 
Red Wheat Futures (Minneapolis Grain Exchange)
Dec-17
   
9
     
259,462
     
1,875
 
RUB Futures
Jun-17
   
72
     
3,153,562
     
9,037
 
S&P 500 E-Mini Futures
Jun-17
   
751
     
89,686,945
     
849,860
 
S&P Mid 400 E-Mini
Jun-17
   
70
     
12,086,420
     
(46,420
)
S&P/TSX 60 IX Futures
Jun-17
   
9
     
1,254,328
     
(80,110
)
SGX Nifty 50
Jun-17
   
323
     
6,128,836
     
96,666
 
SPI 200 Futures
Jun-17
   
223
     
24,290,549
     
(429,930
)
Topix Index Futures
Jun-17
   
100
     
13,763,179
     
169,282
 
TRY/USD Futures
Jun-17
   
9
     
1,259,800
     
8,840
 
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Sep-17
   
853
     
107,295,961
     
435,274
 
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
Sep-17
   
48
     
10,389,141
     
2,109
 
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
Sep-17
   
1,066
     
125,865,744
     
255,383
 
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-17
   
244
     
37,179,250
     
351,000
 
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Sep-17
   
17
     
2,783,562
     
23,562
 
USD/NOK Futures
Jun-17
   
4
     
399,454
     
(5,663
)
WTI Crude Futures
Dec-17
   
1
     
52,220
     
(3,100
)
WTI Crude Futures
Jan-18
   
3
     
151,270
     
(3,640
)
WTI Crude Futures
Feb-18
   
4
     
203,530
     
(6,530
)
             
$
3,350,470,035
   
$
7,183,806
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
3

 
SHORT CONTRACTS
EXPIRATION DATE
 
NUMBER OF CONTRACTS
   
NOTIONAL COST
   
UNREALIZED APPRECIATION (DEPRECIATION)
 
2-Year Euro Swapnote Futures
Jun-17
   
2
   
$
(242,809
)
 
$
(573
)
3-Month Euro Euribor
Jun-18
   
89
     
(23,510,139
)
   
(24,714
)
3-Month Euro Euribor
Mar-19
   
15
     
(4,029,405
)
   
(3,581
)
3-Month Euro Euribor
Dec-19
   
947
     
(252,208,090
)
   
(39,990
)
5-Year Euro Swapnote Futures
Jun-17
   
39
     
(5,432,371
)
   
(33,319
)
90-DAY Eurodollar Futures
Dec-17
   
2,465
     
(611,253,543
)
   
3,600,227
 
90-DAY Eurodollar Futures
Jun-18
   
1,451
     
(357,070,618
)
   
(56,746
)
90-DAY Sterling Futures
Jun-18
   
593
     
(97,584,915
)
   
(36,254
)
Brent Crude Futures
Aug-17
   
72
     
(3,792,930
)
   
138,210
 
CAD Currency Futures
Jun-17
   
479
     
(35,263,890
)
   
(213,245
)
CBOE VIX Futures
Jun-17
   
3
     
(37,450
)
   
1,975
 
CBOE VIX Futures
Jul-17
   
13
     
(167,500
)
   
2,725
 
Cocoa Futures
Jul-17
   
96
     
(1,952,323
)
   
35,213
 
Cocoa Futures
Jul-17
   
21
     
(396,870
)
   
(33,210
)
Cocoa Futures
Sep-17
   
30
     
(581,083
)
   
(32,559
)
Cocoa Futures
Sep-17
   
23
     
(429,950
)
   
(42,930
)
Cocoa Futures
Dec-17
   
27
     
(540,306
)
   
(24,751
)
Cocoa Futures
Dec-17
   
29
     
(547,870
)
   
(52,720
)
Coffee 'C' Futures
Jul-17
   
134
     
(6,609,187
)
   
109,350
 
Coffee 'C' Futures
Sep-17
   
63
     
(3,224,212
)
   
112,800
 
Coffee 'C' Futures
Dec-17
   
32
     
(1,705,762
)
   
82,763
 
Coffee Robusta Futures
Jul-17
   
22
     
(437,120
)
   
(1,780
)
Coffee Robusta Futures
Sep-17
   
23
     
(456,880
)
   
(5,880
)
Coffee Robusta Futures
Nov-17
   
18
     
(358,790
)
   
(2,470
)
Corn Futures
Jul-17
   
260
     
(4,807,800
)
   
(28,200
)
Corn Futures
Sep-17
   
35
     
(665,412
)
   
413
 
Corn Futures
Dec-17
   
36
     
(705,512
)
   
1,713
 
Dollar Index
Jun-17
   
119
     
(11,689,795
)
   
164,169
 
E-Mini Crude Oil
Jul-17
   
1
     
(24,475
)
   
313
 
E-Mini Crude Oil
Aug-17
   
9
     
(221,912
)
   
3,438
 
E-Mini Natural Gas
Jul-17
   
91
     
(745,963
)
   
47,538
 
E-Mini Natural Gas
Aug-17
   
92
     
(761,738
)
   
46,438
 
Euro BUXL 30-Year Bond Futures
Jun-17
   
48
     
(8,881,736
)
   
(89,913
)
Euro/CHF 3-Month Futures (Intercontinental Exchange)
Jun-17
   
14
     
(3,491,985
)
   
1,575
 
Euro/CHF 3-Month Futures (Intercontinental Exchange)
Sep-17
   
41
     
(10,453,187
)
   
852
 
Euro/CHF 3-Month Futures (Intercontinental Exchange)
Dec-17
   
36
     
(9,234,576
)
   
(310
)
Euro/CHF 3-Month Futures (Intercontinental Exchange)
Mar-18
   
21
     
(5,405,410
)
   
(465
)
Euro/CHF 3-Month Futures (Intercontinental Exchange)
Jun-18
   
3
     
(766,547
)
   
(258
)
                           
  The accompanying notes are an integral part of the consolidated portfolio of investments.
4

 
 
Gasoline RBOB Futures
Jul-17
   
188
     
(12,511,850
)
   
(94,114
)
JPY Currency Futures
Jun-17
   
618
     
(68,147,645
)
   
(1,779,056
)
Kansas City Hard Red Winter Wheat Futures
Jul-17
   
147
     
(3,238,350
)
   
64,988
 
Kansas City Hard Red Winter Wheat Futures
Sep-17
   
36
     
(805,150
)
   
(4,850
)
Kansas City Hard Red Winter Wheat Futures
Dec-17
   
49
     
(1,152,825
)
   
(11,538
)
London Mercantile Exchange Copper Forward
Jun-17
   
268
     
(37,809,820
)
   
(150,705
)
London Mercantile Exchange Copper Forward
Aug-17
   
1
     
(131,381
)
   
(10,638
)
London Mercantile Exchange Lead Forward
Jun-17
   
3
     
(91,072
)
   
(67,197
)
London Mercantile Exchange Lead Forward
Jul-17
   
18
     
(942,961
)
   
(8,001
)
London Mercantile Exchange Lead Forward
Aug-17
   
14
     
(738,912
)
   
(2,213
)
London Mercantile Exchange Nickel Forward
Jun-17
   
12
     
(719,156
)
   
76,124
 
London Mercantile Exchange Nickel Forward
Jul-17
   
36
     
(1,988,918
)
   
56,150
 
London Mercantile Exchange Nickel Forward
Aug-17
   
18
     
(986,721
)
   
18,501
 
London Mercantile Exchange Nickel Forward
Sep-17
   
4
     
(218,091
)
   
2,475
 
London Mercantile Exchange Zinc Forward ($)
Jun-17
   
101
     
(6,586,416
)
   
46,666
 
London Mercantile Exchange Zinc Forward ($)
Jul-17
   
2
     
(111,318
)
   
(18,457
)
London Mercantile Exchange Zinc Forward ($)
Aug-17
   
4
     
(249,669
)
   
(10,231
)
Low Sulphur Gasoil G Futures
Jul-17
   
50
     
(2,247,925
)
   
19,175
 
Low Sulphur Gasoil G Futures
Sep-17
   
6
     
(270,175
)
   
(425
)
Mill Wheat Euro
Sep-17
   
21
     
(196,204
)
   
(28
)
Mill Wheat Euro
Dec-17
   
99
     
(936,336
)
   
(1,587
)
Mill Wheat Euro
Mar-18
   
82
     
(794,428
)
   
(1,306
)
Natural Gas Futures
Jul-17
   
54
     
(1,663,040
)
   
4,700
 
Natural Gas Futures
Aug-17
   
28
     
(933,170
)
   
62,650
 
New York Harbor Ultra-Low Sulfur Diesel Futures
Jul-17
   
96
     
(5,938,968
)
   
(181,205
)
Nikkie 225 (Osaka Securities Exchange)
Jun-17
   
67
     
(11,771,547
)
   
(291,765
)
Platinum Futures
Jul-17
   
32
     
(1,512,900
)
   
(7,580
)
Rapeseed Euro
Aug-17
   
26
     
(521,192
)
   
10,588
 
Rapeseed Euro
Nov-17
   
63
     
(1,280,207
)
   
26,413
 
Rapeseed Euro
Feb-18
   
52
     
(1,065,753
)
   
25,725
 
Red Wheat Futures (Minneapolis Grain Exchange)
Jul-17
   
2
     
(54,300
)
   
(2,900
)
Russell 2000 Mini
Jun-17
   
62
     
(4,083,395
)
   
(160,815
)
Silver Futures
Jul-17
   
53
     
(4,427,800
)
   
(184,790
)
Silver Futures
Sep-17
   
15
     
(1,257,300
)
   
(53,775
)
Silver Futures
Dec-17
   
14
     
(1,173,950
)
   
(56,720
)
Soybean Futures
Jul-17
   
283
     
(13,342,175
)
   
380,775
 
Soybean Futures
Aug-17
   
40
     
(1,936,637
)
   
100,137
 
Soybean Futures
Sep-17
   
41
     
(1,970,113
)
   
90,262
 
Soybean Futures
Nov-17
   
37
     
(1,760,100
)
   
61,338
 
Soybean Meal Futures
Jul-17
   
151
     
(4,690,550
)
   
189,240
 
Soybean Meal Futures
Aug-17
   
63
     
(1,970,180
)
   
83,960
 
Soybean Meal Futures
Sep-17
   
58
     
(1,817,270
)
   
73,790
 
Soybean Oil Futures
Jul-17
   
104
     
(1,993,224
)
   
37,608
 
Soybean Oil Futures
Aug-17
   
36
     
(690,756
)
   
11,004
 
Soybean Oil Futures
Sep-17
   
26
     
(501,582
)
   
8,622
 
Sugar No. 11 (World)
Jun-17
   
223
     
(3,942,042
)
   
228,110
 
Sugar No. 11 (World)
Oct-17
   
115
     
(2,043,888
)
   
95,144
 
Sugar No. 11 (World)
Mar-18
   
46
     
(868,616
)
   
58,206
 
Swiss Federal Bond Futures
Jun-17
   
6
     
(943,602
)
   
(14,682
)
USD/CZK Futures
Jun-17
   
32
     
(3,196,886
)
   
124,608
 
USD/HUF Futures
Jun-17
   
30
     
(2,990,185
)
   
72,821
 
USD/SEK Futures
Jun-17
   
15
     
(1,499,308
)
   
(9,621
)
Wheat (Chicago Board of Trade)
Jul-17
   
302
     
(6,539,825
)
   
58,150
 
Wheat (Chicago Board of Trade)
Sep-17
   
42
     
(948,262
)
   
16,388
 
Wheat (Chicago Board of Trade)
Dec-17
   
61
     
(1,413,688
)
   
(9,138
)
White Sugar (Intercontinental Exchange)
Aug-17
   
43
     
(1,037,150
)
   
102,330
 
White Sugar (Intercontinental Exchange)
Oct-17
   
53
     
(1,222,860
)
   
110,125
 
White Sugar (Intercontinental Exchange)
Dec-17
   
45
     
(1,009,775
)
   
65,450
 
WTI Crude Futures
Jul-17
   
266
     
(13,076,400
)
   
223,280
 
WTI Crude Futures
Aug-17
   
6
     
(295,070
)
   
3,710
 
WTI Crude Futures
Oct-17
   
2
     
(98,590
)
   
850
 
WTI Crude Futures
Nov-17
   
3
     
(148,260
)
   
1,230
 
             
$
(1,714,195,900
)
 
$
3,103,800
 
Total Futures Contracts
           
$
1,636,274,135
   
$
10,287,606
 

 The accompanying notes are an integral part of the consolidated portfolio of investments.
5

 
Forward foreign currency contracts outstanding as of May 31, 2017  were as follows:
 
CURRENCY PURCHASED
   
CURRENCY SOLD
 
EXPIRATION
COUNTERPARTY
 
UNREALIZED APPRECIATION (DEPRECIATION)
 
AUD
   
2,587,185
   
USD
   
1,924,133
 
Jun 01 2017
 BOA
 
$
(1,755
)
AUD
   
14,005,000
   
USD
   
10,439,782
 
Jun 02 2017
 BOA
   
(33,730
)
AUD
   
809,183
   
USD
   
603,134
 
Jun 02 2017
 BOA
   
(1,891
)
AUD
   
65,600,000
   
USD
   
48,617,931
 
Jun 15 2017
 BOA
   
113,684
 
AUD
   
41,787,203
   
USD
   
31,550,161
 
Jun 21 2017
 BOA
   
(511,037
)
AUD
   
6,320,000
   
USD
   
4,716,963
 
Jun 22 2017
 BOA
   
(22,603
)
AUD
   
31,351,000
   
USD
   
23,631,231
 
Jun 23 2017
 BOA
   
(344,746
)
AUD
   
7,662,000
   
USD
   
5,722,878
 
Jun 29 2017
 BOA
   
(32,333
)
BRL
   
12,281,359
   
USD
   
3,868,544
 
Jun 21 2017
 BOA
   
(91,387
)
BRL
   
7,056,021
   
USD
   
2,200,000
 
Jun 21 2017
 BOA
   
(29,907
)
CAD
   
3,124,866
   
USD
   
2,313,859
 
Jun 01 2017
 BOA
   
(569
)
CAD
   
7,419,805
   
USD
   
5,482,970
 
Jun 02 2017
 BOA
   
9,869
 
CAD
   
27,557,861
   
USD
   
20,500,000
 
Jun 15 2017
 BOA
   
(94,127
)
CAD
   
66,603,490
   
USD
   
49,420,879
 
Jun 21 2017
 BOA
   
(96,215
)
CAD
   
188,356
   
USD
   
140,000
 
Jun 22 2017
 BOA
   
(506
)
CAD
   
11,012,000
   
USD
   
8,192,291
 
Jun 23 2017
 BOA
   
(36,755
)
CAD
   
6,521,000
   
USD
   
4,826,841
 
Jun 29 2017
 BOA
   
3,279
 
CHF
   
10,760,883
   
USD
   
10,804,696
 
Jun 02 2017
 BOA
   
306,803
 
CHF
   
2,176,489
   
USD
   
2,235,000
 
Jun 22 2017
 BOA
   
15,466
 
CHF
   
47,806,000
   
USD
   
48,747,221
 
Jun 23 2017
 BOA
   
687,247
 
CHF
   
9,343,000
   
USD
   
9,642,164
 
Jun 29 2017
 BOA
   
23,321
 
CLP
   
862,654,420
   
USD
   
1,300,000
 
Jun 21 2017
 BOA
   
(20,637
)
CLP
   
173,502,147
   
USD
   
263,002
 
Jun 21 2017
 BOA
   
(5,688
)
DKK
   
467,260
   
USD
   
70,000
 
Jun 02 2017
 BOA
   
574
 
DKK
   
464,216
   
USD
   
70,000
 
Jun 22 2017
 BOA
   
196
 
EUR
   
622,557
   
USD
   
693,279
 
Jun 01 2017
 BOA
   
6,104
 
EUR
   
4,105,000
   
JPY
   
508,438,805
 
Jun 02 2017
 BOA
   
20,608
 
EUR
   
670,015
   
USD
   
749,775
 
Jun 02 2017
 BOA
   
2,957
 
EUR
   
24,095,000
   
USD
   
26,638,461
 
Jun 02 2017
 BOA
   
431,183
 
EUR
   
24,750,000
   
USD
   
27,106,105
 
Jun 15 2017
 BOA
   
718,700
 
EUR
   
1,000,000
   
HUF
   
312,657,420
 
Jun 21 2017
 BOA
   
(15,720
)
EUR
   
9,500,000
   
NOK
   
88,150,257
 
Jun 21 2017
 BOA
   
247,603
 
EUR
   
1,150,000
   
PLN
   
4,902,911
 
Jun 21 2017
 BOA
   
(24,372
)
EUR
   
4,100,000
   
SEK
   
39,527,569
 
Jun 21 2017
 BOA
   
57,471
 
EUR
   
48,818,055
   
USD
   
53,341,359
 
Jun 21 2017
 BOA
   
1,561,066
 
EUR
   
1,355,000
   
JPY
   
168,737,525
 
Jun 22 2017
 BOA
   
(1,140
)
EUR
   
25,735,000
   
USD
   
28,839,625
 
Jun 22 2017
 BOA
   
104,534
 
EUR
   
54,046,000
   
USD
   
59,408,560
 
Jun 23 2017
 BOA
   
1,380,582
 
EUR
   
2,405,000
   
USD
   
2,694,954
 
Jun 29 2017
 BOA
   
11,071
 
GBP
   
6,527,147
   
USD
   
8,398,088
 
Jun 01 2017
 BOA
   
11,991
 
GBP
   
12,535,000
   
JPY
   
1,823,779,265
 
Jun 02 2017
 BOA
   
(317,147
)
GBP
   
6,050,000
   
USD
   
7,852,643
 
Jun 02 2017
 BOA
   
(57,155
)
GBP
   
2,046,331
   
USD
   
2,641,302
 
Jun 02 2017
 BOA
   
(4,583
)
GBP
   
35,150,000
   
USD
   
45,570,817
 
Jun 15 2017
 BOA
   
(260,843
)
GBP
   
23,693,145
   
USD
   
30,170,563
 
Jun 21 2017
 BOA
   
377,570
 
GBP
   
6,580,000
   
JPY
   
949,666,475
 
Jun 22 2017
 BOA
   
(99,365
)
GBP
   
17,510,000
   
USD
   
22,541,247
 
Jun 22 2017
 BOA
   
35,620
 
GBP
   
43,603,000
   
USD
   
56,092,423
 
Jun 23 2017
 BOA
   
129,991
 
GBP
   
7,399,000
   
USD
   
9,584,961
 
Jun 29 2017
 BOA
   
(42,516
)
HUF
   
402,772,629
   
EUR
   
1,300,000
 
Jun 21 2017
 BOA
   
7,007
 
HUF
   
1,470,109,314
   
USD
   
5,192,001
 
Jun 21 2017
 BOA
   
169,923
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
6

 
ILS
   
13,129,942
 
USD
   
3,600,000
 
Jun 21 2017
 BOA
   
111,018
 
INR
   
372,663,163
 
USD
   
5,713,017
 
Jun 21 2017
 BOA
   
46,963
 
INR
   
215,269,067
 
USD
   
3,200,000
 
Jun 21 2017
 BOA
   
127,255
 
JPY
   
303,441,942
 
USD
   
2,737,011
 
Jun 01 2017
 BOA
   
2,962
 
JPY
   
510,432,555
 
EUR
   
4,105,000
 
Jun 02 2017
 BOA
   
(2,605
)
JPY
   
1,814,052,105
 
GBP
   
12,535,000
 
Jun 02 2017
 BOA
   
229,312
 
JPY
   
121,701,588
 
USD
   
1,097,841
 
Jun 02 2017
 BOA
   
1,117
 
JPY
   
805,746,075
 
USD
   
7,212,864
 
Jun 02 2017
 BOA
   
62,978
 
JPY
   
3,709,055,317
 
USD
   
32,900,000
 
Jun 15 2017
 BOA
   
611,779
 
JPY
   
6,497,394,753
 
USD
   
58,035,251
 
Jun 21 2017
 BOA
   
687,490
 
JPY
   
97,045,760
 
EUR
   
780,000
 
Jun 22 2017
 BOA
   
(132
)
JPY
   
796,090,550
 
GBP
   
5,550,000
 
Jun 22 2017
 BOA
   
39,343
 
JPY
   
17,735,560
 
USD
   
160,000
 
Jun 22 2017
 BOA
   
300
 
JPY
   
4,070,374,000
 
USD
   
36,837,728
 
Jun 23 2017
 BOA
   
(46,381
)
JPY
   
859,979,000
 
USD
   
7,768,323
 
Jun 29 2017
 BOA
   
7,245
 
KRW
   
562,990,635
 
USD
   
500,000
 
Jun 21 2017
 BOA
   
2,996
 
KRW
   
8,629,727,131
 
USD
   
7,642,912
 
Jun 21 2017
 BOA
   
67,191
 
MXN
   
185,492,662
 
USD
   
9,795,975
 
Jun 21 2017
 BOA
   
115,957
 
MXN
   
184,770,000
 
USD
   
9,585,548
 
Jun 23 2017
 BOA
   
284,296
 
NOK
   
6,399,391
 
USD
   
757,676
 
Jun 01 2017
 BOA
   
(278
)
NOK
   
2,468,571
 
USD
   
292,686
 
Jun 02 2017
 BOA
   
(515
)
NOK
   
436,958,948
 
USD
   
51,300,000
 
Jun 15 2017
 BOA
   
427,662
 
NOK
   
52,414,321
 
EUR
   
5,750,000
 
Jun 21 2017
 BOA
   
(261,129
)
NOK
   
122,581,407
 
USD
   
14,365,429
 
Jun 21 2017
 BOA
   
147,411
 
NZD
   
560,464
 
USD
   
395,713
 
Jun 01 2017
 BOA
   
1,368
 
NZD
   
1,039,165
 
USD
   
738,281
 
Jun 02 2017
 BOA
   
(2,066
)
NZD
   
360,000
 
USD
   
253,892
 
Jun 02 2017
 BOA
   
1,156
 
NZD
   
20,900,000
 
USD
   
14,642,558
 
Jun 15 2017
 BOA
   
160,300
 
NZD
   
20,571,563
 
USD
   
14,407,482
 
Jun 21 2017
 BOA
   
160,977
 
NZD
   
470,000
 
USD
   
332,101
 
Jun 22 2017
 BOA
   
738
 
NZD
   
12,685,000
 
USD
   
8,759,164
 
Jun 23 2017
 BOA
   
223,789
 
PHP
   
32,531,910
 
USD
   
650,000
 
Jun 21 2017
 BOA
   
3,004
 
PLN
   
11,761,925
 
EUR
   
2,750,000
 
Jun 21 2017
 BOA
   
68,378
 
PLN
   
54,072,396
 
USD
   
13,951,123
 
Jun 21 2017
 BOA
   
581,307
 
SEK
   
2,735,297
 
USD
   
314,348
 
Jun 02 2017
 BOA
   
396
 
SEK
   
73,138,907
 
EUR
   
7,523,000
 
Jun 13 2017
 BOA
   
(35,399
)
SEK
   
213,380,311
 
USD
   
24,200,000
 
Jun 15 2017
 BOA
   
371,750
 
SEK
   
25,901,189
 
EUR
   
2,700,000
 
Jun 21 2017
 BOA
   
(52,726
)
SEK
   
116,960,109
 
USD
   
13,312,995
 
Jun 21 2017
 BOA
   
160,664
 
SGD
   
347,808
 
USD
   
250,000
 
Jun 21 2017
 BOA
   
1,432
 
SGD
   
7,189,778
 
USD
   
5,153,259
 
Jun 21 2017
 BOA
   
44,255
 
SGD
   
15,658,000
 
USD
   
11,313,027
 
Jun 29 2017
 BOA
   
7,218
 
THB
   
108,043,638
 
USD
   
3,100,000
 
Jun 21 2017
 BOA
   
71,800
 
TRY
   
5,105,453
 
USD
   
1,400,000
 
Jun 21 2017
 BOA
   
37,873
 
TRY
   
26,679,753
 
USD
   
7,299,405
 
Jun 21 2017
 BOA
   
214,542
 
TWD
   
8,658,079
 
USD
   
285,515
 
Jun 21 2017
 BOA
   
2,512
 
TWD
   
21,315,688
 
USD
   
700,000
 
Jun 21 2017
 BOA
   
9,107
 
ZAR
   
28,202,603
 
USD
   
2,150,000
 
Jun 21 2017
 BOA
   
(8,098
)
ZAR
   
85,483,326
 
USD
   
6,475,885
 
Jun 21 2017
 BOA
   
16,313
 
 

The accompanying notes are an integral part of the consolidated portfolio of investments.~

7

 
USD
   
1,930,506
 
AUD
   
2,587,185
 
Jun 01 2017
 BOA
   
8,128
 
USD
   
601,362
 
AUD
   
809,183
 
Jun 02 2017
 BOA
   
120
 
USD
   
10,444,562
 
AUD
   
14,005,000
 
Jun 02 2017
 BOA
   
38,510
 
USD
   
74,703,389
 
AUD
   
100,600,000
 
Jun 15 2017
 BOA
   
(28,326
)
USD
   
33,083,603
 
AUD
   
44,027,954
 
Jun 21 2017
 BOA
   
380,072
 
USD
   
368,084
 
AUD
   
495,000
 
Jun 22 2017
 BOA
   
409
 
USD
   
25,650,313
 
AUD
   
34,469,000
 
Jun 23 2017
 BOA
   
47,880
 
USD
   
5,690,529
 
AUD
   
7,662,000
 
Jun 29 2017
 BOA
   
(16
)
USD
   
1,100,000
 
BRL
   
3,683,945
 
Jun 21 2017
 BOA
   
(33,005
)
USD
   
4,941,984
 
BRL
   
15,998,250
 
Jun 21 2017
 BOA
   
21,690
 
USD
   
2,317,314
 
CAD
   
3,124,866
 
Jun 01 2017
 BOA
   
4,025
 
USD
   
5,440,000
 
CAD
   
7,419,806
 
Jun 02 2017
 BOA
   
(52,840
)
USD
   
63,600,000
 
CAD
   
86,911,950
 
Jun 15 2017
 BOA
   
(756,019
)
USD
   
52,556,616
 
CAD
   
70,704,420
 
Jun 21 2017
 BOA
   
194,919
 
USD
   
1,250,000
 
CAD
   
1,683,312
 
Jun 22 2017
 BOA
   
3,359
 
USD
   
27,436,786
 
CAD
   
36,764,000
 
Jun 23 2017
 BOA
   
209,205
 
USD
   
4,829,126
 
CAD
   
6,521,000
 
Jun 29 2017
 BOA
   
(995
)
USD
   
10,795,000
 
CHF
   
10,760,884
 
Jun 02 2017
 BOA
   
(316,499
)
USD
   
2,115,000
 
CHF
   
2,058,470
 
Jun 22 2017
 BOA
   
(13,435
)
USD
   
34,567,336
 
CHF
   
34,648,000
 
Jun 23 2017
 BOA
   
(1,260,917
)
USD
   
8,013,554
 
CHF
   
7,847,000
 
Jun 29 2017
 BOA
   
(104,295
)
USD
   
262,610
 
CLP
   
176,430,050
 
Jun 21 2017
 BOA
   
955
 
USD
   
1,350,000
 
CLP
   
904,117,285
 
Jun 21 2017
 BOA
   
9,145
 
USD
   
70,387
 
DKK
   
467,257
 
Jun 02 2017
 BOA
   
(187
)
USD
   
695,981
 
EUR
   
622,557
 
Jun 01 2017
 BOA
   
(3,402
)
USD
   
26,713,965
 
EUR
   
24,095,000
 
Jun 02 2017
 BOA
   
(355,680
)
USD
   
753,331
 
EUR
   
670,015
 
Jun 02 2017
 BOA
   
600
 
USD
   
14,817,693
 
EUR
   
13,250,000
 
Jun 15 2017
 BOA
   
(78,414
)
USD
   
25,074,502
 
EUR
   
23,354,128
 
Jun 21 2017
 BOA
   
(1,190,336
)
USD
   
16,396,626
 
EUR
   
14,650,000
 
Jun 22 2017
 BOA
   
(80,231
)
USD
   
34,065,525
 
EUR
   
31,882,000
 
Jun 23 2017
 BOA
   
(1,794,288
)
USD
   
8,384,844
 
GBP
   
6,527,147
 
Jun 01 2017
 BOA
   
(25,235
)
USD
   
2,623,034
 
GBP
   
2,046,331
 
Jun 02 2017
 BOA
   
(13,684
)
USD
   
7,836,204
 
GBP
   
6,050,000
 
Jun 02 2017
 BOA
   
40,716
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
8

 
USD
   
27,917,277
 
GBP
   
21,500,000
 
Jun 15 2017
 BOA
   
202,784
 
USD
   
27,925,421
 
GBP
   
22,056,361
 
Jun 21 2017
 BOA
   
(512,368
)
USD
   
11,722,860
 
GBP
   
9,135,000
 
Jun 22 2017
 BOA
   
(55,534
)
USD
   
30,010,864
 
GBP
   
24,285,000
 
Jun 23 2017
 BOA
   
(1,302,608
)
USD
   
9,559,869
 
GBP
   
7,399,000
 
Jun 29 2017
 BOA
   
17,425
 
USD
   
4,258,260
 
HUF
   
1,234,680,238
 
Jun 21 2017
 BOA
   
(244,984
)
USD
   
1,100,000
 
ILS
   
4,009,102
 
Jun 21 2017
 BOA
   
(33,124
)
USD
   
8,435,023
 
INR
   
551,494,304
 
Jun 21 2017
 BOA
   
(89,017
)
USD
   
500,000
 
INR
   
32,521,044
 
Jun 21 2017
 BOA
   
(2,654
)
USD
   
2,735,173
 
JPY
   
303,441,942
 
Jun 01 2017
 BOA
   
(4,800
)
USD
   
7,070,000
 
JPY
   
798,012,685
 
Jun 02 2017
 BOA
   
(136,010
)
USD
   
1,100,217
 
JPY
   
121,701,588
 
Jun 02 2017
 BOA
   
1,259
 
USD
   
72,400,000
 
JPY
   
8,145,163,326
 
Jun 15 2017
 BOA
   
(1,192,571
)
USD
   
36,313,554
 
JPY
   
4,066,983,555
 
Jun 21 2017
 BOA
   
(443,397
)
USD
   
2,695,000
 
JPY
   
300,436,735
 
Jun 22 2017
 BOA
   
(20,453
)
USD
   
49,234,855
 
JPY
   
5,573,913,000
 
Jun 23 2017
 BOA
   
(1,146,698
)
USD
   
3,248,716
 
KRW
   
3,713,866,252
 
Jun 21 2017
 BOA
   
(69,383
)
USD
   
550,000
 
KRW
   
624,676,152
 
Jun 21 2017
 BOA
   
(8,108
)
USD
   
8,408,605
 
MXN
   
162,723,593
 
Jun 21 2017
 BOA
   
(286,645
)
USD
   
3,830,615
 
MXN
   
75,373,000
 
Jun 23 2017
 BOA
   
(195,578
)
USD
   
759,210
 
NOK
   
6,399,391
 
Jun 01 2017
 BOA
   
1,812
 
USD
   
292,377
 
NOK
   
2,468,571
 
Jun 02 2017
 BOA
   
206
 
USD
   
16,828,664
 
NOK
   
143,861,968
 
Jun 21 2017
 BOA
   
(203,657
)
USD
   
397,206
 
NZD
   
560,464
 
Jun 01 2017
 BOA
   
126
 
USD
   
250,447
 
NZD
   
360,000
 
Jun 02 2017
 BOA
   
(4,602
)
USD
   
737,495
 
NZD
   
1,039,165
 
Jun 02 2017
 BOA
   
1,280
 
USD
   
34,296,610
 
NZD
   
49,800,000
 
Jun 15 2017
 BOA
   
(975,271
)
USD
   
14,400,197
 
NZD
   
20,811,779
 
Jun 21 2017
 BOA
   
(338,379
)
USD
   
16,409,827
 
NZD
   
23,664,000
 
Jun 23 2017
 BOA
   
(347,966
)
USD
   
650,000
 
PHP
   
33,055,234
 
Jun 21 2017
 BOA
   
(13,509
)
USD
   
8,178,992
 
PLN
   
32,225,011
 
Jun 21 2017
 BOA
   
(481,762
)
USD
   
310,000
 
SEK
   
2,735,297
 
Jun 02 2017
 BOA
   
(4,744
)
USD
   
12,650,000
 
SEK
   
110,071,775
 
Jun 15 2017
 BOA
   
(25,284
)
USD
   
10,761,918
 
SEK
   
96,362,621
 
Jun 21 2017
 BOA
   
(338,936
)
USD
   
55,000
 
SEK
   
477,411
 
Jun 22 2017
 BOA
   
(1
)
USD
   
3,452,913
 
SGD
   
4,859,201
 
Jun 21 2017
 BOA
   
(59,820
)
USD
   
850,000
 
SGD
   
1,196,025
 
Jun 21 2017
 BOA
   
(14,611
)
USD
   
1,900,000
 
THB
   
65,938,584
 
Jun 21 2017
 BOA
   
(35,736
)
USD
   
9,467,426
 
TRY
   
35,257,303
 
Jun 21 2017
 BOA
   
(462,257
)
USD
   
1,700,000
 
TRY
   
6,496,753
 
Jun 21 2017
 BOA
   
(129,712
)
USD
   
750,000
 
TWD
   
22,852,797
 
Jun 21 2017
 BOA
   
(10,242
)
USD
   
5,864,694
 
ZAR
   
79,805,408
 
Jun 21 2017
 BOA
   
(196,283
)
USD
   
950,000
 
ZAR
   
13,062,013
 
Jun 21 2017
 BOA
   
(42,020
)
Total Forward Foreign Currency Contracts
   
$
(5,361,385
)
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
9

 
             
   
NUMBER
       
   
OF
       
   
CONTRACTS
   
VALUE
 
PURCHASED OPTIONS - 0.0%
           
CALL OPTIONS PURCHASED - 0.0%
           
USD JPY Currency Futures
           
Expires 07/07/17
           
Strike Price 117
   
48,150,000
   
$
6,067
 
TOTAL CALL OPTIONS PURCHASED
               
(Cost $219,612)
           
6,067
 
PUT OPTIONS PURCHASED - 0.0%
               
IMM Eurodollar Futures
   
3,751
     
210,994
 
Expires 06/19/17
               
Strike Price 98.75
               
TOTAL PUT OPTIONS PURCHASED
               
(Cost $295,560)
           
210,994
 
TOTAL PURCHASED OPTIONS - 0.0%
               
(Cost $515,172)
         
$
217,061
 
                 
 
AUD
Australian Dollar
 
JPY
Japanese Yen
 
BOA
Bank of America
 
KRW
Korean Won
 
BRL
Brazilian Real
 
MXN
Mexican Peso
 
CAD
Canadian Dollar
 
NOK
Norwegian Krone
 
CBOT
Chicago Board of Trade
 
NZD
New Zealand Dollar
 
CHF
Swiss Franc
 
PHP
Philippine Peso
 
CLP
Chilean Peso
 
PLN
Polish Zloty
 
COP
Colombian Peso
 
RBOB
Reformulated Blendstock for Oxygenate Blending
CZK
Czech Koruna
 
RUB
Russian Ruble
 
DAX
Deutscher Aktienindex
 
SEK
Swedish Krona
 
DJIA
 Dow Jones Industrial Average
SGD
Singapore Dollar
 
DKK
Danish Krone
 
SGX
Singapore Exchange
 
EUR
Euro
 
THB
Thai Baht
 
FTSE
 Financial Times Stock Exchange
TRY
Turkish Lira
 
GBP
British Pound
 
TSX
Toronto Stock Exchange
 
HUF
Hungarian Forint
 
TWD
Taiwan Dollar
 
IBEX
Index of the Bolsa de Madrid
USD
United States Dollar
 
ILS
Israeli New Shekel
 
WTI
West Texas Intermediate
 
IMM
International Monetary Market
ZAR
South African Rand
 
           
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
10

 
ABBEY CAPITAL FUTURES STRATEGY FUND
 
NOTES TO PORTFOLIO OF INVESTMENTS
May 31, 2017
(Unaudited)

 
   CONSOLIDATION OF SUBSIDIARY — The Abbey Capital Futures Strategy Fund (the “Fund”) seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income”  strategy. The Managed Futures strategy will be achieved by the Fund investing up to 25% of its total assets in Abbey Capital Offshore Fund Limited, a wholly-owned and controlled subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The consolidated financial statements of the Fund include the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of May 31, 2017, the net assets of the Subsidiary were $169,052,215, which represented 21.28% of the Fund’s net assets. 
 
   PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.        
      
   FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:            
                                       
•  Level 1 – quoted prices in active markets for identical securities;
                         
•  Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and             
•  Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).             
                                       
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.             
                                       
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund’s investments carried at fair value.             
 
               
LEVEL 2
   
LEVEL 3
 
   
TOTAL FAIR
   
LEVEL 1
   
OTHER SIGNIFICANT
   
SIGNIFICANT
 
   
VALUE AT
   
QUOTED
   
OBSERVABLE
   
UNOBSERVABLE
 
 
 
MAY 31, 2017
   
PRICE
   
INPUTS
   
INPUTS
 
Short-Term Investments
 
$
681,729,756
   
$
681,729,756
   
$
-
   
$
-
 
Commodity Contracts
                               
Futures
   
4,170,089
     
4,170,089
     
-
     
-
 
Equity Contracts
                               
Futures
   
6,830,961
     
6,830,961
     
-
     
-
 
Foreign Exchange Contracts
                               
Forward Foreign Currency Contracts
   
12,731,199
     
-
     
12,731,199
     
-
 
Futures
   
796,418
     
796,418
     
-
     
-
 
Purchased Options
   
6,067
     
6,067
     
-
     
-
 
Interest Rate Contracts
                               
Futures
   
7,505,542
     
7,505,542
     
-
     
-
 
Purchased Options
   
210,994
     
210,994
     
-
     
-
 
Total Assets
 
$
713,981,026
   
$
701,249,827
   
$
12,731,199
   
$
-
 
                                 
                   
LEVEL 2
   
LEVEL 3
 
   
TOTAL FAIR
   
LEVEL 1
   
OTHER SIGNIFICANT
   
SIGNIFICANT
 
   
VALUE AT
   
QUOTED
   
OBSERVABLE
   
UNOBSERVABLE
 
 
 
MAY 31, 2017
   
PRICE
   
INPUTS
   
INPUTS
 
Commodity Contracts
                               
Futures
 
$
(4,141,395
)
 
$
(4,141,395
)
 
$
-
   
$
-
 
Equity Contracts
                               
Futures
   
(1,703,046
)
   
(1,703,046
)
   
-
     
-
 
Foreign Exchange Contracts
                               
Forward Foreign Currency Contracts
   
(18,092,584
)
   
-
     
(18,092,584
)
   
-
 
Futures
   
(2,835,075
)
   
(2,835,075
)
   
-
     
-
 
Interest Rate Contracts
                               
Futures
   
(335,888
)
   
(335,888
)
   
-
     
-
 
Total Liabilities
 
$
(27,107,988
)
 
$
(9,015,404
)
 
$
(18,092,584
)
 
$
-
 
                                 
   At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.     
11

 
 
   Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
 
   For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end  of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period. 
 
   For the period ended May 31, 2017, the Fund had no transfers between Levels 1, 2 and 3.                
 
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES        
                 
                                         
   The following table lists the fair values of the Fund’s derivative holdings as of May 31, 2017, grouped by contract type and risk exposure category.      
                 
 
         
INTEREST
   
FOREIGN
             
   
EQUITY
   
RATE
   
CURRENCY
   
COMMODITY
       
DERIVATIVE TYPE
 
CONTRACTS
   
CONTRACTS
   
CONTRACTS
   
CONTRACTS
   
TOTAL
 
Asset Derivatives
       
Purchased Options
 
$
-
   
$
210,994
   
$
6,067
   
$
-
   
$
217,061
 
Forward Contracts
   
-
     
-
     
12,731,199
     
-
     
12,731,199
 
Futures Contracts
   
6,830,961
     
7,505,542
     
796,418
     
4,170,089
     
19,303,010
 
Total Value- Assets
 
$
6,830,961
   
$
7,716,536
   
$
13,533,684
   
$
4,170,089
   
$
32,251,270
 
Liability Derivatives
         
Forward Contracts
 
$
-
   
$
-
   
$
(18,092,584
)
 
$
-
   
$
(18,092,584
)
Futures Contracts
   
(1,703,046
)
   
(335,888
)
   
(2,835,075
)
   
(4,141,395
)
   
(9,015,404
)
Total Value- Liabilities
 
$
(1,703,046
)
 
$
(335,888
)
 
$
(20,927,659
)
 
$
(4,141,395
)
 
$
(27,107,988
)
                                         
For the period ended May 31, 2017, the Fund’s average volume of derivatives is as follows:
                         

PURCHASED
   
WRITTEN
   
LONG
FUTURES
   
SHORT
FUTURES
   
CURRENCY
   
CURRENCY
 
OPTIONS
   
OPTIONS
   
NOTIONAL
   
NOTIONAL
   
CONTRACTS -
   
CONTRACTS -
 
(COST)
   
(PROCEEDS)
   
(COST)
   
(COST)
   
PAYABLE
   
RECEIVABLE
 
$
2,403,980
   
$
(331,337
)
 
$
2,728,336,703
   
$
(2,192,682,100
)
 
$
(1,569,914,859
)
 
$
1,569,751,732
 
 
12

   PURCHASED OPTIONS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund purchases option contracts. This transaction is used to hedge against changes in interest rates, foreign exchange rates and values of equities. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. 
 
   OPTIONS WRITTEN — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives and may enter into options written to hedge against changes in interest rates, foreign exchange rates and values of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.
 
   The Fund had transactions in options written during the period ended May 31, 2017, as follows:                
 
   
NUMBER OF
   
PREMIUMS
 
 
 
CONTRACTS
   
RECEIVED
 
Options outstanding at August 31, 2016
   
49,815,602
   
$
504,134
 
Options written
   
242
     
612,563
 
Options closed
   
(543
)
   
(617,266
)
Options expired
   
(49,815,301
)
   
(499,431
)
Options outstanding at May 31, 2017
   
-
   
$
-
 

 
   FUTURES CONTRACTS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund may use futures contracts for hedging or speculative purposes consistent with its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futurescontract, 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 a “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract.  Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.         
 
   FORWARD FOREIGN CURRENCY CONTRACTS — In the normal course of pursuing its investment objectives, the Fund is subject to foreign investment and currency risk. The Fund may enter into forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment goal. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Foreign Currency Contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
                                   
   For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.   
               
 
13

 
ALTAIR SMALLER COMPANIES FUND
 
Portfolio of Investments
May 31, 2017
(Unaudited)
 
   
Number
       
   
of Shares
   
Value
 
COMMON STOCKS - 92.2%
           
Advertising — 0.2%
           
MDC Partners, Inc., (Canada)
   
47,917
   
$
397,711
 
Aerospace/Defense — 1.1%
               
Aerojet Rocketdyne Holdings, Inc.*
   
21,309
     
466,667
 
Aerovironment, Inc.*
   
1,433
     
44,480
 
Cubic Corp.
   
15,562
     
721,299
 
Curtiss-Wright Corp.
   
2,004
     
180,420
 
Kaman Corp.
   
2,787
     
134,640
 
KLX, Inc.*
   
9,064
     
438,607
 
Kratos Defense & Security Solutions, Inc.*
   
36,496
     
394,887
 
Moog, Inc.*
   
1,762
     
123,410
 
National Presto Industries, Inc.
   
728
     
77,496
 
Orbital ATK, Inc.
   
1,778
     
180,751
 
Triumph Group, Inc.
   
2,128
     
69,373
 
               
2,832,030
 
Agriculture — 0.1%
               
Andersons, Inc., (The)
   
3,403
     
119,445
 
Universal Corp.
   
1,451
     
96,346
 
               
215,791
 
Airlines — 0.2%
               
Allegiant Travel Co.
   
537
     
73,569
 
Hawaiian Holdings, Inc.*
   
2,251
     
112,775
 
SkyWest, Inc.
   
8,137
     
279,099
 
               
465,443
 
Apparel — 0.6%
               
Iconix Brand Group, Inc.*
   
10,404
     
62,320
 
Lakeland Industries, Inc.*
   
16,085
     
184,977
 
Oxford Industries, Inc.
   
1,483
     
79,696
 
Rocky Brands, Inc.
   
26,890
     
383,183
 
Skechers U.S.A., Inc.*
   
6,336
     
161,695
 
Steven Madden Ltd.*
   
3,222
     
126,464
 
Superior Uniform Group, Inc.
   
17,022
     
328,525
 
Unifi, Inc.*
   
2,830
     
79,636
 
Wolverine World Wide, Inc.
   
5,464
     
142,064
 
               
1,548,560
 
Auto Parts & Equipment — 1.2%
               
American Axle & Manufacturing Holdings, Inc.*
   
6,688
     
101,056
 
Gentherm, Inc.*
   
1,375
     
51,838
 
Motorcar Parts of America, Inc.*
   
64,046
     
1,861,817
 
Spartan Motors, Inc.
   
95,234
     
819,012
 
Superior Industries International, Inc.
   
2,532
     
49,374
 
Unique Fabricating, Inc.
   
23,520
     
218,501
 
               
3,101,598
 
Banks — 5.3%
               
American River Bankshares
   
40,330
     
557,764
 
Atlantic Capital Bancshares, Inc.*
   
23,592
     
437,632
 
Bank of Commerce Holdings
   
51,140
     
554,869
 
Banner Corp.
   
1,722
     
92,454
 
Boston Private Financial Holdings, Inc.
   
14,098
     
204,421
 
Central Pacific Financial Corp.
   
3,272
     
98,978
 
City Holding Co.
   
4,208
     
265,483
 
CoBiz Financial, Inc.
   
13,008
     
204,746
 
Community Bank System, Inc.
   
1,997
     
107,359
 
CVB Financial Corp.
   
8,715
     
176,914
 
Farmers National Banc
   
36,520
     
494,846
 
FCB Financial Holdings, Inc.*
   
9,204
     
421,543
 
First BanCorp, (Puerto Rico)*
   
46,257
     
240,074
 
First Bancshares, Inc., (The)
   
14,000
     
391,300
 
First Citizens BancShares, Inc.
   
859
     
284,673
 
First Commonwealth Financial Corp.
   
11,374
     
139,673
 
First Financial Bancorp
   
7,350
     
184,117
 
First Financial Bankshares, Inc.
   
6,581
     
251,723
 
 
 The accompanying notes are an integral part of the portfolio of investments. 
1

 
 
First Northwest Bancorp*
   
20,840
     
340,109
 
Franklin Financial Network, Inc.*
   
6,217
     
242,463
 
Glacier Bancorp, Inc.
   
3,879
     
125,137
 
Heritage Commerce Corp.
   
21,264
     
286,213
 
Home BancShares, Inc.
   
11,434
     
267,670
 
Hope Bancorp, Inc.
   
14,673
     
255,457
 
Horizon Bancorp
   
22,855
     
581,431
 
Independent Bank Corp. Rockland MA
   
1,226
     
74,112
 
Live Oak Bancshares, Inc.
   
17,830
     
435,943
 
MB Financial, Inc.
   
6,569
     
270,511
 
Midland States Bancorp, Inc.
   
9,890
     
345,557
 
MidSouth Bancorp, Inc.
   
36,980
     
526,965
 
Northeast Bancorp
   
23,830
     
461,111
 
Northrim BanCorp, Inc.
   
11,610
     
344,817
 
OFG Bancorp
   
9,765
     
91,303
 
Opus Bank
   
3,209
     
68,994
 
Oritani Financial Corp.
   
1,425
     
23,584
 
Orrstown Financial Services, Inc.
   
14,240
     
300,464
 
People's Utah Bancorp
   
20,790
     
532,224
 
Premier Financial Bancorp, Inc.
   
31,280
     
618,093
 
PrivateBancorp, Inc.
   
2,852
     
169,951
 
Seacoast Banking Corp. of Florida*
   
8,249
     
186,097
 
Southside Bancshares, Inc.
   
4,513
     
146,946
 
Texas Capital Bancshares, Inc.*
   
1,396
     
102,466
 
Tompkins Financial Corp.
   
1,660
     
125,844
 
TriState Capital Holdings, Inc.*
   
11,435
     
265,292
 
TrustCo Bank Corp., NY
   
19,387
     
142,494
 
UMB Financial Corp.
   
3,746
     
262,332
 
United Bankshares, Inc.
   
8,595
     
328,759
 
United Community Banks, Inc.
   
3,164
     
81,536
 
Walker & Dunlop, Inc.*
   
1,239
     
57,874
 
West Bancorporation, Inc.
   
11,050
     
242,548
 
Westamerica Bancorp
   
2,698
     
138,434
 
               
13,551,300
 
Beverages — 0.6%
               
Farmer Brothers Co.*
   
21,549
     
646,470
 
MGP Ingredients, Inc.
   
8,238
     
421,868
 
Primo Water Corp.*
   
15,063
     
185,124
 
Reed's, Inc.*
   
53,398
     
165,534
 
               
1,418,996
 
Biotechnology — 2.3%
               
AMAG Pharmaceuticals, Inc.*
   
2,656
     
45,949
 
ANI Pharmaceuticals, Inc.*
   
2,019
     
88,210
 
Applied Genetic Technologies Corp.*
   
15,319
     
79,659
 
Audentes Therapeutics, Inc.*
   
12,868
     
183,626
 
Blueprint Medicines Corp.*
   
20,470
     
734,464
 
Cambrex Corp.*
   
1,471
     
79,140
 
ChromaDex Corp.*
   
48,795
     
160,048
 
CytomX Therapeutics, Inc.*
   
15,970
     
225,017
 
Exact Sciences Corp.*
   
7,212
     
263,022
 
Foundation Medicine, Inc.*
   
12,134
     
461,092
 
Immunomedics, Inc.*
   
39,143
     
295,530
 
Ligand Pharmaceuticals, Inc.*
   
1,187
     
128,528
 
Loxo Oncology, Inc.*
   
17,766
     
811,018
 
Medicines Co., (The)*
   
4,827
     
191,970
 
Momenta Pharmaceuticals, Inc.*
   
8,455
     
122,598
 
NeoGenomics, Inc.*
   
103,250
     
780,570
 
Organovo Holdings, Inc.*
   
45,573
     
128,971
 
Otonomy, Inc.*
   
29,328
     
359,268
 
Ovid therapeutics, Inc.*
   
12,061
     
153,778
 
Paratek Pharmaceuticals, Inc.*
   
7,287
     
146,104
 
Spectrum Pharmaceuticals, Inc.*
   
20,105
     
113,794
 
Sunesis Pharmaceuticals, Inc.*
   
16,125
     
47,730
 
Versartis, Inc.*
   
11,627
     
178,474
 
               
5,778,560
 
Building Materials — 1.7%
               
AAON, Inc.
   
2,382
     
86,169
 
Apogee Enterprises, Inc.
   
9,407
     
501,205
 
Armstrong Flooring, Inc.*
   
31,410
     
580,771
 
Armstrong World Industries, Inc.*
   
13,422
     
559,026
 
Aspen Aerogels, Inc.*
   
39,368
     
177,943
 
Foundation Building Materials, Inc.*
   
22,443
     
302,980
 
 
The accompanying notes are an integral part of the portfolio of investments.
2

 
 
Gibraltar Industries, Inc.*
   
4,141
     
128,785
 
Griffon Corp.
   
4,619
     
100,232
 
M/I Homes, Inc.*
   
5,970
     
168,294
 
New Relic, Inc.*
   
12,103
     
528,538
 
Patrick Industries, Inc.*
   
2,340
     
154,908
 
Ply Gem Holdings, Inc.*
   
11,798
     
192,897
 
Simpson Manufacturing Co., Inc.
   
2,069
     
83,132
 
Summit Materials, Inc.*
   
16,827
     
451,973
 
Universal Forest Products, Inc.
   
2,701
     
237,499
 
               
4,254,352
 
Chemicals — 1.4%
               
A Schulman, Inc.
   
2,902
     
85,029
 
Aceto Corp.
   
8,931
     
126,373
 
AdvanSix, Inc.*
   
11,619
     
334,279
 
Balchem Corp.
   
1,142
     
89,898
 
Chemours Co., (The)
   
9,276
     
370,947
 
Hawkins, Inc.
   
7,480
     
351,934
 
HB Fuller Co.
   
4,743
     
240,707
 
Innophos Holdings, Inc.
   
2,039
     
86,229
 
Innospec, Inc.
   
1,121
     
71,744
 
KMG Chemicals, Inc.
   
6,255
     
349,842
 
Koppers Holdings, Inc.*
   
2,012
     
72,533
 
Kraton Corp.*
   
2,728
     
88,114
 
Landec Corp.*
   
68,678
     
961,492
 
Rayonier Advanced Materials, Inc.
   
6,815
     
118,513
 
Stepan Co.
   
2,701
     
228,559
 
               
3,576,193
 
Coal — 0.1%
               
SunCoke Energy, Inc.*
   
4,934
     
43,123
 
US Geothermal, Inc.*
   
69,249
     
259,684
 
               
302,807
 
Commercial Services — 6.2%
               
ABM Industries, Inc.
   
