N-CSR 1 fp0084554-12_ncsr.htm

As filed with the Securities and Exchange Commission on 11/08/2023

 

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)

 

Steven Plump, President

c/o U.S. Bank Global Fund Services

615 East Michigan Street

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

 

(609) 731-6256

Registrant's telephone number, including area code

 

Date of fiscal year end: August 31

 

Date of reporting period: August 31, 2023

 

 

 

Item 1. Reports to Stockholders.

  

 

 

 

 

 

Abbey Capital Futures Strategy Fund

 

of

 

THE RBB FUND, INC.

 

 

Annual Report

 

 

 

 

August 31, 2023

 

 


 

 

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report

August 31, 2023 (Unaudited)

 

Abbey Capital Futures Strategy Fund Annual Report, August 31, 2023

 

Dear Shareholder,

 

The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned -2.83% net of fees for the 12-month fiscal year ended August 31, 2023.

 

Negative performance was driven by trading in metals, energy and major currencies. Emerging market currencies was the main positive contributor to Fund performance during the 12-month period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) strategies generated most of the negative performance, while the performance of the Fund’s non- Trendfollowing allocation was modestly positive in aggregate during the period. 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 and a multi- adviser fund that invests in managed futures and foreign exchange contracts. The Fund may also invest a portion of its assets into 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, 2023 (unless otherwise noted)

 

 

2023
YTD

1 Year

Sep. 1, 2021 to
Aug. 31, 2022

5 Years
Annualized

ANNUALIZED
SINCE
INCEPTION ON
JULY 1, 2014

Class I Shares

-1.36%

-2.83%

17.72%

6.12%

4.99%

Class A Shares*

-1.55%

-3.05%

17.40%

5.84%

4.73%

Class A Shares (max load)*

-7.24%

-8.64%

10.64%

4.59%

4.06%

Class C Shares**

-2.06%

-3.77%

16.48%

5.05%

3.96%

ICE BofA 3-Month U.S. Treasury Bill Index***

3.13%

4.25%

0.37%

1.65%

1.16%

Barclay CTA Index***

0.28%

-0.38%

8.34%

4.19%

2.64%

S&P 500® Total Return Index***

18.73%

15.94%

-11.23%

11.12%

11.59%

 

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 13, 2023

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 ICE BofA 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, and the table above is shown for illustrative purposes only.

 

1

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Continued)

August 31, 2023 (Unaudited)

 

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 31, 2023, 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 1.85%, 2.10% and 2.85% 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, 2022 (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 12-month period ended August 31, 2023 was negative overall for Fund performance. The Fund’s Trendfollowing sub-advisers drove losses for the period, while the non-Trendfollowing trading styles were modestly positive in aggregate.

 

Central bank monetary policy was an important driver of market moves throughout the 12- month period. Most central banks began aggressive interest rate hiking policies during the first half of 2022, and this hawkish shift in policy continued in the second half of the year and into 2023.

 

Inflation slowed from multi-decade highs during the period, with US inflation falling significantly from its peak in June 2022. The pace at which inflation slowed became a key focus for investors as markets tried to anticipate central bank policy responses to falling, albeit elevated, inflation. As we moved into 2023, central banks continued to raise rates, but in smaller increments. Investor focus shifted away from forecasting how high interest rates could go, and instead moved towards assessing when the peak in global central bank rates may occur and when central banks may begin to start cutting rates.

 

This slowdown in inflation supported equity returns. Stock markets steadied over the second half of 2022, though this period did see some notable negative and positive months as investors digested both hawkish and dovish central bank guidance. Equities then rallied strongly over the first eight months of 2023 alongside slowing inflation, generally strong corporate earnings, solid US economic data and hopes that we were approaching the end of the global rate hiking cycle.

 

Commodity markets were challenging for much of the period. Demand uncertainty amid a mixed global growth backdrop was a feature of several markets, with the outlook for the Chinese economy a factor within growth-sensitive markets like energy and base metals. Economic data from China was subdued for much of the period, while the reopening of the Chinese economy post-lockdowns in early 2023 ultimately stuttered and the anticipated rebound in economic activity proved weaker than expected. Offsetting this uncertain demand backdrop were supply concerns in some markets, for example in crude oil where OPEC+ production cuts were a feature, as well as in several agricultural markets like cocoa and sugar. This combination of supply and demand considerations contributed to a lack of clear trends and frequent price reversals across many commodity markets.

 

Fund performance from September to December 2022 was negative, with choppy price moves in commodity markets, most notably energy, proving particularly challenging for the Fund’s Trendfollowing sub-advisers. Notable losses in financial contracts occurred in November 2022, when the release of weaker-than-expected US inflation data prompted a dovish revision to market expectations for Federal Reserve monetary policy going forward. This contributed to a notable deviation from year-to-date uptrends in yields and the US Dollar, and supported equity prices.

 

2

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Continued)

August 31, 2023 (Unaudited)

 

Fund performance was also negative in Q1 2023. Concerns for the global banking sector in March 2023 following the collapse of Silicon Valley Bank caused a sharp move lower in yields and interest rate expectations. This was, in part, due to concerns about the impact of higher interest rates on the broader economy, and as uncertainty about whether the Federal Reserve could maintain a hawkish monetary policy stance intensified. This sharp reversal in yields was negative for many of the Fund’s sub-advisers which held short positions across several fixed income contracts.

 

The performance backdrop for the Fund improved from April to August 2023 with longer-term price trends re-emerging in currencies and fixed income as expectations for central bank monetary policy turned more hawkish and concerns about the health of the banking sector eased. This proved profitable for the Fund. While Trendfollowing sub-advisers were the primary source of negative Fund performance from September 2022 to March 2023, this trading style led gains through the last five months of the 12-month period.

 

For the 12-month period overall, the Fund’s allocation to Trendfollowing sub-advisers saw the largest losses at the trading style level. The non-Trendfollowing trading styles were modestly positive in aggregate, with gains for the Short-term and Global Macro sub-advisers outweighing losses for the Value sub-adviser.

 

The Fund’s largest losses over the 12-month period occurred in metals. Trendfollowing sub-advisers led losses in the sector as price moves were often range-bound and resulted in sharp price reversals at times. In precious metals, positioning in silver and gold transitioned between long and short as sustained price trends failed to emerge, leading to steady losses throughout the period. Prices of both metals responded to the fluctuating value of the US Dollar and choppiness in global yields. Negative performance in copper was more concentrated in March and April 2023 when long positions incurred losses as prices fell in response to weak Chinese economic data, risk-off sentiment in markets amid banking sector concerns and US-China tensions.

 

Negative performance in energy was concentrated in crude oil futures contracts. Prices proved choppy over the period owing to a lack of clear trends and frequent price reversals occurring. Demand-side factors behind these price moves included global demand uncertainty and the subdued economic performance in China following the reopening of the nation’s economy, while OPEC+ policy changes impacted global supplies at different times.

 

The Fund’s losses in major currencies were driven by the Short-term trading advisers, with Value and Trendfollowing also negative. The clear and steady trends in major currency pair contracts evident for most of 2022 unwound in the latter part of 2022 and trends were choppy for much of 2023. Trendfollowing and Short-term sub-advisers led losses in EUR/ USD contracts while negative performance from the Value sub-adviser was concentrated in USD/ CHF contracts. The US Dollar weakened against peers in the final quarter of 2022, marking a reversal to the uptrends seen during the first nine months of 2022. 2023 has so far seen the US Dollar strengthen and weaken against peers at different times as shifts in expectations for US monetary policy occurred, with prices trends lacking persistency.

 

Equities was another negative sector for the Fund during the year ended August 31, 2023, as losses from Trendfollowing and Value sub-advisers more than offset gains from the Fund’s Short-term sub-adviser. Losses were concentrated in the last four months of 2022, with choppy prices moves amid shifting expectations around the outlook for central bank policy proving challenging for Trendfollowing sub-advisers. In contrast, above-average volatility in the equities sector provided opportunities for the Fund’s Short-term sub-adviser which reported notable gains from trading in S&P 500 futures contracts.

 

Agricultural commodities was also a negative sector for the Fund. Losses in soybean, corn and coffee futures contracts were partially offset by gains in sugar and cocoa. Soybean losses stemmed from long positions held by Trendfollowing sub-advisers while mixed positioning in response to range-bound price moves in corn and coffee also incurred losses for the Fund. Long positions in sugar and cocoa generated positive performance as prices in both commodities rose to multi-year highs in 2023 owing to weather-related supply concerns.

 

Positively, the Fund’s largest gains over the 12-month period occurred in emerging market currencies. Gains were concentrated in long positions in the Mexican Peso and Polish Zloty against the US Dollar. The Mexican Peso rallied over the period owing to strong Mexican economic data and rate increases by the Bank of Mexico which led to an

 

3

 

 

Abbey Capital Futures Strategy Fund

 

Annual Investment Adviser’s Report (Concluded)

August 31, 2023 (Unaudited)

 

attractive carry relative to US yields. In addition, robust US economic data was a further tailwind given the close links between the Mexican and US economies. Meanwhile, gains in long Polish Zloty positions relative to the US Dollar were led by the Fund’s Value sub-adviser.

 

Fixed income was also a modestly positive sector for the Fund during the 12-month period. Gains were concentrated in short-term interest rates and more than offset losses in bonds. Despite several shifts for expectations around central bank policy, expectations for US rates turned more hawkish over the 12-month period. Meanwhile, United Kingdom (“UK”) rate expectations also rose as inflation proved higher and more entrenched in the UK than in some other developed economies.

