Abbey Capital Futures Strategy Fund

Our publicly offered multi-manager ‘40 Act fund for institutional and retail investors in the US. The ACFS allocates to a diversified set of managed futures strategies to exploit dispersions in returns.
Performance Class I
As of: 28 November 2022
$13.74
NAV
+$0.02
Change $
+0.15%
Daily Return
Ticker
ABYIX
CUSIP
74925K 367
Minimum Investment
$1,000,000
Additional Investment
$1,000
Launch Date
1 July 2014

For further performance information click here.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance would have been lower without fee waivers in effect. 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.

Performance Class A
As of: 28 November 2022
$13.57
NAV
+$0.01
Change $
+0.07%
Daily Return
Ticker
ABYAX
CUSIP
74925K 375
Minimum Investment
$2,500
Additional Investment
$100
Launch Date
29 August 2014

For further performance information click here.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance would have been lower without fee waivers in effect. 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.

Performance Class C
As of: 28 November 2022
$13.11
NAV
+$0.01
Change $
+0.08%
Daily Return
Ticker
ABYCX
CUSIP
74925K 359
Minimum Investment
$2,500
Additional Investment
$100
Launch Date
6 October 2015

For further performance information click here.

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance would have been lower without fee waivers in effect. 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.

Fund Overview

The Abbey Capital Futures Strategy Fund (the “Fund”) is a multi-manager managed futures strategy with allocations to a diversified set of managed futures strategies. Tickers are ABYIX (Class I), ABYAX (Class A) and ABYCX (Class C). The investment objective of the Fund is to seek long-term capital appreciation with the generating of current income a secondary objective. The strategy comprises an allocation to managed futures complemented with an actively managed fixed income exposure, achieved in a competitive cost structure. The managed futures allocation is managed by leading managed futures managers employing a diversified range of trading strategies applied across multiple markets. Managers are selected by Abbey Capital, a leading multi-manager in managed futures, with a track record of successful allocating dating back to 2000.

Facts & Fees
  • No performance fees
  • No hidden manager fees
  • No hidden swap fees

This table describes the fees and expenses that you may pay if you buy and hold shares of the Fund. You may qualify for sales charge discounts on Advisor Class Shares if you invest, or agree to invest in the future, at least $25,000 in the Fund. More information about these and other discounts is available from your financial professional, in the section of the Prospectus entitled “Shareholder Information- Sales Charges” and in the section of the Fund’s Statement of Additional Information (“SAI”) entitled “Purchase and Redemption Information – Reducing or Eliminating the Front-End Sales Charge.”

 

Shareholder Fees (fees paid directly from your investment)

As of 28 November 2022
Class I
Class A
Class C
Maximum Sales Charge (Load) Imposed on Purchases (as a percentage of offering price)
None
5.75%
None
Maximum Deferred Sales Charge (Load)
None
None (1)
1.00% (2)
Maximum Sales Charge (Load) Imposed on Reinvested Dividends
None
None
None
Redemption Fee (as a percentage of amount redeemed, if applicable)
None
None
None

Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment)

Class I
Class A
Class C
Management Fees (3)
1.77%
1.77%
1.77%
Distribution and/or Service (12b-1) Fee
None
0.25%
1.00%
Other Expenses
0.12%
0.12%
0.12%
Total Annual Fund Operating Expenses
1.89%
2.14%
2.89%
Less: Fee Waivers and/or Expense Reimbursements(4)
-0.10%
-0.10%
-0.10%
Total Annual Fund Operating Expenses after Fee Waivers and/or Expense Reimbursements(4)
1.79%
2.04%
2.79%

(1) A contingent deferred sales charge (“CDSC”) of 1.00% is assessed on certain redemptions of Class A Shares made within 12 months after purchase where no initial sales charge was paid at time of purchase as part of an investment of $1,000,000 or more.

(2) The CDSC applies to redemptions of Class C Shares made within 12 months of purchase and will be assessed on an amount equal to the lesser of the offering price at the time of purchase of the shares redeemed and the net asset value of the shares redeemed at the time of redemption.

(3) Management Fees include advisory fees paid to both Abbey Capital Limited (the “Adviser”) and one or more trading advisers (the “Trading Advisers”). There are no performance fees charged by the Adviser or Trading Advisers either at the Fund or at the Fund’s wholly-owned Subsidiaries.

