N-CSR 1 fp0069595_ncsr.htm

As filed with the Securities and Exchange Commission on 11/4/2021

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

811-05518

Investment Company Act file number

 

The RBB FUND, INC.
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Salvatore Faia, President

c/o U.S. Bank Global Fund Services

615 East Michigan Street

Milwaukee, WI 53202
(Name and address of agent for service)

 

(414) 765-5366

Registrant's telephone number, including area code

 

Date of fiscal year end: August 31

 

Date of reporting period: August 31, 2021

 

 

 

Item 1. Reports to Stockholders.

 

 

 

Abbey Capital Futures Strategy Fund

 

of

 

THE RBB FUND, INC.

 

 

Annual Report

 

 

 

 

August 31, 2021

 

 

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report

August 31, 2021 (Unaudited)

 

Dear Shareholder,

 

The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned +7.74% net of fees for the 12-month fiscal year ended August 31, 2021. The positive performance was driven by gains in equities, energy and base metals, with losses occurring primarily in fixed income and currencies over the period. The Fund’s core allocation to diversified trendfollowing (“Trendfollowing”) sub-advisers (sub-advisers are also referred to herein as “Trading Advisers”) drove positive performance over the period, while the Fund’s non-Trendfollowing allocation performed positively in aggregate. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), a wholly-owned subsidiary of the Fund that invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a wholly-owned and controlled segregated portfolio company that invests in managed futures and foreign exchange contracts. The Fund may also invest a portion of its assets in Abbey Capital Onshore Series LLC (“ACOS”), a wholly-owned subsidiary of the Fund which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.

 

Average Total Returns for the Periods Ended August 31, 2021 (unless otherwise noted)

 

 

2021
YTD

1 Year

SEP. 1, 2019 TO
AUG. 31, 2020

5 Years
Annualized

ANNUALIZED
SINCE
INCEPTION ON
JULY 1, 2014

Class I Shares

4.32%

7.74%

-1.39%

2.50%

4.44%

Class A Shares*

4.18%

7.42%

-1.64%

2.25%

4.18%

Class A Shares (max load)*

-1.81%

1.23%

-7.30%

1.04%

3.32%

Class C Shares**

3.66%

6.72%

-2.40%

1.50%

3.42%

BofA Merrill Lynch 3-Month T- Bill Index***

0.03%

0.08%

1.26%

1.17%

0.85%

S&P 500® Total Return Index***

21.58%

31.17%

21.94%

18.02%

14.60%

Barclay CTA Index***

4.79%

7.56%

0.30%

2.19%

2.32%

 

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 5, 2021

Source: Abbey Capital, Bloomberg and BarclayHedge.

 

Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.

 

Please note the above is shown for illustrative purposes only

 

*

Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio. There is a maximum sales charge (load) imposed on purchases (as a percentage of offering price) of 5.75% in Class A Shares.

 

**

Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.

 

***

The Barclay CTA Index is derived from data that is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the Bank of America Merrill Lynch 3-Month T-Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable and the table above is shown for illustrative purposes only.

 

Abbey Capital Limited (the “Adviser”) has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79%, 2.04% and 2.79% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively. This contractual limitation is in effect until December

 

1

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Continued)

August 31, 2021 (Unaudited)

 

31, 2021, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. In addition, the Adviser may recoup any waived or reimbursed amounts from the Fund within three years from the date on which such waiver or reimbursement was made by the Adviser, provided such reimbursement does not cause the Fund to exceed expense limitations that were in effect at the time of the waiver or reimbursement. Without the expense limitation agreement, the expense ratios are 1.90%, 2.15% and 2.90% of the Fund’s average daily net assets attributable to Class I Shares, Class A Shares, and Class C Shares, respectively, as stated in the Fund’s current prospectus dated December 31, 2020, as supplemented (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.

 

Please refer to the prospectus for further information on expenses and fees.

 

Performance Analysis

 

The fiscal year ended August 31, 2021 saw a number of shifts in risk sentiment. Investors turned cautious in September and October 2020, with rising COVID-19 cases in the US and Europe, concerns about valuations in the technology sector and uncertainty ahead of the US election weighing on sentiment. The market environment turned more positive from November 2020 through August 2021, as progress towards a COVID-19 vaccine, Biden’s victory in the US Presidential election and the prospect of a significant fiscal spending deal in the US saw strong trends emerge in many growth sensitive sectors like equities, energy and base metals. The rollout of the COVID-19 vaccines and the reopening of the global economy throughout the first half of 2021 resulted in some supply constraints and increased demand for a range of commodities, which contributed to strong uptrends across several energy, base metal and agricultural commodity markets. Inflationary pressures emerged as a key focus for investors during the period, with US inflation hitting a more-than-decade high of +5.4% in June 2021. While equity markets continued to rally throughout July and August 2021, some of the uptrends seen in commodity markets earlier in the year dissipated, while shifting views on the likely path of US Federal Reserve monetary policy led to choppy moves at times in currency and bond markets.

 

Early in the 12-month period, the Fund’s Trendfollowing sub- advisers saw losses as previous trends in equities and the USD reversed. Performance improved from November 2020 through May 2021, with positive COVID-19 vaccine trial results and the outcome of the US election contributing to notable uptrends in equities, base metals and energy. The Fund also benefited from uptrends across several agricultural commodity markets, notably soybeans and corn. All of the Fund’s trading styles had positive returns in the first half of 2021. Performance became more mixed from June through August 2021, as reversals in currency and bond markets proved difficult for the Fund’s Trendfollowing sub-advisers.

 

For the 12-month period overall, the Fund’s allocation to Trendfollowing sub-advisers saw the largest gains at the trading style level, while the Fund’s Value sub-adviser also contributed positively to Fund performance. The performance of the Fund’s Global Macro sub-advisers was slightly negative for the period.

 

Fund performance in equities was positive over the period. Global equities declined in September and October 2020, before rallying in November 2020 as various pharmaceutical companies announced positive results from COVID-19 vaccine trials. The MSCI World Index recorded its strongest monthly return in 45 years in November 2020, and uptrends in equities continued into 2021 as US fiscal stimulus and strong corporate earnings pushed global equities to record highs. The Fund’s Trendfollowing sub-advisers held long equity positions throughout the period and thus saw positive performance, with long positions in Japanese and US indices seeing the largest gains. The performance of the Fund’s Global Macro sub-advisers was close to flat in equities during the fiscal year, while the performance of the Fund’s Value sub-advisers was negative due to losses from predominantly short positions held in Japanese and US stocks.

 

Energy was another positive sector for the Fund. Crude oil declined in September and October 2020 on COVID-19 related demand concerns before prices rallied strongly from November 2020 through August 2021 as the global growth outlook turned more positive. Price uptrends continued in the first half of 2021, with OPEC supply cuts and a rebound in global demand boosting prices. The Fund’s Trendfollowing sub-advisers profited from short positions in crude oil and distillates in September 2020 and recorded further gains once positioning turned long from late November 2020

 

2

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Continued)

August 31, 2021 (Unaudited)

 

through June 2021 as price uptrends emerged. Trading in crude oil and distillates turned choppier in July and August 2021, resulting in losses for the Fund, although long positions in natural gas were a positive for Fund performance during this time as prices rallied on tight supplies and warm US weather.

 

In base metals, long exposures in copper and aluminium drove positive Fund performance over the period. Much of the positive performance came from long copper positions held by the Fund’s Trendfollowing sub-advisers during Q4 2020 and Q1 2021 as uptrends in base metals prices accelerated amid a surge in demand and concerns around building inflationary pressures. Notably, copper prices hit a record high in May 2021 before declining somewhat in subsequent months. The returns of the Fund’s Value sub-advisers were also positive in base metals due to long copper exposures held throughout the period.

 

Further Fund gains were recorded in both grains and soft commodities, most notably from long positions held in soybeans and corn for much of the period. Soybean and corn contracts touched multi-year highs in 2021 with adverse growing conditions in both Brazil and the US and strong Chinese demand among the factors supporting prices at various times over the 12-month period.

 

On the downside, the Fund saw losses in major currencies and fixed income markets, with smaller losses recorded in precious metals.

 

The Fund initially saw negative performance in currencies as a rally in the USD in September 2020 led to losses for short USD positions held by Trendfollowing sub-advisers. A steady decline in the USD throughout much of November and December 2020 led to improved performance in the sector before currency markets turned choppy for much of the first half of 2021. A hawkish shift from the US Federal Reserve in June 2021 saw the Fund’s Trendfollowing sub-advisers record sharp losses from short USD positions, with choppy trading in the USD in July and August 2021 adding to negative performance in the sector. Returns of all Fund trading styles were negative in currencies over the full period, with mixed positioning in USD/CHF and EUR/USD being the largest detractors at the contract level.

 

Fixed income was another negative sector for the Fund during the fiscal year. Global yields climbed in Q4 2020, before the trend accelerated in Q1 2021 as the reopening of the global economy, rising inflation expectations and the prospect of another round of US fiscal stimulus all contributed to a selloff in global bond markets. Yields then began to decline from Q2 2021 through July 2021, which proved difficult for the Fund’s Trendfollowing sub-advisers, before global yields climbed modestly higher again in August 2021. The performance of the Fund’s Trendfollowing and Global Macro sub-advisors was negative in the fixed income sector over the full period, with the Fund’s Value sub-advisers recording partially-offsetting gains in the sector. In precious metals, mixed positioning in gold drove negative Fund performance, with smaller losses recorded in silver and platinum. The Fund’s Trendfollowing sub-advisers were responsible for the majority of the losses in precious metals. Gold prices were choppy in Q4 2020 before declining steadily in Q1 2021 on the back of a stronger USD and rising Treasury yields. Gold then saw a reversal and rallied for much of Q2 2021 before dropping sharply in June 2021 after a more hawkish-than-expected US Federal Reserve meeting.

 

Key to Currency Abbreviations

CHF

Swiss Franc

EUR

Euro

USD

US Dollar

 

An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of its investment. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), which invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest a portion of its assets into Abbey Capital Onshore Series LLC (“ACOS”), which is a multi-adviser fund that invests in managed futures and foreign exchange. All investments in securities involve risk of the loss of capital. An investment in the Fund includes the risks inherent in an investment in securities, as well as specific risks associated with this open-ended investment product. Among the risks associated with investing in this Fund are Commodity

 

3

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Concluded)

August 31, 2021 (Unaudited)

 

Sector Risk, Counter-Party Risk, Credit Risk, Currency Risk, Manager and Management Risks, Subsidiary Risk, Tax Risk, Emerging Markets Risk, Leveraging Risk, Foreign Investment Risk, Fixed Income Securities Risks, Short Sale Risk and Portfolio Turnover Risks. The Fund may invest in or utilize derivative investments, futures contracts, and hedging strategies. One or more Trading Advisers, from time to time, may invest a substantial portion of the assets managed in a specific industry sector. As a result, the Fund’s investment portfolio may be subject to greater risk and volatility than if investments had been made in the securities of a broader range of issuers. There can be no assurance that the Fund’s strategy (hedging or otherwise) will be successful or that it will employ such strategies with respect to all or any portion of its portfolio. The value of the Fund’s portfolio investments should be expected to fluctuate. Investing in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can bear the risks associated with the product. This brief statement cannot disclose all of the risks and other factors necessary to evaluate an investment in the Fund. Investors are urged to take appropriate investment advice and to carefully consider their investment objectives, personal situation, and factors such as net worth, income, age, risk tolerance and liquidity needs before investing in the Fund. Before investing, investors should carefully consider the Fund’s investment objectives, risks, tax considerations, sales charges and expenses.

