NPORT-EX 2 multi_asset2.htm NPORT-EX

ABBEY CAPITAL MULTI ASSET FUND
 
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2020 (UNAUDITED)
 

                         
                         
   
COUPON*
      
MATURITY DATE
  
PAR (000's)
    
VALUE
  
SHORT-TERM INVESTMENTS - 73.9%
                        
U.S. TREASURY OBLIGATIONS - 73.9%
                        
U.S. Treasury Bills
    
1.538
%
    
06/04/20
  
$
87
    
$
86,999
  
U.S. Treasury Bills
    
1.559
%
    
06/11/20
    
542
      
541,985
  
U.S. Treasury Bills
    
1.538
%
    
06/18/20
    
3,991
      
3,990,783
  
U.S. Treasury Bills
    
1.554
%
    
07/02/20
    
663
      
662,926
  
U.S. Treasury Bills
    
1.531
%
    
07/09/20
    
917
      
916,882
  
U.S. Treasury Bills
    
1.549
%
    
07/16/20
    
97
      
96,985
  
U.S. Treasury Bills
    
1.538
%
    
07/23/20
    
524
      
523,907
  
U.S. Treasury Bills
    
1.538
%
    
07/30/20
    
547
      
546,886
  
U.S. Treasury Bills
    
1.542
%
    
08/06/20
    
674
      
673,833
  
U.S. Treasury Bills
    
1.533
%
    
08/13/20
    
1,827
      
1,826,542
  
U.S. Treasury Bills
    
1.528
%
    
08/20/20
    
686
      
685,790
  
U.S. Treasury Bills
    
1.199
%
    
08/27/20
    
1,281
      
1,280,582
  
U.S. Treasury Bills
    
0.429
%
    
09/03/20
    
1,015
      
1,014,619
  
U.S. Treasury Bills
    
0.240
%
    
09/10/20
    
1,632
      
1,631,302
  
U.S. Treasury Bills
    
(0.038
)%
    
09/17/20
    
1,638
      
1,637,250
  
U.S. Treasury Bills
    
(0.018
)%
    
09/24/20
    
2,422
      
2,420,781
  
U.S. Treasury Bills
    
0.119
%
    
10/01/20
    
1,100
      
1,099,422
  
U.S. Treasury Bills
    
0.200
%
    
10/08/20
    
1,241
      
1,240,322
  
U.S. Treasury Bills
    
0.132
%
    
10/15/20
    
499
      
498,717
  
U.S. Treasury Bills
    
0.112
%
    
10/22/20
    
800
      
799,500
  
U.S. Treasury Bills
    
0.086
%
    
10/29/20
    
700
      
699,526
  
U.S. Treasury Bills
    
0.112
%
    
11/12/20
    
590
      
589,580
  
U.S. Treasury Bills
    
0.132
%
    
11/19/20
    
299
      
298,759
  
U.S. Treasury Bills
    
0.147
%
    
11/27/20
    
213
      
212,831
  
                           
23,976,709
  
TOTAL SHORT-TERM INVESTMENTS
                              
(Cost $23,959,000)
                          
23,976,709
  
TOTAL INVESTMENTS - 73.9%
                              
(Cost $23,959,000)
                          
23,976,709
  
                               
OTHER ASSETS IN EXCESS OF LIABILITIES - 26.1%
                          
8,454,121
  
NET ASSETS - 100.0%
                        
$
32,430,830
  
 
                              
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
                  
                               

Futures contracts outstanding as of May 31, 2020 were as follows:
                    
