NPORT-EX 2 advantage.htm NPORT-EX

CAMPBELL ADVANTAGE FUND
  
CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2021 (UNAUDITED)
  
                     
   
COUPON*
  
MATURITY DATE
  
PAR
(000's)
    
VALUE
  
SHORT-TERM INVESTMENTS — 73.0%
                    
U.S. TREASURY OBLIGATIONS — 73.0%
                    
United States Treasury Bill
    
0.020%
12/16/21
  
$
950
    
$
949,974
  
United States Treasury Bill
    
0.022%
02/10/22
    
820
      
819,929
  
United States Treasury Bill
    
0.020%
03/17/22
    
900
      
899,870
  
United States Treasury Bill
    
0.028%
04/14/22
    
1,450
      
1,449,663
  
United States Treasury Bill
    
0.051%
05/12/22
    
1,100
      
1,099,592
  
TOTAL U.S. TREASURY OBLIGATIONS
                          
(Cost $5,219,509)
                      
5,219,028
  
                           
MONEY MARKET DEPOSIT ACCOUNT — 3.4%
             
NUMBER OF
SHARES
(000's)
          
U.S. Bank Money Market Deposit Account, 0.01%(a)
              
246
      
246,022
  
TOTAL MONEY MARKET DEPOSIT ACCOUNT
                      
246,022
  
(Cost $246,022)
                          
                           
TOTAL SHORT-TERM INVESTMENTS
                          
(Cost $5,465,531)
                      
5,465,050
  
TOTAL INVESTMENTS — 76.4%
                          
(Cost $5,465,531)
                      
5,465,050
  
                           
OTHER ASSETS IN EXCESS OF LIABILITIES — 23.6%
                      
1,691,546
  
NET ASSETS — 100.0%
                    
$
7,156,596
  
   

*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
        
(a) The rate shown is as of November 30, 2021.
              
                 
The accompanying notes are an integral part of the consolidated portfolio of investments.

 
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2021 (UNAUDITED)
Futures contracts outstanding as of November 30, 2021 were as follows:
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
LONG CONTRACTS
 