 

Fund holdings and sector allocations are subject to change and should not be considered recommendations to buy or sell any security. Please refer to the Consolidated Portfolio of Investments in this report for a complete list of Fund holdings.

 

The Abbey Capital Futures Strategy Fund is distributed by Quasar Distributions, LLC.

 

4

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data

August 31, 2021 (Unaudited)

 

Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund - Class A Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index

 

 

The chart illustrates the performance of a hypothetical $10,000 initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions (performance shown prior to August 29, 2014 is Class I Shares performance adjusted for Class A shares expense ratio). Class A Shares growth of a hypothetical investment of $10,000 is adjusted for the maximum sales charge of 5.75%. This results in a net initial investment of $9,425. Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.

 

Average Annual Total Returns for the Periods Ended August 31, 2021

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class A Shares (without sales charge) (Pro forma July 1, 2014 to August 29, 2014)

7.42%

5.26%

2.25%

4.18%*

 

Class A Shares (with sales charge) (Pro forma July 1, 2014 to August 29, 2014)

1.23%

3.19%

1.04%

3.32%*

 

S&P 500® Total Return Index

31.17%

18.07%

18.02%

14.60%**

 

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index***

0.08%

1.23%

1.17%

0.85%**

 

Barclay CTA Index***

7.56%

4.48%

2.19%

2.32%**

 

 

††

Inception date of Class A Shares of the Fund was August 29, 2014.

 

*

Class A Shares performance prior to its inception on August 29, 2014 is the performance of Class I Shares, adjusted for the Class A Shares expense ratio.

 

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The Fund charges a 5.75% maximum sales charge on purchases (as a percentage of offering price) of Class A Shares. The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating

 

5

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

August 31, 2021 (Unaudited)

 

expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.04% of the Fund’s average daily net assets attributable to Class A Shares. Without the limitation arrangement, the gross expense ratio is 2.15% for Class A Shares as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

6

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

August 31, 2021 (Unaudited)

 

Comparison of Change in Value of $1,000,000 Investment in Abbey Capital Futures Strategy Fund – Class I Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index

 

 

The chart illustrates the performance of a hypothetical $1,000,000 minimum initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions. Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.

 

Average Annual Total Returns for the Periods Ended August 31, 2021

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class I Shares

7.74%

5.54%

2.50%

4.44%

 

S&P 500® Total Return Index

31.17%

18.07%

18.02%

14.60%*

 

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index**

0.08%

1.23%

1.17%

0.85%*

 

Barclay CTA Index**

7.56%

4.48%

2.19%

2.32%*

 

 

††

Inception date of Class I Shares of the Fund was July 1, 2014.

 

*

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

**

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.79% of the Fund’s average daily net assets attributable to Class I Shares. Without the limitation arrangement, the gross expense ratio is 1.90% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

7

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

August 31, 2021 (Unaudited)

 

Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund – Class C Shares
vs. BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, S&P 500® Total Return Index and Barclay CTA Index

 

 

The chart illustrates the performance of a hypothetical $10,000 minimum initial investment in the Fund made on July 1, 2014 and reflects Fund expenses and reinvestment of dividends and distributions (performance shown prior to October 6, 2015 is Class I Shares performance adjusted for Class C Shares expense ratio). Performance does not reflect the deduction of taxes a shareholder may pay on dividends, distributions or redemptions.

 

Average Annual Total Returns for the Periods Ended August 31, 2021

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class C Shares (Pro forma July 1, 2014 to October 6, 2015)

6.72%

4.48%

1.50%

3.42%*

 

S&P 500® Total Return Index

31.17%

18.07%

18.02%

14.60%**

 

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index***

0.08%

1.23%

1.17%

0.85%**

 

Barclay CTA Index***

7.56%

4.48%

2.19%

2.32%**

 

 

††

Inception date of Class C Shares of the Fund was October 6, 2015.

 

*

Class C Shares performance prior to its inception on October 6, 2015 is the performance of Class I Shares, adjusted for the Class C Shares expense ratio.

 

**

Performance is from the inception date of the Fund and is not the inception date of the index itself. The above is shown for illustrative purposes only.

 

***

This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

 

The performance data quoted reflects fee waivers in effect and would have been less in their absence. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 2.79% of the Fund’s average daily net assets attributable to Class C Shares. Without the limitation arrangement, the gross expense ratio is 2.90% for Class C Shares, as stated in the current prospectus (and which may differ from the

 

8

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

August 31, 2021 (Unaudited)

 

actual expense ratios for the period covered by this report). This contractual limitation is in effect until December 31, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

 

Performance quoted is past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted. Visit www.abbeycapital.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) + 1-508-871-3276 for returns current to the most recent month-end.

 

The Barclay CTA Index is derived from data which is self-reported by investment managers based on the performance of privately managed funds. In contrast, the S&P 500® Total Return Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index are comprised of publicly traded securities. As a result of these differences, these indices may not be directly comparable. Additionally, these indices are not available for direct investment and the above is shown for illustrative purposes only.

 

 

9

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Concluded)

August 31, 2021 (Unaudited)

 

Barclay CTA Index

 

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 416 programs included in the calculation of the Barclay CTA Index for 2021. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.

 

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index

 

The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

 

S&P 500® Index

 

The S&P 500® Index is a market-capitalization-weighted index of 500 U.S. stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500® Index is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe. The S&P 500® Index was first introduced on January 1, 1923, though expanded to 500 stocks on March 4, 1957.

 

The S&P 500® Total Return Index

 

The S&P 500® Total Return Index is the total return version of the S&P 500® Index. Dividends are reinvested on a daily basis and all regular cash dividends are assumed reinvested in the index on the ex-dividend date.

 

A basis point is one hundredth of one percent.

 

Portfolio composition is subject to change. It is not possible to invest directly in an index.

 

10

 

 

Abbey Capital Futures Strategy Fund

 

Fund Expense Examples

August 31, 2021 (Unaudited)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, (if any) and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2021 through August 31, 2021, and held for the entire period.

 

ACTUAL EXPENSES

 

The first section in the accompanying table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second section of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments (if any). Therefore, the second section of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

Beginning
Account Value
March 1, 2021

Ending
Account Value
August 31, 2021

Expenses Paid
During
Period*

Annualized
Expense
Ratio

Actual Six-
Month Total
Investment
Returns for the
Fund

Actual

         

Class A Shares

$ 1,000.00

$ 1,006.70

$ 10.32

2.04%

0.67%

Class I Shares

1,000.00

1,007.50

9.06

1.79%

0.75%

Class C Shares

1,000.00

1,002.60

14.08

2.79%

0.26%

Hypothetical (5% return before expenses)

Class A Shares

$ 1,000.00

$ 1,014.92

$ 10.36

2.04%

N/A

Class I Shares

1,000.00

1,016.18

9.10

1.79%

N/A

Class C Shares

1,000.00

1,011.14

14.14

2.79%

N/A

 

 

*

Expenses are equal to the Funds’ Class A Shares, Class I Shares, and Class C Shares annualized six-month expense ratios for the period March 1, 2021 to August 31, 2021, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one half year period. The Fund’s ending account values in the first section in the table is based on the actual six-month total investment return for the Fund’s respective share classes.

 

11

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio Holdings Summary Table

August 31, 2021 (Unaudited)

 

The following table presents a consolidated summary of the portfolio holdings of the Fund:

 

 

% of Net
Assets

   

Value

 

SHORT-TERM INVESTMENTS:

               

U.S. Treasury Obligations

    81.1 %   $ 940,363,101  

Money Market Deposit Account

    2.8       31,892,632  

PURCHASED OPTIONS

    0.0       113,738  

OTHER ASSETS IN EXCESS OF LIABILITIES

               

(including futures, forward foreign currency contracts and written options)

    16.1       187,263,068  

NET ASSETS

    100.0 %   $ 1,159,632,539  

 

 

The Fund seeks to achieve its investment objective by allocating its assets between a “Managed Futures” strategy and a “Fixed Income” strategy.

 

As a result of the Fund’s use of derivatives, the Fund may hold significant amounts of U.S. Treasuries or short-term investments.

 

Portfolio holdings are subject to change at any time.

 

Refer to the Consolidated Portfolio of Investments for a detailed listing of the Fund’s holdings.

 

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

 

12

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments

August 31, 2021

 

   

Coupon*

   

Maturity
Date

   

Par
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS - 83.9%

                               

U.S. TREASURY OBLIGATIONS - 81.1%

                               

U.S. Treasury Bills

    0.022 %     09/02/21     $ 41,179     $ 41,178,971  

U.S. Treasury Bills

    0.034 %     09/09/21       22,213       22,212,840  

U.S. Treasury Bills

    0.020 %     09/16/21       40,467       40,466,578  

U.S. Treasury Bills

    0.018 %     09/23/21       70,727       70,725,596  

U.S. Treasury Bills

    0.020 %     09/30/21       10,635       10,634,720  

U.S. Treasury Bills

    0.019 %     10/07/21       7,385       7,384,723  

U.S. Treasury Bills

    0.006 %     10/14/21       19,759       19,758,175  

U.S. Treasury Bills

    0.020 %     10/21/21       39,494       39,491,256  

U.S. Treasury Bills

    0.020 %     10/28/21       52,148       52,143,871  

U.S. Treasury Bills

    0.020 %     11/04/21       57,674       57,669,643  

U.S. Treasury Bills

    0.019 %     11/12/21       47,002       46,997,536  

U.S. Treasury Bills

    0.010 %     11/18/21       31,753       31,750,077  

U.S. Treasury Bills

    0.015 %     11/26/21       29,778       29,774,917  

U.S. Treasury Bills

    0.018 %     12/02/21       19,083       19,081,040  

U.S. Treasury Bills

    0.026 %     12/09/21       29,809       29,805,516  

U.S. Treasury Bills

    0.026 %     12/16/21       23,798       23,795,198  

U.S. Treasury Bills

    0.034 %     12/23/21       33,325       33,320,685  

U.S. Treasury Bills

    0.028 %     12/30/21       21,220       21,216,818  

U.S. Treasury Bills

    0.036 %     01/06/22       49,588       49,581,001  

U.S. Treasury Bills

    0.038 %     01/13/22       40,317       40,310,997  

U.S. Treasury Bills

    0.039 %     01/20/22       26,314       26,309,876  

U.S. Treasury Bills

    0.035 %     01/27/22       20,242       20,238,880  

U.S. Treasury Bills

    0.036 %     02/03/22       22,406       22,402,139  

U.S. Treasury Bills

    0.035 %     02/10/22       75,965       75,950,471  

U.S. Treasury Bills

    0.035 %     02/17/22       30,807       30,800,491  

U.S. Treasury Bills

    0.035 %     02/24/22       77,380       77,361,086  

TOTAL U.S. TREASURY OBLIGATIONS ($940,395,757)

