NPORT-EX 2 csmpartffinal6302020.htm DESCRIPTION NPORT-EX


CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)

 
COUPON*
  
MATURITY
    
PAR
    
VALUE
SHORT-TERM INVESTMENTS — 86.0%
                  
U.S. TREASURY OBLIGATIONS — 25.0%
                  
United States Treasury Notes
2.000%
  
07/31/20
    $
       12,700,000
    $
       12,719,243
United States Treasury Notes
1.625%
  
11/30/20
    
8,500,000
    
8,550,137
United States Treasury Notes
2.250%
  
02/15/21
    
8,500,000
    
8,610,068
                   
29,879,448
                     
MONEY MARKETS  — 61.0%
                  
U.S. Bank Money Market Deposit Account, 0.90%(a)
                
73,049,085
TOTAL SHORT-TERM INVESTMENTS
                  
(Cost $109,516,715)
                
        102,928,533
TOTAL INVESTMENTS — 86..0%
                  
(Cost $109,516,715)
                
102,928,533
                   
OTHER ASSETS IN EXCESS OF LIABILITIES — 14.0%
                
16,804,219
NET ASSETS — 100.0%
                $
   119,732,752
 
                    
*  Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
          
(a) - The rate shown is as of June 30, 2020.
                  

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

 
CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)

Futures contracts outstanding as of June 30, 2020 were as follows:
              
                 
VALUE AND
  
                 
UNREALIZED
  

EXPIRATION
 
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
  
LONG CONTRACTS
DATE
  
CONTRACTS
    
COST
    
(DEPRECIATION)
  