                     
LONG CONTRACTS
EXPIRATION DATE
  
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
  
3-Month Euro Euribor
Dec-20
    
1
    
$
278,637
    
$
14
  
3-Month Euro Euribor
Mar-21
    
13
      
3,622,816
      
(2,609
)
90-DAY Bank Bill
Sep-20
    
6
      
3,997,631
      
1,805
  
90-DAY Bank Bill
Dec-20
    
31
      
20,652,391
      
9,434
  
90-DAY Bank Bill
Mar-21
    
4
      
2,664,825
      
591
  
90-DAY Bank Bill
Jun-21
    
2
      
1,332,347
      
804
  
90-DAY Bank Bill
Sep-21
    
2
      
1,332,281
      
771
  
90-DAY Bank Bill
Dec-21
    
1
      
666,075
      
(98
)
90-DAY Eurodollar Futures
Dec-20
    
32
      
7,975,600
      
(588
)
90-DAY Eurodollar Futures
Mar-21
    
20
      
4,989,000
      
5,750
  
90-DAY Eurodollar Futures
Jun-21
    
2
      
499,025
      
3,000
  
90-DAY Eurodollar Futures
Sep-21
    
2
      
499,025
      
2,875
  
90-DAY Eurodollar Futures
Dec-21
    
2
      
498,875
      
2,825
  
90-DAY Eurodollar Futures
Mar-22
    
16
      
3,991,200
      
7,025
  
90-DAY Eurodollar Futures
Jun-22
    
1
      
249,375
      
2,750
  
90-DAY Eurodollar Futures
Sep-22
    
1
      
249,312
      
1,100
  
90-DAY Eurodollar Futures
Dec-22
    
1
      
249,212
      
75
  
90-DAY Eurodollar Futures
Mar-23
    
14
      
3,488,100
      
2,387
  
90-DAY Sterling Futures
Dec-20
    
43
      
6,626,812
      
(147
)
90-DAY Sterling Futures
Mar-21
    
77
      
11,871,967
      
25,387
  
90-DAY Sterling Futures
Jun-21
    
9
      
1,387,771
      
4,099
  
90-DAY Sterling Futures
Sep-21
    
36
      
5,551,086
      
17,207
  
90-DAY Sterling Futures
Dec-21
    
7
      
1,079,216
      
3,481
  
90-DAY Sterling Futures
Mar-22
    
31
      
4,779,144
      
12,412
  
90-DAY Sterling Futures
Jun-22
    
7
      
1,078,999
      
2,694
  
90-DAY Sterling Futures
Sep-22
    
6
      
924,671
      
2,069
  
90-DAY Sterling Futures
Dec-22
    
6
      
924,533
      
332
  
90-DAY Sterling Futures
Mar-23
    
21
      
3,235,378
      
9,062
  
Australian 10-Year Bond Futures
Jun-20
    
3
      
202,609
      
(928
)
Australian 3-Year Bond Futures
Jun-20
    
66
      
5,152,629
      
2,676
  
Bank Acceptance Futures
Dec-20
    
4
      
722,446
      
2,542
  
Bank Acceptance Futures
Mar-21
    
4
      
722,446
      
2,315
  
Bank Acceptance Futures
Jun-21
    
4
      
722,337
      
472
  
Bank Acceptance Futures
Sep-21
    
3
      
541,644
      
2,360
  
Bank Acceptance Futures
Dec-21
    
2
      
360,969
      
(9
)
Bank Acceptance Futures
Mar-22
    
1
      
180,457
      
9
  
Brent Crude Futures
Aug-20
    
1
      
37,840
      
440
  
CAC40 10 Euro Futures
Jun-20
    
12
      
624,203
      
(3,236
)
Canadian 10-Year Bond Futures
Sep-20
    
3
      
334,764
      
261
  
CHF Currency Futures
Jun-20
    
15
      
1,950,000
      
5,756
  
DAX Index Futures
Jun-20
    
2
      
643,968
      
(93,785
)
DJIA Mini E-CBOT
Jun-20
    
1
      
126,890
      
300
  
EUR Foreign Exchange Currency Futures
Jun-20
    
4
      
555,050
      
(15,550
)
Euro STOXX 50
Jun-20
    
7
      
236,685
      
(13,099
)
Euro-BTP Futures
Jun-20
    
3
      
473,414
      
966
  
Euro-Schatz Futures
Jun-20
    
16
      
1,990,187
      
(5,833
)
JPY Currency Futures
Jun-20
    
21
      
2,435,081
      
(6,319
)
LME Aluminum Forward
Jun-20
    
113
      
4,336,375
      
(177,021
)
LME Copper Forward
Jun-20
    
22
      
2,947,313
      
19,788
  
LME Nickel Forward
Jun-20
    
6
      
441,747
      
(393
)
LME Zinc Forward
Jun-20
    
2
      
99,538
      
(354
)
Long Gilt Futures
Sep-20
    
6
      
1,018,426
      
642
  
Nasdaq 100 E-Mini
Jun-20
    
4
      
764,820
      
46,325
  
Nikkei 225 (Singapore Exchange)
Jun-20
    
8
      
808,197
      
4,451
  
S&P 500 E-Mini Futures
Jun-20
    
115
      
17,491,500
      
3,224,340
  
Silver Futures
Jul-20
    
3
      
277,485
      
9,160
  
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
Sep-20
    
2
      
278,125
      
3,555
  
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
Sep-20
    
3
      
662,531
      
305
  
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-20
    
3
      
535,125
      
3,211
  
WTI Crude Futures
Jul-20
    
2
      
70,980
      
(10,350
)
                     