 

Key to Currency Abbreviations

USD

US Dollar

CHF

Swiss Franc

EUR

Euro

 

An investment in the Fund is speculative and involves substantial risk. It is possible that an investor may lose some or all of their investment. The Fund may invest up to 25% of its total assets in ACMOF, which invests substantially all of its assets in 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 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 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.

 

This report is submitted for general information to the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Opinions expressed are subject to change at any time, are not guaranteed, and should not be considered investment advice.

 

4

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data

August 31, 2023 (Unaudited)

 

Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund - Class A Shares
vs. ICE BofA 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, 2023

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

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

-3.05%

6.95%

5.84%

4.73%*

 

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

-8.64%

4.86%

4.59%

4.06%*

 

S&P 500® Total Return Index

15.94%

10.52%

11.12%

11.59%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

4.25%

1.55%

1.65%

1.16%**

 

Barclay CTA Index***

-0.38%

5.01%

4.19%

2.64%**

 

 

††

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 expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes)

 

5

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Continued)

August 31, 2023 (Unaudited)

 

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 2.10% for Class A Shares as stated in the current prospectus, as supplemented (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, 2023 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, 2023 (Unaudited)

 

Comparison of Change in Value of $1,000,000 Investment in Abbey Capital Futures Strategy Fund – Class I Shares
vs. ICE BofA 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, 2023

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class I Shares

-2.83%

7.24%

6.12%

4.99%

 

S&P 500® Total Return Index

15.94%

10.52%

11.12%

11.59%*

 

ICE BofA 3-Month U.S. Treasury Bill Index**

4.25%

1.55%

1.65%

1.16%*

 

Barclay CTA Index**

-0.38%

5.01%

4.19%

2.64%*

 

 

††

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 1.85% for Class I Shares, as stated in the current prospectus, as supplemented (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, 2023 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, 2023 (Unaudited)

 

Comparison of Change in Value of $10,000 Investment in Abbey Capital Futures Strategy Fund – Class C Shares
vs. ICE BofA 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, 2023

 
 

One
Year

Three
Years

Five
Years

Since
Inception††

 

Class C Shares (without sales charge) (Pro forma July 1, 2014 to October 6, 2015)

-3.77%

6.18%

5.05%

3.96%*

 

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

-4.60%

6.18%

5.05%

3.96%*

 

S&P 500® Total Return Index

15.94%

10.52%

11.12%

11.59%**

 

ICE BofA 3-Month U.S. Treasury Bill Index***

4.25%

1.55%

1.65%

1.16%**

 

Barclay CTA Index***

-0.38%

5.01%

4.19%

2.64%**

 

 

††

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 Fund charges a contingent deferred sales charge (“CDSC”) of 1.00% on certain redemptions of Class C Shares made within 12 months of purchase. The CDSC is assessed on an amount equal to the lesser of the offering price at the time of purchase of the Class C Shares redeemed and the net asset value of the Class C Shares redeemed at the time of redemption.

 

8

 

 

Abbey Capital Futures Strategy Fund

 

Performance Data (Concluded)

August 31, 2023 (Unaudited)

 

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 2.85% for Class C Shares, as stated in the current prospectus, as supplemented (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, 2023 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 ICE BofA 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.

 

Barclay CTA Index

 

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 412 programs included in the calculation of the Barclay CTA Index for 2023. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.

 

ICE BofA 3-Month U.S. Treasury Bill Index

 

The ICE BofA 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.

 

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.

 

9

 

 

Abbey Capital Futures Strategy Fund

 

Fund Expense Examples

August 31, 2023 (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, 2023 through August 31, 2023, 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, 2023

Ending
Account Value
August 31, 2023

Expenses Paid
During
Period
(1)

Annualized
Expense
Ratio
(2)

Actual Six-
Month Total
Investment
Returns for the
Fund

Actual

         

Class A Shares

$ 1,000.00

$ 973.50

$ 10.15

2.04%

-2.65%

Class I Shares

1,000.00

974.70

8.91

1.79%

-2.53%

Class C Shares

1,000.00

969.90

13.85

2.79%

-3.01%

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

 

 

(1)

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, 2023 through August 31, 2023, 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 are based on the actual six-month total investment return for the Fund’s respective share classes.

 

(2)

Ratios reflect expenses waived by the Fund’s investment adviser. Without these waivers, the Fund’s expenses would have been higher and the ending account values would have been lower.

 

10

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio Holdings Summary Table

August 31, 2023 (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

    81.9 %   $ 2,247,513,674  

Money Market Deposit Account

    2.3       62,235,219  

OTHER ASSETS IN EXCESS OF LIABILITIES

               

(including futures and forward foreign currency contracts)

    15.8       433,852,042  

NET ASSETS

    100.0 %   $ 2,743,600,935  

 

 

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.

 

11

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments

August 31, 2023

 

   

Coupon*

   

Maturity
Date

   

Par
(000’s)

   

Value

 

SHORT-TERM INVESTMENTS - 84.2%

                               

U.S. TREASURY OBLIGATIONS - 81.9%

                               

U.S. Treasury Bills

    5.315 %     09/07/23     $ 52,937     $ 52,890,530  

U.S. Treasury Bills

    4.849 %     09/14/23       47,271       47,181,439  

U.S. Treasury Bills

    4.813 %     09/21/23       97,780       97,493,517  

U.S. Treasury Bills

    4.947 %     09/28/23       96,725       96,341,605  

U.S. Treasury Bills

    4.827 %     10/05/23       105,598       105,071,002  

U.S. Treasury Bills

    4.955 %     10/12/23       129,608       128,826,780  

U.S. Treasury Bills

    5.050 %     10/19/23       136,853       135,889,556  

U.S. Treasury Bills

    5.056 %     10/26/23       99,532       98,727,779  

U.S. Treasury Bills

    5.057 %     11/02/23       117,558       116,490,524  

U.S. Treasury Bills

    5.120 %     11/09/23       49,321       48,821,728  

U.S. Treasury Bills

    5.339 %     11/16/23       39,985       39,539,301  

U.S. Treasury Bills

    5.440 %     11/24/23       125,199       123,647,737  

U.S. Treasury Bills

    5.510 %     11/30/23       89,913       88,719,405  

U.S. Treasury Bills

    5.398 %     12/07/23       127,969       126,139,895  

U.S. Treasury Bills

    5.372 %     12/14/23       43,532       42,872,708  

U.S. Treasury Bills

    5.449 %     12/21/23       37,712       37,098,050  

U.S. Treasury Bills

    5.512 %     12/28/23       75,030       73,731,481  

U.S. Treasury Bills

    5.528 %     01/04/24       51,645       50,698,175  

U.S. Treasury Bills

    5.514 %     01/11/24       77,955       76,445,791  

U.S. Treasury Bills

    5.522 %     01/18/24       27,831       27,263,798  

U.S. Treasury Bills

    5.526 %     01/25/24       27,385       26,798,595  

U.S. Treasury Bills

    5.510 %     02/01/24       50,537       49,405,314  

U.S. Treasury Bills

    5.523 %     02/08/24       126,016       123,061,624  

U.S. Treasury Bills

    5.531 %     02/15/24       72,851       71,066,635  

U.S. Treasury Bills

    5.566 %     02/22/24       260,544       253,887,362  

U.S. Treasury Bills

    5.554 %     02/29/24       112,385       109,403,343  

TOTAL U.S. TREASURY OBLIGATIONS ($2,248,356,446)

                            2,247,513,674  
                               
                   

Number
of Shares
(000’s)

         

MONEY MARKET DEPOSIT ACCOUNT - 2.3%

                               

U.S. Bank Money Market Deposit Account, 5.20% (United States)(a)

                    62,235       62,235,219  

TOTAL MONEY MARKET DEPOSIT ACCOUNT

                               

(Cost $62,235,219)

                            62,235,219  
                                 

TOTAL SHORT-TERM INVESTMENTS

                               

(Cost $2,310,591,665)

                            2,309,748,893  

TOTAL INVESTMENTS - 84.2%

                               

(Cost $2,310,591,665)

                            2,309,748,893  
                                 

OTHER ASSETS IN EXCESS OF LIABILITIES - 15.8%

                            433,852,042  

NET ASSETS - 100.0%

                          $ 2,743,600,935  

 

 

*

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

(a)

The rate shown is as of August 31, 2023.