                            940,363,101  
                                 
                   

Number
of Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT - 2.8%

                               

U.S. Bank Money Market Deposit Account, 0.01% (United States)(a)

                    31,893       31,892,632  

TOTAL MONEY MARKET DEPOSIT ACCOUNT ($31,892,632)

                            31,892,632  
                                 

TOTAL SHORT-TERM INVESTMENTS

                               

(Cost $972,288,389)

                            972,255,733  

TOTAL PURCHASED OPTIONS - 0.0%**

                               

(Cost $767,675)

                            113,738  

TOTAL INVESTMENTS - 83.9%

                               

(Cost $973,056,064)

                            972,369,471  
                                 

OTHER ASSETS IN EXCESS OF LIABILITIES - 16.1%

                            187,263,068  

NET ASSETS - 100.0%

                          $ 1,159,632,539  

 

 

*

Short-term investments’ coupon reflect the annualized effective yield on the date of purchase for discounted investments.

**

See page 28 for detailed information regarding the Purchased Options.

(a)

The rate shown is as of August 31, 2021.

 

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

 

13

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Futures contracts outstanding as of August 31, 2021 were as follows:

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

10-Year Mini Japanese Government Bond Futures

    Sep-21       13     $ 1,798,009     $ (854 )

3-Month Euro Euribor

    Mar-22       9       2,670,633       369  

3-Month Euro Euribor

    Jun-22       49       14,538,667       (2,052 )

3-Month Euro Euribor

    Sep-22       66       19,578,797       (3,719 )

3-Month Euro Euribor

    Dec-22       62       18,388,543       (3,926 )

3-Month Euro Euribor

    Mar-23       62       18,384,883       (4,088 )

3-Month Euro Euribor

    Jun-23       67       19,863,579       (4,797 )

3-Month Euro Euribor

    Sep-23       64       18,969,442       (5,048 )

3-Month Euro Euribor

    Dec-23       49       14,519,863       (4,738 )

3-Month Euro Euribor

    Mar-24       44       13,034,997       (3,852 )

3-Month Euro Euribor

    Jun-24       40       11,846,455       (4,029 )

3-Month Euro Euribor

    Sep-24       37       10,954,695       (2,509 )

3-Month SOFR Futures

    Jun-22       2       499,625       138  

90-DAY Bank Bill

    Dec-21       56       40,964,797       3,859  

90-DAY Bank Bill

    Mar-22       452       330,619,974       29,284  

90-DAY Bank Bill

    Jun-22       29       21,209,729       1,208  

90-DAY Bank Bill

    Sep-22       26       19,010,933       126  

90-DAY Eurodollar Futures

    Dec-21       26       6,488,625       1,075  

90-DAY Eurodollar Futures

    Mar-22       339       84,627,112       17,288  

90-DAY Eurodollar Futures

    Jun-22       2,964       739,629,149       370,313  

90-DAY Eurodollar Futures

    Sep-22       61       15,208,063       5,275  

90-DAY Eurodollar Futures

    Dec-22       575       143,146,249       (52,088 )

90-DAY Eurodollar Futures

    Mar-23       28       6,963,950       (3,100 )

90-DAY Eurodollar Futures

    Jun-23       147       36,514,800       (9,875 )

90-DAY Eurodollar Futures

    Sep-23       30       7,436,250       (3,275 )

90-DAY Eurodollar Futures

    Dec-23       22       5,446,925       (4,488 )

90-DAY Eurodollar Futures

    Mar-24       20       4,946,750       (4,263 )

90-DAY Eurodollar Futures

    Jun-24       77       19,027,663       (13,038 )

90-DAY Eurodollar Futures

    Sep-24       21       5,184,900       188  

90-DAY Eurodollar Futures

    Sep-25       4       985,050       (800 )

90-DAY Eurodollar Futures

    Dec-25       2       492,175       (275 )

90-DAY Sterling Futures

    Mar-22       377       64,598,861       (21,233 )

90-DAY Sterling Futures

    Jun-22       455       77,882,037       (63,346 )

Amsterdam Index Futures

    Sep-21       63       11,714,495       248,288  

AUD/USD Currency Futures

    Sep-21       21       1,537,410       2,000  

Australian 10-Year Bond Futures

    Sep-21       845       90,133,288       560,036  

Australian 3-Year Bond Futures

    Sep-21       2,091       179,188,677       254,153  

Bank Acceptance Futures

    Dec-21       14       2,760,690       (149 )

Bank Acceptance Futures

    Mar-22       148       29,165,379       13,564  

Bank Acceptance Futures

    Jun-22       102       20,071,157       17,982  

Bank Acceptance Futures

    Sep-22       6       1,178,695       1,803  

Brent Crude Futures

    Nov-21       141       10,099,830       155,820  

Brent Crude Futures

    Dec-21       32       2,272,000       46,770  

Brent Crude Futures

    Jan-22       3       211,380       40  

Brent Crude Oil Last Day

    Nov-21       10       716,300       8,920  

CAC40 10 Euro Futures

    Sep-21       237       18,687,550       (197,896 )

CAD Currency Futures

    Sep-21       326       25,858,320       (30,765 )

Canadian 10-Year Bond Futures

    Dec-21       1,358       157,289,691       263,504  

Canola Futures (Winnipeg Commodity Exchange)

    Nov-21       9       142,647       10,696  

 

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

 

14

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Canola Futures (Winnipeg Commodity Exchange)

    Jan-22       6     $ 83,738     $ 13,145  

Cattle Feeder Futures

    Sep-21       1       81,500       (75 )

Cattle Feeder Futures

    Oct-21       8       671,000       (63 )

CHF Currency Futures

    Sep-21       146       19,954,550       3,375  

Cocoa Futures

    Dec-21       26       660,400       (21,500 )

Cocoa Futures

    Mar-22       26       666,380       (19,320 )

Cocoa Futures ICE

    Sep-21       9       212,704       (1,210 )

Cocoa Futures ICE

    Dec-21       35       845,466       (16,663 )

Cocoa Futures ICE

    Mar-22       16       386,939       (2,970 )

Cocoa Futures ICE

    May-22       2       48,202       1,292  

Coffee ‘C’ Futures

    Dec-21       99       7,272,788       273,919  

Coffee ‘C’ Futures

    Mar-22       23       1,712,063       125,681  

Coffee ‘C’ Futures

    May-22       10       747,938       17,906  

Coffee Robusta Futures

    Nov-21       58       1,175,080       104,880  

Coffee Robusta Futures

    Jan-22       29       578,260       41,840  

Copper Futures

    Dec-21       126       13,781,250       242,925  

Copper Futures

    Mar-22       2       217,875       413  

Corn Futures

    Dec-21       183       4,888,388       (202,663 )

Corn Futures

    Mar-22       144       3,907,800       (245,325 )

Corn Futures

    May-22       8       219,100       (14,538 )

Cotton No.2 Futures

    Dec-21       261       12,075,165       653,340  

Cotton No.2 Futures

    Mar-22       16       734,160       42,410  

DAX Index Futures

    Sep-21       163       76,022,528       317,629  

DAX-Mini Futures

    Sep-21       2       186,558       (1,074 )

DJIA Mini E-CBOT

    Sep-21       206       36,400,200       555,586  

Dollar Index

    Sep-21       419       38,814,065       150,735  

Dutch TTF Gas Futures

    Oct-21       15       664,203       124,665  

Dutch TTF Gas Futures

    Nov-21       5       214,949       26,176  

E-Mini Consumer Discretionary Select Futures

    Sep-21       3       556,050       16,140  

E-Mini Consumer Staples Select Futures

    Sep-21       2       144,980       3,320  

E-Mini Crude Oil

    Oct-21       9       308,250       4,600  

E-Mini Energy Select Futures

    Sep-21       1       50,130       (840 )

E-Mini Health Care Select Futures

    Sep-21       2       272,660       22,210  

E-Mini Industrial Select Futures

    Sep-21       1       105,070       1,280  

E-Mini Natural Gas

    Oct-21       4       43,770       4,295  

E-Mini Utilities Select Futures

    Sep-21       1       69,040       5,020  

Emissions ICE

    Dec-21       63       4,519,766       710,551  

EUR Foreign Exchange Currency Futures

    Sep-21       47       6,941,606       6,444  

Euro BUXL 30-Year Bond Futures

    Sep-21       50       12,546,640       (166,911 )

Euro STOXX 50

    Sep-21       1,033       51,002,331       473,814  

Euro Stoxx 50 Index Futures

    Sep-21       1       42,578       (260 )

Euro/CHF 3-Month Futures ICE

    Dec-21       1       275,102       (27 )

Euro/CHF 3-Month Futures ICE

    Mar-22       1       275,020       (27 )

Euro/CHF 3-Month Futures ICE

    Sep-22       1       274,966       (27 )

Euro-Bobl Futures

    Sep-21       3,492       556,505,028       (462,145 )

Euro-BTP Futures

    Sep-21       312       56,471,071       387,971  

Euro-Bund Futures

    Sep-21       1,434       297,070,914       (871,965 )

Euro-Oat Futures

    Sep-21       333       63,374,273       (148,904 )

Euro-Schatz Futures

    Sep-21       1,427       189,183,818       (127,078 )

FTSE 100 Index Futures

    Sep-21       662       64,589,029       275,583  

FTSE Taiwan Index

    Sep-21       54       3,279,420       59,711  

 

 

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

 

15

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

FTSE/JSE TOP 40

    Sep-21       29     $ 1,206,496     $ (27,415 )

FTSE/MIB Index Futures

    Sep-21       83       12,745,183       70,112  

Gasoline RBOB Futures

    Oct-21       145       13,044,171       176,345  

Gasoline RBOB Futures

    Nov-21       40       3,471,552       18,543  

GBP Currency Futures

    Sep-21       365       31,385,438       (426,513 )