$
3,117,504
  
                           

SHORT CONTRACTS
EXPIRATION DATE
  
NUMBER OF CONTRACTS
    
NOTIONAL AMOUNT
    
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
  
10-Year Mini Japanese Government Bond Futures
Jun-20
    
6
    
$
(846,715
)
  
$
1,678
  
AUD/USD Currency Futures
Jun-20
    
5
      
(333,000
)
    
(7,750
)
Brent Crude Futures
Aug-20
    
1
      
(37,840
)
    
(7,590
)
CAD Currency Futures
Jun-20
    
24
      
(1,741,440
)
    
(10,758
)
Cocoa Futures
Jul-20
    
1
      
(24,540
)
    
(2,170
)
Cocoa Futures
Sep-20
    
1
      
(24,080
)
    
(1,500
)
Coffee 'C' Futures
Sep-20
    
5
      
(184,031
)
    
12,563
  
Copper Futures
Jul-20
    
5
      
(303,187
)
    
(13,175
)
Corn Futures
Jul-20
    
16
      
(260,600
)
    
6,088
  
Corn Futures
Dec-20
    
22
      
(372,625
)
    
12,975
  
Cotton No.2 Futures
Dec-20
    
7
      
(201,180
)
    
2,375
  
Emissions ICE
Dec-20
    
1
      
(23,755
)
    
(2,131
)
Euro/JPY Futures
Jun-20
    
4
      
(554,824
)
    
(10,918
)
Euro-Bobl Futures
Jun-20
    
2
      
(300,047
)
    
(821
)
Euro-Bund Futures
Jun-20
    
5
      
(957,196
)
    
(7,315
)
Euro-Oat Futures
Jun-20
    
1
      
(186,977
)
    
(2,253
)
FTSE 100 Index Futures
Jun-20
    
7
      
(523,928
)
    
(17,432
)
FTSE/JSE TOP 40
Jun-20
    
1
      
(26,566
)
    
(6,415
)
Gasoline RBOB Futures
Jul-20
    
1
      
(45,297
)
    
(19,656
)
Gasoline RBOB Futures
Aug-20
    
1
      
(45,818
)
    
(2,184
)
GBP Currency Futures
Jun-20
    
8
      
(616,300
)
    
(8,838
)
Gold 100 Oz Futures
Aug-20
    
1
      
(175,170
)
    
5,990
  
Hang Seng China Enterprises Index Futures
Jun-20
    
1
      
(61,253
)
    
(168
)
Hang Seng Index Futures
Jun-20
    
7
      
(1,028,078
)
    
17,300
  
Kansas City Hard Red Winter Wheat Futures
Jul-20
    
1
      
(23,525
)
    
(825
)
Lean Hogs Futures
Jul-20
    
1
      
(22,810
)
    
9,170
  
Lean Hogs Futures
Aug-20
    
6
      
(136,140
)
    
5,050
  
Live Cattle Futures
Aug-20
    
1
      
(39,840
)
    
3,960
  
Live Cattle Futures
Oct-20
    
4
      
(162,280
)
    
3,390
  
Live Cattle Futures
Dec-20
    
1
      
(41,880
)
    
(440
)
LME Aluminum Forward
Jun-20
    
113
      
(4,336,375
)
    
277,625
  
LME Aluminum Forward
Sep-20
    
23
      
(893,406
)
    
(34,984
)
LME Copper Forward
Jun-20
    
22
      
(2,947,313
)
    
86,498
  
LME Copper Forward
Sep-20
    
4
      
(538,175
)
    
(21,206
)
LME Nickel Forward
Jun-20
    
6
      
(441,747
)
    
31,248
  
LME Nickel Forward
Sep-20
    
4
      
(296,136
)
    
(3,447
)
LME Zinc Forward
Jun-20
    
2
      
(99,538
)
    
7,616
  
LME Zinc Forward
Sep-20
    
1
      
(49,731
)
    
(229
)
Low Sulphur Gasoil G Futures
Jul-20
    
1
      
(29,475
)
    
2,925
  
Low Sulphur Gasoil G Futures
Aug-20
    
1
      
(30,350
)
    