90-DAY Bank Bill
Sep-21
    
288
    
$
198,644,877
    
$
7,920
  
90-Day Euro
Sep-21
    
419
      
104,566,688
      
32,078
  
90-Day Sterling
Jun-21
    
398
      
61,601,872
      
34,904
  
Amsterdam Index
Jul-20
    
19
      
2,388,875
      
1,132
  
Australian 10-Year Bond
Sep-20
    
545
      
55,959,776
      
471,288
  
Australian 3-Year Bond
Sep-20
    
410
      
33,120,914
      
(1,006
)
Bank Acceptance
Sep-21
    
286
      
52,368,905
      
4,528
  
CAC40 10 Euro
Jul-20
    
12
      
662,435
      
1,339
  
Canadian 10-Year Bond
Sep-20
    
288
      
32,631,232
      
(33,063
)
Cocoa
Sep-20
    
7
      
153,020
      
(14,951
)
Copper
Sep-20
    
14
      
954,975
      
21,716
  
DAX Index
Sep-20
    
13
      
4,500,480
      
58,244
  
DJIA Mini E-CBOT
Sep-20
    
14
      
1,798,230
      
(47,189
)
Euro BUXL 30-Year Bond Futures
Sep-20
    
1
      
247,124
      
(1,192
)
Euro Stoxx 50
Sep-20
    
6
      
217,261
      
82
  
Euro-Bobl
Sep-20
    
197
      
29,874,910
      
7,872
  
Euro-BTP
Sep-20
    
14
      
2,263,077
      
30,138
  
Euro-Oat
Sep-20
    
19
      
3,578,723
      
31,829
  
Euro-Schatz
Sep-20
    
2
      
251,977
      
(13
)
FTSE 100 Index
Sep-20
    
13
      
990,254
      
(3,589
)
FTSE/JSE TOP 40
Sep-20
    
15
      
434,739
      
7,371
  
Gold 100 Oz
Aug-20
    
47
      
8,462,350
      
62,416
  
Hang Seng Index
Jul-20
    
12
      
1,877,066
      
(11,573
)
London Metals Exchange Aluminum
Sep-20
    
206
      
8,322,400
      
297,488
  
London Metals Exchange Copper
Sep-20
    
131
      
19,712,225
      
1,386,049
  
London Metals Exchange Nickel
Sep-20
    
143
      
10,983,258
      
79,969
  
London Metals Exchange Zinc
Sep-20
    
249
      
12,736,350
      
138,540
  
MSCI Singapore Exchange ETS
Jul-20
    
28
      
594,417
      
(10,242
)
Nasdaq 100 E-Mini
Sep-20
    
19
      
3,855,955
      
55,915
  
Nikkie 225 (Osaka Securities Exchange)
Sep-20
    
25
      
5,156,286
      
(2,620
)
Russell 2000 E-Mini
Sep-20
    
12
      
862,560
      
5,882
  
S&P 500 E-Mini
Sep-20
    
23
      
3,553,730
      
40,382
  
S&P Mid 400 E-Mini
Sep-20
    
8
      
1,423,280
      
(11,837
)
S&P/TSX 60 Index
Sep-20
    
42
      
5,744,991
      
47,179
  
Silver
Sep-20
    
38
      
3,541,030
      
73,838
  
SPI 200 Index
Sep-20
    
13
      
1,321,468
      
11,746
  
Topix Index
Sep-20
    
11
      
1,587,729
      
(36,237
)
U.S. Treasury 10-Year Notes
Sep-20
    
126
      
17,535,656
      
32,116
  
U.S. Treasury 2-Year Notes
Sep-20
    
475
      
104,893,360
      
43,043
  
U.S. Treasury 5-Year Notes
Sep-20
    
311
      
39,105,821
      
104,728
  
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-20
    
14
      
2,499,875
      
5,538
  
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Sep-20
    
6
      
1,308,938
      
24,677
  
                     
$
2,946,435
  
                           
SHORT CONTRACTS
EXPIRATION
DATE
  
NUMBER OF CONTRACTS
    
NOTIONAL
AMOUNT
    
VALUE AND
UNREALIZED
APPRECIATION/
(DEPRECIATION)
  
3-Month Euro Euribor
Jun-21
    
254
    
$
(71,695,044
)
  
$
(38,819
)
Brent Crude
Oct-20
    
26
      
(1,076,140
)
    
(3,065
)
Cattle Feeder Futures
Aug-20
    
9
      
(597,825
)
    
(2,814
)
Coffee
Sep-20
    
15
      
(568,125
)
    
(8,783
)
Corn
Sep-20
    
334
      
(5,703,050
)
    
(199,646
)
Cotton No.2
Dec-20
    
100
      
(3,044,000
)
    
(47,657
)
Euro-Bund
Sep-20
    
101
      
(20,030,244
)
    
(20,216
)
Gasoline RBOB
Aug-20
    
17
      
(857,871
)
    
(15,317
)
IBEX 35 Index
Jul-20
    
4
      
(324,007
)
    
5,903
  
JPN 10-Year Bond (Osaka Securities Exchange)
Sep-20
    
16
      
(22,516,323
)
    
18,526
  
Kansas City Hard Red Winter Wheat
Sep-20
    
118
      
(2,594,525
)
    
33,586
  
Live Cattle
Aug-20
    
9
      
(346,590
)
    
713
  
London Metals Exchange Aluminum
Sep-20
    
313
      
(12,645,200
)
    
(747,925
)
London Metals Exchange Copper
Sep-20
    
101
      
(15,197,975
)
    
(1,220,936
)
London Metals Exchange Nickel
Sep-20
    
119
      
(9,139,914
)
    
(266,879
)
London Metals Exchange Zinc
Sep-20
    
256
      
(13,094,400
)
    
(334,721
)
Long Gilt
Sep-20
    
16
      
(2,728,787
)
    
(1,232
)
Low Sulphur Gasoil G Futures
Aug-20
    
65
      
(2,309,125
)
    
(25,287
)
MSCI Taiwan Index
Jul-20
    
56
      
(2,423,120
)
    
(12,956
)
Natural Gas
Aug-20
    
326
      
(5,708,260
)
    
340,191
  
NY Harbor Ultra-Low Sulfur Diesel
Aug-20
    
6
      
(298,998
)
    
(4,937
)
OMX Stockholm 30 Index
Jul-20
    
137
      
(2,449,789
)
    
(1,535
)
Palladium
Sep-20
    
1
      
(196,690
)
    
(11,172
)
Platinum
Oct-20
    
3
      
(127,680
)
    
(2,582
)
Soybean
Nov-20
    
35
      
(1,543,938
)
    
(24,850
)
Soybean Meal
Dec-20
    
361
      
(10,681,990
)
    
17,974
  
Soybean Oil
Dec-20
    
344
      
(5,946,384
)
    
35,445
  
Sugar No. 11 (World)
Oct-20
    
59
      
(790,317
)
    