 

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

 

12

 

 

Abbey Capital Futures Strategy Fund

 

Consolidated Portfolio of Investments (Continued)

August 31, 2023

 

Futures contracts outstanding as of August 31, 2023 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-23       1     $ 100,959     $ 82  

3-Month SOFR Futures

    Mar-26       88       21,214,600       2,091  

AUD/USD Currency Futures

    Sep-23       79       5,117,620       (4,737 )

Bank Acceptance Futures

    Mar-24       30       5,243,117       6,106  

Bank Acceptance Futures

    Jun-24       35       6,125,065       7,318  

BIST 30 Index Futures

    Oct-23       379       1,247,021       (18,150 )

Brent Crude Futures

    Nov-23       314       27,264,620       760,932  

Brent Crude Futures

    Dec-23       94       8,105,620       372,460  

Brent Crude Futures

    Jan-24       69       5,909,160       136,680  

Brent Crude Oil Last Day

    Nov-23       17       1,476,110       62,730  

CAC40 10 Euro Futures

    Sep-23       637       50,620,298       215,126  

CAD Currency Futures

    Sep-23       111       8,212,335       31,620  

Canola Futures (Winnipeg Commodity Exchange)

    Nov-23       170       2,034,917       9,500  

Canola Futures (Winnipeg Commodity Exchange)

    Jan-24       28       337,318       (1,118 )

Cattle Feeder Futures

    Oct-23       90       11,521,125       235,525  

Cattle Feeder Futures

    Nov-23       23       2,962,975       48,188  

Cattle Feeder Futures

    Jan-24       1       128,350       413  

CHF Currency Futures

    Sep-23       88       12,473,450       (301,875 )

Cocoa Futures

    Dec-23       611       22,228,180       1,116,926  

Cocoa Futures

    Mar-24       211       7,697,280       387,440  

Cocoa Futures ICE

    Dec-23       270       10,090,070       1,105,094  

Cocoa Futures ICE

    Mar-24       105       3,861,399       358,948  

Cocoa Futures ICE

    May-24       1       36,028       2,863  

Coffee Robusta Futures

    Nov-23       117       2,912,130       (50,590 )

Coffee Robusta Futures

    Jan-24       39       930,540       (38,310 )

Copper Futures

    Dec-23       307       29,333,850       152,138  

Corn Futures

    Dec-23       561       13,414,913       (470,376 )

Cotton No.2 Futures

    Dec-23       673       29,551,430       924,100  

Cotton No.2 Futures

    Mar-24       13       570,245       8,620  

DAX Index Futures

    Sep-23       149       64,623,322       (390,261 )

DJIA Mini E-CBOT

    Sep-23       503       87,499,364       (1,004,523 )

Dollar Index

    Sep-23       412       42,677,844       124,812  

Dutch TTF Gas Futures

    Oct-23       5       141,489       (13,293 )

E-Mini Crude Oil

    Oct-23       16       669,040       23,615  

E-Mini Energy Select Futures

    Sep-23       3       279,420       (1,550 )

E-Mini Industrial Select Futures

    Sep-23       1       108,990       4,950  

E-Mini S&P 500 ESG Futures

    Sep-23       28       5,615,400       96,735  

E-Mini Technology Select Futures

    Sep-23       1       177,090       7,860  

EUR Foreign Exchange Currency Futures

    Sep-23       492       66,742,874       (750,331 )

Euro BUXL 30-Year Bond Futures

    Sep-23       19       2,756,639       22,526  

Euro E-Mini Futures

    Sep-23       1       67,831       231  

Euro STOXX 50

    Sep-23       1,117       52,239,956       (503,220 )

Euro Stoxx 50 Index Futures

    Sep-23       4       172,455       (2,234 )

Euro Stoxx Futures

    Sep-23       70       425,066       (835 )

Euro/JPY Futures

    Sep-23       212       28,681,089       591,481  

Euro-Bobl Futures

    Sep-23       135       16,997,051       28,969  

Euro-BTP Futures

    Sep-23       161       20,237,386       126,995  

Euro-BTP Futures

    Dec-23       8       923,933       3,253  

Euro-Bund Futures

    Sep-23       1,357       195,984,461       185,063  

 

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, 2023

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Euro-Oat Futures

    Sep-23       176     $ 24,411,099     $ 140,951  

Euro-Schatz Futures

    Sep-23       34       3,875,560       1,958  

FTSE 100 Index Futures

    Sep-23       66       6,239,311       (16,272 )

FTSE KLCI Futures

    Sep-23       2       30,851       (199 )

FTSE Taiwan Index

    Sep-23       337       19,310,100       101,490  

FTSE/JSE TOP 40

    Sep-23       13       475,125       (13,115 )

FTSE/MIB Index Futures

    Sep-23       190       29,752,334       794,748  

Gasoline RBOB Futures

    Oct-23       480       51,728,544       (292,921 )

Gasoline RBOB Futures

    Nov-23       118       12,292,367       101,858  

Gasoline RBOB Futures

    Dec-23       46       4,643,176       90,237  

Gasoline RBOB Futures

    Jan-24       25       2,484,090       134  

GBP Currency Futures

    Sep-23       1,042       82,480,812       (458,789 )

Gold 100 Oz Futures

    Dec-23       162       31,847,580       82,681  

IBEX 35 Index Futures

    Sep-23       15       1,551,008       20,413  

IBEX Mini Index Futures

    Sep-23       2       20,680       349  

Ice Three Miont SONIA Index Futures

    Mar-24       345       103,017,281       341,149  

Ice Three Miont SONIA Index Futures

    Jun-24       333       99,550,079       353,089  

IFSC Nifty 50 Futures

    Sep-23       408       15,870,384       6,932  

JPN 10-Year Bond (Osaka Securities Exchange)

    Sep-23       45       45,409,808       (69,487 )

JPX Nikkei Index 400 Futures

    Sep-23       1       14,482       477  

JPY Currency Futures

    Sep-23       91       7,839,650       23,513  

Lean Hogs Futures

    Oct-23       85       2,806,700       (5,020 )

Lean Hogs Futures

    Dec-23       18       535,140       2,780  

Live Cattle Futures

    Oct-23       373       26,979,090       (22,690 )

Live Cattle Futures

    Dec-23       244       18,036,480       225,080  

Live Cattle Futures

    Feb-24       161       12,161,940       94,850  

Live Cattle Futures

    Apr-24       22       1,695,540       5,180  

LME Aluminum Forward

    Sep-23       3       162,210       (7,940 )

LME Aluminum Forward

    Sep-23       1       54,163       (404 )

LME Aluminum Forward

    Sep-23       1       54,274       (1,801 )

LME Aluminum Forward

    Sep-23       128       6,956,000       28,953  

LME Aluminum Forward

    Sep-23       2,227       121,023,530       (1,609,586 )

LME Aluminum Forward

    Sep-23       3       163,369       (1,019 )

LME Aluminum Forward

    Sep-23       1       54,481       (605 )

LME Aluminum Forward

    Sep-23       16       871,900       (6,604 )

LME Aluminum Forward

    Oct-23       17       927,031       20,931  

LME Aluminum Forward

    Oct-23       1       54,567       1,154  

LME Aluminum Forward

    Oct-23       1       54,620       (387 )

LME Aluminum Forward

    Oct-23       5       273,151       (5,824 )

LME Aluminum Forward

    Oct-23       9       491,767       (19,783 )

LME Aluminum Forward

    Oct-23       1       54,683       940  

LME Aluminum Forward

    Oct-23       147       8,039,981       10,835  

LME Aluminum Forward

    Oct-23       2       109,432       644  

LME Aluminum Forward

    Oct-23       1       54,739       957  

LME Aluminum Forward

    Oct-23       1       54,850       1,369  

LME Aluminum Forward

    Oct-23       1       54,875       977  

LME Aluminum Forward

    Oct-23       4       219,700       (8,913 )

LME Aluminum Forward

    Nov-23       1       54,938       (1,625 )

LME Aluminum Forward

    Nov-23       4       220,225       3,185  

LME Aluminum Forward

    Nov-23       8       440,300       7,700  

LME Aluminum Forward

    Nov-23       1       55,188       1,225  

 

 

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, 2023

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Aluminum Forward

    Dec-23       321     $ 17,793,431     $ 175,153  

LME Copper Forward

    Sep-23       2       422,278       12,015  

LME Copper Forward

    Sep-23       1       210,461       523  

LME Copper Forward

    Sep-23       11       2,315,558       (9,805 )

LME Copper Forward

    Sep-23       1       210,550       (4,325 )

LME Copper Forward

    Sep-23       69       14,524,500       (34,392 )

LME Copper Forward

    Sep-23       520       109,459,999       411,285  

LME Copper Forward

    Sep-23       1       210,285       (5,028 )

LME Copper Forward

    Sep-23       5       1,051,338       (25,319 )

LME Copper Forward

    Sep-23       6       1,261,500       (37,274 )

LME Copper Forward

    Oct-23       5       1,051,364       (31,072 )

LME Copper Forward

    Oct-23       7       1,472,100       (35,038 )

LME Copper Forward

    Oct-23       55       11,565,813       (281,013 )

LME Copper Forward

    Oct-23       4       841,050       988  

LME Copper Forward

    Oct-23       2       420,550       (4,925 )

LME Copper Forward

    Oct-23       1       210,400       (4,950 )

LME Copper Forward

    Nov-23       5       1,052,213       (44,163 )

LME Copper Forward

    Nov-23       1       210,493       (3,082 )

LME Copper Forward

    Nov-23       1       210,502       (1,336 )

LME Copper Forward

    Nov-23       2       421,021       (1,892 )

LME Copper Forward

    Nov-23       6       1,262,925       (7,658 )

