NPORT-EX 2 advantage.htm NPORT-EX

CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)

 
COUPON*
  
MATURITY DATE
    
PAR
    
VALUE
SHORT-TERM INVESTMENTS — 43.7%
                  
U.S. TREASURY OBLIGATIONS — 43.7%
                  
United States Treasury Bill
0.063%
  
02/11/21
   $
              920,000
   $
              919,867
United States Treasury Bill
0.091%
  
03/11/21
    
550,000
    
549,882
United States Treasury Bill
0.050%
  
04/01/21
    
1,100,000
    
1,099,676
United States Treasury Bill
0.081%
  
04/15/21
    
500,000
    
499,850
TOTAL U.S. TREASURY OBLIGATIONS
                  
(Cost $3,069,413)
                
3,069,275
                     
MONEY MARKETS DEPOSIT ACCOUNT — 10.3%
                  
U.S. Bank Money Market Deposit Account
0.030%
  
08/01/31
    
722,993
    
722,993
                     
TOTAL MONEY MARKETS DEPOSIT ACCOUNT
                  
(Cost $722,993)
                
               722,993
                     
TOTAL SHORT-TERM INVESTMENTS — 54.0%
                  
(Cost $3,792,406)
                
            3,792,268
                     
OTHER ASSETS IN EXCESS OF LIABILITIES — 46.0%
                
3,226,148
NET ASSETS — 100.0%
               $
          7,018,416
 

*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
        
                 
The accompanying notes are an integral part of the consolidated financial statements.

 
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)

Futures contracts outstanding as of November 30, 2020 were as follows:
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
LONG CONTRACTS
 
DATE
 
CONTRACTS
 
  
COST
 
  
(DEPRECIATION)
3-Month Euro Euribor
  
Jun-21
  
199
   $
                59,664,631
   $
               (8,039)
90-DAY Bank Bill
  
Dec-21
  
49
    
                  35,961,148
    
                   3,143
90-Day Euro
  
Mar-22
  
230
    
                  57,364,875
    
                 28,476
90-Day Sterling
  
Jun-21
  
261
    
                  43,489,851
    
                 (8,099)
Australian 10-Year Bond
  
Dec-20
  
7
    
                       764,214
    
                 (4,600)
Australian 3-Year Bond
  
Dec-20
  
248
    
                  21,378,867
    
                   4,926
Canadian 10-Year Bond
  
Mar-21
  
11
    
                    1,260,676
    
                   1,194
Cocoa
  
Mar-21
  
9
    
                       246,510
    
                   2,043
Corn
  
Mar-21
  
25
    
                       532,500
    
                   9,091
Cotton No.2
  
Mar-21
  
17
    
                       613,275
    
                 11,704
Euro BUXL 30-Year Bond Futures
  
Dec-20
  
3
    
                       810,612
    
                 (5,968)
Euro-Bobl
  
Dec-20
  
23
    
                    3,714,766
    
               (10,501)
Euro-BTP
  
Dec-20
  
18
    
                    3,245,595
    
                 32,495
Euro-Bund
  
Dec-20
  
10
    
                    2,090,466
    
                 (8,207)
Euro-Oat
  
Dec-20
  
18
    
                    3,646,034
    
                 (5,998)
Euro-Schatz
  
Dec-20
  
15
    
                    2,009,799
    
                    (472)
Gold 100 Oz
  
Feb-21
  
1
    
                       178,090
    
                 (5,422)
London Metals Exchange Aluminum
  
Dec-20
  
25
    
                    1,276,406
    
               133,930
London Metals Exchange Aluminum
  
Mar-21
  
22
    
                    1,125,300
    
                 69,657
London Metals Exchange Copper
  
Dec-20
  
8
    
                    1,514,750
    
               188,469
London Metals Exchange Copper
  
Mar-21
  
5
    
                       948,000
    
                 81,800
London Metals Exchange Nickel
  
Dec-20
  
10
    
                       959,580
    
                 49,315
London Metals Exchange Nickel
  
Mar-21
  
7
    
                       673,680
    
                   5,984
London Metals Exchange Zinc
  
Dec-20
  
23
    
                    1,597,178
    
               161,065
London Metals Exchange Zinc
  
Mar-21
  
15
    
                    1,047,825
    
                 53,287
Long Gilt
  
Mar-21
  
4
    
                       715,585
    
                      622
Nikkie 225 (Osaka Securities Exchange)
  
Dec-20
  
1
    
                       126,796
    
                   5,411
Palladium
  
Mar-21
  
1
    
                       240,590
    
                   5,117
Platinum
  
Jan-21
  
2
    
                         96,590
    
                   2,585
Silver
  
Mar-21
  
1
    
                       112,965
    
                 (5,487)
Soybean
  
Jan-21
  
22
    
                    1,285,350
    
                 96,212
SPI 200 Index
  
Dec-20
  
1
    
                       119,815
    
                 (3,011)
Sugar No. 11 (World)
  