GBP Currency Futures

    Dec-21       44       3,784,000       (4,575 )

Gold 100 Oz Futures

    Dec-21       116       21,089,960       53,040  

Hang Seng Index Futures

    Sep-21       3       3,810,989       7,689  

IBEX 35 Index Futures

    Sep-21       6       625,348       (2,491 )

INR/USD Futures

    Sep-21       2       54,664       926  

JPN 10-Year Bond (Osaka Securities Exchange)

    Sep-21       127       175,651,683       121,529  

Kansas City Hard Red Winter Wheat Futures

    Dec-21       135       4,806,000       (117,938 )

Kansas City Hard Red Winter Wheat Futures

    Mar-22       15       541,125       (17,463 )

Lean Hogs Futures

    Oct-21       50       1,776,000       (18,380 )

Lean Hogs Futures

    Dec-21       55       1,802,900       (18,140 )

Live Cattle Futures

    Oct-21       12       609,120       (18,480 )

Live Cattle Futures

    Dec-21       102       5,445,780       35,050  

Live Cattle Futures

    Feb-22       23       1,267,300       13,210  

Live Cattle Futures

    Apr-22       16       902,080       (460 )

LME Aluminum Forward

    Sep-21       1,628       110,419,099       9,254,624  

LME Aluminum Forward

    Oct-21       43       2,919,700       229,233  

LME Aluminum Forward

    Nov-21       19       1,291,050       55,619  

LME Aluminum Forward

    Dec-21       531       36,064,856       1,681,712  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       12       821,700       85,515  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       14       949,550       95,550  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       6       406,824       29,745  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       67,831       6,056  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       67,842       5,854  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       67,845       3,889  

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       67,847       3,898  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       4       271,399       17,399  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       339,341       29,540  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       9       610,909       49,300  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       6       407,321       30,333  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       339,500       24,345  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       1       67,900       4,921  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       8       543,200       38,926  

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       339,500       11,375  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       3       203,700       6,675  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       1       67,900       2,850  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       9       611,100       33,176  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       1       67,906       4,174  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       2       135,888       9,225  

LME Aluminum Forward - 90 Day Settlement

    Nov-21       12       815,475       34,181  

LME Copper Forward

    Sep-21       418       99,538,862       (3,073,196 )

LME Copper Forward

    Oct-21       8       1,904,700       115,100  

LME Copper Forward

    Dec-21       121       28,801,781       447,326  

LME Copper Forward - 90 Day Settlement

    Sep-21       3       714,619       (31,598 )

LME Copper Forward - 90 Day Settlement

    Sep-21       1       238,219       1,106  

LME Copper Forward - 90 Day Settlement

    Sep-21       3       714,394       (33,465 )

LME Copper Forward - 90 Day Settlement

    Sep-21       3       714,219       3,050  

 

 

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

 

16

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Copper Forward - 90 Day Settlement

    Sep-21       2     $ 476,167     $ 3,367  

LME Copper Forward - 90 Day Settlement

    Sep-21       1       238,097       3,597  

LME Copper Forward - 90 Day Settlement

    Oct-21       1       238,150       (6,481 )

LME Copper Forward - 90 Day Settlement

    Oct-21       2       476,350       (8,007 )

LME Copper Forward - 90 Day Settlement

    Oct-21       2       476,313       (13,075 )

LME Copper Forward - 90 Day Settlement

    Oct-21       1       238,131       (6,614 )

LME Copper Forward - 90 Day Settlement

    Oct-21       2       476,063       (11,688 )

LME Copper Forward - 90 Day Settlement

    Oct-21       5       1,190,243       (8,555 )

LME Copper Forward - 90 Day Settlement

    Nov-21       2       476,166       (13,260 )

LME Copper Forward - 90 Day Settlement

    Nov-21       2       476,252       12,090  

LME Copper Forward - 90 Day Settlement

    Nov-21       2       475,936       12,061  

LME Copper Forward - 90 Day Settlement

    Nov-21       1       237,979       3,341  

LME Lead Forward

    Sep-21       160       9,144,000       67,631  

LME Lead Forward

    Oct-21       27       1,532,250       (24,307 )

LME Lead Forward

    Nov-21       7       395,938       (11,341 )

LME Lead Forward

    Dec-21       127       7,151,688       (138,832 )

LME Nickel Forward

    Sep-21       90       10,566,450       594,334  

LME Nickel Forward

    Oct-21       9       1,056,159       12,220  

LME Nickel Forward

    Nov-21       11       1,290,564       48,480  

LME Nickel Forward

    Dec-21       61       7,153,836       209,350  

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       235,041       19,521  

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       117,471       8,691  

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       234,810       13,702  

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       117,351       13,298  

LME Nickel Forward - 90 Day Settlement

    Sep-21       4       469,344       40,410  

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       117,313       6,103  

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       234,654       13,524  

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       234,658       18,739  

LME Nickel Forward - 90 Day Settlement

    Oct-21       3       352,028       17,184  

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       234,688       7,478  

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       117,350       522  

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       117,329       6,989  

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       117,306       4,146  

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       117,316       (134 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       234,636       (4,104 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       117,319       (1,001 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       117,321       1,110  

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       117,322       (8 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       117,300       6,895  

LME Nickel Forward - 90 Day Settlement

    Nov-21       2       234,552       3,876  

LME Nickel Forward - 90 Day Settlement

    Nov-21       5       586,395       11,955  

LME Palladium Forward - 90 Day Settlement

    Sep-21       3       178,950       12,488  

LME Palladium Forward - 90 Day Settlement

    Sep-21       2       118,750       9,525  

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       59,000       5,538  

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       58,025       3,244  

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       57,150       2,325  

LME Palladium Forward - 90 Day Settlement

    Sep-21       6       341,862       15,804  

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       56,909       2,134  

LME Palladium Forward - 90 Day Settlement

    Sep-21       2       113,779       933  

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       56,850       (700 )

LME Palladium Forward - 90 Day Settlement

    Oct-21       2       113,675       200  

 

 

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

 

17

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Palladium Forward - 90 Day Settlement

    Oct-21       3     $ 170,438     $ (3,085 )

LME Palladium Forward - 90 Day Settlement

    Oct-21       3       170,419       (3,725 )

LME Palladium Forward - 90 Day Settlement

    Oct-21       1       56,688       (2,493 )

LME Palladium Forward - 90 Day Settlement

    Oct-21       5       283,133       (12,839 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       2       113,350       (1,650 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       1       56,675       (983 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       1       56,653       (673 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       2       113,260       (2,728 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       4       225,543       (3,987 )

LME Silver Forward - 90 Day Settlement

    Sep-21       1       171,025       19,025  

LME Silver Forward - 90 Day Settlement

    Sep-21       1       171,935       19,935  

LME Silver Forward - 90 Day Settlement

    Sep-21       2       343,410       31,935  

LME Silver Forward - 90 Day Settlement

    Sep-21       2       341,930       30,630  

LME Silver Forward - 90 Day Settlement

    Sep-21       1       170,985       21,790  

LME Silver Forward - 90 Day Settlement

    Oct-21       1       170,985       10,441  

LME Silver Forward - 90 Day Settlement

    Oct-21       1       170,660       3,685  

LME Silver Forward - 90 Day Settlement

    Oct-21       2       340,850       (3,807 )

LME Silver Forward - 90 Day Settlement

    Oct-21       2       340,670       (8,542 )

LME Silver Forward - 90 Day Settlement

    Nov-21       1       170,106       (6,844 )

LME Silver Forward - 90 Day Settlement

    Nov-21       3       509,149       25,579  

LME Silver Forward - 90 Day Settlement

    Nov-21       1       169,568       3,318  

LME Zinc Forward

    Sep-21       194       14,545,150       (27,326 )

LME Zinc Forward

    Oct-21       9       675,563       420  

LME Zinc Forward

    Nov-21       12       901,425       12,719  

LME Zinc Forward

    Dec-21       134       10,069,263       30,688  

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       149,719       395  

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       74,917       (583 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       74,927       352  

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       74,969       394  

LME Zinc Forward - 90 Day Settlement

    Sep-21       8       599,700       26,030  

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       149,956       5,676  

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       74,986       2,486  

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       149,979       4,499  

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       75,013       1,706  

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       75,043       1,677  

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       75,048       417  

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       75,050       (138 )

LME Zinc Forward - 90 Day Settlement

    Oct-21       2       150,120       2,770  

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       75,050       488  

LME Zinc Forward - 90 Day Settlement

    Nov-21       3       225,278       1,940  

LME Zinc Forward - 90 Day Settlement

    Nov-21       2       150,192       1,017  

LME Zinc Forward - 90 Day Settlement

    Nov-21       1       75,119       300  

LME Zinc Forward - 90 Day Settlement

    Nov-21       2       150,088       (1,173 )

LME Zinc Forward - 90 Day Settlement

    Nov-21       2       150,155       (1,156 )

Long Gilt Futures

    Dec-21       415       73,169,175       (359,456 )

Low Sulphur Gasoil G Futures

    Sep-21       8       481,200       9,175  

Low Sulphur Gasoil G Futures

    Oct-21       143       8,605,025       270,775  

Low Sulphur Gasoil G Futures

    Nov-21       20       1,198,000       30,100  

Low Sulphur Gasoil G Futures

    Dec-21       1       59,525       75  

Low Sulphur Gasoil G Futures

    Jan-22       1       59,275       75  

Mill Wheat Euro

    Sep-21       2       29,371       2,642  

 

 

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

 

18

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Mill Wheat Euro

    Dec-21       32     $ 463,326     $ 35,334  

Mill Wheat Euro

    Mar-22       27       386,548       3,941  

Mill Wheat Euro

    May-22       4       56,971       738  

Mini FTSE/MIB Pound Futures

    Sep-21       3       92,134       1,588  

Mini TOPIX Index Futures

    Sep-21       13       232,137       1,300  

MSCI EAFE Index Futures

    Sep-21       36       4,232,700       33,715  

MSCI Emerging Markets Index Futures

    Sep-21       67       4,352,320       28,630  

MSCI Singapore Exchange ETS

    Sep-21       33       864,365       (13,299 )

MXN Currency Futures

    Sep-21       846       21,031,560       (140,830 )

Nasdaq 100 E-Mini

    Sep-21       255       79,470,749       2,862,017  

Natural Gas Futures

    Oct-21       661       28,931,970       2,396,470  

Natural Gas Futures

    Nov-21       266       11,770,500       804,990  

Natural Gas Futures

    Dec-21       3       135,450       12,050  

Natural Gas Futures ICE

    Oct-21       20       1,088,612       161,084  

Natural Gas Futures ICE

    Nov-21       10       540,978       66,488  

Nikkei 225 (Chicago Mercantile Exchange)