3,179
     
136,824
 
Alarm.com Holdings, Inc.*
   
10,435
     
339,659
 
Albany Molecular Research, Inc.*
   
4,429
     
86,188
 
AMN Healthcare Services, Inc.*
   
3,294
     
119,407
 
ARC Document Solutions, Inc.*
   
113,670
     
376,248
 
AstroNova, Inc.
   
18,890
     
263,515
 
Barrett Business Services, Inc.
   
16,765
     
956,779
 
BG Staffing, Inc.
   
41,080
     
667,139
 
Brink's Co., (The)
   
4,054
     
255,807
 
CAI International, Inc.*
   
48,770
     
938,823
 
Capella Education Co.
   
1,954
     
169,119
 
Cardtronics PLC*
   
1,985
     
67,986
 
Care.com, Inc.*
   
61,157
     
939,983
 
Chegg, Inc.*
   
53,440
     
641,280
 
CRA International, Inc.
   
13,460
     
465,312
 
Everi Holdings, Inc.* 
     28,506        190,705  
Green Dot Corp.*
   
4,948
     
181,790
 
Hackett Group, Inc., (The)
   
9,888
     
144,958
 
Healthcare Services Group, Inc.
   
3,392
     
162,375
 
HealthEquity, Inc.*
   
12,577
     
576,027
 
HMS Holdings Corp.*
   
9,256
     
168,644
 
Hostess Brands, Inc.*
   
37,333
     
587,621
 
Insperity, Inc.
   
1,146
     
86,466
 
Kelly Services, Inc.
   
22,612
     
525,277
 
Korn/Ferry International
   
4,210
     
135,183
 
Landauer, Inc.
   
903
     
44,112
 
LSC Communications, Inc. 
     2,933        62,385  
MarketAxess Holdings, Inc.
   
2,439
     
464,825
 
Matthews International Corp.
   
1,608
     
102,510
 
Medifast, Inc.
   
14,160
     
589,198
 
MINDBODY, Inc.*
   
16,656
     
467,201
 
Monro Muffler Brake, Inc.
   
1,586
     
78,666
 
Navigant Consulting, Inc.*
   
3,071
     
59,854
 
Nutrisystem, Inc.
   
7,646
     
397,974
 
On Assignment, Inc.*
   
3,035
     
159,034
 
PAREXEL International Corp.*
   
1,060
     
85,669
 
PFSweb, Inc.*
   
49,105
     
339,316
 
Rent-A-Center, Inc.
   
9,822
     
112,069
 
Resources Connection, Inc.
   
42,081
     
528,116
 
RR Donnelley & Sons Co.
   
6,331
     
75,466
 
ServiceSource International, Inc.*
   
102,687
     
355,297
 
SP Plus Corp.*
   
30,954
     
913,143
 
 
The accompanying notes are an integral part of the portfolio of investments.
3

 
Strayer Education, Inc.
   
4,421
     
391,037
 
Team, Inc.*
   
2,595
     
66,562
 
TechTarget, Inc.*
   
18,155
     
165,211
 
Teladoc, Inc.*
   
20,098
     
614,999
 
TrueBlue, Inc.*
   
2,445
     
65,648
 
Viad Corp.
   
7,930
     
350,110
 
               
15,671,517
 
Computers — 4.7%
               
Brocade Communications Systems, Inc.
   
4,278
     
54,031
 
CACI International, Inc.*
   
1,145
     
140,949
 
Computer Services, Inc.
   
17,369
     
790,290
 
Digimarc Corp.*
   
12,434
     
433,325
 
DMC Global, Inc.
   
73,802
     
933,595
 
Electronics For Imaging, Inc.*
   
11,503
     
545,472
 
Engility Holdings, Inc.*
   
2,262
     
59,558
 
Everspin Technologies, Inc.*
   
22,887
     
411,508
 
ExlService Holdings, Inc.*
   
1,497
     
78,398
 
Icad, Inc.*
   
71,137
     
329,364
 
Insight Enterprises, Inc.*
   
2,176
     
90,391
 
KEYW Holding Corp., (The)*
   
35,289
     
325,012
 
MAXIMUS, Inc.
   
1,853
     
115,034
 
Mercury Systems, Inc.*
   
32,971
     
1,311,257
 
Mitek Systems, Inc.*
   
88,303
     
688,763
 
MTS Systems Corp.
   
769
     
39,873
 
Nutanix, Inc.*
   
12,222
     
227,940
 
PAR Technology Corp.*
   
19,388
     
168,094
 
Quantum Corp.*
   
77,363
     
656,812
 
Radisys Corp.*
   
207,470
     
782,162
 
Super Micro Computer, Inc.*
   
3,359
     
82,631
 
Sykes Enterprises, Inc.*
   
18,179
     
605,906
 
TeleTech Holdings, Inc.
   
3,501
     
148,968
 
USA Technologies, Inc.*
   
145,980
     
678,807
 
Varonis Systems, Inc.*
   
12,330
     
448,196
 
VeriFone Systems, Inc.*
   
45,110
     
825,062
 
Vocera Communications, Inc.*
   
38,366
     
1,025,523
 
               
11,996,921
 
Cosmetics/Personal Care — 0.2%
               
elf Beauty, Inc.*
   
18,105
     
443,029
 
Inter Parfums, Inc.
   
2,289
     
79,657
 
               
522,686
 
Distribution/Wholesale — 0.9%
               
Anixter International, Inc.*
   
1,549
     
116,949
 
Fossil Group, Inc.*
   
5,122
     
55,164
 
G-III Apparel Group Ltd.*
   
2,570
     
50,295
 
Pool Corp.
   
2,106
     
250,888
 
ScanSource, Inc.*
   
1,959
     
74,442
 
SiteOne Landscape Supply, Inc.*
   
17,080
     
908,314
 
Titan Machinery, Inc.*
   
53,534
     
902,048
 
               
2,358,100
 
Diversified Financial Services — 2.5%
               
Blackhawk Network Holdings, Inc.*
   
40,225
     
1,743,754
 
Encore Capital Group, Inc.*
   
4,540
     
164,348
 
Enova International, Inc.*
   
41,598
     
553,253
 
Evercore Partners, Inc.
   
1,107
     
75,055
 
Financial Engines, Inc.
   
3,587
     
135,947
 
FNFV Group*
   
129,655
     
1,808,687
 
Greenhill & Co, Inc.
   
6,119
     
123,910
 
Interactive Brokers Group, Inc.
   
3,063
     
106,837
 
Investment Technology Group, Inc.
   
2,378
     
47,394
 
PRA Group, Inc.*
   
3,304
     
114,979
 
Silvercrest Asset Management Group, Inc.
   
56,472
     
691,782
 
WageWorks, Inc.*
   
9,722
     
687,831
 
World Acceptance Corp.*
   
2,155
     
168,349
 
               
6,422,126
 
Electric — 0.2%
               
ALLETE, Inc.
   
4,232
     
310,586
 
Avista Corp.
   
1,395
     
59,762
 
El Paso Electric Co.
   
1,366
     
73,764
 
               
444,112
 
 
The accompanying notes are an integral part of the portfolio of investments.
4

Electrical Components & Equipment — 0.8%
               
Advanced Energy Industries, Inc.*
   
2,466
     
189,709
 
Encore Wire Corp.
   
1,278
     
52,845
 
EnerSys
   
3,171
     
234,844
 
General Cable Corp.
   
4,266
     
70,602
 
Graham Corp.
   
14,664
     
306,918
 
Littelfuse, Inc.
   
3,748
     
606,989
 
SPX Corp.*
   
4,521
     
108,911
 
Universal Display Corp.
   
4,279
     
485,239
 
               
2,056,057
 
Electronics — 2.2%
               
Brady Corp.
   
2,928
     
105,115
 
Coherent, Inc.*
   
1,014
     
251,624
 
CyberOptics Corp.*
   
5,403
     
118,596
 
ESCO Technologies, Inc.
   
9,935
     
572,256
 
FARO Technologies, Inc.*
   
2,255
     
78,361
 
II-VI, Inc., (Canada)*
   
3,812
     
114,360
 
IMAX Corp., (Canada)*
   
13,304
     
333,265
 
Itron, Inc.*
   
4,655
     
314,911
 
Ituran Location and Control Ltd., (Israel)
   
21,201
     
682,672
 
Methode Electronics, Inc.
   
2,476
     
99,411
 
Napco Security Technologies, Inc.*
   
51,080
     
487,814
 
OSI Systems, Inc.*
   
5,966
     
472,448
 
Plexus Corp.*
   
2,641
     
137,279
 
Rogers Corp.*
   
6,163
     
654,572
 
Sanmina Corp.*
   
6,648
     
243,317
 
TTM Technologies, Inc.*
   
8,548
     
138,820
 
ZAGG, Inc.*
   
92,650
     
773,628
 
               
5,578,449
 
Energy-Alternate Sources — 0.4%
               
Green Plains, Inc.
   
3,277
     
69,964
 
REX American Resources Corp.*
   
2,668
     
253,780
 
TPI Composites, Inc.*
   
33,698
     
573,540
 
               
897,284
 
Engineering & Construction — 2.2%
               
Aegion Corp.*
   
25,518
     
505,001
 
Argan, Inc.
   
1,372
     
81,017
 
Comfort Systems USA, Inc.
   
4,006
     
138,007
 
Dycom Industries, Inc.*
   
7,728
     
650,620
 
EMCOR Group, Inc.
   
4,741
     
298,778
 
Exponent, Inc.
   
1,390
     
82,427
 
Granite Construction, Inc.
   
13,033
     
610,726
 
MasTec, Inc.*
   
11,210
     
475,304
 
MYR Group, Inc.*
   
4,168
     
122,372
 
NV5 Global, Inc.*
   
28,950
     
1,062,465
 
Primoris Services Corp.
   
18,296
     
424,467
 
Sterling Construction Co., Inc.*
   
61,140
     
622,405
 
TopBuild Corp.*
   
11,470
     
614,219
 
               
5,687,808
 
Entertainment — 0.8%
               
Eldorado Resorts, Inc.*
   
17,572
     
364,619
 
International Speedway Corp.
   
25,482
     
899,515
 
Pinnacle Entertainment, Inc.*
   
3,069
     
60,122
 
Red Rock Resorts, Inc.
   
19,197
     
453,817
 
Scientific Games Corp.*
   
6,167
     
143,074
 
               
1,921,147
 
Environmental Control — 0.4%
               
Casella Waste Systems, Inc.*
   
22,216
     
311,468
 
Hudson Technologies, Inc.*
   
36,843
     
300,639
 
Tetra Tech, Inc.
   
3,198
     
146,948
 
US Ecology, Inc.
   
6,007
     
300,500
 
               
1,059,555
 
Food — 1.1%
               
B&G Foods, Inc.
   
4,803
     
194,762
 
Calavo Growers, Inc.
   
4,520
     
306,004
 
Cal-Maine Foods, Inc.*
   
1,688
     
62,794
 
Darling Ingredients, Inc.*
   
8,943
     
140,137
 
DineEquity, Inc.
   
3,398
     
155,458
 
Ingles Markets, Inc.
   
28,520
     
1,043,832
 
J&J Snack Foods Corp.
   
681
     
88,598
 
Lifeway Foods, Inc.*
   
31,140
     
305,795
 
 
The accompanying notes are an integral part of the portfolio of investments.
5

 
 
Sanderson Farms, Inc.
   
1,371
     
162,738
 
Snyder's-Lance, Inc.
   
3,587
     
131,822
 
SpartanNash Co.
   
2,270
     
67,646
 
SUPERVALU, Inc.*
   
20,114
     
77,439
 
               
2,737,025
 
Forest Products & Paper — 0.1%
               
Clearwater Paper Corp.*
   
1,300
     
60,255
 
Neenah Paper, Inc.
   
743
     
57,954
 
PH Glatfelter Co.
   
2,957
     
54,202
 
Schweitzer-Mauduit International, Inc.
   
1,143
     
42,611
 
               
215,022
 
Gas — 0.4%
               
New Jersey Resources Corp.
   
2,340
     
98,046
 
Northwest Natural Gas Co.
   
2,390
     
146,388
 
South Jersey Industries, Inc.
   
4,502
     
163,918
 
Southwest Gas Holdings, Inc.
   
1,612
     
128,267
 
Spire, Inc.
   
5,337
     
378,126
 
               
914,745
 
Hand / Machine Tools — 0.3%
               
Franklin Electric Co., Inc.
   
1,615
     
61,693
 
Hardinge, Inc.
   
48,620
     
588,302
 
               
649,995
 
Healthcare-Products — 5.3%
               
Abaxis, Inc.
   
1,761
     
85,232
 
ABIOMED, Inc.*
   
1,897
     
260,705
 
Alpha Pro Tech Ltd.*
   
44,141
     
123,595
 
AxoGen, Inc.*
   
30,361
     
450,861
 
Axon Enterprise, Inc.*
   
5,340
     
128,213
 
Biolase, Inc.*
   
194,035
     
215,379
 
BioTelemetry, Inc.*
   
15,543
     
448,416
 
Cantel Medical Corp.
   
1,814
     
141,165
 
Cardiovascular Systems, Inc.*
   
14,727
     
442,252
 
CRH Medical Corp., (Canada)*
   
110,080
     
665,984
 
CryoLife, Inc.*
   
35,672
     
651,014
 
Digirad Corp.
   
62,771
     
244,807
 
Haemonetics Corp.*
   
3,260
     
132,943
 
ICU Medical, Inc.*
   
578
     
93,231
 
Inogen, Inc.*
   
7,863
     
696,976
 
Integra LifeSciences Holdings Corp.*
   
13,008
     
654,953
 
Intersect ENT, Inc.*
   
7,939
     
200,857
 
Invacare Corp.
   
5,623
     
79,565
 
Invuity, Inc.*
   
54,584
     
398,463
 
iRadimed Corp.*
   
23,307
     
189,952
 
iRhythm Technologies, Inc.*
   
18,289
     
634,263
 
K2M Group Holdings, Inc.*
   
37,208
     
846,482
 
LeMaitre Vascular, Inc.
   
20,841
     
636,901
 
Luminex Corp.
   
1,615
     
32,720
 
Masimo Corp.*
   
3,409
     
296,719
 
Mazor Robotics Ltd., (Israel) ADR*
   
4,962
     
205,476
 
Meridian Bioscience, Inc.
   
2,591
     
35,756
 
Merit Medical Systems, Inc.*
   
19,274
     
684,227
 
MiMedx Group, Inc.*
   
5,571
     
76,211
 
NanoString Technologies, Inc.*
   
7,712
     
141,438
 
NuVasive, Inc.*
   
2,621
     
196,654
 
Orthofix International N.V.*
   
4,441
     
185,056
 
Penumbra, Inc.*
   
5,506
     
456,172
 
Repligen Corp.*
   
15,645
     
613,910
 
Spectranetics Corp., (The)*
   
27,258
     
735,966
 
Tactile Systems Technology, Inc.*
   
25,203
     
613,189
 
West Pharmaceutical Services, Inc.
   
7,912
     
767,622
 
               
13,463,325
 
Healthcare-Services — 1.4%
               
Almost Family, Inc.*
   
8,660
     
497,084
 
Amedisys, Inc.*
   
2,217
     
132,843
 
Chemed Corp.
   
621
     
127,094
 
Clearside Biomedical, Inc.*
   
19,156
     
131,793
 
Community Health Systems, Inc.*
   
9,435
     
83,500
 
Ensign Group, Inc., (The)
   
2,070
     
38,047
 
Kindred Healthcare, Inc.
   
11,793
     
115,571
 
LHC Group, Inc.*
   
2,720
     
163,744
 
Magellan Health, Inc.*
   
2,346
     
161,288
 
Natera, Inc.*
   
22,924
     
234,742
 
 
The accompanying notes are an integral part of the portfolio of investments.
6

Providence Service Corp., (The)*
   
2,212
     
103,389
 
Psychemedics Corp.
   
22,388
     
463,208
 
Tivity Health, Inc.*
   
32,461
     
1,102,051
 
US Physical Therapy, Inc.
   
4,377
     
276,845
 
               
3,631,199
 
Home Builders — 1.4%
               
Century Communities, Inc.*
   
14,664
     
365,134
 
Installed Building Products, Inc.*
   
8,531
     
423,138
 
LGI Homes, Inc.*
   
13,498
     
437,335
 
Meritage Homes Corp.*
   
3,035
     
121,096
 
PICO Holdings, Inc.*
   
49,178
     
804,060
 
TRI Pointe Group, Inc.*
   
36,523
     
451,790
 
UCP, Inc.*
   
32,040
     
352,440
 
William Lyon Homes*
   
19,009
     
430,554
 
Winnebago Industries, Inc.
   
5,231
     
128,160
 
               
3,513,707
 
Home Furnishings — 0.7%
               
American Woodmark Corp.*
   
1,043
     
96,790
 
Ethan Allen Interiors, Inc.
   
1,908
     
51,421
 
Hooker Furniture Corp.
   
8,270
     
354,783
 
iRobot Corp.*
   
968
     
89,753
 
RH*
   
2,622
     
147,120
 
Select Comfort Corp.*
   
30,463
     
877,334
 
Universal Electronics, Inc.*
   
2,113
     
136,500
 
               
1,753,701
 
Household Products / Wares — 0.4%
               
Acme United Corp.
   
15,224
     
436,168
 
SodaStream International Ltd., (Israel)*
   
9,545
     
505,694
 
WD-40 Co.
   
995
     
105,172
 
               
1,047,034
 
Housewares — 0.4%
               
Lifetime Brands, Inc.
   
33,640
     
618,976
 
Toro Co., (The)
   
5,348
     
366,285
 
               
985,261
 
Insurance — 1.7%
               
American Equity Investment Life Holding Co.
   
11,107
     
278,341
 
American National Insurance Co.
   
3,950
     
464,243
 
Employers Holdings, Inc.
   
3,729
     
149,346
 
Health Insurance Innovations, Inc.*
   
9,830
     
218,717
 
Heritage Insurance Holdings, Inc.
   
37,940
     
483,356
 
Horace Mann Educators Corp.
   
2,570
     
98,302
 
Infinity Property & Casualty Corp.
   
1,346
     
128,879
 
NMI Holdings, Inc.*
   
16,214
     
168,626
 
ProAssurance Corp.
   
2,565
     
152,746
 
RLI Corp.
   
1,478
     
82,088
 
Safety Insurance Group, Inc.
   
1,702
     
113,268
 
Selective Insurance Group, Inc.
   
3,866
     
197,553
 
White Mountains Insurance Group Ltd., (Bermuda)
   
2,198
     
1,890,456
 
               
4,425,921
 
Internet — 3.1%
               
8x8, Inc.*
   
17,354
     
236,882
 
Angie's List, Inc.*
   
19,991
     
240,692
 
Blucora, Inc.*
   
3,569
     
73,165
 
Boingo Wireless, Inc.*
   
45,803
     
736,054
 
ePlus, Inc.*
   
6,468
     
509,355
 
FireEye, Inc.*
   
31,823
     
477,027
 
HealthStream, Inc.*
   
2,625
     
73,159
 
magicJack VocalTec Ltd., (Israel)*
   
100,760
     
639,826
 
Match Group, Inc.*
   
19,334
     
376,626
 
Meet Group, Inc., (The)*
   
137,770
     
637,875
 
Mimecast Ltd., (United Kingdom)*
   
29,645
     
795,079
 
NIC, Inc.
   
3,334
     
67,514
 
Okta, Inc.*
   
18,326
     
478,309
 
Q2 Holdings, Inc.*
   
14,426
     
571,270
 
Reis, Inc.
   
17,428
     
329,389
 
RingCentral, Inc.*
   
6,980
     
238,018
 
Stamps.com, Inc.*
   
1,004
     
138,452
 
Trade Desk, Inc., (The)*
   
9,226
     
507,430
 
Wix.com Ltd., (Israel)*
   
6,209
     
457,603
 
Zendesk, Inc.*
   
15,259
     
396,429
 
               
7,980,154
 
 The accompanying notes are an integral part of the portfolio of investments.
7

Investment Companies — 0.5%
               
Acacia Research Corp.*
   
113,500
     
448,325
 
Capital Southwest Corp.
   
31,456
     
497,320
 
PennantPark Floating Rate Capital Ltd.
   
25,957
     
365,734
 
               
1,311,379
 
Iron / Steel — 0.0%
               
AK Steel Holding Corp.*
   
14,144
     
86,278
 
Leisure Time — 1.0%
               
Callaway Golf Co.
   
29,148
     
371,346
 
Fox Factory Holding Corp.*
   
18,865
     
619,715
 
Lindblad Expeditions Holdings, Inc.*
   
51,954
     
494,602
 
Malibu Boats, Inc.*
   
12,974
     
314,620
 
MCBC Holdings, Inc.
   
14,411
     
277,124
 
Planet Fitness, Inc.
   
22,114
     
483,191
 
               
2,560,598
 
Lodging — 0.9%
               
Belmond Ltd., (Bermuda)*
   
10,812
     
133,528
 
Boyd Gaming Corp.
   
23,497
     
597,059
 
Civeo Corp., (Canada)*
   
46,659
     
86,786
 
ILG, Inc.
   
8,186
     
220,531
 
La Quinta Holdings, Inc.*
   
57,600
     
798,336
 
Monarch Casino & Resort, Inc.*
   
10,947
     
330,052
 
               
2,166,292
 
Machinery-Construction & Mining — 0.1%
               
ASV Holdings, Inc.*
   
35,580
     
281,794
 
Machinery-Diversified — 2.0%
               
Albany International Corp.
   
1,126
     
54,386
 
Altra Industrial Motion Corp.
   
5,574
     
240,797
 
Applied Industrial Technologies, Inc.
   
1,045
     
64,529
 
Chart Industries, Inc.*
   
2,562
     
88,005
 
Columbus McKinnon Corp.
   
17,310
     
483,641
 
Hurco Cos., Inc.
   
15,730
     
457,743
 
Kadant, Inc.
   
2,057
     
158,080
 
Manitex International, Inc.*
   
85,150
     
611,377
 
NN, Inc.
   
31,290
     
894,894
 
SPX FLOW, Inc.*
   
10,543
     
393,570
 
Tennant Co.
   
1,504
     
105,280
 
Twin Disc, Inc.*
   
54,967
     
983,909
 
Welbilt, Inc.*
   
23,044
     
445,671
 
               
4,981,882
 
Media — 0.3%
               
EW Scripps Co., (The)*
   
5,671
     
97,428
 
Gannett Co., Inc.
   
8,195
     
64,331
 
Scholastic Corp.
   
1,251
     
53,205
 
TiVo Corp.
   
7,248
     
129,014
 
Tribune Media Co.
   
13,947
     
532,775
 
               
876,753
 
Metal Fabricate/Hardware — 0.5%
               
CIRCOR International, Inc.
   
889
     
57,305
 
Mueller Industries, Inc.
   
4,223
     
119,426
 
Mueller Water Products, Inc.
   
33,035
     
369,331
 
Northwest Pipe Co.*
   
37,210
     
530,615
 
TimkenSteel Corp.*
   
8,182
     
107,184
 
               
1,183,861
 
Mining — 0.8%
               
A-Mark Precious Metals, Inc.
   
22,692
     
368,291
 
Century Aluminum Co.*
   
18,637
     
268,746
 
Kaiser Aluminum Corp.
   
1,039
     
85,572
 
Keane Group, Inc.*
   
24,453
     
376,087
 
Materion Corp.
   
1,920
     
65,664
 
United States Lime & Minerals, Inc.
   
4,143
     
324,894
 
US Silica Holdings, Inc.
   
12,361
     
469,718
 
               
1,958,972
 
Miscellaneous Manufacturing — 1.7%
               
Actuant Corp.
   
1,678
     
43,544
 
Boise Cascade Co.*
   
3,023
     
81,470
 
Core Molding Technologies, Inc.*
   
16,333
     
341,850
 
EnPro Industries, Inc.
   
2,498
     
166,891
 
Fabrinet, (Cayman Islands)*
   
3,054
     
107,592
 
FreightCar America, Inc.
   
20,702
     
346,966
 
Globus Medical, Inc.*
   
7,568
     
232,716
 
Harsco Corp.*
   
14,378
     
214,232
 
Hillenbrand, Inc.
   
2,960
     
105,672
 
 
The accompanying notes are an integral part of the portfolio of investments.
8

John Bean Technologies Corp.
   
7,430
     
641,209
 
Kornit Digital Ltd., (Israel)*
   
37,664
     
630,872
 
LCI Industries
   
1,629
     
144,981
 
Nautilus, Inc.*
   
3,638
     
66,030
 
Novadaq Technologies, Inc., (Canada)*
   
48,344
     
334,057
 
Nuvectra Corp.*
   
20,298
     
195,673
 
Proto Labs, Inc.*
   
1,026
     
65,664
 
Sevcon, Inc.*
   
10,817
     
160,416
 
Sturm Ruger & Co., Inc.
   
1,630
     
103,831
 
Vista Outdoor, Inc.*
   
20,980
     
440,160
 
               
4,423,826
 
Office Furnishings — 0.0%
               
Interface, Inc.
   
3,053
     
62,739
 
Oil & Gas — 2.1%
               
Atwood Oceanics, Inc.*
   
25,664
     
257,667
 
Bill Barrett Corp.*
   
19,349
     
66,948
 
Callon Petroleum Co.*
   
34,845
     
394,445
 
Denbury Resources, Inc.*
   
31,088
     
47,565
 
Earthstone Energy, Inc.*
   
10,741
     
112,244
 
Evolution Petroleum Corp.
   
27,294
     
199,246
 
Gran Tierra Energy, Inc.*
   
86,490
     
201,522
 
Matador Resources Co.*
   
15,745
     
358,829
 
MRC Global, Inc.*
   
23,827
     
430,077
 
Murphy USA, Inc.*
   
21,975
     
1,494,959
 
PBF Energy, Inc.
   
22,670
     
437,984
 
PDC Energy, Inc.*
   
7,337
     
364,355
 
QEP Resources, Inc.*
   
28,770
     
287,700
 
Resolute Energy Corp.*
   
10,322
     
404,622
 
Rosehill Resources, Inc.*
   
13,432
     
116,926
 
SRC Energy, Inc.*
   
13,188
     
90,733
 
Unit Corp.*
   
4,358
     
77,703
 
               
5,343,525
 
Oil & Gas Services — 0.8%
               
Bristow Group, Inc.
   
3,021
     
19,788
 
Flotek Industries, Inc.*
   
5,288
     
52,245
 
Helix Energy Solutions Group, Inc.*
   
17,356
     
86,433
 
Mammoth Energy Services, Inc.*
   
9,719
     
176,594
 
Natural Gas Services Group, Inc.*
   
24,672
     
646,406
 
NCS Multistage Holdings, Inc.*
   
10,180
     
267,123
 
Profire Energy, Inc.*
   
179,580
     
260,391
 
Select Energy Services, Inc.*
   
11,815
     
179,352
 
Solaris Oilfield Infrastructure, Inc.*
   
19,052
     
219,098
 
Tesco Corp., (Canada)*
   
38,043
     
176,900
 
               
2,084,330
 
Packaging & Containers — 0.1%
               
KapStone Paper and Packaging Corp.
   
4,714
     
99,607
 
Multi-Color Corp.
   
610
     
52,399
 
               
152,006
 
Pharmaceuticals — 2.6%
               
Aclaris Therapeutics, Inc.*
   
8,371
     
199,062
 
Adaptimmune Therapeutics PLC, (United Kindom) ADR*
   
38,748
     
204,589
 
Aerie Pharmaceuticals, Inc.*
   
3,328
     
184,538
 
Akorn, Inc.*
   
8,559
     
284,758
 
Anika Therapeutics, Inc.*
   
1,077
     
49,833
 
Chimerix, Inc.*
   
16,541
     
74,104
 
Collegium Pharmaceutical, Inc.*
   
48,209
     
396,278
 
Concert Pharmaceuticals, Inc.*
   
13,651
     
171,457
 
Diplomat Pharmacy, Inc.*
   
4,301
     
73,719
 
Eagle Pharmaceuticals, Inc.*
   
5,611
     
409,322
 
Emergent BioSolutions, Inc.*
   
3,096
     
98,855
 
Enanta Pharmaceuticals, Inc.*
   
4,093
     
123,117
 
Foamix Pharmaceuticals Ltd., (Israel)*
   
28,035
     
123,634
 
Global Blood Therapeutics, Inc.*
   
6,332
     
170,964
 
Heska Corp.*
   
3,663
     
361,392
 
Impax Laboratories, Inc.*
   
6,603
     
100,696
 
Imprimis Pharmaceuticals, Inc.*
   
58,603
     
182,841
 
Innoviva, Inc.*
   
9,226
     
112,742
 
Kindred Biosciences, Inc.*
   
29,218
     
198,682
 
La Jolla Pharmaceutical Co.*
   
6,617
     
189,246
 
MyoKardia, Inc.*
   
14,766
     
190,481
 
Natural Grocers by Vitamin Cottage, Inc.*
   
82,684
     
819,398
 
Nature's Sunshine Products, Inc.*
   
19,746
     
249,787
 
 
The accompanying notes are an integral part of the portfolio of investments.
9

Nektar Therapeutics*
   
11,411
     
226,851
 
Neogen Corp.*
   
1,733
     
109,682
 
Patheon N.V., (Netherlands)*
   
13,880
     
481,775
 
Phibro Animal Health Corp.
   
2,922
     
103,001
 
Prestige Brands Holdings, Inc.*
   
4,121
     
207,616
 
Revance Therapeutics, Inc.*
   
14,143
     
314,682
 
Teligent, Inc.*
   
20,540
     
170,071
 
               
6,583,173
 
Real Estate — 0.2%
               
Farmland Partners, Inc.
   
27,757
     
270,076
 
HFF, Inc.
   
2,032
     
63,378
 
Marcus & Millichap, Inc.*
   
9,954
     
240,688
 
               
574,142
 
REITS — 1.4%
               
Agree Realty Corp.
   
1,641
     
74,715
 
Altisource Residential Corp.
   
19,226
     
264,165
 
CareTrust REIT, Inc.
   
3,664
     
66,868
 
CBL & Associates Properties, Inc.
   
6,229
     
47,901
 
CoreSite Realty Corp.
   
1,355
     
142,654
 
DiamondRock Hospitality Co.
   
8,155
     
90,439
 
EastGroup Properties, Inc.
   
2,590
     
210,930
 
GEO Group, Inc., (The)
   
10,642
     
318,621
 
Getty Realty Corp.
   
6,147
     
154,597
 
Government Properties Income Trust
   
6,612
     
142,819
 
Healthcare Realty Trust, Inc.
   
7,137
     
237,377
 
Hersha Hospitality Trust
   
3,233
     
60,166
 
Kite Realty Group Trust
   
4,540
     
81,584
 
Lexington Realty Trust
   
12,112
     
116,396
 
LTC Properties, Inc.
   
3,774
     
181,907
 
Medical Properties Trust, Inc.
   
5,867
     
75,978
 
Monmouth Real Estate Investment Corp.
   
15,900
     
232,140
 
Parkway, Inc.
   
3,279
     
65,383
 
PS Business Parks, Inc.
   
1,242
     
156,840
 
Retail Opportunity Investments Corp.
   
3,666
     
72,440
 
Sabra Health Care REIT, Inc.
   
8,635
     
202,318
 
Summit Hotel Properties, Inc.
   
6,963
     
124,638
 
Universal Health Realty Income Trust
   
3,063
     
219,740
 
Urstadt Biddle Properties, Inc.
   
5,810
     
108,763
 
               
3,449,379
 
Retail — 5.8%
               
Abercrombie & Fitch Co.
   
5,297
     
69,867
 
Asbury Automotive Group, Inc.*
   
12,063
     
674,925
 
Ascena Retail Group, Inc.*
   
30,266
     
53,571
 
Barnes & Noble Education, Inc.*
   
5,834
     
55,365
 
Barnes & Noble, Inc.
   
11,047
     
74,015
 
Big 5 Sporting Goods Corp.
   
43,516
     
604,872
 
Biglari Holdings, Inc.*
   
2,123
     
807,186
 
BJ's Restaurants, Inc.*
   
2,592
     
116,122
 
BMC Stock Holdings, Inc.*
   
20,285
     
395,558
 
Bob Evans Farms, Inc.
   
1,288
     
90,688
 
Buckle, Inc., (The)
   
4,223
     
71,791
 
Build-A-Bear Workshop, Inc.*
   
54,870
     
589,853
 
Casey's General Stores, Inc.
   
1,888
     
219,744
 
Cato Corp., (The)
   
7,585
     
152,914
 
Children's Place, Inc., (The)
   
1,027
     
111,121
 
Chuy's Holdings, Inc.*
   
10,304
     
277,178
 
Core-Mark Holding Co, Inc.
   
2,058
     
70,075
 
Cracker Barrel Old Country Store, Inc.
   
790
     
131,780
 
Del Taco Restaurants, Inc.*
   
42,306
     
542,786
 
Express, Inc.*
   
7,411
     
57,509
 
EZCORP, Inc.*
   
6,969
     
59,236
 
Finish Line, Inc., (The)
   
5,963
     
84,138
 
FirstCash, Inc.
   
2,930
     
157,194
 
Five Below, Inc.*
   
8,120
     
416,556
 
Francesca's Holdings Corp.*
   
4,785
     
60,578
 
Freshpet, Inc.*
   
19,989
     
303,833
 
Group 1 Automotive, Inc.
   
1,277
     
76,812
 
Guess, Inc.
   
6,372
     
76,719
 
Habit Restaurants, Inc., (The)*
   
47,233
     
876,172
 
Ingevity Corp.*
   
2,186
     
129,127
 
J Alexander's Holdings, Inc.*
   
44,816
     
508,662
 
Jack in the Box, Inc.
   
4,142
     
441,454
 
 
The accompanying notes are an integral part of the portfolio of investments.
10

Liberty Expedia Holdings, Inc.*
   
26,940
     
1,405,460
 
Lumber Liquidators Holdings, Inc.*
   
12,500
     
362,250
 
MarineMax, Inc.*
   
15,948
     
287,861
 
New Age Beverages Corp.*
   
56,383
     
323,638
 
Ollie's Bargain Outlet Holdings, Inc.*
   
11,955
     
491,948
 
Papa John's International, Inc.
   
1,043
     
84,034
 
PC Connection, Inc.
   
18,470
     
481,698
 
PCM, Inc.*
   
31,070
     
612,079
 
PetMed Express, Inc.
   
9,774
     
342,970
 
Red Robin Gourmet Burgers, Inc.*
   
3,959
     
285,345
 
Regis Corp.*
   
8,320
     
78,624
 
Sportsman's Warehouse Holdings, Inc.*
   
19,600
     
114,268
 
Tailored Brands, Inc.
   
4,128
     
43,839
 
Texas Roadhouse, Inc.
   
2,804
     
137,172
 
Tile Shop Holdings, Inc.
   
16,454
     
323,321
 
Vitamin Shoppe, Inc.*
   
2,328
     
27,005
 
Wingstop, Inc.
   
13,855
     
395,006
 
World Fuel Services Corp.
   
16,400
     
579,576
 
Zumiez, Inc.*
   
5,514
     
78,575
 
               
14,812,070
 
Savings & Loans — 0.8%
               
Astoria Financial Corp.
   
5,686
     
105,305
 
BofI Holding, Inc.*
   
3,461
     
76,834
 
Brookline Bancorp, Inc.
   
9,875
     
136,275
 
Dime Community Bancshares, Inc.
   
9,831
     
186,789
 
FS Bancorp, Inc.
   
8,700
     
384,975
 
Meta Financial Group, Inc.
   
7,800
     
667,680
 
Sterling Bancorp
   
23,869
     
511,990
 
               
2,069,848
 
Semiconductors — 5.0%
               
Amtech Systems, Inc.*
   
49,540
     
399,788
 
AXT, Inc.*
   
141,409
     
940,370
 
Cabot Microelectronics Corp.
   
1,581
     
119,350
 
Cavium, Inc.*
   
7,621
     
556,104
 
Cirrus Logic, Inc.*
   
3,525
     
232,474
 
Cohu, Inc.
   
37,210
     
682,059
 
Entegris, Inc.*
   
19,160
     
473,252
 
Ichor Holdings Ltd.*
   
45,532
     
1,069,091
 
Impinj, Inc.*
   
24,907
     
1,087,191
 
Kulicke & Soffa Industries, Inc.*
   
6,419
     
142,181
 
Magnachip Semiconductor Corp.*
   
23,838
     
203,815
 
Microsemi Corp.*
   
4,990
     
245,059
 
MKS Instruments, Inc.
   
7,086
     
579,280
 
Monolithic Power Systems, Inc.
   
6,902
     
677,776
 
NVE Corp.
   
3,554
     
280,553
 
Power Integrations, Inc.
   
9,622
     
644,193
 
Rambus, Inc.*
   
3,550
     
42,032
 
Rudolph Technologies, Inc.*
   
21,360
     
510,504
 
Semtech Corp.*
   
18,482
     
706,012
 
Silicon Laboratories, Inc.*
   
6,092
     
455,682
 
SMART Global Holdings, Inc., (Cayman Islands)*
   
28,984
     
379,690
 
Ultra Clean Holdings, Inc.*
   
42,680
     
974,811
 
Veeco Instruments, Inc.*
   
10,043
     
315,853
 
Xcerra Corp.*
   
101,110
     
981,778
 
Xperi Corp.
   
1,105
     
33,868
 
               
12,732,766
 
Software — 7.0%
               
Alteryx, Inc.*
   
20,183
     
380,651
 
Amber Road, Inc.*
   
70,756
     
511,566
 
American Software, Inc.
   
29,780
     
319,837
 
Apptio, Inc.*
   
34,618
     
571,889
 
Asure Software, Inc.*
   
51,300
     
795,150
 
Blackbaud, Inc.
   
2,160
     
178,697
 
Bottomline Technologies de, Inc.*
   
2,442
     
61,074
 
Box, Inc.*
   
25,816
     
482,759
 
Callidus Software, Inc.*
   
21,233
     
507,469
 
Castlight Health, Inc.*
   
80,483
     
281,690
 
Computer Programs & Systems, Inc.
   
31,316
     
1,045,954
 
Control4 Corp.*
   
21,111
     
419,053
 
Cotiviti Holdings, Inc.*
   
11,838
     
451,383
 
Coupa Software, Inc.*
   
14,746
     
504,608
 
CSG Systems International, Inc.
   
23,078
     
920,581
 
 
The accompanying notes are an integral part of the portfolio of investments.
11

Ebix, Inc.
   
2,006
     
111,032
 
Everbridge, Inc.*
   
30,872
     
798,350
 
Five9, Inc.*
   
34,714
     
780,024
 
HubSpot, Inc.*
   
6,616
     
477,014
 
InnerWorkings, Inc.*
   
57,700
     
625,468
 
Instructure, Inc.*
   
18,558
     
495,499
 
j2 Global, Inc.
   
1,848
     
156,378
 
LivePerson, Inc.*
   
9,192
     
87,784
 
Manhattan Associates, Inc.*
   
3,298
     
154,478
 
ManTech International Corp.
   
2,301
     
88,128
 
Materialise NV, (Belgium) ADR*
   
2,515
     
32,167
 
Medidata Solutions, Inc.*
   
9,452
     
672,793
 
MicroStrategy, Inc.*
   
3,656
     
666,708
 
Omnicell, Inc.*
   
2,230
     
88,977
 
Progress Software Corp.
   
5,306
     
154,935
 
PROS Holdings, Inc.*
   
32,462
     
969,640
 
QAD, Inc.
   
21,362
     
695,333
 
Quality Systems, Inc.*
   
3,902
     
59,935
 
SharpSpring, Inc.*
   
41,925
     
182,374
 
Simulations Plus, Inc.
   
55,587
     
678,161
 
SYNNEX Corp.
   
1,652
     
183,801
 
Take-Two Interactive Software, Inc.*
   
12,291
     
943,211
 
Talend S.A., (France) ADR*
   
14,498
     
475,099
 
Telenav, Inc.*
   
27,389
     
223,220
 
Virtusa Corp.*
   
21,293
     
617,923
 
               
17,850,793
 
Telecommunications — 2.9%
               
ADTRAN, Inc.
   
5,633
     
108,435
 
ATN International, Inc.
   
10,459
     
684,437
 
CalAmp Corp.*
   
4,959
     
93,725
 
Cincinnati Bell, Inc.*
   
3,324
     
56,508
 
Comtech Telecommunications Corp.
   
46,030
     
664,213
 
Consolidated Communications Holdings, Inc. 
     3,015        60,059  
Extreme Networks, Inc.*
   
33,288
     
320,563
 
Gigamon, Inc.*
   
11,406
     
435,139
 
GTT Communications, Inc.*
   
24,599
     
793,318
 
Iridium Communications, Inc.*
   
9,628
     
95,317
 
LogMeIn, Inc.
   
1,382
     
153,402
 
Lumos Networks Corp.*
   
3,909
     
70,049
 
NETGEAR, Inc.*
   
2,616
     
109,741
 
Oclaro, Inc.*
   
37,036
     
328,880
 
ORBCOMM, Inc.*
   
108,975
     
1,067,955
 
Quantenna Communications, Inc.*
   
20,124
     
384,771
 
RigNet, Inc.*
   
8,937
     
149,695
 
Sierra Wireless, Inc., (Canada)*
   
16,476
     
445,676
 
Telephone & Data Systems, Inc.
   
21,703
     
619,187
 
Viavi Solutions, Inc.*
   
23,640
     
265,477
 
Vonage Holdings Corp.*
   
65,379
     
451,769
 
               
7,358,316
 
Textiles — 0.7%
               
UniFirst Corp.
   
11,646
     
1,650,238
 
Transportation — 2.3%
               
Air Transport Services Group, Inc.*
   
79,700
     
1,900,845
 
ArcBest Corp.
   
4,606
     
86,593
 
Covenant Transportation Group, Inc.*
   
15,255
     
280,997
 
Forward Air Corp.
   
16,002
     
834,184
 
Heartland Express, Inc.
   
8,734
     
169,876
 
Knight Transportation, Inc.
   
3,275
     
109,221
 
Marten Transport Ltd.
   
22,172
     
548,757
 
Matson, Inc.
   
2,056
     
60,159
 
Modine Manufacturing Co.*
   
31,724
     
482,205
 
PAM Transportation Services, Inc.*
   
27,020
     
476,633
 
Saia, Inc.*
   
4,008
     
185,170
 
Supreme Industries, Inc.
   
19,991
     
354,241
 
Swift Transportation Co.*
   
17,253
     
413,209
 
               5,902,090  
 
The accompanying notes are an integral part of the portfolio of investments.
12

Trucking & Leasing — 0.1%
               
Greenbrier Cos, Inc., (The)
   
3,222
     
142,573
 
Water — 0.1%
               
American States Water Co.
   
1,758
     
80,499
 
California Water Service Group
   
1,969
     
68,226
 
               
148,725
 
TOTAL COMMON STOCKS
               
(Cost $186,628,162)
           
234,124,540
 
CORPORATE BONDS - 0.0%
               
Metal Fabricate/Hardware — 0.0%
               
Mueller Industries, Inc.
               
6.00%, 03/01/2027
   
21,000
     
21,473
 
TOTAL CORPORATE BONDS
               
(Cost $21,000)
           
21,473
 
SHORT-TERM INVESTMENTS - 8.1%
               
STIT-Treasury Portfolio, 0.76%
   
20,426,251
     
20,426,251
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $20,426,251)
           
20,426,251
 
TOTAL INVESTMENTS - 100.3%
               
(Cost $207,075,413)**
           
254,572,264
 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)%
           
(879,901
)
NET ASSETS - 100.0%
         
$
253,692,363
 
 
   
ADR
 
American Depositary Receipt
               
PLC
 
Public Limited Company
               
REIT
 
Real Estate Investment Trust
               
                     
*
 
Non-income producing security.
               
**
 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
       
Cost of investments
 
$
207,075,413
         
Gross unrealized appreciation
 
$
54,214,642
         
Gross unrealized (depreciation)
   
(6,717,792
)
       
Net unrealized appreciation (depreciation)
 
$
47,496,851
         
                 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
fiscal year.  For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
         
               
The accompanying notes are an integral part of the portfolio of investments.
 
 

13

 
ALTAIR SMALLER COMPANIES FUND
                 
Notes to Portfolio of Investments
May 31, 2017
(Unaudited)
 
Portfolio Valuation – The Altair Smaller Companies Fund (the “Fund”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
 
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:    
         
•  Level 1 — quoted prices in active markets for identical securities;    
     
                 
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
   
                 
• Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).  
   
                 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
   
                 
The following is a summary of the inputs used as of May 31, 2017, in valuing the Fund’s investments carried at fair value:  
   

     
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
 
Common Stocks
 
$
234,124,540
   
$
234,007,614
   
$
116,926
   
$
-
 
 
Corporate Bonds
   
21,473
     
-
     
21,473
     
-
 
 
Short-Term Investments
   
20,426,251
     
20,426,251
     
-
     
-
 
 
Total Investments*
 
$
254,572,264
   
$
254,433,865
   
$
138,399
   
$
-
 
                                   
 
* Please refer to Portfolio of Investments for further details.
                               
 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting’s on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in andout of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
 
For the period ended May 31, 2017, there were no transfers between Levels 1, 2 and 3 for the Funds.
 
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
 
14

 
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 2017 (UNAUDITED)
 
   
Number
       
   
of Shares
   
Value
 
COMMON STOCKS—98.1%
           
COMMERCIAL SERVICES—5.3%
           
Bankrate, Inc.*
   
16,463
   
$
172,038
 
Baozun, Inc., SP ADR*
   
44,988
     
924,503
 
Brink's Co., (The)
   
17,079
     
1,077,685
 
Civeo Corp.*
   
83,520
     
155,347
 
Grand Canyon Education, Inc.*
   
12,717
     
997,013
 
Realogy Holdings Corp.
   
29,894
     
910,571
 
RPX Corp.*
   
15,641
     
207,087
 
Travelport Worldwide Ltd.
   
69,729
     
941,342
 
             
5,385,586
 
COMMUNICATIONS—1.0%
               
ShoreTel, Inc.*
   
47,492
     
275,454
 
TIM Participacoes SA, ADR
   
45,936
     
699,605
 
             
975,059
 
CONSUMER DURABLES—2.4%
               
Beazer Homes USA, Inc.*
   
3,453
     
42,127
 
Scientific Games Corp., Class A*
   
47,065
     
1,091,908
 
Taylor Morrison Home Corp., Class A*
   
55,781
     
1,296,908
 
             
2,430,943
 
CONSUMER NON-DURABLES—0.9%
               
Central Garden & Pet Co., Class A*
   
4,584
     
132,523
 
Coca-Cola Bottling Co. Consolidated
   
536
     
122,069
 
Leucadia National Corp.
   
28,600
     
697,554
 
             
952,146
 
CONSUMER SERVICES—6.6%
               
Caesars Entertainment Corp.*
   
81,449
     
891,867
 
Capella Education Co.
   
3,395
     
293,837
 
Career Education Corp.*
   
1,981
     
18,701
 
ClubCorp Holdings, Inc.
   
17,994
     
239,320
 
Everi Holdings, Inc.*
   
8,593
     
57,487
 
Houghton Mifflin Harcourt Co.*
   
17,171
     
212,062
 
International Game Technology PLC
   
39,611
     
703,095
 
K12, Inc.*
   
50,760
     
955,811
 
Liberty TripAdvisor Holdings, Inc., Class A*
   
49,711
     
589,075
 
Penn National Gaming, Inc.*
   
48,723
     
941,816
 
Red Rock Resorts, Inc., Class A
   
41,029
     
969,926
 
Tarena International, Inc., ADR*
   
52,026
     
891,205
 
             
6,764,202
 
DISTRIBUTION SERVICES—1.7%
               
Univar, Inc.*
   
27,827
     
846,497
 
Versum Materials, Inc.
   
29,218
     
906,927
 
             
1,753,424
 
 
               
The accompanying notes are an integral part of the portfolio of investments.
1

 
 
                 
ELECTRONIC TECHNOLOGY—10.6%
               
Advanced Energy Industries, Inc.*
   
13,301
     
1,023,246
 
Brooks Automation, Inc.
   
55,698
     
1,534,480
 
Cirrus Logic, Inc.*
   
15,048
     
992,416
 
CyberOptics Corp.*
   
1,970
     
43,242
 
EMCORE Corp.
   
3,070
     
30,853
 
Entegris, Inc.*
   
62,086
     
1,533,524
 
Kemet Corp.*
   
9,653
     
133,211
 
Keysight Technologies, Inc.*
   
20,620
     
796,757
 
Kulicke & Soffa Industries, Inc.*
   
56,802
     
1,258,164
 
Nanometrics, Inc.*
   
40,189
     
1,117,254
 
Novanta, Inc.*
   
5,899
     
200,566
 
Rudolph Technologies, Inc.*
   
7,628
     
182,309
 
TTM Technologies, Inc.*
   
68,429
     
1,111,287
 
Ultra Clean Holdings, Inc.*
   
35,677
     
814,863
 
             
10,772,172
 
FINANCE—23.7%
               
Assured Guaranty Ltd.
   
21,700
     
847,602
 
Bank of NT Butterfield & Son Ltd., (The)
   
26,576
     
876,476
 
Central Pacific Financial Corp.
   
25,554
     
773,008
 
CNO Financial Group, Inc.
   
46,170
     
946,023
 
East West Bancorp, Inc.
   
26,061
     
1,426,319
 
Enova International, Inc.*
   
71,470
     
950,551
 
Enterprise Financial Services Corp.
   
27,495
     
1,102,550
 
ePlus, Inc.*
   
18,536
     
1,459,710
 
Essent Group Ltd.*
   
28,279
     
1,025,679
 
EZCORP, Inc., Class A*
   
15,000
     
127,500
 
First BanCorp Puerto Rico*
   
268,089
     
1,391,382
 
Green Dot Corp., Class A*
   
38,266
     
1,405,893
 
Health Insurance Innovations, Inc., Class A*
   
18,843
     
419,257
 
Heartland Financial USA, Inc.
   
3,033
     
136,030
 
Hertz Global Holdings, Inc.*
   
48,970
     
499,984
 
HFF, Inc., Class A
   
33,286
     
1,038,190
 
LPL Financial Holdings, Inc.
   
26,444
     
1,029,465
 
McGrath RentCorp
   
19,722
     
654,179
 
National Bank Holdings Corp., Class A
   
16,243
     
495,736
 
Nelnet, Inc., Class A
   
17,911
     
704,081
 
Ocwen Financial Corp.*
   
50,448
     
125,111
 
OFG Bancorp
   
114,361
     
1,069,275
 
PennyMac Financial Services, Inc., Class A*
   
11,533
     
185,681
 
PHH Corp.*
   
18,667
     
251,071
 
Piper Jaffray Companies
   
15,558
     
912,477
 
Popular, Inc.
   
33,508
     
1,246,498
 
Radian Group, Inc.
   
46,933
     
753,744
 
Reinsurance Group of America, Inc.
   
5,910
     
735,854
 
SEI Investments Co.
   
7,389
     
370,115
 
United Community Banks, Inc.
   
17,045
     
439,250
 
Voya Financial, Inc.
   
21,027
     
718,703
 
Walker & Dunlop, Inc.*
   
738
     
34,472
 
             
24,151,866
 
                 
The accompanying notes are an integral part of the portfolio of investments.
2

                 
HEALTH SERVICES—2.5%
               
Advisory Board Co/The*
   
18,240
     
943,008
 
LHC Group, Inc.*
   
10,908
     
656,662
 
WellCare Health Plans, Inc.*
   
5,900
     
1,013,620
 
             
2,613,290
 
HEALTH TECHNOLOGY—12.7%
               
Accuray, Inc.*
   
66,837
     
274,032
 
Analogic Corp.
   
8,656
     
622,366
 
AngioDynamics, Inc.*
   
62,970
     
949,588
 
Array BioPharma, Inc.*
   
89,382
     
677,515
 
Cardiovascular Systems, Inc.*
   
33,271
     
999,128
 
Chimerix, Inc.*
   
10,748
     
48,151
 
Clovis Oncology, Inc.*
   
17,960
     
927,814
 
Cytokinetics, Inc.*
   
18,417
     
249,550
 
Exelixis, Inc.*
   
69,896
     
1,307,754
 
Genomic Health, Inc.*
   
35,937
     
1,141,359
 
Glaukos Corp.*
   
23,343
     
950,294
 
Lantheus Holdings, Inc.*
   
19,748
     
327,817
 
Masimo Corp.*
   
11,000
     
957,440
 
Ophthotech Corp.*
   
56,522
     
128,305
 
OraSure Technologies, Inc.*
   
61,336
     
924,333
 
PerkinElmer, Inc.
   
11,325
     
714,154
 
Portola Pharmaceuticals, Inc.*
   
24,409
     
899,472
 
PTC Therapeutics, Inc.*
   
5,477
     
68,627
 
Supernus Pharmaceuticals, Inc.*
   
19,448
     
731,245
 
Syneron Medical Ltd.*
   
148
     
1,613
 
Versartis, Inc.*
   
1,409
     
21,628
 
             
12,922,185
 
INDUSTRIAL SERVICES—0.1%
               
Casella Waste Systems, Inc., Class A*
   
3,203
     
44,906
 
Goldfield Corp., (The)*
   
1,612
     
7,093
 
             
51,999
 
NON-ENERGY MINERALS—0.9%
               
Hudbay Minerals, Inc.
   
