NPORT-EX 2 campbellsystematic-macro.htm NPORT-EX

CAMPBELL SYSTEMATIC MACRO FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2021 (UNAUDITED)

                     
   
COUPON*
  
MATURITY
DATE
  
PAR
(000's)
    
VALUE
  
SHORT-TERM INVESTMENTS — 85.1%
                    
U.S. TREASURY BILLS OBLIGATIONS — 69.6%
                    
United States Treasury Bill
    
0.051%
07/15/21
  
$
20,000
    
$
19,999,878
  
United States Treasury Bill
    
0.020%
08/12/21
    
20,000
      
19,999,650
  
United States Treasury Bill
    
0.016%
09/02/21
    
20,000
      
19,999,618
  
United States Treasury Bill
    
0.015%
10/14/21
    
20,000
      
19,999,062
  
United States Treasury Bill
    
0.015%
11/12/21
    
18,500
      
18,498,736
  
TOTAL U.S. TREASURY OBLIGATIONS
                          
(Cost $98,494,762)
                      
98,496,944
  
               
NUMBER OF
SHARES
(000's)
          
MONEY MARKET DEPOSIT ACCOUNT — 15.5%
                          
U.S. Bank Money Market Deposit Account, 0.01%(a)
              
21,933
      
21,933,427
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT INVESTMENTS
                      
21,933,427
  
(Cost $21,993,427)
                          
                           
TOTAL SHORT-TERM INVESTMENTS
                          
(Cost $120,428,189)
                      
120,430,371
  
TOTAL INVESTMENTS —85.1%
                          
(Cost $120,428,189)
                      
120,430,371
  
                           
OTHER ASSETS IN EXCESS OF LIABILITIES — 14.9%
                      
21,081,914
  
NET ASSETS — 100.0%
                    
$
141,512,285
  


*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
(a) - The rate shown is as of May 31, 2021.
                           
The accompanying notes are an integral part of the consolidated financial statements.
  

 
CAMPBELL SYSTEMATIC MACRO FUND
  
CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
MAY 31, 2021 (UNAUDITED)
  
                     
Futures contracts outstanding as of May 31, 2021 were as follows:
  
                     
                 
VALUE AND
  
                 
UNREALIZED
  
LONG CONTRACTS
EXPIRATION
DATE
  
NUMBER OF
CONTRACTS
    
NOTIONAL
AMOUNT
    
APPRECIATION/
(DEPRECIATION)
  