    Sep-21       4       561,400       (4,325 )

Nikkei 225 (Osaka Securities Exchange)

    Sep-21       10       2,561,469       40,904  

Nikkei 225 (Singapore Exchange)

    Sep-21       218       27,920,011       188,215  

Nikkei/Yen Futures

    Sep-21       7       893,015       12,180  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Oct-21       211       18,877,832       197,824  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Nov-21       21       1,873,544       16,393  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Dec-21       3       267,007       3,696  

NZD Currency Futures

    Sep-21       76       5,362,940       (69,835 )

OAT Futures

    Dec-21       3       75,338       4,088  

OMX Stockholm 30 Index Futures

    Sep-21       806       21,984,280       (24,700 )

Orange Juice Futures

    Nov-21       9       184,883       (14,228 )

Palm Oil Futures

    Oct-21       4       105,196       1,341  

Palm Oil Futures

    Nov-21       34       869,834       (1,058 )

Palm Oil Futures

    Dec-21       9       225,758       (3,494 )

Palm Oil Futures

    Jan-22       2       49,278       (842 )

Rapeseed Euro

    Nov-21       10       334,890       14,922  

Rapeseed Euro

    Feb-22       7       232,770       13,962  

Red Wheat Futures (Minneapolis Grain Exchange)

    Dec-21       13       587,275       4,463  

Red Wheat Futures (Minneapolis Grain Exchange)

    Mar-22       4       178,450       (1,138 )

Russell 2000 E-Mini

    Sep-21       72       8,176,320       29,115  

S&P 500 E-Mini Futures

    Sep-21       466       105,327,649       2,089,708  

S&P Mid 400 E-Mini

    Sep-21       19       5,228,800       77,450  

S&P/TSX 60 IX Futures

    Sep-21       73       14,232,584       301,871  

SGX Iron Ore 62% Futures

    Oct-21       5       75,100       (6,120 )

SGX Iron Ore 62% Futures

    Nov-21       3       44,313       (5,327 )

SGX Iron Ore 62% Futures

    Dec-21       2       28,992       39  

SGX Nifty 50

    Sep-21       248       8,494,248       247,674  

Short BTP Future

    Sep-21       153       20,491,652       29,283  

Soybean Futures

    Nov-21       59       3,812,875       (164,913 )

Soybean Futures

    Jan-22       6       390,075       (22,025 )

Soybean Futures

    Mar-22       58       3,785,225       (186,175 )

Soybean Meal Futures

    Dec-21       4       138,240       (6,150 )

Soybean Oil Futures

    Dec-21       85       2,996,250       (162,174 )

Soybean Oil Futures

    Jan-22       9       317,088       (7,590 )

Soybean Oil Futures

    Mar-22       2       70,248       192  

 

 

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

 

19

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

SPI 200 Futures

    Sep-21       139     $ 19,557,715     $ 403,066  

STOXX Dividend Futures

    Dec-22       3       40,027       2,161  

STOXX Europe 600 Banks Index

    Sep-21       8       64,044       (502 )

STOXX Europe 600 Index

    Sep-21       33       915,086       8,100  

STOXX Europe 600 Institutional Index

    Sep-21       1       18,178       (30 )

STOXX Europe 600 Utilities Index

    Sep-21       2       46,321       921  

Sugar No. 11 (World)

    Oct-21       393       8,732,774       658,635  

Sugar No. 11 (World)

    Mar-22       418       9,620,688       1,162,504  

Sugar No. 11 (World)

    May-22       61       1,354,102       12,096  

Topix Index Futures

    Sep-21       52       9,285,461       110,621  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Dec-21       2,131       284,388,609       977,781  

U.S. Treasury 2-Year Notes (Chicago Board of Trade)

    Dec-21       868       191,244,812       116,032  

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Dec-21       697       86,231,968       237,094  

U.S. Treasury Long Bond (Chicago Board of Trade)

    Dec-21       328       53,453,750       144,430  

U.S. Treasury Ultra 10-Year Notes

    Dec-21       9       1,332,141       4,703  

U.S. Treasury Ultra Long Bond (Chicago Board of Trade)

    Dec-21       13       2,564,656       602  

USD/NOK Futures

    Sep-21       2       199,790       10,031  

USD/SEK Futures

    Sep-21       8       799,189       34,755  

Wheat (Chicago Board of Trade)

    Dec-21       572       20,656,350       (151,754 )

Wheat (Chicago Board of Trade)

    Mar-22       37       1,363,450       (32,663 )

Wheat (Chicago Board of Trade)

    May-22       2       74,400       (4,388 )

White Sugar ICE

    Oct-21       22       531,630       (6,545 )

White Sugar ICE

    Dec-21       19       482,885       22,170  

White Sugar ICE

    Mar-22       3       77,700       700  

WTI Crude Futures

    Oct-21       451       30,893,500       430,660  

WTI Crude Futures

    Nov-21       19       1,296,940       38,460  

WTI Crude Futures

    Dec-21       63       4,280,220       171,040  

WTI Crude Futures

    Jan-22       4       270,400       (410 )

WTI Crude Futures IPE

    Oct-21       5       342,500       9,780  
                            $ 27,256,950  

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month Euro Euribor

    Jun-22       20     $ (5,934,150 )   $ (930 )

3-Month Euro Euribor

    Dec-22       453       (134,355,000 )     3,882  

90-DAY Eurodollar Futures

    Mar-22       1,736       (433,370,699 )     (214,575 )

90-DAY Eurodollar Futures

    Jun-23       446       (110,786,399 )     246,100  

90-DAY Eurodollar Futures

    Mar-24       25       (6,183,438 )     (6,875 )

90-DAY Eurodollar Futures

    Jun-24       9       (2,224,013 )     (4,700 )

90-DAY Eurodollar Futures

    Jun-25       3       (739,200 )     (3,288 )

90-DAY Sterling Futures

    Mar-22       350       (59,972,416 )     (14,891 )

90-DAY Sterling Futures

    Jun-22       296       (50,666,116 )     50,242  

90-DAY Sterling Futures

    Sep-22       95       (16,250,473 )     4,460  

90-DAY Sterling Futures

    Dec-22       69       (11,797,639 )     4,537  

90-DAY Sterling Futures

    Mar-23       355       (60,673,592 )     4,021  

90-DAY Sterling Futures

    Jun-23       604       (103,189,042 )     (20,021 )

90-DAY Sterling Futures

    Sep-23       317       (54,138,095 )     (13,723 )

 

 

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

 

20

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

90-DAY Sterling Futures

    Dec-23       258     $ (44,046,401 )   $ (13,104 )

90-DAY Sterling Futures

    Mar-24       49       (8,363,718 )     (3,729 )

90-DAY Sterling Futures

    Jun-24       48       (8,190,555 )     (3,188 )

90-DAY Sterling Futures

    Sep-24       27       (4,605,795 )     954  

AUD/USD Currency Futures

    Sep-21       1,284       (94,001,639 )     2,430,327  

CAD Currency Futures

    Sep-21       240       (19,036,800 )     31,812  

Canadian 10-Year Bond Futures

    Dec-21       21       (2,432,315 )     (3,250 )

CHF Currency Futures

    Sep-21       16       (2,186,800 )     18,446  

Cocoa Futures ICE

    Dec-21       11       (265,718 )     (7,108 )

Corn Futures

    Dec-21       48       (1,282,200 )     12,700  

Dollar Index

    Sep-21       6       (555,810 )     (1,795 )

EUR Foreign Exchange Currency Futures

    Sep-21       1,664       (245,762,399 )     1,731,179  

Euro E-Mini Futures

    Sep-21       1       (73,847 )     (391 )

Euro STOXX 50

    Sep-21       125       (6,171,628 )     (103,174 )

Euro/JPY Futures

    Sep-21       50       (7,382,516 )     (17,043 )

Euro-Bund Futures

    Sep-21       849       (175,880,896 )     (2,295,411 )

Euro-Oat Futures

    Sep-21       319       (60,709,889 )     22,576  

FTSE China A50 Index

    Sep-21       169       (2,493,426 )     34,289  

Gasoline RBOB Futures

    Oct-21       2       (179,920 )     (10,030 )

Gasoline RBOB Futures

    Jan-22       1       (84,214 )     (2,155 )

GBP Currency Futures

    Sep-21       18       (1,547,775 )     45,200  

Gold 100 Oz Futures

    Dec-21       95       (17,271,950 )     (383,289 )

Hang Seng China Enterprises Index Futures

    Sep-21       98       (5,761,593 )     (144,006 )

Hang Seng Index Futures

    Sep-21       87       (17,707,319 )     (232,776 )

JPY Currency Futures

    Sep-21       1,495       (169,906,749 )     343,635  

JPY Currency Futures

    Dec-21       11       (1,251,044 )     3,110  

Lean Hogs Futures

    Dec-21       1       (32,780 )     160  

Lean Hogs Futures

    Feb-22       1       (33,360 )     220  

LME Aluminum Forward

    Sep-21       1,628       (110,419,099 )     (9,268,183 )

LME Aluminum Forward

    Dec-21       407       (27,642,930 )     (849,817 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       12       (821,700 )     (89,375 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       14       (949,550 )     (83,013 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       6       (406,824 )     (49,549 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       (67,831 )     (4,974 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       (67,842 )     (4,984 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       (67,845 )     (4,745 )

LME Aluminum Forward - 90 Day Settlement

    Sep-21       1       (67,847 )     (4,422 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       4       (271,399 )     (15,995 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       (339,341 )     (27,799 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       9       (610,909 )     (44,910 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       6       (407,321 )     (29,682 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       (339,500 )     (34,750 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       1       (67,900 )     (6,688 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       8       (543,200 )     (31,490 )

LME Aluminum Forward - 90 Day Settlement

    Oct-21       5       (339,500 )     (17,691 )

LME Aluminum Forward - 90 Day Settlement

    Nov-21       3       (203,700 )     (10,302 )

LME Aluminum Forward - 90 Day Settlement

    Nov-21       1       (67,900 )     (2,834 )

LME Aluminum Forward - 90 Day Settlement

    Nov-21       9       (611,100 )     (26,054 )

LME Aluminum Forward - 90 Day Settlement

    Nov-21       1       (67,906 )     (3,206 )

LME Aluminum Forward - 90 Day Settlement

    Nov-21       2       (135,888 )     (5,963 )

 

 

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

 

21

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Copper Forward

    Sep-21       418     $ (99,538,862 )   $ 581,552  

LME Copper Forward

    Oct-21       1       (238,088 )     (7,673 )

LME Copper Forward

    Dec-21       99       (23,565,093 )     (492,113 )