4,982
     
25,408
 
Louisiana-Pacific Corp.*
   
39,525
     
880,617
 
             
906,025
 
PROCESS INDUSTRIES—5.2%
               
Braskem SA, SP ADR
   
49,178
     
1,013,067
 
Chemours Co., (The)
   
31,450
     
1,257,685
 
Koppers Holdings, Inc.*
   
25,540
     
920,717
 
Pacific Ethanol, Inc.*
   
93,164
     
549,668
 
Trinseo SA
   
24,986
     
1,610,348
 
             
5,351,485
 
PRODUCER MANUFACTURING—6.7%
               
Colfax Corp.*
   
18,983
     
769,950
 
Continental Building Products, Inc.*
   
40,794
     
995,374
 
EnerSys
   
12,204
     
903,828
 
Harsco Corp.*
   
2,432
     
36,237
 
Kennametal, Inc.
   
24,124
     
928,050
 
KMG Chemicals, Inc.
   
480
     
26,846
 
                 
                 
                 
The accompanying notes are an integral part of the portfolio of investments.
3

 
 
Milacron Holdings Corp.*
   
51,136
     
889,255
 
Ply Gem Holdings, Inc.*
   
259
     
4,235
 
TopBuild Corp.*
   
17,874
     
957,153
 
Tower International, Inc.
   
36,660
     
850,512
 
TriMas Corp.*
   
21,088
     
459,718
 
             
6,821,158
 
RETAIL TRADE—4.1%
               
Barnes & Noble, Inc.
   
20,325
     
136,177
 
Cia Brasileira de Distribuicao, SP PRF ADR
   
43,454
     
917,314
 
Conn's, Inc.*
   
58,579
     
1,001,701
 
GMS, Inc.*
   
24,732
     
807,747
 
PCM, Inc.*
   
33,561
     
661,152
 
Vipshop Holdings Ltd., ADR*
   
57,291
     
708,690
 
             
4,232,781
 
TECHNOLOGY SERVICES—10.8%
               
Apptio, Inc., Class A*
   
22,708
     
375,136
 
Autohome, Inc., ADR*
   
7,488
     
317,342
 
Barracuda Networks, Inc.*
   
3,357
     
73,585
 
Bottomline Technologies de, Inc.*
   
39,023
     
975,965
 
Carbonite, Inc.*
   
27,126
     
504,544
 
Changyou.com Ltd, ADR*
   
1,884
     
73,401
 
ChannelAdvisor Corp.*
   
18,015
     
205,371
 
Endurance International Group Holdings, Inc.*
   
2,218
     
16,746
 
GoDaddy, Inc., Class A*
   
21,927
     
902,077
 
HubSpot, Inc.*
   
12,952
     
933,839
 
Instructure, Inc.*
   
7,267
     
194,029
 
Mimecast Ltd.*
   
10,160
     
272,491
 
Momo, Inc., SP ADR*
   
17,745
     
675,020
 
Progress Software Corp.
   
36,355
     
1,061,566
 
RealPage, Inc.*
   
1,840
     
63,664
 
Rubicon Project, Inc., (The)*
   
51,780
     
257,864
 
Sohu.com, Inc.*
   
1,127
     
50,591
 
TriNet Group, Inc.*
   
23,455
     
725,463
 
VeriFone Systems, Inc.*
   
50,609
     
925,639
 
Wix.com Ltd.*
   
12,815
     
944,466
 
Yirendai Ltd., ADR*
   
25,280
     
585,990
 
YY, Inc., ADR*
   
15,057
     
878,425
 
             
11,013,214
 
TRANSPORTATION—0.5%
               
Gol Linhas Aereas Inteligentes SA, ADR*
   
40,397
     
486,784
 
                 
UTILITIES—2.4%
               
CPFL Energia SA, ADR
   
37,991
     
615,074
 
NRG Energy, Inc.
   
53,550
     
860,013
 
Pampa Energia SA, SP ADR*
   
15,334
     
958,682
 
             
2,433,769
 
TOTAL COMMON STOCKS
               
(Cost $94,160,635)
           
100,018,088
 
                 
                 
The accompanying notes are an integral part of the portfolio of investments.
4

SHORT-TERM INVESTMENTS—1.7%
               
Fidelity Investments Money Market Funds - Government Portfolio, 0.65%
           
1,789,210
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $1,789,210)
           
1,789,210
 
TOTAL INVESTMENTS—99.8%
               
(Cost $95,949,845)**
           
101,807,298
 
OTHER ASSETS IN EXCESS OF LIABILITIES—0.2%
           
182,840
 
NET ASSETS—100.0%
         
$
101,990,138
 
                 
* Non-income producing security.
               
**The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
               
                 
Cost of investments
         
$
95,949,845
 
Gross unrealized appreciation
         
$
10,852,173
 
Gross unrealized (depreciation)
           
(4,994,720
)
Net unrealized appreciation (depreciation)
         
$
5,857,453
 
                 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year.
 
For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
 
                 
ADR - American Depositary Receipt.
               
PLC - Public Limited Company.
               
PRF - Preferred
               
SP ADR - Sponsored American Depositary Receipt.
               
                 
The accompanying notes are an integral part of the portfolio of investments.

5

BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO PORTFOLIO OF INVESTMENTS
May 31, 2017 (UNAUDITED)
 
PORTFOLIO VALUATION — The Bogle Investment Management Small Cap Growth Fund’s (the “Fund”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices.  If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by RBB’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. 
                 
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
 
 
• Level 1 —
quoted prices in active markets for identical securities;
             
• Level 2 —
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
 
• Level 3 —
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
 
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
                       
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund’s investments carried at fair value:
       
 
               
Level 2
   
Level 3
 
   
Total
   
Level 1
   
Other Significant
   
Significant
 
   
Value at
   
Quoted
   
Observable
   
Unobservable
 
   
May 31, 2017
   
Price
   
Inputs
   
Inputs
 
Common Stocks
 
$
100,018,088
   
$
100,018,088
   
$
-
   
$
-
 
Short-Term Investments
   
1,789,210
     
1,789,210
     
-
     
-
 
Total Investments*
 
$
101,807,298
   
$
101,807,298
   
$
-
   
$
-
 
                                 
* See Portfolio of Investments for detail on portfolio holdings.
                 
 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                                 
For the period ended May 31, 2017, there were no transfers between Levels 1, 2 and 3 for the Fund that require disclosure.
 
                                 
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
 
                         

6


BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
               
BOSTON PARTNERS SMALL CAP VALUE FUND II
 
Portfolio of Investments
 
               
      
Number of
       
      
Shares
   
Value
 
COMMON STOCKS—98.2%
           
Basic Industries—4.9%
           
AgroFresh Solutions, Inc.*(a)
   
234,542
   
$
1,648,830
 
Ferro Corp.*
   
91,076
     
1,526,434
 
Graphic Packaging Holding Co.
   
415,812
     
5,617,620
 
Innophos Holdings, Inc.
   
75,507
     
3,193,191
 
JELD-WEN Holding, Inc.*(a)
   
18,196
     
568,443
 
Orchids Paper Products Co.(a)
   
101,546
     
1,451,092
 
PolyOne Corp.(a)
   
36,966
     
1,380,311
 
Schweitzer-Mauduit International, Inc.
   
83,913
     
3,128,277
 
SunCoke Energy, Inc.*
   
362,262
     
3,166,170
 
Valvoline, Inc.(a)
   
156,874
     
3,509,271
 
               
25,189,639
 
Capital Goods—12.3%
               
Aegion Corp.*(a)
   
119,864
     
2,372,109
 
Ampco-Pittsburgh Corp.
   
35,249
     
553,409
 
BMC Stock Holdings, Inc.*
   
202,644
     
3,951,558
 
Cabot Corp.
   
27,873
     
1,455,807
 
CECO Environmental Corp.(a)
   
170,881
     
1,606,281
 
Continental Building Products, Inc.*
   
75,864
     
1,851,082
 
Curtiss-Wright Corp.(a)
   
26,628
     
2,397,319
 
Ferroglobe PLC(a)
   
312,075
     
3,289,270
 
Ferroglobe Representation & Warranty Insurance*‡
   
276,005
     
0
 
Foundation Building Materials, Inc.*
   
111,836
     
1,509,786
 
Gardner Denver Holdings, Inc.*(a)
   
119,395
     
2,737,727
 
Granite Construction, Inc.(a)
   
67,977
     
3,185,402
 
Hillenbrand, Inc.
   
44,548
     
1,590,364
 
LCI Industries(a)
   
94,233
     
8,386,737
 
Minerals Technologies, Inc.
   
62,189
     
4,474,498
 
Olin Corp.(a)
   
80,588
     
2,364,452
 
Orion Group Holdings, Inc.*
   
257,645
     
1,837,009
 
Tutor Perini Corp.*(a)
   
51,448
     
1,335,076
 
WESCO International, Inc.*
   
143,909
     
8,800,035
 
World Fuel Services Corp.
   
279,655
     
9,883,008
 
               
63,580,929
 
Communications—0.5%
               
AMC Networks, Inc.*
   
48,213
     
2,554,325
 
Consumer Durables—2.0%
               
La-Z-Boy, Inc.(a)
   
96,404
     
2,554,706
 
Strattec Security Corp.
   
18,132
     
644,593
 
Tempur Sealy International, Inc.*(a)
   
27,891
     
1,295,258
 
Tower International, Inc.
   
130,696
     
3,032,147
 
Winnebago Industries, Inc.(a)
   
111,928
     
2,742,236
 
               
10,268,940
 
 
The accompanying notes are an integral part of the portfolio of investments.
1

Consumer Non-Durables—3.3%
               
Nu Skin Enterprises, Inc. Class A(a)
   
45,714
     
2,508,784
 
Skechers U.S.A., Inc.*
   
203,458
     
5,192,248
 
Steven Madden Ltd.*
   
136,879
     
5,372,501
 
Universal Corp.(a)
   
56,929
     
3,780,086
 
               
16,853,619
 
Consumer Services—16.1%
               
ABM Industries, Inc.(a)
   
115,541
     
4,972,885
 
ACCO Brands Corp.*
   
200,044
     
2,270,499
 
Barnes & Noble Education, Inc.*(a)
   
138,682
     
1,316,092
 
Booz Allen Hamilton Holding Corp.(a)
   
104,055
     
4,103,929
 
CBIZ, Inc.*
   
119,674
     
1,807,077
 
Civeo Corp.*
   
427,395
     
794,955
 
Clubcorp Holdings, Inc.
   
329,323
     
4,379,996
 
Dick's Sporting Goods, Inc.
   
63,722
     
2,620,886
 
Ennis, Inc.
   
47,715
     
765,826
 
Finish Line Inc., (The), Class A(a)
   
247,124
     
3,486,920
 
FTD Cos., Inc.*
   
93,763
     
1,623,975
 
FTI Consulting, Inc.*
   
74,939
     
2,587,644
 
Group 1 Automotive, Inc.(a)
   
22,691
     
1,364,864
 
Heidrick & Struggles International, Inc.
   
86,774
     
1,869,980
 
ICF International, Inc.*
   
62,175
     
2,925,334
 
Jones Lang LaSalle, Inc.
   
25,026
     
2,889,752
 
KAR Auction Services, Inc.
   
77,425
     
3,373,407
 
Korn/Ferry International(a)
   
41,150
     
1,321,326
 
Lithia Motors, Inc.(a)
   
74,221
     
6,742,978
 
MAXIMUS, Inc.(a)
   
52,403
     
3,253,178
 
Navigant Consulting, Inc.*
   
132,346
     
2,579,424
 
Office Depot, Inc.(a)
   
526,560
     
2,690,722
 
On Assignment, Inc.*
   
57,695
     
3,023,218
 
Papa Murphy's Holdings, Inc.*(a)
   
264,407
     
1,285,018
 
PRA Group, Inc.*(a)
   
52,165
     
1,815,342
 
RPX Corp.*
   
233,002
     
3,084,946
 
Scholastic Corp.(a)
   
57,789
     
2,457,766
 
Tailored Brands, Inc.(a)
   
248,948
     
2,643,828
 
Tetra Tech, Inc.(a)
   
114,133
     
5,244,411
 
TravelCenters of America LLC*
   
174,793
     
716,651
 
Viad Corp.
   
32,699
     
1,443,661
 
XO Group, Inc.*
   
94,335
     
1,557,471
 
               
83,013,961
 
Energy—4.4%
               
Bristow Group, Inc.(a)
   
115,771
     
758,300
 
Dril-Quip, Inc.*(a)
   
43,554
     
2,160,278
 
Extraction Oil & Gas, Inc.*(a)
   
27,088
     
385,733
 
Gulfport Energy Corp.*
   
86,566
     
1,242,222
 
Jagged Peak Energy, Inc.*(a)
   
262,759
     
3,418,495
 
Kosmos Energy Ltd.*(a)
   
580,931
     
3,485,586
 
ProPetro Holding Corp.*(a)
   
109,766
     
1,454,399
 
RSP Permian, Inc.*(a)
   
164,922
     
5,869,574
 
Western Refining, Inc.
   
50,239
     
1,818,652
 
WildHorse Resource Development Corp.*(a)
   
186,614
     
2,224,439
 
               
22,817,678
 
 
The accompanying notes are an integral part of the portfolio of investments.
2

Finance—28.1%
               
Air Lease Corp.(a)
   
259,211
     
9,570,070
 
AMERISAFE, Inc.(a)
   
41,263
     
2,137,423
 
Assured Guaranty Ltd.
   
166,285
     
6,495,092
 
BankUnited, Inc.
   
71,401
     
2,367,657
 
CenterState Banks, Inc.
   
122,131
     
2,936,029
 
Columbia Banking System, Inc.(a)
   
24,605
     
903,250
 
Essent Group Ltd.*
   
175,791
     
6,375,940
 
FCB Financial Holdings, Inc., Class A*
   
75,261
     
3,446,954
 
Federal Agricultural Mortgage Corp. Class C
   
50,681
     
3,071,269
 
First American Financial Corp.
   
95,332
     
4,148,849
 
First Citizens BancShares Inc., Class A
   
7,364
     
2,440,430
 
First Midwest Bancorp Inc.
   
67,297
     
1,491,301
 
FirstCash, Inc.
   
111,016
     
5,956,008
 
Flushing Financial Corp.
   
59,909
     
1,664,272
 
Gladstone Capital Corp.(a)
   
34,291
     
335,366
 
Global Indemnity PLC*
   
31,515
     
1,197,885
 
Greenhill & Co, Inc.(a)
   
64,937
     
1,314,974
 
Hanmi Financial Corp.
   
92,008
     
2,447,413
 
Hanover Insurance Group Inc., (The)
   
40,038
     
3,338,769
 
Heritage Financial Corp.(a)
   
76,244
     
1,818,419
 
Hope Bancorp, Inc.
   
123,302
     
2,146,688
 
Infinity Property & Casualty Corp.
   
24,969
     
2,390,782
 
James River Group Holdings Ltd.
   
92,805
     
3,678,790
 
Maiden Holdings Ltd.(a)
   
525,843
     
5,547,644
 
National General Holdings Corp.(a)
   
105,645
     
2,319,964
 
Navient Corp.(a)
   
284,916
     
4,111,338
 
Navigators Group, Inc. (The)
   
39,788
     
2,108,764
 
Nelnet, Inc., Class A
   
141,609
     
5,566,650
 
OneBeacon Insurance Group Ltd., Class A
   
137,520
     
2,523,492
 
Park Sterling Corp.
   
97,740
     
1,134,761
 
PennyMac Financial Services, Inc. Class A*
   
163,217
     
2,627,794
 
Radian Group, Inc.(a)
   
494,800
     
7,946,488
 
Safety Insurance Group, Inc.
   
22,550
     
1,500,702
 
Silvercrest Asset Management Group, Inc. Class A
   
171,634
     
2,102,516
 
SLM Corp.*
   
1,045,312
     
10,860,792
 
State Auto Financial Corp.
   
49,880
     
1,240,017
 
State National Cos, Inc.
   
184,113
     
3,234,865
 
Stewart Information Services Corp.(a)
   
122,083
     
5,523,035
 
Stifel Financial Corp.*(a)
   
120,799
     
5,149,661
 
Walker & Dunlop, Inc.*(a)
   
176,835
     
8,259,963
 
Washington Federal, Inc.(a)
   
63,985
     
2,044,321
 
               
145,476,397
 
Health Care—7.6%
               
Chemed Corp.(a)
   
37,010
     
7,574,466
 
ICON PLC*
   
66,445
     
6,252,474
 
Integra LifeSciences Holdings Corp.*(a)
   
55,703
     
2,804,646
 
LHC Group, Inc.*
   
38,577
     
2,322,335
 
LifePoint Health, Inc.*(a)
   
79,392
     
4,827,034
 
Owens & Minor, Inc.(a)
   
59,444
     
1,895,075
 
PAREXEL International Corp.*
   
88,533
     
7,155,237
 
PharMerica Corp.*(a)
   
163,944
     
4,049,417
 
Select Medical Holdings Corp.*
   
199,572
     
2,674,265
 
               
39,554,949
 
 
The accompanying notes are an integral part of the portfolio of investments.
3

Real Estate Investment Trusts—7.1%
               
Altisource Residential Corp.(a)
   
57,814
     
794,364
 
Anworth Mortgage Asset Corp.
   
274,825
     
1,662,691
 
Ares Commercial Real Estate Corp.
   
297,826
     
3,940,238
 
Blackstone Mortgage Trust, Inc.(a)
   
112,610
     
3,496,541
 
Chatham Lodging Trust
   
131,004
     
2,600,429
 
CYS Investments, Inc.
   
812,894
     
6,852,696
 
Gladstone Commercial Corp.(a)
   
40,346
     
821,445
 
MFA Financial, Inc.
   
643,344
     
5,352,622
 
MTGE Investment Corp.
   
65,511
     
1,195,576
 
Starwood Property Trust, Inc.
   
106,178
     
2,338,040
 
Two Harbors Investment Corp.
   
782,992
     
7,814,260
 
               
36,868,902
 
Technology—11.3%
               
Bel Fuse, Inc., Class B
   
125,485
     
3,011,640
 
Belden, Inc.(a)
   
90,172
     
6,402,212
 
Brooks Automation, Inc.
   
270,933
     
7,464,204
 
Coherent, Inc.*(a)
   
26,723
     
6,631,313
 
Convergys Corp.(a)
   
60,503
     
1,470,828
 
EnerSys
   
72,286
     
5,353,501
 
EVERTEC, Inc.
   
94,058
     
1,551,957
 
First Solar, Inc.*
   
40,036
     
1,541,786
 
Insight Enterprises, Inc.*
   
43,692
     
1,814,966
 
NETGEAR, Inc.*(a)
   
64,593
     
2,709,676
 
PC Connection, Inc.
   
29,063
     
757,963
 
SMART Global Holdings, Inc.*
   
106,526
     
1,395,491
 
Sykes Enterprises, Inc.*
   
183,630
     
6,120,388
 
SYNNEX Corp.
   
31,931
     
3,552,643
 
TeleTech Holdings, Inc.(a)
   
157,124
     
6,685,626
 
Teradyne, Inc.
   
61,826
     
2,197,914
 
               
58,662,108
 
Utilities—0.6%
               
Portland General Electric Co.
   
35,312
     
1,671,670
 
Pure Cycle Corp.*(a)
   
189,741
     
1,479,980
 
               
3,151,650
 
TOTAL COMMON STOCKS
               
(Cost $410,110,058)
           
507,993,097
 
SECURITIES LENDING COLLATERAL—26.6%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
137,506,984
     
137,506,984
 
TOTAL SECURITIES LENDING COLLATERAL
               
    (Cost $137,506,984)
           
137,506,984
 
SHORT-TERM INVESTMENTS—7.3%
               
Fidelity Investments Money Market Funds - Government Portfolio, 0.46%
   
37,993,409
     
37,993,409
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $37,993,409)
           
37,993,409
 
TOTAL INVESTMENTS—132.1%
               
(Cost $585,610,451)**
           
683,493,490
 
LIABILITIES IN EXCESS OF OTHER ASSETS—(32.1)%
           
(166,213,070
)
NET ASSETS—100.0%
         
$
517,280,420
 
 
                 
 The accompanying notes are an integral part of the portfolio of investments.
 
4

 
PLC   
Public Limited Company 
       
 
Non-income producing. 
       
 
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors.
As of May 31, 2017, these securities amounted to $0 or 0.0% of net assets. 
       
(a)  
All or a portion of the security is on loan. At May 31, 2017, the market value of securities on loan was $133,630,465. 
       
**    The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:        
             
   
Cost of investments
 
$
585,610,451
 
   
Gross unrealized appreciation
 
$
117,285,918
 
   
Gross unrealized (depreciation)
   
(19,402,879
)
   
Net unrealized appreciation (depreciation)
 
$
97,883,039
 
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
 
most recent annual report.
       
               
The accompanying notes are an integral part of the portfolio of investments.
5

 
BOSTON PARTNERS INVESTMENT FUNDS
 
 
 
 
 
MAY 31, 2017 (unaudited)
                 
BOSTON PARTNERS SMALL CAP VALUE FUND II
       
Portfolio of Investments
                       
 
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
                         
         
Level 2
 
Level 3
 
Total
 
Level 1
 
Other Significant
 
Significant
 
Value as of
 
Quoted
 
Observable
 
Unobservable
 
May 31, 2017
 
Price
 
Inputs
 
Inputs
 
Common Stocks *
 
$
507,993,097
   
$
507,993,097
   
$
   
$
 **
Securities Lending Collateral
   
137,506,984
     
137,506,984
     
     
 
Short-Term Investments
   
37,993,409
     
37,993,409
     
     
 
Total Assets
 
$
683,493,490
   
$
683,493,490
   
$
   
$
 **
                                 
* See Portfolio of Investments detail for industry and security type breakout.
                       
** As of May 31, 2017, Level 3 fair valued securities amounted to less than $1.
                       
 
The accompanying notes are an integral part of the portfolio of investments.

6


BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS LONG/SHORT EQUITY FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
LONG POSITIONS—122.5%
           
COMMON STOCKS—99.0%
           
Basic Industries—5.5%
           
AK Steel Holding Corp.*(a)
   
489,257
   
$
2,984,468
 
Alcoa Corp.
   
85,923
     
2,830,304
 
American Vanguard Corp.
   
220,407
     
3,713,858
 
CF Industries Holdings, Inc.(a)
   
85,197
     
2,291,799
 
Dominion Diamond Corp.
   
229,168
     
2,956,267
 
Freeport-McMoRan Copper & Gold, Inc.*
   
381,862
     
4,387,594
 
Monsanto Co.Ɨ
   
41,513
     
4,874,456
 
Mosaic Co., (The)(a)
   
159,880
     
3,618,084
 
Nexeo Solutions, Inc.*(a)
   
257,041
     
2,261,961
 
POSCO - ADRƗ
   
91,518
     
5,754,652
 
Potash Corp. of Saskatchewan, Inc.
   
153,211
     
2,531,046
 
Praxair, Inc.
   
21,225
     
2,807,855
 
Rio Tinto PLC - ADRƗ
   
119,828
     
4,830,267
 
Ternium SA
   
115,979
     
3,017,774
 
UFP Technologies, Inc.*
   
72,694
     
1,988,181
 
Universal Stainless & Alloy Products, Inc.*
   
35,585
     
635,548
 
             
51,484,114
 
Capital Goods—10.6%
               
Aerojet Rocketdyne Holdings, Inc.*(a)
   
180,046
     
3,943,007
 
Ampco-Pittsburgh Corp.(a)
   
138,104
     
2,168,233
 
Arconic, Inc.(a)
   
120,587
     
3,312,525
 
BMC Stock Holdings, Inc.*
   
212,472
     
4,143,204
 
Builders FirstSource, Inc.*(a)
   
223,829
     
3,057,504
 
CECO Environmental Corp.(a)
   
419,438
     
3,942,717
 
Chicago Bridge & Iron Co. NV(a)Ɨ
   
197,647
     
3,739,481
 
Colfax Corp.*
   
107,660
     
4,366,690
 
Columbus McKinnon Corp.
   
119,060
     
3,326,536
 
Daqo New Energy Corp.*
   
153,068
     
3,330,760
 
DMC Global, Inc.
   
148,423
     
1,877,551
 
Ferroglobe PLC(a)
   
385,988
     
4,068,314
 
Ferroglobe Representation & Warranty Insurance* ‡
   
386,647
     
0
 
Fluor Corp.(a)Ɨ
   
86,320
     
3,872,315
 
FreightCar America, Inc.(a)
   
180,863
     
3,031,264
 
Graham Corp.
   
111,797
     
2,339,911
 
Hexcel Corp.
   
55,957
     
2,877,869
 
IES Holdings, Inc.*
   
49,620
     
761,667
 
Jacobs Engineering Group, Inc.(a)
   
73,588
     
3,857,483
 
KLX, Inc.*(a)
   
48,253
     
2,334,963
 
Manitex International, Inc.*(a)
   
463,245
     
3,326,099
 
NCI Building Systems, Inc.*
   
166,213
     
2,767,446
 
NOW, Inc.*(a)
   
254,277
     
4,198,113
 
Preformed Line Products Co.Ɨ
   
37,058
     
1,778,784
 
Quanta Services, Inc.*
   
58,362
     
1,789,379
 
Raven Industries, Inc.(a)
   
86,128
     
2,915,433
 
Safran SA - ADR
   
171,358
     
3,797,293
 
Tecnoglass, Inc.(a)
   
91,659
     
903,758
 
Triumph Group, Inc.(a)
   
123,658
     
4,031,251
 
Tutor Perini Corp.*(a)
   
162,681
     
4,221,572
 
WESCO International, Inc.*
   
48,630
     
2,973,724
 
World Fuel Services Corp.(a)Ɨ
   
138,734
     
4,902,860
 
             
97,957,706
 
The accompanying notes are an integral part of the portfolio of investments. 
1

Communications—3.2%
               
51job, Inc. - ADR*(a)
   
60,421
     
2,633,751
 
Baidu, Inc. - Sponsored ADR*
   
16,821
     
3,130,388
 
Gaia, Inc.*
   
116,893
     
1,274,134
 
Iridium Communications, Inc.*(a)
   
334,590
     
3,312,441
 
Liberty Global PLC LiLAC, Class C*
   
190,013
     
3,982,673
 
Liberty Global PLC, Series C*
   
138,628
     
4,120,024
 
NetEase, Inc. - ADR
   
8,181
     
2,329,785
 
VeriSign, Inc.*(a)
   
48,973
     
4,415,406
 
Yandex NV, Class A*
   
168,808
     
4,470,036
 
             
29,668,638
 
Consumer Durables—0.5%
               
Flexsteel Industries, Inc.
   
30,824
     
1,561,235
 
Kia Motors Corp.
   
93,120
     
3,248,664
 
             
4,809,899
 
Consumer Non-Durables—1.9%
               
Albany International Corp.(a)
   
40,466
     
1,954,508
 
Leucadia National Corp.Ɨ
   
185,615
     
4,527,150
 
Nomad Foods Ltd.*
   
308,143
     
4,360,224
 
PVH Corp.
   
37,720
     
3,996,434
 
VF Corp.(a)
   
46,638
     
2,509,124
 
             
17,347,440
 
Consumer Services—13.8%
               
Alibaba Group Holding Ltd. - Sponsored ADR*(a)
   
38,532
     
4,718,629
 
Amaya, Inc.*
   
183,988
     
3,191,205
 
Barrett Business Services, Inc.Ɨ
   
130,769
     
7,462,987
 
BG Staffing, Inc.
   
31,071
     
504,593
 
Boot Barn Holdings, Inc.*(a)
   
233,829
     
1,821,528
 
Carter's, Inc.(a)
   
42,932
     
3,527,293
 
CDI Corp.*
   
254,281
     
1,538,400
 
comScore, Inc.*(a)
   
90,917
     
2,282,017
 
Ctrip.com International Ltd. - ADR*(a)
   
33,071
     
1,807,330
 
CVS Health Corp.
   
76,507
     
5,878,033
 
eBay, Inc.*
   
133,731
     
4,586,973
 
Eros International PLC*(a)
   
265,228
     
2,546,189
 
Francesca's Holdings Corp.*
   
310,921
     
3,936,260
 
Heidrick & Struggles International, Inc.
   
227,083
     
4,893,639
 
ICF International, Inc.*
   
55,525
     
2,612,451
 
IHS Markit Ltd.*
   
59,472
     
2,726,791
 
ILG, Inc.(a)
   
140,528
     
3,785,824
 
International Game Technology PLCƗ
   
227,128
     
4,031,522
 
JD.com, Inc. - ADR*
   
111,065
     
4,445,932
 
Jones Lang LaSalle, Inc.(a)
   
27,470
     
3,171,961
 
Korn/Ferry International(a)
   
100,540
     
3,228,339
 
La Quinta Holdings, Inc.*(a)
   
208,337
     
2,887,551
 
Liberty Expedia Holdings, Inc.*(a)Ɨ
   
45,671
     
2,382,656
 
Lions Gate Entertainment Corp.*
   
147,892
     
3,740,189
 
ManpowerGroup, Inc.
   
37,284
     
3,798,121
 
Planet Payment, Inc.*
   
253,840
     
875,748
 
PRGX Global, Inc.*
   
161,819
     
1,084,187
 
Realogy Holdings Corp.Ɨ
   
153,263
     
4,668,391
 
Scripps Networks Interactive, Inc., Class A(a)
   
38,649
     
2,559,337
 
Sirius XM Holdings, Inc.(a)
   
397,348
     
2,086,077
 
Tailored Brands, Inc.(a)Ɨ
   
239,083
     
2,539,061
 
Team, Inc.*(a)
   
69,529
     
1,783,419
 
Tetra Tech, Inc.(a)
   
92,322
     
4,242,196
 
Time Warner, Inc.Ɨ
   
46,674
     
4,643,596
 
Townsquare Media, Inc.*
   
154,962
     
1,558,918
 
Tractor Supply Co.
   
31,191
     
1,720,184
 
Twenty-First Century Fox, Inc., Class A(a)
   
120,612
     
3,270,997
 
Vipshop Holdings Ltd.*
   
213,759
     
2,644,199
 
Walgreens Boots Alliance, Inc.
   
51,865
     
4,202,102
 
Wynn Resorts Ltd.(a)
   
33,315
     
4,287,640
 
             
127,672,465
 
The accompanying notes are an integral part of the portfolio of investments.
2

Energy—12.6%
               
Anadarko Petroleum Corp.
   
93,390
     
4,718,997
 
Baker Hughes, Inc.(a)
   
53,977
     
2,976,832
 
Basic Energy Services, Inc.*
   
139,006
     
3,821,275
 
Canadian Natural Resources Ltd.Ɨ
   
129,938
     
3,750,011
 
Cimarex Energy Co.
   
24,495
     
2,634,682
 
ConocoPhillips(a)
   
104,484
     
4,669,390
 
Dawson Geophysical Co.*(a)
   
412,456
     
1,587,956
 
Diamond Offshore Drilling, Inc.*(a)
   
169,016
     
1,952,135
 
Dril-Quip, Inc.*(a)
   
64,482
     
3,198,307
 
Energen Corp.*
   
86,193
     
4,916,449
 
Enerplus Corp.(a)
   
336,234
     
2,652,886
 
EOG Resources, Inc.(a)
   
44,951
     
4,059,525
 
EQT Corp.(a)
   
91,155
     
5,038,137
 
Gazprom PJSC(a)
   
590,295
     
2,455,627
 
Gulf Island Fabrication, Inc.(a)
   
67,102
     
620,693
 
Gulfport Energy Corp.*
   
135,164
     
1,939,603
 
Halcon Resources Corp.*
   
420,000
     
2,041,200
 
Halliburton Co.Ɨ
   
118,589
     
5,359,037
 
Jagged Peak Energy, Inc.*(a)
   
274,810
     
3,575,278
 
Kosmos Energy Ltd.*(a)Ɨ
   
656,068
     
3,936,408
 
LUKOIL PJSC - Sponsored ADR(a)
   
112,526
     
5,429,380
 
Marathon Oil Corp.(a)
   
398,910
     
5,193,808
 
Mitcham Industries, Inc.*
   
381,308
     
1,513,793
 
National Oilwell Varco, Inc.(a)
   
104,422
     
3,411,467
 
Parsley Energy, Inc., Class A*
   
82,738
     
2,453,182
 
PBF Energy, Inc.(a)
   
201,528
     
3,893,521
 
Phillips 66(a)
   
62,211
     
4,734,879
 
Pioneer Natural Resources Co.
   
32,898
     
5,489,360
 
QEP Resources, Inc.*
   
239,773
     
2,397,730
 
Rice Energy, Inc.*(a)
   
153,918
     
3,078,360
 
Tesoro Corp.Ɨ
   
60,277
     
5,017,457
 
TransGlobe Energy Corp.*
   
299,053
     
430,636
 
Valero Energy Corp.(a)
   
68,543
     
4,213,338
 
Viper Energy Partners LP
   
236,845
     
4,031,102
 
             
117,192,441
 
The accompanying notes are an integral part of the portfolio of investments.
3

Finance—23.1%
               
AerCap Holdings NV*Ɨ
   
87,012
     
3,830,268
 
Affiliated Managers Group, Inc.
   
26,608
     
4,093,641
 
AMERCO(a)
   
6,118
     
2,259,071
 
American International Group, Inc.Ɨ
   
69,311
     
4,410,259
 
AmTrust Financial Services, Inc.(a)
   
1,078,886
     
14,176,562
 
Aspen Insurance Holdings Ltd.Ɨ
   
71,095
     
3,611,626
 
Axis Capital Holdings Ltd.Ɨ
   
41,628
     
2,729,964
 
Bank of America Corp.Ɨ
   
554,320
     
12,422,311
 
Bar Harbor Bankshares
   
19,990
     
577,111
 
Berkshire Hathaway, Inc. Class B*Ɨ
   
58,418
     
9,655,327
 
BGC Partners, Inc., Class A(a)
   
272,797
     
3,216,277
 
Boulevard Acquisition, Corp. II*
   
227,000
     
2,326,750
 
Century Bancorp, Inc., Class AƗ
   
33,518
     
2,002,700
 
Charles Schwab Corp., (The)Ɨ
   
110,736
     
4,291,020
 
Chubb Ltd.Ɨ
   
41,682
     
5,968,446
 
Citigroup, Inc.Ɨ
   
346,639
     
20,985,525
 
East West Bancorp, Inc.Ɨ
   
86,545
     
4,736,608
 
Ezcorp, Inc., Class A*(a)
   
379,316
     
3,224,186
 
Fanhua, Inc.(a)
   
178,832
     
1,641,678
 
Federated National Holding Co.
   
93,880
     
1,475,794
 
Flushing Financial Corp.Ɨ
   
88,734
     
2,465,031
 
Franklin Resources, Inc.(a)
   
88,599
     
3,702,552
 
Heritage Insurance Holdings, Inc.
   
145,169
     
1,849,453
 
JPMorgan Chase & Co.Ɨ
   
79,622
     
6,540,947
 
Lazard Ltd., Class AƗ
   
106,602
     
4,743,789
 
Legg Mason, Inc.(a)
   
78,108
     
2,879,842
 
Loews Corp.(a)
   
86,512
     
4,079,906
 
Maiden Holdings Ltd.(a)Ɨ
   
521,427
     
5,501,055
 
Morgan Stanley
   
210,924
     
8,803,968
 
National Western Life Group, Inc. Class AƗ
   
8,322
     
2,556,102
 
Nationstar Mortgage Holdings, Inc.*(a)
   
190,713
     
3,112,436
 
New Residential Investment Corp.Ɨ
   
271,859
     
4,374,211
 
Oaktree Capital Group LLC(a)
   
85,097
     
3,944,246
 
PennyMac Financial Services, Inc. Class A*Ɨ
   
259,326
     
4,175,149
 
Renaissance Holdings Ltd.Ɨ
   
27,921
     
3,988,794
 
Silver Run Acquisition Corp. II*
   
451,952
     
4,745,496
 
State Street Corp.Ɨ
   
77,072
     
6,278,285
 
Stifel Financial Corp.*(a)
   
57,754
     
2,462,053
 
SVB Financial Group*
   
33,850
     
5,771,425
 
Synchrony FinancialƗ
   
172,574
     
4,633,612
 
Triton International Ltd.
   
171,420
     
4,803,188
 
Validus Holdings Ltd.Ɨ
   
75,664
     
4,040,458
 
Wells Fargo & Co.Ɨ#
   
126,494
     
6,468,903
 
White Mountains Insurance Group Ltd.
   
5,011
     
4,309,861
 
             
213,865,886
 
The accompanying notes are an integral part of the portfolio of investments.
4

Health Care—12.1%
               
Abbott Laboratories
   
108,976
     
4,975,844
 
Allergan PLC
   
18,682
     
4,180,098
 
Anthem, Inc.(a)
   
26,967
     
4,917,432
 
Carriage Services Inc.(a)
   
84,546
     
2,222,714
 
Cascadian Therapeutics, Inc.*
   
333,368
     
1,300,135
 
Cigna Corp.
   
36,857
     
5,942,454
 
DaVita HealthCare Partners, Inc.*
   
70,512
     
4,672,125
 
Envision Healthcare Corp.*
   
42,593
     
2,326,004
 
Five Star Senior Living, Inc.*
   
395,262
     
711,472
 
Fresenius Medical Care AG & Co. KGaA - ADRƗ
   
109,546
     
5,227,535
 
Gilead Sciences, Inc.
   
57,228
     
3,713,525
 
HCA Healthcare, Inc.*Ɨ
   
77,281
     
6,330,087
 
Keryx Biopharmaceuticals, Inc.*(a)
   
353,798
     
2,260,769
 
Laboratory Corp. of America Holdings*Ɨ
   
40,695
     
5,656,605
 
LHC Group, Inc.*Ɨ
   
90,303
     
5,436,241
 
Mallinckrodt PLC*(a)
   
66,234
     
2,856,672
 
Medtronic PLC#
   
59,669
     
5,028,903
 
Merck & Co., Inc.
   
101,011
     
6,576,826
 
Mylan NV*
   
123,477
     
4,813,134
 
Paratek Pharmaceuticals, Inc.*(a)
   
136,227
     
2,731,351
 
PharMerica Corp.*Ɨ
   
147,789
     
3,650,388
 
Sanofi - ADRƗ
   
131,225
     
6,507,448
 
Shire PLC - ADR
   
27,767
     
4,795,916
 
Teva Pharmaceutical Industries Ltd. - Sponsored ADR(a)Ɨ
   
124,324
     
3,463,667
 
uniQure NV*(a)
   
223,638
     
1,238,955
 
UnitedHealth Group, Inc.
   
36,317
     
6,362,012
 
Zimmer Biomet Holdings, Inc.
   
36,818
     
4,389,074
 
             
112,287,386
 
Real Estate Investment Trusts—1.5%
               
Colony NorthStar, Inc.
   
329,992
     
4,662,787
 
Drive Shack, Inc.*
   
727,231
     
2,370,773
 
Marcus & Millichap, Inc.*(a)
   
39,098
     
945,390
 
MedEquities Realty Trust, Inc.
   
355,983
     
4,157,881
 
Wheeler Real Estate Investment Trust, Inc.
   
187,914
     
1,503,312
 
             
13,640,143
 
Technology—8.6%
               
Alliance Data Systems Corp.(a)
   
18,402
     
4,437,274
 
ARRIS International PLC*
   
86,784
     
2,433,423
 
Belden, Inc.(a)
   
59,153
     
4,199,863
 
Cap Gemini SA
   
232,267
     
4,819,540
 
CDW Corp.(a)
   
43,354
     
2,609,044
 
Citrix Systems, Inc.*
   
35,638
     
2,941,561
 
Cognizant Technology Solutions Corp., Class A(a)Ɨ#
   
67,156
     
4,493,408
 
CommerceHub, Inc., Series A*Ɨ
   
1,930
     
32,849
 
CommerceHub, Inc., Series C*Ɨ
   
3,862
     
66,349
 
CSG Systems International, Inc.
   
77,910
     
3,107,830
 
Dolby Laboratories, Inc. Class AƗ
   
78,735
     
3,967,457
 
First Data Corp., Class A*(a)
   
223,048
     
3,820,812
 
Flextronics International Ltd.*Ɨ
   
299,440
     
5,168,334
 
Generac Holdings, Inc.*(a)
   
67,062
     
2,323,698
 
Hollysys Automation Technologies, Ltd.
   
120,202
     
1,922,030
 
Luxoft Holding, Inc.*
   
68,666
     
4,435,824
 
Net 1 UEPS Technologies, Inc.*
   
199,904
     
1,855,109
 
Oracle Corp.Ɨ
   
96,712
     
4,389,758
 
PayPal Holdings, Inc.*Ɨ
   
108,915
     
5,686,452
 
Quality Systems, Inc.*
   
202,152
     
3,105,055
 
Silicon Motion Technology Corp.
   
93,066
     
4,862,698
 
Synacor, Inc.*
   
269,238
     
928,871
 
Western Digital Corp.(a)
   
37,364
     
3,365,002
 
Zebra Technologies Corp., Class A*
   
43,657
     
4,555,171
 
             
79,527,412
 
The accompanying notes are an integral part of the portfolio of investments.
5

Transportation—4.8%
               
Air France-KLM*(a)
   
307,255
     
3,476,590
 
AP Moller - Maersk A/S - ADR
   
326,848
     
3,108,325
 
Atlas Air Worldwide Holdings, Inc.*(a)
   
70,629
     
3,439,632
 
Controladora Vuela Cia de Aviacion SAB de CV*
   
179,919
     
2,347,943
 
Costamare, Inc.(a)
   
465,129
     
3,046,595
 
Dorian LPG Ltd.*
   
275,060
     
2,148,219
 
Expeditors International of Washington, Inc.(a)
   
41,878
     
2,235,448
 
Gener8 Maritime, Inc.*(a)
   
415,116
     
2,200,115
 
Golar LNG Partners LP
   
108,162
     
2,137,281
 
Overseas Shipholding Group, Inc.*(a)
   
332,600
     
878,064
 
Ryanair Holdings PLC*
   
35,428
     
3,781,585
 
Safe Bulkers, Inc.*
   
1,612,888
     
3,322,549
 
Scorpio Bulkers, Inc.*
   
304,688
     
1,767,190
 
Scorpio Tankers, Inc.
   
526,363
     
1,958,070
 
Teekay LNG Partners LP(a)
   
264,192
     
4,015,718
 
XPO Logistics, Inc.*(a)
   
97,030
     
5,103,778
 
             
44,967,102
 
Utilities—0.8%
               
Cheniere Energy, Inc.*
   
78,914
     
3,844,690
 
MPLX LP(a)
   
99,012
     
3,272,347
 
             
7,117,037
 
TOTAL COMMON STOCKS
               
(Cost $769,423,717)
           
917,537,669
 
EXCHANGE TRADED FUNDS—0.6%
               
Energy—0.6%
               
Alerian MLP ETF(a)
   
439,810
     
5,277,720
 
TOTAL EXCHANGE TRADED FUNDS
               
(Cost $4,434,991)
           
5,277,720
 
SECURITIES LENDING COLLATERAL—22.9%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
212,364,501
     
212,364,501
 
TOTAL SECURITIES LENDING COLLATERAL
               
     (Cost $212,364,501)
           
212,364,501
 
TOTAL INVESTMENTS—122.5%
               
(Cost $986,223,209)**
           
1,135,179,890
 
SECURITIES SOLD SHORT—(30.7%)
               
COMMON STOCKS—(28.9%)
               
Basic Industries—0.0%
               
Kennady Diamonds, Inc.*
   
(45,900
)
   
(110,430
)
Tanzanian Royalty Exploration Corp.*
   
(171,865
)
   
(80,089
)
             
(190,519
)
Capital Goods—(1.9%)
               
AAON, Inc.
   
(148,513
)
   
(5,372,458
)
American Outdoor Brands Corp.*
   
(96,172
)
   
(2,178,296
)
Applied Energetics, Inc.*
   
(238,070
)
   
(16,665
)
DynaMotive Energy Systems Corp.* ‡
   
(72,185
)
   
(7
)
EnviroStar, Inc.
   
(47,643
)
   
(976,682
)
Griffon Corp.
   
(199,972
)
   
(4,339,392
)
Proto Labs, Inc.*
   
(72,603
)
   
(4,646,592
)
             
(17,530,092
)
The accompanying notes are an integral part of the portfolio of investments.
6

Communications—(0.5%)
               
Akamai Technologies, Inc.*
   
(47,130
)
   
(2,222,180
)
CTC Communications Group, Inc.* ‡
   
(98,900
)
   
0
 
Gogo, Inc.*
   
(206,241
)
   
(2,666,696
)
Interliant, Inc.* ‡
   
(600
)
   
0
 
             
(4,888,876
)
Consumer Durables—(2.2%)
               
Qsound Labs, Inc.*‡
   
(4,440
)
   
0
 
Sharp Corp.*
   
(771,000
)
   
(2,831,968
)
Tesla Motors, Inc.*
   
(40,836
)
   
(13,925,485
)
Universal Electronics, Inc.*
   
(52,589
)
   
(3,397,249
)
             
(20,154,702
)
Consumer Non-Durables—(1.8%)
               
Amish Naturals, Inc.* ‡
   
(25,959
)
   
0
 
Amplify Snack Brands, Inc.*
   
(160,969
)
   
(1,472,867
)
Calavo Growers, Inc.
   
(72,970
)
   
(4,940,069
)
elf Beauty, Inc.*
   
(111,426
)
   
(2,726,594
)
MGP Ingredients, Inc.
   
(87,948
)
   
(4,503,817
)
Teligent, Inc.*
   
(399,540
)
   
(3,308,191
)
Valence Technology, Inc.* ‡
   
(27,585
)
   
(3
)
             
(16,951,541
)
Consumer Services—(5.0%)
               
Barnes & Noble, Inc.
   
(224,003
)
   
(1,500,820
)
Big 5 Sporting Goods Corp.
   
(203,581
)
   
(2,829,776
)
Casey's General Stores, Inc.
   
(32,829
)
   
(3,820,967
)
Cimpress NV*
   
(47,657
)
   
(4,210,019
)
Corporate Resource Services, Inc.*
   
(218,896
)
   
(350
)
Freshii, Inc.*
   
(200,079
)
   
(1,895,852
)
Jamba, Inc.*
   
(111,749
)
   
(787,831
)
Medidata Solutions, Inc.*
   
(52,884
)
   
(3,764,283
)
Netflix, Inc.*
   
(60,110
)
   
(9,802,138
)
PetMed Express, Inc.
   
(80,767
)
   
(2,834,114
)
Red Robin Gourmet Burgers, Inc.*
   
(66,626
)
   
(4,802,069
)
Sturm Ruger & Co, Inc.
   
(33,396
)
   
(2,127,325
)
Tuniu Corp.*
   
(309,373
)
   
(2,533,765
)
Weight Watchers International, Inc.*
   
(107,301
)
   
(2,822,016
)
Wingstop, Inc.
   
(75,719
)
   
(2,158,749
)
             
(45,890,074
)
Energy—0.0%
               
Beard Co.*
   
(9,710
)
   
(5
)
Finance—(0.9%)
               
Cincinnati Financial Corp.
   
(55,005
)
   
(3,854,750
)
RLI Corp.
   
(79,791
)
   
(4,431,592
)
             
(8,286,342
)
The accompanying notes are an integral part of the portfolio of investments.
7

Health Care—(5.5%)
               
Abaxis, Inc.
   
(82,142
)
   
(3,975,673
)
AtriCure, Inc.*
   
(206,456
)
   
(4,312,866
)
AxoGen, Inc.*
   
(237,109
)
   
(3,521,069
)
BodyTel Scientific, Inc.* ‡
   
(4,840
)
   
0
 
CareView Communications, Inc.*
   
(207,465
)
   
(22,717
)
Corindus Vascular Robotics, Inc.*
   
(624,000
)
   
(711,360
)
Cross Country Healthcare, Inc.*
   
(325,244
)
   
(3,756,568
)
Endologix, Inc.*
   
(213,502
)
   
(1,029,080
)
Exact Sciences Corp.*
   
(79,417
)
   
(2,896,338
)
GenMark Diagnostics, Inc.*
   
(285,104
)
   
(3,689,246
)
Heska Corp.*
   
(29,805
)
   
(2,940,561
)
Illumina, Inc.*
   
(12,351
)
   
(2,190,573
)
Insulet Corp.*
   
(96,555
)
   
(4,052,413
)
Invacare Corp.
   
(147,351
)
   
(2,085,017
)
iRhythm Technologies, Inc.*
   
(81,098
)
   
(2,812,479
)
K2M Group Holdings, Inc.*
   
(144,654
)
   
(3,290,879
)
NxStage Medical, Inc.*
   
(102,208
)
   
(2,213,825
)
OraSure Technologies, Inc.*
   
(237,956
)
   
(3,585,997
)
STAAR Surgical Co.*
   
(432,339
)
   
(3,955,902
)
             
(51,042,563
)
Real Estate Investment Trusts—(0.3%)
               
Monogram Residential Trust, Inc.
   
(233,886
)
   
(2,252,322
)
Technology—(8.5%)
               
3D Systems Corp.*
   
(173,294
)
   
(3,543,862
)
8x8, Inc.*
   
(143,509
)
   
(1,958,898
)
Ambarella, Inc.*
   
(47,603
)
   
(2,786,680
)
ANTs software, Inc.* ‡
   
(10,334
)
   
(1
)
Apptio, Inc.*
   
(105,400
)
   
(1,741,208
)
Atlassian Corp. PLC Class A*
   
(115,691
)
   
(4,137,110
)
Axcelis Technologies, Inc.*
   
(167,355
)
   
(3,639,971
)
Benefitfocus, Inc.*
   
(37,700
)
   
(1,198,860
)
Callidus Software, Inc.*
   
(127,545
)
   
(3,048,326
)
Capstone Turbine Corp.*
   
(33,777
)
   
(20,604
)
Carbonite, Inc.*
   
(205,832
)
   
(3,828,475
)
Cavium, Inc.*
   
(34,283
)
   
(2,501,631
)
Cirrus Logic, Inc.*
   
(55,720
)
   
(3,674,734
)
Consygen, Inc.* ‡
   
(200
)
   
0
 
Cornerstone OnDemand, Inc.*
   
(74,628
)
   
(2,788,102
)
Ener1, Inc.* ‡
   
(102,820
)
   
(10
)
Inseego Corp.*
   
(801,495
)
   
(817,525
)
Knowles Corp.*
   
(191,333
)
   
(3,277,534
)
MINDBODY, Inc.*
   
(149,625
)
   
(4,196,981
)
Nestor, Inc.* ‡
   
(15,200
)
   
(2
)
New Relic, Inc.*
   
(54,392
)
   
(2,375,299
)
PROS Holdings, Inc.*
   
(130,390
)
   
(3,894,749
)
ServiceNow, Inc.*
   
(20,079
)
   
(2,101,267
)
Snap, Inc.*
   
(373,827
)
   
(7,928,871
)
Splunk, Inc.*
   
(63,768
)
   
(3,905,152
)
Tableau Software, Inc.*
   
(48,494
)
   
(3,007,113
)
Tiger Telematics, Inc.* ‡
   
(6,510
)
   
0
 
Tyler Technologies, Inc.*
   
(25,135
)
   
(4,295,069
)
Uni-Pixel, Inc.*
   
(19,665
)
   
(8,159
)
Workday, Inc. Class A*
   
(47,982
)
   
(4,797,240
)
Worldgate Communications, Inc.* ‡
   
(582,655
)
   
(58
)
Xybernaut Corp.* ‡
   
(34,156
)
   
0
 
Zendesk, Inc.*
   
(141,867
)
   
(3,685,705
)
             
(79,159,196
)
The accompanying notes are an integral part of the portfolio of investments.
8

Utilities—(2.3%)
               
Avista Corp.
   
(35,541
)
   
(1,522,576
)
Cadiz, Inc.*
   
(33,395
)
   
(505,934
)
California Water Service Group
   
(53,420
)
   
(1,851,003
)
Chesapeake Utilities Corp.
   
(30,598
)
   
(2,271,902
)
El Paso Electric Co.
   
(65,507
)
   
(3,537,378
)
MGE Energy, Inc.
   
(29,366
)
   
(1,911,727
)
New Jersey Resources Corp.
   
(40,857
)
   
(1,711,908
)
NorthWestern Corp.
   
(24,381
)
   
(1,510,647
)
ONE Gas, Inc.
   
(24,589
)
   
(1,737,213
)
PNM Resources, Inc.
   
(45,604
)
   
(1,755,754
)
Spire, Inc.
   
(22,065
)
   
(1,563,305
)
WGL Holdings, Inc.
   
(21,334
)
   
(1,765,175
)
             
(21,644,522
)
TOTAL COMMON STOCKS
               
(Proceeds $(247,736,056))
           
(267,990,754
)
EXCHANGE TRADED FUNDS—(1.8%)
               
Finance—(1.8%)
               
iShares 20+ Year Treasury Bond ETF
   
(63,505
)
   
(7,900,022
)
SPDR Bloomberg Barclays International Treasury Bond ETF*
   
(294,912
)
   
(8,121,877
)
             
(16,021,899
)
TOTAL EXCHANGE TRADED FUNDS
               
(Proceeds $(16,580,195))
           
(16,021,899
)
TOTAL SECURITIES SOLD SHORT—(30.7%)
               
(Proceeds $(264,316,251))
           
(284,012,653
)
    
Number
         
    
of Contracts
         
OPTIONS WRITTENƗƗ—(0.1%)
               
Cognizant Technology Solutions Corp., Class A
               
Put Options Expires 01/18/2019
               
Strike Price $45.00
   
(694
)
   
(102,365
)
Medtronic PLC
               
Put Options Expires 01/18/2019
               
Strike Price $70.00
   
(695
)
   
(274,525
)
Sears Holdings Corp.
               