Mar-21
  
18
    
                       292,522
    
                    (178)
U.S. Treasury 10-Year Notes
  
Mar-21
  
16
    
                    2,210,750
    
                   1,192
U.S. Treasury 2-Year Notes
  
Mar-21
  
143
    
                  31,581,773
    
                   9,493
U.S. Treasury 5-Year Notes
  
Mar-21
  
45
    
                    5,671,406
    
                   6,867
U.S. Treasury Long Bond (Chicago Board of Trade)
  
Mar-21
  
2
    
                       349,813
    
                    (972)
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
  
Mar-21
  
1
    
                       216,031
    
                 (1,681)
Wheat
  
Mar-21
  
11
    
                       321,750
    
               (15,694)
                  $
             879,749
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
SHORT CONTRACTS
 
DATE
 
CONTRACTS
 
  
AMOUNT
 
  
(DEPRECIATION)
10 Year Mini Japanese Government Bond
  
Dec-20
  
2
   $
                  (291,188)
   $
                    (60)
Amsterdam Index
  
Dec-20
  
2
    
                     (288,998)
    
                 (2,039)
Brent Crude
  
Mar-21
  
1
    
                       (47,950)
    
                 (1,542)
CAC40 10 Euro
  
Dec-20
  
3
    
                     (197,142)
    
                    (720)
Cattle Feeder Futures
  
Jan-21
  
1
    
                       (70,525)
    
                 (6,090)
DJIA Mini E-CBOT
  
Dec-20
  
2
    
                     (296,290)
    
                 (2,574)
Euro Stoxx 50
  
Dec-20
  
4
    
                     (167,237)
    
                 (1,771)
FTSE/JSE TOP 40
  
Dec-20
  
1
    
                       (33,866)
    
                      (43)
FTSE/MIB Index
  
Dec-20
  
1
    
                     (131,541)
    
                    (420)
Live Cattle
  
Feb-21
  
5
    
                     (225,750)
    
                   2,715
London Metals Exchange Aluminum
  
Mar-21
  
1
    
                       (51,150)
    
                 (1,236)
London Metals Exchange Aluminum
  
Dec-20
  
25
    
                  (1,276,406)
    
             (121,467)
London Metals Exchange Copper
  
Dec-20
  
8
    
                  (1,514,750)
    
             (171,663)
London Metals Exchange Nickel
  
Mar-21
  
1
    
                       (96,240)
    
                 (2,049)
London Metals Exchange Nickel
  
Dec-20
  
10
    
                     (959,580)
    
               (50,470)
London Metals Exchange Zinc
  
Mar-21
  
2
    
                     (139,710)
    
                 (2,669)
London Metals Exchange Zinc
  
Dec-20
  
23
    
                  (1,597,178)
    
             (154,606)
Low Sulphur Gasoil G Futures
  
Jan-21
  
4
    
                     (156,000)
    
                 (7,507)
Nasdaq 100 E-Mini
  
Dec-20
  
2
    
                     (491,080)
    
               (10,969)
Natural Gas
  
Jan-21
  
6
    
                     (172,920)
    
                 10,015
OMX Stockholm 30 Index
  
Dec-20
  
14
    
                     (312,217)
    
                      690
Russell 2000 E-Mini
  
Dec-20
  
3
    
                     (273,015)
    
               (13,066)
S&P 500 E-Mini
  
Dec-20
  
3
    
                     (543,480)
    
                 (5,524)
S&P Mid 400 E-Mini
  
Dec-20
  
2
    
                     (433,680)
    
                 (5,254)
S&P/TSX 60 Index
  
Dec-20
  
2
    
                     (314,776)
    
                 (2,283)
WTI Crude
  
Jan-21
  
1
    
                       (45,340)
    
                 (4,062)
Total Futures Contracts
                 $
            (554,664)
                  $
             325,085
 