90-DAY Bank Bill
Jun-22
    
27
    
$
20,806,481
    
$
(83
)
90-Day Euro
Sep-22
    
293
      
73,052,225
      
2,152
  
90-Day Sterling
Jun-22
    
2
      
353,846
      
(3
)
Amsterdam Index
Jun-21
    
41
      
7,126,652
      
28,137
  
Australian 3-Year Bond
Jun-21
    
234
      
21,154,946
      
(5,311
)
Bank Acceptance
Sep-22
    
164
      
33,655,602
      
1,671
  
Brent Crude
Sep-21
    
87
      
5,945,580
      
48,520
  
CAC40 10 Euro
Jun-21
    
60
      
4,735,013
      
13,217
  
Cattle Feeder Futures
Aug-21
    
21
      
1,589,175
      
(9,224
)
Cocoa
Jul-21
    
73
      
1,760,760
      
3,580
  
Coffee
Jul-21
    
2
      
121,763
      
8,844
  
Corn
Jul-21
    
104
      
3,415,100
      
83,364
  
DAX Index
Jun-21
    
3
      
1,418,711
      
(8,908
)
DJIA Mini E-CBOT
Jun-21
    
24
      
4,141,560
      
74,470
  
Euro Stoxx 50
Jun-21
    
106
      
5,255,792
      
6,106
  
Euro-Bobl
Jun-21
    
13
      
2,136,018
      
(394
)
Euro-Bund
Jun-21
    
179
      
37,094,849
      
48,578
  
FTSE 100 Index
Jun-21
    
14
      
1,395,430
      
(1,650
)
FTSE/JSE TOP 40
Jun-21
    
18
      
803,579
      
12,772
  
FTSE/MIB Index
Jun-21
    
8
      
1,227,647
      
37,818
  
Gold 100 Oz
Aug-21
    
35
      
6,668,550
      
86,285
  
Hang Seng Index
Jun-21
    
45
      
8,403,471
      
16,467
  
IBEX 35 Index
Jun-21
    
24
      
2,691,732
      
13,664
  
London Metals Exchange Aluminum
Jun-21
    
231
      
14,245,539
      
842,919
  
London Metals Exchange Aluminum
Sep-21
    
59
      
3,668,694
      
86,763
  
London Metals Exchange Copper
Jun-21
    
185
      
47,409,719
      
5,228,307
  
London Metals Exchange Copper
Sep-21
    
42
      
10,776,938
      
84,012
  
London Metals Exchange Nickel
Jun-21
    
156
      
16,925,688
      
1,054,488
  
London Metals Exchange Nickel
Sep-21
    
63
      
6,849,549
      
50,532
  
London Metals Exchange Zinc
Jun-21
    
289
      
21,996,874
      
1,501,703
  
London Metals Exchange Zinc
Sep-21
    
74
      
5,668,864
      
89,366
  
Long Gilt
Sep-21
    
59
      
10,654,580
      
4,862
  
Low Sulphur Gasoil G Futures
Jul-21
    
15
      
850,875
      
1,499
  
MSCI Singapore Exchange ETS
Jun-21
    
96
      
2,624,121
      
21,973
  
Nasdaq 100 E-Mini
Jun-21
    
1
      
273,730
      
(877
)
Nikkie 225 (Osaka Securities Exchange)
Jun-21
    
39
      
10,339,873
      
216,232
  
NY Harbor Ultra-Low Sulfur Diesel
Jul-21
    
40
      
3,424,344
      
8,996
  
Platinum
Jul-21
    
11
      
650,320
      
(14,197
)
Russell 2000 E-Mini
Jun-21
    
11
      
1,247,730
      
19,982
  
S&P 500 E-Mini
Jun-21
    
10
      
2,101,200
      
9,854
  
S&P Mid 400 E-Mini
Jun-21
    
11
      
2,999,370
      
16,317
  
S&P/TSX 60 Index
Jun-21
    
45
      
8,849,137
      
(2,283
)
SGX Nifty 50
Jun-21
    
37
      
1,146,445
      
18,463
  
Silver
Jul-21
    
6
      
840,420
      
3,430
  
Soybean
Jul-21
    
18
      
1,377,450
      
6,098
  
Soybean Oil
Jul-21
    
102
      
4,026,348
      
520,459
  
SPI 200 Index
Jun-21
    
51
      
7,052,263
      
116,973
  
Sugar No. 11 (World)
Jul-21
    
155
      
3,013,696
      
128,455
  
Topix Index
Jun-21
    
11
      
1,950,926
      
(14,319
)
U.S. Treasury 10-Year Notes
Sep-21
    
172
      
22,693,250
      
10,916
  
U.S. Treasury 2-Year Notes
Sep-21
    
745
      
164,447,110
      
55,235
  
U.S. Treasury 5-Year Notes
Sep-21
    
72
      
8,917,313
      
(566
)
U.S. Treasury Long Bond (Chicago Board of Trade)
Sep-21
    
13
      
2,034,906
      
(54
)
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
Sep-21
    
5
      
926,250
      
1,054
  
Wheat
Jul-21
    
18
      
597,150
      
3,173
  
WTI Crude
Jul-21
    
66
      
4,377,120
      
13,010
  
                     
$
10,542,847
  
                           
                     
VALUE AND
  
                     
UNREALIZED
  
SHORT CONTRACTS
EXPIRATION
DATE
  
NUMBER OF
CONTRACTS
    
NOTIONAL
AMOUNT
    
APPRECIATION/
(DEPRECIATION)
  
3-Month Euro Euribor
Jun-22
    
187
    
$
(57,297,312
)
  
$
(3,141
)
Australian 10-Year Bond
Jun-21
    
43
      
(4,646,562
)
    
9,974
  
Canadian 10-Year Bond
Sep-21
    
104
      
(12,418,360
)
    
7,894
  
Copper
Jul-21
    
3
      
(350,812
)
    
805
  
Cotton No.2
Jul-21
    
38
      
(1,560,280
)
    
82,660
  
Euro BUXL 30-Year Bond Futures
Jun-21
    
8
      
(1,960,685
)
    
(2,278
)
Euro-BTP
Jun-21
    
7
      
(1,257,719
)
    
(18,825
)
Euro-Oat
Jun-21
    
13
      
(2,543,120
)
    
(22,869
)
Euro-Schatz
Jun-21
    
625
      
(85,395,987
)
    
27,647
  
Gasoline RBOB
Jul-21
    
10
      
(897,498
)
    
820
  
JPN 10-Year Bond (Osaka Securities Exchange)
Jun-21
    
32
      
(44,118,541
)
    
(26,625
)
Kansas City Hard Red Winter Wheat
Jul-21
    
4
      
(122,650
)
    
539
  
Live Cattle
Aug-21
    
40
      
(1,897,600
)
    
20,112
  
London Metals Exchange Aluminum
Jun-21
    
231
      
(14,245,539
)
    
(1,032,107
)
London Metals Exchange Aluminum
Sep-21
    
85
      
(5,285,406
)
    
(15,396
)
London Metals Exchange Copper
Jun-21
    
185
      
(47,409,719
)
    