LME Copper Forward

    Nov-23       17       3,577,650       2,208  

LME Copper Forward

    Nov-23       1       210,428       3,078  

LME Copper Forward

    Dec-23       81       17,066,700       145,775  

LME Lead Forward

    Sep-23       3       164,700       12,615  

LME Lead Forward

    Sep-23       1       56,180       3,780  

LME Lead Forward

    Sep-23       6       338,010       18,223  

LME Lead Forward

    Sep-23       31       1,745,998       124,925  

LME Lead Forward

    Sep-23       931       52,436,247       2,794,824  

LME Lead Forward

    Sep-23       4       224,790       10,165  

LME Lead Forward

    Sep-23       5       279,488       12,068  

LME Lead Forward

    Sep-23       1       55,873       2,130  

LME Lead Forward

    Oct-23       1       55,781       731  

LME Lead Forward

    Oct-23       2       111,529       4,885  

LME Lead Forward

    Oct-23       4       222,857       7,193  

LME Lead Forward

    Oct-23       5       278,488       13,875  

LME Lead Forward

    Oct-23       30       1,669,425       52,319  

LME Lead Forward

    Oct-23       2       111,270       6,733  

LME Lead Forward

    Oct-23       1       55,623       3,223  

LME Lead Forward

    Oct-23       2       111,120       3,095  

LME Lead Forward

    Nov-23       1       55,550       1,962  

LME Lead Forward

    Nov-23       2       111,083       4,833  

LME Lead Forward

    Nov-23       1       55,539       2,127  

LME Lead Forward

    Nov-23       26       1,443,585       38,824  

LME Lead Forward

    Nov-23       4       221,750       2,538  

LME Lead Forward

    Nov-23       5       277,250       7,083  

LME Lead Forward

    Nov-23       2       110,900       675  

LME Lead Forward

    Dec-23       223       12,375,943       554,868  

LME Nickel Forward

    Sep-23       2       245,007       (14,133 )

LME Nickel Forward

    Sep-23       1       120,572       (6,437 )

LME Nickel Forward

    Sep-23       1       120,607       (5,123 )

 

 

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, 2023

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Nickel Forward

    Sep-23       4     $ 482,464     $ (43,376 )

LME Nickel Forward

    Sep-23       1       120,625       (14,105 )

LME Nickel Forward

    Sep-23       2       241,267       (29,356 )

LME Nickel Forward

    Sep-23       22       2,654,916       (94,434 )

LME Nickel Forward

    Sep-23       44       5,309,832       (241,443 )

LME Nickel Forward

    Sep-23       1       120,786       (12,851 )

LME Nickel Forward

    Sep-23       1       120,807       (12,846 )

LME Nickel Forward

    Sep-23       3       362,486       (32,017 )

LME Nickel Forward

    Sep-23       4       483,400       (39,189 )

LME Nickel Forward

    Oct-23       1       120,935       (12,816 )

LME Nickel Forward

    Oct-23       2       241,956       (25,612 )

LME Nickel Forward

    Oct-23       1       120,990       (2,610 )

LME Nickel Forward

    Oct-23       2       242,100       (6,448 )

LME Nickel Forward

    Oct-23       2       242,148       (13,932 )

LME Nickel Forward

    Oct-23       27       3,270,618       (16,236 )

LME Nickel Forward

    Oct-23       1       121,157       (4,483 )

LME Nickel Forward

    Oct-23       2       242,359       (12,581 )

LME Nickel Forward

    Oct-23       1       121,270       (3,830 )

LME Nickel Forward

    Oct-23       1       121,293       (8,517 )

LME Nickel Forward

    Oct-23       2       242,631       (12,447 )

LME Nickel Forward

    Oct-23       5       606,692       (21,736 )

LME Nickel Forward

    Oct-23       1       121,429       (9,971 )

LME Nickel Forward

    Nov-23       1       121,626       (2,067 )

LME Nickel Forward

    Nov-23       5       608,670       (3,240 )

LME Nickel Forward

    Dec-23       1       122,106       (1,588 )

LME Zinc Forward

    Sep-23       2       120,815       2,605  

LME Zinc Forward

    Sep-23       1       60,479       842  

LME Zinc Forward

    Sep-23       2       120,975       (3,275 )

LME Zinc Forward

    Sep-23       5       302,646       (5,612 )

LME Zinc Forward

    Sep-23       60       3,632,250       31,760  

LME Zinc Forward

    Sep-23       504       30,510,900       83,331  

LME Zinc Forward

    Sep-23       2       121,150       3,025  

LME Zinc Forward

    Oct-23       1       60,590       1,290  

LME Zinc Forward

    Oct-23       1       60,594       (1,496 )

LME Zinc Forward

    Oct-23       1       60,604       1,566  

LME Zinc Forward

    Oct-23       4       242,700       (6,013 )

LME Zinc Forward

    Oct-23       58       3,520,600       1,715  

LME Zinc Forward

    Oct-23       80       4,856,000       (138,000 )

LME Zinc Forward

    Oct-23       1       60,713       1,147  

LME Zinc Forward

    Oct-23       4       242,875       (5,225 )

LME Zinc Forward

    Oct-23       5       303,719       (14,694 )

LME Zinc Forward

    Nov-23       1       60,800       (1,563 )

LME Zinc Forward

    Nov-23       1       60,788       (265 )

LME Zinc Forward

    Nov-23       3       182,138       7,763  

LME Zinc Forward

    Nov-23       2       121,450       2,100  

LME Zinc Forward

    Nov-23       1       60,750       (238 )

LME Zinc Forward

    Nov-23       5       303,813       (1,600 )

LME Zinc Forward

    Dec-23       9       547,538       6,349  

Long Gilt Futures

    Dec-23       123       14,891,384       122,234  

Low Sulphur Gasoil G Futures

    Sep-23       180       16,119,000       423,000  

Low Sulphur Gasoil G Futures

    Oct-23       238       21,021,350       36,375  

 

 

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, 2023

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Low Sulphur Gasoil G Futures

    Nov-23       60     $ 5,140,500     $ 25,475  

Low Sulphur Gasoil G Futures

    Dec-23       28       2,321,900       (8,600 )

Low Sulphur Gasoil G Futures

    Jan-24       7       571,025       (1,450 )

Micro E-mini Dow Jones Industrial Index Futures

    Sep-23       6       104,373       (956 )

Micro E-mini Nasdaq 100 Index Futures

    Sep-23       1       31,077       (95 )

Micro E-mini S&P 500 Index Futures

    Sep-23       2       45,160       1,661  

Micro EUR/USD Futures

    Sep-23       2       27,131       (640 )

Milk Futures

    Sep-23       2       75,560       (80 )

Mini FTSE/MIB Pound Futures

    Sep-23       7       219,228       7,888  

Mini TOPIX Index Futures

    Sep-23       20       320,355       13,033  

MSCI EAFE Index Futures

    Sep-23       14       1,476,510       (40,335 )

MXN Currency Futures

    Sep-23       1,203       35,338,125       101,001  

Nasdaq 100 E-Mini

    Sep-23       388       120,578,759       1,677,376  

Natural Gas Futures

    Oct-23       5       138,400       (4,400 )

Nikkei 225 (Chicago Mercantile Exchange)

    Sep-23       12       1,950,000       8,950  

Nikkei 225 (Osaka Securities Exchange)

    Sep-23       144       32,274,923       122,872  

Nikkei 225 (Osaka Securities Exchange)

    Dec-23       2       64,670,618       619  

Nikkei 225 (Singapore Exchange)

    Sep-23       829       92,873,981       1,182,784  

Nikkei 225 Mini

    Sep-23       201       4,505,041       54,425  

Nikkei/Yen Futures

    Sep-23       55       6,142,823       23,571  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Oct-23       268       35,041,054       1,058,045  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Nov-23       64       8,161,037       120,704  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Dec-23       43       5,301,694       59,594  

NY Harbor Ultra-Low Sulfur Diesel Futures

    Jan-24       16       1,936,637       (7,518 )

OAT Futures

    Dec-23       6       147,975       8,988  

OMX Stockholm 30 ESG Responsible Index

    Sep-23       4       76,575       295  

OMX Stockholm 30 Index Futures

    Sep-23       319       6,377,961       4,832  

Orange Juice Futures

    Nov-23       17       812,303       16,358  

Palm Oil Futures

    Nov-23       17       367,295       7,689  

Palm Oil Futures

    Dec-23       6       130,409       4,418  

Palm Oil Futures

    Jan-24       1       21,880       1,024  

Platinum Futures

    Oct-23       2       97,440       (1,040 )

Rough Rice Futures

    Nov-23       6       200,280       7,920  

Russell 2000 E-Mini

    Sep-23       174       16,543,920       (354,151 )

S&P 500 E-Mini Futures

    Sep-23       933       210,671,399       1,143,520  

S&P Mid 400 E-Mini

    Sep-23       24       6,356,880       (110,970 )

S&P/TSX 60 IX Futures

    Sep-23       81       14,580,240       134,251  

SGX Iron Ore 62% Futures

    Oct-23       189       2,157,624       59,194  

SGX Iron Ore 62% Futures

    Nov-23       20       224,940       4,890  

SGX Iron Ore 62% Futures

    Dec-23       10       111,180       2,295  

Silver Futures

    Dec-23       243       30,146,580       127,327  

Silver Futures

    Mar-24       3       377,640       (2,285 )

Soybean Futures

    Nov-23       816       55,844,999       (450,309 )

Soybean Futures

    Jan-24       46       3,178,600       (23,975 )

Soybean Futures

    Mar-24       259       17,938,988       233,663  

Soybean Meal Futures

    Dec-23       617       24,926,800       (130,256 )

Soybean Meal Futures

    Jan-24       16       642,240       (8,890 )