Call Options Expires 01/18/2019
               
Strike Price $10.00
   
(3,315
)
   
(354,705
)
Wells Fargo & Co.
               
Put Options Expires 01/18/2019
               
Strike Price $40.00
   
(1,692
)
   
(338,400
)
TOTAL OPTIONS WRITTEN
               
(Premiums received $(2,871,380))
           
(1,069,995
)
OTHER ASSETS IN EXCESS OF LIABILITIES—8.3%
           
76,556,763
 
NET ASSETS—100.0%
         
$
926,654,005
 
The accompanying notes are an integral part of the portfolio of investments.

9

 
ADR
 
American Depositary Receipt
     
PLC
 
Public Limited Company
     
 
*
 
Non-income producing.
     
(a)
 
All or a portion of the security is on loan. At May 31, 2017, the market value of securities on loan was $206,222,807.
     
Ɨ
 
Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
     
 
#
 
Security segregated as collateral for options written.
     
ƗƗ
 
Primary risk exposure is equity contracts.
     
 
 
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors.  As of May 31, 2017, short securities amounted to $(81) or 0.0% of net assets.
     
   **
 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
     
             
     
Cost of investments
 
$
986,223,209
 
     
Gross unrealized appreciation
 
$
187,180,740
 
     
Gross unrealized (depreciation)
   
(38,224,059
)
     
Net unrealized appreciation (depreciation)
 
$
148,956,681
 
               
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
               
     
The accompanying notes are an integral part of the portfolio of investments.
       

10

 
BOSTON PARTNERS INVESTMENT FUNDS
 
 
 
 
 
MAY 31, 2017 (unaudited) 
                     
BOSTON PARTNERS LONG/SHORT EQUITY FUND
         
Portfolio of Investments 
                         
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
 
       
Level 2
 
Level 3
 
Total
 
Level 1
 
Other Significant
 
Significant
 
Value as of
 
Quoted
 
Observable
 
Unobservable
 
 
May 31, 2017
 
Price
 
Inputs
 
Inputs
 
Common Stocks
 
     
 
                 
Basic Industries
 
 
$
51,484,114
 
 
 
$
51,484,114
   
$
-
   
$
-
 
Capital Goods
     
97,957,706
       
97,957,706
     
-
     
-
 *
Communications
     
29,668,638
       
29,668,638
     
-
     
-
 
Consumer Durables
     
4,809,899
       
1,561,235
     
3,248,664
     
-
 
Consumer Non-Durables
     
17,347,440
       
17,347,440
     
-
     
-
 
Consumer Services
     
127,672,465
       
127,672,465
     
-
     
-
 
Energy
     
117,192,441
       
115,151,241
     
2,041,200
     
-
 
Finance
     
213,865,886
       
213,865,886
     
-
     
-
 
Health Care
     
112,287,386
       
112,287,386
     
-
     
-
 
Real Estate Investment Trusts
     
13,640,143
       
13,640,143
     
-
     
-
 
Technology
     
79,527,412
       
79,527,412
     
-
     
-
 
Transportation
     
44,967,102
       
44,967,102
     
-
     
-
 
Utilities
     
7,117,037
       
7,117,037
     
-
     
-
 
Exchange Traded Funds
     
5,277,720
       
5,277,720
     
-
     
-
 
Securities Lending Collateral
     
212,364,501
       
212,364,501
     
-
     
-
 
Total Assets
 
 
$
1,135,179,890
 
 
 
$
1,129,890,026
   
$
5,289,864
   
$
-
 *
                                     
                 
Level 2
 
Level 3
 
Total
 
Level 1
 
Other Significant
 
Significant
 
Value as of
 
Quoted
 
Observable
 
Unobservable
 
May 31, 2017
 
Price
 
Inputs
 
Inputs
 
Securities Sold Short
 
       
 
                       
Basic Industries
 
 
$
(190,519
)
 
 
$
(190,519
)
 
$
-
   
$
-
 
Capital Goods
     
(17,530,092
)
     
(17,530,085
)
   
-
     
(7
)
Communications
     
(4,888,876
)
     
(4,888,876
)
   
-
     
-
 *
Consumer Durables
     
(20,154,702
)
     
(17,322,734
)
   
(2,831,968
)
   
-
 *
Consumer Non-Durables
     
(16,951,541
)
     
(16,951,538
)
   
-
     
(3
)
Consumer Services
     
(45,890,074
)
     
(45,889,724
)
   
(350
)
   
-
 
Energy
     
(5
)
     
-
     
(5
)
   
-
 
Finance
     
(8,286,342
)
     
(8,286,342
)
           
-
 
Health Care
     
(51,042,563
)
     
(51,042,563
)
   
-
     
-
 *
Real Estate Investment Trusts
     
(2,252,322
)
     
(2,252,322
)
   
-
     
-
 
Technology
     
(79,159,196
)
     
(79,159,125
)
   
-
     
(71
)
Utilities
     
(21,644,522
)
     
(21,644,522
)
   
-
     
-
 
Exchange Traded Funds
     
(16,021,899
)
     
(16,021,899
)
   
-
     
-
 
Options Written
                                   
     Equity Contracts
     
(1,069,995
)
     
(693,105
)
   
(376,890
)
   
-
 
Total Liabilities
 
 
$
(285,082,648
)
 
 
$
(281,873,354
)
 
$
(3,209,213
)
 
$
(81
)
                                     
* As of May 31, 2017, Level 3 fair valued securities amounted to less than $1.
                       
 
The accompanying notes are an integral part of the portfolio of investments.

11


BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS LONG/SHORT RESEARCH FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
LONG POSITIONS—100.2%
           
COMMON STOCKS—94.6%
           
Basic Industries—5.3%
           
Berry Global Group, Inc.*Ɨ
   
728,096
   
$
42,222,287
 
Celanese Corp.
   
300,388
     
25,998,581
 
Crown Holdings, Inc.*
   
608,274
     
35,121,741
 
Ferro Corp.*
   
540,025
     
9,050,819
 
FMC Corp.
   
209,994
     
15,827,248
 
Graphic Packaging Holding Co.Ɨ
   
2,448,384
     
33,077,668
 
PPG Industries, Inc.Ɨ
   
360,077
     
38,297,790
 
RPC Group PLC
   
1,655,446
     
18,320,199
 
Steel Dynamics, Inc.
   
630,731
     
21,438,547
 
Stornoway Diamond Corp.*
   
26,913,645
     
16,337,261
 
SunCoke Energy, Inc.*
   
1,506,013
     
13,162,553
 
Valvoline, Inc.
   
995,220
     
22,263,071
 
WestRock Co.Ɨ
   
615,088
     
33,473,089
 
Yara International ASA
   
531,047
     
19,784,087
 
               
344,374,941
 
Capital Goods—12.5%
               
AMETEK, Inc.
   
537,963
     
32,826,502
 
BAE Systems PLC
   
1,923,807
     
16,559,201
 
Carlisle Cos., Inc.
   
274,479
     
27,812,957
 
CRH PLC
   
679,306
     
24,541,741
 
General Dynamics Corp.Ɨ
   
298,244
     
60,618,093
 
Honeywell International, Inc.Ɨ
   
270,003
     
35,907,699
 
Huntington Ingalls Industries, Inc.
   
144,602
     
28,314,518
 
Illinois Tool Works, Inc.
   
188,003
     
26,549,784
 
Ingersoll-Rand PLCƗ
   
202,917
     
18,181,363
 
Koninklijke Philips NV
   
1,107,198
     
39,124,498
 
L3 Technologies, Inc.
   
119,959
     
20,223,888
 
Lockheed Martin Corp.Ɨ
   
187,686
     
52,764,165
 
Masco Corp.Ɨ
   
1,099,358
     
40,951,085
 
Northrop Grumman Corp.Ɨ
   
126,365
     
32,756,335
 
Owens Corning
   
250,267
     
15,616,661
 
Raytheon Co.Ɨ
   
342,454
     
56,165,881
 
Siemens AG, Registered Shares
   
381,230
     
54,523,281
 
Snap-on, Inc.
   
127,170
     
20,558,302
 
Spirit AeroSystems Holdings, Inc.
   
244,332
     
13,313,651
 
Stanley Black & Decker, Inc.Ɨ
   
282,493
     
38,882,337
 
Textron, Inc.Ɨ
   
1,075,770
     
51,421,806
 
Tutor Perini Corp.*
   
516,245
     
13,396,558
 
United Technologies Corp.Ɨ
   
330,682
     
40,105,113
 
Vinci SA
   
198,818
     
17,390,047
 
WABCO Holdings, Inc.*
   
149,283
     
18,185,655
 
Wienerberger AG
   
559,718
     
13,194,579
 
               
809,885,700
 
The accompanying notes are an integral part of the portfolio of investments.
1

Communications—7.6%
               
Alphabet, Inc., Class A*Ɨ
   
120,902
     
119,341,155
 
Baidu, Inc. - Sponsored ADR*Ɨ
   
162,900
     
30,315,690
 
Comcast Corp., Class AƗ
   
1,743,716
     
72,695,520
 
Liberty Broadband Corp., Class C*Ɨ
   
124,725
     
11,121,728
 
Liberty Global PLC LiLAC, Class C*Ɨ
   
517,925
     
10,855,708
 
Liberty Global PLC, Series C*Ɨ
   
1,779,095
     
52,874,703
 
NetEase, Inc. - ADRƗ
   
229,348
     
65,313,724
 
Priceline Group, Inc., (The)*
   
8,129
     
15,258,865
 
Telecom Italia SpA/Milano*
   
9,249,586
     
8,683,102
 
VeriSign, Inc.*
   
117,443
     
10,588,661
 
Verizon Communications, Inc.Ɨ
   
593,644
     
27,687,556
 
Vodafone Group PLC
   
8,686,169
     
25,940,032
 
Yandex NV, Class A*
   
482,568
     
12,778,401
 
YY, Inc. - ADR*
   
497,877
     
29,046,144
 
               
492,500,989
 
Consumer Durables—1.0%
               
BorgWarner, Inc.
   
730,268
     
31,043,693
 
Brunswick Corp.
   
606,183
     
33,497,672
 
               
64,541,365
 
Consumer Non-Durables—3.9%
               
Activision Blizzard, Inc.
   
301,557
     
17,665,209
 
Altria Group, Inc.
   
544,826
     
41,101,673
 
Coca-Cola Bottlers Japan, Inc.
   
1,051,000
     
33,865,811
 
Coca-Cola European Partners PLC
   
939,640
     
38,562,826
 
Electronic Arts, Inc.*
   
358,298
     
40,605,912
 
Greencore Group PLC
   
7,291,989
     
22,702,436
 
Hasbro, Inc.
   
138,088
     
14,535,143
 
Nomad Foods Ltd.*
   
3,166,963
     
44,812,527
 
               
253,851,537
 
Consumer Services—11.2%
               
Alibaba Group Holding Ltd. - Sponsored ADR*
   
329,345
     
40,331,589
 
Babcock International Group PLC
   
2,806,587
     
33,770,601
 
CBS Corp., Class B non-voting sharesƗ
   
721,539
     
44,093,248
 
CVS Health Corp.Ɨ
   
234,387
     
18,007,953
 
eBay, Inc.*
   
1,661,467
     
56,988,318
 
Home Depot, Inc., (The)
   
148,114
     
22,736,980
 
Interpublic Group of Cos., Inc., (The)
   
1,691,011
     
42,156,904
 
Lowe's Cos., Inc.Ɨ
   
256,182
     
20,179,456
 
Moneysupermarket.com Group PLC
   
6,855,455
     
30,809,278
 
Nielsen Holdings PLC
   
937,522
     
36,075,847
 
Omnicom Group, Inc.Ɨ
   
429,402
     
35,949,535
 
ProSiebenSat.1 Media SE
   
996,324
     
42,336,527
 
Robert Half International, Inc.Ɨ
   
594,734
     
27,649,184
 
Scripps Networks Interactive, Inc., Class A
   
612,134
     
40,535,514
 
Six Flags Entertainment Corp.
   
561,571
     
33,907,657
 
Tesco PLC*
   
13,954,820
     
33,080,671
 
Time Warner, Inc.Ɨ
   
648,903
     
64,559,359
 
TJX Cos., Inc., (The)
   
267,388
     
20,110,252
 
Twenty-First Century Fox, Inc., Class A
   
1,751,564
     
47,502,416
 
Vipshop Holdings Ltd.*
   
997,543
     
12,339,607
 
WPP PLC
   
1,205,125
     
27,118,257
 
               
730,239,153
 
The accompanying notes are an integral part of the portfolio of investments.
2

Energy—7.3%
               
Chevron Corp.
   
275,992
     
28,559,652
 
Cimarex Energy Co.
   
257,474
     
27,693,904
 
Diamondback Energy, Inc.*
   
471,353
     
43,722,704
 
Energen Corp.*
   
732,710
     
41,793,778
 
Enerplus Corp.
   
2,876,831
     
22,680,720
 
Gulfport Energy Corp.*
   
1,102,780
     
15,824,893
 
Halcon Resources Corp.*
   
2,930,000
     
14,239,800
 
Jagged Peak Energy, Inc.*
   
1,569,882
     
20,424,165
 
Kosmos Energy Ltd.*Ɨ
   
1,086,916
     
6,521,496
 
Marathon Petroleum Corp.
   
704,724
     
36,673,837
 
Parsley Energy, Inc., Class A*Ɨ
   
1,216,152
     
36,058,907
 
Pioneer Natural Resources Co.
   
193,499
     
32,287,243
 
QEP Resources, Inc.*
   
2,101,850
     
21,018,500
 
RSP Permian, Inc.*
   
650,146
     
23,138,696
 
Tesoro Corp.
   
545,691
     
45,423,319
 
TOTAL SA
   
525,993
     
27,787,314
 
Viper Energy Partners LP
   
1,232,239
     
20,972,708
 
WildHorse Resource Development Corp.*
   
980,246
     
11,684,532
 
               
476,506,168
 
Finance—18.6%
               
Air Lease Corp.
   
284,174
     
10,491,704
 
Alleghany Corp.*
   
41,787
     
24,543,177
 
Allstate Corp., (The)Ɨ
   
461,079
     
39,809,561
 
American International Group, Inc.
   
402,229
     
25,593,831
 
Aon PLC
   
340,884
     
44,625,124
 
Bank of America Corp.Ɨ
   
3,264,174
     
73,150,139
 
BB&T Corp.Ɨ
   
492,310
     
20,504,711
 
Berkshire Hathaway, Inc. Class B*Ɨ
   
195,012
     
32,231,583
 
Capital One Financial Corp.Ɨ
   
370,543
     
28,502,168
 
Charles Schwab Corp., (The)Ɨ
   
882,049
     
34,179,399
 
Chubb Ltd.Ɨ
   
188,746
     
27,026,540
 
Citigroup, Inc.Ɨ
   
1,172,164
     
70,962,809
 
Citizens Financial Group, Inc.Ɨ
   
404,112
     
13,780,219
 
Discover Financial ServicesƗ
   
696,856
     
40,905,447
 
East West Bancorp, Inc.
   
521,591
     
28,546,675
 
Fifth Third BancorpƗ
   
1,020,771
     
24,233,104
 
Goldman Sachs Group, Inc., (The)Ɨ
   
106,145
     
22,424,193
 
Huntington Bancshares, Inc.Ɨ
   
2,789,718
     
34,983,064
 
ICICI Bank Ltd. - ADR
   
1,833,709
     
18,190,393
 
Jardine Lloyd Thompson Group PLC
   
602,811
     
9,164,921
 
JPMorgan Chase & Co.Ɨ
   
726,416
     
59,675,074
 
Lloyds Banking Group PLC
   
28,357,640
     
25,812,164
 
Marsh & McLennan Cos., Inc.
   
313,995
     
24,353,452
 
Melrose Industries PLC
   
4,113,193
     
12,679,338
 
MetLife, Inc.
   
498,350
     
25,211,527
 
Morgan Stanley
   
187,884
     
7,842,278
 
Navient Corp.Ɨ
   
2,148,146
     
30,997,747
 
NCS Multistage Holdings, Inc.*
   
950,275
     
24,935,216
 
Raymond James Financial, Inc.
   
353,235
     
25,528,293
 
Regions Financial Corp.
   
1,435,803
     
19,871,514
 
Silver Run Acquisition Corp. II*
   
2,473,256
     
25,969,188
 
SLM Corp.*
   
3,033,609
     
31,519,198
 
Sompo Holdings, Inc.
   
609,300
     
23,508,724
 
State Street Corp.Ɨ
   
394,416
     
32,129,127
 
SunTrust Banks, Inc.Ɨ
   
401,198
     
21,411,937
 
Swiss Re AG
   
242,576
     
22,118,192
 
Synchrony Financial
   
1,125,193
     
30,211,432
 
TD Ameritrade Holding Corp.Ɨ
   
656,113
     
24,512,382
 
Travelers Cos., Inc., (The)Ɨ
   
150,294
     
18,764,206
 
Unum GroupƗ
   
574,611
     
25,846,003
 
US Bancorp
   
424,025
     
21,578,632
 
Wells Fargo & Co.Ɨ
   
1,039,117
     
53,140,443
 
               
1,211,464,829
 
 The accompanying notes are an integral part of the portfolio of investments.
3

 
Health Care—7.9%
               
Anthem, Inc.Ɨ
   
268,975
     
49,047,591
 
Cardinal Health, Inc.Ɨ
   
299,000
     
22,212,710
 
Celgene Corp.*
   
168,690
     
19,299,823
 
Cigna Corp.Ɨ
   
254,483
     
41,030,294
 
DaVita HealthCare Partners, Inc.*
   
389,344
     
25,797,933
 
Express Scripts Holding Co.*
   
269,925
     
16,128,019
 
Gilead Sciences, Inc.Ɨ
   
465,658
     
30,216,548
 
Johnson & JohnsonƗ
   
398,614
     
51,122,245
 
Laboratory Corp. of America Holdings*Ɨ
   
223,043
     
31,002,977
 
Merck & Co., Inc.Ɨ
   
855,257
     
55,685,783
 
Pfizer, Inc.Ɨ
   
751,450
     
24,534,842
 
Quest Diagnostics, Inc.
   
240,192
     
26,125,684
 
Roche Holding AG
   
65,884
     
18,088,388
 
Sanofi - ADR
   
312,186
     
15,481,304
 
UnitedHealth Group, Inc.
   
173,834
     
30,452,240
 
Universal Health Services, Inc., Class B
   
236,594
     
26,891,274
 
Waters Corp.*
   
86,889
     
15,607,002
 
Zimmer Biomet Holdings, Inc.
   
137,765
     
16,422,966
 
               
515,147,623
 
Technology—17.1%
               
Alliance Data Systems Corp.
   
53,357
     
12,865,973
 
Amdocs Ltd.Ɨ
   
650,824
     
42,160,379
 
Apple, Inc.
   
200,100
     
30,567,276
 
Arrow Electronics, Inc.*Ɨ
   
513,304
     
38,800,649
 
Broadcom Ltd.Ɨ
   
234,481
     
56,153,510
 
Brocade Communications Systems, Inc.Ɨ
   
2,122,046
     
26,801,441
 
Cap Gemini SA
   
301,710
     
31,241,000
 
CDW Corp.Ɨ
   
332,178
     
19,990,472
 
Cisco Systems, Inc.Ɨ
   
1,102,732
     
34,769,140
 
CommScope Holding Co., Inc.*
   
431,371
     
15,956,413
 
Dell Technologies Inc., Class V*
   
74,816
     
5,191,482
 
DXC Technology Co.Ɨ
   
813,226
     
63,041,280
 
Eaton Corp. PLC
   
479,349
     
37,092,026
 
EnerSys
   
99,584
     
7,375,191
 
Equiniti Group PLC
   
1,394,192
     
4,019,307
 
EVERTEC, Inc.Ɨ
   
688,058
     
11,352,957
 
Flextronics International Ltd.*Ɨ
   
3,408,589
     
58,832,246
 
Harris Corp.Ɨ
   
617,830
     
69,295,813
 
Hewlett Packard Enterprise Co.Ɨ
   
2,653,529
     
49,912,880
 
Hollysys Automation Technologies, Ltd.
   
166,966
     
2,669,786
 
HP, Inc.
   
467,391
     
8,768,255
 
Jabil Circuit, Inc.Ɨ
   
644,603
     
19,286,522
 
KLA-Tencor Corp.
   
272,002
     
28,288,208
 
Leidos Holdings, Inc.Ɨ
   
508,015
     
28,225,313
 
Marvell Technology Group Ltd.
   
2,241,315
     
38,640,271
 
Microsoft Corp.Ɨ
   
802,774
     
56,065,736
 
ON Semiconductor Corp.*Ɨ
   
3,356,674
     
51,961,314
 
Oracle Corp.Ɨ
   
1,352,793
     
61,403,274
 
PayPal Holdings, Inc.*Ɨ
   
274,933
     
14,354,252
 
Qorvo, Inc.*
   
193,301
     
15,067,813
 
Samsung Electronics Co., Ltd.
   
34,577
     
68,867,122
 
TE Connectivity Ltd.Ɨ
   
478,094
     
37,697,712
 
Texas Instruments, Inc.Ɨ
   
550,889
     
45,442,834
 
Versum Materials, Inc.
   
564,946
     
17,535,924
 
               1,109,693,771  
The accompanying notes are an integral part of the portfolio of investments. 
4

Transportation—0.5%
               
Delta Air Lines, Inc.Ɨ
   
334,445
     
16,431,283
 
United Continental Holdings, Inc.*
   
177,415
     
14,134,653
 
               
30,565,936
 
Utilities—1.7%
               
AES Corp.
   
2,353,637
     
27,490,480
 
Boardwalk Pipeline Partners LP
   
2,348,774
     
42,442,346
 
Enterprise Products Partners LP
   
959,000
     
25,710,790
 
MPLX LP
   
450,024
     
14,873,293
 
               
110,516,909
 
TOTAL COMMON STOCKS
               
(Cost $4,913,560,444)
           
6,149,288,921
 
PREFERRED STOCKS—0.3%
               
Consumer Durables—0.3%
               
Volkswagen AG
   
110,788
     
16,694,342
 
TOTAL PREFERRED STOCKS
               
(Cost $17,084,898)
           
16,694,342
 
SHORT-TERM INVESTMENTS—5.3%
               
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.58%
   
343,407,763
     
343,407,763
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $343,407,763)
           
343,407,763
 
TOTAL INVESTMENTS—100.2%
               
(Cost $5,274,053,105)**
           
6,509,391,026
 
SECURITIES SOLD SHORT—(47.1%)
               
RIGHTS—(0.0)%
               
Finance—(0.0)%
               
Credit Suisse Group AG*
   
(789,021
)
   
(366,589
)
TOTAL RIGHTS
               
(Proceeds $(403,008))
           
(366,589
)
COMMON STOCKS—(47.1%)
               
Basic Industries—(2.6%)
               
Air Liquide SA
   
(122,800
)
   
(14,977,137
)
Antofagasta PLC
   
(989,303
)
   
(10,240,157
)
AptarGroup, Inc.
   
(263,655
)
   
(22,413,312
)
Balchem Corp.
   
(193,993
)
   
(15,271,129
)
Ball Corp.
   
(642,798
)
   
(26,290,438
)
Bemis Co., Inc.
   
(209,676
)
   
(9,359,937
)
Ingevity Corp.*
   
(156,978
)
   
(9,272,691
)
Kinross Gold Corp.*
   
(3,702,898
)
   
(15,959,490
)
NewMarket Corp.
   
(45,726
)
   
(21,278,594
)
Sonoco Products Co.
   
(474,386
)
   
(24,056,114
)
               
(169,118,999
)
The accompanying notes are an integral part of the portfolio of investments.
5

Capital Goods—(3.4%)
               
Actuant Corp., Class A
   
(728,706
)
   
(18,909,921
)
Airbus Group SE
   
(267,039
)
   
(21,961,628
)
Deere & Co.
   
(162,539
)
   
(19,904,526
)
Flowserve Corp.
   
(125,830
)
   
(6,102,755
)
HB Fuller Co.
   
(341,938
)
   
(17,353,354
)
James Hardie Industries PLC
   
(845,545
)
   
(12,311,397
)
Metso OYJ
   
(268,284
)
   
(9,122,054
)
Middleby Corp., (The)*
   
(152,273
)
   
(19,545,762
)
MTU Aero Engines AG
   
(128,063
)
   
(18,082,884
)
Rolls-Royce Holdings PLC
   
(1,757,086
)
   
(19,664,677
)
Sun Hydraulics Corp.
   
(300,619
)
   
(12,863,487
)
Toro Co., (The)
   
(238,836
)
   
(16,357,878
)
Vallourec SA*
   
(2,530,179
)
   
(15,944,530
)
Wabtec Corp.
   
(127,365
)
   
(10,412,089
)
               
(218,536,942
)
Communications—(2.1%)
               
58.com, Inc. - ADR*
   
(304,846
)
   
(13,108,378
)
Cogent Communications Holdings, Inc.
   
(611,942
)
   
(24,110,515
)
CoStar Group, Inc.*
   
(66,438
)
   
(17,378,188
)
Eutelsat Communications SA
   
(540,685
)
   
(13,917,748
)
Frontier Communications Corp.
   
(3,008,623
)
   
(3,941,296
)
SES SA
   
(672,850
)
   
(16,659,661
)
Sprint Corp.*
   
(2,978,674
)
   
(25,288,942
)
TalkTalk Telecom Group PLC
   
(3,007,413
)
   
(6,877,917
)
Telefonica SA
   
(412,199
)
   
(4,595,984
)
Telefonica SA - ADR
   
(933,865
)
   
(10,477,965
)
               
(136,356,594
)
Consumer Durables—(1.3%)
               
Autoliv, Inc.
   
(190,559
)
   
(21,136,804
)
Harley-Davidson, Inc.
   
(292,470
)
   
(15,503,834
)
Tesla Motors, Inc.*
   
(73,179
)
   
(24,954,771
)
Thor Industries, Inc.
   
(262,760
)
   
(23,787,663
)
               
(85,383,072
)
Consumer Non-Durables—(3.8%)
               
B&G Foods, Inc.
   
(597,015
)
   
(24,208,958
)
Boston Beer Co., Inc. (The)*
   
(134,641
)
   
(19,220,003
)
China Resources Beer Holdings Co., Ltd.*
   
(9,418,000
)
   
(23,743,047
)
Cie Financiere Richemont SA
   
(129,319
)
   
(10,820,929
)
Columbia Sportswear Co.
   
(228,314
)
   
(12,392,884
)
Coty, Inc.
   
(1,114,475
)
   
(21,108,156
)
Gildan Activewear, Inc.
   
(683,570
)
   
(19,782,516
)
Mattel, Inc.
   
(829,571
)
   
(19,005,472
)
McCormick & Co., Inc. non-voting shares
   
(217,413
)
   
(22,643,564
)
Nintendo Co., Ltd.
   
(61,400
)
   
(18,614,423
)
Remy Cointreau SA
   
(102,874
)
   
(11,284,862
)
Snyder's-Lance, Inc.
   
(303,733
)
   
(11,162,188
)
TreeHouse Foods, Inc.*
   
(270,809
)
   
(20,901,039
)
Under Armour, Inc., Class A*
   
(735,413
)
   
(14,090,513
)
               
(248,978,554
)
The accompanying notes are an integral part of the portfolio of investments.
6

Consumer Services—(8.6%)
               
Acxiom Corp.*
   
(459,612
)
   
(12,041,835
)
Buffalo Wild Wings, Inc.*
   
(79,044
)
   
(11,358,623
)
CarMax, Inc.*
   
(364,543
)
   
(22,904,237
)
Casey's General Stores, Inc.
   
(144,777
)
   
(16,850,595
)
Cheesecake Factory Inc., (The)
   
(340,274
)
   
(20,069,361
)
Chipotle Mexican Grill, Inc.*
   
(40,058
)
   
(19,121,686
)
Cimpress NV*
   
(318,647
)
   
(28,149,276
)
Cracker Barrel Old Country Store, Inc.
   
(101,443
)
   
(16,921,707
)
Dollar General Corp.
   
(218,660
)
   
(16,047,457
)
Dollarama, Inc.
   
(157,592
)
   
(14,597,836
)
Dunkin' Brands Group, Inc.
   
(278,092
)
   
(16,271,163
)
FactSet Research Systems, Inc.
   
(111,231
)
   
(18,429,864
)
Hennes & Mauritz AB, Class B
   
(771,515
)
   
(19,190,384
)
Just Eat PLC*
   
(2,203,177
)
   
(19,081,194
)
Kohl's Corp.
   
(272,649
)
   
(10,477,901
)
Medidata Solutions, Inc.*
   
(346,473
)
   
(24,661,948
)
Multi-Color Corp.
   
(206,168
)
   
(17,709,831
)
Netflix, Inc.*
   
(142,161
)
   
(23,182,194
)
Next PLC
   
(245,775
)
   
(13,827,486
)
Norwegian Cruise Line Holdings Ltd.*
   
(259,588
)
   
(12,971,612
)
Pearson PLC
   
(3,113,237
)
   
(28,355,820
)
PriceSmart, Inc.
   
(170,224
)
   
(15,022,268
)
Ritchie Bros. Auctioneers, Inc.
   
(783,256
)
   
(24,312,266
)
Rollins, Inc.
   
(277,590
)
   
(11,955,801
)
SeaWorld Entertainment, Inc.
   
(1,179,857
)
   
(21,060,448
)
Television Francaise 1
   
(1,929,784
)
   
(24,783,327
)
Texas Roadhouse, Inc.
   
(257,357
)
   
(12,589,905
)
Ultimate Software Group Inc., (The)*
   
(113,485
)
   
(25,050,679
)
Wayfair, Inc.*
   
(415,174
)
   
(26,135,203
)
Whole Foods Market, Inc.
   
(380,163
)
   
(13,301,903
)
               
(556,433,810
)
Energy—(3.6%)
               
Apache Corp.
   
(539,054
)
   
(25,206,165
)
Carrizo Oil & Gas, Inc.*
   
(751,661
)
   
(16,491,442
)
Ecopetrol SA
   
(1,195,508
)
   
(10,914,988
)
Hess Corp.
   
(569,545
)
   
(26,136,420
)
HollyFrontier Corp.
   
(996,815
)
   
(23,823,879
)
Laredo Petroleum, Inc.*
   
(1,757,874
)
   
(20,655,020
)
Murphy Oil Corp.
   
(891,172
)
   
(21,753,509
)
National Oilwell Varco, Inc.
   
(623,661
)
   
(20,375,005
)
Neste Oyj
   
(428,875
)
   
(17,018,071
)
Transocean Ltd.*
   
(1,733,580
)
   
(15,758,242
)
Ultra Petroleum Corp.*
   
(1,356,986
)
   
(15,293,232
)
Whiting Petroleum Corp.*
   
(2,574,939
)
   
(18,179,069
)
               
(231,605,042
)
The accompanying notes are an integral part of the portfolio of investments.
7

Finance—(7.3%)
               
Aberdeen Asset Management PLC
   
(2,409,693
)
   
(8,978,015
)
BancorpSouth, Inc.
   
(380,953
)
   
(10,933,351
)
Bank of East Asia Ltd., (The)
   
(3,887,650
)
   
(16,410,455
)
Bankinter SA
   
(1,350,645
)
   
(12,449,271
)
BOK Financial Corp.
   
(116,985
)
   
(9,420,802
)
CaixaBank SA
   
(1,964,946
)
   
(9,297,299
)
Canadian Western Bank
   
(680,154
)
   
(12,219,963
)
Cincinnati Financial Corp.
   
(219,431
)
   
(15,377,724
)
Community Bank System, Inc.
   
(323,112
)
   
(17,370,501
)
Credit Suisse Group AG
   
(789,021
)
   
(10,775,196
)
Cullen/Frost Bankers, Inc.
   
(121,892
)
   
(11,172,621
)
CVB Financial Corp.
   
(711,691
)
   
(14,447,327
)
Eaton Vance Corp.
   
(556,404
)
   
(25,911,734
)
Financial Engines, Inc.
   
(410,715
)
   
(15,566,099
)
First Financial Bankshares, Inc.
   
(763,107
)
   
(29,188,843
)
Glacier Bancorp, Inc.
   
(401,546
)
   
(12,953,874
)
Hang Seng Bank Ltd.
   
(630,900
)
   
(13,310,535
)
Hiscox Ltd.
   
(1,183,502
)
   
(18,725,477
)
M&T Bank Corp.
   
(67,819
)
   
(10,611,639
)
MB Financial, Inc.
   
(280,383
)
   
(11,546,172
)
Mercury General Corp.
   
(286,049
)
   
(16,018,744
)
Mobile Mini, Inc.
   
(622,340
)
   
(17,425,520
)
New York Community Bancorp, Inc.
   
(860,944
)
   
(11,123,396
)
People's United Financial, Inc.
   
(781,793
)
   
(12,954,310
)
Prosperity Bancshares, Inc.
   
(184,386
)
   
(11,549,939
)
RLI Corp.
   
(261,975
)
   
(14,550,092
)
Trustmark Corp.
   
(451,025
)
   
(13,715,670
)
UMB Financial Corp.
   
(171,496
)
   
(12,009,865
)
United Bankshares, Inc.
   
(495,136
)
   
(18,938,952
)
Valley National Bancorp
   
(931,549
)
   
(10,507,873
)
Verisk Analytics, Inc.*
   
(189,177
)
   
(15,302,528
)
Westamerica Bancorporation
   
(465,289
)
   
(23,873,979
)
WisdomTree Investments, Inc.
   
(1,030,063
)
   
(9,795,899
)
               
(474,433,665
)
Health Care—(4.1%)
               
AmerisourceBergen Corp.
   
(171,971
)
   
(15,781,779
)
Bristol-Myers Squibb Co.
   
(375,845
)
   
(20,276,838
)
Chugai Pharmaceutical Co., Ltd.
   
(431,600
)
   
(16,415,356
)
Coloplast A/S, Class B
   
(150,156
)
   
(12,860,079
)
Elekta AB, Class B
   
(1,204,027
)
   
(12,067,046
)
Eli Lilly & Co.
   
(248,361
)
   
(19,762,085
)
Henry Schein, Inc.*
   
(56,969
)
   
(10,480,587
)
IDEXX Laboratories, Inc.*
   
(91,236
)
   
(15,363,230
)
Illumina, Inc.*
   
(75,440
)
   
(13,380,039
)
Intuitive Surgical, Inc.*
   
(27,046
)
   
(24,738,435
)
Juno Therapeutics, Inc.*
   
(523,749
)
   
(12,166,689
)
Ono Pharmaceutical Co., Ltd.
   
(623,100
)
   
(12,960,158
)
Sonova Holding AG
   
(81,528
)
   
(13,504,044
)
Takeda Pharmaceutical Co., Ltd.
   
(231,500
)
   
(11,931,471
)
Teladoc, Inc.*
   
(367,028
)
   
(11,231,057
)
TESARO, Inc.*
   
(68,030
)
   
(10,157,559
)
West Pharmaceutical Services, Inc.
   
(228,144
)
   
(22,134,531
)
Wright Medical Group NV*
   
(498,706
)
   
(13,325,424
)
               
(268,536,407
)
 The accompanying notes are an integral part of the portfolio of investments.
8

Real Estate Investment Trusts—(0.9%)
               
Equinix, Inc.
   
(65,023
)
   
(28,675,793
)
Pebblebrook Hotel Trust
   
(404,770
)
   
(12,515,488
)
Washington Prime Group, Inc.
   
(2,548,171
)
   
(19,442,545
)
               
(60,633,826
)
Technology—(8.1%)
               
2U, Inc.*
   
(396,274
)
   
(16,940,714
)
ACI Worldwide, Inc.*
   
(1,496,145
)
   
(34,201,875
)
Arista Networks, Inc.*
   
(218,222
)
   
(32,161,558
)
Bitauto Holdings Ltd.*
   
(236,776
)
   
(6,236,680
)
Blackbaud, Inc.
   
(301,225
)
   
(24,920,344
)
Cavium, Inc.*
   
(214,373
)
   
(15,642,798
)
Cognex Corp.
   
(193,385
)
   
(17,696,661
)
Dassault Systemes SA
   
(223,002
)
   
(20,563,011
)
Electronics For Imaging, Inc.*
   
(482,245
)
   
(22,868,058
)
F5 Networks, Inc.*
   
(103,198
)
   
(13,222,760
)
Guidewire Software, Inc.*
   
(377,648
)
   
(25,083,380
)
Hexagon AB, Class B
   
(462,990
)
   
(20,267,380
)
Infineon Technologies AG
   
(703,046
)
   
(15,568,688
)
Infosys Ltd.
   
(1,050,162
)
   
(15,857,446
)
Itron, Inc.*
   
(304,940
)
   
(20,629,191
)
Knowles Corp.*
   
(1,192,311
)
   
(20,424,287
)
National Instruments Corp.
   
(654,642
)
   
(24,974,592
)
Palo Alto Networks, Inc.*
   
(70,936
)
   
(8,412,300
)
Proofpoint, Inc.*
   
(261,526
)
   
(22,491,236
)
salesforce.com, Inc.*
   
(226,006
)
   
(20,259,178
)
Snap, Inc.*
   
(449,463
)
   
(9,533,110
)
Telefonaktiebolaget LM Ericsson
   
(1,557,260
)
   
(11,350,843
)
United Microelectronics Corp.
   
(10,792,130
)
   
(22,231,788
)
Veeva Systems, Inc., Class A*
   
(404,512
)
   
(25,702,693
)
ViaSat, Inc.*
   
(136,741
)
   
(8,922,350
)
Wipro Ltd. - ADR
   
(2,346,234
)
   
(25,292,403
)
Workday, Inc. Class A*
   
(249,249
)
   
(24,919,915
)
               
(526,375,239
)
Transportation—(1.1%)
               
Heartland Express, Inc.
   
(672,944
)
   
(13,088,761
)
JB Hunt Transport Services, Inc.
   
(151,870
)
   
(12,966,661
)
Kuehne + Nagel International AG
   
(101,711
)
   
(16,424,970
)
Old Dominion Freight Line, Inc.
   
(137,538
)
   
(12,284,894
)
Panalpina Welttransport Holding AG
   
(130,700
)
   
(17,955,855
)
               
(72,721,141
)
Utilities—(0.2%)
               
Tallgrass Energy GP LP
   
(460,965
)
   
(11,879,068
)
TOTAL COMMON STOCKS
               
(Proceeds $(2,766,968,935))
           
(3,060,992,359
)
TOTAL SECURITIES SOLD SHORT—(47.1%)
               
(Proceeds $(2,767,371,943))
           
(3,061,358,948
)
OTHER ASSETS IN EXCESS OF LIABILITIES—46.9%
           
3,048,416,308
 
NET ASSETS—100.0%
         
$
6,496,448,386
 
 
ADR
American Depositary Receipt
       
PLC
Public Limited Company
       
*
Non-income producing.
       
Ɨ
Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
       
**
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
       
             
   
Cost of investments 
 
5,274,053,105 
 
   
Gross unrealized appreciation 
 
1,379,249,521 
 
   
Gross unrealized (depreciation) 
     (143,911,600
   
Net unrealized appreciation (depreciation) 
   1,235,337,921  
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
         
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
         
most recent annual report.
         
                 
The accompanying notes are an integral part of the portfolio of investments.
         

9

 
Contracts For Difference held by the Fund at May 31, 2017, are as follows:
 
 
          
Number of
Contracts
   
Notional
   
Unrealized
Appreciation
 
 
Reference Company
 
 
  Counterparty 
 
Long/(Short)
   
Amount
   
(Depreciation)
 
 
Long
                     
 
China
                     
 
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A
 
Goldman Sachs
   
1,389,911
   
$
17,002,438
   
$
760,334
 
 
Wuliangye Yibin Co., Ltd., Class A
 
Goldman Sachs
   
5,510,112
     
38,068,615
     
612,749
 
 
 
       
6,900,023
     
55,071,053
     
1,373,083
 
 
Total Long 
                         1,373,083  
                               
 
Short
                           
 
Hong Kong
                           
 
Semiconductor Manufacturing
 
Goldman Sachs
   
(19,013,600
)
 
$
(20,802,439
)
 
$
765,544
 
 
South Korea
                           
 
Hyundai Motor Co.
 
Goldman Sachs
   
(193,284
)
   
(27,276,761
)
   
(899,280
)
 
Taiwan
                           
 
AU Optronics Corp.
 
Goldman Sachs
   
(12,006,000
)
   
(4,688,784
)
   
(13,456
)
 
Innolux Corp.
 
Goldman Sachs
   
(34,122,000
)
   
(14,911,314
)
   
(499,444
)
           
(46,128,000
)
   
(19,600,098
)
   
(512,900
)
 
Total Short
                       
(646,636
)
 
Net unrealized gain/(loss) on Contracts For difference
                     
$
726,447
 
 
The accompanying notes are an integral part of the portfolio of investments.

10

BOSTON PARTNERS INVESTMENT FUNDS
MAY 31, 2017 (unaudited)
 
 
BOSTON PARTNERS LONG/SHORT RESEARCH FUND Portfolio of Investments
                           
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
  
       
Total
Value as of
May 31, 2017
       
Level 1
Quoted
Price
     
Level 2
Other Significant
Observable
Inputs
     
Level 3
Significant
Unobservable
Inputs
 
Common Stocks
 
     
 
                 
Basic Industries
 
 
$
344,374,941
 
 
 
$
306,270,655
   
$
38,104,286
   
$
-
 
Capital Goods
     
809,885,700
       
657,746,931
     
152,138,769
     
-
 
Communications
     
492,500,989
       
457,877,855
     
34,623,134
     
-
 
Consumer Durables
     
64,541,365
       
64,541,365
     
-
     
-
 
Consumer Non-Durables
     
253,851,537
       
197,283,290
     
56,568,247
     
-
 
Consumer Services
     
730,239,153
       
563,123,818
     
167,115,334
     
-
 
Energy
     
476,506,168
       
434,479,054
     
42,027,114
     
-
 
Finance
     
1,211,464,829
       
1,140,025,748
     
71,439,081
     
-
 
Health Care
     
515,147,623
       
497,059,236
     
18,088,387
     
-
 
Technology
     
1,109,693,771
       
1,009,585,649
     
100,108,122
     
-
 
Transportation
     
30,565,936
       
30,565,936
     
-
     
-
 
Utilities
     
110,516,909
       
110,516,909
     
-
     
-
 
Preferred Stocks
                                   
Consumer Durables
     
16,694,342
       
-
     
16,694,342
     
-
 
Short-Term Investments
     
343,407,763
       
343,407,763
     
-
     
-
 
Contracts For Difference
     
-
                           
     Equity Contracts
 
   
1,373,083
 
 
   
-
     
1,373,083
     
-
 
Total Assets
 
 
$
6,510,764,109
 
 
 
$
5,812,484,209
   
$
698,279,899
   
$
 
 
         
Total
Value as of
May 31, 2017
       
Level 1
Quoted
Price
     
Level 2
Other Significant
Observable
Inputs
     
Level 3
Significant
Unobservable
Inputs 
 
Securities Sold Short
 
       
 
                       
Basic Industries
 
 
$
(169,118,999
)
 
 
$
(143,901,704
)
 
$
(25,217,295
)
 
$
-
 
Capital Goods
     
(218,536,942
)
     
(121,449,771
)
   
(97,087,171
)
   
-
 
Communications
     
(136,356,594
)
     
(101,183,202
)
   
(35,173,392
)
   
-
 
Consumer Durables
     
(85,383,072
)
     
(85,383,072
)
   
-
     
-
 
Consumer Non-Durables
     
(248,978,554
)
     
(184,515,292
)
   
(64,463,262
)
   
-
 
Consumer Services
     
(556,433,810
)
     
(451,195,600
)
   
(105,238,210
)
   
-
 
Energy
     
(231,605,042
)
     
(214,586,971
)
   
(17,018,071
)
   
-
 
Finance
     
(474,800,254
)
     
(403,579,483
)
   
(71,220,771
)
   
-
 
Health Care
     
(268,536,407
)
     
(188,798,252
)
   
(79,738,155
)
   
-
 
Real Estate Investment Trusts
     
(60,633,826
)
     
(60,633,826
)
   
-
     
-
 
Technology
     
(526,375,239
)
     
(458,625,317
)
   
(67,749,922
)
   
-
 
Transportation
     
(72,721,141
)
     
(38,340,316
)
   
(34,380,825
)
   
-
 
Utilities
     
(11,879,068
)
     
(11,879,068
)
   
-
     
-
 
Contracts For Difference
                                   
     Equity Contracts
 
   
(646,636
)
 
   
-
     
(646,636
)
   
-
 
Total Liabilities
 
 
$
(3,062,005,584
)
 
 
$
(2,464,071,874
)
 
$
(597,933,710
)
 
$
 
 
The accompanying notes are an integral part of the portfolio of investments.

11


BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS ALL-CAP VALUE FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
RIGHTS—0.0%
           
Technology—0.0%
           
CVR Banctec Inc. - Escrow Shares*ǂ
   
14,327
   
$
0
 
TOTAL RIGHTS
               
(Cost $0)
           
0
 
COMMON STOCKS—95.7%
               
Basic Industries—1.6%
               
Crown Holdings, Inc.*(a)
   
134,525
     
7,767,473
 
FMC Corp.(a)
   
65,694
     
4,951,357
 
Graphic Packaging Holding Co.
   
399,408
     
5,396,002
 
PPG Industries, Inc.(a)
   
81,216
     
8,638,134
 
             
26,752,966
 
Capital Goods—6.4%
               
AMETEK, Inc.(a)
   
155,231
     
9,472,196
 
CRH PLC - Sponsored ADR
   
143,203
     
5,172,492
 
General Dynamics Corp.
   
72,388
     
14,712,861
 
Ingersoll-Rand PLC
   
71,139
     
6,374,055
 
Masco Corp.
   
162,028
     
6,035,543
 
Raytheon Co.(a)
   
98,130
     
16,094,301
 
Spirit AeroSystems Holdings, Inc.
   
85,370
     
4,651,811
 
Stanley Black & Decker, Inc.
   
95,669
     
13,167,881
 
Textron, Inc.
   
128,767
     
6,155,063
 
United Technologies Corp.(a)
   
149,292
     
18,106,134
 
WABCO Holdings, Inc.*
   
34,576
     
4,212,048
 
WESCO International, Inc.*
   
88,661
     
5,421,620
 
             
109,576,005
 
Communications—3.8%
               
Alphabet, Inc., Class A*
   
19,113
     
18,866,251
 
Comcast Corp., Class A
   
240,972
     
10,046,123
 
IAC/InterActiveCorp*(a)
   
120,627
     
12,827,475
 
NetEase, Inc. - ADR
   
42,003
     
11,961,614
 
YY, Inc. - ADR*
   
179,755
     
10,486,907
 
             
64,188,370
 
Consumer Durables—1.4%
               
Brunswick Corp.
   
234,412
     
12,953,607
 
Lear Corp.
   
67,854
     
10,112,960
 
             
23,066,567
 
Consumer Non-Durables—2.7%
               
Activision Blizzard, Inc.(a)
   
121,906
     
7,141,254
 
Electronic Arts, Inc.*(a)
   
62,345
     
7,065,559
 
PepsiCo, Inc.
   
229,916
     
26,870,283
 
Reynolds American, Inc.
   
76,777
     
5,163,253
 
             
46,240,349
 
 
The accompanying notes are an integral part of the portfolio of investments.
1

Consumer Services—7.0%
               
Best Buy Co, Inc.(a)
   
178,225
     
10,584,783
 
CVS Health Corp.(a)
   
189,522
     
14,560,975
 
eBay, Inc.*
   
862,161
     
29,572,122
 
Huron Consulting Group, Inc.*
   
104,178
     
4,328,596
 
Interpublic Group of Cos., Inc., (The)(a)
   
646,718
     
16,122,680
 
Lowe's Cos., Inc.
   
107,602
     
8,475,810
 
ManpowerGroup, Inc.
   
100,753
     
10,263,708
 
Nielsen Holdings PLC(a)
   
200,092
     
7,699,540
 
Omnicom Group, Inc.(a)
   
85,976
     
7,197,911
 
Robert Half International, Inc.
   
94,774
     
4,406,043
 
Scripps Networks Interactive, Inc., Class A(a)
   
64,892
     
4,297,148
 
Sportsman's Warehouse Holdings, Inc.*(a)
   
332,998
     
1,941,379
 
             
119,450,695
 
Energy—7.3%
               
Anadarko Petroleum Corp.
   
112,987
     
5,709,233
 
Cimarex Energy Co.
   
90,111
     
9,692,339
 
Diamondback Energy, Inc.*(a)
   
78,955
     
7,323,866
 
Energen Corp.*(a)
   
175,079
     
9,986,506
 
EQT Corp.(a)
   
180,302
     
9,965,291
 
Gulfport Energy Corp.*
   
260,806
     
3,742,566
 
Halcon Resources Corp.*
   
790,000
     
3,839,400
 
Marathon Oil Corp.(a)
   
482,856
     
6,286,785
 
Newfield Exploration Co.*(a)
   
274,511
     
8,916,117
 
Parsley Energy, Inc., Class A*
   
361,312
     
10,712,901
 
Phillips 66(a)
   
124,378
     
9,466,410
 
Pioneer Natural Resources Co.
   
25,199
     
4,204,705
 
QEP Resources, Inc.*(a)
   
702,648
     
7,026,480
 
Rice Energy, Inc.*(a)
   
234,331
     
4,686,620
 
RSP Permian, Inc.*(a)
   
185,074
     
6,586,784
 
Tesoro Corp.(a)
   
149,211
     
12,420,324
 
WildHorse Resource Development Corp.*(a)
   
323,776
     
3,859,410
 
             
124,425,737
 
Finance—28.6%
               
Aflac, Inc.
   
219,065
     
16,513,120
 
Air Lease Corp.(a)
   
331,481
     
12,238,279
 
Alleghany Corp.*
   
18,730
     
11,000,878
 
Allstate Corp., (The)
   
176,576
     
15,245,572
 
American International Group, Inc.
   
246,381
     
15,677,223
 
Aon PLC
   
112,933
     
14,784,059
 
Bank of America Corp.
   
1,425,229
     
31,939,382
 
BB&T Corp.(a)
   
430,180
     
17,916,997
 
Capital One Financial Corp.
   
172,145
     
13,241,393
 
Chubb Ltd.
   
189,471
     
27,130,352
 
Citigroup, Inc.
   
531,587
     
32,182,277
 
Discover Financial Services
   
83,978
     
4,929,509
 
FCB Financial Holdings, Inc., Class A*(a)
   
86,474
     
3,960,509
 
Fifth Third Bancorp(a)
   
535,077
     
12,702,728
 
Goldman Sachs Group, Inc., (The)
   
64,839
     
13,697,887
 
Huntington Bancshares, Inc.(a)
   
1,022,917
     
12,827,379
 
JPMorgan Chase & Co.
   
553,739
     
45,489,659
 
Loews Corp.(a)
   
406,153
     
19,154,175
 
MetLife, Inc.(a)
   
209,119
     
10,579,330
 
Navient Corp.(a)
   
514,898
     
7,429,978
 
OneBeacon Insurance Group Ltd., Class A
   
255,463
     
4,687,746
 
Prudential Financial, Inc.
   
170,486
     
17,875,457
 
Raymond James Financial, Inc.
   
126,443
     
9,138,036
 
SLM Corp.*
   
339,408
     
3,526,449
 
State Street Corp.
   
205,793
     
16,763,898
 
Synchrony Financial
   
150,966
     
4,053,437
 
Torchmark Corp.
   
96,105
     
7,255,928
 
Travelers Cos., Inc., (The)
   
136,215
     
17,006,443
 
Wells Fargo & Co.
   
336,816
     
17,224,770
 
White Mountains Insurance Group Ltd.
   
19,953
     
17,161,176
 
WR Berkley Corp.(a)
   
222,577
     
15,355,587
 
XL Group Ltd.(a)
   
385,701
     
16,851,277
 
             
485,540,890
 
 The accompanying notes are an integral part of the portfolio of investments.
2

Health Care—17.3%
               
Abbott Laboratories
   
463,927
     
21,182,907
 
Allscripts Healthcare Solutions, Inc.*(a)
   
252,183
     
2,877,408
 
Anthem, Inc.
   
100,983
     
18,414,250
 
Cardinal Health, Inc.
   
121,654
     
9,037,676
 
Cigna Corp.
   
103,206
     
16,639,903
 
DaVita HealthCare Partners, Inc.*
   
76,006
     
5,036,158
 
Express Scripts Holding Co.*(a)
   
70,935
     
4,238,366
 
Gilead Sciences, Inc.
   
425,891
     
27,636,067
 
Johnson & Johnson
   
236,210
     
30,293,932
 
Laboratory Corp. of America Holdings*
   
107,878
     
14,995,042
 
McKesson Corp.
   