(5,050,075
)
London Metals Exchange Copper
Sep-21
    
45
      
(11,546,719
)
    
27,509
  
London Metals Exchange Nickel
Jun-21
    
156
      
(16,925,688
)
    
(491,765
)
London Metals Exchange Nickel
Sep-21
    
10
      
(1,087,230
)
    
(29,596
)
London Metals Exchange Zinc
Jun-21
    
289
      
(21,996,874
)
    
(1,409,000
)
London Metals Exchange Zinc
Sep-21
    
50
      
(3,830,312
)
    
(144,225
)
Natural Gas
Jul-21
    
35
      
(1,045,100
)
    
(15,665
)
OMX Stockholm 30 Index
Jun-21
    
16
      
(435,445
)
    
70
  
Soybean Meal
Jul-21
    
17
      
(672,350
)
    
(1,609
)
                     
$
(8,085,146
)
Total Futures Contracts
                    
$
2,457,701
  
   
The accompanying notes are an integral part of the consolidated financial statements.
  

 
CAMPBELL SYSTEMATIC MACRO FUND
  
CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
MAY 31, 2021 (UNAUDITED)
  
                         
Forward foreign currency contracts outstanding as of May 31, 2021 were as follows:
  
                         
                
UNREALIZED
  
       
EXPIRATION
    
APPRECIATION/
  
CURRENCY PURCHASED
  
CURRENCY SOLD
  
DATE
COUNTERPARTY
  
(DEPRECIATION)
  