Soybean Oil Futures

    Dec-23       444       16,644,672       156,498  

Soybean Oil Futures

    Jan-24       32       1,187,328       42,774  

Soybean Oil Futures

    Mar-24       1       36,726       5,046  

SPI 200 Futures

    Sep-23       535       63,047,517       412,825  

 

 

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, 2023

 

Long Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

STOXX Dividend Futures

    Dec-24       5     $ 79,375     $ 7,981  

STOXX Europe 600 Banks Index

    Sep-23       1       8,561       (179 )

STOXX Europe 600 ESG-X Index

    Sep-23       40       741,263       (7,243 )

STOXX Europe 600 Index

    Sep-23       61       1,519,030       6,211  

STOXX Europe 600 Institutional Index

    Sep-23       1       16,349       (141 )

Sugar No. 11 (World)

    Oct-23       497       13,949,398       106,837  

Sugar No. 11 (World)

    Mar-24       1,076       30,646,202       73,864  

Sugar No. 11 (World)

    May-24       153       4,116,067       42,000  

Sugar No. 11 (World)

    Jul-24       5       127,960       1,758  

Topix Index Futures

    Sep-23       366       58,624,901       2,054,033  

Topix Index Futures

    Dec-23       2       46,175,241       241  

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

    Dec-23       93       18,953,836       (4,739 )

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

    Dec-23       17       1,817,672       222  

UK Natural Gas Futures

    Nov-23       5       214,210       (11,819 )

USD/BRL Futures

    Oct-23       4       80,420       (1,230 )

USD/CNH Futures

    Sep-23       4       400,783       5,070  

USD/NOK Futures

    Sep-23       9       899,695       1,744  

USD/SEK Futures

    Sep-23       4       399,461       10,533  

USD/TRY Futures

    Oct-23       79       82,368       264  

White Sugar ICE

    Oct-23       3       107,280       3,990  

White Sugar ICE

    Dec-23       75       2,636,625       72,460  

White Sugar ICE

    Mar-24       23       798,445       30,500  

WTI Crude Futures

    Oct-23       500       41,815,000       1,519,231  

WTI Crude Futures

    Nov-23       50       4,148,000       161,410  

WTI Crude Futures

    Dec-23       45       3,701,700       161,360  

WTI Crude Futures

    Jan-24       23       1,876,340       50,760  

WTI Crude Futures IPE

    Oct-23       13       1,087,190       36,480  

WTI Crude Futures IPE

    Nov-23       13       1,078,480       36,860  

WTI Crude Futures IPE

    Dec-23       13       1,069,380       32,230  

WTI Crude Futures IPE

    Jan-24       15       1,223,700       28,800  

WTI Crude Futures IPE

    Feb-24       15       1,213,950       17,270  
                            $ 17,403,499  

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

1-Month SOFR Future

    Jan-24       7     $ (2,759,242 )   $ (146 )

3-Month Euro Euribor

    Dec-23       61       (15,898,060 )     (2,413 )

3-Month Euro Euribor

    Mar-24       92       (23,999,848 )     20,833  

3-Month Euro Euribor

    Jun-24       1,457       (380,815,256 )     (641,557 )

3-Month Euro Euribor

    Sep-24       107       (28,031,793 )     (30,484 )

3-Month Euro Euribor

    Dec-24       1,410       (370,155,386 )     (692,609 )

3-Month Euro Euribor

    Mar-25       100       (26,290,107 )     (46,776 )

3-Month Euro Euribor

    Jun-25       181       (47,634,161 )     (84,688 )

3-Month Euro Euribor

    Sep-25       92       (24,230,544 )     (44,309 )

3-Month Euro Euribor

    Dec-25       81       (21,346,589 )     (37,234 )

3-Month Euro Euribor

    Mar-26       213       (52,776,778 )     (31,541 )

3-Month Euro Euribor

    Jun-26       283       (74,638,830 )     (153,517 )

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

3-Month Euro Euribor

    Sep-26       26     $ (6,858,335 )   $ (9,949 )

3-Month SARON Futures

    Dec-23       1       (277,877 )     (14 )

3-Month SARON Futures

    Mar-24       1       (277,891 )     (85 )

3-Month SOFR Futures

    Mar-24       1,328       (314,735,999 )     198,150  

3-Month SOFR Futures

    Jun-24       343       (81,561,113 )     217,400  

3-Month SOFR Futures

    Sep-24       229       (54,665,163 )     248,963  

3-Month SOFR Futures

    Mar-25       464       (111,476,000 )     273,988  

3-Month SOFR Futures

    Jun-25       238       (57,283,625 )     118,113  

3-Month SOFR Futures

    Sep-25       222       (53,482,575 )     82,313  

3-Month SOFR Futures

    Dec-25       197       (47,479,463 )     76,488  

3-Month SOFR Futures

    Mar-26       526       (126,805,450 )     153,088  

3-Month SOFR Futures

    Jun-26       167       (40,267,875 )     39,200  

3-Month SOFR Futures

    Sep-26       126       (30,384,900 )     (3,025 )

3-Month SOFR Futures

    Dec-26       55       (13,263,938 )     2,825  

3-Month SOFR Futures

    Mar-27       53       (12,780,950 )     550  

3-Month SOFR Futures

    Jun-27       54       (13,020,750 )     7,413  

3-Month SOFR Futures

    Sep-27       55       (13,259,125 )     1,000  

3-Month SOFR Futures

    Dec-24       1,331       (318,874,324 )     835,200  

90-DAY Bank Bill

    Sep-23       14       (8,979,409 )     (4,255 )

90-DAY Bank Bill

    Dec-23       92       (58,993,144 )     (49,975 )

90-DAY Bank Bill

    Mar-24       280       (179,535,589 )     (75,170 )

90-DAY Bank Bill

    Jun-24       151       (96,823,341 )     (78,441 )

90-DAY Bank Bill

    Sep-24       51       (32,709,905 )     (17,303 )

90-DAY Bank Bill

    Dec-24       14       (8,981,820 )     (5,916 )

90-DAY Bank Bill

    Mar-25       9       (5,775,578 )     (3,649 )

AUD/USD Currency Futures

    Sep-23       2,405       (155,795,900 )     5,344,239  

Australian 10-Year Bond Futures

    Sep-23       1,519       (114,340,899 )     (154,753 )

Australian 3-Year Bond Futures

    Sep-23       3,218       (221,827,069 )     (844,881 )

Bank Acceptance Futures

    Dec-23       25       (4,366,489 )     4,394  

Bank Acceptance Futures

    Mar-24       239       (41,770,167 )     15,264  

Bank Acceptance Futures

    Jun-24       72       (12,600,133 )     43,073  

Bank Acceptance Futures

    Sep-24       47       (8,250,740 )     27,809  

Bank Acceptance Futures

    Dec-24       35       (6,161,005 )     16,522  

Bank Acceptance Futures

    Mar-25       22       (3,881,994 )     10,731  

Bank Acceptance Futures

    Jun-25       15       (3,583,784 )     (259 )

Brent Crude Futures

    Nov-23       154       (13,371,820 )     (534,370 )

CAD Currency Futures

    Sep-23       1,204       (89,077,940 )     (19,872 )

Canadian 10-Year Bond Futures

    Dec-23       1,863       (164,501,576 )     (1,292,385 )

Canadian 5-Year Bond Futures

    Dec-23       3       (243,983 )     (1,443 )

CHF Currency Futures

    Sep-23       369       (52,303,444 )     9,640  

Coffee ‘C’ Futures

    Dec-23       492       (28,505,250 )     728,657  

Coffee ‘C’ Futures

    Mar-24       67       (3,910,706 )     49,238  

Coffee ‘C’ Futures

    May-24       19       (1,115,775 )     18,000  

Copper Futures

    Dec-23       143       (13,663,650 )     (191,055 )

Copper Futures

    Mar-24       6       (576,600 )     (5,138 )

Corn Futures

    Dec-23       1,608       (38,451,300 )     839,042  

Corn Futures

    Mar-24       615       (15,190,500 )     498,775  

Corn Futures

    May-24       32       (804,000 )     22,525  

DAX Index Futures

    Sep-23       39       (16,914,830 )     (281,498 )

DAX-Mini Futures

    Sep-23       2       (173,485 )     (4,402 )

Dollar Index

    Sep-23       3       (310,761 )     1,894  

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Dutch TTF Gas Futures

    Oct-23       45     $ (1,273,405 )   $ 206,133  

Dutch TTF Gas Futures

    Nov-23       5       (177,714 )     (1,874 )

Emerging Market ESG Leaders NTR Index Futures

    Sep-23       2       (28,970 )     (410 )

E-Mini Consumer Staples Select Futures

    Sep-23       2       (146,340 )     (800 )

E-Mini Financial Select Futures

    Sep-23       2       (211,850 )     (3,063 )

E-Mini Natural Gas

    Oct-23       3       (20,760 )     (673 )

E-Mini Utilities Select Futures

    Sep-23       3       (190,170 )     5,130  

EUR Foreign Exchange Currency Futures

    Sep-23       1,117       (151,528,031 )     236,022  

Euro BUXL 30-Year Bond Futures

    Sep-23       129       (18,716,128 )     (174,754 )

Euro BUXL 30-Year Bond Futures

    Dec-23       33       (4,417,309 )     (41,509 )

Euro STOXX 50

    Sep-23       2       (93,536 )     (4 )

Euro/GBP Futures

    Sep-23       1       (135,690 )     1,979  

Euro-Bobl Futures

    Sep-23       982       (123,637,805 )     (666,052 )