(8,903
)
Wheat
Sep-20
    
78
      
(1,917,825
)
    
(7,149
)
WTI Crude
Sep-20
    
38
      
–
      
(8,892
)
                     
$
(2,563,935
)
Total Futures Contracts
                    
$
382,500
  

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


CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)

Forward foreign currency contracts outstanding as of June 30, 2020 were as follows:
  
                   
                 
UNREALIZED
           
EXPIRATION
    
APPRECIATION/
CURRENCY PURCHASED
  
CURRENCY SOLD
  
DATE
COUNTERPARTY
  
(DEPRECIATION)
AUD
18,700,000
  
USD
12,851,778
  
Sep 16 2020
UBS
  $
                             56,472
BRL
43,900,000
  
USD
8,477,725
  
Sep 16 2020
UBS
  
                             (432,304)
CAD
60,000,000
  
USD
44,269,057
  
Sep 16 2020
UBS
  
                               (66,515)
CHF
8,750,000
  
USD
9,235,552
  
Sep 16 2020
UBS
  
                                 21,748
CLP
9,100,000,000
  
USD
11,679,716
  
Sep 16 2020
UBS
  
                             (587,701)
CNH
46,800,000
  
USD
6,555,149
  
Sep 16 2020
UBS
  
                                 34,943
COP
27,960,000,000
  
USD
7,688,186
  
Sep 16 2020
UBS
  
                             (296,842)
CZK
76,800,000
  
USD
3,226,757
  
Sep 16 2020
UBS
  
                                 12,344
EUR
23,200,000
  
USD
26,176,187
  
Sep 16 2020
UBS
  
                               (65,086)
GBP
14,400,000
  
USD
17,925,483
  
Sep 16 2020
UBS
  
                               (74,185)
HUF
1,401,000,000
  
USD
4,560,246
  
Sep 16 2020
UBS
  
                             (117,179)
IDR
38,500,000,000
  
USD
2,617,128
  
Sep 16 2020
UBS
  
                                 54,331
INR
1,353,000,000
  
USD
17,704,282
  
Sep 16 2020
UBS
  
                                 74,547
JPY
5,904,000,000
  
USD
55,049,140
  
Sep 16 2020
UBS
  
                             (310,858)
KRW
9,825,000,000
  
USD
8,117,292
  
Sep 16 2020
UBS
  
                                 55,701
MXN
155,100,000
  
USD
6,782,185
  
Sep 16 2020
UBS
  
                             (105,435)
NOK
188,850,000
  
USD
19,881,622
  
Sep 16 2020
UBS
  
                             (255,615)
NZD
44,850,000
  
USD
28,863,405
  
Sep 16 2020
UBS
  
                                 76,223
PHP
430,500,000
  
USD
8,568,520
  
Sep 16 2020
UBS
  
                                 40,017
PLN
6,975,000
  
USD
1,757,848
  
Sep 16 2020
UBS
  
                                   5,598
RUB
295,000,000
  
USD
4,261,687
  
Sep 16 2020
UBS
  
                             (154,259)
SEK
28,950,000
  
USD
3,108,255
  
Sep 16 2020
UBS
  
                                   1,597
TWD
130,950,000
  
USD
4,478,755
  
Sep 16 2020
UBS
  
                               (38,237)
ZAR
166,200,000
  
USD
9,596,253
  
Sep 16 2020
UBS
  
                               (96,568)
USD
30,210,053
  
AUD
43,850,000
  
Sep 16 2020
UBS
  
                               (58,756)
USD
2,130,318
  
BRL
11,450,000
  
Sep 16 2020
UBS
  
                                 31,911
USD
11,858,199
  
CAD
16,100,000
  
Sep 16 2020
UBS
  
                                 (2,816)
USD
5,540,280
  
CHF
5,300,000
  
Sep 16 2020
UBS
  
                               (66,998)
USD
8,528,769
  
CLP
6,700,000,000
  
Sep 16 2020
UBS
  
                               362,121
USD
999,532
  
CNH
7,100,000
  
Sep 16 2020
UBS
  
                                    (247)
USD
9,177,821
  
COP
34,350,000,000
  
Sep 16 2020
UBS
  
                                 97,253
USD
4,797,486
  
CZK
114,000,000
  
Sep 16 2020
UBS
  
                               (10,554)
USD
15,402,468
  
EUR
13,600,000
  
Sep 16 2020
UBS
  
                                 95,961
USD
17,458,336
  
GBP
13,950,000
  
Sep 16 2020
UBS
  
                               164,891
USD
11,055,013
  
HUF
3,417,000,000
  
Sep 16 2020
UBS
  
                               218,497
USD
48,860
  
IDR
700,000,000
  
Sep 16 2020
UBS
  
                                      288
USD
7,271,636
  
INR
555,000,000
  
Sep 16 2020
UBS
  
                               (21,232)
USD
34,496,067
  
JPY
3,715,500,000
  
Sep 16 2020
UBS
  
                                 48,220
USD
9,916,214
  
KRW
11,985,000,000
  