(4) The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit Total Annual Fund Operating Expenses (excluding certain items discussed below) 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. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause net Total Annual Fund Operating Expenses to exceed 1.79%, 2.04% or 2.79%, as applicable: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until 31 December 2022 for Class I Shares, Class A Shares and Class C Shares, and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. (the “Company”). If at any time the Fund’s Total Annual Fund Operating Expenses (not including acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) for a year are less than 1.79%, 2.04% or 2.79%, as applicable, 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.

Performance
As of 28 November 2022
Class I
Class A*
(Pro forma 1 Jul 14 – 29 Aug 14)
Class A with max. load *
(Pro forma 1 Jul 14 – 29 Aug 14)
Class C+
(Pro forma 1 Jul 14- 6 Oct 15)
NAV
$13.74
$13.57
$14.40
$13.11
NAV Daily Change
+$0.02
+$0.01
+$0.01
+$0.01
% Daily
+0.15%
+0.07%
-5.70%
+0.08%
% Month To Date
-3.85%
-3.90%
-9.41%
-3.89%
% Quarter To Date
-4.32%
-4.37%
-9.89%
-4.45%
% Year To Date
+19.06%
+18.72%
+11.87%
+18.00%
% Inception To Date **
+5.83%
+5.56%
+4.82%
+4.79%

Past performance does not guarantee future results.

As of 30 September 2022*
Class I
Class A*
(Pro forma 1 Jul 14 – 29 Aug 14)
Class A with max. load *
(Pro forma 1 Jul 14 – 29 Aug 14)
Class C+
(Pro forma 1 Jul 14- 6 Oct 15)
% Quarter To Date
+5.74%
+5.66%
-0.42%
+5.46%
% Year To Date
+24.44%
+24.15%
+16.98%
+23.49%
% 1 Year
+21.79%
+21.52%
+14.51%
+20.55%
% 3 Year**
+10.76%
+10.49%
+8.33%
+9.66%
% 5 Year**
+8.32%
+8.03%
+6.76%
+7.24%
% Inception To Date **
+6.52%
+6.25%
+5.49%
+5.46%

Past performance does not guarantee future results.

*Source: Abbey Capital based on administrator data. Class A Shares returns prior to 29 August 2014 are pro forma (i.e. returns of Class I Shares adjusted for fees and expenses of Class A Shares). Returns for Class A Shares with Load reflect a deduction for the maximum front-end sales charge of 5.75%.

⁺ Class C Shares returns prior to 06 October 2015 are pro forma (i.e. returns of Class I Shares, adjusted for Class C Shares expenses).

** Calculated on an annualised basis. 

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current returns may be lower or higher than the past performance data quoted. Visit abbeycapitastg.wpengine.com for returns updated daily. Call (US Toll Free) 1-844-261-6484 or (international callers) +1-414-203-9540 for returns current to the most recent month-end.

Returns would have been lower without fee waivers in effect.  Annual Fund Operating Expenses after fee waiver are as of the most recent prospectus and are applicable to investors. The Fund’s net expenses are 1.79% for Class I Shares, 2.04% for Class A Shares and 2.79% for Class C Shares, net of the Fee Waiver (described below). The gross expenses are 1.89% for Class I Shares, 2.14% for Class A Shares and 2.89% for Class C Shares. Abbey Capital has contractually agreed to waive its advisory fee and/or reimburse expenses to limit Total Annual Fund Operating Expenses (excluding Excluded Items below) to 1.79%, 2.04% and 2.79% for Class I Shares, Class A Shares and Class C Shares, respectively (the “Fee Waiver”). This contractual limitation is in effect until December 31, 2022. The following are not included in the Fee Waiver: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes (“Excluded Items”).

Distributions

Distributions

For the 2022 estimate distributions please click here

For the 2021 distributions please click here

 

 

Documentation
As of 28 November 2022
Download Link
Summary Prospectus

Summary Prospectus

Prospectus
Statement of Additional Information
Information Statement
Performance Report Q3 2022
Fact Sheet October 2022
Month-End Positioning October 2022
Annual Report
Semi-Annual Report

Semi-Annual Report

Historical Portfolio Holdings Report May 2022
Historical Portfolio Holdings Report November 2021

