RBB Fund N-CSRCertified annual shareholder report (management investment company)

As filed with the Securities and Exchange Commission on 11/5/2020

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-05518

Investment Company Act file number

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

615 East Michigan Street

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

Salvatore Faia, President

c/o U.S. Bank Global Fund Services

615 East Michigan Street

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

(414) 765-5366

Registrant's telephone number, including area code

Date of fiscal year end: August 31

Date of reporting period: August 31, 2020

Item 1. Reports to Stockholders.

Abbey Capital Futures Strategy Fund

of

THE RBB FUND, INC.

Annual Report

August 31, 2020

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (the “SEC”), paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on a website and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or a bank) or, if you are a direct investor, by calling 1-844-261-6484.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can call 1-844-261-6484 to inform the Fund that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Fund.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report

August 31, 2020 (Unaudited)

Dear Shareholder,

The Abbey Capital Futures Strategy Fund (the “Fund”) Class I returned -1.39% net of fees for the 12- month fiscal year ended August 31, 2020. The negative performance was driven by losses in equities, currencies and agricultural commodities, with gains occurring primarily in fixed income and energy over the period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) sub-advisers (sub-advisers are also known as “Trading Advisers”) drove negative performance over the period, with the Fund’s non-Trendfollowing allocations performing positively in aggregate. The Fund may invest up to 25% of its total assets in Abbey Capital Master Offshore Fund Limited (“ACMOF”), which invests substantially all of its assets in Abbey Capital Offshore Fund SPC (“ACOF”), which is a multi-adviser fund that invests in managed futures and foreign exchange. The Fund may also invest a portion of its assets in Abbey Capital Onshore Series LLC (“ACOS”), which is a multi-adviser fund that invests in managed futures and foreign exchange contracts.

Average Total Returns for the Periods Ended August 31, 2020 (unless otherwise noted)

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 5, 2020

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

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. These represent the net expense ratios and are applicable to investors. This contractual limitation is in effect until February 28, 2021, and may not be terminated

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2020 (Unaudited)

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 1.89%, 2.14% and 2.89% 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 February 28, 2020, as supplemented (and which may differ from the actual expense ratios for the period covered by this report). The quoted performance would have been lower without the expense limitation.

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

Performance Analysis

The fiscal year ended August 31, 2020 saw a number of shifts in risk sentiment. In the last four months of 2019, risk sentiment was mostly positive, with global stocks rallying and bond yields generally rising as the US and China made progress towards a ‘phase one’ trade deal. This rally in global equities continued in early 2020, despite the emergence of the COVID-19 virus in China, although we also saw a rally in fixed income products. A significant rise in new cases of the COVID-19 virus outside of Asia in mid-February, most notably in Italy, led to a rise in risk aversion and sharp price declines in many risk assets, most notably equities, and a notable jump in market volatility. In late March, approximately 5 weeks after the sell-off in equities began, global stocks and other risk assets began to recover and volatility in many markets began to return to more normal levels. The prospect of the global economy re-opening, a slowdown in new virus cases in many regions, optimism about a potential COVID-19 vaccine and significant policy support from both central banks and governments were important factors driving the rebound in risk sentiment during this period.

Early in the twelve-month period, the Fund saw losses as previous trends in fixed income and currencies reversed, with the Fund’s Trendfollowing sub-advisers generating the largest losses in this period. The performance environment improved in Q1 2020, as the COVID-19 outbreak helped to create notable trends in fixed income and energy markets, with all trading styles yielding positive returns over this period. From Q2 2020 onwards, the performance environment became more mixed as a significant snapback in risk sentiment drove trend reversals in many markets, with the Fund’s largest losses recorded due to reversals in energy and currencies. Trendfollowing and Global Macro sub-advisers saw losses over this period, while Value sub-advisers had positive performance.

For the twelve-month period overall, the Fund’s Trendfollowing sub-advisers saw losses in aggregate. Value sub-advisers yielded positive returns, while the performance of the Global Macro sub-advisers was close to flat.

In equities, the Fund had negative performance due to losses incurred in Q1 2020. These losses outweighed positive performance in Q4 2019 and Q3 2020 from long positions. Uncertainty about the COVID-19 outbreak and the associated impact on the global economy saw equities correct sharply in Q1 2020. The speed of decline in equities was particularly swift, with the S&P 500^® Index experiencing its fastest bear market in history, and US equity market volatility increasing to its highest level since the global financial crisis in 2008-2009. This reversal in global stocks proved problematic for the Fund’s Trendfollowing sub-advisers, who had held long equity positions prior to the sell-off given the strong uptrend in many global indices in 2019 and early 2020, and thus saw notable losses.