LME Copper Forward - 90 Day Settlement

    Sep-21       3       (714,619 )     22,206  

LME Copper Forward - 90 Day Settlement

    Sep-21       1       (238,219 )     6,694  

LME Copper Forward - 90 Day Settlement

    Sep-21       3       (714,394 )     (3,056 )

LME Copper Forward - 90 Day Settlement

    Sep-21       3       (714,219 )     (35,144 )

LME Copper Forward - 90 Day Settlement

    Sep-21       2       (476,167 )     10,173  

LME Copper Forward - 90 Day Settlement

    Sep-21       1       (238,097 )     6,352  

LME Copper Forward - 90 Day Settlement

    Oct-21       1       (238,150 )     (3,763 )

LME Copper Forward - 90 Day Settlement

    Oct-21       2       (476,350 )     12,984  

LME Copper Forward - 90 Day Settlement

    Oct-21       2       (476,313 )     8,053  

LME Copper Forward - 90 Day Settlement

    Oct-21       1       (238,131 )     (7,594 )

LME Copper Forward - 90 Day Settlement

    Oct-21       2       (476,063 )     8,215  

LME Copper Forward - 90 Day Settlement

    Oct-21       5       (1,190,243 )     (16,755 )

LME Copper Forward - 90 Day Settlement

    Nov-21       2       (476,166 )     (3,916 )

LME Copper Forward - 90 Day Settlement

    Nov-21       2       (476,252 )     (3,990 )

LME Copper Forward - 90 Day Settlement

    Nov-21       2       (475,936 )     (8,723 )

LME Lead Forward

    Sep-21       160       (9,144,000 )     82,474  

LME Lead Forward

    Dec-21       3       (168,938 )     1,795  

LME Nickel Forward

    Sep-21       90       (10,566,450 )     (397,796 )

LME Nickel Forward

    Oct-21       3       (352,053 )     (6,014 )

LME Nickel Forward

    Dec-21       2       (234,552 )     (3,932 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       (235,041 )     (17,443 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       (117,471 )     (7,088 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       (234,810 )     (22,830 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       (117,351 )     (12,351 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       4       (469,344 )     (38,741 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       1       (117,313 )     (547 )

LME Nickel Forward - 90 Day Settlement

    Sep-21       2       (234,654 )     (18,750 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       (234,658 )     (14,599 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       3       (352,028 )     (9,740 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       (234,688 )     (4,108 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       (117,350 )     (6,140 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       (117,329 )     (513 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       (117,306 )     (1,175 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       1       (117,316 )     (7,144 )

LME Nickel Forward - 90 Day Settlement

    Oct-21       2       (234,636 )     (4,044 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       (117,321 )     (5,781 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       (117,322 )     (2,014 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       (117,300 )     (3,990 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       2       (234,552 )     (12,522 )

LME Nickel Forward - 90 Day Settlement

    Nov-21       1       (117,276 )     (3,606 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       3       (178,950 )     (13,125 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       2       (118,750 )     (11,965 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       (59,000 )     (4,213 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       (58,025 )     (3,713 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       (57,150 )     (2,688 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       6       (341,862 )     (6,378 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       1       (56,909 )     (2,672 )

LME Palladium Forward - 90 Day Settlement

    Sep-21       2       (113,779 )     (197 )

 

 

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

 

22

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Palladium Forward - 90 Day Settlement

    Sep-21       1     $ (56,850 )   $ 2,464  

LME Palladium Forward - 90 Day Settlement

    Oct-21       2       (113,675 )     2,742  

LME Palladium Forward - 90 Day Settlement

    Oct-21       3       (170,438 )     6,018  

LME Palladium Forward - 90 Day Settlement

    Oct-21       3       (170,419 )     6,168  

LME Palladium Forward - 90 Day Settlement

    Oct-21       1       (56,688 )     1,750  

LME Palladium Forward - 90 Day Settlement

    Oct-21       4       (226,506 )     3,494  

LME Palladium Forward - 90 Day Settlement

    Nov-21       2       (113,350 )     2,363  

LME Palladium Forward - 90 Day Settlement

    Nov-21       1       (56,675 )     (25 )

LME Palladium Forward - 90 Day Settlement

    Nov-21       1       (56,653 )     907  

LME Palladium Forward - 90 Day Settlement

    Nov-21       2       (113,260 )     1,865  

LME Palladium Forward - 90 Day Settlement

    Nov-21       1       (56,379 )     797  

LME Silver Forward - 90 Day Settlement

    Sep-21       1       (171,025 )     (16,975 )

LME Silver Forward - 90 Day Settlement

    Sep-21       1       (171,935 )     (22,085 )

LME Silver Forward - 90 Day Settlement

    Sep-21       2       (343,410 )     (29,710 )

LME Silver Forward - 90 Day Settlement

    Sep-21       2       (341,930 )     (46,905 )

LME Silver Forward - 90 Day Settlement

    Sep-21       1       (170,985 )     (10,636 )

LME Silver Forward - 90 Day Settlement

    Oct-21       1       (170,985 )     2,179  

LME Silver Forward - 90 Day Settlement

    Oct-21       1       (170,660 )     1,960  

LME Silver Forward - 90 Day Settlement

    Oct-21       2       (340,850 )     8,396  

LME Silver Forward - 90 Day Settlement

    Oct-21       2       (340,670 )     (17,535 )

LME Silver Forward - 90 Day Settlement

    Nov-21       1       (170,106 )     (8,751 )

LME Silver Forward - 90 Day Settlement

    Nov-21       3       (509,149 )     (23,849 )

LME Zinc Forward

    Sep-21       194       (14,545,150 )     (94,030 )

LME Zinc Forward

    Dec-21       4       (300,575 )     (4,733 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       (149,719 )     (9,069 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       (74,917 )     (2,312 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       (74,927 )     1,111  

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       (74,969 )     (2,303 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       8       (599,700 )     (21,263 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       (149,956 )     (4,011 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       (74,986 )     (2,351 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       2       (149,979 )     (4,654 )

LME Zinc Forward - 90 Day Settlement

    Sep-21       1       (75,013 )     (1,250 )

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       (75,043 )     (1,122 )

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       (75,048 )     (1,692 )

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       (75,050 )     (523 )

LME Zinc Forward - 90 Day Settlement

    Oct-21       2       (150,120 )     1,191  

LME Zinc Forward - 90 Day Settlement

    Oct-21       1       (75,050 )     (313 )

LME Zinc Forward - 90 Day Settlement

    Nov-21       3       (225,278 )     (1,678 )

LME Zinc Forward - 90 Day Settlement

    Nov-21       2       (150,192 )     1,109  

LME Zinc Forward - 90 Day Settlement

    Nov-21       1       (75,119 )     469  

LME Zinc Forward - 90 Day Settlement

    Nov-21       2       (150,088 )     (2,800 )

Long Gilt Futures

    Dec-21       130       (22,920,464 )     64,261  

Milk Futures

    Sep-21       2       (67,000 )     4,640  

Mini H-Shares Index Futures

    Sep-21       13       (152,859 )     (2,437 )

Mini HSI Index Futures

    Sep-21       20       (662,274 )     (12,748 )

MSCI Emerging Markets Index Futures

    Sep-21       18       (1,169,280 )     (40,550 )

New Zealand 3-Month Bank Bill Futures

    Dec-21       7       (488,916 )     1,099  

New Zealand 3-Month Bank Bill Futures

    Mar-22       8       (557,013 )     543  

Nikkei 225 (Osaka Securities Exchange)

    Sep-21       35       (8,965,141 )     (139,890 )

Nikkei 225 Mini

    Sep-21       27       (691,597 )     (16,984 )

 

 

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

 

23

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

NY Harbor Ultra-Low Sulfur Diesel Futures

    Oct-21       114     $ (10,199,398 )   $ (480,504 )

NZD Currency Futures

    Sep-21       4       (282,260 )     5,660  

Palladium Futures

    Dec-21       2       (494,200 )     (9,230 )

Platinum Futures

    Oct-21       174       (8,822,670 )     554,660  

Rough Rice Futures

    Nov-21       1       (26,770 )     110  

S&P 500 E-Mini Futures

    Sep-21       140       (31,643,499 )     (773,324 )

SGX Iron Ore 62% Futures

    Oct-21       12       (180,240 )     7,515  

Silver Futures

    Dec-21       140       (16,804,200 )     (141,515 )

Silver Futures

    Mar-22       1       (120,295 )     (2,030 )

Soybean Futures

    Nov-21       2       (129,250 )     3,063  

Soybean Meal Futures

    Dec-21       33       (1,140,480 )     44,950  

Soybean Meal Futures

    Jan-22       14       (485,800 )     15,400  

Soybean Oil Futures

    Dec-21       6       (211,500 )     3,564  

U.S. Treasury 10-Year Notes (Chicago Board of Trade)

    Dec-21       36       (4,804,313 )     (14,664 )

U.S. Treasury 5-Year Notes (Chicago Board of Trade)

    Dec-21       350       (43,301,562 )     (93,922 )

U.S. Treasury Long Bond (Chicago Board of Trade)

    Dec-21       19       (3,096,406 )     (4,609 )
                            $ (10,928,610 )

Total Futures Contracts

                          $ 16,328,340  

 

Forward foreign currency contracts outstanding as of August 31, 2021 were as follows:

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
AUD   200,000   JPY   16,117,636   Sep 01 2021   

BOA

   $(194)
AUD   30,851,527   USD   22,512,517   Sep 01 2021   

BOA

    57,044 
AUD   200,000   JPY   16,096,400   Sep 02 2021   

BOA

    (1)
AUD   26,765,877   USD   19,576,562   Sep 02 2021   

BOA

    4,228 
AUD   20,200,000   CAD   18,796,807   Sep 14 2021   

BOA

    (119,704)
AUD   10,038,778   EUR   6,250,000   Sep 14 2021   

BOA

    (37,298)
AUD   23,000,000   JPY   1,835,925,812   Sep 14 2021   

BOA

    137,121 
AUD   16,000,000   NZD   16,780,288   Sep 14 2021   

BOA

    (118,443)
AUD   8,400,000   USD   6,177,952   Sep 14 2021   

BOA

    (32,417)
AUD   6,533,000   USD   4,793,699   Sep 17 2021   

BOA

    (13,987)
AUD   35,088,000   USD   25,895,246   Oct 15 2021   

BOA

    (220,035)
BRL   11,581,689   USD   2,238,452   Sep 02 2021   

BOA

    891 
BRL   18,460,017   USD   3,600,000   Sep 15 2021   

BOA

    (36,915)
BRL   2,680,668   USD   500,000   Oct 04 2021   

BOA

    15,934 
CAD   33,144,639   AUD   35,800,000   Sep 14 2021   

BOA

    78,585 
CAD   22,003,665   EUR   14,750,000   Sep 14 2021   

BOA

    18,988 
CAD   14,200,000   JPY   1,231,166,000   Sep 14 2021   

BOA

    62,627 
CAD   10,100,000   USD   8,054,431   Sep 14 2021   

BOA

    (49,223)
CAD   22,834,000   USD   18,796,419   Sep 17 2021   

BOA

    (698,394)
CAD   42,174,000   USD   33,702,510   Oct 15 2021   

BOA

    (277,175)
CHF   13,002,753   USD   14,185,394   Sep 01 2021   

BOA

    13,969 
CHF   12,552,562   USD   13,705,723   Sep 02 2021   

BOA

    2,351 
CHF   15,953,347   EUR   14,875,000   Sep 14 2021   

BOA

    (141,257)
CHF   5,500,000   JPY   663,213,150   Sep 14 2021   

BOA

    (20,922)
CHF   5,375,000   USD   5,925,510   Sep 14 2021   

BOA

    (53,879)