(2,750
)
MSCI EAFE Index Futures
Jun-20
    
1
      
(86,280
)
    
(4,930
)
MSCI Emerging Markets Index Futures
Jun-20
    
2
      
(93,290
)
    
(8,245
)
MXN Currency Futures
Jun-20
    
1
      
(22,480
)
    
(2,170
)
Natural Gas Futures
Jul-20
    
15
      
(277,350
)
    
15,130
  
Natural Gas Futures
Aug-20
    
10
      
(194,000
)
    
4,210
  
NY Harbor Ultra-Low Sulfur Diesel Futures
Jul-20
    
7
      
(304,760
)
    
(2,667
)
NZD Currency Futures
Jun-20
    
7
      
(433,790
)
    
(8,310
)
OMX Stockholm 30 Index Futures
Jun-20
    
3
      
(51,833
)
    
(2,109
)
Short BTP Future
Jun-20
    
1
      
(124,281
)
    
(566
)
Soybean Futures
Jul-20
    
12
      
(504,450
)
    
2,100
  
Soybean Futures
Nov-20
    
7
      
(298,113
)
    
(2,363
)
Soybean Meal Futures
Jul-20
    
3
      
(84,960
)
    
2,010
  
SPI 200 Futures
Jun-20
    
1
      
(95,800
)
    
(8,632
)
Sugar No. 11 (World)
Jul-20
    
19
      
(232,165
)
    
(6,518
)
Sugar No. 11 (World)
Oct-20
    
17
      
(208,869
)
    
(8,120
)
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
Sep-20
    
3
      
(376,875
)
    
352
  
Wheat (Chicago Board of Trade)
Jul-20
    
20
      
(520,750
)
    
(5,863
)
Wheat (Chicago Board of Trade)
Dec-20
    
4
      
(106,450
)
    
(3,988
)
WTI Crude Futures
Sep-20
    
3
      
(108,600
)
    
(6,220
)
                     
$
254,597
  
Total Futures Contracts
                    
$
3,372,101
  
                           

Forward foreign currency contracts outstanding as of May 31, 2020 were as follows:
  
                         
CURRENCY PURCHASED
  
CURRENCY SOLD
  
EXPIRATION DATE
COUNTERPARTY
  
UNREALIZED APPRECIATION/ (DEPRECIATION)
  