Euro-Bobl Futures

    Dec-23       970       (122,422,075 )     (521,823 )

Euro-BTP Futures

    Sep-23       120       (15,083,766 )     (100,346 )

Euro-Bund Futures

    Sep-23       533       (76,978,423 )     (576,539 )

Euro-Bund Futures

    Dec-23       423       (59,931,631 )     (278,646 )

Euro-Oat Futures

    Sep-23       427       (59,224,656 )     (634,693 )

European Climate Exchange Futures

    Dec-23       13       (1,201,616 )     12,600  

European Climate Exchange Futures

    Dec-24       1       (89,921 )     1,139  

Euro-Schatz Futures

    Sep-23       2,215       (252,481,320 )     (131,722 )

Euro-Schatz Futures

    Dec-23       238       (25,105,620 )     (17,745 )

FTSE 100 Index Futures

    Sep-23       1,230       (107,765,581 )     (874,371 )

FTSE China A50 Index

    Sep-23       1,247       (15,734,646 )     23,872  

FTSE KLCI Futures

    Sep-23       6       (92,554 )     (323 )

FTSE/JSE TOP 40

    Sep-23       385       (14,070,999 )     (95,528 )

Gasoline RBOB Futures

    Oct-23       10       (1,077,678 )     (3,283 )

GBP Currency Futures

    Sep-23       277       (21,926,281 )     (59,031 )

Gold 100 Oz Futures

    Dec-23       1,315       (258,515,849 )     242,089  

Gold 100 Oz Futures

    Feb-24       1       (198,630 )     (3,970 )

Hang Seng China Enterprises Index Futures

    Sep-23       229       (9,211,276 )     (62,367 )

Hang Seng Index Futures

    Sep-23       452       (52,748,270 )     (296,058 )

Ice Three Miont SONIA Index Futures

    Dec-23       80       (23,889,332 )     (51,701 )

Ice Three Miont SONIA Index Futures

    Mar-24       1,779       (531,210,855 )     (728,173 )

Ice Three Miont SONIA Index Futures

    Jun-24       244       (72,943,602 )     (48,328 )

Ice Three Miont SONIA Index Futures

    Sep-24       95       (28,460,346 )     58,320  

Ice Three Miont SONIA Index Futures

    Dec-24       200       (60,065,366 )     (21,995 )

Ice Three Miont SONIA Index Futures

    Mar-25       224       (67,415,093 )     (101,233 )

Ice Three Miont SONIA Index Futures

    Jun-25       90       (27,132,026 )     23,087  

Ice Three Miont SONIA Index Futures

    Sep-25       82       (24,756,648 )     713  

Ice Three Miont SONIA Index Futures

    Dec-25       65       (19,647,845 )     15,534  

Ice Three Miont SONIA Index Futures

    Mar-26       294       (82,650,222 )     (104,780 )

Ice Three Miont SONIA Index Futures

    Jun-26       26       (7,873,548 )     6,081  

Ice Three Miont SONIA Index Futures

    Sep-26       16       (4,848,301 )     (4,165 )

INR/USD Futures

    Sep-23       4       (96,592 )     248  

INR/USD Standard Futures

    Sep-23       2       (120,830 )     70  

JPN 10-Year Bond (Osaka Securities Exchange)

    Sep-23       26       (26,236,778 )     (50,586 )

JPY Currency Futures

    Sep-23       2,849       (245,441,350 )     8,583,638  

Kansas City Hard Red Winter Wheat Futures

    Dec-23       337       (12,254,163 )     481,125  

Kansas City Hard Red Winter Wheat Futures

    Mar-24       24       (880,500 )     32,438  

Lean Hogs Futures

    Oct-23       22       (726,440 )     (31,480 )

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

Lean Hogs Futures

    Dec-23       245     $ (7,283,850 )   $ (149,530 )

Lean Hogs Futures

    Feb-24       56       (1,762,880 )     (40,120 )

LME Aluminum Forward

    Sep-23       3       (162,210 )     (710 )

LME Aluminum Forward

    Sep-23       1       (54,163 )     1,300  

LME Aluminum Forward

    Sep-23       1       (54,274 )     (393 )

LME Aluminum Forward

    Sep-23       2,227       (121,023,531 )     2,235,188  

LME Aluminum Forward

    Sep-23       128       (6,956,000 )     272,525  

LME Aluminum Forward

    Sep-23       3       (163,369 )     (1,619 )

LME Aluminum Forward

    Sep-23       1       (54,481 )     (56 )

LME Aluminum Forward

    Sep-23       16       (871,900 )     (2,500 )

LME Aluminum Forward

    Oct-23       17       (927,031 )     5,498  

LME Aluminum Forward

    Oct-23       1       (54,567 )     (967 )

LME Aluminum Forward

    Oct-23       1       (54,620 )     (245 )

LME Aluminum Forward

    Oct-23       5       (273,151 )     1,886  

LME Aluminum Forward

    Oct-23       9       (491,767 )     (3,965 )

LME Aluminum Forward

    Oct-23       1       (54,683 )     1,367  

LME Aluminum Forward

    Oct-23       147       (8,039,981 )     (31,461 )

LME Aluminum Forward

    Oct-23       2       (109,432 )     (170 )

LME Aluminum Forward

    Oct-23       1       (54,739 )     99  

LME Aluminum Forward

    Oct-23       1       (54,850 )     938  

LME Aluminum Forward

    Oct-23       1       (54,875 )     463  

LME Aluminum Forward

    Oct-23       4       (219,700 )     (4,321 )

LME Aluminum Forward

    Nov-23       1       (54,938 )     (981 )

LME Aluminum Forward

    Nov-23       1       (54,963 )     1  

LME Aluminum Forward

    Nov-23       3       (165,169 )     (2,194 )

LME Aluminum Forward

    Nov-23       138       (7,597,763 )     (36,104 )

LME Aluminum Forward

    Nov-23       8       (440,300 )     (12,700 )

LME Aluminum Forward

    Nov-23       18       (993,375 )     (24,480 )

LME Aluminum Forward

    Dec-23       881       (48,834,931 )     (674,861 )

LME Copper Forward

    Sep-23       2       (422,278 )     (8,265 )

LME Copper Forward

    Sep-23       1       (210,461 )     (2,451 )

LME Copper Forward

    Sep-23       11       (2,315,558 )     53,647  

LME Copper Forward

    Sep-23       1       (210,550 )     (2,575 )

LME Copper Forward

    Sep-23       520       (109,460,000 )     (1,770,682 )

LME Copper Forward

    Sep-23       69       (14,524,500 )     (183,951 )

LME Copper Forward

    Sep-23       1       (210,285 )     (1,410 )

LME Copper Forward

    Sep-23       5       (1,051,338 )     (19,338 )

LME Copper Forward

    Sep-23       6       (1,261,500 )     (38,625 )

LME Copper Forward

    Oct-23       5       (1,051,364 )     (8,001 )

LME Copper Forward

    Oct-23       7       (1,472,100 )     13,895  

LME Copper Forward

    Oct-23       55       (11,565,813 )     (15,797 )

LME Copper Forward

    Oct-23       4       (841,050 )     25,125  

LME Copper Forward

    Oct-23       2       (420,550 )     7,529  

LME Copper Forward

    Oct-23       1       (210,400 )     5,045  

LME Copper Forward

    Nov-23       5       (1,052,213 )     6,330  

LME Copper Forward

    Nov-23       5       (1,052,509 )     (13,146 )

LME Copper Forward

    Nov-23       4       (842,041 )     (229 )

LME Copper Forward

    Nov-23       7       (1,473,413 )     (28,275 )

LME Copper Forward

    Nov-23       35       (7,365,750 )     (140,173 )

LME Copper Forward

    Nov-23       1       (210,428 )     1,254  

LME Copper Forward

    Dec-23       170       (35,819,000 )     (381,486 )

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Lead Forward

    Sep-23       3     $ (164,700 )   $ (15,963 )

LME Lead Forward

    Sep-23       1       (56,180 )     (5,392 )

LME Lead Forward

    Sep-23       6       (338,010 )     (17,548 )

LME Lead Forward

    Sep-23       931       (52,436,248 )     (4,402,300 )

LME Lead Forward

    Sep-23       31       (1,745,998 )     (143,473 )

LME Lead Forward

    Sep-23       4       (224,790 )     (15,290 )

LME Lead Forward

    Sep-23       5       (279,488 )     (17,988 )

LME Lead Forward

    Sep-23       1       (55,873 )     (3,810 )

LME Lead Forward

    Oct-23       1       (55,781 )     (3,793 )

LME Lead Forward

    Oct-23       2       (111,529 )     (9,316 )

LME Lead Forward

    Oct-23       4       (222,857 )     (16,045 )

LME Lead Forward

    Oct-23       5       (278,488 )     (8,183 )

LME Lead Forward

    Oct-23       30       (1,669,425 )     (111,197 )

LME Lead Forward

    Oct-23       2       (111,270 )     (3,714 )

LME Lead Forward

    Oct-23       1       (55,623 )     (1,854 )

LME Lead Forward

    Oct-23       2       (111,120 )     (3,616 )

LME Lead Forward

    Nov-23       2       (111,083 )     (1,395 )

LME Lead Forward

    Nov-23       4       (222,090 )     (11,103 )

LME Lead Forward

    Nov-23       4       (221,750 )     (2,700 )