View

Historical Portfolio Holdings Report May 2021

Historical Portfolio Holdings Report May 2021

Abbey Capital Futures Strategy Fund Distribution 2020

Abbey Capital Futures Strategy Fund Distribution 2020

Why Managed Futures Quick-read Analysis
Investor Application

Investor Application

IRA Investor Application

IRA Investor Application

Entity Investor Application

Entity Investor Application

Press Releases
Abbey Capital Futures Strategy Fund Celebrates 5-Year Anniversary

Abbey Capital Futures Strategy Fund Celebrates 5-Year Anniversary

Abbey Capital Futures Strategy Fund Celebrates 3-Year Anniversary

Abbey Capital Futures Strategy Fund Celebrates 3-Year Anniversary

Abbey Capital Futures Strategy Fund Announces Reduction in Management Fees

Abbey Capital Futures Strategy Fund Announces Reduction in Management Fees

January 2016 Abbey Capital Futures Strategy Fund Surpasses $300m in AUM

January 2016 Abbey Capital Futures Strategy Fund Surpasses $300m in AUM

September 2015 Abbey Capital Futures Strategy Fund Surpasses $250m in AUM

September 2015 Abbey Capital Futures Strategy Fund Surpasses $250m in AUM

March 2015 Abbey Capital Futures Strategy Fund Surpasses $100m in AUM

March 2015 Abbey Capital Futures Strategy Fund Surpasses $100m in AUM

July 2014 Abbey Capital Futures Strategy Fund Launch

July 2014 Abbey Capital Futures Strategy Fund Launch

Sub Advisors

 

Aspect Capital Limited (“Aspect”)

Aspect Capital Limited is a London-based investment manager which was founded in 1997. The firm applies a systematic and research driven approach to investment management. The Core Diversified strategy is a medium-term, momentum based investment process applying Aspect’s core trendfollowing models across a set of highly liquid futures and FX markets.

Crabel Capital Management, LLC (“Crabel”)

Crabel is a Los Angeles-based alternative investment manager with over 25 years of experience specializing in systematic, automated trading of futures and foreign exchange.  The Crabel Advanced Trend Program employs multiple price-based, systematic strategies that participate in market trends across a diversified global portfolio of approximately 200 futures and foreign exchange instruments through the firm’s fully automated, low latency execution infrastructure.

Eclipse Capital Management, Inc (“Eclipse”)

Eclipse is a systematic global macro quantitative-based manager in St. Louis, Missouri. The Eclipse Emerald Futures Strategy takes a systematic, multi-model approach to trading. The program uses an allocation to trendfollowing, complemented with allocations to fundamental macroeconomic and mean reversion models, to construct a portfolio based on the aggregate positioning.

Episteme Capital Partners (UK) LLP (“Episteme”)

Episteme is an independent quantitative investment manager founded in 2009 that manages capital for a global client base. Across the team there is broad and practical experience spanning market cycles, asset classes and investment styles. The firm combines this experience with theory and quantitative techniques to design distinctive systematic strategies within a pragmatic risk management framework. The Episteme Emerald Program is a quantitative systematic macro program, which blends fundamental and technical strategies implemented through a diversified set of futures and FX markets.

Graham Capital Management L.P. (“Graham”)

Graham is a Connecticut based macro-oriented alternative investment firm founded in 1994. Graham focuses on macro-oriented investment strategies in the global fixed income, currency, commodity and equity markets. Graham’s Tactical Trend Strategy is a quantitative trading system driven by trend-following models. The program signals buy and sell orders based on a number of factors, including price, volatility, and length of time a position has been held in the portfolio, and employs sophisticated techniques to gradually enter and exit positions over the course of a trend in order to maximize profit opportunities.

P/E Global, LLC (“P/E”)

P/E is a Boston-based manager founded in 1995. The P/E Emerald Futures Program is systematic and analyses financial and macroeconomic fundamental data on a daily basis, with a focus on risk and yield information. A Bayesian approach is used to determine dominant factors in major FX markets, forecast returns and determine trading positions.

Revolution Capital Management, LLC (“Revolution”)

Revolution is a Denver, Colorado-based manager founded in 2004. The Revolution Emerald Futures Program follows a 100% systematic short- and medium-term trading strategy, combining counter-trend and trend reversion models. Trading takes place in a diversified set of markets, including commodity, equity, currency, bond and short-term interest rate sectors.

RG Niederhoffer Capital Management (“RGN”)

RGN is a New York based quantitative investment manager founded in 1993 by Roy G. Niederhoffer specializing in systematic, short-term automated trading of futures. The RGN Emerald Program employs fully systematic, short-term, contrarian and machine learning models to anticipate behavioural biases in markets. The program trades 40 futures across fixed income, FX, equity and commodities through the firm’s fully automated, low latency execution infrastructure.

Systematica Investments Limited (“Systematica”)

Systematica launched as an independent business in January 2015 with a track record dating back to 2004. Systematica is an innovative technology-driven firm focused on a quantitative and systematic approach to investing. Systematica’s “trend following” program seeks to algorithmically identify and capture movements in markets relating to momentum or trends.