AUD
    
25,476
  
USD
    
16,962
  
Jun 01 2020
 SOCIETE GENERALE
  
$
19
  
AUD
    
25,476
  
USD
    
16,949
  
Jun 02 2020
 SOCIETE GENERALE
    
32
  
BRL
    
738,241
  
USD
    
150,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(11,802
)
CHF
    
372,831
  
USD
    
384,957
  
Jun 02 2020
 SOCIETE GENERALE
    
2,721
  
CHF
    
372,831
  
USD
    
386,684
  
Jun 03 2020
 SOCIETE GENERALE
    
1,003
  
CNH
    
708,669
  
USD
    
100,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(846
)
COP
    
201,998,575
  
USD
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
4,057
  
CZK
    
1,286,904
  
EUR
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(2,433
)
EUR
    
100,000
  
CZK
    
2,762,684
  
Jun 17 2020
 SOCIETE GENERALE
    
(2,926
)
EUR
    
100,000
  
HUF
    
33,604,666
  
Jun 17 2020
 SOCIETE GENERALE
    
3,593
  
EUR
    
821,782
  
JPY
    
98,003,780
  
Jun 02 2020
 SOCIETE GENERALE
    
3,505
  
EUR
    
150,000
  
NOK
    
1,694,702
  
Jun 17 2020
 SOCIETE GENERALE
    
(7,795
)
EUR
    
150,000
  
PLN
    
675,663
  
Jun 17 2020
 SOCIETE GENERALE
    
(1,868
)
EUR
    
200,000
  
SEK
    
2,209,131
  
Jun 17 2020
 SOCIETE GENERALE
    
(12,399
)
EUR
    
168,694
  
USD
    
187,014
  
Jun 01 2020
 SOCIETE GENERALE
    
255
  
EUR
    
653,088
  
USD
    
724,616
  
Jun 03 2020
 SOCIETE GENERALE
    
411
  
GBP
    
105,277
  
USD
    
129,838
  
Jun 01 2020
 SOCIETE GENERALE
    
179
  
GBP
    
105,277
  
USD
    
129,743
  
Jun 02 2020
 SOCIETE GENERALE
    
275
  
HUF
    
34,945,314
  
EUR
    
100,000
  
Jun 17 2020
 SOCIETE GENERALE
    
694
  
INR
    
3,810,082
  
USD
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
295
  
JPY
    
34,545,490
  
USD
    
320,827
  
Jun 01 2020
 SOCIETE GENERALE
    
(492
)
JPY
    
98,003,780
  
USD
    
909,616
  
Jun 02 2020
 SOCIETE GENERALE
    
(835
)
KRW
    
62,493,630
  
USD
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
458
  
NOK
    
610,717
  
EUR
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
7,312
  
PHP
    
10,221,048
  
USD
    
200,000
  
Jun 17 2020
 SOCIETE GENERALE
    
1,815
  
PLN
    
442,314
  
EUR
    
100,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(781
)
SEK
    
2,133,593
  
EUR
    
200,000
  
Jun 17 2020
 SOCIETE GENERALE
    
4,381
  
THB
    
3,225,561
  
USD
    
100,000
  
Jun 17 2020
 SOCIETE GENERALE
    
1,393
  
TRY
    
1,404,148
  
USD
    
200,000
  
Jun 17 2020
 SOCIETE GENERALE
    
4,683
  
TWD
    
1,483,500
  
USD
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(581
)
USD
    
16,827
  
AUD
    
25,476
  
Jun 01 2020
 SOCIETE GENERALE
    
(154
)
USD
    
16,962
  
AUD
    
25,476
  
Jun 02 2020
 SOCIETE GENERALE
    
(19
)
USD
    
16,949
  
AUD
    
25,476
  
Jun 03 2020
 SOCIETE GENERALE
    
(32
)
USD
    
200,000
  
BRL
    
959,256
  
Jun 17 2020
 SOCIETE GENERALE
    
20,428
  
USD
    
386,674
  
CHF
    
372,831
  
Jun 02 2020
 SOCIETE GENERALE
    
(1,004
)
USD
    
50,000
  
CLP
    
41,812,825
  
Jun 17 2020
 SOCIETE GENERALE
    
(2,238
)
USD
    
150,000
  
CNH
    
1,066,369
  
Jun 17 2020
 SOCIETE GENERALE
    
798
  
USD
    
100,000
  
COP
    
395,521,850
  
Jun 17 2020
 SOCIETE GENERALE
    
(5,846
)
USD
    
185,371
  
EUR
    
168,694
  
Jun 01 2020
 SOCIETE GENERALE
    
(1,899
)
USD
    
911,618
  
EUR
    
821,782
  
Jun 02 2020
 SOCIETE GENERALE
    
(668
)
USD
    
128,933
  
GBP
    
105,277
  
Jun 01 2020
 SOCIETE GENERALE
    
(1,084
)
USD
    
129,838
  
GBP
    
105,277
  
Jun 02 2020
 SOCIETE GENERALE
    
(180
)
USD
    
129,743
  
GBP
    
105,277
  
Jun 03 2020
 SOCIETE GENERALE
    
(275
)
USD
    
100,000
  
ILS
    
357,323
  
Jun 17 2020
 SOCIETE GENERALE
    
(1,785
)
USD
    
100,000
  
INR
    
7,664,260
  
Jun 17 2020
 SOCIETE GENERALE
    
(1,172
)
USD
    
320,727
  
JPY
    
34,545,490
  
Jun 01 2020
 SOCIETE GENERALE
    
392
  
USD
    
588,891
  
JPY
    
63,458,290
  
Jun 03 2020
 SOCIETE GENERALE
    
442
  
USD
    
150,000
  
KRW
    
180,670,151
  
Jun 17 2020
 SOCIETE GENERALE
    
4,125
  
USD
    
150,000
  
PHP
    
7,797,439
  
Jun 17 2020
 SOCIETE GENERALE
    
(3,961
)
USD
    
50,000
  
RUB
    
3,940,805
  
Jun 17 2020
 SOCIETE GENERALE
    
(5,869
)
USD
    
100,000
  
SGD
    
138,571
  
Jun 17 2020
 SOCIETE GENERALE
    
1,913
  
USD
    
150,000
  
THB
    
4,760,808
  
Jun 17 2020
 SOCIETE GENERALE
    
348
  
USD
    
200,000
  
TRY
    
1,384,871
  
Jun 17 2020
 SOCIETE GENERALE
    
(1,873
)
USD
    
50,000
  
TWD
    
1,489,808
  
Jun 17 2020
 SOCIETE GENERALE
    
371
  
USD
    
100,000
  
ZAR
    
1,660,448
  
Jun 17 2020
 SOCIETE GENERALE
    
5,587
  
ZAR
    
836,090
  
USD
    
50,000
  
Jun 17 2020
 SOCIETE GENERALE
    
(2,460
)
Total Forward Foreign Currency Contracts
    
$
(1,792
)
                               