DATE
 
CONTRACTS
 
  
AMOUNT
 
  
(DEPRECIATION)
10 Year Mini Japanese Government Bond
  
Dec-21
  
4
   $
                    537,922
   $
                    828
Brent Crude
  
Mar-22
  
3
    
                       206,640
    
               (16,915)
Cattle Feeder Futures
  
Jan-22
  
1
    
                         82,425
    
                      510
Coffee
  
Mar-22
  
5
    
                       435,563
    
                 39,847
Corn
  
Mar-22
  
11
    
                       312,125
    
                      781
Cotton No.2
  
Mar-22
  
12
    
                       638,460
    
               (38,961)
Euro BUXL 30-Year Bond Futures
  
Dec-21
  
1
    
                       247,369
    
                   7,756
Euro Stoxx 50
  
Dec-21
  
1
    
                         46,237
    
                 (2,786)
Euro-Bund
  
Dec-21
  
1
    
                       195,484
    
                    (251)
Euro-Schatz
  
Dec-21
  
42
    
                    5,354,790
    
                   1,232
FTSE 100 Index
  
Dec-21
  
1
    
                         94,154
    
                    (852)
FTSE Taiwan Index
  
Dec-21
  
7
    
                       423,080
    
               (10,130)
FTSE/JSE TOP 40
  
Dec-21
  
4
    
                       161,117
    
                    (379)
FTSE/MIB Index
  
Dec-21
  
1
    
                       146,310
    
                 (9,744)
Gasoline RBOB
  
Jan-22
  
2
    
                       162,968
    
               (27,821)
Live Cattle
  
Feb-22
  
3
    
                       165,480
    
                 (2,879)
London Metals Exchange Aluminum
  
Dec-21
  
23
    
                    1,518,287
    
                 10,239
London Metals Exchange Aluminum
  
Mar-22
  
2
    
                       131,325
    
                   1,884
London Metals Exchange Copper
  
Dec-21
  
3
    
                       714,187
    
                 (5,765)
London Metals Exchange Copper
  
Mar-22
  
1
    
                       235,937
    
                 (3,703)
London Metals Exchange Nickel
  
Dec-21
  
7
    
                       840,294
    
                 32,407
London Metals Exchange Nickel
  
Mar-22
  
3
    
                       357,966
    
                   1,001
London Metals Exchange Zinc
  
Dec-21
  
13
    
                    1,046,094
    
                 64,168
London Metals Exchange Zinc
  
Mar-22
  
2
    
                       159,900
    
                 (4,606)
Low Sulphur Gasoil G Futures
  
Jan-22
  
3
    
                       179,325
    
               (36,905)
MSCI Singapore Exchange ETS
  
Dec-21
  
6
    
                       151,347
    
                 (8,633)
Natural Gas
  
Jan-22
  
1
    
                         45,670
    
                 (4,982)
Nikkie 225 (Osaka Securities Exchange)
  
Dec-21
  
1
    
                       121,975
    
               (12,032)
OMX Stockholm 30 Index
  
Dec-21
  
3
    
                         74,638
    
                 (3,548)
S&P/TSX 60 Index
  
Dec-21
  
1
    
                       195,076
    
                 (6,938)
SGX Nifty 50
  
Dec-21
  
7
    
                       238,889
    
                 (5,827)
SPI 200 Index
  
Dec-21
  
2
    
                       257,731
    
                 (7,203)
Sugar No. 11 (World)
  
Mar-22
  
10
    
                       208,320
    
               (13,425)
Topix Index
  
Dec-21
  
1
    
                       167,736
    
               (12,436)
Wheat
  
Mar-22
  
9
    
                       354,262
    
                 (2,701)
WTI Crude
  
Jan-22
  
2
    
                       132,360
    
               (24,905)
                  $
            (103,674)
                     
                   
VALUE AND
                   
UNREALIZED
   
EXPIRATION
  
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
SHORT CONTRACTS
 
DATE
 
CONTRACTS
 
  
AMOUNT
 
  
(DEPRECIATION)
3-Month Euro Euribor
  
Dec-22
  
30
   $
           (8,538,037)
   $
          (5,454)
90-DAY Bank Bill
  
Dec-22
  
24
    
                (17,064,672)
    
                 10,958
90-Day Euro
  
Mar-23
  
50
    
                (12,359,375)
    
               (13,546)
Australian 3-Year Bond
  
Dec-21
  
43
    
                  (3,512,686)
    
                   9,344
Australian 10-Year Bond
  
Dec-21
  
7
    
                     (695,550)
    
                 (6,824)
Canadian 10-Year Bond
  
Mar-22
  
7
    
                     (773,510)
    
               (12,015)
Cocoa
  
Mar-22
  
4
    
                       (93,840)
    
                   1,478
Euro-BTP
  
Dec-21
  
1
    
                     (171,929)
    
                    (194)
Hang Seng Index
  
Dec-21
  
3
    
                     (451,558)
    
                 14,315
London Metals Exchange Aluminum
  
Dec-21
  
23
    
                  (1,518,288)
    
               127,186
London Metals Exchange Copper
  
Dec-21
  
3
    
                     (714,188)
    
               (12,275)
London Metals Exchange Nickel
  
Mar-22
  
1
    
                     (119,322)
    
                 (4,215)
London Metals Exchange Nickel
  
Dec-21
  
7
    
                     (840,294)
    
               (45,197)
London Metals Exchange Zinc
  
Dec-21
  
13
    
                  (1,046,094)
    
               (27,847)
Long Gilt
  
Mar-22
  
2
    
                     (335,891)
    
                 (3,819)
Palladium
  
Mar-22
  
1
    
                     (170,550)
    
                 37,607
Platinum
  
Jan-22
  
2
    
                       (92,730)
    
                   3,070
Silver
  
Mar-22
  
1
    
                     (114,075)
    
                   3,622
SONIA 3-Month Index Futures
  
Dec-22
  
36
    
                (11,837,254)
    
               (12,468)
Soybean
  
Jan-22
  
1
    
                       (60,862)
    
                      110
U.S. Treasury 2-Year Notes
  
Mar-22
  
29
    
                  (6,343,297)
    
               (11,239)
U.S. Treasury 5-Year Notes
  
Mar-22
  
20
    
                  (2,427,969)
    