Tudor Investment Corporation (“Tudor”)

Tudor is a Connecticut-based investment manager. The firm runs multiple strategies including but not limited to discretionary global macro, event driven and quantitative investment and trading strategies. The Tudor Emerald Momentum program trades a systematic trend following strategy across a broad range of global futures markets.

Welton Investment Partners LLC (“Welton”)

Welton Investment Partners LLC is a California-based investment manager whose predecessor was originally formed in 1988. The Welton Trend program seeks to harness recurrent market opportunities by utilizing systematic, research driven, medium and long-term trend following models across a broad range of diversified global futures markets.

Winton Capital Management Limited (“Winton”)

Winton is a research-led, quantitative investment management company, founded by David Harding in 1997. The Winton Trend Strategy uses technical macro strategies that are applied to more than 80 liquid futures and FX markets, spanning stock indices, fixed income, currencies, agriculture, metals and energies.

Risk Consideration

Risk Considerations

Mutual Fund investing involves risk including the possible loss of principal value. The Fund’s investment activities involve a significant degree of risk and material losses may occur. The Fund may invest in derivatives, (futures, options, swaps) and commodities. Investing in managed futures may not be suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can understand and bear the risks associated with product. Exposure to commodities markets and commodity-linked derivatives may subject the Fund to greater volatility affected by industry-related factors, value, supply and demand, governmental policies, weather, economic and political factors To the extent that the investment advisor misjudges current market conditions, the Fund’s volatility may be amplified by its use of short sales and derivatives, and by its ability to select Sub-Advisers to allocate assets. Short sales by a Fund theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Derivatives may be more sensitive to changes in market conditions and may amplify risks. Derivatives are subject to the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty to the derivative instruments and the risk of loss due to changes in interest rates. The use of certain derivatives may also have a leveraging effect which may increase the volatility of the Fund and may reduce its returns. Leverage may increase the risk of loss and cause fluctuations in the market value of the Fund’s portfolio to have disproportionately large effects or cause the NAV of the Fund generally to decline faster than it would otherwise. The Fund invests in the securities of foreign and emerging markets which are subject to currency fluctuation, political instability, social and economic risks. In particular, emerging and frontier markets may be more volatile and less liquid than more developed markets and therefore may involve greater risks. In order to qualify as a Registered Investment Company (RIC), the Fund must meet certain requirements regarding the source of its income, the diversification of its assets and the distribution of its income. If the Fund was to fail to qualify as a RIC and became subject to federal income tax or if there were changes in the laws of the United States and/or the Cayman Islands, this could adversely affect the Fund and shareholders of the Fund would be subject to diminished returns. Please refer to the prospectus and SAI for more information on tax risks. Fixed income securities that the fund may invest are subject to credit risk, prepayment risk and interest rate risk so that as interest rates rise the value of bond prices will decline. The Fund is non-diversified which means it may be invested in a limited number of issuers and susceptible to any economic, political and regulatory events than a more diversified fund.

About Managed Futures

The Abbey Capital Futures Strategy Fund (the “Fund”) is an actively managed mutual fund which will seek long-term capital appreciation. Current income is a secondary objective.

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Managed futures managers

Managed futures managers can take long and short positions and trade multiple markets; this gives them the ability to potentially profit from falling and rising markets.

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Trading strategies

There are a range of trading strategies employed by managers including trend following, mean reversion, discretionary macro and value.

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Return drivers

The drivers of returns for managed futures are different to those of long equity portfolios. Combining managed futures with equities has the potential to create portfolio benefits above those experienced by an equity-only portfolio.*

* These benefits may include a lower drawdown and volatility profile and a better risk-adjusted return. However, managed futures may not provide these benefits and these benefits are dependent upon a number of variable factors including market environments. Trading in managed futures is not suitable for all investors given its speculative nature and the high level of risk involved.
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The Fund may invest in derivatives (futures, options, swaps) and commodities. Investing in managed futures may not be suitable for all investors given its speculative nature and the high level of risk involved. The Fund is appropriate only for investors who can understand and bear the risks associated with product. Click here for further risk considerations. Investors should consider the investment objectives, risks, charges and expenses of the Abbey Capital Futures Strategy Fund carefully before investing.

A prospectus with this and other information about the fund including returns current to most recent month-end may be obtained by calling (US Toll Free) 1-844-261-6484, international callers call + 1-414-203-9540, or by clicking here. The prospectus should be read carefully before investing.

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