AUD
Australian Dollar
  
LME
London Mercantile Exchange
  
BRL
Brazilian Real
  
MIB
Milano Indice di Borsa
    
CAD
Canadian Dollar
  
MXN
Mexican Peso
    
CHF
Swiss Franc
  
NOK
Norwegian Krone
    
CLP
Chilean Peso
  
NZD
New Zealand Dollar
    
CNH
Chinese Yuan Renminbi
OMX
Stockholm Stock Exchange
  
COP
Colombian Peso
  
PHP
Philippine Peso
    
CZK
Czech Koruna
  
PLN
Polish Zloty
    
DAX
Deutscher Aktienindex
RBOB
Reformulated Blendstock for Oxygenate Blending
  
DJIA
Dow Jones Industrial Average
RUB
Russian Ruble
    
EUR
Euro
  
SEK
Swedish Krona
    
FTSE
Financial Times Stock Exchange
SGD
Singapore Dollar
    
GBP
British Pound
  
THB
Thai Baht
    
HUF
Hungarian Forint
  
TRY
Turkish Lira
    
ILS
Israeli New Shekel
  
TWD
Taiwan Dollar
    
INR
Indian Rupee
  
USD
United States Dollar
    
JPY
Japanese Yen
  
WTI
West Texas Intermediate
    
KRW
Korean Won
  
ZAR
South African Rand
    
             
             
             
             
             
             
             
             
 
The accompanying notes are an integral part of the consolidated portfolio of investments.

 
ABBEY CAPITAL MULTI ASSET FUND
 
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2020 (UNAUDITED)
           

   CONSOLIDATION OF SUBSIDIARIES –  The Abbey Capital Mulit-Asset Fund (the "ACMAF" or "Fund") seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy, a "Long U.S. Equity" strategy and a “Fixed Income” strategy. The Managed Futures strategy will be achieved by the ACMAF investing up to 25% of its total assets in Abbey Capital Multi Asset Offshore Fund Limited (the "Subsidiary"), a wholly-owned and controlled subsidiary of the ACMAF organized under the laws of the Cayman Islands. The consolidated financial statements of the ACMAF include the financial statements of the Subsidiary. The ACMAF consolidates the results of subsidiaries in which the ACMAF holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2020, the net assets of the Subsidiary were $6,791,964, which represented 20.94% of the ACMAF'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 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 ordealers 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 May 31, 2020, in valuing the Fund's investments carried at fair value:
    
                 

ASSETS
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Short-Term Investments
  
$
23,976,709
    
$
23,976,709
    
$
-
    
$
-
  
Commodity Contracts
                                
Futures Contracts
    
520,311
      
520,311
      
-
      
-
  
Equity Contracts
                                
Futures Contracts
    
3,292,716
      
3,292,716
      
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
71,485
      
-
      
71,485
      
-
  
Futures Contracts
    
5,756
      
5,756
      
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
139,293
      
139,293
      
-
      
-
  
Total Assets
  
$
28,006,270
    
$
27,934,785
    
$
71,485
    
$
-
  
                                 
                                 
LIABILITIES
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
Commodity Contracts
                                
Futures Contracts
  
$
(336,144
)
  
$
(336,144
)
  
$
-
    
$
-
  
Equity Contracts
                                
Futures Contracts
    
(158,051
)
    
(158,051
)
    
-
      
-
  
Foreign Currency Contracts
                                
Forward Foreign Currency Contracts
    
(73,277
)
    
-
      
(73,277
)
    
-
  
Futures Contracts
    
(70,613
)
    
(70,613
)
    
-
      
-
  
Interest Rate Contracts
                                
Futures Contracts
    
(21,167
)
    
(21,167
)
    
-
      
-
  
Total Liabilities
  
$
(659,252
)
  
$
(585,975
)
  
$
(73,277
)
  
$
-
  

   At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
  
                 
   Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
  
                 
   For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets.  The amounts and reasons for all 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 May 31, 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.