154,349
     
25,172,778
 
Medtronic PLC
   
100,493
     
8,469,550
 
Merck & Co., Inc.
   
526,771
     
34,298,060
 
Novartis AG - Sponsored ADR(a)
   
220,352
     
18,018,183
 
Pfizer, Inc.
   
575,559
     
18,792,001
 
Sanofi - ADR
   
215,462
     
10,684,761
 
Shire PLC - ADR
   
65,121
     
11,247,699
 
UnitedHealth Group, Inc.(a)
   
99,004
     
17,343,521
 
             
294,378,262
 
Technology—19.6%
               
Alliance Data Systems Corp.
   
34,303
     
8,271,482
 
Amdocs Ltd.
   
133,157
     
8,625,911
 
Arrow Electronics, Inc.*
   
171,864
     
12,991,200
 
Cisco Systems, Inc.
   
978,314
     
30,846,240
 
Cognizant Technology Solutions Corp., Class A
   
138,879
     
9,292,394
 
CSRA, Inc.
   
110,144
     
3,321,943
 
DXC Technology Co.
   
330,295
     
25,604,468
 
EnerSys
   
50,876
     
3,767,877
 
Fidelity National Information Services, Inc.
   
96,516
     
8,287,829
 
Flextronics International Ltd.*
   
759,306
     
13,105,622
 
Fortive Corp.(a)
   
142,950
     
8,927,228
 
Hewlett Packard Enterprise Co.
   
1,333,199
     
25,077,473
 
HP, Inc.
   
830,526
     
15,580,668
 
Jabil Circuit, Inc.(a)
   
560,759
     
16,777,909
 
KLA-Tencor Corp.
   
63,531
     
6,607,224
 
Leidos Holdings, Inc.
   
89,666
     
4,981,843
 
Microsemi Corp.*
   
122,874
     
6,034,342
 
Microsoft Corp.
   
353,342
     
24,677,405
 
ON Semiconductor Corp.*(a)
   
839,194
     
12,990,723
 
Oracle Corp.
   
536,209
     
24,338,527
 
PayPal Holdings, Inc.*(a)
   
93,267
     
4,869,470
 
Qorvo, Inc.*(a)
   
252,191
     
19,658,288
 
Symantec Corp.
   
287,737
     
8,721,309
 
TE Connectivity Ltd.
   
222,867
     
17,573,063
 
Texas Instruments, Inc.
   
65,753
     
5,423,965
 
Versum Materials, Inc.(a)
   
196,660
     
6,104,326
 
             
332,458,729
 
 The accompanying notes are an integral part of the portfolio of investments.
3

TOTAL COMMON STOCKS
               
(Cost $1,269,386,245)
           
1,626,078,570
 
SECURITIES LENDING COLLATERAL—17.4%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
295,896,885
     
295,896,885
 
TOTAL SECURITIES LENDING COLLATERAL
               
     (Cost $295,896,885)
           
295,896,885
 
SHORT-TERM INVESTMENTS—4.1%
               
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.58%
   
70,403,548
     
70,403,548
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $70,403,548)
           
70,403,548
 
TOTAL INVESTMENTS—117.2%
               
(Cost $1,635,686,678)**
           
1,992,379,003
 
LIABILITIES IN EXCESS OF OTHER ASSETS—(17.2)%
           
(291,764,707
)
NET ASSETS—100.0%
         
$
1,700,614,296
 
 
ADR
 
American Depositary Receipt
     
PLC
 
Public Limited Company
     
*  
Non-income producing.
     
(a)
 
All or a portion of the security is on loan.  At May 31, 2017, the market value of securities on loan was $288,152,482.
     
ǂ
 
Security has been valued at fair market value as determined in good faith by or under the direction of the RBB Fund, Inc.'s Board of Directors. 
As of May 31, 2017, these securities amounted to $0 or 0.20% of net assets.
     
**
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
     
             
     
Cost of investments
 
$
1,635,686,678
 
     
Gross unrealized appreciation
 
$
397,275,901
 
     
Gross unrealized (depreciation)
   
(40,583,576
)
     
Net unrealized appreciation (depreciation)
 
$
356,692,325
 
               
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
               
     
The accompanying notes are an integral part of the portfolio of investments.
       

4

 
BOSTON PARTNERS INVESTMENT FUNDS
          MAY 31, 2017 (unaudited)  
                       
BOSTON PARTNERS ALL-CAP VALUE FUND
          Portfolio of Investments  
                         
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
                         
         
Level 2
 
Level 3
 
Total
 
Level 1
 
Other Significant
 
Significant
 
Value as of
 
Quoted
 
Observable
 
Unobservable
 
May 31, 2017
 
Price
 
Inputs
 
Inputs
 
Common Stocks *
                       
Basic Industries
 
$
26,752,966
   
$
26,752,966
   
$
-
   
$
-
 
Capital Goods
   
109,576,005
     
109,576,005
     
-
     
-
 
Communications
   
64,188,370
     
64,188,370
     
-
     
-
 
Consumer Durables
   
23,066,567
     
23,066,567
     
-
     
-
 
Consumer Non-Durables
   
46,240,349
     
46,240,349
     
-
     
-
 
Consumer Services
   
119,450,695
     
119,450,695
     
-
     
-
 
Energy
   
124,425,737
     
120,586,337
     
3,839,400
     
-
 
Finance
   
485,540,890
     
485,540,890
     
-
     
-
 
Health Care
   
294,378,262
     
294,378,262
     
-
     
-
 
Technology
   
332,458,729
     
332,458,729
     
-
     
-
**
Securities Lending Collateral
   
295,896,885
     
295,896,885
     
-
     
-
 
Short-Term Investments
   
70,403,548
     
70,403,548
     
-
     
-
 
Total Assets
 
$
1,992,379,003
   
$
1,988,539,603
   
$
3,839,400
   
$
-
**
                                 
                                 
* See Portfolio of Investments detail for industry and security type breakout.
                         
** As of May 31, 2017, Level 3 fair valued securities amounted to less than $1.
                       
 
The accompanying notes are an integral part of the portfolio of investments.

5


BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
WPG PARTNERS SMALL/MICRO CAP VALUE FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
COMMON STOCKS—99.1%
           
Basic Industries—2.4%
           
AdvanSix, Inc.*
   
4,800
   
$
138,096
 
Allegheny Technologies, Inc.(a)
   
25,000
     
385,750
 
Haynes International, Inc.
   
4,000
     
143,200
 
Westmoreland Coal Co.*
   
17,600
     
115,632
 
             
782,678
 
Capital Goods—12.8%
               
BMC Stock Holdings, Inc.*
   
8,200
     
159,900
 
Carpenter Technology Corp.(a)
   
2,900
     
105,763
 
Engility Holdings, Inc.*
   
5,700
     
150,081
 
Ferroglobe PLC(a)
   
58,700
     
618,698
 
Foundation Building Materials, Inc.*
   
10,500
     
141,750
 
FreightCar America, Inc.(a)
   
30,200
     
506,152
 
Great Lakes Dredge & Dock Corp.*
   
139,000
     
576,850
 
KBR, Inc.
   
30,100
     
410,263
 
KEYW Holding Corp., (The)*(a)
   
36,300
     
334,323
 
Landec Corp.*(a)
   
14,200
     
198,800
 
Matrix Service Co.*
   
27,100
     
220,865
 
Orion Group Holdings, Inc.*
   
25,600
     
182,528
 
Smart Sand, Inc.*
   
16,000
     
155,840
 
Tutor Perini Corp.*(a)
   
15,900
     
412,605
 
             
4,174,418
 
Communications—1.7%
               
Bazaarvoice, Inc.*
   
79,000
     
359,450
 
Ooma, Inc.*
   
24,400
     
206,180
 
             
565,630
 
Consumer Durables—2.6%
               
Century Communities, Inc.*
   
11,800
     
293,820
 
Horizon Global Corp.*
   
12,300
     
180,933
 
Libbey, Inc.
   
29,500
     
241,015
 
TRI Pointe Group, Inc.*
   
11,200
     
138,544
 
             
854,312
 
Consumer Non-Durables—2.1%
               
Crocs, Inc.*
   
24,800
     
169,384
 
Freshpet, Inc.*(a)
   
11,700
     
177,840
 
Nomad Foods Ltd.*
   
15,300
     
216,495
 
Sequential Brands Group, Inc.*
   
38,475
     
123,505
 
             
687,224
 
Consumer Services—11.0%
               
AMN Healthcare Services, Inc.*(a)
   
3,000
     
108,750
 
ARC Document Solutions, Inc.*
   
58,600
     
193,966
 
Del Taco Restaurants, Inc.*
   
13,800
     
177,054
 
Destination XL Group, Inc.*
   
9,700
     
23,280
 
Dick's Sporting Goods, Inc.
   
4,000
     
164,520
 
Fogo De Chao, Inc.*
   
6,200
     
84,940
 
Hibbett Sports, Inc.*(a)
   
6,900
     
160,080
 
ICF International, Inc.*
   
5,900
     
277,595
 
InnerWorkings, Inc.*
   
40,200
     
435,768
 
Lumber Liquidators Holdings, Inc.*(a)
   
19,200
     
556,416
 
MDC Partners, Inc., Class A
   
74,100
     
615,030
 
Shoe Carnival, Inc.
   
5,000
     
102,250
 
Tabula Rasa HealthCare, Inc.*
   
8,800
     
116,600
 
Team, Inc.*(a)
   
9,200
     
235,980
 
Titan Machinery, Inc.*(a)
   
19,300
     
325,205
 
             
3,577,434
 
The accompanying notes are an integral part of the portfolio of investments. 
1

Energy—8.0%
               
Approach Resources, Inc.*(a)
   
37,500
     
95,250
 
Bill Barrett Corp.*(a)
   
38,500
     
133,210
 
Eclipse Resources Corp.*
   
73,900
     
165,536
 
Extraction Oil & Gas, Inc.*(a)
   
15,100
     
215,024
 
Flotek Industries, Inc.*(a)
   
13,900
     
137,332
 
Gulfport Energy Corp.*
   
52,900
     
759,115
 
Pacific Ethanol, Inc.*(a)
   
56,800
     
335,120
 
ProPetro Holding Corp.*(a)
   
8,700
     
115,275
 
Select Energy Services, Inc.*
   
7,800
     
118,404
 
TETRA Technologies, Inc.*
   
167,300
     
516,957
 
             
2,591,223
 
Finance—27.2%
               
Banner Corp.(a)
   
7,300
     
391,937
 
Central Pacific Financial Corp.(a)
   
18,300
     
553,575
 
CNO Financial Group, Inc.
   
18,500
     
379,065
 
Customers Bancorp, Inc.*(a)
   
8,100
     
226,395
 
First Foundation, Inc.*
   
33,900
     
519,687
 
FirstCash, Inc.
   
5,600
     
300,440
 
FNFV Group*
   
11,600
     
161,820
 
Fulton Financial Corp.
   
26,800
     
469,000
 
Hanover Insurance Group Inc., (The)
   
2,000
     
166,780
 
HomeStreet, Inc.*(a)
   
6,300
     
168,840
 
Investors Bancorp, Inc.
   
15,000
     
198,450
 
Kearny Financial Corp.
   
18,400
     
256,680
 
Kemper Corp.
   
19,400
     
740,110
 
Kennedy-Wilson Holdings, Inc.
   
27,100
     
531,160
 
Meridian Bancorp, Inc.
   
27,600
     
447,120
 
National Bank Holdings Corp., Class A
   
19,100
     
582,932
 
NCS Multistage Holdings, Inc.*
   
6,000
     
157,440
 
Northfield Bancorp, Inc.(a)
   
27,100
     
446,066
 
Popular, Inc.
   
20,500
     
762,600
 
Real Industry, Inc.*
   
59,300
     
166,040
 
State Bank Financial Corp.(a)
   
19,600
     
496,860
 
United Community Banks, Inc.
   
13,400
     
345,318
 
United Financial Bancorp, Inc.(a)
   
23,000
     
372,370
 
             
8,840,685
 
Health Care—2.0%
               
Accuray, Inc.*(a)
   
70,500
     
289,050
 
Invacare Corp.
   
8,100
     
114,615
 
Trinity Biotech PLC - Sponsored ADR*
   
41,700
     
234,771
 
             
638,436
 
 The accompanying notes are an integral part of the portfolio of investments.
2

Real Estate Investment Trusts—11.9%
               
CareTrust REIT, Inc.(a)
   
14,000
     
255,500
 
Cedar Realty Trust, Inc.(a)
   
48,800
     
243,512
 
Colony Starwood Homes(a)
   
23,000
     
795,110
 
Equity Commonwealth*
   
23,500
     
731,320
 
GEO Group Inc., (The)
   
8,000
     
239,520
 
Gramercy Property Trust(a)
   
21,366
     
631,365
 
MedEquities Realty Trust, Inc.
   
32,000
     
373,760
 
Seritage Growth Properties(a)
   
4,100
     
160,925
 
Two Harbors Investment Corp.
   
43,400
     
433,132
 
             
3,864,144
 
Technology—5.7%
               
Acacia Communications, Inc.*(a)
   
4,600
     
216,384
 
Aerohive Networks, Inc.*
   
88,300
     
420,308
 
Babcock & Wilcox Enterprises, Inc.*(a)
   
45,400
     
483,510
 
Digi International, Inc.*
   
1,000
     
9,550
 
Generac Holdings, Inc.*(a)
   
6,700
     
232,155
 
QAD, Inc., Class A
   
7,700
     
250,635
 
Sonus Networks, Inc.*
   
22,800
     
153,900
 
SuperCom Ltd.*
   
28,500
     
78,945
 
             
1,845,387
 
Transportation—4.8%
               
Air Transport Services Group, Inc.*(a)
   
12,600
     
300,510
 
Ardmore Shipping Corp.(a)*
   
30,100
     
216,720
 
Celadon Group, Inc.(a)
   
65,300
     
130,600
 
Scorpio Tankers, Inc.
   
136,100
     
506,292
 
Spirit Airlines, Inc.*
   
4,700
     
249,570
 
StealthGas, Inc.*
   
45,400
     
149,366
 
             
1,553,058
 
Utilities—6.9%
               
ALLETE, Inc.
   
4,700
     
344,933
 
Cadiz, Inc.*(a)
   
7,300
     
110,595
 
Chesapeake Utilities Corp.
   
2,300
     
170,775
 
Covanta Holding Corp.(a)
   
23,500
     
346,625
 
El Paso Electric Co.
   
4,000
     
216,000
 
NorthWestern Corp.
   
5,600
     
346,976
 
PNM Resources, Inc.(a)
   
7,000
     
269,500
 
Portland General Electric Co.
   
6,100
     
288,774
 
South Jersey Industries, Inc.(a)
   
3,900
     
141,999
 
             
2,236,177
 
TOTAL COMMON STOCKS
               
(Cost $30,224,649)
           
32,210,806
 
WARRANTS—0.1%
               
Energy—0.1%
               
TETRA Technologies, Inc.*
   
20,950
     
15,713
 
TOTAL WARRANTS
               
(Cost $4,475)
           
15,713
 
SECURITIES LENDING COLLATERAL—34.1%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
11,094,822
     
11,094,822
 
TOTAL SECURITIES LENDING COLLATERAL
               
     (Cost $11,094,822)
           
11,094,822
 
SHORT-TERM INVESTMENTS—1.4%
               
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.58%
   
453,393
     
453,393
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $453,393)
           
453,393
 
TOTAL INVESTMENTS—134.7%
               
(Cost $41,777,339)**
           
43,774,734
 
LIABILITIES IN EXCESS OF OTHER ASSETS—(34.7)%
           
(11,272,124
)
NET ASSETS—100.0%
         
$
32,502,610
 
 
The accompanying notes are an integral part of the portfolio of investments.

3

 
ADR
 
American Depositary Receipt
     
PLC
 
Public Limited Company
     
*  
Non-income producing.
     
(a)
 
All or a portion of the security is on loan. At May 31, 2017, the market value of securities on loan was $10,719,022.
     
**
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
     
             
     
Cost of investments
 
$
41,777,339
 
     
Gross unrealized appreciation
 
$
5,519,885
 
     
Gross unrealized (depreciation)
   
(3,522,490
)
     
Net unrealized appreciation (depreciation)
 
$
1,997,395
 
               
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
               
     
The accompanying notes are an integral part of the portfolio of investments.
       

4

 
 
BOSTON PARTNERS INVESTMENT FUNDS
           
MAY 31, 2017 (unaudited)
 
                       
WPG PARTNERS SMALL/MICRO CAP VALUE FUND
           
Portfolio of Investments
 
                         
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
  
     
Total
Value as of
May 31, 2017 
     
Level 1
Quoted
Price 
     
Level 2
Other Significant
Observable
Inputs 
     
Level 3
Significant
Unobservable
Inputs 
 
Common Stocks *
 
$
32,210,806
   
$
32,210,806
   
$
-
   
$
-
 
Warrants
   
15,713
     
15,713
     
-
     
-
 
Securities Lending Collateral
   
11,094,822
     
11,094,822
     
-
     
-
 
Short-Term Investments
   
453,393
     
453,393
     
-
     
-
 
Total Assets
 
$
43,774,734
   
$
43,774,734
   
$
-
   
$
-
 
                                 
* See Portfolio of Investments detail for industry and security type breakout.
                       
5

 
 
The following table represents a summary by sector of the portfolio holdings of the Fund:
 
             
Security Type/Sector Classification
 
% of Net Assets
   
Value
 
             
COMMON STOCK
           
Financials
   
17.5
%
 
$
83,371,219
 
Information Technology
   
16.5
     
78,797,076
 
Industrials
   
14.9
     
71,316,682
 
Health Care
   
13.9
     
66,538,494
 
Consumer Discretionary
   
10.0
     
47,585,301
 
Materials
   
8.0
     
38,084,477
 
Energy
   
6.1
     
29,371,603
 
Consumer Staples
   
5.0
     
24,036,100
 
Telecommunication Services
   
3.0
     
14,532,847
 
Utilities
   
0.4
     
1,879,409
 
PREFERRED STOCK
   
1.7
     
8,318,996
 
SECURITIES LENDING COLLATERAL
   
8.7
     
41,427,023
 
SHORT-TERM INVESTMENTS
   
2.7
     
12,912,799
 
OPTIONS WRITTEN
   
(0.1)
 
   
(550,840)
 
LIABILITIES IN EXCESS OF OTHER ASSETS
   
(8.3)
 
   
(39,634,343)
 
NET ASSETS
   
100.0
%
 
$
477,986,843
 
                 
Portfolio holdings are subject to change at any time.
         
 
The accompanying notes are an integral part of the portfolio of investments.
1

 
BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS GLOBAL EQUITY FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
COMMON STOCKS—95.3%
           
Argentina—0.5%
           
YPF SA - Sponsored ADR
   
102,171
   
$
2,519,537
 
Australia—0.4%
               
Australia & New Zealand Banking Group Ltd.
   
96,898
     
2,013,834
 
France—3.5%
               
Bollore SA
   
507,076
     
2,335,979
 
Cap Gemini SA
   
49,652
     
5,141,289
 
Teleperformance SA
   
41,232
     
5,393,000
 
Vinci SA
   
44,793
     
3,917,917
 
             
16,788,185
 
Germany—6.0%
               
Allianz SE, Registered Shares
   
12,113
     
2,329,949
 
Aurelious AG
   
27,546
     
1,605,061
 
Bayer AG, Registered Shares
   
19,537
     
2,595,947
 
KION Group AG
   
34,061
     
2,523,658
 
Merck KGaA
   
52,485
     
6,341,677
 
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares
   
11,939
     
2,357,498
 
Siemens AG, Registered Shares
   
74,754
     
10,691,271
 
             
28,445,061
 
Hong Kong—1.6%
               
WH Group Ltd.
   
7,884,000
     
7,385,885
 
India—0.7%
               
ICICI Bank Ltd. - Sponsored ADR
   
317,891
     
3,153,479
 
Indonesia—0.5%
               
Bank Rakyat Indonesia Persero Tbk PT
   
2,249,400
     
2,440,628
 
Ireland—1.5%
               
CRH PLC
   
202,049
     
7,299,559
 
Italy—0.5%
               
Telecom Italia SpA/Milano*
   
2,401,610
     
2,254,525
 
Japan—10.3%
               
Alps Electric Co., Ltd.
   
110,900
     
3,105,394
 
Coca-Cola Bottlers Japan, Inc.
   
165,300
     
5,326,374
 
Fuji Electric Co., Ltd.
   
654,000
     
3,498,872
 
Fujitsu General Ltd.
   
153,800
     
3,553,588
 
Haseko Corp.
   
262,300
     
3,328,306
 
Matsumotokiyoshi Holdings Co., Ltd.
   
54,600
     
3,195,911
 
Nippon Telegraph & Telephone Corp.
   
144,700
     
6,958,871
 
Nippon Television Holdings, Inc.
   
150,100
     
2,352,261
 
NSK Ltd.
   
98,800
     
1,177,411
 
Seven & i Holdings Co., Ltd.
   
83,300
     
3,540,878
 
Suzuki Motor Corp.
   
129,100
     
6,073,481
 
Tokio Marine Holdings, Inc.
   
104,500
     
4,433,929
 
Zenkoku Hosho Co., Ltd.
   
65,200
     
2,670,558
 
             
49,215,834
 
 The accompanying notes are an integral part of the portfolio of investments.
2

 
 
Luxembourg—0.5%
               
Ternium SA
   
94,685
     
2,463,704
 
Netherlands—1.1%
               
Koninklijke Philips NV
   
79,358
     
2,804,233
 
Randstad Holding NV
   
41,539
     
2,407,861
 
             
5,212,094
 
Norway—0.3%
               
Yara International ASA
   
44,266
     
1,649,124
 
Singapore—1.8%
               
Flextronics International Ltd.*
   
496,781
     
8,574,440
 
South Korea—1.0%
               
LG Uplus Corp.
   
102,080
     
1,476,922
 
Samsung Electronics Co., Ltd.
   
1,539
     
3,065,231
 
             
4,542,153
 
Switzerland—5.6%
               
Chubb Ltd.
   
67,247
     
9,629,098
 
Georg Fischer AG, Registered Shares
   
2,671
     
2,520,935
 
LafargeHolcim Ltd.
   
55,960
     
3,367,147
 
Roche Holding AG, Participation Certificate
   
20,196
     
5,544,792
 
Swiss Re AG
   
28,841
     
2,629,736
 
TE Connectivity Ltd.
   
40,224
     
3,171,662
 
             
26,863,370
 
Taiwan—0.5%
               
Hon Hai Precision Industry Co., Ltd.
   
708,500
     
2,424,179
 
United Kingdom—9.5%
               
Admiral Group PLC
   
67,644
     
1,776,928
 
Babcock International Group PLC
   
312,579
     
3,761,145
 
ConvaTec Group PLC*
   
648,326
     
2,673,061
 
Direct Line Insurance Group PLC
   
443,149
     
1,992,528
 
Lloyds Banking Group PLC
   
7,775,687
     
7,077,716
 
Melrose Industries PLC
   
769,107
     
2,370,851
 
Persimmon PLC
   
83,426
     
2,643,610
 
RPC Group PLC
   
370,303
     
4,098,004
 
Shire PLC
   
77,464
     
4,461,313
 
SSE PLC
   
96,763
     
1,879,409
 
Tesco PLC*
   
784,118
     
1,858,795
 
Vodafone Group PLC
   
1,286,693
     
3,842,529
 
WH Smith PLC
   
84,876
     
1,953,012
 
Whitbread PLC
   
54,865
     
3,033,503
 
WPP PLC
   
104,502
     
2,351,550
 
             
45,773,954
 
United States—49.5%
               
Air Lease Corp.(a)
   
57,503
     
2,123,011
 
Allscripts Healthcare Solutions, Inc.*(a)
   
187,183
     
2,135,758
 
Allstate Corp. (The)
   
40,103
     
3,462,493
 
Alphabet, Inc., Class C*
   
9,175
     
8,852,590
 
Anthem, Inc.(a)
   
44,025
     
8,027,959
 
Apple, Inc.
   
21,417
     
3,271,661
 
Bank of America Corp.
   
143,566
     
3,217,314
 
Berkshire Hathaway, Inc., Class B*
   
73,233
     
12,103,950
 
Berry Global Group, Inc.*
   
69,100
     
4,007,109
 
Brunswick Corp.(a)
   
79,685
     
4,403,393
 
Cigna Corp.
   
17,330
     
2,794,116
 
The accompanying notes are an integral part of the portfolio of investments.
3

 
 
Cisco Systems, Inc.
   
100,171
     
3,158,392
 
Citigroup, Inc.
   
100,838
     
6,104,732
 
Coca-Cola European Partners PLC
   
66,478
     
2,728,257
 
Comcast Corp., Class A
   
274,304
     
11,435,734
 
CommScope Holding Co., Inc.*(a)
   
65,160
     
2,410,268
 
DaVita, Inc.*
   
41,283
     
2,735,412
 
Diamondback Energy, Inc.*
   
60,321
     
5,595,376
 
Dow Chemical Co., (The)
   
60,365
     
3,740,215
 
DXC Technology Co.
   
65,536
     
5,080,351
 
East West Bancorp, Inc.
   
42,849
     
2,345,126
 
Eaton Corp. PLC
   
70,857
     
5,482,915
 
eBay, Inc.*(a)
   
165,688
     
5,683,098
 
EQT Corp.(a)
   
75,055
     
4,148,290
 
HCA Healthcare, Inc.*(a)
   
33,291
     
2,726,866
 
Honeywell International, Inc.
   
16,886
     
2,245,669
 
Ingersoll-Rand PLC#
   
55,337
     
4,958,195
 
Jabil Circuit, Inc.(a)
   
79,164
     
2,368,587
 
Jagged Peak Energy, Inc.*(a)
   
108,821
     
1,415,761
 
Laboratory Corp. of America Holdings*
   
47,078
     
6,543,842
 
Leidos Holdings, Inc.
   
89,789
     
4,988,677
 
Liberty Global PLC LiLAC, Class C*
   
80,433
     
1,685,876
 
Loews Corp.(a)
   
46,238
     
2,180,584
 
Marathon Petroleum Corp.
   
50,920
     
2,649,877
 
Merck & Co, Inc.
   
204,632
     
13,323,590
 
Microsoft Corp.
   
146,833
     
10,254,817
 
Northrop Grumman Corp.
   
11,554
     
2,995,028
 
Oracle Corp.
   
105,958
     
4,809,434
 
Parsley Energy, Inc., Class A*
   
138,121
     
4,095,288
 
PayPal Holdings, Inc.(a)*
   
46,677
     
2,437,006
 
Pfizer, Inc.
   
93,091
     
3,039,421
 
Pioneer Natural Resources Co.
   
30,028
     
5,010,472
 
PPG Industries, Inc.(a)
   
24,487
     
2,604,437
 
PulteGroup, Inc.
   
116,626
     
2,643,911
 
Quest Diagnostics, Inc.(a)
   
33,049
     
3,594,740
 
Raytheon Co.
   
43,827
     
7,188,066
 
Steel Dynamics, Inc.
   
92,114
     
3,130,955
 
SunTrust Banks, Inc.
   
39,254
     
2,094,986
 
Tesoro Corp.
   
47,297
     
3,937,002
 
Twenty-First Century Fox, Inc.(a)
   
78,432
     
2,127,076
 
United Technologies Corp.(a)
   
24,082
     
2,920,665
 
Unum Group
   
53,289
     
2,396,939
 
Valvoline, Inc.(a)
   
96,348
     
2,155,305
 
Wells Fargo & Co.
   
104,696
     
5,354,153
 
WestRock Co.
   
65,581
     
3,568,918
 
             
236,493,663
 
TOTAL COMMON STOCKS
               
(Cost $385,377,266)
           
455,513,208
 
PREFERRED STOCKS—1.7%
               
Germany—0.7%
               
Volkswagen AG
   
22,991
     
3,464,451
 
South Korea—1.0%
               
Samsung Electronics Co., Ltd.
   
3,116
     
4,854,545
 
The accompanying notes are an integral part of the portfolio of investments.
4

 
 
TOTAL PREFERRED STOCKS
               
(Cost $7,559,961)
           
8,318,996
 
SECURITIES LENDING COLLATERAL—8.7%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
41,427,023
     
41,427,023
 
TOTAL SECURITIES LENDING COLLATERAL
               
     (Cost $41,427,023)
           
41,427,023
 
SHORT-TERM INVESTMENTS—2.7%
               
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.65%
   
12,912,799
     
12,912,799
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $12,912,799)
           
12,912,799
 
TOTAL INVESTMENTS—108.4%
               
(Cost $447,277,049)**
           
518,172,026
 
OPTIONS WRITTENƗƗ—(0.1%)
   
Number
of Contracts
         
Ingersoll-Rand PLC
               
Call Options Expires 06/16/2017
             
Strike Price $75.00
   
(376
)
   
(550,840
)
TOTAL OPTIONS WRITTEN
               
(Premiums received $(199,760))
           
(550,840
)
LIABILITIES IN EXCESS OF OTHER ASSETS—(8.3)%
           
(39,634,343
)
NET ASSETS—100.0%
         
$
477,986,843
 

 
ADR 
American Depositary Receipt
     
PLC 
Public Limited Company
     
Non-income producing.
     
(a) 
All or a portion of the security is on loan. At May 31, 2017, the market value of securities on loan was $40,321,584.
     
Security segregated as collateral for options written.
     
ƗƗ 
Primary risk exposure is equity contracts.
     
**
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
     
         
     
Cost of investments
 
$
447,277,049
 
     
Gross unrealized appreciation
 
$
78,547,890
 
     
Gross unrealized (depreciation)
   
(7,652,913
)
     
Net unrealized appreciation (depreciation)
 
$
70,894,977
 
               
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
               
     
The accompanying notes are an integral part of the portfolio of investments.
       

5

 
BOSTON PARTNERS INVESTMENT FUNDS
MAY 31, 2017 (unaudited)
 
         
BOSTON PARTNERS GLOBAL EQUITY FUND
Portfolio of Investments
 
 
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
     
Total
Value as of
May 31, 2017 
       
Level 1
Quoted
Price
     
Level 2
Other Significant
Observable
Inputs
     
Level 3
Significant
Unobservable
Inputs
 
Common Stocks
 
     
 
                 
Argentina
 
 
$
2,519,537
 
 
 
$
2,519,537
   
$
-
   
$
-
 
Australia
     
2,013,834
       
-
     
2,013,834
     
-
 
France
     
16,788,185
       
-
     
16,788,185
     
-
 
Germany
     
28,445,061
       
-
     
28,445,061
     
-
 
Hong Kong
     
7,385,885
       
-
     
7,385,885
     
-
 
India
     
3,153,479
       
3,153,479
     
-
     
-
 
Indonesia
     
2,440,628
       
-
     
2,440,628
     
-
 
Ireland
     
7,299,559
       
-
     
7,299,559
     
-
 
Italy
     
2,254,525
       
-
     
2,254,525
     
-
 
Japan
     
49,215,834
       
-
     
49,215,834
     
-
 
Luxembourg
     
2,463,704
       
2,463,704
     
-
     
-
 
Netherlands
     
5,212,094
       
-
     
5,212,094
     
-
 
Norway
     
1,649,124
       
-
     
1,649,124
     
-
 
Singapore
     
8,574,440
       
8,574,440
     
-
     
-
 
South Korea
     
4,542,153
       
-
     
4,542,153
     
-
 
Switzerland
     
26,863,370
       
12,800,760
     
14,062,610
     
-
 
Taiwan
     
2,424,179
       
-
     
2,424,179
     
-
 
United Kingdom
     
45,773,954
       
5,043,912
     
40,730,042
     
-
 
United States
     
236,493,663
       
236,493,663
     
-
     
-
 
Preferred Stocks
                                   
Germany
     
3,464,451
       
-
     
3,464,451
     
-
 
South Korea
     
4,854,545
       
-
     
4,854,545
     
-
 
Securities Lending Collateral
     
41,427,023
       
41,427,023
     
-
     
-
 
Short-Term Investments
 
   
12,912,799
 
 
   
12,912,799
     
-
     
-
 
Total Assets
 
 
$
518,172,026
 
 
 
$
325,389,317
   
$
192,782,709
   
$
-
 
 
         
Total
Value as of
May 31, 2017 
       
Level 1
Quoted
Price 
       
Level 2
Other Significant
Observable
Inputs
     
Level 3
Significant
Unobservable
Inputs 
 
Options Written
 
       
 
                       
Equity Contracts
 
 
$
(550,840
)
 
 
$
-
   
$
(550,840
)
 
$
-
 
Total Liabilities
 
 
$
(550,840
)
 
 
$
-
   
$
(550,840
)
 
$
-
 
                                     
The accompanying notes are an integral part of the portfolio of investments.

6

 
The following table represents a summary by sector of the portfolio holdings of the Fund:
       
             
Security Type/Sector Classification
% of Net Assets
       
Value
 
 
       
 
LONG POSITIONS:
           
Common Stock
           
Information Technology
                                             17.2
%
   
               151,070,168
Financials
                                             16.4
       
                  144,174,967
Industrials
                                             15.4
       
                  135,640,152
Health Care
                                             12.8
       
                  112,996,939
Consumer Discretionary
                                             10.9
       
                    95,621,863
Materials
                                               8.1
       
                    71,455,231
Energy
                                               6.8
       
                    59,837,071
Consumer Staples
                                               6.1
       
                    53,755,704
Telecommunication Services
                                               3.2
       
                    27,858,486
Utilities
                                               0.4
       
                      3,490,026
PREFERRED STOCK
                                               1.8
       
                    15,575,441
             
             
SHORT POSITIONS:
           
Common Stock
           
Industrials
                                            (10.6)
%
   
               (92,780,490)
Consumer Discretionary
                                              (9.2)
       
                  (80,925,988)
Financials
                                              (5.7)
       
                  (49,811,032)
Information Technology
                                              (5.6)
       
                  (49,520,148)
Materials
                                              (4.3)
       
                  (38,095,158)
Energy
                                              (4.0)
       
                  (35,274,771)
Health Care
                                              (3.9)
       
                  (34,573,011)
Consumer Staples
                                              (3.2)
       
                  (28,355,281)
Real Estate
                                              (0.7)
       
                    (6,213,160)
Utilities
                                              (0.5)
       
                    (3,888,143)
WRITTEN OPTIONS
                                              (0.3)
       
                    (2,999,005)
OTHER ASSETS IN EXCESS OF LIABILITIES
                                             48.9
       
                  430,459,312
NET ASSETS
                                             100.0
%
   
               879,499,173
             
Portfolio holdings are subject to change at any time.
           
 
The accompanying notes are an integral part of the portfolio of investments.

1

 
BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
 
Portfolio of Investments
 
       
   
Number of
       
   
Shares
   
Value
 
LONG POSITIONS—99.1%
           
COMMON STOCKS—97.3%
           
Argentina—0.5%
           
YPF SA - Sponsored ADR
   
191,867
   
$
4,731,440
 
France—3.7%
               
Bollore SA
   
1,097,589
     
5,056,333
 
Cap Gemini SA
   
95,746
     
9,914,159
 
Teleperformance SA
   
79,519
     
10,400,805
 
Vinci SA
   
85,238
     
7,455,526
 
               
32,826,823
 
Germany—5.3%
               
Allianz SE, Registered Shares
   
23,370
     
4,495,245
 
Aurelious AG
   
59,620
     
3,473,961
 
Bayer AG, Registered Shares
   
37,680
     
5,006,669
 
KION Group AG
   
65,684
     
4,866,678
 
Muenchener Rueckversicherungs Gesellschaft AG, Registered Shares
   
23,033
     
4,548,140
 
RIB Software SE
   
249,228
     
4,460,408
 
Siemens AG, Registered Shares
   
141,258
     
20,202,633
 
               
47,053,734
 
Hong Kong—1.6%
               
WH Group Ltd.
   
14,911,500
     
13,969,384
 
India—1.5%
               
ICICI Bank Ltd. - Sponsored ADR
   
596,945
     
5,921,694
 
Videocon d2h Ltd. - ADR*Ɨ
   
748,529
     
7,664,937
 
               
13,586,631
 
Indonesia—0.4%
               
Bank Rakyat Indonesia Persero Tbk PT
   
3,406,500
     
3,696,096
 
Ireland—1.6%
               
CRH PLC
   
389,645
     
14,076,965
 
Italy—0.5%
               
Telecom Italia SpA*
   
4,552,511
     
4,273,696
 
Japan—10.2%
               
Alps Electric Co., Ltd.
   
213,600
     
5,981,173
 
Coca-Cola Bottlers Japan, Inc.
   
319,700
     
10,301,522
 
Fuji Electric Co., Ltd.
   
1,226,000
     
6,559,048
 
Fujitsu General Ltd.
   
288,000
     
6,654,313
 
Haseko Corp.
   
484,900
     
6,152,861
 
Matsumotokiyoshi Holdings Co., Ltd.
   
105,200
     
6,157,690
 
Nippon Telegraph & Telephone Corp.
   
278,496
     
13,393,351
 
NSK Ltd.
   
190,400
     
2,269,019
 
Seven & i Holdings Co., Ltd.
   
154,800
     
6,580,167
 
Suzuki Motor Corp.
   
245,000
     
11,525,971
 
Tokio Marine Holdings, Inc.
   
201,400
     
8,545,390
 
Zenkoku Hosho Co., Ltd.
   
125,800
     
5,152,703
 
               
89,273,208
 
The accompanying notes are an integral part of the portfolio of investments.
2

 
 
Luxembourg—0.5%
               
Ternium SA
   
172,202
     
4,480,696
 
Netherlands—1.2%
               
Koninklijke Philips NV
   
154,999
     
5,477,122
 
Randstad Holding NV
   
80,103
     
4,643,272
 
               
10,120,394
 
Norway—0.4%
               
Yara International ASA
   
85,370
     
3,180,448
 
Singapore—1.8%
               
Flextronics International Ltd.*Ɨ
   
906,853
     
15,652,283
 
South Korea—1.0%
               
LG Uplus Corp.
   
192,254
     
2,781,583
 
Samsung Electronics Co., Ltd.
   
2,895
     
5,765,981
 
               
8,547,564
 
Switzerland—5.7%
               
Chubb Ltd.Ɨ
   
122,593
     
17,554,092
 
Georg Fischer AG, Registered Shares
   
5,157
     
4,867,264
 
LafargeHolcim Ltd.
   
103,916
     
6,252,688
 
Roche Holding AG, Participation Certificate
   
38,950
     
10,693,684
 
Swiss Re AG
   
55,611
     
5,070,637
 
TE Connectivity Ltd.
   
71,585
     
5,644,477
 
               
50,082,842
 
Taiwan—0.5%
               
Hon Hai Precision Industry Co., Ltd.
   
1,360,000
     
4,653,330
 
United Kingdom—10.5%
               
Admiral Group PLC
   
130,456
     
3,426,924
 
Aldermore Group PLC*
   
1,817,379
     
5,706,916
 
Babcock International Group PLC
   
576,728
     
6,939,550
 
ConvaTec Group PLC*
   
1,250,220
     
5,154,683
 
Direct Line Insurance Group PLC
   
854,560
     
3,842,353
 
Lloyds Banking Group PLC
   
14,727,377
     
13,405,399
 
Melrose Industries PLC
   
1,453,569
     
4,480,775
 
Persimmon PLC
   
160,889
     
5,098,263
 
RPC Group PLC
   
699,049
     
7,736,113
 
Shire PLC
   
144,279
     
8,309,327
 
SSE PLC
   
179,687
     
3,490,026
 
Tesco PLC*
   
1,551,525
     
3,677,976
 
Vodafone Group PLC
   
2,481,233
     
7,409,856
 
WH Smith PLC
   
163,681
     
3,766,329
 
Whitbread PLC
   
105,799
     
5,849,661
 
WPP PLC
   
201,532
     
4,534,962
 
               
92,829,113
 
United States—50.4%
               
Air Lease Corp.
   
107,992
     
3,987,065
 
Allscripts Healthcare Solutions, Inc.*
   
346,308
     
3,951,374
 
Allstate Corp. (The)Ɨ
   
75,315
     
6,502,697
 
Alphabet, Inc., Class C*Ɨ
   
17,233
     
16,627,432
 
Anthem, Inc.
   
82,318
     
15,010,687
 
Apple, Inc.Ɨ
   
40,220
     
6,144,007
 
Bank of America Corp.Ɨ
   
269,597
     
6,041,669
 
Berkshire Hathaway, Inc., Class B*Ɨ
   
51,713
     
8,547,125
 
Berry Global Group, Inc.*Ɨ#
   
127,381
     
7,386,824
 
Boardwalk Pipeline Partners LPƗ
   
311,267
     
5,624,595
 
 
The accompanying notes are an integral part of the portfolio of investments.
3

 
 
Brunswick Corp.Ɨ
   
146,016
     
8,068,844
 
Cigna Corp.
   
30,651
     
4,941,861
 
Cisco Systems, Inc.Ɨ
   
188,104
     
5,930,919
 
Citigroup, Inc.
   
189,363
     
11,464,036
 
Coca-Cola European Partners PLCƗ
   
124,021
     
5,089,822
 
Comcast Corp., Class AƗ
   
515,096
     
21,474,352
 
CommScope Holding Co., Inc.*
   
120,363
     
4,452,227
 
DaVita, Inc.*Ɨ
   
86,850
     
5,754,681
 
Diamondback Energy, Inc.*Ɨ
   
88,285
     
8,189,317
 
Dow Chemical Co., (The)Ɨ
   
111,446
     
6,905,194
 
DXC Technology Co.Ɨ
   
122,123
     
9,466,975
 
East West Bancorp, Inc.
   
79,921
     
4,374,076
 
Eaton Corp. PLC
   
133,066
     
10,296,647
 
eBay, Inc.*Ɨ
   
311,143
     
10,672,205
 
EQT Corp.Ɨ
   
131,739
     
7,281,214
 
HCA Healthcare, Inc.*Ɨ
   
60,557
     
4,960,224
 
Honeywell International, Inc.
   
31,712
     
4,217,379
 
Ingersoll-Rand PLC#
   
103,919
     
9,311,142
 
International Speedway Corp.
   
76,051
     
2,684,600
 
Jabil Circuit, Inc.Ɨ
   
147,792
     
4,421,937
 
Jagged Peak Energy, Inc.*
   
204,341
     
2,658,476
 
Laboratory Corp. of America Holdings*Ɨ
   
88,410
     
12,288,990
 
Leidos Holdings, Inc.Ɨ
   
166,144
     
9,230,961
 
Liberty Global PLC LiLAC, Class C*Ɨ
   
152,060
     
3,187,178
 
Loews Corp.
   
83,029
     
3,915,648
 
Marathon Petroleum Corp.
   
95,624
     
4,976,273
 
Merck & Co, Inc.Ɨ#
   
384,265
     
25,019,494
 
Microsoft Corp.
   
266,307
     
18,598,881
 
Nomad Foods Ltd.*Ɨ
   
563,897
     
7,979,143
 
Northrop Grumman Corp.Ɨ
   
21,699
     
5,624,815
 
Oracle Corp.
   
198,977
     
9,031,566
 
Parsley Energy, Inc., Class A*Ɨ
   
259,372
     
7,690,380
 
PayPal Holdings, Inc.*Ɨ
   
84,682
     
4,421,247
 
Pfizer, Inc.
   
173,281
     
5,657,625
 
Pioneer Natural Resources Co.Ɨ
   
56,391
     
9,409,402
 
PPG Industries, Inc.
   
45,194
     
4,806,834
 
PulteGroup, Inc.Ɨ
   
219,011
     
4,964,979
 
Quest Diagnostics, Inc.Ɨ
   
57,439
     
6,247,640
 
Raytheon Co.Ɨ
   
82,311
     
13,499,827
 
Steel Dynamics, Inc.Ɨ
   
172,986
     
5,879,794
 
SunTrust Banks, Inc.
   
73,721
     
3,934,490
 
Tesoro Corp.Ɨ
   
88,263
     
7,347,012
 
Twenty-First Century Fox, Inc.
   
147,294
     
3,994,613
 
United Technologies Corp.Ɨ
   
45,228
     
5,485,252
 
Unum Group
   
100,071
     
4,501,194
 
Valvoline, Inc.Ɨ
   
180,933
     
4,047,471
 
Viper Energy Partners LP
   
113,335
     
1,928,962
 
Wells Fargo & Co.Ɨ
   
196,607
     
10,054,482
 
WestRock Co.Ɨ
   
123,157
     
6,702,204
 
               
442,865,960
 
TOTAL COMMON STOCKS
               
(Cost $737,676,508)
           
855,900,607
 
 
The accompanying notes are an integral part of the portfolio of investments.
4

 
 
PREFERRED STOCKS—1.8%
               
Germany—0.7%
               
Volkswagen AG
   
42,694
     
6,433,443
 
South Korea—1.1%
               
Samsung Electronics Co., Ltd.
   
5,868
     
9,141,998
 
TOTAL PREFERRED STOCKS
               
(Cost $12,480,726)
           
15,575,441
 
TOTAL INVESTMENTS—99.1%
               
(Cost $750,157,234)**
           
871,476,048
 
SECURITIES SOLD SHORT—(47.7%)
               
COMMON STOCKS—(47.7%)
               
Australia—(1.1%)
               
Brambles Ltd.
   
(237,237
)
   
(1,826,988
)
Coca-Cola Amatil Ltd.
   
(453,047
)
   
(3,144,259
)
Healthscope Ltd.
   
(1,884,034
)
   
(2,828,127
)
National Australia Bank Ltd.
   
(99,010
)
   
(2,209,584
)
               
(10,008,958
)
Belgium—(0.3%)
               
Colruyt SA
   
(54,543
)
   
(3,017,573
)
Canada—(1.0%)
               
Cineplex, Inc.
   
(98,377
)
   
(3,726,507
)
Gildan Activewear, Inc.
   
(62,114
)
   
(1,797,579
)
Ritchie Bros Auctioneers, Inc.
   
(117,677
)
   
(3,652,694
)
               
(9,176,780
)
Denmark—(0.8%)
               
Chr Hansen Holding A/S
   
(44,413
)
   
(3,108,989
)
Coloplast A/S, Class B
   
(41,059
)
   
(3,516,489
)
               
(6,625,478
)
Finland—(0.7%)
               
Konecranes OYJ
   
(42,901
)
   
(1,769,939
)
Neste Oyj
   
(70,694
)
   
(2,805,189
)
Wartsila OYJ Abp
   
(32,700
)
   
(1,941,353
)
               
(6,516,481
)
France—(1.5%)
               
Aeroports de Paris
   
(30,492
)
   
(4,660,170
)
Carrefour SA
   
(101,645
)
   
(2,654,669
)
Klepierre
   
(54,329
)
   
(2,269,208
)
Vallourec SA*
   
(558,596
)
   
(3,520,127
)
               
(13,104,174
)
Germany—(1.3%)
               
GEA Group AG
   
(138,203
)
   
(5,681,917
)
Infineon Technologies AG
   
(89,757
)
   
(1,987,635
)
MTU Aero Engines AG
   
(27,294
)
   
(3,853,996
)
               
(11,523,548
)
Hong Kong—(0.5%)
               
Bank of East Asia Ltd., (The)
   
(623,995
)
   
(2,633,993
)
Hang Seng Bank Ltd.
   
(84,900
)
   
(1,791,194
)
               
(4,425,187
)
India—(0.4%)
               
Wipro Ltd.
   
(357,334
)
   
(3,852,060
)
Ireland—(0.4%)
               
James Hardie Industries PLC
   
(213,988
)
   
(3,115,732
)
The accompanying notes are an integral part of the portfolio of investments.
5

 
 
Italy—(0.3%)
               
Ferrari NV
   
(29,325
)
   
(2,543,064
)
Japan—(3.8%)
               
Aeon Co., Ltd.
   
(153,600
)
   
(2,320,364
)
Aozora Bank Ltd.
   
(828,000
)
   
(3,040,720
)
Asics Corp.
   
(162,000
)
   
(2,713,759
)
Benesse Holdings, Inc.
   
(68,700
)
   
(2,521,118
)
FamilyMart UNY Holdings Co., Ltd.
   
(69,500
)
   
(3,902,373
)
Hisamitsu Pharmaceutical Co., Inc.
   
(66,200
)
   
(3,330,405
)
Japan Airport Terminal Co., Ltd.
   
(49,400
)
   
(1,935,674
)
Murata Manufacturing Co., Ltd.
   
(19,300
)
   
(2,671,629
)
Ono Pharmaceutical Co., Ltd.
   
(84,100
)
   
(1,749,237
)
Ricoh Co. Ltd.
   
(425,500
)
   
(3,589,983
)
Shimano, Inc.
   
(14,200
)
   
(2,205,520
)
Sohgo Security Services Co., Ltd.
   
(70,800
)
   
(3,312,254
)
               
(33,293,036
)
Luxembourg—(0.5%)
               
Tenaris SA
   
(132,300
)
   
(4,008,690
)
Netherlands—(0.8%)
               
Airbus Group SE
   
(28,758
)
   
(2,365,095
)
Fugro NV*
   
(110,989
)
   
(1,616,296
)
Schlumberger Ltd.
   
(38,082
)
   
(2,650,126
)
               
(6,631,517
)
Singapore—(1.5%)
               
SATS Ltd.
   
(970,800
)
   
(3,606,340
)
Sembcorp Marine Ltd.
   
(1,316,700
)
   
(1,604,216
)
Singapore Airlines Ltd.
   
(565,600
)
   
(4,090,997
)
Singapore Press Holdings Ltd.
   
(1,613,200
)
   
(3,696,763
)
               
(12,998,316
)
Spain—(0.2%)
               
Bankinter SA
   
(210,300
)
   
(1,938,394
)
Sweden—(0.8%)
               
Autoliv, Inc.
   
(20,839
)
   
(2,311,462
)
Hennes & Mauritz AB
   
(77,736
)
   
(1,933,577
)
Hexagon AB
   
(72,942
)
   
(3,193,035
)
               
(7,438,074
)
Switzerland—(2.1%)
               
Chocoladefabriken Lindt & Spruengli AG, Registered Shares
   
(37
)
   
(2,717,193
)
Cie Financiere Richemont SA
   
(33,209
)
   
(2,778,804
)
Geberit AG
   
(4,149
)
   
(1,943,615
)
Kuehne + Nagel International AG
   
(23,771
)
   
(3,838,700
)
Nestle SA
   
(40,750
)
   
(3,479,300
)
SGS SA, Registered Shares
   
(1,438
)
   
(3,428,127
)
               
(18,185,739
)
United Kingdom—(4.1%)
               
Amec Foster Wheeler PLC*
   
(413,223
)
   
(2,720,109
)
Antofagasta PLC
   
(312,773
)
   
(3,237,476
)
GW Pharmaceuticals PLC - ADR*
   
(17,785
)
   
(1,753,779
)
Hargreaves Lansdown PLC
   
(184,788
)
   
(3,332,097
)
Kingfisher PLC
   
(623,084
)
   
(2,606,154
)
Manchester United PLC
   
(123,769
)
   
(2,036,000
)
Mediclinic International PLC
   
(164,322
)
   
(1,711,623
)
Next PLC
   
(37,784
)
   
(2,125,756
)
Ocado Group PLC*
   
(1,166,698
)
   
(4,730,649
)
Pearson PLC
   
(230,393
)
   
(2,098,453
)
Pennon Group PLC
   
(327,541
)
   
(3,888,143
)
Travis Perkins PLC
   
(145,301
)
   
(3,061,605
)
Weir Group PLC (The)
   
(129,142
)
   
(3,026,484
)
               
(36,328,328
)
The accompanying notes are an integral part of the portfolio of investments.
6

 
United States—(25.6%)
               
Apache Corp.
   
(53,750
)
   
(2,513,350
)
AptarGroup, Inc.
   
(44,697
)
   
(3,799,692
)
Arista Networks, Inc.*
   
(26,395
)
   
(3,890,095
)
Axalta Coating Systems Ltd.*
   
(71,674
)
   
(2,243,396
)
Balchem Corp.
   
(21,674
)
   
(1,706,177
)
Ball Corp.
   
(118,055
)
   
(4,828,450
)
Bemis Co, Inc.
   
(80,545
)
   
(3,595,529
)
Blackbaud, Inc.
   
(43,941
)
   
(3,635,239
)
Buffalo Wild Wings, Inc.*
   
(11,325
)
   
(1,627,403
)
CarMax, Inc.*
   
(59,024
)
   
(3,708,478
)
Casey's General Stores, Inc.
   
(22,878
)
   
(2,662,770
)
Caterpillar, Inc.
   
(31,929
)
   
(3,366,275
)
Cincinnati Financial Corp.
   
(68,970
)
   
(4,833,418
)
Cognex Corp.
   
(33,942
)
   
(3,106,032
)
Columbia Sportswear Co.
   
(55,933
)
   
(3,036,043
)
Community Bank System, Inc.
   
(67,838
)
   
(3,646,971
)
CoStar Group, Inc.*
   
(12,960
)
   
(3,389,947
)
Cracker Barrel Old Country Store, Inc.
   
(24,470
)
   
(4,081,841
)
Cullen/Frost Bankers, Inc.
   
(34,062
)
   
(3,122,123
)
Devon Energy Corp.
   
(101,932
)
   
(3,463,649
)
Dollar General Corp.
   