LME Lead Forward

    Dec-23       10       (554,975 )     (18,533 )

LME Nickel Forward

    Sep-23       2       (245,007 )     6,261  

LME Nickel Forward

    Sep-23       1       (120,572 )     8,789  

LME Nickel Forward

    Sep-23       1       (120,607 )     6,447  

LME Nickel Forward

    Sep-23       4       (482,464 )     25,151  

LME Nickel Forward

    Sep-23       1       (120,625 )     6,452  

LME Nickel Forward

    Sep-23       2       (241,267 )     25,311  

LME Nickel Forward

    Sep-23       44       (5,309,832 )     294,234  

LME Nickel Forward

    Sep-23       22       (2,654,916 )     123,932  

LME Nickel Forward

    Sep-23       1       (120,786 )     4,134  

LME Nickel Forward

    Sep-23       1       (120,807 )     2,193  

LME Nickel Forward

    Sep-23       3       (362,486 )     (1,286 )

LME Nickel Forward

    Sep-23       4       (483,400 )     (880 )

LME Nickel Forward

    Oct-23       1       (120,935 )     1,975  

LME Nickel Forward

    Oct-23       2       (241,956 )     3,354  

LME Nickel Forward

    Oct-23       1       (120,990 )     12,810  

LME Nickel Forward

    Oct-23       2       (242,100 )     16,372  

LME Nickel Forward

    Oct-23       2       (242,148 )     14,885  

LME Nickel Forward

    Oct-23       27       (3,270,618 )     100,044  

LME Nickel Forward

    Oct-23       1       (121,157 )     12,835  

LME Nickel Forward

    Oct-23       2       (242,359 )     25,625  

LME Nickel Forward

    Oct-23       1       (121,270 )     12,779  

LME Nickel Forward

    Oct-23       1       (121,293 )     12,651  

LME Nickel Forward

    Oct-23       2       (242,631 )     22,485  

LME Nickel Forward

    Oct-23       5       (606,692 )     46,096  

LME Nickel Forward

    Oct-23       1       (121,429 )     12,719  

LME Nickel Forward

    Nov-23       1       (121,486 )     7,214  

LME Nickel Forward

    Nov-23       3       (364,698 )     9,522  

LME Nickel Forward

    Nov-23       1       (121,578 )     1,992  

LME Nickel Forward

    Nov-23       1       (121,590 )     1,350  

LME Nickel Forward

    Nov-23       1       (121,626 )     (1,116 )

LME Nickel Forward

    Nov-23       25       (3,040,650 )     2,325  

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

LME Nickel Forward

    Nov-23       2     $ (243,219 )   $ (2,529 )

LME Nickel Forward

    Nov-23       1       (121,593 )     (813 )

LME Nickel Forward

    Nov-23       7       (852,057 )     20,569  

LME Nickel Forward

    Dec-23       37       (4,517,922 )     44,593  

LME Zinc Forward

    Sep-23       2       (120,815 )     (5,990 )

LME Zinc Forward

    Sep-23       1       (60,479 )     (1,367 )

LME Zinc Forward

    Sep-23       2       (120,975 )     (2,750 )

LME Zinc Forward

    Sep-23       5       (302,646 )     (5,384 )

LME Zinc Forward

    Sep-23       504       (30,510,900 )     848,584  

LME Zinc Forward

    Sep-23       60       (3,632,250 )     (56,435 )

LME Zinc Forward

    Sep-23       2       (121,150 )     (3,725 )

LME Zinc Forward

    Oct-23       2       (121,180 )     (2,841 )

LME Zinc Forward

    Oct-23       1       (60,594 )     (1,119 )

LME Zinc Forward

    Oct-23       1       (60,604 )     (1,520 )

LME Zinc Forward

    Oct-23       80       (4,856,000 )     147,038  

LME Zinc Forward

    Oct-23       58       (3,520,600 )     (40,393 )

LME Zinc Forward

    Oct-23       1       (60,713 )     925  

LME Zinc Forward

    Oct-23       8       (485,750 )     8,790  

LME Zinc Forward

    Oct-23       5       (303,719 )     6,219  

LME Zinc Forward

    Nov-23       1       (60,781 )     681  

LME Zinc Forward

    Nov-23       1       (60,800 )     313  

LME Zinc Forward

    Nov-23       3       (182,400 )     (7,038 )

LME Zinc Forward

    Nov-23       85       (5,166,938 )     132,900  

LME Zinc Forward

    Nov-23       60       (3,647,250 )     (23,518 )

LME Zinc Forward

    Nov-23       1       (60,750 )     (3,888 )

LME Zinc Forward

    Nov-23       5       (303,563 )     (18,588 )

LME Zinc Forward

    Nov-23       1       (60,718 )     (3,368 )

LME Zinc Forward

    Nov-23       1       (60,750 )     (1,164 )

LME Zinc Forward

    Dec-23       337       (20,502,238 )     (558,463 )

Long Gilt Futures

    Dec-23       1,052       (127,363,711 )     (1,270,183 )

Low Sulphur Gasoil G Futures

    Oct-23       22       (1,943,150 )     18,363  

Lumber Futures

    Nov-23       4       (55,880 )     44  

MAIZE Futures

    Nov-23       12       (137,930 )     2,928  

Micro E-mini Russell 200 Index Futures

    Sep-23       1       (9,508 )     (252 )

Micro Gold Futures

    Dec-23       32       (629,088 )     (13,981 )

Mill Wheat Euro

    Sep-23       11       (133,741 )     4,121  

Mill Wheat Euro

    Dec-23       177       (2,269,575 )     122,112  

Mill Wheat Euro

    Mar-24       40       (526,995 )     5,734  

Mill Wheat Euro

    May-24       3       (40,094 )     407  

Mini H-Shares Index Futures

    Sep-23       4       (32,179 )     15  

Mini HSI Index Futures

    Sep-23       51       (1,190,337 )     (4,658 )

MSCI China A 50 Connect Index

    Sep-23       2       (101,880 )     1,235  

MSCI EAFE Index Futures

    Sep-23       1       (105,465 )     140  

MSCI Emerging Markets Index Futures

    Sep-23       146       (7,148,890 )     (60,395 )

MSCI Singapore Exchange ETS

    Sep-23       244       (5,130,238 )     (37,268 )

MXN Currency Futures

    Sep-23       2       (58,750 )     220  

Natural Gas Futures

    Oct-23       774       (21,424,320 )     (621,535 )

Natural Gas Futures

    Nov-23       401       (12,619,470 )     116,380  

Natural Gas Futures

    Dec-23       125       (4,513,750 )     31,970  

Natural Gas Futures

    Jan-24       33       (1,265,550 )     8,870  

New Zealand 3-Month Bank Bill Futures

    Dec-23       2       (112 )     1  

 

 

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, 2023

 

Short Contracts

 

Expiration
Date

   

Number of
Contracts

   

Notional
Amount

   

Value and
Unrealized
Appreciation/
(Depreciation)

 

New Zealand 3-Month Bank Bill Futures

    Mar-24       11     $ (618 )   $ (1 )

NY Harbor Ultra-Low Sulfur Diesel Futures

    Oct-23       11       (1,438,252 )     (14,057 )

NYSE FANG+ Index Futures

    Sep-23       1       (39,312 )     (109 )

NZD Currency Futures

    Sep-23       433       (25,795,975 )     435,137  

OMX Stockholm 30 ESG Responsible Index

    Sep-23       2       (38,287 )     (504 )

OMX Stockholm 30 Index Futures

    Sep-23       1,550       (30,990,091 )     (460,426 )

Palladium Futures

    Dec-23       39       (4,752,930 )     140,790  

Phelix DE Baseload Futures

    Oct-23       1       (275,607 )     64,171  

Phelix DE Baseload Futures

    Jan-24       1       (1,278,248 )     140,969  

Platinum Futures

    Oct-23       188       (9,159,360 )     (424,190 )

Rapeseed Euro

    Nov-23       23       (584,533 )     (29,942 )

Rapeseed Euro

    Feb-24       4       (104,640 )     (2,887 )

Red Wheat Futures (Minneapolis Grain Exchange)

    Dec-23       45       (1,725,188 )     87,363  

Red Wheat Futures (Minneapolis Grain Exchange)

    Mar-24       9       (353,025 )     11,750  

Russell 2000 E-Mini

    Sep-23       26       (2,472,080 )     (46,020 )

S&P 500 E-Mini Futures

    Sep-23       243       (54,869,400 )     778,925  

S&P/TSX 60 IX Futures

    Sep-23       93       (16,740,275 )     (374,038 )

SA Rand Currency Futures

    Sep-23       2       (52,900 )     1,963  

Short BTP Future

    Sep-23       346       (39,503,302 )     (87,214 )

Short BTP Future

    Dec-23       197       (20,692,665 )     (22,555 )

Silver Futures

    Dec-23       185       (22,951,100 )     (211,903 )

Soybean Meal Futures

    Dec-23       73       (2,949,200 )     (94,740 )

Soybean Oil Futures

    Dec-23       563       (21,105,744 )     (993,302 )

SPI 200 Futures

    Sep-23       87       (10,252,587 )     (266,777 )

Sugar No. 11 (World)

    Oct-23       573       (16,082,506 )     (477,104 )

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

    Dec-23       2,540       (282,019,374 )     (1,912,824 )