 

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

 

24

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
CHF   7,026,000   USD   7,736,667   Sep 17 2021   

BOA

   $(60,854)
CHF   29,196,000   USD   31,784,270   Oct 15 2021   

BOA

    134,654 
CLP   233,054,000   USD   300,000   Sep 03 2021   

BOA

    1,129 
CLP   78,113,000   USD   100,000   Sep 07 2021   

BOA

    914 
CLP   156,254,000   USD   200,000   Sep 10 2021   

BOA

    1,839 
CLP   395,490,000   USD   500,000   Sep 13 2021   

BOA

    10,805 
CLP   1,252,932,450   USD   1,750,000   Sep 15 2021   

BOA

    (131,877)
CLP   391,120,000   USD   500,000   Sep 20 2021   

BOA

    5,014 
CLP   387,280,000   USD   500,000   Sep 27 2021   

BOA

    (89)
CLP   235,585,844   USD   300,000   Sep 30 2021   

BOA

    4,062 
CNH   1,000,000   USD   154,844   Sep 02 2021   

BOA

    75 
CNH   66,828,292   USD   10,300,000   Sep 14 2021   

BOA

    41,495 
CNH   157,429,358   USD   24,387,235   Sep 15 2021   

BOA

    (28,112)
CNH   6,500,000   USD   998,650   Dec 15 2021   

BOA

    98 
COP   3,149,575,325   USD   850,000   Sep 15 2021   

BOA

    (15,032)
CZK   145,393,602   EUR   5,700,000   Sep 15 2021   

BOA

    20,004 
EUR   100,000   GBP   85,727   Sep 01 2021   

BOA

    214 
EUR   1,500,000   SEK   15,237,284   Sep 01 2021   

BOA

    5,413 
EUR   74,296,356   USD   87,655,204   Sep 01 2021   

BOA

    71,777 
EUR   488,634   NOK   5,000,000   Sep 02 2021   

BOA

    1,879 
EUR   70,171,344   USD   82,858,323   Sep 02 2021   

BOA

    (499)
EUR   2,875,000   AUD   4,658,149   Sep 14 2021   

BOA

    (12,335)
EUR   6,750,000   CAD   10,189,307   Sep 14 2021   

BOA

    (103,669)
EUR   800,000   GBP   684,149   Sep 14 2021   

BOA

    4,237 
EUR   800,000   HUF   285,348,880   Sep 14 2021   

BOA

    (20,156)
EUR   5,600,000   JPY   726,040,204   Sep 14 2021   

BOA

    13,828 
EUR   1,000,000   PLN   4,559,209   Sep 14 2021   

BOA

    (9,298)
EUR   9,500,000   USD   11,267,348   Sep 14 2021   

BOA

    (47,040)
EUR   2,050,000   CZK   52,543,306   Sep 15 2021   

BOA

    (18,927)
EUR   4,300,000   HUF   1,534,520,451   Sep 15 2021   

BOA

    (110,717)
EUR   16,317,078   NOK   170,039,168   Sep 15 2021   

BOA

    (285,927)
EUR   8,469,395   PLN   38,727,373   Sep 15 2021   

BOA

    (108,219)
EUR   15,118,509   SEK   154,636,445   Sep 15 2021   

BOA

    (64,982)
EUR   7,479,000   USD   9,121,388   Sep 17 2021   

BOA

    (287,468)
EUR   5,631,000   USD   6,648,097   Oct 15 2021   

BOA

    6,751 
GBP   85,751   EUR   100,000   Sep 01 2021   

BOA

    (182)
GBP   21,976,875   USD   30,113,264   Sep 01 2021   

BOA

    101,759 
GBP   21,976,875   USD   30,245,015   Sep 02 2021   

BOA

    (29,963)
GBP   21,976,875   USD   30,223,038   Sep 03 2021   

BOA

    (7,956)
GBP   7,875,000   AUD   14,799,385   Sep 14 2021   

BOA

    (121)
GBP   1,500,000   CHF   1,885,775   Sep 14 2021   

BOA

    2,325 
GBP   9,886,800   EUR   11,600,000   Sep 14 2021   

BOA

    (107,302)
GBP   4,000,000   JPY   607,530,058   Sep 14 2021   

BOA

    (23,334)
GBP   6,125,000   USD   8,512,682   Sep 14 2021   

BOA

    (91,467)
GBP   14,168,000   USD   19,999,827   Sep 17 2021   

BOA

    (520,182)
GBP   3,513,000   USD   4,809,014   Oct 15 2021   

BOA

    21,313 
HUF   247,795,020   EUR   700,000   Sep 14 2021   

BOA

    11,260 
HUF   1,563,683,680   USD   5,200,000   Sep 14 2021   

BOA

    88,234 
HUF   4,245,237,056   EUR   12,100,000   Sep 15 2021   

BOA

    65,247 
HUF   1,150,500,000   USD   3,808,326   Oct 15 2021   

BOA

    79,312 
IDR   23,140,741,000   USD   1,600,000   Sep 30 2021   

BOA

    18,177 

 

 

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

 

25

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
ILS   11,599,783   USD   3,600,000   Sep 14 2021   

BOA

   $16,372 
ILS   13,269,011   USD   4,100,000   Sep 17 2021   

BOA

    36,840 
INR   663,379,774   USD   8,900,000   Sep 07 2021   

BOA

    181,174 
INR   647,693,250   USD   8,700,000   Sep 13 2021   

BOA

    160,742 
INR   769,890,318   USD   10,400,000   Sep 15 2021   

BOA

    130,199 
INR   646,527,450   USD   8,700,000   Sep 20 2021   

BOA

    138,169 
INR   637,522,950   USD   8,700,000   Sep 27 2021   

BOA

    8,554 
INR   1,075,619,373   USD   14,500,000   Sep 30 2021   

BOA

    188,234 
INR   645,330,400   USD   8,800,000   Oct 01 2021   

BOA

    11,505 
JPY   16,037,534   AUD   200,000   Sep 01 2021   

BOA

    (534)
JPY   620,904,511   USD   5,650,751   Sep 01 2021   

BOA

    (6,894)
JPY   620,824,410   USD   5,642,832   Sep 02 2021   

BOA

    337 
JPY   1,201,865,220   AUD   15,200,000   Sep 14 2021   

BOA

    (194,638)
JPY   669,294,544   CAD   7,800,000   Sep 14 2021   

BOA

    (97,852)
JPY   180,162,250   CHF   1,500,000   Sep 14 2021   

BOA

    (785)
JPY   190,330,206   GBP   1,250,000   Sep 14 2021   

BOA

    11,629 
JPY   715,802,580   NZD   9,400,000   Sep 14 2021   

BOA

    (116,526)
JPY   2,240,642,000   USD   20,340,577   Sep 17 2021   

BOA

    29,133 
JPY   943,400,000   USD   8,600,280   Oct 15 2021   

BOA

    (21,779)
KRW   8,048,390,000   USD   7,000,000   Sep 07 2021   

BOA

    (59,220)
KRW   7,861,140,000   USD   6,800,000   Sep 13 2021   

BOA

    (21,189)
KRW   4,034,975,972   USD   3,600,000   Sep 15 2021   

BOA

    (120,647)
KRW   8,007,612,000   USD   6,800,000   Sep 23 2021   

BOA

    104,289 
KRW   8,051,831,000   USD   6,900,000   Sep 24 2021   

BOA

    42,332 
KRW   7,904,864,000   USD   6,800,000   Sep 27 2021   

BOA

    15,371 
MXN   71,000,000   USD   3,557,239   Sep 14 2021   

BOA

    (28,967)
MXN   200,223,000   USD   10,003,775   Sep 17 2021   

BOA

    (58,169)
MXN   320,790,000   USD   15,928,368   Oct 15 2021   

BOA

    (55,730)
NOK   5,000,000   EUR   488,636   Sep 02 2021   

BOA

    (1,882)
NOK   55,500,000   SEK   54,995,758   Sep 02 2021   

BOA

    10,452 
NOK   11,767,853   EUR   1,125,000   Sep 14 2021   

BOA

    24,838 
NOK   26,410,805   USD   3,000,000   Sep 14 2021   

BOA

    37,816 
NOK   178,097,447   EUR   17,478,118   Sep 15 2021   

BOA

    (158,512)
NZD   41,406,549   AUD   39,400,000   Sep 14 2021   

BOA

    351,625 
NZD   16,400,000   JPY   1,245,656,960   Sep 14 2021   

BOA

    232,301 
NZD   5,800,000   USD   4,067,621   Sep 14 2021   

BOA

    19,347 
NZD   18,330,000   USD   12,856,191   Sep 17 2021   

BOA

    60,037 
PHP   57,993,080   USD   1,200,000   Sep 15 2021   

BOA

    (34,692)
PHP   9,990,500   USD   200,000   Sep 30 2021   

BOA

    659 
PLN   15,705,160   EUR   3,476,843   Sep 15 2021   

BOA

    (6,003)
PLN   147,550,000   USD   37,807,078   Oct 15 2021   

BOA

    719,184 
RUB   524,851,129   USD   7,100,000   Sep 14 2021   

BOA

    49,640 
RUB   678,823,317   USD   9,200,000   Sep 15 2021   

BOA

    45,475 
RUB   133,912,696   USD   1,800,000   Sep 30 2021   

BOA

    19,125 
SEK   15,298,179   EUR   1,500,000   Sep 01 2021   

BOA

    1,643 
SEK   81,542,387   EUR   8,000,000   Sep 14 2021   

BOA

    1,617 
SEK   46,819,092   NOK   48,000,000   Sep 14 2021   

BOA

    (94,978)
SEK   32,627,279   USD   3,800,000   Sep 14 2021   

BOA

    (18,685)
SEK   169,541,200   EUR   16,767,223   Sep 15 2021   

BOA

    (154,943)
SEK   143,950,000   USD   16,564,783   Oct 15 2021   

BOA

    121,943 
SEK   1,000,000   EUR   98,276   Dec 15 2021   

BOA

    (312)