               (15,680)
U.S. Treasury 10-Year Notes
  
Mar-22
  
8
    
                  (1,046,500)
    
                 (5,951)
                  $
               30,966
Total Futures Contracts
                 $
           (72,708)
 

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

 
CAMPBELL ADVANTAGE FUND
CONSOLIDATED PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 2021 (UNAUDITED)

Forward foreign currency contracts outstanding as of November 30, 2021 were as follows:
                 
           
UNREALIZED
     
EXPIRATION
    
APPRECIATION/
CURRENCY PURCHASED
  
CURRENCY SOLD
DATE
COUNTERPARTY
  
(DEPRECIATION)
AUD
6,300,000
  
USD
4,648,354
Dec 15 2021
NatWest
 $
                           (156,541)
CAD
5,450,000
  
USD
4,343,568
Dec 15 2021
NatWest
  
                               (76,567)
CHF
1,250,000
  
USD
1,365,850
Dec 15 2021
NatWest
  
                                 (3,406)
EUR
4,600,000
  
USD
5,351,091
Dec 15 2021
NatWest
  
                             (131,162)
GBP
2,350,000
  
USD
3,220,681
Dec 15 2021
NatWest
  
                               (94,360)
JPY
550,500,000
  
USD
4,924,987
Dec 15 2021
NatWest
  
                               (53,452)
NOK
18,000,000
  
USD
2,108,109
Dec 15 2021
NatWest
  
                             (118,116)
NZD
3,850,000
  
USD
2,741,952
Dec 15 2021
NatWest
  
                             (114,700)
SEK
25,650,000
  
USD
2,973,563
Dec 15 2021
NatWest
  
                             (126,792)
USD
6,311,335
  
AUD
8,600,000
Dec 15 2021
NatWest
  
                               179,653
USD
5,110,407
  
CAD
6,450,000
Dec 15 2021
NatWest
  
                                 60,469
USD
2,556,395
  
CHF
2,350,000
Dec 15 2021
NatWest
  
                                 (5,000)
USD
9,263,241
  
EUR
7,900,000
Dec 15 2021
NatWest
  
                               298,580
USD
4,957,768
  
GBP
3,650,000
Dec 15 2021
NatWest
  
                               101,994
USD
7,864,064
  
JPY
873,000,000
Dec 15 2021
NatWest
  
                               138,633
USD
2,921,938
  
NOK
25,500,000
Dec 15 2021
NatWest
  
                               102,782
USD
3,389,022
  
NZD
4,850,000
Dec 15 2021
NatWest
  
                                 79,368
USD
4,627,449
  
SEK
40,350,000
Dec 15 2021
NatWest
  
                               149,195
              $  230,578
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 portfolio of investments.
 

CAMPBELL ADVANTAGE FUND
  
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2021 (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 acts 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 $540,931, which represented 7.56% 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, 2021, in valuing the Fund’s investments carried at fair value:
        

                           
 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Short-Term Investments
  
$
5,465,050
    
$
5,465,050
    
$
-
    
$
-
  
 
Commodity Contracts
                                
 
Futures Contracts
    
323,912
      
323,912
      
-
      
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
14,315
      
14,315
      
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
30,118
      
30,118
      
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
1,110,674
      
-
      
1,110,674
      
-
  
 
Total Assets
  
$
6,944,069
    
$
5,833,395
    
$
1,110,674
    
$
-
  
                                   
 
 
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
  
 
Commodity Contracts
                                
 
Futures Contracts
  
$
(273,103
)
  
$
(273,103
)
  
$
-
    
$
-
  
 
Equity Contracts
                                
 
Futures Contracts
    
(80,509
)
    
(80,509
)
    
-
      
-
  
 
Interest Rate Contracts
                                
 
Futures Contracts
    
(87,441
)
    
(87,441
)
    
-
      
-
  
 
Foreign Currency Contracts
                                
 
Forward Foreign Currency Contracts
    
(880,096
)
    
-
      
(880,096
)
    
-
  
 
Total Liabilities
  
$
(1,321,149
)
  
$
(441,053
)
  
$
(880,096
)
  
$
-
  

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, 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.