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

    Dec-23       1,497       (305,095,617 )     (729,055 )

U.S. Treasury 3-Year Notes (Chicago Board of Trade)

    Dec-23       3       (624,492 )     (3,336 )

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

    Dec-23       2,698       (288,475,218 )     (1,434,312 )

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

    Dec-23       1,030       (125,338,125 )     (1,300,215 )

U.S. Treasury Ultra 10-Year Notes

    Dec-23       338       (39,244,969 )     (423,975 )

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

    Dec-23       302       (39,099,563 )     (580,982 )

UK Natural Gas Futures

    Oct-23       20       (673,338 )     125,254  

UK Natural Gas Futures

    Nov-23       5       (214,210 )     4,313  

Wheat (Chicago Board of Trade)

    Dec-23       1,106       (33,290,600 )     1,969,127  

Wheat (Chicago Board of Trade)

    Mar-24       93       (2,923,688 )     194,163  

Wheat (Chicago Board of Trade)

    May-24       4       (129,100 )     5,550  

WTI Crude Futures

    Oct-23       122       (10,202,860 )     (191,630 )

WTI Crude Futures

    Dec-23       4       (329,040 )     (15,870 )
                            $ (3,526,347 )

Total Futures Contracts

                          $ 13,877,152  

 

Forward foreign currency contracts outstanding as of August 31, 2023 were as follows:

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

AUD

    112,492,936          

USD

    73,030,281               Sep 01 2023       BOA     $ (137,867 )

AUD

    400,000          

USD

    258,993               Sep 05 2023       BOA       234  

AUD

    4,100,000          

USD

    2,637,723               Sep 20 2023       BOA       20,831  

 

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, 2023

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

AUD

    1,049,842          

EUR

    625,000               Sep 22 2023       BOA     $ 2,364  

AUD

    13,400,000          

JPY

    1,253,583,132               Sep 22 2023       BOA       43,279  

AUD

    28,206,000          

USD

    19,166,632               Sep 22 2023       BOA       (875,721 )

AUD

    63,451,000          

USD

    41,093,885               Oct 18 2023       BOA       92,659  

BRL

    39,812,867          

USD

    8,202,101               Sep 05 2023       BOA       (167,178 )

BRL

    116,024,241          

USD

    23,550,000               Sep 20 2023       BOA       (193,252 )

BRL

    14,785,018          

USD

    3,000,000               Oct 03 2023       BOA       (30,038 )

CAD

    2,979,568          

USD

    2,202,059               Sep 01 2023       BOA       3,099  

CAD

    60,100,999          

USD

    44,719,753               Sep 20 2023       BOA       (226,544 )

CAD

    19,184,482          

AUD

    22,000,000               Sep 22 2023       BOA       (63,611 )

CAD

    11,800,000          

JPY

    1,266,011,380               Sep 22 2023       BOA       3,882  

CAD

    57,923,000          

USD

    43,782,105               Sep 22 2023       BOA       (899,935 )

CHF

    14,708,858          

USD

    16,735,531               Sep 01 2023       BOA       (82,571 )

CHF

    14,708,858          

USD

    16,721,661               Sep 05 2023       BOA       (61,749 )

CHF

    28,721,364          

EUR

    30,000,000               Sep 20 2023       BOA       22,634  

CHF

    14,591,908          

USD

    16,700,000               Sep 20 2023       BOA       (145,547 )

CHF

    18,058,364          

EUR

    18,875,000               Sep 22 2023       BOA       2,935  

CHF

    2,796,314          

GBP

    2,500,000               Sep 22 2023       BOA       5,769  

CHF

    10,250,000          

JPY

    1,700,899,965               Sep 22 2023       BOA       (100,434 )

CHF

    59,618,000          

USD

    68,028,127               Sep 22 2023       BOA       (376,946 )

CLP

    1,032,912,000          

USD

    1,200,000               Sep 08 2023       BOA       10,593  

CLP

    4,946,700,796          

USD

    5,750,000               Sep 20 2023       BOA       39,240  

CLP

    87,186,870          

USD

    100,000               Sep 29 2023       BOA       1,926  

CNH

    500,000          

USD

    68,510               Sep 01 2023       BOA       198  

CNH

    500,000          

USD

    68,534               Sep 05 2023       BOA       189  

CNH

    53,411,139          

USD

    7,392,323               Sep 20 2023       BOA       (45,382 )

COP

    393,431,000          

USD

    100,000               Sep 05 2023       BOA       (3,986 )

COP

    1,239,076,200          

USD

    300,000               Sep 11 2023       BOA       1,759  

COP

    1,205,935,070          

USD

    300,000               Sep 15 2023       BOA       (6,720 )

COP

    413,974,000          

USD

    100,000               Sep 18 2023       BOA       573  

COP

    16,351,329,990          

USD

    3,950,000               Sep 20 2023       BOA       19,708  

COP

    411,761,000          

USD

    100,000               Sep 22 2023       BOA       (104 )

COP

    416,440,000          

USD

    100,000               Sep 28 2023       BOA       822  

CZK

    124,966,428          

EUR

    5,150,000               Sep 20 2023       BOA       35,957  

EUR

    173,237          

NOK

    2,000,000               Sep 01 2023       BOA       (266 )

EUR

    133,615,631          

USD

    145,906,835               Sep 01 2023       BOA       (1,013,874 )

EUR

    258,961          

NOK

    3,000,000               Sep 05 2023       BOA       (1,359 )

EUR

    500,000          

PLN

    2,233,444               Sep 05 2023       BOA       1,079  

EUR

    84,331          

SEK

    1,000,000               Sep 05 2023       BOA       106  

EUR

    29          

USD

    32               Sep 05 2023       BOA       1  

EUR

    1,300,000          

CHF

    1,248,148               Sep 20 2023       BOA       (5,015 )

EUR

    1,600,000          

CZK

    38,924,083               Sep 20 2023       BOA       (15,653 )

EUR

    2,650,000          

GBP

    2,289,913               Sep 20 2023       BOA       (24,863 )

EUR

    34,500,000          

JPY

    5,410,495,444               Sep 20 2023       BOA       140,281  

EUR

    36,676,993          

NOK

    420,644,631               Sep 20 2023       BOA       217,886  

EUR

    4,291,967          

PLN

    19,198,665               Sep 20 2023       BOA       10,076  

EUR

    57,852,474          

SEK

    677,831,795               Sep 20 2023       BOA       820,510  

EUR

    43,500,000          

USD

    47,808,451               Sep 20 2023       BOA       (594,098 )

EUR

    12,875,000          

AUD

    21,847,842               Sep 22 2023       BOA       (192,071 )

EUR

    13,625,000          

CAD

    20,159,223               Sep 22 2023       BOA       (134,641 )

EUR

    900,000          

GBP

    770,920               Sep 22 2023       BOA       240  

EUR

    600,000          

HUF

    231,143,014               Sep 22 2023       BOA       (3,026 )

 

 

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, 2023

 

Currency Purchased

 

 

Currency Sold

 

   

Expiration
Date

   

Counterparty

   

Unrealized
Appreciation/
(Depreciation)

 

EUR

    11,800,000          

JPY

    1,873,729,080               Sep 22 2023       BOA     $ (114,788 )

EUR

    7,250,000          

NOK

    83,748,121               Sep 22 2023       BOA       (12,973 )

EUR

    14,250,000          

SEK

    169,828,690               Sep 22 2023       BOA       (60,113 )

EUR

    49,714,000          

USD

    54,758,569               Sep 22 2023       BOA       (794,346 )

EUR

    24,028,000          

USD

    26,306,221               Oct 18 2023       BOA       (189,795 )

GBP

    134,357,403          

USD

    169,842,889               Sep 01 2023       BOA       362,121  

GBP

    171,172          

EUR

    200,000               Sep 05 2023       BOA       (73 )

GBP

    132,457,403          

USD

    168,355,646               Sep 05 2023       BOA       (553,927 )

GBP

    38,219,704          

EUR

    44,400,000               Sep 20 2023       BOA       230,170  

GBP

    50,000,000          

USD

    63,725,572               Sep 20 2023       BOA       (379,489 )

GBP

    9,500,000          

AUD

    18,852,542               Sep 22 2023       BOA       (189,557 )

GBP

    22,682,488          

EUR

    26,500,000               Sep 22 2023       BOA       (28,388 )

GBP

    9,125,000          

JPY

    1,693,985,349               Sep 22 2023       BOA       (123,108 )

GBP

    45,561,500          

USD

    58,040,529               Sep 22 2023       BOA       (317,169 )

GBP

    1,028,000          

USD

    1,310,511               Oct 18 2023       BOA       (8,038 )

HUF

    3,613,312,838          

EUR

    9,300,000               Sep 20 2023       BOA       138,622  

HUF

    191,585,050          

EUR

    500,000               Sep 22 2023       BOA       (406 )

HUF

    528,109,260          

USD

    1,500,000               Sep 22 2023       BOA       (5,022 )

HUF

    2,781,500,000          

USD

    7,767,680               Oct 18 2023       BOA       65,929  

IDR

    27,577,256,000          

USD

    1,800,000               Sep 27 2023       BOA       10,396  

ILS

    2,262,694          

USD

    600,000               Sep 20 2023       BOA       (4,563 )

INR

    2,227,040,736          

USD

    26,800,000               Sep 05 2023       BOA       96,453  

INR

    115,796,248          

USD