(31,526
)
   
(2,313,693
)
Dorman Products, Inc.*
   
(18,576
)
   
(1,549,238
)
Eli Lilly & Co.
   
(51,380
)
   
(4,088,307
)
Equinix, Inc.
   
(8,943
)
   
(3,943,952
)
Estee Lauder Cos., Inc. (The)
   
(26,006
)
   
(2,448,205
)
F5 Networks, Inc.*
   
(16,276
)
   
(2,085,444
)
FactSet Research Systems, Inc.
   
(13,913
)
   
(2,305,245
)
First Financial Bankshares, Inc.
   
(99,586
)
   
(3,809,165
)
Flowserve Corp.
   
(43,205
)
   
(2,095,443
)
Fox Factory Holding Corp.*
   
(50,947
)
   
(1,673,609
)
Haemonetics Corp.*
   
(54,657
)
   
(2,228,912
)
Harley-Davidson, Inc.
   
(57,838
)
   
(3,065,992
)
Heartland Express, Inc.
   
(107,960
)
   
(2,099,822
)
Hecla Mining Co.
   
(343,984
)
   
(1,974,468
)
Hess Corp.
   
(74,334
)
   
(3,411,187
)
IDEXX Laboratories, Inc.*
   
(28,726
)
   
(4,837,171
)
Juno Therapeutics, Inc.*
   
(70,574
)
   
(1,639,434
)
Kinder Morgan, Inc.
   
(108,818
)
   
(2,041,426
)
Kite Pharma, Inc.*
   
(24,745
)
   
(1,789,558
)
Kohl's Corp.
   
(61,001
)
   
(2,344,268
)
Laredo Petroleum, Inc.*
   
(262,294
)
   
(3,081,955
)
Mattel, Inc.
   
(135,714
)
   
(3,109,208
)
Mercury General Corp.
   
(61,653
)
   
(3,452,568
)
Middleby Corp. (The)*
   
(19,409
)
   
(2,491,339
)
Multi-Color Corp.
   
(43,159
)
   
(3,707,358
)
The accompanying notes are an integral part of the portfolio of investments.
7

 
 
National Instruments Corp.
   
(73,329
)
   
(2,797,501
)
National Oilwell Varco, Inc.
   
(105,377
)
   
(3,442,667
)
Netflix, Inc.*
   
(18,458
)
   
(3,009,946
)
NewMarket Corp.
   
(5,435
)
   
(2,529,177
)
Palo Alto Networks, Inc.*
   
(22,224
)
   
(2,635,544
)
Proofpoint, Inc.*
   
(46,778
)
   
(4,022,908
)
Prosperity Bancshares, Inc.
   
(51,564
)
   
(3,229,969
)
RLI Corp.
   
(78,302
)
   
(4,348,893
)
Rockwell Automation, Inc.
   
(24,721
)
   
(3,923,717
)
Rollins, Inc.
   
(82,329
)
   
(3,545,910
)
SeaWorld Entertainment, Inc.
   
(99,578
)
   
(1,777,467
)
Snap, Inc.*
   
(61,226
)
   
(1,298,603
)
Sonoco Products Co.
   
(80,845
)
   
(4,099,650
)
TESARO, Inc.*
   
(17,340
)
   
(2,589,035
)
Tesla Motors, Inc.*
   
(12,735
)
   
(4,342,762
)
Thor Industries, Inc.
   
(24,519
)
   
(2,219,705
)
Tootsie Roll Industries, Inc.
   
(57,884
)
   
(2,008,575
)
TransDigm Group, Inc.
   
(10,362
)
   
(2,777,845
)
Trex Co., Inc.*
   
(46,629
)
   
(2,996,846
)
Ultimate Software Group Inc. (The)*
   
(18,320
)
   
(4,043,957
)
UMB Financial Corp.
   
(46,252
)
   
(3,239,028
)
USG Corp.*
   
(91,238
)
   
(2,594,809
)
Verisk Analytics, Inc.*
   
(57,179
)
   
(4,625,209
)
Vertex Pharmaceuticals, Inc.*
   
(20,315
)
   
(2,510,934
)
Vulcan Materials Co.
   
(30,938
)
   
(3,856,422
)
Wabtec Corp.
   
(36,156
)
   
(2,955,753
)
Wayfair, Inc.*
   
(51,488
)
   
(3,241,170
)
Westamerica Bancorporation
   
(56,084
)
   
(2,877,670
)
Workday, Inc., Class A*
   
(33,212
)
   
(3,320,536
)
               
(224,706,053
)
TOTAL COMMON STOCKS
               
(Proceeds $(392,260,538))
           
(419,437,182
)
TOTAL SECURITIES SOLD SHORT—(47.7%)
               
(Proceeds $(392,260,538))
           
(419,437,182
)
OPTIONS WRITTENƗƗ—(0.3%)
   
 Number
of Contracts
         
Berry Global Group, Inc.
               
Call Options Expires 06/16/2017
               
Strike Price $47.50
   
(1,072
)
   
(1,130,960
)
Ingersoll-Rand PLC
               
Call Options Expires 06/16/2017
               
Strike Price $75.00
   
(758
)
   
(1,110,470
)
Merck & Co., Inc.
               
Call Options Expires 07/21/2017
               
Strike Price $60.00
   
(1,443
)
   
(757,575
)
TOTAL OPTIONS WRITTEN
               
(Premiums received $(1,377,071))
           
(2,999,005
)
OTHER ASSETS IN EXCESS OF LIABILITIES—48.9%
           
430,459,312
 
NET ASSETS—100.0%
         
$
879,499,173
 
The accompanying notes are an integral part of the portfolio of investments.
8

 
 
ADR 
American Depositary Receipt 
       
PLC 
Public Limited Company 
       
Non-income producing. 
       
Ɨ 
Security position is either entirely or partially held in a segregated account as collateral for securities sold short. 
       
#  
Security segregated as collateral for options written. 
       
ƗƗ  
Primary risk exposure is equity contracts. 
       
** 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows: 
       
           
 
Cost of investments
 
$
750,157,234
 
 
Gross unrealized appreciation
 
$
131,175,921
 
 
Gross unrealized (depreciation)
   
(9,857,107
)
 
Net unrealized appreciation (depreciation)
 
$
121,318,814
 
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
               
The accompanying notes are an integral part of the portfolio of investments.
 
9

 
Contracts For Difference held by the Fund at May 31, 2017, are as follows:
 
      
Number of
         
Unrealized
 
      
Contracts
   
Notional
   
Appreciation
 
Reference Company
Counterparty
 
Long/(Short)
   
Amount
   
(Depreciation)
 
                     
Short
                   
South Korea
                   
Kakao Corp.
Goldman Sachs
   
(20,040
)
 
$
(1,709,429
)
 
$
(57,904
)
Paradise Co. Ltd.
Goldman Sachs
   
(74,442
)
   
(1,060,551
)
   
33,356
 
Total Short
     
(94,482
)
   
(2,769,980
)
   
(24,548
)
Net unrealized gain/(loss) on Contracts For difference
                   
$
(24,548
)
 
The accompanying notes are an integral part of the portfolio of investments.
10

BOSTON PARTNERS INVESTMENT FUNDS
MAY 31, 2017 (unaudited)
 
           
BOSTON PARTNERS GLOBAL LONG/SHORT FUND
Portfolio of Investments 
 
 
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
 
                         
               
Level 2
   
Level 3
 
 
Total
   
Level 1
   
Other Significant
   
Significant
 
 
Value as of
   
Quoted
   
Observable
   
Unobservable
 
 
May 31, 2017
   
Price
   
Inputs
   
Inputs
 
Common Stocks
                       
Argentina
 
$
4,731,440
   
$
4,731,440
   
$
-
   
$
-
 
France
   
32,826,823
     
-
     
32,826,823
     
-
 
Germany
   
47,053,734
     
-
     
47,053,734
     
-
 
Hong Kong
   
13,969,384
     
-
     
13,969,384
     
-
 
India
   
13,586,631
     
13,586,631
     
-
     
-
 
Indonesia
   
3,696,096
     
-
     
3,696,096
     
-
 
Ireland
   
14,076,965
     
-
     
14,076,965
     
-
 
Italy
   
4,273,696
     
-
     
4,273,696
     
-
 
Japan
   
89,273,208
     
-
     
89,273,208
     
-
 
Luxembourg
   
4,480,696
     
4,480,696
     
-
     
-
 
Netherlands
   
10,120,394
     
-
     
10,120,394
     
-
 
Norway
   
3,180,448
     
-
     
3,180,448
     
-
 
Singapore
   
15,652,283
     
15,652,283
     
-
     
-
 
South Korea
   
8,547,564
     
-
     
8,547,564
     
-
 
Switzerland
   
50,082,842
     
23,198,569
     
26,884,273
     
-
 
Taiwan
   
4,653,330
     
-
     
4,653,330
     
-
 
United Kingdom
   
92,829,113
     
9,635,458
     
83,193,655
     
-
 
United States
   
442,865,960
     
442,865,960
     
-
     
-
 
Preferred Stocks
                               
Germany
   
6,433,443
     
6,433,443
     
-
     
-
 
South Korea
   
9,141,998
     
9,141,998
     
-
     
-
 
Total Assets
 
$
871,476,048
   
$
529,726,478
   
$
341,749,570
   
$
-
 
                                 
 
             
Level 2
   
Level 3
 
 
Total
   
Level 1
   
Other Significant
   
Significant
 
 
Value as of
   
Quoted
   
Observable
   
Unobservable
 
   
May 31, 2017
   
Price
   
Inputs
   
Inputs
 
Securities Sold Short
                       
Australia
   
(10,008,958
)
   
-
     
(10,008,958
)
   
-
 
Belgium
   
(3,017,573
)
   
-
     
(3,017,573
)
   
-
 
Canada
   
(9,176,780
)
   
(9,176,780
)
   
-
     
-
 
Denmark
   
(6,625,478
)
   
-
     
(6,625,478
)
   
-
 
Finland
   
(6,516,481
)
   
-
     
(6,516,481
)
   
-
 
France
   
(13,104,174
)
   
(4,660,170
)
   
(8,444,004
)
   
-
 
Germany
   
(11,523,548
)
   
-
     
(11,523,548
)
   
-
 
Hong Kong
   
(4,425,187
)
   
-
     
(4,425,187
)
   
-
 
India
   
(3,852,060
)
   
(3,852,060
)
   
-
     
-
 
Ireland
   
(3,115,732
)
   
-
     
(3,115,732
)
   
-
 
Italy
   
(2,543,064
)
   
(2,543,064
)
   
-
     
-
 
Japan
   
(33,293,036
)
   
-
     
(33,293,036
)
   
-
 
Luxembourg
   
(4,008,690
)
   
(4,008,690
)
           
-
 
Netherlands
   
(6,631,517
)
   
(2,650,126
)
   
(3,981,391
)
   
-
 
Singapore
   
(12,998,316
)
   
(3,606,340
)
   
(9,391,976
)
   
-
 
Spain
   
(1,938,394
)
   
-
     
(1,938,394
)
   
-
 
Sweden
   
(7,438,074
)
   
(2,311,462
)
   
(5,126,612
)
   
-
 
Switzerland
   
(18,185,739
)
   
-
     
(18,185,739
)
   
-
 
United Kingdom
   
(36,328,328
)
   
(8,520,428
)
   
(27,807,900
)
   
-
 
United States
   
(224,706,053
)
   
(224,706,053
)
   
-
     
-
 
Options Written
                               
     Equity Contracts
   
(2,999,005
)
   
(757,575
)
   
(2,241,430
)
   
-
 
Contracts For Difference
                               
     Equity Contracts
   
(24,548
)
   
-
     
(24,548
)
   
-
 
Total Liabilities
 
$
(422,460,735
)
 
$
(266,792,748
)
 
$
(155,667,987
)
 
$
-
 
                                 
The accompanying notes are an integral part of the portfolio of investments.

11

 
 
BOSTON PARTNERS INVESTMENT FUNDS
 
MAY 31, 2017 (unaudited)
 
       
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND
 
Portfolio of Investments
 
 
   
Number of
       
   
Shares
   
Value
 
LONG POSITIONS—82.6%
           
COMMON STOCKS—54.0%
           
Argentina—1.8%
           
Pampa Energia SA - Sponsored ADR*Ɨ
   
8,280
   
$
517,665
 
YPF SA - Sponsored ADR
   
13,574
     
334,735
 
             
852,400
 
Austria—1.1%
               
Atrium European Real Estate Ltd.
   
117,548
     
525,552
 
Brazil—7.7%
               
AES Tiete Energia SA
   
90,100
     
379,228
 
Alupar Investimento SA
   
24,200
     
133,491
 
BR Malls Participacoes SA
   
37,600
     
138,504
 
Cia de Saneamento Basico do Estado de Sao Paulo
   
32,000
     
286,284
 
Embraer SA
   
15,934
     
314,856
 
Equatorial Energia SA
   
18,400
     
304,662
 
Localiza Rent a Car SA
   
28,685
     
383,211
 
Minerva SA
   
110,000
     
366,106
 
QGEP Participacoes SA
   
215,600
     
385,101
 
Qualicorp SA
   
48,700
     
417,779
 
Sul America SA
   
54,700
     
299,198
 
Via Varejo SA
   
91,700
     
287,913
 
             
3,696,333
 
Canada—0.3%
               
Methanex Corp.
   
4,071
     
167,929
 
China—6.1%
               
Alibaba Group Holding Ltd.*
   
8,479
     
1,038,339
 
Bloomage BioTechnology Corp. Ltd.
   
87,500
     
145,973
 
Hollysys Automation Technologies Ltd.
   
1,704
     
27,247
 
NetEase, Inc. - ADR
   
2,894
     
824,153
 
Tencent Holdings Ltd.
   
17,700
     
608,303
 
Vipshop Holdings Ltd.*
   
22,979
     
284,250
 
             
2,928,265
 
Colombia—0.4%
               
Almacenes Exito SA
   
35,000
     
186,977
 
Hong Kong—2.0%
               
China Mobile Ltd.
   
12,467
     
687,056
 
WH Group Ltd.
   
273,500
     
256,220
 
             
943,276
 
Hungary—0.4%
               
Richter Gedeon Nyrt
   
7,773
     
198,587
 
India—4.3%
               
Gujarat State Petronet Ltd.
   
40,322
     
106,456
 
Maruti Suzuki India Ltd.
   
1,800
     
201,172
 
Petronet LNG Ltd.
   
8,435
     
57,521
 
Power Grid Corp. of India Ltd.
   
96,046
     
309,610
 
South Indian Bank Ltd. (The)
   
535,431
     
233,677
 
Tech Mahindra Ltd.
   
37,426
     
226,226
 
Vedanta Ltd.*
   
86,047
     
318,345
 
Videocon d2h Ltd. - ADR*
   
42,000
     
430,080
 
Yes Bank Ltd.
   
8,570
     
190,254
 
             
2,073,341
 
The accompanying notes are an integral part of the portfolio of investments. 
1

 
 
Indonesia—0.4%
               
Bank Rakyat Indonesia Persero Tbk PT
   
157,600
     
170,998
 
Israel—1.0%
               
Gazit-Globe Ltd.
   
49,777
     
486,365
 
Luxembourg—0.4%
               
Ternium SA
   
7,004
     
182,244
 
Malaysia—1.2%
               
Bumi Armada Bhd
   
3,302,500
     
598,415
 
Mexico—3.4%
               
Becle SAB de CV*
   
69,200
     
119,799
 
Credito Real SAB de CV SOFOM ER
   
488,000
     
725,745
 
Gentera SAB de CV*
   
100,300
     
161,429
 
Gruma SAB de CV
   
18,885
     
246,368
 
Qualitas Controladora SAB de CV
   
210,100
     
356,739
 
             
1,610,080
 
Russia—2.2%
               
LUKOIL PJSC
   
8,542
     
412,151
 
Novolipetsk Steel PJSC
   
20,629
     
389,636
 
Yandex NV, Class A*
   
8,677
     
229,767
 
             
1,031,554
 
South Africa—7.0%
               
Astral Foods Ltd.
   
13,611
     
166,425
 
Barclays Africa Group Ltd.
   
43,822
     
464,659
 
Clover Industries Ltd.
   
170,669
     
230,465
 
Imperial Holdings Ltd.
   
11,446
     
145,298
 
JSE Ltd.
   
57,966
     
584,257
 
Naspers Ltd., Class N
   
3,797
     
786,815
 
Nedbank Group Ltd.
   
19,053
     
320,255
 
Petra Diamonds Ltd.*
   
47,731
     
79,764
 
RCL Foods Ltd.
   
133,726
     
152,946
 
Remgro Ltd.
   
13,315
     
221,198
 
Standard Bank Group Ltd.
   
17,952
     
200,709
 
             
3,352,791
 
South Korea—2.1%
               
Korea Electric Power Corp.
   
14,493
     
277,686
 
KT Corp. - Sponsored ADR
   
24,828
     
417,607
 
KT&G Corp.
   
3,009
     
298,049
 
             
993,342
 
Sweden—0.3%
               
Millicom International Cellular SA
   
2,871
     
167,969
 
Taiwan—0.9%
               
Basso Industry Corp.
   
59,000
     
167,399
 
Hon Hai Precision Industry Co., Ltd.
   
76,000
     
260,039
 
             
427,438
 
 
The accompanying notes are an integral part of the portfolio of investments.
2

 
 
Thailand—0.8%
               
SPCG PCL
   
589,500
     
366,912
 
Turkey—3.3%
               
Akbank TAS
   
184,018
     
497,486
 
Haci Omer Sabanci Holding AS
   
127,448
     
386,316
 
Turkiye Garanti Bankasi AS
   
114,856
     
312,810
 
Turkiye Sinai Kalkinma Bankasi AS
   
1,059,156
     
399,525
 
             
1,596,137
 
United Arab Emirates—1.8%
               
Abu Dhabi Commercial Bank PJSC*
   
104,289
     
207,340
 
Emaar Malls PJSC*
   
941,286
     
640,634
 
             
847,974
 
United Kingdom—0.1%
               
Cairn Energy PLC*
   
31,207
     
81,517
 
United States—5.0%
               
Air Lease Corp.
   
16,804
     
620,404
 
Broadcom Ltd.
   
423
     
101,300
 
Cognizant Technology Solutions Corp.
   
1,715
     
114,750
 
FMC Corp.
   
2,443
     
184,129
 
Geopark Ltd.*
   
43,315
     
375,541
 
Kosmos Energy Ltd.*
   
20,906
     
125,436
 
Liberty Global PLC LiLAC, Class C*
   
20,916
     
438,399
 
Marvell Technology Group Ltd.
   
8,066
     
139,058
 
YY, Inc. - ADR*
   
5,479
     
319,645
 
             
2,418,662
 
TOTAL COMMON STOCKS
               
(Cost $24,618,776)
           
25,905,058
 
EXCHANGE TRADED FUNDS—0.5%
               
Thailand—0.5%
               
Jasmine Broadband Internet Infrastructure Fund
   
649,743
     
215,666
 
TOTAL EXCHANGE TRADED FUNDS
               
(Cost $219,663)
           
215,666
 
PREFERRED STOCKS—6.1%
               
Brazil—0.6%
               
Cia de Transmissao de Energia Eletrica Paulista
   
15,000
     
299,031
 
Russia—1.4%
               
Sberbank of Russia PJSC
   
306,200
     
673,705
 
South Korea—4.1%
               
Samsung Electronics Co., Ltd.
   
1,268
     
1,975,469
 
TOTAL PREFERRED STOCKS
               
(Cost $2,681,726)
           
2,948,205
 
SHORT-TERM INVESTMENTS—22.0%
               
Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio, 0.65%
   
10,558,868
     
10,558,868
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $10,558,868)
           
10,558,868
 
TOTAL INVESTMENTS—82.6%
               
(Cost $38,079,033)**
           
39,627,797
 
OTHER ASSETS IN EXCESS OF LIABILITIES—17.4%
           
8,328,199
 
NET ASSETS—100.0%
         
$
47,955,996
 
   
 The accompanying notes are an integral part of the portfolio of investments.

3

ADR 
American Depositary Receipt
     
NVDR 
Non-Voting Depository Receipt
     
PLC
Public Limited Company
     
*
Non-income producing.
     
Ɨ
Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
     
 *
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
     
           
   
Cost of investments
 
$
38,079,033
 
   
Gross unrealized appreciation
 
$
1,745,711
 
   
Gross unrealized (depreciation)
   
(196,947
)
   
Net unrealized appreciation (depreciation)
 
$
1,548,764
 
             
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
       
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes of Financial Statements section in the Fund's
       
most recent annual report.
       
             
   
The accompanying notes are an integral part of the portfolio of investments.
       
 
4

Contracts For Difference held by the Fund at May 31, 2017, are as follows:
   
 
       
Number of
            
Unrealized
    
       
Contracts
   
Notional
     
Appreciation
    
Reference Company
Counterparty
 
Long/(Short)
   
Amount
     
(Depreciation)
    
Long
                                 
Brazil
                                 
Iguatemi Emp De Shopping Centers SA
Goldman Sachs
   
8,900
   
$
99,264
     
$
(11,470
)
  
China
                                       
51Job, Inc. - ADR
Goldman Sachs
   
3,564
     
157,866
       
(2,515
)
  
Alibaba Group Holding Ltd. - Sponsored ADR
Goldman Sachs
   
5,539
     
686,947
       
(8,668
)
  
Baidu Inc. - Sponsored ADR
Goldman Sachs
   
2,287
     
433,221
       
(7,622
)
  
Bloomage BioTechnology Corp. Ltd.
Goldman Sachs
   
90,000
     
152,236
       
(2,095
)
  
China Telecom Corp. Ltd., Class H
Goldman Sachs
   
892,000
     
440,999
       
9,058
    
Hangzhou Hikvision
Goldman Sachs
   
79,700
     
313,438
       
(3,807
)
  
Henan Shuang Inv.
Goldman Sachs
   
73,700
     
220,589
       
13,977
    
Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A
Goldman Sachs
   
28,900
     
359,244
       
10,025
    
Kweichow Moutai
Goldman Sachs
   
5,700
     
355,661
       
14,505
    
Shanghai Haohai Biological Technology Co., Ltd., Class H
Goldman Sachs
   
31,600
     
179,755
       
(2,142
)
  
Tencent Holdings Ltd.
Goldman Sachs
   
50,700
     
1,708,973
       
35,801
    
Wuliangye Yibin Co., Ltd., Class A
Goldman Sachs
   
78,300
     
545,199
       
4,407
    
Zhengzhou Yutong Bus Co., Ltd., Class A
Goldman Sachs
   
127,999
     
374,889
       
7,871
    
         
1,469,989
     
5,929,017
       
68,795
    
                                           
Egypt
                                       
Commercial International Bank Egypt SAE
Goldman Sachs
   
36,600
     
159,319
       
8,004
    
Hong Kong
                                       
AIA Group Ltd.
Goldman Sachs
   
30,200
     
214,208
       
1,253
    
China Unicom Ltd.
Goldman Sachs
   
318,000
     
450,846
       
5,760
    
Shimao Property Holdings Ltd.
Goldman Sachs
   
95,500
     
151,763
       
11,049
    
Sunny Optical Technology Group Co., Ltd.
Goldman Sachs
   
63,000
     
501,667
       
(9,683
)
  
Zhongsheng Group Holdings Ltd.
Goldman Sachs
   
82,500
     
119,089
       
7,601
    
         
589,200
     
1,437,573
       
15,980
    
                                           
India
                                       
Videocon D2H Ltd. - ADR
Goldman Sachs
   
11,891
     
131,633
       
(9,874
)
  
Japan
                                       
Suzuki Motor Co.
Goldman Sachs
   
2,600
     
120,874
       
1,727
    
Mexico
                                       
Gentera Sab de CV
Goldman Sachs
   
91,700
     
153,716
       
(6,136
)
  
Grupo GicSA SA de CV
Goldman Sachs
   
852,800
     
613,390
       
(3,069
)
  
         
944,500
     
767,106
       
(9,205
)
  
                                           
Philippines
                                       
Metro Pacific Investments Corp.
Goldman Sachs
   
1,009,600
     
135,517
       
(8,409
)
  
Russia
                                       
Gazprom Neft PJSC
Goldman Sachs
   
55,150
     
190,631
       
5,827
    
South Africa
                                       
Petra Diamonds Ltd.
Goldman Sachs
   
344,429
     
592,908
       
(17,336
)
  
Remgro Ltd.
Goldman Sachs
   
3,804
     
65,558
       
(2,377
)
  
         
348,233
     
658,466
       
(19,713
)
  
                                           
South Korea
                                       
Eugene Technology
Goldman Sachs
   
17,232
     
278,530
       
12,207
    
Hana Financial Group, Inc.
Goldman Sachs
   
15,770
     
591,019
       
(14,240
)
  
Hanwha Corp.
Goldman Sachs
   
7,430
     
299,736
       
17,609
    
Hyundai Mobis Co., Ltd.
Goldman Sachs
   
2,084
     
465,891
       
44,833
    
KT Corp.
Goldman Sachs
   
2,891
     
80,431
       
3,599
    
LG Chem Ltd.
Goldman Sachs
   
1,213
     
315,156
       
11,879
    
LG Uplus Corp.
Goldman Sachs
   
15,496
     
199,380
       
24,814
    
Nongshim Co., Ltd.
Goldman Sachs
   
810
     
248,045
       
2,782
    
Samsung Electronics Co., Ltd.
Goldman Sachs
   
539
     
1,107,867
       
(33,035
)
  
Samsung SDI Co., Ltd.
Goldman Sachs
   
3,480
     
502,410
       
10,953
    
         
66,945
     
4,088,465
       
81,401
    
 
The accompanying notes are an integral part of the portfolio of investments. 
5

 
Taiwan
                                       
Taiwan Semiconductor Manufacturing Co., Ltd.
Goldman Sachs
   
210,000
     
1,422,506
       
1,072
    
                                           
United Kingdom
                                       
BGEO Group PLC
Goldman Sachs
   
15,040
     
718,761
       
(6,169
)
  
Cairn Energy PLC
Goldman Sachs
   
61,428
     
158,389
       
2,067
    
Georgia Healthcare Group PLC
Goldman Sachs
   
15,566
     
73,636
       
(3,441
)
  
TBC Bank Group PLC
Goldman Sachs
   
8,432
     
179,156
       
5,533
    
         
100,466
     
1,129,942
       
(2,010
)
  
                                           
United States
                                       
Rosneft Oil Co. GDR
Goldman Sachs
   
42,819
     
233,301
       
(8,395
)
  
Samsonite International SA
Goldman Sachs
   
38,100
     
149,550
       
4,148
    
         
80,919
     
382,851
       
(4,247
)
  
Total Long
                         
117,878
    
                                           
Short
                                       
Brazil
                                       
Fibria Celulose SA
Morgan Stanley
   
(8,800
)
 
$
(97,798
)
   
$
(3,375
)
  
Natura Cosmeticos SA
Goldman Sachs
   
(29,300
)
   
(320,864
)
     
23,984
    
         
(38,100
)
   
(418,662
)
     
20,609
    
                                           
China
                                       
China Huishan Dairy Holdings Co., Ltd.
Goldman Sachs
   
(246,000
)
   
(13,268
)
     
5
    
China Life Insurance Co., Ltd., Class H
Goldman Sachs
   
(60,000
)
   
(193,339
)
     
(3,182
)
  
China Pacific Insurance Group, Ltd., Class H
Goldman Sachs
   
(34,000
)
   
(130,334
)
     
(5,547
)
  
China Shenhua Energy Co., Ltd., Class H
Goldman Sachs
   
(90,000
)
   
(217,005
)
     
(1,861
)
  
Country Garden Holdings Co., Ltd.
Goldman Sachs
   
(102,000
)
   
(105,136
)
     
(16,506
)
  
Dongfang Electric Corp. Ltd. - Class H
Goldman Sachs
   
(245,800
)
   
(204,857
)
     
(5,819
)
  
Huadian Power International Corp. Ltd., Class H
Goldman Sachs
   
(378,000
)
   
(178,931
)
     
31
    
Huaneng Power International Inc., Class H
Goldman Sachs
   
(270,000
)
   
(207,823
)
     
(7,189
)
  
New China Life Insurance Co., Ltd., Class H
Goldman Sachs
   
(29,300
)
   
(155,411
)
     
(2,331
)
  
Parkson Retail Group Ltd.
Goldman Sachs
   
(1,665,500
)
   
(224,566
)
     
(18,889
)
  
Tian Ge Interactive Holdings Ltd.
Goldman Sachs
   
(286,000
)
   
(218,708
)
     
(120
)
  
Tingyi Cayman Islands Holdings Corp.
Goldman Sachs
   
(222,000
)
   
(281,022
)
     
9,835
    
Yashili International Holdings Ltd.
Goldman Sachs
   
(518,000
)
   
(88,225
)
     
(1,449
)
  
         
(4,146,600
)
   
(2,218,625
)
     
(53,022
)
  
                                           
Hong Kong
                                       
Bank Of East Asia Ltd. (The)
Goldman Sachs
   
(50,214
)
   
(211,631
)
     
(336
)
  
Capital Environment Holdings Ltd.
Goldman Sachs
   
(2,974,000
)
   
(82,110
)
     
(324
)
  
Cathay Pacific Airways
Goldman Sachs
   
(181,000
)
   
(251,106
)
     
(13,599
)
  
China Aircraft Leasing Group Holdings Ltd.
Morgan Stanley
   
(162,000
)
   
(198,705
)
     
(869
)
  
China Resources Beer Holdings Co., Ltd.
Goldman Sachs
   
(106,000
)
   
(256,860
)
     
(11,257
)
  
China Resources Power Holding Co., Ltd.
Goldman Sachs
   
(108,000
)
   
(215,997
)
     
(6,659
)
  
China Taiping Insurance Holdings Co., Ltd.
Goldman Sachs
   
(56,400
)
   
(145,499
)
     
(4,511
)
  
Cosco Shipping Development Co., Ltd.
Goldman Sachs
   
(1,104,000
)
   
(235,924
)
     
(1,903
)
  
Cosco Shipping Holdings Co., Ltd.
Goldman Sachs
   
(552,000
)
   
(244,917
)
     
(5,678
)
  
HK Electric Investments & HK Electric Investments Ltd.
Goldman Sachs
   
(145,000
)
   
(131,357
)
     
(1,472
)
  
Hong Kong & China Gas Co., Ltd.
Goldman Sachs
   
(132,000
)
   
(269,357
)
     
(12,733
)
  
Hong Kong Exchanges & Clearing Ltd.
Goldman Sachs
   
(8,030
)
   
(202,648
)
     
(890
)
  
Hybrid Kinetic Group Ltd.
Goldman Sachs
   
(4,734,000
)
   
(118,542
)
     
40
    
Imperial Pacific International Holdings Ltd.
Goldman Sachs
   
(7,280,000
)
   
(116,856
)
     
(3,707
)
  
KuangChi Science Ltd.
Goldman Sachs
   
(228,000
)
   
(86,835
)
     
1,072
    
MTR Corp.
Goldman Sachs
   
(56,500
)
   
(341,112
)
     
3,424
    
Ping An Insurance Group Co. - Class H
Goldman Sachs
   
(15,000
)
   
(90,339
)
     
(5,659
)
  
Prada S.P.A.
Goldman Sachs
   
(63,400
)
   
(273,289
)
     
6,270
    
Realord Group Holdings Ltd.
Goldman Sachs
   
(136,000
)
   
(76,843
)
     
2,464
    
Semiconductor Manufacturing Co., Ltd.
Goldman Sachs
   
(72,000
)
   
(77,845
)
     
2,064
    
Towngas China Co., Ltd.
Goldman Sachs
   
(128,000
)
   
(75,117
)
     
(4,360
)
  
Towngas China Co., Ltd.
Macquarie
   
(273,411
)
   
(163,394
)
     
(6,364
)
  
Universal Medical Financial & Technical Advisory Services Co., Ltd.
Goldman Sachs
   
(281,224
)
   
(241,943
)
     
256
    
Value Partners Group Ltd.
Goldman Sachs
   
(247,000
)
   
(234,735
)
     
435
    
Vision Fame International Holdings Ltd.
Macquarie
   
(138,000
)
   
(17,012
)
     
1,088
    
         
(19,231,179
)
   
(4,359,973
)
     
(63,208
)
  
 
The accompanying notes are an integral part of the portfolio of investments. 
6

 
Indonesia
                                       
Astra International Tbk PT
Macquarie
   
(196,500
)
   
(127,519
)
     
(2,219
)
  
Unilever Indonesia TBK PT
Macquarie
   
(92,700
)
   
(329,799
)
     
8,427
    
         
(289,200
)
   
(457,318
)
     
6,208
    
                                           
Malaysia
                                       
Digi.com. Bhd
Morgan Stanley
   
(137,300
)
   
(158,935
)
     
(973
)
  
Maxis Bhd
Morgan Stanley
   
(110,800
)
   
(165,444
)
     
5,315
    
         
(248,100
)
   
(324,379
)
     
4,342
    
                                           
Mexico
                                       
Telesites SAB CV
Goldman Sachs
   
(278,600
)
   
(175,834
)
     
1,019
    
Wal-Mart de Mexico SAB de CV
Goldman Sachs
   
(43,800
)
   
(99,938
)
     
(435
)
  
         
(322,400
)
   
(275,772
)
     
584
    
                                           
Norway
                                       
Subsea 7 S.A Com.
Goldman Sachs
   
(4,221
)
   
(65,765
)
     
5,083
    
                                           
Singapore
                                       
SembCorp. Marine Ltd.
Morgan Stanley
   
(157,000
)
   
(193,180
)
     
1,869
    
Singapore Airlines Ltd. NPV
Goldman Sachs
   
(30,800
)
   
(229,162
)
     
6,384
    
         
(187,800
)
   
(422,342
)
     
8,253
    
                                           
South Africa
                                       
Aspen Pharmacare Holdings Ltd.
Goldman Sachs
   
(4,382
)
   
(94,901
)
     
(4,303
)
  
Cie Financiere Richemont SA
Goldman Sachs
   
(10,990
)
   
(91,710
)
     
(761
)
  
MTN Group Ltd.
Goldman Sachs
   
(25,370
)
   
(234,658
)
     
7,432
    
Pick'n Pay Stores Ltd.
Goldman Sachs
   
(21,889
)
   
(103,061
)
     
2,522
    
         
(62,631
)
   
(524,330
)
     
4,890
    
                                           
South Korea
                                       
Amorepacific Corp.
Morgan Stanley
   
(386
)
   
(119,049
)
     
810
    
CJ CGV Co., Ltd.
Morgan Stanley
   
(3,694
)
   
(267,021
)
     
(11,665
)
  
Hanjin Transportation Co., Ltd.
Goldman Sachs
   
(6,967
)
   
(184,650
)
     
(6,097
)
  
Kakao Corp.
Goldman Sachs
   
(1,998
)
   
(171,871
)
     
(4,139
)
  
Kangwon Land Inc.
Goldman Sachs
   
(7,353
)
   
(236,946
)
     
(1,020
)
  
LG Display Co., Ltd.
Goldman Sachs
   
(9,410
)
   
(250,267
)
     
(23,276
)
  
Lotte Shopping Co., Ltd.
Goldman Sachs
   
(979
)
   
(241,155
)
     
(9,129
)
  
Paradise Co. Ltd.
Morgan Stanley
   
(17,240
)
   
(245,613
)
     
8,298
    
Samsung Heavy Industries Co., Ltd.
Goldman Sachs
   
(23,381
)
   
(247,492
)
     
(9,283
)
  
Samsung SDS Co., Ltd.
Morgan Stanley
   
(946
)
   
(126,804
)
     
(10,905
)
  
Seah Besteel Corp.
Goldman Sachs
   
(9,680
)
   
(242,852
)
     
(2,849
)
  
         
(82,034
)
   
(2,333,720
)
     
(69,255
)
  
                                           
Taiwan
                                       
AU Optronics Corp.
Goldman Sachs
   
(401,000
)
   
(156,581
)
     
(487
)
  
Eclat Textile Co., Ltd.
Goldman Sachs
   
(23,000
)
   
(241,927
)
     
7,858
    
Feng Tay Enterprise
Goldman Sachs
   
(62,000
)
   
(245,279
)
     
4,209
    
Innolux Corp.
Goldman Sachs
   
(555,000
)
   
(243,558
)
     
(7,102
)
  
Sitronix Technology
Goldman Sachs
   
(29,000
)
   
(86,555
)
     
839
    
         
(1,070,000
)
   
(973,900
)
     
5,317
    
 
The accompanying notes are an integral part of the portfolio of investments.
7

 
 
Thailand
                                       
Advanced Info. Service PCL
Macquarie
   
(45,700
)
   
(236,943
)
     
4,866
    
Airports of Thailand PCL
Morgan Stanley
   
(197,100
)
   
(238,108
)
     
(7,903
)
  
Thai Airways International PCL - NVDR
Morgan Stanley
   
(532,000
)
   
(282,922
)
     
(7,589
)
  
         
(774,800
)
   
(757,973
)
     
(10,626
)
  
                                           
United Kingdom
                                       
Antofagasta PLC
Goldman Sachs
   
(10,295
)
   
(107,035
)
     
(346
)
  
Fresnillo PLC
Goldman Sachs
   
(5,579
)
   
(112,770
)
     
(1,282
)
  
Standard Chartered PLC
Goldman Sachs
   
(13,807
)
   
(134,644
)
     
4,217
    
         
(29,681
)
   
(354,449
)
     
2,589
    
                                           
United States
                                       
58 Com. Inc.
Goldman Sachs
   
(6,541
)
   
(282,523
)
     
1,260
    
Bitauto Holdings Ltd.
Goldman Sachs
   
(5,515
)
   
(162,833
)
     
17,563
    
Grupo Televisa SAB - Sponsored ADR
Goldman Sachs
   
(11,293
)
   
(277,381
)
     
3,190
    
Infosys Ltd. - Sponsored ADR
Goldman Sachs
   
(9,189
)
   
(139,819
)
     
(500
)
  
Kinross Gold Corp.
Goldman Sachs
   
(24,452
)
   
(103,496
)
     
(1,891
)
  
Pricesmart, Inc.
Goldman Sachs
   
(2,398
)
   
(216,698
)
     
5,078
    
Tuniu Corp. Sponsored ADR
Goldman Sachs
   
(24,668
)
   
(202,108
)
     
62
    
United Microelectronics Corp. - Sponsored ADR
Goldman Sachs
   
(119,059
)
   
(239,261
)
     
(6,005
)
  
Wipro Ltd. - Sponsored ADR
Goldman Sachs
   
(9,808
)
   
(103,488
)
     
(2,243
)
  
         
(212,923
)
   
(1,727,607
)
     
16,514
    
Total Short
                         
(121,722
)
  
Net unrealized gain/(loss) on Contracts For Difference
                            
$
(3,844
)
  
 
The accompanying notes are an integral part of the portfolio of investments.
8

 
 
     
BOSTON PARTNERS INVESTMENT FUNDS
MAY 31, 2017 (unaudited)
 
         
BOSTON PARTNERS EMERGING MARKETS LONG/SHORT FUND
Portfolio of Investments
 
 
A summary of the inputs used to value the Fund's investments as of May 31, 2017 is as follows (see Notes to Portfolio of Investments):
       
                         
             
Level 2
   
Level 3
 
 
Total
   
Level 1
 
Other Significant
   
Significant
 
 
Value as of
   
Quoted
 
Observable
   
Unobservable
 
 
May 31, 2017
   
Price
  Inputs     
Inputs
 
Common Stocks
                       
Argentina
 
$
852,400
   
$
852,400
   
$
-
   
$
-
 
Austria
   
525,552
     
525,552
     
-
     
-
 
Brazil
   
3,696,333
     
3,696,333
     
-
     
-
 
Canada
   
167,929
     
167,929
     
-
     
-
 
China
   
2,928,265
     
2,319,962
     
608,303
     
-
 
Colombia
   
186,977
     
186,977
     
-
     
-
 
Hong Kong
   
943,276
     
687,056
     
256,220
     
-
 
Hungary
   
198,587
     
-
     
198,587
     
-
 
India
   
2,073,341
     
430,080
     
1,643,261
     
-
 
Indonesia
   
170,998
     
-
     
170,998
     
-
 
Israel
   
486,365
     
-
     
486,365
     
-
 
Luxembourg
   
182,244
     
182,244
     
-
     
-
 
Malaysia
   
598,415
     
-
     
598,415
     
-
 
Mexico
   
1,610,080
     
1,610,080
     
-
     
-
 
Russia
   
1,031,554
     
641,918
     
389,636
     
-
 
South Africa
   
3,352,791
     
1,213,857
     
2,138,934
     
-
 
South Korea
   
993,342
     
695,293
     
298,049
     
-
 
Sweden
   
167,969
     
-
     
167,969
     
-
 
Taiwan
   
427,438
     
-
     
427,438
     
-
 
Thailand
   
366,912
     
-
     
366,912
     
-
 
Turkey
   
1,596,137
     
-
     
1,596,137
     
-
 
United Arab Emirates
   
847,974
     
-
     
847,974
     
-
 
United Kingdom
   
81,517
     
-
     
81,517
     
-
 
United States
   
2,418,662
     
2,418,662
     
-
     
-
 
Exchange Traded Funds
   
215,666
     
-
     
215,666
     
-
 
Preferred Stocks
                               
     Brazil
   
299,031
     
299,031
     
-
     
-
 
     Russia
   
673,705
     
-
     
673,705
     
-
 
     South Korea
   
1,975,469
     
-
     
1,975,469
     
-
 
Short-Term Investments
   
10,558,868
     
10,558,868
     
-
     
-
 
Contracts For Difference
                               
     Equity Contracts
   
117,878
     
(46,254
)
   
164,132
     
-
 
Total Assets
 
$
39,745,675
   
$
26,439,988
   
$
13,305,687
   
$
-
 
                                 
                 
Level 2
   
Level 3
 
 
Total
   
Level 1
 
Other Significant
   
Significant
 
 
Value as of
   
Quoted
 
Observable
   
Unobservable
 
 
May 31, 2017
   
Price
  Inputs     
Inputs
 
Contracts For Difference
                               
     Equity Contracts
 
$
(121,722
)
 
$
43,798
   
$
(165,520
)
 
$
-
 
Total Liabilities
 
$
(121,722
)
 
$
43,798
   
$
(165,520
)
 
$
-
 
 
The accompanying notes are an integral part of the portfolio of investments.

9

BOSTON PARTNERS INVESTMENT FUNDS
 
NOTES TO PORTFOLIO OF INVESTMENTS
 
May 31, 2017 (unaudited)
   
 
Portfolio Valuation — Each Boston Partners Investment Fund’s, Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Boston Partners Global Equity Fund (“BP Global Equity Fund”), Boston Partners Global Long/Short Fund (“BP Global Long/Short Fund”), Boston Partners Emerging Markets Long/Short Fund (“BP Emerging Markets Long/Short Fund”) (collectively “BP Funds”), and WPG Partners Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund”), and collectively with the BP Funds, the “Funds”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open.  Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded.  Equity securities traded in the over-the-counter ("OTC") market are valued at their closing prices.  If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close.  Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of themarket.  Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, provided such amount approximates fair value.  Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates.  Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as disclosed in their prospectuses).  Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close.  Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions.  If market quotations are unavailable or deemed unreliable, securities will bevalued in accordance with procedures adopted by the Company’s Board of Directors.  Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by otherinvestment companies and investors to price the same investments.  Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security.  Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.  The Funds may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Funds value their securities, generally as of 4:00 p.m. Eastern time.  The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim.  To account for this, the Funds may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
 
Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:
   
• Level 1 - quoted prices in active markets for identical securities;
   
• Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 - significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
           
A summary of the inputs used to value each Fund’s investments as of May 31, 2017 is included in each Fund’s Portfolio of Investments.
 
1

 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities.  Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market.  Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period.  Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize.  Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period.  Transfers in and out between levels are based on values at the end of the period.  U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements.  A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets.  The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
 
Foreign securities that utilize international fair pricing are categorized as Level 2 in the hierarchy.  For the BP Emerging Markets Long/Short Fund, a security held as a long position with an end of period value of $584,257 transferred from Level 2 into Level 1.  For the BP Global Long/Short Fund, securities held as short positions with an end of period value of $9,390,819 transferred from Level 2 into Level 1.  These transfers occurred as a result of these securities no longer being valued utilizing the international fair value pricing at May 31, 2017.
 
Options Written — The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities.  Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation.  An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date.  On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date.  The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract.  The maximum risk of loss associated with writing call options is potentially unlimited.  A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist.  Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes.     
 
Written options are initially recorded as liabilities to the extent of premiums received and subsequently marked to market to reflect the current value of the option written.  Gains or losses are realized when the option transaction expires or closes.  When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received.  Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default.  A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.  As of May 31, 2017, all of each Fund’s written options were exchange-traded options.
2

 
The BP Long/Short Equity Fund, the BP Long/Short Research Fund, the BP All-Cap Value Fund, the BP Global Equity Fund and the BP Global Long/Short Fund had transactions in options written during the period ended May 31, 2017 as follows:
 
 
   
BP Long/Short Equity Fund
   
BP Long/Short Research Fund
   
BP All-Cap Value Fund
 
   
Number of
   
Premiums
   
Number of
   
Premiums
   
Number of
   
Premiums
 
   
Contracts
   
Received
   
Contracts
   
Received
   
Contracts
   
Received
 
                                     
Options outstanding at
                                   
August 31, 2016
   
13,973
   
$
5,670,254
     
4,122
   
$
1,595,012
     
1,017
   
$
649,870
 
Options written
   
7,049
     
3,522,380
     
5,546
     
2,548,561
     
     
 
Options closed
   
(653
)
   
(651,000
)
   
(2,344
)
   
(650,139
)
   
     
 
Options expired
   
(13,973
)
   
(5,670,254
)
   
(4,122
)
   
(1,595,012
)
   
     
 
Options exercised
   
     
     
(3,202
)
   
(1,898,422
)
   
1,017
     
(649,870
)
Options outstanding at May 31, 2017
   
6,396
   
$
2,871,380
     
   
$
     
   
$
 
                                                 
   
BP Global Equity Fund
   
BP Global Long/Short Fund
                 
   
Number of
   
Premiums
   
Number of
   
Premiums
                 
   
Contracts
   
Received
   
Contracts
   
Received
                 
                                                 
Options outstanding at
                                               
August 31, 2016
   
   
$
     
954
   
$
497,321
                 
Options written
   
376
     
199,760
     
7,036
     
2,494,368
                 
Options closed
   
     
     
     
                 
Options expired
   
     
     
(554
)
   
(214,371
)
               
Options exercised
   
     
     
(4,163
)
   
(1,400,247
)
               
Options outstanding at May 31, 2017
   
376
   
$
199,760
     
3,273
   
$
1,377,071
                 
                                                 
For the period ended May 31, 2017, the average quarterly volume of derivatives is as follows:
                         
                                                 
           
Purchased
   
Written
                         
           
Options
   
Options
                         
Fund
         
(Cost)
   
(Proceeds)
                         
                                                 
BP Long/Short Equity Fund
         
$
   
$
4,684,679
                         
BP Long/Short Research Fund
           
     
1,909,252
                         
BP All-Cap Value Fund
           
     
324,935
                         
BP Global Equity Fund
           
     
99,880
                         
BP Global Long/Short Fund
           
507,373
     
1,102,162
                         

Short SalesWhen the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund and the BP Global Long/Short Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security.  A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security.  A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs.  There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price.  Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited.  Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short.  Depending on Arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them.
 
3

 
Contracts for DifferenceThe BP Global Long/Short Fund, the BP Long/Short Research Fund and the BP Emerging Markets Long/Short Fund (for this section only, each a “Fund”) may enter into Contracts for Differences (“CFDs”).  CFDs are leveraged derivative instruments that allow a Fund to take a position on the change in the market price of an underlying asset, such as a stock, or the value of an index or currency exchange rate.  With a short CFD, a Fund is seeking to profit from falls in the market price of the asset.  CFDs are subject to liquidity risk because the liquidity of CFDs is based on the liquidity of the underlying instrument, and are subject to counterparty risk, i.e., the risk that the counterparty to the CFD transaction may be unable or unwilling to make payments or to otherwise honor its financial obligations under the terms of the contract.  It is also possible that the market price of the CFD will move between the time the order is placed by a Fund and when it is executed by the issuer, which can result in the trade being executed at a less favorable price.  CFDs, like many other derivative instruments, involve the risk that, if the derivative security declines in value, additional margin would be required to maintain the margin level.  The seller may require a Fund to deposit additional sums to cover this decline in value, and the margin call may be at short notice.  If additional margin is not provided in time, the seller may liquidate the positions at a loss for which a Fund is liable.  The potential for margin calls and large losses are much greater in CFDs than in other leveraged products.  Most CFDs are traded OTC.  CFDs are not registered with the SEC or any U.S. regulator, and are not subject to U.S. regulation.  In a short position, the Fund will receive or pay an amount based upon the amount, if any, by which the notional amount of the CFD would have decreased or increased in value had it sold the particular stocks short, less the dividends that would have been paid on those stocks, plus a floating rate of interest on the notional amount of the CFD.  All of these components are reflected in the market value of the CFD.
 
CFDs are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations.  Periodic payments made or received are recorded as realized gains or losses.  Entering into CFDs involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities.  Such risks involve the possibility that there will be no liquid market for these contracts, that the counterparty to the contract may default on its obligation to perform and that there may be unfavorable changes in market conditions.  CFDs outstanding at period end, if any, are listed on the Portfolio of Investments.  In connection with CFDs, cash or securities may be segregated as collateral by the Funds’ custodian.  As of May 31, 2017, the BP Long/Short Research Fund, the BP Global Long/Short Fund and the BP Emerging Markets Long/Short Fund held CFDs.
 
For the period ended May 31, 2017, the average volume of CFDs is as follows:
 
             
   
Notional Amount
   
Notional Amount
 
Fund
 
Long
   
Short
 
             
BP Long/Short Research Fund
 
$
56,827,123
   
$
41,348,330
 
BP Global Long/Short Fund
   
     
4,069,954
 
BP Emerging Markets Long/Short Fund
   
9,543,241
     
6,830,316
 
 
Securities Lending — Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S.  Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned.  Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Company’s Board of Directors, is invested in short-term investments.  All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses.  Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Boston Partners to be of good standing and only when, in Boston Partners’ judgment, the income to be earned from the loans justifies the attendant risks.  Any loans of a Fund’s securities will be fully collateralized and marked to market daily. During the three month period ended May 31, 2017, the Funds participated in securities lending.
 
4

Restricted Securities — A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933, as amended (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Certain restricted securities may be resold in transactions exempt from registration, normally to qualified institutional buyers, and may be deemed liquid by Boston Partners as applicable, based on policies and procedures established by the Company's Board of Directors.  Therefore, not all restricted securities are considered illiquid.
 
At May 31, 2017, the Funds did not hold any restricted securities that were illiquid.
     
             
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission. 
           

5

CAMPBELL DYNAMIC TREND FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
 
MAY 31, 2017
 
(UNAUDITED)
 
                         
   
COUPON*
   
MATURITY
   
PAR
   
VALUE
 
SHORT-TERM INVESTMENTS — 83.9%
                       
U.S. TREASURY OBLIGATIONS — 83.9%
                       
United States Treasury Bill
   
0.480
%
 
06/29/17
   
$
1,040,000
   
$
1,039,616
 
United States Treasury Bill
   
0.553
%
 
07/20/17
     
1,812,000
     
1,810,642
 
United States Treasury Bill
   
0.772
%
 
08/24/17
     
844,000
     
842,196
 
United States Treasury Bill
   
0.802
%
 
09/14/17
     
844,000
     
841,692
 
United States Treasury Bill
   
0.875
%
 
10/12/17
     
2,125,000
     
2,117,356
 
United States Treasury Bill
   
1.024
%
 
11/24/17
     
1,025,000
     
1,019,743
 
                               
7,671,245
 
TOTAL SHORT-TERM INVESTMENTS
                             
(Cost $7,672,979)
                         
7,671,245
 
TOTAL INVESTMENTS — 83.9%
                             
(Cost $7,672,979)
                         
7,671,245
 
                               
OTHER ASSETS IN EXCESS OF LIABILITIES — 16.1%
                         
1,469,850
 
NET ASSETS — 100.0%
                       
$
9,141,095
 
                                   
   
* 
Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments.
         
   
** 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
                 
                         
     
     Cost of investments
         
$
7,672,979
                 
     
     Gross unrealized appreciation
         
$
-
                 
     
     Gross unrealized (depreciation)
           
(1,734
)
               
     
Net unrealized appreciation (depreciation)
         
$
(1,734
)
               
                                       
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
 
most recent annual report.
                               