 

 

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

 

26

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
SGD   13,153,913   USD   9,792,380   Sep 02 2021   

BOA

   $(8,591)
SGD   16,507,012   USD   12,200,000   Sep 14 2021   

BOA

    77,475 
SGD   6,382,254   USD   4,800,000   Sep 15 2021   

BOA

    (53,055)
THB   89,769,288   USD   2,750,000   Sep 15 2021   

BOA

    34,901 
TRY   500,000   USD   60,117   Sep 01 2021   

BOA

    (25)
TRY   4,000,000   USD   463,207   Sep 15 2021   

BOA

    14,119 
TWD   72,529,600   USD   2,600,000   Sep 07 2021   

BOA

    17,103 
TWD   72,337,200   USD   2,600,000   Sep 13 2021   

BOA

    10,141 
TWD   82,641,851   USD   3,000,000   Sep 15 2021   

BOA

    (18,044)
TWD   16,701,000   USD   600,000   Sep 16 2021   

BOA

    2,619 
TWD   55,658,000   USD   2,000,000   Sep 22 2021   

BOA

    8,283 
TWD   55,824,000   USD   2,000,000   Sep 27 2021   

BOA

    14,260 
TWD   11,166,800   USD   400,000   Sep 30 2021   

BOA

    2,923 
TWD   55,420,000   USD   2,000,000   Oct 04 2021   

BOA

    (315)
USD   22,558,637   AUD   30,851,527   Sep 01 2021   

BOA

    (10,925)
USD   19,528,384   AUD   26,765,877   Sep 02 2021   

BOA

    (52,406)
USD   19,576,562   AUD   26,765,877   Sep 03 2021   

BOA

    (4,330)
USD   28,700,992   AUD   38,867,000   Sep 17 2021   

BOA

    264,887 
USD   6,199,706   AUD   8,586,000   Oct 15 2021   

BOA

    (82,993)
USD   2,213,349   BRL   11,581,689   Sep 02 2021   

BOA

    (25,994)
USD   1,600,000   BRL   8,450,802   Sep 15 2021   

BOA

    (31,143)
USD   300,000   BRL   1,588,545   Oct 04 2021   

BOA

    (5,739)
USD   1,917,281   CAD   2,400,000   Sep 14 2021   

BOA

    15,053 
USD   33,097,177   CAD   41,460,000   Sep 17 2021   

BOA

    236,348 
USD   5,637,780   CAD   7,137,000   Oct 15 2021   

BOA

    (18,706)
USD   14,270,079   CHF   13,002,753   Sep 01 2021   

BOA

    70,715 
USD   13,691,862   CHF   12,552,562   Sep 02 2021   

BOA

    (16,213)
USD   12,234,536   CHF   11,203,042   Sep 03 2021   

BOA

    (86)
USD   15,436,538   CHF   14,190,000   Sep 17 2021   

BOA

    (65,850)
USD   300,000   CLP   228,537,432   Sep 03 2021   

BOA

    4,707 
USD   100,000   CLP   77,697,000   Sep 07 2021   

BOA

    (377)
USD   200,000   CLP   156,396,288   Sep 10 2021   

BOA

    (2,023)
USD   500,000   CLP   391,247,288   Sep 13 2021   

BOA

    (5,326)
USD   3,550,000   CLP   2,718,093,482   Sep 15 2021   

BOA

    39,668 
USD   500,000   CLP   395,595,000   Sep 20 2021   

BOA

    (10,792)
USD   500,000   CLP   391,255,000   Sep 27 2021   

BOA

    (5,042)
USD   700,000   CLP   548,634,392   Sep 30 2021   

BOA

    (8,103)
USD   400,000   CLP   309,932,000   Oct 04 2021   

BOA

    44 
USD   154,844   CNH   1,000,000   Sep 02 2021   

BOA

    (75)
USD   3,000,000   CNH   19,483,915   Sep 14 2021   

BOA

    (15,082)
USD   7,593,905   CNH   49,334,876   Sep 15 2021   

BOA

    (39,705)
USD   2,650,000   COP   10,209,945,975   Sep 15 2021   

BOA

    (56,707)
USD   87,653,940   EUR   74,296,344   Sep 01 2021   

BOA

    (73,027)
USD   82,788,853   EUR   70,171,344   Sep 02 2021   

BOA

    (68,970)
USD   82,859,025   EUR   70,171,344   Sep 03 2021   

BOA

    (337)
USD   2,648,592   EUR   2,250,000   Sep 14 2021   

BOA

    (8,849)
USD   64,808,511   EUR   54,888,000   Sep 17 2021   

BOA

    (23,176)
USD   93,038,706   EUR   79,189,000   Oct 15 2021   

BOA

    (548,718)
USD   30,244,607   GBP   21,976,898   Sep 01 2021   

BOA

    29,553 
USD   30,222,599   GBP   21,976,875   Sep 02 2021   

BOA

    7,546 
USD   1,732,893   GBP   1,250,000   Sep 14 2021   

BOA

    14,277 

 

 

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

 

27

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2021

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
USD   37,841,034   GBP   27,461,000   Sep 17 2021   

BOA

   $84,782 
USD   9,424,992   GBP   6,796,000   Oct 15 2021   

BOA

    80,585 
USD   1,700,000   HUF   512,316,270   Sep 14 2021   

BOA

    (32,606)
USD   1,300,000   ILS   4,248,855   Sep 17 2021   

BOA

    (24,653)
USD   8,900,000   INR   663,428,250   Sep 07 2021   

BOA

    (181,838)
USD   8,700,000   INR   649,037,400   Sep 13 2021   

BOA

    (179,130)
USD   3,650,000   INR   273,153,310   Sep 15 2021   

BOA

    (86,063)
USD   8,700,000   INR   648,371,850   Sep 20 2021   

BOA

    (163,383)
USD   8,700,000   INR   647,206,050   Sep 27 2021   

BOA

    (140,825)
USD   8,700,000   INR   637,940,550   Sep 30 2021   

BOA

    (11,465)
USD   8,800,000   INR   646,953,652   Oct 01 2021   

BOA

    (33,669)
USD   8,800,000   INR   645,752,800   Oct 04 2021   

BOA

    (14,655)
USD   5,653,443   JPY   620,824,410   Sep 01 2021   

BOA

    10,314 
USD   5,649,832   JPY   620,824,410   Sep 02 2021   

BOA

    6,662 
USD   5,642,643   JPY   620,824,410   Sep 03 2021   

BOA

    (567)
USD   7,561,347   JPY   825,000,000   Sep 14 2021   

BOA

    61,480 
USD   73,181,427   JPY   8,029,556,000   Sep 17 2021   

BOA

    184,612 
USD   137,108,183   JPY   15,130,300,000   Oct 15 2021   

BOA

    (474,268)
USD   7,000,000   KRW   8,091,819,023   Sep 07 2021   

BOA

    21,767 
USD   6,800,000   KRW   8,007,884,000   Sep 13 2021   

BOA

    (105,352)
USD   8,400,000   KRW   9,714,824,711   Sep 15 2021   

BOA

    22,922 
USD   6,800,000   KRW   7,935,532,000   Sep 23 2021   

BOA

    (42,140)
USD   6,900,000   KRW   8,133,363,384   Sep 24 2021   

BOA

    (112,629)
USD   6,800,000   KRW   7,979,908,148   Sep 27 2021   

BOA

    (80,072)
USD   2,000,000   KRW   2,340,671,950   Sep 30 2021   

BOA

    (17,995)
USD   6,800,000   KRW   7,906,156,000   Oct 05 2021   

BOA

    (15,897)
USD   2,189,102   MXN   44,509,000   Sep 17 2021   

BOA

    (21,777)
USD   21,934,419   NZD   31,612,000   Sep 17 2021   

BOA

    (340,965)
USD   47,098,173   NZD   66,879,000   Oct 15 2021   

BOA

    (23,275)
USD   1,900,000   PHP   94,997,758   Sep 15 2021   

BOA

    (8,876)
USD   200,000   PHP   10,078,400   Sep 30 2021   

BOA

    (2,424)
USD   6,200,000   PLN   23,782,323   Sep 14 2021   

BOA

    (9,425)
USD   2,361,158   PLN   9,170,000   Oct 15 2021   

BOA

    (33,188)
USD   13,100,000   RUB   971,124,500   Sep 14 2021   

BOA

    (128,875)
USD   2,150,000   RUB   160,381,715   Sep 15 2021   

BOA

    (34,376)
USD   7,086   SEK   60,896   Sep 01 2021   

BOA

    30 
USD   9,712,000   SGD   13,153,913   Sep 02 2021   

BOA

    (71,789)
USD   6,300,000   SGD   8,511,971   Sep 15 2021   

BOA

    (30,970)
USD   4,900,000   THB   157,558,463   Sep 15 2021   

BOA

    12,084 
USD   60,075   TRY   500,000   Sep 01 2021   

BOA

    (16)
USD   389,833   TRY   3,500,000   Sep 15 2021   

BOA

    (27,827)
USD   4,700,000   TRY   42,500,804   Nov 10 2021   

BOA

    (227,993)
USD   2,600,000   TWD   72,376,200   Sep 07 2021   

BOA

    (11,568)
USD   2,600,000   TWD   72,406,200   Sep 13 2021   

BOA

    (12,630)
USD   2,700,000   TWD   75,005,025   Sep 15 2021   

BOA

    (6,397)
USD   600,000   TWD   16,674,635   Sep 16 2021   

BOA

    (1,668)
USD   2,000,000   TWD   55,858,000   Sep 22 2021   

BOA

    (15,500)
USD   2,000,000   TWD   55,454,000   Sep 27 2021   

BOA

    (910)
USD   100,000   TWD   2,792,800   Sep 30 2021   

BOA

    (770)
USD   1,000,000   ZAR   15,400,900   Sep 14 2021   

BOA

    (58,126)
USD   3,223,268   ZAR   47,478,658   Sep 15 2021   

BOA

    (38,302)

 

 

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

 

28

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Concluded)

August 31, 2021

 

Currency Purchased  Currency Sold  Expiration
Date
  Counterparty   Unrealized
Appreciation/
(Depreciation)
 
ZAR   76,868,762   USD   5,300,000   Sep 14 2021   

BOA

   $(18,698)
ZAR   69,414,029   USD   4,984,995   Sep 15 2021   

BOA

    (216,564)
ZAR   1,000,000   USD   67,869   Dec 15 2021   

BOA

    21 
Total Forward Foreign Currency Contracts