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

 
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)
               
Forward foreign currency contracts outstanding as of November 30, 2020 were as follows:

             
UNREALIZED
     
EXPIRATION
      
APPRECIATION/
CURRENCY PURCHASED
  
CURRENCY SOLD
DATE
COUNTERPARTY
    
(DEPRECIATION)
AUD
7,300,000
  
USD
5,330,106    
Dec 16 2020
NatWest
 $
 
                               29,463
CAD
6,900,000
  
USD
5,269,676    
Dec 16 2020
NatWest
    
                                 43,959
CHF
1,000,000
  
USD
1,100,897    
Dec 16 2020
NatWest
    
                                      261
EUR
6,200,000
  
USD
7,351,703    
Dec 16 2020
NatWest
    
                                 48,011
GBP
2,800,000
  
USD
3,702,119    
Dec 16 2020
NatWest
    
                                 31,689
JPY
489,000,000
  
USD
4,658,628    
Dec 16 2020
NatWest
    
                                 27,003
NOK
24,900,000
  
USD
2,773,754    
Dec 16 2020
NatWest
    
                                 25,561
NZD
6,300,000
  
USD
4,268,188    
Dec 16 2020
NatWest
    
                               149,543
SEK
47,700,000
  
USD
5,485,264    
Dec 16 2020
NatWest
    
                                 78,379
USD
2,841,790
  
AUD
4,000,000    
Dec 16 2020
NatWest
    
                               (94,960)
USD
2,817,730
  
CAD
3,750,000    
Dec 16 2020
NatWest
    
                               (70,115)
USD
382,445
  
CHF
350,000    
Dec 16 2020
NatWest
    
                                 (2,961)
USD
3,639,743
  
EUR
3,100,000    
Dec 16 2020
NatWest
    
                               (60,114)
USD
1,741,786
  
GBP
1,350,000    
Dec 16 2020
NatWest
    
                               (58,443)
USD
3,032,609
  
JPY
319,500,000    
Dec 16 2020
NatWest
    
                               (28,861)
USD
1,880,025
  
NOK
17,700,000    
Dec 16 2020
NatWest
    
                             (109,849)
USD
1,548,475
  
NZD
2,350,000    
Dec 16 2020
NatWest
    
                               (99,409)
USD
2,695,773
  
SEK
24,150,000    
Dec 16 2020
NatWest
  
                             (121,040)
                $
 (211,883)
Total Forward Foreign Currency Contracts                  


AUD
Australian Dollar
JPY
Japanese Yen
      
CAD
Canadian Dollar
NatWest
National Westminster Bank
    
CHF
Swiss Franc
NOK
Norwegian Krone
      
EUR
Euro
NZD
New Zealand Dollar
      
GBP
British Pound
SEK
Swedish Krona
      
   
USD
United States Dollar
    
             
The accompanying notes are an integral part of the consolidated financial statements.


CAMPBELL ADVANTAGE FUND
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2020 (UNAUDITED)

CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Advantage Program will be achieved by the Fund investing up to 25% of its total assets in the Campbell Advantage Offshore Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Campbell Advantage Fund ("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 $962,519, which represented 13.71% 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 November 30, 2020, in valuing the Fund’s investments carried at fair value:

     
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
722,993
    
$
722,993
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
882,989
      
882,989
      
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
6,101
      
6,101
      
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
88,408
      
88,408
      
-
      
-
  
 
Foreign Currency Contracts
                          
 
Forward Foreign Currency Contracts
    
433,869
      
-
      
433,869
      
-
  
 
Total Assets
  
$
2,134,360
    
$
1,700,491
    
$
433,869
    
$
-
  
                                   
     
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
-
    
$
-
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
(550,142
)
    
(550,142
)
    
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
(47,674
)
    
(47,674
)
    
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
(54,597
)
    
(54,597
)
    
-
      
-
  
 
Foreign Currency Contracts
                          
 
Forward Foreign Currency Contracts
    
(645,752
)
    
-
      
(645,752
)
    
-
  
 
Total Liabilities
  
$
(1,298,165
)
  
$
(652,413
)
  
$
(645,752
)
  
$
-
  

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 November 30, 2020, the Fund had no Level 3 transfers.
          
                               
For more information with regard to significant accounting policies, see the most recent annual report or prospectus filed with the Securities and Exchange Commission.