                                       
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

1

 
 
CAMPBELL DYNAMIC TREND FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
 
MAY 31, 2017
 
(UNAUDITED)
 
                       
Futures contracts outstanding as of May 31, 2017 were as follows:
 
                       
                   
UNREALIZED
 
 
   EXPIRATION  
NUMBER OF
   
NOTIONAL
   
APPRECIATION
 
LONG CONTRACTS
 
DATE
 
CONTRACTS
   
COST
   
(DEPRECIATION)
 
10 Year Mini Japanese Government Bond
 
Jun-17
   
11
   
$
1,522,961
   
$
(2,936
)
3-Month Euro Euribor
 
Jun-18
   
27
     
7,377,931
     
2,040
 
90-DAY Bank Bill
 
Sep-17
   
15
     
11,233,969
     
1,648
 
90-Day Euro
 
Jun-18
   
6
     
1,476,500
     
250
 
90-Day Sterling
 
Jun-18
   
34
     
5,443,320
     
1,427
 
Amsterdam Index
 
Jun-17
   
2
     
236,345
     
(4,294
)
Australian 10-Year Bond
 
Jun-17
   
6
     
587,074
     
3,112
 
Australian 3-Year Bond
 
Jun-17
   
28
     
2,343,084
     
6,250
 
CAC40 10 Euro
 
Jun-17
   
2
     
118,828
     
(2,092
)
Canadian 10-Year Bond
 
Sep-17
   
5
     
535,940
     
2,596
 
Cattle Feeder Futures
 
Aug-17
   
1
     
80,365
     
(4,078
)
DAX Index
 
Jun-17
   
1
     
321,961
     
17,397
 
DJIA Mini E-CBOT
 
Jun-17
   
2
     
208,263
     
1,757
 
Euro Stoxx 50
 
Jun-17
   
4
     
143,181
     
9,375
 
Euro-Bobl
 
Jun-17
   
5
     
708,524
     
1,342
 
Euro-BTP
 
Jun-17
   
1
     
149,731
     
(563
)
Euro-Bund
 
Jun-17
   
3
     
538,156
     
(509
)
Euro-Oat
 
Jun-17
   
1
     
169,273
     
313
 
Euro-Schatz
 
Jun-17
   
15
     
1,840,112
     
657
 
FTSE 100 Index
 
Jun-17
   
2
     
179,228
     
5,706
 
FTSE/JSE TOP 40
 
Jun-17
   
2
     
72,901
     
(1,114
)
FTSE/MIB Index
 
Jun-17
   
1
     
103,445
     
7,878
 
Gold 100 Oz
 
Aug-17
   
1
     
126,512
     
1,028
 
Hang Seng Index
 
Jun-17
   
3
     
489,517
     
1,011
 
IBEX 35 Index
 
Jun-17
   
1
     
121,246
     
(908
)
Lean Hogs
 
Jul-17
   
2
     
64,826
     
1,594
 
Live Cattle
 
Aug-17
   
4
     
196,412
     
(1,692
)
London Metals Exchange Aluminum
 
Jun-17
   
10
     
487,032
     
(6,970
)
London Metals Exchange Copper
 
Jun-17
   
1
     
141,891
     
(248
)
London Metals Exchange Nickel
 
Jun-17
   
1
     
66,657
     
(13,071
)
London Metals Exchange Zinc
 
Jun-17
   
1
     
71,851
     
(7,101
)
Long Gilt
 
Sep-17
   
5
     
824,872
     
2,971
 
MSCI Singapore Exchange ETS
 
Jun-17
   
7
     
182,008
     
(2,234
)
MSCI Taiwan Index
 
Jun-17
   
9
     
335,313
     
207
 
Nasdaq 100 E-Mini
 
Jun-17
   
5
     
544,298
     
35,027
 
Natural Gas
 
Jun-17
   
1
     
33,502
     
(2,792
)
Nikkie 225 (Osaka Securities Exchange)
 
Jun-17
   
3
     
260,868
     
(701
)
OMX Stockholm 30 Index
 
Jun-17
   
13
     
244,307
     
(1,812
)
Palladium
 
Sep-17
   
1
     
77,147
     
4,448
 
Russell 2000 Mini
 
Jun-17
   
2
     
137,468
     
(558
)
S&P 500 E-Mini
 
Jun-17
   
4
     
474,793
     
7,427
 
S&P Mid 400 E-Mini
 
Jun-17
   
1
     
170,952
     
1,048
 
S&P/TSX 60 Index
 
Jun-17
   
1
     
135,733
     
(1,241
)
SGX Nifty 50
 
Jun-17
   
14
     
263,143
     
6,693
 
SPI 200 Index
 
Jun-17
   
2
     
220,049
     
(1,192
)
Topix Index
 
Jun-17
   
1
     
135,100
     
2,702
 
U.S. Treasury 2-Year Notes
 
Sep-17
   
2
     
432,566
     
403
 
U.S. Treasury 5-Year Notes
 
Sep-17
   
1
     
117,931
     
381
 
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
 
Sep-17
   
1
     
164,095
     
1,030
 
               
$
41,911,181
   
$
71,612
 
                             
                             
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 
2

 
 
                       
UNREALIZED
 
 
 EXPIRATION  
NUMBER OF
   
NOTIONAL
   
APPRECIATION
 
SHORT CONTRACTS
 
DATE
 
CONTRACTS
   
COST
   
(DEPRECIATION)
 
Brent Crude
 
Jun-17
   
1
   
$
(53,412
)
 
$
2,648
 
Cocoa
 
Jul-17
   
3
     
(63,189
)
   
1,731
 
Coffee
 
Jul-17
   
2
     
(97,675
)
   
650
 
Corn
 
Jul-17
   
5
     
(91,677
)
   
(1,352
)
Cotton No.2
 
Jul-17
   
1
     
(38,598
)
   
102
 
Gasoline RBOB
 
Jun-17
   
1
     
(65,489
)
   
(1,569
)
London Metals Exchange Aluminum
 
Jun-17
   
4
     
(189,145
)
   
(2,880
)
London Metals Exchange Nickel
 
Jun-17
   
2
     
(114,766
)
   
7,594
 
London Metals Exchange Zinc
 
Jun-17
   
1
     
(65,387
)
   
637
 
Low Sulphur Gasoil G Futures
 
Jul-17
   
1
     
(45,102
)
   
523
 
Platinum
 
Jul-17
   
1
     
(47,567
)
   
48
 
Soybean
 
Jul-17
   
8
     
(380,623
)
   
14,177
 
Sugar No. 11 (World)
 
Jun-17
   
8
     
(146,274
)
   
12,990
 
Wheat
 
Jul-17
   
6
     
(130,292
)
   
1,483
 
               
$
(1,529,196
)
 
$
36,782
 
Total Futures Contracts
             
$
40,381,985
   
$
108,394
 
   
                             
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

3

 
CAMPBELL DYNAMIC TREND FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONCLUDED)
 
MAY 31, 2017
 
(UNAUDITED)
 
                         
Forward foreign currency contracts outstanding as of May 31, 2017 were as follows:
 
                         
                
UNREALIZED
 
                
APPRECIATION
 
CURRENCY PURCHASED
 
CURRENCY SOLD
 
EXPIRATION
COUNTERPARTY
 
(DEPRECIATION)
 
AUD
   
1,200,000
 
USD
   
907,228
 
Jun 21 2017
UBS
 
$
(15,880
)
CAD
   
200,000
 
USD
   
148,343
 
Jun 21 2017
UBS
   
(228
)
CHF
   
50,000
 
USD
   
51,059
 
Jun 21 2017
UBS
   
636
 
EUR
   
850,000
 
USD
   
939,142
 
Jun 21 2017
UBS
   
16,797
 
GBP
   
500,000
 
USD
   
642,679
 
Jun 21 2017
UBS
   
1,983
 
JPY
   
65,000,000
 
USD
   
590,280
 
Jun 21 2017
UBS
   
(2,817
)
NOK
   
2,300,000
 
USD
   
273,677
 
Jun 21 2017
UBS
   
(1,372
)
NZD
   
850,000
 
USD
   
596,504
 
Jun 21 2017
UBS
   
5,452
 
SEK
   
4,850,000
 
USD
   
554,528
 
Jun 21 2017
UBS
   
4,186
 
USD
   
746,902
 
AUD
   
1,000,000
 
Jun 21 2017
UBS
   
4,112
 
USD
   
1,107,639
 
CAD
   
1,500,000
 
Jun 21 2017
UBS
   
(3,219
)
USD
   
99,690
 
CHF
   
100,000
 
Jun 21 2017
UBS
   
(3,701
)
USD
   
1,071,860
 
EUR
   
1,000,000
 
Jun 21 2017
UBS
   
(52,774
)
USD
   
438,923
 
GBP
   
350,000
 
Jun 21 2017
UBS
   
(12,340
)
USD
   
816,794
 
JPY
   
92,000,000
 
Jun 21 2017
UBS
   
(14,692
)
USD
   
742,674
 
NOK
   
6,350,000
 
Jun 21 2017
UBS
   
(9,125
)
USD
   
484,256
 
NZD
   
700,000
 
Jun 21 2017
UBS
   
(11,473
)
USD
   
828,438
 
SEK
   
7,400,000
 
Jun 21 2017
UBS
   
(24,033
)
               
Total Forward Foreign Currency Contracts
        
$
(118,488
)
 
AUD - Australian Dollar
   
JPY - Japanese Yen
             
CAD - Canadian Dollar
   
NOK - Norwegian Krone
             
CHF - Swiss Franc
   
NZD - New Zealand Dollar
         
EUR - Euro
         
SEK - Swedish Krona
             
GBP - British Pound
   
USD - United States Dollar
         
                             
                             
                             
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

4

CAMPBELL DYNAMIC TREND FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2017
(UNAUDITED)
                             
CONSOLIDATION OF SUBSIDIARY —The Campbell Dynamic Trend Fund (the “Fund”) pursues its investment objective by (i) investing its assets pursuant to the Campbell Dynamic Trend Program; (ii) allocating up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Offshore Limited (the “Subsidiary”), which is organized under the laws of the Cayman Islands and employs the Manager’s Campbell Dynamic Trend Program, and (iii) allocating the remainder of its assets directly in an actively managed investment grade securities portfolio (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are considered investment grade. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of May 31, 2017, the net assets of the Subsidiary were $328,695 which represented 3.6% of the Fund’s net assets.       
                             
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.             
                             
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
 
 
Level 1 –
quoted prices in active markets for identical securities;
             
Level 2 –
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
   
Level 3 –
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
     
 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
     
                             
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund's investments carried at fair value.
         
 
         
LEVEL 2
 
LEVEL 3
 
 
TOTAL FAIR
     
OTHER SIGNIFICANT
 
SIGNIFICANT
 
 
VALUE AT
 
LEVEL 1
 
OBSERVABLE
 
UNOBSERVABLE
 
 
MAY 31, 2017
 
QUOTED PRICE
 
INPUTS
 
INPUTS
 
Short-Term Investments
 
$
7,671,245
   
$
-
   
$
7,671,245
   
$
-
 
Commodity Contracts
                               
Futures
   
49,653
     
49,653
     
-
     
-
 
Equity Contracts
                               
Futures
   
96,228
     
96,228
     
-
     
-
 
Interest Rate Contracts
                               
Futures
   
24,420
     
24,420
     
-
     
-
 
Foreign Exchange Contracts
                               
Forward Foreign Currency Contracts
   
33,166
     
-
     
33,166
     
-
 
Total Assets
 
$
7,874,712
   
$
170,301
   
$
7,704,411
   
$
-
 
                                 
                 
LEVEL 2
 
LEVEL 3
 
 
TOTAL FAIR
         
OTHER SIGNIFICANT
 
SIGNIFICANT
 
 
VALUE AT
 
LEVEL 1
 
OBSERVABLE
 
UNOBSERVABLE
 
 
MAY 31, 2017
 
QUOTED PRICE
 
INPUTS
 
INPUTS
 
Commodity Contracts
                               
Futures
 
$
(41,753
)
 
$
(41,753
)
 
$
-
   
$
-
 
Equity Contracts
                   
-
     
-
 
Futures
   
(16,146
)
   
(16,146
)
   
-
     
-
 
Interest Rate Contracts
                   
-
     
-
 
Futures
   
(4,008
)
   
(4,008
)
   
-
     
-
 
Foreign Exchange Contracts
                   
-
     
-
 
Forward Foreign Currency Contracts
   
(151,654
)
   
-
     
(151,654
)
   
-
 
Total Assets
 
$
(213,561
)
 
$
(61,907
)
 
$
(151,654
)
 
$
-
 
 
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 classifications of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting on national exchanges.
 
 
 
                                             
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period.  Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.  
 
 
 
For fair valuation using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
 
For the period ended May 31, 2017 the Fund had no transfers between Levels 1, 2, and 3.
5

 
DISCLOSURE ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
                   
                                   
The following table lists the fair values of the Fund's derivative holdings as of May 31, 2017 grouped by contract type and risk exposure category.
       
                                   
           
 
 
 
 
 
       
  
DERIVATIVE TYPE
 
EQUITY CONTRACTS
 
INTEREST RATE
CONTRACTS
 
FOREIGN CURRENCY
CONTRACTS
 
COMMODITY
CONTRACTS
   
TOTALS
 
  
Asset Derivatives
 
      
Unrealized
                             
      
appreciation on
                             
      
forward foreign
                             
Forward Contracts
currency contracts
 
$
-
   
$
-
   
$
33,166
   
$
-
   
$
33,166
 
 
 Receivable:                                        
Future Contracts (a)
Variation Margin
   
96,228
     
24,420
     
-
     
49,653
     
170,301
 
Total Value - Assets
 
 
$
96,228
   
$
24,420
   
$
33,166
   
$
49,653
   
$
203,467
 
                                             
                                             
                                             
                                             
  
Liability Derivatives
 
 
 Unrealized                                        
 
 depreciation on                                        
 
 forward foreign                                        
Forward Contracts
currency contracts
 
$
-
   
$
-
   
$
(151,654
)
 
$
-
   
$
(151,654
)
 
Payable:                                        
Future Contracts (a)
Variation Margin
   
(16,146
)
   
(4,008
)
   
-
     
(41,753
)
   
(61,907
)
Total Value - Liabilities
 
$
(16,146
)
 
$
(4,008
)
 
$
(151,654
)
 
$
(41,753
)
 
$
(213,561
)
                                             
  (a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the consolidated Portfolio of Investments          
                                             
  For the period ended May 31, 2017, the Fund's quarterly average volume of derivatives is as follows:                  
 
          
LONG FUTURES
NOTIONAL COST
 
SHORT FUTURES
NOTIONAL COST
 
FORWARD FOREIGN
CURRENCY
CONTRACTS-PAYABLE
(VALUE AT TRADE DATE)
 
FORWARD FOREIGN
CURRENCY
CONTRACTS-RECEIVABLE
(VALUE AT TRADE DATE)
         
            
$
29,592,536
   
$
(10,208,167
)
 
$
(16,489,611
)
 
$
16,445,073
         
 
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period.            
 
CURRENCY RISK — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in
these contracts. 
 
COMMODITY SECTOR RISK — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.    
 
FOREIGN SECURITIES MARKET RISK — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.      
 
6

                                           
COUNTERPARTY RISK — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.        
                                           
CREDIT RISK — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.     
 
FUTURES CONTRACTS — The Fund uses futures contracts in the normal course of pursuing its investment objectives. 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 a “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Portfolio of Investments, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
 
FORWARD FOREIGN CURRENCY CONTRACTS — The Fund uses forward foreign currency contracts in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. A Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract.  The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
                    
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.

7


CAMPBELL MULTI-ASSET CARRY FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
 
MAY 31, 2017
 
(UNAUDITED)
 
                         
   
COUPON*
   
MATURITY
   
PAR
   
VALUE
 
SHORT-TERM INVESTMENTS — 75.0%
                       
U.S. TREASURY OBLIGATIONS — 75.0%
                       
United States Treasury Bill
   
0.476
%
 
06/29/17
   
$
375,000
   
$
374,863
 
United States Treasury Bill
   
0.553
%
 
07/20/17
     
2,800,000
     
2,797,901
 
United States Treasury Bill
   
0.772
%
 
08/24/17
     
1,400,000
     
1,397,007
 
United States Treasury Bill
   
0.802
%
 
09/14/17
     
1,400,000
     
1,396,172
 
United States Treasury Bill
   
0.880
%
 
10/12/17
     
4,050,000
     
4,035,432
 
United States Treasury Bill
   
1.014
%
 
11/24/17
     
1,625,000
     
1,616,665
 
                               
11,618,041
 
TOTAL SHORT-TERM INVESTMENTS
                             
(Cost $11,621,043)
                         
11,618,041
 
TOTAL INVESTMENTS — 75.0%
                             
(Cost $11,621,043)
                         
11,618,041
 
                               
OTHER ASSETS IN EXCESS OF LIABILITIES — 25.0%
                         
3,879,255
 
NET ASSETS — 100.0%
                       
$
15,497,296
 
 
 
* 
Short-term investments reflect the annualized effective yield on the date of purchase for discounted investments.
         
 
** 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows:
                 
   
      Cost of investments
         
$
11,621,043
                 
   
      Gross unrealized appreciation
         
$
-
                 
   
      Gross unrealized (depreciation)
           
(3,002
)
               
   
Net unrealized appreciation (depreciation)
         
$
(3,002
)
               
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
 
most recent annual report.
                               
                                     
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

1

CAMPBELL MULTI-ASSET CARRY FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONTINUED)
 
MAY 31, 2017
 
(UNAUDITED)
 
   
Futures contracts outstanding as of May 31, 2017 were as follows:
             
                   
UNREALIZED
 
 
  EXPIRATION  
NUMBER OF
   
NOTIONAL
   
APPRECIATION
 
LONG CONTRACTS
 
DATE
 
CONTRACTS
   
COST
   
(DEPRECIATION)
 
3-Month Euro Euribor
 
Jun-18
   
175
   
$
47,368,087
   
$
36,682
 
90-Day Euro
 
Jun-18
   
225
     
55,226,586
     
151,539
 
90-Day Sterling
 
Jun-18
   
139
     
21,893,543
     
15,737
 
Amsterdam Index
 
Jun-17
   
14
     
1,654,254
     
(28,316
)
Australian 10-Year Bond
 
Jun-17
   
39
     
3,749,216
     
102,474
 
Australian 3-Year Bond
 
Jun-17
   
166
     
13,891,142
     
149,085
 
Bank Acceptance
 
Jun-17
   
35
     
6,421,997
     
(525
)
CAC40 10 Euro
 
Jun-17
   
2
     
118,828
     
(2,092
)
Canadian 10-Year Bond
 
Sep-17
   
18
     
1,928,207
     
10,396
 
Cotton No.2
 
Jul-17
   
17
     
646,556
     
7,774
 
DAX Index
 
Jun-17
   
1
     
321,020
     
20,893
 
Euro Stoxx 50
 
Jun-17
   
9
     
325,043
     
18,884
 
Euro-Bobl
 
Jun-17
   
1
     
138,924
     
(35
)
Euro-Bund
 
Jun-17
   
15
     
2,667,316
     
6,701
 
Euro-Schatz
 
Jun-17
   
2
     
243,657
     
329
 
FTSE 100 Index
 
Jun-17
   
10
     
914,165
     
33,875
 
Hang Seng Index
 
Jun-17
   
3
     
488,459
     
2,089
 
IBEX 35 Index
 
Jun-17
   
3
     
363,738
     
(2,725
)
JPN 10-Year Bond (Osaka Securities Exchange)
 
Jun-17
   
9
     
11,883,441
     
36,350
 
London Metals Exchange Aluminum
 
Jun-17
   
6
     
286,058
     
1,979
 
London Metals Exchange Zinc
 
Jun-17
   
4
     
279,373
     
(20,373
)
MSCI Taiwan Index
 
Jun-17
   
43
     
1,602,869
     
171
 
Natural Gas
 
Jun-17
   
25
     
849,610
     
(81,860
)
Nikkie 225 (Osaka Securities Exchange)
 
Jun-17
   
3
     
505,626
     
19,218
 
OMX Stockholm 30 Index
 
Jun-17
   
82
     
1,541,238
     
(10,699
)
S&P/TSX 60 Index
 
Jun-17
   
6
     
817,835
     
(7,814
)
SPI 200 Index
 
Jun-17
   
9
     
982,973
     
(15,266
)
U.S. Treasury 10-Year Notes
 
Sep-17
   
3
     
377,575
     
1,316
 
U.S. Treasury 2-Year Notes
 
Sep-17
   
174
     
37,634,967
     
33,314
 
U.S. Treasury 5-Year Notes
 
Sep-17
   
17
     
2,005,315
     
5,997
 
               
$
217,127,618
   
$
485,098
 
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 
2

 
 
                       
UNREALIZED
 
EXPIRATION 
 
NUMBER OF
   
NOTIONAL
   
APPRECIATION
 
SHORT CONTRACTS
 
DATE
 
CONTRACTS
   
COST
   
(DEPRECIATION)
 
CBOE Volatility Index
 
Jun-17
   
27
   
$
(329,705
)
 
$
10,220
 
Coffee
 
Jul-17
   
19
     
(987,038
)
   
65,305
 
Copper
 
Jul-17
   
4
     
(256,260
)
   
(1,760
)
Corn
 
Jul-17
   
71
     
(1,314,278
)
   
(6,728
)
Gold 100 Oz
 
Aug-17
   
17
     
(2,150,331
)
   
(17,931
)
Kansas City Hard Red Winter Wheat
 
Jul-17
   
23
     
(499,580
)
   
2,933
 
London Metals Exchange Aluminum
 
Jun-17
   
20
     
(965,525
)
   
5,399
 
London Metals Exchange Nickel
 
Jun-17
   
1
     
(66,423
)
   
12,837
 
London Metals Exchange Zinc
 
Jun-17
   
3
     
(200,102
)
   
5,852
 
Nasdaq 100 E-Mini
 
Jun-17
   
33
     
(3,591,118
)
   
(232,565
)
NY Harbor Ultra-Low Sulfur Diesel
 
Jun-17
   
7
     
(440,173
)
   
(6,124
)
Silver
 
Jul-17
   
18
     
(1,592,438
)
   
25,812
 
Soybean
 
Jul-17
   
12
     
(554,534
)
   
4,866
 
Soybean Meal
 
Jul-17
   
11
     
(337,221
)
   
9,248
 
Soybean Oil
 
Jul-17
   
11
     
(214,495
)
   
7,589
 
Sugar No. 11 (World)
 
Jun-17
   
21
     
(359,169
)
   
9,300
 
Wheat
 
Jul-17
   
44
     
(957,451
)
   
12,849
 
               
$
(14,815,841
)
 
$
(92,898
)
Total Futures Contracts
             
$
202,311,777
   
$
392,200
 
 
                           
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

3

CAMPBELL MULTI-ASSET CARRY FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS (CONCLUDED)
 
MAY 31, 2017
 
(UNAUDITED)
 
                         
Forward foreign currency contracts outstanding as of May 31, 2017 were as follows:
 
                         
                
UNREALIZED
 
                
APPRECIATION
 
CURRENCY PURCHASED
 
CURRENCY SOLD
 
EXPIRATION
COUNTERPARTY
 
(DEPRECIATION)
 
AUD
   
5,450,000
 
USD
   
4,104,488
 
Jun 21 2017
UBS
 
$
(56,281
)
CAD
   
1,349,995
 
USD
   
1,003,249
 
Jun 21 2017
UBS
   
(3,481
)
EUR
   
1,800,000
 
USD
   
1,979,836
 
Jun 21 2017
UBS
   
44,505
 
JPY
   
206,400,000
 
USD
   
1,842,743
 
Jun 21 2017
UBS
   
22,677
 
NOK
   
3,250,000
 
USD
   
383,318
 
Jun 21 2017
UBS
   
1,461
 
NZD
   
3,600,000
 
USD
   
2,518,977
 
Jun 21 2017
UBS
   
30,486
 
SEK
   
25,100,000
 
USD
   
2,845,370
 
Jun 21 2017
UBS
   
46,119
 
USD
   
1,646,855
 
AUD
   
2,200,000
 
Jun 21 2017
UBS
   
12,716
 
USD
   
3,865,972
 
CAD
   
5,199,995
 
Jun 21 2017
UBS
   
15,002
 
USD
   
199,380
 
CHF
   
200,000
 
Jun 21 2017
UBS
   
(7,403
)
USD
   
3,743,584
 
EUR
   
3,500,000
 
Jun 21 2017
UBS
   
(192,633
)
USD
   
5,178,878
 
JPY
   
576,900,000
 
Jun 21 2017
UBS
   
(35,081
)
USD
   
401,251
 
NOK
   
3,400,000
 
Jun 21 2017
UBS
   
(1,286
)
USD
   
517,589
 
NZD
   
750,000
 
Jun 21 2017
UBS
   
(13,549
)
USD
   
5,378,070
 
SEK
   
47,900,000
 
Jun 21 2017
UBS
   
(139,950
)
               
Total Forward Foreign Currency Contracts
        
$
(276,698
)
   
AUD - Australian Dollar
                       
CAD - Canadian Dollar
                       
CHF - Swiss Franc
                       
EUR - Euro
                             
JPY - Japanese Yen
                       
NOK - Norwegian Krone
                       
NZD - New Zealand Dollar
                       
SEK - Swedish Krona
                       
USD - United States Dollar
                       
                               
 
The accompanying notes are an integral part of the consolidated portfolio of investments.
 

4

 
CAMPBELL MULTI-ASSET CARRY FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2017
(UNAUDITED)
                             
CONSOLIDATION OF SUBSIDIARY —The Campbell Multi-Asset Carry Fund (the “Fund”) pursues its investment objective by (i) investing its assets pursuant to the Campbell Multi-Asset Carry Program; (ii) allocating up to 25% of its assets in its wholly-owned subsidiary, Campbell Core Carry Offshore Limited (the “Subsidiary”), which is organized under the laws of the Cayman Islands and employs the Manager’s Campbell Multi-Asset Carry Program, and (iii) allocating the remainder of its assets directly in an actively managed investment grade securities portfolio (including government securities) for cash management purposes. Securities rated in the four highest categories by the ratings agencies are considered investment grade. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling economic interest (greater than 50%). All inter-company accounts and transactions have been eliminated. As of May 31, 2017, the net assets of the Subsidiary were $1,253,271 which represented 8.1% of the Fund’s net assets.
  
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates fair value. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
 
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
 
                       
Level 1 –
quoted prices in active markets for identical securities;
             
                             
Level 2 –
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
   
                             
Level 3 –
significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
     
                             
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
     
                             
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund's investments carried at fair value.
         
 
               
LEVEL 2
   
LEVEL 3
 
   
TOTAL FAIR
         
OTHER SIGNIFICANT
   
SIGNIFICANT
 
   
VALUE AT
   
LEVEL 1
   
OBSERVABLE
   
UNOBSERVABLE
 
   
MAY 31, 2017
   
QUOTED PRICE
   
INPUTS
   
INPUTS
 
Short-Term Investments
 
$
11,618,041
   
$
-
   
$
11,618,041
   
$
-
 
Commodity Contracts
                               
Futures
   
171,743
     
171,743
     
-
     
-
 
Equity Contracts
                               
Futures
   
105,350
     
105,350
     
-
     
-
 
Interest Rate Contracts
                               
Futures
   
549,920
     
549,920
     
-
     
-
 
Foreign Exchange Contracts
                               
Forward Foreign Currency Contracts
   
172,966
     
-
     
172,966
     
-
 
Total Assets
 
$
12,618,020
   
$
827,013
   
$
11,791,007
   
$
-
 
                                 
                   
LEVEL 2
   
LEVEL 3
 
   
TOTAL FAIR
           
OTHER SIGNIFICANT
   
SIGNIFICANT
 
   
VALUE AT
   
LEVEL 1
   
OBSERVABLE
   
UNOBSERVABLE
 
   
MAY 31, 2017
   
QUOTED PRICE
   
INPUTS
   
INPUTS
 
Commodity Contracts
                               
Futures
 
$
(134,776
)
 
$
(134,776
)
 
$
-
   
$
-
 
Equity Contracts
                   
-
     
-
 
Futures
   
(299,477
)
   
(299,477
)
   
-
     
-
 
Interest Rate Contracts
                   
-
     
-
 
Futures
   
(560
)
   
(560
)
   
-
     
-
 
Foreign Exchange Contracts
                   
-
     
-
 
Forward Foreign Currency Contracts
   
(449,664
)
   
-
     
(449,664
)
   
-
 
Total Assets
 
$
(884,477
)
 
$
(434,813
)
 
$
(449,664
)
 
$
-
 
 
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 classifications of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period.  Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize.  Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
   
For fair valuation using significant  unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end
of the reporting period.
 
For the period ended May 31, 2017 the Fund had no transfers between Levels 1, 2, and 3. 
         
5

 
DISCLOSURE ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
             
                             
The following table lists the fair values of the Fund's derivative holdings as of May 31, 2017 grouped by contract type and risk exposure category.
     
                             
                             
                             
             
INTEREST RATE
 
FOREIGN CURRENCY
 
COMMODITY
     
 
DERIVATIVE TYPE
 
 
EQUITY CONTRACTS
 
CONTRACTS
 
CONTRACTS
 
CONTRACTS
 
TOTALS
 
 
Asset Derivatives
 
     
Unrealized
                     
     
appreciation on
                     
     
forward foreign
                     
 
Forward Contracts
currency contracts
 
 $                                -
 
 $                                -
 
 $                    172,966
 
 $                                -
 
 $              172,966
 
     
Receivable:
                     
 
Future Contracts (a)
Variation Margin
 
                       105,350
 
                       549,920
 
                                   -
 
                       171,743
 
                 827,013
 
 
Total Value - Assets
 
 
 $                    105,350
 
 $                    549,920
 
 $                    172,966
 
 $                    171,743
 
 $              999,979
 
                             
                             
                             
                             
 
Liability Derivatives
 
     
Unrealized
                     
     
depreciation on
                     
     
forward foreign
                     
 
Forward Contracts
currency contracts
 
 $                                -
 
 $                                -
 
 $                  (449,664)
 
 $                                -
 
 $             (449,664)
 
     
Payable:
                     
 
Future Contracts (a)
Variation Margin
 
                     (299,477)
 
                            (560)
 
                                   -
 
                     (134,776)
 
                (434,813)
 
 
Total Value - Liabilities
 
 $                  (299,477)
 
 $                         (560)
 
 $                  (449,664)
 
 $                  (134,776)
 
 $             (884,477)
 
                             
 
(a) This amount represents the cumulative appreciation/depreciation of futures contracts as reported in the consolidated Portfolio of Investments
     
                             
 
For the period ended May 31, 2017, the Fund's quarterly average volume of derivatives is as follows:
         
 
 
LONG FUTURES
NOTIONAL COST
 
SHORT FUTURES
NOTIONAL COST
 
FORWARD FOREIGN
CURRENCY
CONTRACTS-PAYABLE
(VALUE AT TRADE DATE)
 
FORWARD FOREIGN
CURRENCY
CONTRACTS-RECEIVABLE
(VALUE AT TRADE DATE)
 
   
$
173,205,120
   
$
(32,580,104
)
 
$
(29,170,276
)
 
$
29,215,562
 
                                 
 
FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the consolidated financial statement period.
 
                 
CURRENCY RISK — Investment in foreign securities involves currency risk associated with securities that trade or are denominated in currencies other than the U.S. dollar and which may be affected by fluctuations in currency exchange rates. An increase in the strength of the U.S. dollar relative to a foreign currency may cause the U.S. dollar value of an investment in that country to decline. Foreign currencies also are subject to risks caused by inflation, interest rates, budget deficits and low savings rates, political factors and government controls. Forward foreign currency exchange contracts may limit potential gains from a favorable change in value between the U.S. dollar and foreign currencies. Unanticipated changes in currency pricing may result in poorer overall performance for the Fund than if it had not engaged in these contracts.
 
COMMODITY SECTOR RISK — Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The prices of energy, industrial metals, precious metals, agriculture and livestock sector commodities may fluctuate widely due to factors such as changes in value, supply and demand and governmental regulatory policies. The commodity-linked securities in which the Fund invests may be issued by companies in the financial services sector, and events affecting the financial services sector may cause the Fund’s share value to fluctuate.
 
 
FOREIGN SECURITIES MARKET RISK — A substantial portion of the trades of the Fund are expected to take place on markets or exchanges outside the United States. There is no limit to the amount of assets of the Fund that may be committed to trading on foreign markets. The risk of loss in trading foreign futures and options on futures contracts can be substantial. Participation in foreign futures and options on futures contracts involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade or exchange. Some of these foreign markets, in contrast to U.S. exchanges, are so-called principals’ markets in which performance is the responsibility only of the individual counterparty with whom the trader has entered into a commodity interest transaction and not of the exchange or clearing corporation. In these kinds of markets, there is risk of bankruptcy or other failure or refusal to perform by the counterparty.
 
6

 
COUNTERPARTY RISK — The derivative contracts entered into by the Fund or its Subsidiary may be privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk, since contract performance depends in part on the financial condition of the counterparty. Relying on a counterparty exposes the Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to decrease.
 
CREDIT RISK — Credit risk refers to the possibility that the issuer of the security or a counterparty in respect of a derivative instrument will not be able to satisfy its payment obligations to the Fund when due.  Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. Securities rated in the four highest categories by the rating agencies are considered investment grade but they may also have some speculative characteristics. Investment grade ratings do not guarantee that bonds will not lose value or default. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes.
 
FUTURES CONTRACTS The Fund uses futures contracts in the normal course of pursuing its investment objectives. 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 a “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Consolidated Portfolio of Investments, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss.
 
FORWARD FOREIGN CURRENCY CONTRACTS The Fund uses forward foreign currency contracts in the normal course of pursuing its investment objectives. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies. A Fund’s maximum risk of loss from counterparty credit risk related to forward foreign currency contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
 
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
 
7

FREE MARKET FUNDS
     
FREE MARKET U.S. EQUITY FUND
     
Portfolio of Investments
     
May 31, 2017
     
(Unaudited)
     
         
  
Number
     
  
of Shares
 
Value
 
EQUITY FUNDS — 99.8%
       
U.S. Large Cap Value Portfolio III (a)
   
31,212,440
   
$
797,789,958
 
U.S. Large Company Portfolio (a)
   
21,363,831
     
402,067,292
 
U.S. Micro Cap Portfolio (b)
   
19,247,015
     
393,408,981
 
U.S. Small Cap Portfolio (b)
   
11,722,678
     
393,178,614
 
U.S. Small Cap Value Portfolio (b)
   
18,349,254
     
655,802,341
 
TOTAL EQUITY FUNDS
               
(Cost $1,958,219,065)
           
2,642,247,186
 
SHORT-TERM INVESTMENTS — 0.1%
               
STIT-Government & Agency Portfolio, 0.74%
   
1,698,557
     
1,698,557
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $1,698,557)
           
1,698,557
 
TOTAL INVESTMENTS — 99.9%
               
(Cost $1,959,917,622)*
           
2,643,945,743
 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
           
2,550,424
 
NET ASSETS — 100.0%
         
$
2,646,496,167
 
                 
* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
   
Cost of investments
         
$
1,959,917,622
 
Gross unrealized appreciation
   
$
684,028,121
 
Gross unrealized (depreciation)
     
-
 
Net unrealized appreciation (depreciation)
   
$
684,028,121
 
           
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
 
adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to
 
the Notes to Financial Statements section in the Fund's most recent annual report.
 
                 
(a) A portfolio of Dimensional Investment Group Inc.
               
(b) A portfolio of DFA Investment Dimensions Group Inc.
               
Portfolio holdings are subject to change at any time.
               
                 
The accompanying notes are an integral part of the portfolio of investments.
 
1

 
 
                 
FREE MARKET FUNDS
         
FREE MARKET INTERNATIONAL EQUITY FUND
         
Portfolio of Investments
         
May 31, 2017
         
(Unaudited)
         
                 
  
Number
         
  
of Shares
 
Value
 
INTERNATIONAL EQUITY FUNDS — 99.9%
               
Asia Pacific Small Company Portfolio (a)
   
1,253,776
   
$
26,893,491
 
Canadian Small Company Series (b)
   
2,425,210
     
25,130,317
 
Continental Small Company Portfolio (a)
   
1,387,691
     
36,995,838
 
Continental Small Company Series (b)
   
393,438
     
34,541,508
 
DFA International Small Cap Value Portfolio (a)
   
38,574,007
     
825,483,749
 
DFA International Value Portfolio III (c)
   
34,393,103
     
532,061,305
 
DFA International Value Series (b)
   
3,821,172
     
84,982,862
 
Emerging Markets Portfolio (a)
   
4,068,244
     
109,679,869
 
Emerging Markets Small Cap Portfolio (a)
   
4,685,554
     
101,442,240
 
Emerging Markets Value Portfolio (a)
   
3,610,090
     
101,263,027
 
Japanese Small Company Portfolio (a)
   
1,881,954
     
47,086,493
 
Large Cap International Portfolio (a)
   
4,669,563
     
103,524,223
 
United Kingdom Small Company Portfolio (a)
   
186,330
     
5,824,663
 
United Kingdom Small Company Series (b)
   
508,706
     
33,835,529
 
TOTAL INTERNATIONAL EQUITY FUNDS
               
(Cost $1,798,641,310)
           
2,068,745,114
 
SHORT-TERM INVESTMENTS — 0.1%
               
STIT-Government & Agency Portfolio, 0.75%
   
2,263,360
     
2,263,360
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $2,263,360)
           
2,263,360
 
TOTAL INVESTMENTS — 100.0%
               
(Cost $1,800,904,670)*
           
2,071,008,474
 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%
           
1,030,955
 
NET ASSETS — 100.0%
         
$
2,072,039,429
 
                 
* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
   
Cost of investments
         
$
1,800,904,670
 
Gross unrealized appreciation
   
$
270,358,379
 
Gross unrealized (depreciation)
     
(254,575
)
Net unrealized appreciation (depreciation)
   
$
270,103,804
 
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. 
For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
 
(a) A portfolio of DFA Investment Dimensions Group Inc.
         
(b) A portfolio of DFA Investment Trust Company.
           
(c) A portfolio of Dimensional Investment Group Inc.
           
Portfolio holdings are subject to change at any time.
           
 
The accompanying notes are an integral part of the portfolio of investments.

2

 
 
FREE MARKET FUNDS
       
FREE MARKET FIXED INCOME FUND
       
Portfolio of Investments
       
May 31, 2017
       
(Unaudited)
       
             
   
Number
       
   
of Shares
   
Value
 
FIXED INCOME FUNDS — 99.4%
           
DFA Five-Year Global Fixed Income Portfolio (a)
   
54,940,828
   
$
605,447,926
 
DFA Inflation-Protected Securities Portfolio (a)
   
10,202,031
     
121,506,190
 
DFA Intermediate Government Fixed Income Portfolio (a)
   
11,577,384
     
145,643,496
 
DFA One-Year Fixed Income Portfolio (a)
   
34,101,873
     
351,249,293
 
DFA Short-Term Government Portfolio (a)
   
9,089,147
     
96,890,310
 
DFA Two-Year Global Fixed Income Portfolio (a)
   
36,411,176
     
363,383,536
 
iShares 1-3 Year Credit Bond ETF
   
5,515,021
     
581,338,364
 
iShares Intermediate Credit Bond ETF
   
1,321,676
     
145,410,793
 
TOTAL FIXED INCOME FUNDS
               
(Cost $2,408,067,671)
           
2,410,869,908
 
SHORT-TERM INVESTMENTS — 0.5%
               
STIT-Government & Agency Portfolio, 0.74%
   
13,289,917
     
13,289,917
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $13,289,917)
           
13,289,917
 
TOTAL INVESTMENTS — 99.9%
               
(Cost $2,421,357,588)*
           
2,424,159,825
 
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.1%
           
1,718,741
 
NET ASSETS — 100.0%
         
$
2,425,878,566
 
                 
                 
* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
Cost of investments
         
$
2,421,357,588
 
Gross unrealized appreciation    
$
7,422,646
 
Gross unrealized (depreciation)      
(4,620,409
)
Net unrealized appreciation (depreciation)    
$
2,802,237
 
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
 adjustments for the current fiscal year.  For the previous fiscal year's federal income tax information, please refer to
 the Notes to Financial Statements section in the Fund's most recent annual report.
               
(a) A portfolio of DFA Investment Dimensions Group Inc.
         
ETF Exchange-Traded Fund
             
Portfolio holdings are subject to change at any time.
           
 
The accompanying notes are an integral part of the portfolio of investments.

3

 
FREE MARKET FUNDS
Notes to Portfolio of Investments
May 31, 2017
(Unaudited)
 
PORTFOLIO VALUATION — Investments in the underlying funds are valued at the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund (each a “Fund,” collectively the “Funds”) net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the RBB Fund, Inc.’s Board of  Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.
  
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described in the hierarchy below:
       
•  Level 1 — quoted prices in active markets for identical securities;
   
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
             
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
             
The following is a summary of inputs used, as of May 31, 2017, in valuing the Funds' investments carried at fair value:
 
 
FREE MARKET U.S. EQUITY FUND
             
                         
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant
Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Equity Funds
 
$
2,642,247,186
   
$
2,642,247,186
   
$
-
   
$
-
 
Short-Term Investments
   
1,698,557
     
1,698,557
     
-
     
-
 
Total Investments*
 
$
2,643,945,743
   
$
2,643,945,743
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 
                                 
FREE MARKET INTERNATIONAL EQUITY FUND
                 
                                 
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant
Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
International Equity Funds
 
$
2,068,745,114
   
$
1,890,254,898
   
$
178,490,216
   
$
-
 
Short-Term Investments
   
2,263,360
     
2,263,360
     
-
     
-
 
Total Investments*
 
$
2,071,008,474
   
$
1,892,518,258
   
$
178,490,216
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 
                                 
FREE MARKET FIXED INCOME FUND
                 
                                 
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant
Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Fixed Income Funds
 
$
2,410,869,908
   
$
2,410,869,908
   
$
-
   
$
-
 
Short-Term Investments
   
13,289,917
     
13,289,917
     
-
     
-
 
Total Investments*
 
$
2,424,159,825
   
$
2,424,159,825
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 

4

 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds' may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise  less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets.  The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
  
For the period ended May 31, 2017, there were no transfers between Levels 1, 2 and 3 for the Funds.
     

5


MATSON MONEY VI PORTFOLIOS
 
MATSON MONEY U.S. EQUITY VI PORTFOLIO
 
Portfolio of Investments
 
May 31, 2017
 
(Unaudited)
 
 
   
Number
       
   
of Shares
   
Value
 
EQUITY FUNDS — 98.6%
           
U.S. Large Cap Value Portfolio III (a)
   
203,588
   
$
5,203,712
 
U.S. Large Company Portfolio (a)
   
144,968
     
2,728,295
 
U.S. Micro Cap Portfolio (b)
   
144,521
     
2,954,000
 
U.S. Small Cap Portfolio (b)
   
88,172
     
2,957,304
 
U.S. Small Cap Value Portfolio (b)
   
54,635
     
1,952,646
 
VA U.S. Large Value Portfolio (b)
   
157,966
     
2,942,904
 
VA U.S. Targeted Value Portfolio (b)
   
32,194
     
801,964
 
TOTAL EQUITY FUNDS
               
(Cost $18,160,301)
           
19,540,825
 
SHORT-TERM INVESTMENTS — 1.6%
               
STIT-Government & Agency Portfolio, 0.74%
   
309,103
     
309,103
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $309,103)
           
309,103
 
TOTAL INVESTMENTS — 100.2%
               
(Cost $18,469,404)*
           
19,849,928
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%
           
(32,876
)
NET ASSETS — 100.0%
         
$
19,817,052
 

* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
   
Cost of investments
 
$
18,469,404
 
Gross unrealized appreciation
 
$
1,380,524
 
Gross unrealized (depreciation)
   
-
 
Net unrealized appreciation (depreciation)
 
$
1,380,524
 
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
adjustments for the current fiscal year.  For the previous fiscal year's federal income tax information, please refer to
the Notes to Financial Statements section in the Fund's most recent annual report. 
 
(a) A portfolio of Dimensional Investment Group Inc.
     
(b) A portfolio of DFA Investment Dimensions Group Inc.
       
Portfolio holdings are subject to change at any time.
       
 
The accompanying notes are an integral part of the portfolio of investments.
 
1

 
MATSON MONEY VI PORTFOLIOS
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
Portfolio of Investments
May 31, 2017
(Unaudited)
 
   
Number
       
   
of Shares
   
Value
 
INTERNATIONAL EQUITY FUNDS — 99.2%
           
DFA International Small Cap Value Portfolio (a)
   
197,712
   
$
4,231,043
 
DFA International Value Portfolio III (b)
   
290,533
     
4,494,552
 
Emerging Markets Portfolio (a)
   
29,233
     
788,121
 
Emerging Markets Small Cap Portfolio (a)
   
33,466
     
724,544
 
Emerging Markets Value Portfolio (a)
   
26,070
     
731,264
 
Large Cap International Portfolio (a)
   
27,422
     
607,952
 
VA International Small Portfolio (b)
   
197,603
     
2,584,643
 
VA International Value Portfolio (b)
   
61,449
     
749,065
 
TOTAL INTERNATIONAL EQUITY FUNDS
               
(Cost $13,940,519)
           
14,911,184
 
SHORT-TERM INVESTMENTS — 1.0%
               
STIT-Government & Agency Portfolio, 0.74%
   
149,974
     
149,974
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $149,974)
           
149,974
 
TOTAL INVESTMENTS — 100.2%
               
(Cost $14,090,493)*
           
15,061,158
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)%
           
(26,855
)
NET ASSETS — 100.0%
         
$
15,034,303
 

 
* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
         
Cost of investments
 
$
14,090,493
 
Gross unrealized appreciation
 
$
970,665
 
Gross unrealized (depreciation)
   
-
 
Net unrealized appreciation (depreciation)
 
$
970,665
 

*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current fiscal year. 
For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's most recent annual report.
 
(a) A portfolio of DFA Investment Dimensions Group Inc.
(b) A portfolio of DFA Investment Trust Company.
 
(c) A portfolio of Dimensional Investment Group Inc.
 
Portfolio holdings are subject to change at any time.
 
 
The accompanying notes are an integral part of the portfolio of investments.
2

MATSON MONEY VI PORTFOLIOS
MATSON MONEY FIXED INCOME VI PORTFOLIO
Portfolio of Investments
May 31, 2017
(Unaudited)
 
   
Number
       
   
of Shares
   
Value
 
FIXED INCOME FUNDS — 98.7%
           
DFA Five-Year Global Fixed Income Portfolio (a)
   
229,578
   
$
2,529,953
 
DFA Inflation Protected Securities Portfolio (a)
   
106,924
     
1,273,469
 
DFA Intermediate Government Fixed Income Portfolio (a)
   
121,738
     
1,531,466
 
DFA One-Year Fixed Income Portfolio (a)
   
282,522
     
2,909,975
 
DFA Short-Term Government Portfolio (a)
   
94,872
     
1,011,340
 
DFA Two-Year Global Fixed Income Portfolio (a)
   
380,593
     
3,798,314
 
iShares 1-3 Year Credit Bond ETF
   
57,709
     
6,083,106
 
iShares Intermediate Credit Bond ETF
   
13,807
     
1,519,046
 
VA Global Bond Portfolio (a)
   
352,724
     
3,809,416
 
VA Short-Term Fixed Portfolio (a)
   
49,322
     
504,566
 
TOTAL FIXED INCOME FUNDS
               
(Cost $25,012,999)
           
24,970,651
 
SHORT-TERM INVESTMENTS — 1.4%
               
STIT-Government & Agency Portfolio, 0.75%
   
362,903
     
362,903
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $362,903)
           
362,903
 
TOTAL INVESTMENTS — 100.1%
               
(Cost $25,375,902)*
           
25,333,554
 
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)%
           
(35,055
)
NET ASSETS — 100.0%
         
$
25,298,499
 
 
* The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
Cost of investments
 
$
25,375,902
 
Gross unrealized appreciation
 
$
25,845
 
Gross unrealized (depreciation)
   
(68,193
)
Net unrealized appreciation (depreciation)
 
$
(42,348
)
 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
adjustments for the current fiscal year.  For the previous fiscal year's federal income tax information, please refer to
the Notes to Financial Statements section in the Fund's most recent annual report. 
 
(a) A portfolio of DFA Investment Dimensions Group Inc.
ETF Exchange-Traded Fund
   
Portfolio holdings are subject to change at any time.
 

The accompanying notes are an integral part of the portfolio of investments.
3

 
MATSON MONEY VI PORTFOLIOS
 
Notes to Portfolio of Investments
 
May 31, 2017
 
(Unaudited)
 
 
PORTFOLIO VALUATION Investments in the underlying funds are valued at the Matson Money U.S. Equity VI Portfolio, the Matson Money International Equity VI Portfolio and the Matson Money Fixed Income VI Portfolio (each a Portfolio, collectively the “Portfolios”) net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the RBB Fund, Inc.'s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.   
 
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Portfolios' investments are summarized into three levels as described in the hierarchy below:
                 
•  Level 1
quoted prices in active markets for identical securities;
     
•  Level 2
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3
significant unobservable inputs (including the Portfolios' own assumptions in determining the fair value of investments).
                 
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
               
The following is a summary of inputs used, as of May 31, 2017, in valuing the Portfolios' investments carried at fair value:

MATSON MONEY U.S. EQUITY VI PORTFOLIO
             
                         
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Equity Funds
 
$
19,540,825
   
$
19,540,825
   
$
-
   
$
-
 
Short-Term Investments
   
309,103
     
309,103
     
-
     
-
 
Total Investments*
 
$
19,849,928
   
$
19,849,928
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 
                                 
MATSON MONEY INTERNATIONAL EQUITY VI PORTFOLIO
                 
                                 
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
International Equity Funds
 
$
14,911,184
   
$
14,911,184
   
$
-
   
$
-
 
Short-Term Investments
   
149,974
     
149,974
     
-
     
-
 
Total Investments*
 
$
15,061,158
   
$
15,061,158
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 
                                 
MATSON MONEY FIXED INCOME VI PORTFOLIO
                 
                                 
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Fixed Income Funds
 
$
24,970,651
   
$
24,970,651
   
$
-
   
$
-
 
Short-Term Investments
   
362,903
     
362,903
     
-
     
-
 
Total Investments*
 
$
25,333,554
   
$
25,333,554
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                 

4

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 thequoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolios' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolios' may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise  less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Portfolio to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires a Portfolio to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Portfolio had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets.  The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when a Portfolio had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
 
For the period ended May 31, 2017, there were no transfers between Levels 1, 2 and 3 for the Portfolios.
 
5


Orinda Income Opportunities Fund
       
Schedule of Investments
       
May 31, 2017 (Unaudited)
       
             
   
Shares
   
Value
 
COMMON STOCKS - 1.8%
           
Industrials - 0.5%
           
Macquarie Infrastructure Corp. (d)
   
20,000
     
1,558,000
 
Real Estate - 0.6%
               
Kennedy-Wilson Holdings, Inc.
   
30,575
     
599,270
 
Landmark Infrastructure Partners LP
   
84,813
     
1,335,805
 
RMR Group Inc/The
   
0
     
0
 
             
1,935,075
 
                 
Utilities - 0.7%
               
Pattern Energy Group, Inc. (d)
   
101,239
     
2,283,952
 
TOTAL COMMON STOCKS (Cost $5,507,384)
         
$
5,777,027
 
                 
REITS - 59.8%
               
Financials - 9.4%
               
AGNC Investment Corp. (d)
   
85,000
     
1,767,150
 
Apollo Commercial Real Estate Finance, Inc. (d)
   
202,692
     
3,741,694
 
Arbor Realty Trust, Inc. (d)
   
442,836
     
3,631,255
 
ARMOUR Residential REIT, Inc. - Series B
   
51,208
     
1,267,398
 
Chimera Investment Corp. - Series B (d)
   
232,100
     
5,897,661
 
Chimera Investment Corp. - Series A (d)
   
74,276
     
1,886,610
 
Great Ajax Corp.
   
17,500
     
448,525
 
Ladder Capital Corp.
   
1,194
     
16,800
 
New Residential Investment Corp.
   
125,000
     
2,011,250
 
PennyMac Mortgage Investment Trust - Series A (d)
   
120,000
     
3,043,200
 
Resource Capital Corp.
   
219,803
     
2,118,901
 
Starwood Property Trust, Inc. (d)
   
65,000
     
1,431,300
 
Two Harbors Investment Corp. - Series A
   
84,000
     
2,275,560
 
             
29,537,304
 
                 
 
 The accompanying notes are an integral part of the portfolio of investments.
1

 
 
Real Estate - 50.4%
               
Armada Hoffler Properties, Inc.
   
200,000
     
2,642,000
 
Ashford Hospitality Trust, Inc. - Series F (d)
   
178,856
     
4,471,400
 
Ashford Hospitality Trust, Inc. - Series D, 8.45% (d)
   
386,192
     
9,817,001
 
Bluerock Residential Growth REIT, Inc. - Series D
   
77,899
     
1,965,392
 
Bluerock Residential Growth REIT, Inc. - Series C (d)
   
161,553
     
4,195,531
 
Bluerock Residential Growth REIT, Inc. - Class A (d)
   
394,360
     
4,811,192
 
CBL & Associates Properties, Inc. - Series D, 7.38% (d)
   
305,630
     
6,934,745
 
City Office REIT, Inc. - Series A
   
85,717
     
2,167,783
 
City Office REIT, Inc. (d)
   
508,361
     
6,247,757
 
Colony NorthStar, Inc. - Series G
   
77,695
     
1,982,776
 
Colony NorthStar, Inc. - Series F (d)
   
318,318
     
8,075,728
 
Colony NorthStar, Inc. - Series H (d)
   
381,909
     
9,624,107
 
Colony NorthStar, Inc. - Series I
   
201,500
     
5,047,575
 
Colony NorthStar, Inc. -  Series E (d)
   
433,587
     
11,511,735
 
Colony NorthStar, Inc. - Series B
   
106,644
     
2,708,757
 
Colony NorthStar, Inc. - Class A (d)
   
257,817
     
3,642,954
 
Colony NorthStar, Inc. - Series D (d)
   
103,000
     
2,684,180
 
Colony NorthStar, Inc. - Series C (d)
   
199,645
     
5,128,880
 
DDR Corp.
   