Sep 16 2020
UBS
  
                               (53,590)
USD
8,125,831
  
MXN
183,600,000
  
Sep 16 2020
UBS
  
                               222,212
USD
17,813,892
  
NOK
169,950,000
  
Sep 16 2020
UBS
  
                               152,044
USD
20,145,949
  
NZD
31,200,000
  
Sep 16 2020
UBS
  
                                 14,033
USD
4,343,254
  
PHP
218,250,000
  
Sep 16 2020
UBS
  
                               (21,004)
USD
7,989,021
  
PLN
31,500,000
  
Sep 16 2020
UBS
  
                                 25,071
USD
4,353,853
  
RUB
306,000,000
  
Sep 16 2020
UBS
  
                                 93,267
USD
16,639,842
  
SEK
154,800,000
  
Sep 16 2020
UBS
  
                                 10,993
USD
5,076,394
  
SGD
7,089,000
  
Sep 16 2020
UBS
  
                               (11,592)
USD
12,277,521
  
TWD
363,600,000
  
Sep 16 2020
UBS
  
                               (52,166)
USD
9,942,175
  
ZAR
171,400,000
  
Sep 16 2020
UBS
  
                               145,268
Total Forward Foreign Currency Contracts   
         $  (784,188)

 
                
AUD
Australian Dollar
   JPY

Japanese Yen
      
BRL
Brazilian Real
   KRW

South Korean Won
    
CAD
Canadian Dollar
MXN

Mexican Peso
 
CHF
Swiss Franc
   NOK

Norwegian Krone
    
CLP
Chilean Peso
   NZD

New Zealand Dollar
CNH
Chinese Yuan Renminbi
PHP

Philippine Peso
 
COP
Columbian Peso
PLN

Polish Zloty
 
CZK
Czech Koruna
   RUB

Russian Ruble
    
EUR
Euro
   SEK

Swedish Krona
    
GBP
British Pound
   TWD

Taiwan New Dollar
HUF
Hungarian Forint
UBS

Union Bank of Switzerland
IDR
Indonesian Rupiah
USD

United States Dollar
 
INR
Indian Rupee
   ZAR

South African Rand

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


CAMPBELL SYSTEMATIC MACRO FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
JUNE 30, 2020 (UNAUDITED)

CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Systematic Macro Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Systematic Macro Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $6,811,663, which represented 5.69% of the Fund’s net assets.

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

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
                               
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
        
                               
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
                               
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
                               
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of June 30, 2020, in valuing the Fund’s investments carried at fair value:

   
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
102,928,533
    
$
102,928,533
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
2,487,925
      
2,487,925
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
235,175
      
235,175
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
849,185
      
849,185
      
-
      
-
  
Foreign Currency Contracts
                          
Forward Foreign Currency Contracts
    
2,115,551
      
-
      
2,115,551
      
-
  
Total Assets
  
$
108,616,369
    
$
106,500,818
    
$
2,115,551
    
$
-
  
                                 
   
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
-
    
$
-
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
(2,956,465
)
    
(2,956,465
)
    
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
(137,778
)
    
(137,778
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(95,542
)
    
(95,542
)
    
-
      
-
  
Foreign Currency Contracts
                          
Forward Foreign Currency Contracts
    
(2,899,739
)
    
-
      
(2,899,739
)
    
-
  
Total Liabilities
  
$
(6,089,524
)
  
$
(3,189,785
)
  
$
(2,899,739
)
  
$
-
  

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
                               
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
                               
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                               
For the period ended June 30, 2020, the Fund had no Level 3 transfers.
            
                               
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.