AUD
    
168,500,000
  
USD
    
130,430,736
  
Jun 16 2021
UBS
  
$
(523,472
)
BRL
    
59,800,000
  
USD
    
10,671,295
  
Jun 16 2021
UBS
    
782,683
  
CAD
    
244,650,000
  
USD
    
196,229,710
  
Jun 16 2021
UBS
    
6,281,166
  
CHF
    
14,750,000
  
USD
    
16,242,672
  
Jun 16 2021
UBS
    
163,340
  
CLP
    
7,290,000,000
  
USD
    
10,226,106
  
Jun 16 2021
UBS
    
(165,989
)
CNH
    
18,700,000
  
USD
    
2,864,468
  
Jun 16 2021
UBS
    
72,234
  
COP
    
51,990,000,000
  
USD
    
14,072,670
  
Jun 16 2021
UBS
    
(68,648
)
CZK
    
348,400,000
  
USD
    
16,087,841
  
Jun 16 2021
UBS
    
598,238
  
EUR
    
120,000,000
  
USD
    
144,233,940
  
Jun 16 2021
UBS
    
2,153,590
  
GBP
    
136,550,000
  
USD
    
190,458,217
  
Jun 16 2021
UBS
    
3,330,894
  
HUF
    
5,523,000,000
  
USD
    
18,848,579
  
Jun 16 2021
UBS
    
487,137
  
IDR
    
127,050,000,000
  
USD
    
8,735,328
  
Jun 16 2021
UBS
    
144,452
  
INR
    
1,893,000,000
  
USD
    
25,596,671
  
Jun 16 2021
UBS
    
459,101
  
JPY
    
14,497,500,000
  
USD
    
132,632,630
  
Jun 16 2021
UBS
    
(619,957
)
KRW
    
3,600,000,000
  
USD
    
3,222,419
  
Jun 16 2021
UBS
    
5,591
  
MXN
    
888,000,000
  
USD
    
43,680,946
  
Jun 16 2021
UBS
    
802,344
  
NOK
    
227,850,000
  
USD
    
27,190,398
  
Jun 16 2021
UBS
    
55,712
  
NZD
    
170,900,000
  
USD
    
122,635,960
  
Jun 16 2021
UBS
    
1,159,104
  
PHP
    
526,500,000
  
USD
    
10,842,391
  
Jun 16 2021
UBS
    
167,376
  
PLN
    
80,250,000
  
USD
    
21,369,178
  
Jun 16 2021
UBS
    
461,046
  
RUB
    
404,000,000
  
USD
    
5,412,856
  
Jun 16 2021
UBS
    
90,706
  
SEK
    
199,350,000
  
USD
    
23,490,803
  
Jun 16 2021
UBS
    
518,899
  
SGD
    
27,132,000
  
USD
    
20,229,235
  
Jun 16 2021
UBS
    
285,497
  
TWD
    
172,800,000
  
USD
    
6,193,733
  
Jun 16 2021
UBS
    
35,810
  
USD
    
144,000,562
  
AUD
    
185,800,000
  
Jun 16 2021
UBS
    
755,639
  
USD
    
4,802,710
  
BRL
    
26,300,000
  
Jun 16 2021
UBS
    
(234,742
)
USD
    
153,429,808
  
CAD
    
190,950,000
  
Jun 16 2021
UBS
    
(4,630,490
)
USD
    
18,869,247
  
CHF
    
17,300,000
  
Jun 16 2021
UBS
    
(373,059
)
USD
    
12,566,403
  
CLP
    
9,010,000,000
  
Jun 16 2021
UBS
    
132,706
  
USD
    
5,035,826
  
CNH
    
33,000,000
  
Jun 16 2021
UBS
    
(146,589
)
USD
    
15,584,029
  
COP
    
57,510,000,000
  
Jun 16 2021
UBS
    
93,140
  
USD
    
10,283,074
  
CZK
    
222,000,000
  
Jun 16 2021
UBS
    
(349,273
)
USD
    
128,587,960
  
EUR
    
107,050,000
  
Jun 16 2021
UBS
    
(2,001,916
)
USD
    
160,218,723
  
GBP
    
115,450,000
  
Jun 16 2021
UBS
    
(3,625,677
)
USD
    
12,004,668
  
HUF
    
3,648,000,000
  
Jun 16 2021
UBS
    
(766,778
)
USD
    
4,842,977
  
IDR
    
70,700,000,000
  
Jun 16 2021
UBS
    
(98,388
)
USD
    
12,543,411
  
INR
    
945,000,000
  
Jun 16 2021
UBS
    
(463,829
)
USD
    
153,997,783
  
JPY
    
16,714,500,000
  
Jun 16 2021
UBS
    
1,797,347
  
USD
    
6,938,197
  
KRW
    
7,815,000,000
  
Jun 16 2021
UBS
    
(69,274
)
USD
    
32,185,703
  
MXN
    
656,400,000
  
Jun 16 2021
UBS
    
(695,864
)
USD
    
20,601,539
  
NOK
    
174,000,000
  
Jun 16 2021
UBS
    
(205,233
)
USD
    
144,252,036
  
NZD
    
200,750,000
  
Jun 16 2021
UBS
    
(1,165,513
)
USD
    
9,889,358
  
PHP
    
481,500,000
  
Jun 16 2021
UBS
    
(179,403
)
USD
    
12,630,756
  
PLN
    
48,075,000
  
Jun 16 2021
UBS
    
(446,976
)
USD
    
1,992,152
  
RUB
    
152,000,000
  
Jun 16 2021
UBS
    
(78,495
)
USD
    
31,883,155
  
SEK
    
269,100,000
  
Jun 16 2021
UBS
    
(527,233
)
USD
    
28,844,106
  
SGD
    
38,505,000
  
Jun 16 2021
UBS
    
(269,846
)
USD
    
19,489,888
  
TWD
    
538,650,000
  
Jun 16 2021
UBS
    
71,233
  
USD
    
20,294,145
  
ZAR
    
296,200,000
  
Jun 17 2021
UBS
    
(1,141,950
)
ZAR
    
422,600,000
  
USD
    
28,790,973
  
Jun 17 2021
UBS
    
1,792,733
  
Total Forward Foreign Currency Contracts
         
$
3,849,124
  
   
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
      
SGD
  
Singapore Dollar
          
HUF
  
Hungarian Forint
      
TWD
  
Taiwan New Dollar
          
IDR
  
Indonesian Rupiah
      
UBS
  
Union Bank of Switzerland
        
INR
  
Indian Rupee
      
USD
  
United States Dollar
        
             
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
  
MAY 31, 2021 (UNAUDITED)
  
                               
CONSOLIDATION OF SUBSIDIARY —The Adviser’s Campbell Systematic Macro Program will be achieved by the Campbell Systematic Macro  Fund ("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 $13,682,842, which represented 9.67% 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 May 31, 2021, in valuing the Fund’s investments carried at fair value:
            

 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
120,430,371
    
$
120,430,371
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
9,986,248
      
9,986,248
      
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
622,515
      
622,515
      
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
169,984
      
169,984
      
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
22,697,718
      
-
      
22,697,718
      
-
  
 
Total Assets
  
$
153,906,836
    
$
131,209,118
    
$
22,697,718
    
$
-
  
                                   
     
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Commodity Contracts
                                
 
Futures Contracts
  
$
(8,212,860)
 
$
(8,212,860)
 
$
-
    
$
-
  
 
Equity Contracts
      
     
               
 
Futures Contracts
    
(28,037)
   
(28,037)
   
-
      
-
  
 
Interest Rate Contracts
      
     
               
 
Futures Contracts
    
(80,149)
   
(80,149)
   
-
      
-
  
 
Foreign Currency Contracts
      
     
               
 
Forward Foreign Currency Contracts
    
(18,848,594)
   
-
   
(18,848,594)
   
-
  
 
Total Liabilities
  
$
(27,169,640)
 
$
(8,321,046)
 
$
(18,848,594)
 
$
-
  

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 May 31, 2021, 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.