309,382
     
2,654,497
 
Global Net Lease, Inc. (d)
   
105,381
     
2,375,288
 
Hersha Hospitality Trust - Series E(d)
   
89,288
     
2,233,093
 
Independence Realty Trust, Inc. (d)
   
768,597
     
7,386,217
 
iStar Financial, Inc. - Series D, 8.00% (d)
   
185,136
     
4,628,400
 
iStar Financial, Inc. - Series E, 7.88% (d)(e)
   
227,616
     
5,681,295
 
iStar Financial, Inc. - Series F, 7.80% (d)
   
146,020
     
3,636,628
 
iStar Financial, Inc. - Series I, 7.50%
   
113,846
     
2,792,642
 
Kite Realty Group Trust
   
60,000
     
1,078,200
 
New York REIT, Inc. (d)
   
366,586
     
3,148,974
 
Pennsylvania Real Estate Investment Trust
   
74,388
     
795,952
 
Preferred Apartment Communities, Inc.
   
55,000
     
843,150
 
RAIT Financial Trust
   
62,500
     
1,559,375
 
RAIT Financial Trust - Series A, 7.75%
   
83,795
     
1,748,802
 
RAIT Financial Trust - Series B, 8.38%
   
29,496
     
672,509
 
RAIT Financial Trust - Series C, 8.88%
   
29,887
     
715,794
 
RAIT Financial Trust - Unsecured (d)
   
134,548
     
3,191,478
 
Select Income REIT (d)
   
177,500
     
4,235,150
 
Spirit Realty Capital, Inc.
   
146,148
     
1,056,650
 
Uniti Group, Inc. (d)
   
132,323
     
3,309,398
 
VEREIT, Inc. (d)
   
525,500
     
4,345,885
 
Wheeler Real Estate Investment Trust, Inc.
   
284,253
     
2,274,024
 
Whitestone REIT (d)
   
240,000
     
2,767,200
 
WPT Industrial Real Estate Investment Trust (c)
   
100,000
     
1,344,000
 
             
158,134,094
 
                 
TOTAL REITS (Cost $183,838,423)
         
$
187,671,398
 
                 
CONVERTIBLE PREFERRED STOCKS - 9.6%
               
Real Estate - 9.6%
               
Ashford Hospitality Prime, Inc. - Series B (d)
   
130,500
     
2,549,970
 
CorEnergy Infrastructure Trust, Inc. - Series A
   
214,650
     
5,301,855
 
FelCor Lodging Trust, Inc. - Series A, 7.80% (d)
   
448,114
     
11,543,416
 
Wheeler Real Estate Investment Trust, Inc. - Series D (e)
   
284,264
     
6,358,986
 
Wheeler Real Estate Investment Trust, Inc. - Series B (e)
   
202,000
     
4,252,100
 
             
30,006,327
 
                 
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $30,609,640)
         
$
30,006,327
 
                 
 
The accompanying notes are an integral part of the portfolio of investments.
2

 
 
PREFERRED STOCKS - 39.9%
               
Consumer Discretionary - 1.2%
               
M/I Homes, Inc. - Series A, 9.75% (d)
   
78,073
     
2,004,915
 
TravelCenters of America LLC - Senior Unsecured, 8.00% (d)
   
46,665
     
1,110,627
 
TravelCenters of America LLC - Senior Unsecured, 8.00%
   
6,347
     
150,995
 
TravelCenters of America LLC - Senior Unsecured, 8.25%
   
21,069
     
516,190
 
             
3,782,727
 
                 
Energy - 3.6%
               
Callon Petroleum Co. - Series A
   
19,016
     
1,012,602
 
GasLog Partners LP (c)
   
45,000
     
1,141,200
 
NuStar Energy LP - Series A
   
60,000
     
1,593,000
 
NuStar Energy LP - Series B
   
25,000
     
639,000
 
Scorpio Tankers, Inc. (c)
   
205,000
     
5,209,050
 
Tsakos Energy Navigation Ltd - Series E (c)
   
53,000
     
1,309,100
 
Tsakos Energy Navigation Ltd. - Series D (c)
   
19,150
     
474,346
 
             
11,378,298
 
                 
Financials - 17.3%
               
AG Mortgage Investment Trust, Inc. - Series A
   
15,722
     
397,767
 
AG Mortgage Investment Trust, Inc. - Series B
   
40,819
     
1,026,598
 
AGNC Investment Corp. - Series B (d)
   
123,583
     
3,255,176
 
Annaly Capital Management, Inc. - Series E (d)
   
122,946
     
3,105,616
 
Annaly Capital Management, Inc. - Series C
   
37,608
     
951,106
 
Annaly Capital Management, Inc. - Series D   (d)
   
28,045
     
707,014
 
Apollo Commercial Real Estate Finance, Inc. - Series C (d)
   
382,290
     
9,767,510
 
Apollo Commercial Real Estate Finance, Inc. - Series A   (d)
   
94,831
     
2,442,847
 
Apollo Global Management LLC
   
15,000
     
382,350
 
Arbor Realty Trust, Inc. - Senior Unsecured
   
60,000
     
1,521,600
 
Arbor Realty Trust, Inc. - Series A
   
46,261
     
1,183,125
 
Arbor Realty Trust, Inc. - Series B
   
20,323
     
510,107
 
Arbor Realty Trust, Inc. - Series C   (d)(e)
   
82,507
     
2,134,044
 
Banc Of California, Inc. - Series D Non-  (d)
   
41,719
     
1,110,560
 
Capstead Mortgage Corp. - Series E
   
56,000
     
1,405,600
 
CYS Investments, Inc. - Series B   (d)
   
91,317
     
2,214,437
 
Invesco Mortgage Capital, Inc. - Series A
   
81,453
     
2,061,575
 
Invesco Mortgage Capital, Inc. - Series B   (d)
   
165,097
     
4,259,503
 
Kemper Corp. - Subordinated
   
12,335
     
330,208
 
Kennedy-Wilson Holdings, Inc. - Senior Unsecured (d)(e)
   
83,140
     
2,135,035
 
KKR & Co LP - Series B
   
30,000
     
791,400
 
KKR Financial Holdings LLC - Series A   (d)
   
82,412
     
2,137,767
 
MFA Financial, Inc. - Series B   (d)
   
62,681
     
1,592,097
 
National General Holdings Corp. - Series B Non-  (d)
   
3,769
     
96,072
 
National General Holdings Corp. - Subordinated
   
81,343
     
2,049,844
 
Resource Capital Corp. - Series B
   
86,864
     
2,063,020
 
Resource Capital Corp. - Series C   (d)
   
183,578
     
4,587,614
 
Total Financials
           
54,219,592
 
                 
 
The accompanying notes are an integral part of the portfolio of investments.
3

 
 
Industrials - 0.6%
               
Seaspan Corp. (c)
   
90,938
     
1,862,410
 
Real Estate - 15.5%
               
American Homes 4 Rent
   
24,403
     
624,717
 
Ashford Hospitality Trust, Inc.  (d)
   
219,578
     
5,419,185
 
Bluerock Residential Growth REIT, Inc. - Series A Redeemable Preferred (d)
   
201,020
     
5,290,846
 
Cedar Realty Trust, Inc. - Series B   (d)
   
27,501
     
690,000
 
Chesapeake Lodging Trust - Series A   (d)
   
222,152
     
5,644,882
 
CoreSite Realty Corp.
   
9,200
     
236,440
 
Hersha Hospitality Trust (d)
   
211,738
     
5,274,394
 
Investors Real Estate Trust - Series B
   
76,668
     
1,943,534
 
iStar Financial, Inc. - Series G  , 7.65%
   
58,146
     
1,448,417
 
Landmark Infrastructure Partners LP
   
76,800
     
1,938,432
 
LaSalle Hotel Properties
   
55,000
     
1,414,050
 
Pebblebrook Hotel Trust
   
36,060
     
915,563
 
Pennsylvania Real Estate Investment Trust - Series A   (d)
   
155,944
     
3,928,229
 
Retail Properties of America, Inc. - Series A
   
36,282
     
917,572
 
STAG Industrial, Inc.
   
51,376
     
1,392,290
 
Summit Hotel Properties, Inc. - Series D
   
45,670
     
1,176,916
 
Summit Hotel Properties, Inc. - Series C
   
4,969
     
128,697
 
Sunstone Hotel Investors, Inc.
   
35,400
     
914,559
 
UMH Properties, Inc.
   
37,650
     
1,001,867
 
VEREIT, Inc. - Series F   (d)
   
229,871
     
5,981,243
 
Washington Prime Group, Inc. (d)
   
98,110
     
2,452,750
 
             
48,734,583
 
                 
Telecommunication Services - 1.7%
               
Qwest Corp. - Preferred 6.50%
   
93,889
     
2,326,569
 
Qwest Corp. - Preferred 6.75%
   
60,000
     
1,516,800
 
United States Cellular Corp.
   
48,934
     
1,310,453
 
             
5,153,822
 
                 
TOTAL PREFERRED STOCKS (Cost $120,043,727)
         
$
125,131,432
 
                 
   
Principal
         
   
Amount
         
MORTGAGE BACKED SECURITIES - 0.3%
               
CSAIL 2015-C3 Commercial Mortgage Trust
               
Series 2015-C3, 3.359%, 08/17/2048 (a)(b)
   
1,000,000
     
774,658
 
TOTAL MORTGAGE BACKED SECURITIES (Cost $763,702)
         
$
774,658
 
                 
 
The accompanying notes are an integral part of the portfolio of investments.
4

 
 
CONVERTIBLE BONDS - 1.6%
               
Financials - 1.6%
               
Resource Capital Corp. (a)
               
8.000%, 01/15/2020
   
5,000,000
     
5,137,500
 
TOTAL CONVERTIBLE BONDS (Cost $5,157,688)
         
$
5,137,500
 
                 
CLOSED-END MUTUAL FUNDS - 1.1%
               
Alpine Global Premier Properties Fund
   
361,039
     
2,220,390
 
Nuveen Preferred Income Opportunities Fund
   
123,100
     
1,266,699
 
TOTAL CLOSED-END MUTUAL FUNDS (Cost $3,214,316)
         
$
3,487,089
 
                 
SHORT-TERM INVESTMENTS - 1.9%
               
MONEY MARKET FUNDS - 1.9%
               
STIT-Treasury Obligations Portfolio, 0.50% (b)
   
6,063,425
     
6,063,425
 
TOTAL SHORT-TERM INVESTMENTS (Cost $6,063,425)
         
$
6,063,425
 
Total Investments (Cost $355,198,305) - 116.0%
           
364,048,856
 
                 
Liabilities in Excess of Other Assets - (16.0)%
           
(50,317,018
)
TOTAL NET ASSETS - 100.0%
         
$
313,731,838
 
                 
Percentages are stated as a percent of net assets.
               
ADR -- American Depository Receipt
               
(a) Non-income producing.
               
(b) Variable Rate Security.  The rate shown represents the rate at August 31, 2011.
               
(c) U.S. traded security of a foreign issuer or corporation.
               
(d) All or a portion of the security has been segregated for open short positions.
               
(e) Illiquid security; a security may be considered illiquid if it lacks a readily available market.
               
     As of May 31, 2017, the value of these securities was $20,561,460 or 7% of total net assets.
               
Portfolio holdings are subject to change at any time.
               
             
The accompanying notes are an integral part of the portfolio of investments.

5

 
Orinda Income Opportunities Fund
       
Schedule of Securities Sold Short
       
May 31, 2017
       
             
   
Shares
   
Value
 
COMMON STOCKS
           
Financials - 0.3%
           
National General Holdings Corp.
   
40,000
     
878,400
 
TOTAL COMMON STOCKS (Proceeds $860,193)
         
$
878,400
 
                 
EXCHANGE TRADED FUNDS
               
Finance and Insurance - 10.6%
               
Vanguard REIT ETF
   
404,358
     
33,234,184
 
TOTAL EXCHANGE TRADED FUNDS (Proceeds $33,287,112)
         
$
33,234,184
 
                 
REITS
               
Real Estate - 0.3%
               
Washington Prime Group, Inc.
   
124,941
     
953,300
 
TOTAL REITS (Proceeds $1,047,649)
         
$
953,300
 
                 
Total Securities Sold Short (Proceeds $35,194,954)
         
$
35,065,884
 
                 
Percentages are stated as a percent of net assets.
               
Portfolio holdings are subject to change at any time.
               
                 
The Global Industry Classification Standard (GICS®) was developed by and/or is the
         
exclusive property of MSCI, Inc. and Standard & Poor's Financial Services LLC ("S&P").
 
GICS is a service mark of MSCI and S&P and has been licensed for use by US Bancorp
         
Fund Services, LLC.
               
                 
                 
** The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
               
Cost of investments
         
$
355,198,305
 
Gross unrealized appreciation
           
14,124,759
 
Gross unrealized (depreciation)
           
(5,274,208
)
Net unrealized appreciation (depreciation)
         
$
8,850,551
 
   
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
 
adjustments for the current fiscal year. For the previous fiscal year's federal income tax information, please refer to
 
the Notes to Financial Statements section in the Fund's most recent annual report.
               
 
 
The accompanying notes are an integral part of the portfolio of investments.

6

 
Orinda Income Opportunities Fund
Notes to Portfolio of Investments
May 31, 2017
(Unaudited)
 
 
PORTFOLIO VALUATION - The Orinda Income Opportunities Fund net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed Income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
           
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
           
•  Level 1
quoted prices in active markets for identical securities;
       
•  Level 2
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3
significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).
         
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
         
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund’s investments carried at fair value:
   
 
   
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant
Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Common Stocks*
 
$
5,777,027
   
$
5,777,027
   
$
-
   
$
-
 
REITs
   
187,671,398
     
177,561,890
     
10,109,508
     
-
 
Convertible Preferred Stock
   
30,006,327
     
30,006,327
     
-
     
-
 
Preferred Stock
   
125,131,432
     
119,567,630
     
5,563,802
     
-
 
Mortgage Backed Securities
   
774,658
     
-
     
774,658
     
-
 
Convertible Bonds
   
5,137,500
     
-
     
5,137,500
     
-
 
Closed End Mutual Funds
   
3,487,089
     
3,487,089
     
-
     
-
 
Short Term Investments
   
6,063,425
     
6,063,425
     
-
     
-
 
                             
-
 
Total Investments in Securities
 
$
364,048,856
   
$
342,463,388
   
$
21,585,468
   
$
-
 
Securities Sold Short
 
$
35,065,884
   
$
35,065,884
   
$
-
         
 
 *Please refer to the Portfolio of Investments for further details.
 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for
changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.  
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
7

 
 
Transfers into Level 1
 
$
14,329,310
 
 
Transfers out of Level 1
 
$
(2,004,915
)
 
Net transfers in and/or out of Level 1
 
$
12,324,395
 
           
 
Transfers into Level 2
 
$
2,004,915
 
 
Transfers out of Level 2
 
$
(14,329,310
)
 
Net transfers in and/or out of Level 2
 
$
(12,324,395
)
 
 
Refer to the Fund's Schedule of Investments for a detailed breakout of securities.  Transfers between levels are recognized at May 31, 2017, the end of the reporting period.  The Income Opportunities Fund transferred $14,329,310 from level 2 to level 1 because these securities were now being priced at the official close.  The Income Opportunities Fund transferred $2,004,915 from level 1 to level 2 at May 31, 2017 because the securities were priced at the mean between the bid and ask spread.  There were no level 3 securities held in the Income Opportunities Fund as of May 31, 2017.   
           
For more information with regard to significant policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
 
8


THE SCHNEIDER FUNDS
       
SCHNEIDER SMALL CAP VALUE FUND
       
Portfolio of Investments
       
May 31, 2017
       
(Unaudited)
       
             
   
Shares
   
Value
 
COMMON STOCKS — 89.3%
           
Auto Parts — 0.6%
           
Commercial Vehicle Group, Inc.*
   
36,281
   
$
293,151
 
Banks — 9.0%
               
CIT Group, Inc.
   
2,541
     
114,472
 
KeyCorp
   
122,826
     
2,145,774
 
OFG Bancorp (a)
   
48,686
     
455,214
 
Regions Financial Corp.
   
40,070
     
554,569
 
The Bancorp, Inc.*
   
131,002
     
801,732
 
             
4,071,761
 
Chemical Manufacturing — 1.7%
               
AdvanSix, Inc.*
   
26,109
     
751,156
 
Coal — 1.9%
               
CONSOL Energy, Inc.* (a)
   
58,620
     
850,576
 
Commercial Services — 5.7%
               
Aegean Marine Petroleum Network, Inc. (a)
   
184,918
     
850,623
 
Herc Holdings, Inc.* (a)
   
42,240
     
1,597,939
 
Hudson Global, Inc.
   
72,690
     
103,947
 
             
2,552,509
 
Depository Credit Intermediation — 1.0%
               
Huntington Bancshares, Inc.
   
34,480
     
432,379
 
Electronics — 5.8%
               
Kemet Corp.*
   
189,501
     
2,615,114
 
Health Care Equipment — 0.7%
               
Invacare Corp.
   
23,326
     
330,063
 
Home Builders — 2.2%
               
Builders FirstSource, Inc.* (a)
   
10,000
     
136,600
 
Taylor Morrison Home Corp.*
   
36,280
     
843,510
 
             
980,110
 
Insurance — 6.4%
               
American Equity Investment Life Holding Co.
   
71,407
     
1,789,459
 
Assured Guaranty Ltd.
   
23,977
     
936,542
 
Genworth Financial, Inc.*
   
41,108
     
150,455
 
             
2,876,456
 
Insurance Carriers — 0.3%
               
Athene Holding Ltd.*
   
2,321
     
114,379
 
Logistics — 0.3%
               
ModusLink Global Solutions, Inc.*
   
87,097
     
148,936
 
Machinery - Manufacturing — 6.8%
               
Intevac, Inc.* (a)
   
125,042
     
1,675,563
 
Terex Corp. (a)
   
42,391
     
1,389,577
 
             
3,065,140
 
The accompanying notes are an integral part of the portfolio of investments.
 
1

 
 
Oil & Gas — 20.7%
               
Chesapeake Energy Corp.* (a)
   
629,269
     
3,184,101
 
Goodrich Petroleum Corp.* (a)
   
908
     
10,969
 
Halcon Resources Corp.* (a)
   
264,938
     
1,610,823
 
Scorpio Tankers, Inc.
   
55,029
     
204,708
 
Weatherford International PLC* (a)
   
356,794
     
1,712,611
 
Whiting Petroleum Corp.* (a)
   
260,952
     
1,842,321
 
Willbros Group, Inc.*
   
325,160
     
751,120
 
             
9,316,653
 
Oil and Gas Extraction — 3.8%
               
QEP Resources, Inc.* (a)
   
40,700
     
407,000
 
SandRidge Energy, Inc.*
   
52,014
     
1,029,357
 
SilverBow Resources, Inc.*
   
10,410
     
287,524
 
             
1,723,881
 
Other Financial Investment Activities — 3.2%
               
Adient PLC
   
8,355
     
572,568
 
Enstar Group Ltd.*
   
4,734
     
888,335
 
             
1,460,903
 
Other General Merchandise Stores — 0.9%
               
Tuesday Morning Corp.* (a)
   
232,923
     
395,969
 
Petroleum and Coal Products Manufacturing — 3.0%
               
Marathon Oil Corp.
   
102,000
     
1,328,040
 
Pharmaceuticals — 1.7%
               
Endo International PLC*
   
43,562
     
574,147
 
Insys Therapeutics, Inc.* (a)
   
12,157
     
178,708
 
             
752,855
 
Real Estate — 1.8%
               
Alexander & Baldwin, Inc.
   
11,617
     
464,912
 
Dundee Corp.*
   
3,633
     
8,297
 
Forestar Group, Inc.*
   
24,603
     
348,133
 
             
821,342
 
Real Estate Investment Trusts — 2.6%
               
Boardwalk Real Estate Investment Trust
   
8,992
     
315,799
 
Cousins Properties, Inc.
   
1
     
5
 
Forest City Realty Trust, Inc.
   
33,473
     
762,180
 
NorthStar Realty Europe Corp.
   
414
     
5,051
 
RAIT Financial Trust
   
44,862
     
100,042
 
             
1,183,077
 
                 
Semiconductor & Other Electronic Component Manufacturing — 0.0%
               
Axcelis Technologies, Inc.*
   
0
     
5
 
Shipping — 0.9%
               
Ardmore Shipping Corp.* (a)
   
57,101
     
411,127
 
Telecommunications — 8.3%
               
Aviat Networks, Inc.*
   
164,662
     
2,883,226
 
UTStarcom Holdings Corp.*
   
383,607
     
840,099
 
             
3,723,325
 
TOTAL COMMON STOCKS
               
(Cost $37,624,718)
           
40,198,907
 
EXCHANGE TRADED FUNDS — 0.3%
               
iShares Russell 2000 Value ETF
   
1,000
     
114,970
 
TOTAL EXCHANGE TRADED FUNDS
               
(Cost $115,360)
           
114,970
 
 
The accompanying notes are an integral part of the portfolio of investments.
 
2

 
 
WARRANTS — 0.2%
               
Oil & Gas — 0.2%
               
C&J Energy Services, Inc.* (a)
   
4,153
     
74,754
 
TOTAL WARRANTS
               
(Cost $ –)
           
74,754
 
                 
SECURITIES LENDING COLLATERAL — 25.3%
               
Mount Vernon Liquid Assets Portfolio, LLC, 1.11%
   
11,367,507
     
11,367,507
 
TOTAL SECURITIES LENDING COLLATERAL
           
11,367,507
 
(Cost $11,367,507)
               
SHORT-TERM INVESTMENTS — 7.4%
               
STIT-Treasury Obligations Portfolio, 0.69%
   
3,346,971
     
3,346,971
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $3,346,971)
           
3,346,971
 
TOTAL INVESTMENTS — 122.5%
               
(Cost $52,454,556)**
           
55,103,109
 
LIABILITIES IN EXCESS OF OTHER ASETS — (22.5)%
           
(10,098,456
)
NET ASSETS — 100.0%
         
$
45,004,653
 

* Non-income producing security.
     
** The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
     
       
Cost of investments
 
$
52,454,556
 
Gross unrealized appreciation
 
$
7,045,545
 
Gross unrealized (depreciation)
   
(4,396,992
)
Net unrealized appreciation (depreciation)
 
$
2,648,553
 

                    *Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax
                     adjustments for the current fiscal year.  For the previous fiscal year's federal income tax information, please refer to
                     the Notes to Financial Statements section in the Fund's most recent annual report.
   
     
PLC Public Limited Company
           
(a) All or a portion of the security is on loan.  At May 31, 2017, the market value of securities on loan was $10,833,930.
               
 The accompanying notes are an integral part of the portfolio of investments.
 
3

 
THE SCHNEIDER FUNDS
 
Notes to Portfolio of Investments
 
May 31, 2017
 
(Unaudited)
 

PORTFOLIO VALUATION - The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in the Fund's prospectus). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
 
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
         
•  Level 1  —
quoted prices in active markets for identical securities;
     
•  Level 2  —
other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
•  Level 3  —
significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
           
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
             
The following is a summary of inputs used, as of May 31, 2017, in valuing the Fund’s investments carried at fair value:
 
 
   
Total Fair Value at
May 31, 2017
   
Quoted Price
   
Other Significant
Observable Inputs
   
Significant
Unobservable Inputs
 
Common Stocks*
 
$
40,198,907
   
$
40,198,907
   
$
-
   
$
-
 
Exchange Traded Funds
   
114,970
     
114,970
     
-
     
-
 
Warrants
   
74,754
     
74,754
     
-
     
-
 
Short-Term Investments
   
3,346,971
     
3,346,971
     
-
     
-
 
Securities Lending Collateral
   
11,367,507
     
11,367,507
     
-
     
-
 
Total
 
$
55,103,109
   
$
55,103,109
   
$
-
   
$
-
 
*Please refer to the Portfolio of Investments for further details.
                         
 
4

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise  less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
               
For the period ended May 31, 2017, there were no transfers between Levels 1, 2, and 3 for the Fund that require disclosure.
               
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
 
5

 
SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND
 
   
Portfolio of Investments
 
May 31, 2017
 
(Unaudited)
 
 
      
Number
       
      
of Shares
   
Value
 
COMMON STOCKS - 98.1%
           
Aerospace & Defense — 1.8%
           
Lockheed Martin Corp.
   
7,200
   
$
2,024,136
 
Air Freight & Logistics — 0.2%
               
CH Robinson Worldwide, Inc.
   
3,100
     
207,731
 
Commercial Services & Supplies — 2.5%
               
Cintas Corp.
   
4,400
     
553,872
 
Republic Services, Inc.
   
31,800
     
2,022,798
 
Waste Management, Inc.
   
3,200
     
233,312
 
               
2,809,982
 
Communications Equipment — 2.3%
               
Cisco Systems, Inc.
   
81,300
     
2,563,389
 
Consumer Finance — 2.2%
               
American Express Co.
   
30,800
     
2,369,752
 
Discover Financial Services
   
3,000
     
176,100
 
               
2,545,852
 
Distributors — 2.8%
               
Genuine Parts Co.
   
20,600
     
1,907,972
 
LKQ Corp.*
     
42,100
     
1,325,729
 
               
3,233,701
 
Diversified Financial Services — 0.5%
               
Berkshire Hathaway, Inc.*
   
3,700
     
611,536
 
Diversified Telecommunication Services — 2.5%
               
AT&T, Inc.
     
67,000
     
2,581,510
 
Verizon Communications, Inc.
   
5,100
     
237,864
 
               
2,819,374
 
Electric Utilities — 5.4%
               
Duke Energy Corp.
   
3,300
     
282,744
 
Edison International
   
28,900
     
2,357,373
 
NextEra Energy, Inc.
   
1,900
     
268,736
 
PG&E Corp.
     
3,700
     
253,006
 
PPL Corp.
     
29,500
     
1,177,345
 
Southern Co., (The)
   
16,700
     
845,187
 
Xcel Energy, Inc.
   
19,100
     
915,081
 
               
6,099,472
 
Food & Staples Retailing — 7.7%
               
Sysco Corp.
     
51,700
     
2,820,752
 
Walgreens Boots Alliance, Inc.
   
32,600
     
2,641,252
 
Wal-Mart Stores, Inc.
   
38,100
     
2,994,660
 
Whole Foods Market, Inc.
   
7,100
     
248,429
 
               
8,705,093
 
Food Products — 5.1%
               
General Mills, Inc.
   
43,900
     
2,490,886
 
Hershey Co., (The)
   
5,100
     
587,877
 
Hormel Foods Corp.
   
13,100
     
440,553
 
Kellogg Co.
     
17,400
     
1,245,840
 
Kraft Heinz Co., (The)
   
2,800
     
258,160
 
McCormick & Co., Inc.
   
5,000
     
520,750
 
Mondelez International, Inc.
   
5,000
     
232,950
 
               
5,777,016
 
The accompanying notes are an integral part of the portfolio of investments. 
1

 
Health Care Equipment & Supplies — 4.5%
               
Baxter International, Inc.
   
20,300
     
1,203,993
 
Danaher Corp.
   
33,000
     
2,803,020
 
DENTSPLY SIRONA, Inc.
   
8,400
     
533,568
 
Medtronic PLC, (Ireland)
   
3,500
     
294,980
 
Varian Medical Systems, Inc.*
   
3,000
     
297,060
 
               
5,132,621
 
Health Care Providers & Services — 8.9%
               
Aetna, Inc.
     
4,800
     
695,328
 
AmerisourceBergen Corp.
   
2,800
     
256,956
 
Anthem, Inc.
     
10,700
     
1,951,145
 
Henry Schein, Inc.*
   
3,000
     
551,910
 
Laboratory Corp. of America Holdings*
   
18,600
     
2,585,400
 
Patterson Cos., Inc.
   
44,900
     
1,982,784
 
Quest Diagnostics, Inc.
   
2,100
     
228,417
 
UnitedHealth Group, Inc.
   
10,400
     
1,821,872
 
               
10,073,812
 
Hotels, Restaurants & Leisure — 0.4%
               
Darden Restaurants, Inc.
   
2,500
     
222,325
 
McDonald's Corp.
   
1,900
     
286,691
 
               
509,016
 
Household Products — 4.0%
               
Church & Dwight Co, Inc.
   
25,500
     
1,317,330
 
Clorox Co., (The)
   
1,500
     
203,595
 
Colgate-Palmolive Co.
   
9,900
     
755,964
 
Procter & Gamble Co., (The)
   
25,500
     
2,246,295
 
               
4,523,184
 
Insurance — 14.1%
               
Allstate Corp., (The)
   
21,200
     
1,830,408
 
Chubb Ltd.
     
19,200
     
2,749,248
 
Cincinnati Financial Corp.
   
36,100
     
2,529,888
 
Hartford Financial Services Group Inc., (The)
   
4,300
     
212,377
 
Marsh & McLennan Cos, Inc.
   
36,500
     
2,830,940
 
Principal Financial Group, Inc.
   
3,400
     
213,894
 
Progressive Corp., (The)
   
69,500
     
2,948,885
 
Travelers Cos, Inc., (The)
   
21,800
     
2,721,730
 
               
16,037,370
 
Internet Software & Services — 0.8%
               
eBay, Inc.*
     
7,500
     
257,250
 
VeriSign, Inc.*
   
6,800
     
613,088
 
               
870,338
 
IT Services — 7.3%
               
Accenture PLC, Class A, (Ireland)
   
21,500
     
2,676,105
 
Fidelity National Information Services, Inc.
   
3,200
     
274,784
 
Fiserv, Inc.*
     
20,200
     
2,530,656
 
Paychex, Inc.
   
25,400
     
1,504,442
 
Total System Services, Inc.
   
21,300
     
1,268,415
 
               
8,254,402
 
Life Sciences Tools & Services — 0.2%
               
Thermo Fisher Scientific, Inc.
   
1,600
     
276,464
 
Media — 3.3%
               
Omnicom Group, Inc.
   
28,100
     
2,352,532
 
Scripps Networks Interactive, Inc., Class A
   
2,900
     
192,038
 
Walt Disney Co., (The)
   
11,600
     
1,252,104
 
               
3,796,674
 
Multi-Utilities — 2.8%
               
CenterPoint Energy, Inc.
   
9,400
     
268,934
 
CMS Energy Corp.
   
5,500
     
260,755
 
Dominion Resources, Inc.
   
5,900
     
476,543
 
DTE Energy Co.
   
8,600
     
941,872
 
WEC Energy Group, Inc.
   
19,900
     
1,248,924
 
               
3,197,028
 
Oil, Gas & Consumable Fuels — 1.4%
               
Chevron Corp.
   
1,700
     
175,916
 
ConocoPhillips
   
4,200
     
187,698
 
Pioneer Natural Resources Co.
   
4,000
     
667,440
 
Tesoro Corp.
     
4,300
     
357,932
 
Valero Energy Corp.
   
3,200
     
196,704
 
               
1,585,690
 
 The accompanying notes are an integral part of the portfolio of investments.
2

 
Pharmaceuticals — 4.7%
               
Johnson & Johnson
   
17,000
     
2,180,250
 
Merck & Co., Inc.
   
5,500
     
358,105
 
Pfizer, Inc.
     
79,000
     
2,579,350
 
Zoetis, Inc.
     
3,900
     
242,892
 
               
5,360,597
 
Real Estate Investment Trusts — 1.0%
               
Apartment Investment & Management Co.
   
5,500
     
236,060
 
Equity Residential
   
3,400
     
221,306
 
Public Storage
   
1,100
     
236,885
 
Vornado Realty Trust
   
5,300
     
488,660
 
               
1,182,911
 
Semiconductors & Semiconductor Equipment — 1.7%
               
Intel Corp.
     
7,200
     
259,992
 
Texas Instruments, Inc.
   
11,300
     
932,137
 
Xilinx, Inc.
     
11,800
     
787,178
 
               
1,979,307
 
Software — 4.2%
               
CA, Inc.
     
35,000
     
1,111,950
 
Intuit, Inc.
     
7,100
     
998,544
 
Microsoft Corp.
   
24,600
     
1,718,064
 
salesforce.com, Inc.*
   
10,300
     
923,292
 
               
4,751,850
 
Specialty Retail — 3.9%
               
Home Depot, Inc., (The)
   
13,600
     
2,087,736
 
Lowe's Cos, Inc.
   
8,100
     
638,037
 
TJX Cos, Inc., (The)
   
22,300
     
1,677,183
 
               
4,402,956
 
Technology Hardware, Storage & Peripherals — 1.9%
               
Apple, Inc.
     
12,300
     
1,878,948
 
HP, Inc.
     
13,700
     
257,012
 
               
2,135,960
 
TOTAL COMMON STOCKS
               
(Cost $94,020,560)
           
111,467,462
 
SHORT-TERM INVESTMENTS - 1.2%
               
Fidelity Investments Money Market Funds - Government Portfolio, 0.65%
   
1,351,360
     
1,351,360
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $1,351,360)
           
1,351,360
 
TOTAL INVESTMENTS - 99.3%
               
(Cost $95,371,920)**
           
112,818,822
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7%
           
741,229
 
NET ASSETS - 100.0%
         
$
113,560,051
 
 
 
                   
*
 
Non-income producing security.
               
**
 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
         
 
Cost of investments
 
$
95,371,920
         
Gross unrealized appreciation
 
$
17,907,896
         
Gross unrealized (depreciation)
   
(460,994
)
       
Net unrealized appreciation (depreciation)
 
$
17,446,902
         
                 
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
 
most recent annual report.
               
 
PLC
Public Limited Company
               
                   
 
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
 
                   
                   
The accompanying notes are an integral part of the portfolio of investments.
 
3

SUMMIT GLOBAL INVESTMENTS SMALL CAP LOW VOLATILITY FUND
 
Portfolio of Investments
May 31, 2017
(Unaudited)
 
   
Number
       
   
of Shares
   
Value
 
COMMON STOCKS - 91.6%
           
Air Freight & Logistics — 1.0%
           
Forward Air Corp.
   
3,200
   
$
166,816
 
Auto Components — 3.0%
               
Cooper-Standard Holdings, Inc.*
   
1,400
     
151,214
 
Fox Factory Holding Corp.*
   
5,400
     
177,390
 
Standard Motor Products, Inc.
   
3,100
     
150,846
 
             
479,450
 
Automobiles — 0.9%
               
Winnebago Industries, Inc.
   
5,800
     
142,100
 
Banks — 6.4%
               
Bryn Mawr Bank Corp.
   
3,700
     
151,145
 
Community Trust Bancorp, Inc.
   
3,400
     
141,100
 
First Busey Corp.
   
5,200
     
147,628
 
Great Southern Bancorp, Inc.
   
3,000
     
146,850
 
Preferred Bank Los Angeles CA
   
3,100
     
154,721
 
QCR Holdings, Inc.
   
3,600
     
157,680
 
Stock Yards Bancorp, Inc.
   
3,800
     
137,560
 
             
1,036,684
 
Building Products — 0.9%
               
Patrick Industries, Inc.*
   
2,200
     
145,640
 
Capital Markets — 3.5%
               
New Mountain Finance Corp.
   
10,500
     
152,775
 
Prospect Capital Corp.
   
16,300
     
130,074
 
Solar Capital Ltd.
   
6,800
     
146,948
 
Solar Senior Capital Ltd.
   
8,400
     
144,648
 
             
574,445
 
Chemicals — 4.8%
               
Innospec, Inc.
   
2,400
     
153,600
 
PolyOne Corp.
   
4,200
     
156,828
 
Quaker Chemical Corp.
   
1,100
     
153,329
 
Sensient Technologies Corp.
   
1,900
     
152,551
 
Stepan Co.
   
1,900
     
160,778
 
             
777,086
 
Commercial Services & Supplies — 5.8%
               
Deluxe Corp.
   
2,100
     
143,136
 
Healthcare Services Group, Inc.
   
3,200
     
153,184
 
Matthews International Corp.
   
2,200
     
140,250
 
MSA Safety, Inc.
   
2,100
     
170,310
 
Multi-Color Corp.
   
2,100
     
180,390
 
UniFirst Corp.
   
1,100
     
155,870
 
             
943,140
 
Communications Equipment — 1.9%
               
Ituran Location and Control Ltd., (Israel)
   
5,000
     
161,000
 
Plantronics, Inc.
   
2,800
     
148,176
 
             
309,176
 
Construction & Engineering — 0.8%
               
Argan, Inc.
   
2,300
     
135,815
 
Containers & Packaging — 1.0%
               
Silgan Holdings, Inc.
   
5,000
     
159,050
 
Diversified Financial Services — 0.9%
               
Compass Diversified Holdings†
   
9,200
     
148,580
 
Electric Utilities — 3.9%
               
ALLETE, Inc.
   
2,200
     
161,458
 
El Paso Electric Co.
   
3,000
     
162,000
 
MGE Energy, Inc.
   
2,300
     
149,730
 
PNM Resources, Inc.
   
4,000
     
154,000
 
             
627,188
 
Electrical Equipment — 1.8%
               
AZZ, Inc.
   
2,800
     
151,900
 
EnerSys
   
1,900
     
140,714
 
             
292,614
 
Electronic Equipment, Instruments & Components — 6.0%
               
ePlus, Inc.*
   
2,300
     
181,125
 
Insight Enterprises, Inc.*
   
3,700
     
153,698
 
MTS Systems Corp.
   
3,300
     
171,105
 
Orbotech Ltd., (Israel)*
   
4,900
     
174,832
 
Plexus Corp.*
   
2,900
     
150,742
 
ScanSource, Inc.*
   
3,900
     
148,200
 
             
979,702
 
The accompanying notes are an integral part of the portfolio of investments. 
1

Food Products — 0.9%
               
B&G Foods, Inc.
   
3,600
     
145,980
 
Gas Utilities — 1.9%
               
Chesapeake Utilities Corp.
   
2,100
     
155,925
 
South Jersey Industries, Inc.
   
4,100
     
149,281
 
             
305,206
 
Health Care Equipment & Supplies — 2.2%
               
ICU Medical, Inc.*
   
1,100
     
177,430
 
Integra LifeSciences Holdings Corp.*
   
3,600
     
181,260
 
             
358,690
 
Health Care Providers & Services — 2.1%
               
Addus HomeCare Corp.*
   
4,800
     
178,080
 
Chemed Corp.
   
800
     
163,728
 
             
341,808
 
Hotels, Restaurants & Leisure — 3.0%
               
Extended Stay America, Inc.
   
8,900
     
161,980
 
Marcus Corp., (The)
   
4,800
     
158,400
 
Papa John's International, Inc.
   
2,000
     
161,140
 
             
481,520
 
Household Durables — 0.9%
               
Helen of Troy Ltd., (Bermuda)*
   
1,600
     
145,600
 
Household Products — 1.0%
               
WD-40 Co.
   
1,500
     
158,550
 
Insurance — 1.8%
               
Argo Group International Holdings Ltd., (Bermuda)
   
2,280
     
141,132
 
Aspen Insurance Holdings Ltd., (Bermuda)
   
3,000
     
152,400
 
             
293,532
 
Internet & Direct Marketing Retail — 1.4%
               
PetMed Express, Inc.
   
6,700
     
235,103
 
Investment Companies — 1.0%
               
TPG Specialty Lending, Inc.
   
7,590
     
156,961
 
IT Services — 3.3%
               
EVERTEC, Inc., (Puerto Rico)
   
9,600
     
158,400
 
TeleTech Holdings, Inc.
   
5,000
     
212,750
 
WNS Holdings Ltd., (India) ADR*
   
5,100
     
169,830
 
             
540,980
 
Leisure Products — 1.1%
               
Johnson Outdoors, Inc.
   
4,200
     
180,348
 
Machinery — 3.9%
               
Barnes Group, Inc.
   
3,000
     
169,770
 
Global Brass & Copper Holdings, Inc.
   
4,500
     
136,350
 
Hillenbrand, Inc.
   
4,200
     
149,940
 
Kadant, Inc.
   
2,300
     
176,755
 
             
632,815
 
Metals & Mining — 0.9%
               
Kaiser Aluminum Corp.
   
1,800
     
148,248
 
Multi-Utilities — 2.9%
               
Avista Corp.
   
3,800
     
162,792
 
NorthWestern Corp.
   
2,500
     
154,900
 
Unitil Corp.
   
3,298
     
156,919
 
             
474,611
 
Paper & Forest Products — 1.0%
               
Neenah Paper, Inc.
   
2,000
     
156,000
 
Professional Services — 3.6%
               
CBIZ, Inc.*
   
10,500
     
158,550
 
CRA International, Inc.
   
4,000
     
138,280
 
ICF International, Inc.*
   
3,500
     
164,675
 
Navigant Consulting, Inc.*
   
6,600
     
128,634
 
             
590,139
 
Real Estate Investment Trusts — 3.5%
               
LTC Properties, Inc.
   
3,100
     
149,420
 
Potlatch Corp.
   
3,400
     
155,550
 
Urban Edge Properties
   
5,500
     
131,120
 
Urstadt Biddle Properties, Inc.
   
7,400
     
138,528
 
             
574,618
 
The accompanying notes are an integral part of the portfolio of investments.
2

Real Estate Management & Development — 1.8%
               
RE/MAX Holdings, Inc., Class A
   
2,700
     
143,505
 
RMR Group Inc., (The)
   
3,000
     
147,300
 
             
290,805
 
Road & Rail — 2.0%
               
Marten Transport Ltd.
   
6,900
     
170,775
 
Saia, Inc.*
   
3,500
     
161,700
 
             
332,475
 
Semiconductors & Semiconductor Equipment — 3.3%
               
Kulicke & Soffa Industries, Inc.*
   
7,500
     
166,125
 
MKS Instruments, Inc.
   
2,100
     
171,675
 
Nova Measuring Instruments Ltd., (Israel)*
   
8,300
     
203,184
 
             
540,984
 
Specialty Retail — 0.9%
               
Haverty Furniture Cos, Inc.
   
6,400
     
153,280
 
Textiles, Apparel & Luxury Goods — 0.9%
               
Culp, Inc.
   
4,800
     
154,080
 
Thrifts & Mortgage Finance — 1.0%
               
First Defiance Financial Corp.
   
3,000
     
156,300
 
Trading Companies & Distributors — 0.9%
               
Applied Industrial Technologies, Inc.
   
2,500
     
154,375
 
 
Water Utilities — 1.8%
               
California Water Service Group
   
4,100
     
142,065
 
Connecticut Water Service, Inc.
   
2,900
     
153,874
 
             
295,939
 
TOTAL COMMON STOCKS
               
(Cost $13,285,539)
           
14,916,433
 
SHORT-TERM INVESTMENTS - 8.4%
               
Fidelity Investments Money Market Funds - Government Portfolio, 0.65%
   
1,372,700
     
1,372,700
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $1,372,700)
           
1,372,700
 
TOTAL INVESTMENTS - 100.0%
               
(Cost $14,658,239)**
           
16,289,133
 
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0%
           
(846
)
NET ASSETS - 100.0%
         
$
16,288,287
 
 
 
 
Master Limited Partnerships.
     
 
*
 
Non-income producing security.
     
   **
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
         
     
Cost of investments
 
$
14,658,239
 
     
Gross unrealized appreciation
 
$
1,870,390
 
     
Gross unrealized (depreciation)
   
(239,496
)
     
Net unrealized appreciation (depreciation)
 
$
1,630,894
 
               
     
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
most recent annual report. 
       
 
ADR
 
American Depositary Receipt
       
               
     
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
 
     
     
               
The accompanying notes are an integral part of the portfolio of investments.
 

3

SUMMIT GLOBAL INVESTMENTS GLOBAL LOW VOLATILITY FUND
 
Portfolio of Investments
May 31, 2017
(Unaudited)
 
   
Number
       
   
of Shares
   
Value
 
COMMON STOCKS - 99.0%
           
Aerospace & Defense — 6.3%
           
General Dynamics Corp.
   
2,350
   
$
477,638
 
Raytheon Co.
   
2,830
     
464,148
 
United Technologies Corp.
   
3,910
     
474,205
 
             
1,415,991
 
Banks — 1.9%
               
Toronto-Dominion Bank, (The), (Canada)
   
9,100
     
434,070
 
Capital Markets — 2.0%
               
Thomson Reuters Corp., (Canada)
   
10,380
     
453,191
 
Diversified Telecommunication Services — 8.2%
               
BCE, Inc., (Canada)
   
9,780
     
443,425
 
China Telecom Corp., Ltd., (China) ADR
   
9,000
     
446,490
 
Nippon Telegraph & Telephone Corp., (Japan) ADR
   
10,180
     
490,473
 
TELUS Corp.
   
13,500
     
459,405
 
             
1,839,793
 
Electric Utilities — 2.1%
               
Duke Energy Corp.
   
5,370
     
460,101
 
Food & Staples Retailing — 2.1%
               
Wal-Mart Stores, Inc.
   
6,060
     
476,316
 
Food Products — 6.5%
               
Danone SA, (France) ADR
   
32,500
     
484,087
 
McCormick & Co., Inc.
   
4,490
     
467,634
 
Nestle SA, (Switzerland) ADR
   
5,900
     
502,444
 
             
1,454,165
 
Health Care Equipment & Supplies — 6.5%
               
ResMed, Inc.
   
6,540
     
464,994
 
Stryker Corp.
   
3,420
     
488,923
 
Varian Medical Systems, Inc.*
   
4,990
     
494,110
 
             
1,448,027
 
Hotels, Restaurants & Leisure — 4.4%
               
Carnival PLC, (Unitied Kingdom) ADR
   
7,800
     
500,682
 
McDonald's Corp.
   
3,320
     
500,955
 
             
1,001,637
 
Household Durables — 2.1%
               
Garmin Ltd., (Switzerland)
   
9,090
     
473,043
 
Household Products — 4.0%
               
Colgate-Palmolive Co.
   
6,050
     
461,978
 
Procter & Gamble Co., (The)
   
4,880
     
429,879
 
             
891,857
 
Insurance — 2.1%
               
Chubb Ltd.
   
3,220
     
461,072
 
IT Services — 4.3%
               
Mastercard, Inc.
   
4,000
     
491,520
 
Visa, Inc.
   
4,980
     
474,245
 
             
965,765
 
Media — 1.9%
               
Walt Disney Co., (The)
   
3,900
     
420,966
 
Oil, Gas & Consumable Fuels — 1.9%
               
TransCanada Corp., (Canada)
   
9,400
     
436,630
 
Personal Products — 2.2%
               
Estee Lauder Cos, Inc., (The)
   
5,170
     
486,704
 
Pharmaceuticals — 14.6%
               
Eli Lilly & Co.
   
5,470
     
435,248
 
GlaxoSmithKline PLC, (United Kingdom) ADR
   
10,950
     
484,319
 
Johnson & Johnson
   
3,720
     
477,090
 
Merck & Co., Inc.
   
7,240
     
471,396
 
Pfizer, Inc.
   
13,310
     
434,572
 
Roche Holding AG, (Switzerland) ADR
   
14,100
     
484,758
 
Sanofi, (France) ADR
   
10,070
     
499,371
 
             
3,286,754
 
Real Estate Investment Trusts — 5.3%
               
Crown Castle International Corp.
   
4,600
     
467,590
 
Simon Property Group, Inc.
   
2,450
     
377,912
 
Tanger Factory Outlet Centers, Inc.
   
13,430
     
349,986
 
             
1,195,488
 
Road & Rail — 2.1%
               
Union Pacific Corp.
   
4,210
     
464,363
 
The accompanying notes are an integral part of the portfolio of investments. 
1

 
 
Semiconductors & Semiconductor Equipment — 2.2%
               
Taiwan Semiconductor Manufacturing Co., Ltd., (China) ADR
   
13,700
     
484,432
 
Software — 6.5%
               
Adobe Systems, Inc.*
   
3,410
     
483,743
 
Check Point Software Technologies Ltd., (Israel)*
   
4,390
     
491,899
 
Microsoft Corp.
   
6,900
     
481,896
 
             
1,457,538
 
Specialty Retail — 3.8%
               
AutoZone, Inc.*
   
690
     
418,085
 
TJX Cos, Inc., (The)
   
5,800
     
436,218
 
             
854,303
 
Textiles, Apparel & Luxury Goods — 1.9%
               
NIKE, Inc.
   
8,020
     
424,980
 
Wireless Telecommunication Services — 4.1%
               
China Mobile Ltd., (China) ADR
   
8,220
     
453,004
 
NTT DOCOMO, Inc., (Japan) ADR
   
18,780
     
461,988
 
             
914,992
 
TOTAL COMMON STOCKS
               
(Cost $20,767,959)
           
22,202,178
 
SHORT-TERM INVESTMENTS - 0.8%
               
Fidelity Investments Money Market Funds - Government Portfolio, 0.65%
   
184,801
     
184,801
 
TOTAL SHORT-TERM INVESTMENTS
               
(Cost $184,801)
           
184,801
 
TOTAL INVESTMENTS - 99.8%
               
(Cost $20,952,760)**
           
22,386,979
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2%
           
55,627
 
NET ASSETS - 100.0%
         
$
22,442,606
 
 
 
*
 
Non-income producing security.
     
 
**
 
 
The cost basis of investments for federal income tax purposes at May 31, 2017 was as follows*:
 
     
Cost of investments
 
$
20,952,760
 
     
Gross unrealized appreciation
 
$
1,835,624
 
     
Gross unrealized (depreciation)
   
(401,405
)
     
Net unrealized appreciation (depreciation)
 
$
1,434,219
 
               
     
*Because tax adjustments are calculated annually at the end of the Fund's fiscal year, the above table does not reflect tax adjustments for the current
 
     
fiscal year. For the previous fiscal year's federal income tax information, please refer to the Notes to Financial Statements section in the Fund's
 
     
most recent annual report.
       
               
ADR
 
American Depositary Receipt
       
PLC
 
Public Limited Company
       
               
     
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by Summit Global Investments, LLC.
 
     
     
The accompanying notes are an integral part of the portfolio of investments.
 
 
2

 
Summit Global Investments Funds
Notes to Portfolio of Investments
May 31, 2017
(Unaudited)
 
 
Portfolio Valuation – The Summit Global Investments U.S. Low Volatility Equity Fund, Summit Global Investments Small Cap Low Volatility Fund and Summit Global Investments Global Low Volatility Fund (each a "Fund" and together the “Funds”) net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by each Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as disclosed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values  that are higher or lower than the values used by other investment companies and investors to price the same investments.
 
Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described in the hierarchy below:
         
•  Level 1 — quoted prices in active markets for identical securities;
       
             
•  Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
             
• Level 3 — significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments).
             
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
             
The following is a summary of the inputs used, as of May 31, 2017, in valuing the Funds' investments carried at fair value:
 
 
Summit Global Investments U.S. Low Volatility Equity Fund
 
Total Value at
May 31, 2017
   
Level 1
Quoted Price
   
Level 2
Other Significant
Observable Inputs
   
Level 3
Significant
Unobservable Inputs
 
Common Stocks
 
$
111,467,462
   
$
111,467,462
   
$
-
   
$
-
 
Short-Term Investments
   
1,351,360
     
1,351,360
     
-
     
-
 
Total Investments*
 
$
112,818,822
   
$
112,818,822
   
$
-
   
$
-
 
                                 
Summit Global Investments Small Cap Low Volatility Fund
                               
Common Stocks
 
$
14,916,433
   
$
14,916,433
   
$
-
   
$
-
 
Short-Term Investments
   
1,372,700
     
1,372,700
     
-
     
-
 
Total Investments*
 
$
16,289,133
   
$
16,289,133
   
$
-
   
$
-
 
                                 
Summit Global Investments Global Low Volatility Fund
                               
Common Stocks
 
$
22,202,178
   
$
22,202,178
   
$
-
   
$
-
 
Short-Term Investments
   
184,801
     
184,801
     
-
     
-
 
Total Investments*
 
$
22,386,979
   
$
22,386,979
   
$
-
   
$
-
 
                                 
* Please refer to Portfolio of Investments for further details.
                               
 
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delisting’s on national exchanges.
 
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds' investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
 
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Funds to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. U.S. GAAP also requires the Funds to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Funds had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each level within the three-tier hierarchy are disclosed when the Funds had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
 
For the period ended May 31, 2017, there were no transfers between Levels 1, 2 and 3 for the Funds.
 
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
3
 
 
Item 2. Controls and Procedures.
 
(a)
The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 
Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed herewith.
 


 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)   The RBB Fund, Inc.                                      

 
By (Signature and Title) /s/ Salvatore Faia                       
                                            Salvatore Faia, President
                                            (principal executive officer)
 
Date  July 26, 2017                                                                 



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
 
By (Signature and Title)* /s/ Salvatore Faia                     
                                              Salvatore Faia, President
                                              (principal executive officer)
 
Date  July 26, 2017                                                                 
 
 
By (Signature and Title)* /s/ James Shaw                         
                                              James Shaw, Treasurer
                                             (principal financial officer)
 
Date  July 25, 2017                                                                  

* Print the name and title of each signing officer under his or her signature.