In the early part of the 12-month period, the USD trended lower as the US cut rates and as US-China trade sentiment improved. This changed in Q1 2020, as demand for haven assets increased amid the COVID-19 outbreak and fears of a USD shortage saw the greenback rally before downtrends in the USD resumed from Q2 2020 onwards as risk sentiment improved. The Fund’s losses in currencies largely came from long USD exposures during the periods of USD weakness at the beginning and at the end of the twelve-month period. Trendfollowing sub-advisers saw the largest losses in currencies over the period, largely due to trading in USD/JPY and GBP/USD, while Global Macro sub-advisers yielded negative returns due to losses from long USD positions against the EUR and the AUD.

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2020 (Unaudited)

Agricultural commodities was another difficult sector for the Fund, with the negative performance of Trendfollowing sub-advisers in soft commodities and grains being the main source of losses. In soft commodities, soybeans, coffee and sugar were the largest negative contributors. Choppy price moves created a difficult trading environment for Trendfollowing sub-advisers in these contracts, although Value sub-advisers did profit from long coffee and cotton positions late in the period. A similarly difficult trading environment also occurred in grains, with Trendfollowing sub-advisers again seeing losses, in this instance primarily from trading in wheat. Meanwhile, in meat contracts, a short position in pigs resulted in gains for the Fund.

On the upside, long fixed income and short energy exposures resulted in gains, with smaller profits recorded in metals.

The Fund initially saw losses in fixed income as global yields reversed and trended higher in the second half of 2019 on improving US-China trade sentiment and higher equity prices. However, performance turned positive from early 2020 onwards as strong uptrends in global fixed income prices emerged as global monetary policy turned more dovish, with numerous central banks cutting rates and enacting new bond buying programs to counteract the slowdown in economic growth and deflationary pressures that arose following the COVID-19 outbreak. Trendfollowing sub-advisers profited from long exposures in US Treasuries, as US fixed income markets outperformed many other developed markets. Value managers also saw notable gains within fixed income.

Energy performance was also positive over the period. The Fund saw losses from September to December 2019, as crude oil and distillates traded in a relatively narrow range. The Fund’s Trendfollowing sub-advisers began to build short positions in the sector in early 2020. Thus, the Trendfollowing sub-advisers were well positioned to profit from the sharp fall in energy prices that accompanied the COVID-19 related slowdown in global economic activity, which included front- month crude oil futures briefly trading at a negative price in April 2020. A short in heating oil was the largest positive contributor in energy, with Trendfollowing sub-advisers capturing the bulk of Fund gains in the sector.

In metals, longs in gold and silver drove positive performance, with smaller gains recorded in base metals. Performance in both base and precious metals was negative for much of the period, before turning positive in Q3 2020 as metals prices accelerated to the upside amid USD weakness. The largest gains were recorded from longs in gold, which rallied to a record in August 2020, closing above $2,000 an ounce for the first time.

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Concluded)

August 31, 2020 (Unaudited)

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.

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Abbey Capital Futures Strategy Fund

Performance Data

August 31, 2020 (Unaudited)

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

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

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)

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2020 (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 2.14% for Class A Shares as stated in the current prospectus (and which may differ from the actual expense ratio for the period covered by this report). This contractual limitation is in effect until February 28, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2020 (Unaudited)

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

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

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 1.89% for Class I Shares, as stated in the current prospectus (and which may differ from the actual expense ratios for the period covered by this report). This contractual limitation is in effect until February 28, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2020 (Unaudited)

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

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

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 2.89% for Class C Shares, as stated in the current prospectus (and which may differ from the

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2020 (Unaudited)

actual expense ratios for the period covered by this report). This contractual limitation is in effect until February 28, 2021 and may not be terminated without the approval of the Board of Directors of The RBB Fund, Inc. Please see the Consolidated Financial Highlights for current figures.

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

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

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Abbey Capital Futures Strategy Fund

Performance Data (Concluded)

August 31, 2020 (Unaudited)

Barclay CTA Index

The Barclay CTA Index is a leading industry benchmark of representative performance of commodity trading advisors. There are currently 510 programs included in the calculation of the Barclay CTA Index for 2020. The Barclay CTA Index is equally weighted and rebalanced at the beginning of each year.

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

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

S&P 500^® Index

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

The S&P 500^® Total Return Index

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

A basis point is one hundredth of one percent.

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

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Abbey Capital Futures Strategy Fund

Fund Expense Examples

August 31, 2020 (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, 2020 through August 31, 2020, 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.

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio Holdings Summary Table

August 31, 2020 (Unaudited)

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

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.

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments

August 31, 2020

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2020

Futures contracts outstanding as of August 31, 2020 were as follows:

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2020

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2020

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, 2020

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2020

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2020