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

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

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

811-05518

Investment Company Act file number

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

615 East Michigan Street

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

Salvatore Faia, President

c/o U.S. Bank Global Fund Services

615 East Michigan Street

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

(414) 765-5366

Registrant's telephone number, including area code

Date of fiscal year end: August 31

Date of reporting period: August 31, 2021

Item 1. Reports to Stockholders.

Abbey Capital Futures Strategy Fund

of

THE RBB FUND, INC.

Annual Report

August 31, 2021

Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report

August 31, 2021 (Unaudited)

Dear Shareholder,

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

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

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

Source: Abbey Capital, Bloomberg and BarclayHedge.

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

Please note the above is shown for illustrative purposes only

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2021 (Unaudited)

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

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

Performance Analysis

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

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

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

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

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2021 (Unaudited)

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

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

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

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

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

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

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Concluded)

August 31, 2021 (Unaudited)

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

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

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

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Abbey Capital Futures Strategy Fund

Performance Data

August 31, 2021 (Unaudited)

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

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

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

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2021 (Unaudited)

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

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2021 (Unaudited)

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

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

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

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2021 (Unaudited)

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

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

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

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Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2021 (Unaudited)

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

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

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

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Abbey Capital Futures Strategy Fund

Performance Data (Concluded)

August 31, 2021 (Unaudited)

Barclay CTA Index

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

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

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

S&P 500^® Index

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

The S&P 500^® Total Return Index

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

A basis point is one hundredth of one percent.

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

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Abbey Capital Futures Strategy Fund

Fund Expense Examples

August 31, 2021 (Unaudited)

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

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

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

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

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Abbey Capital Futures Strategy Fund

Consolidated Portfolio Holdings Summary Table

August 31, 2021 (Unaudited)

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

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, 2021

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, 2021

Futures contracts outstanding as of August 31, 2021 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, 2021

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

15

Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2021

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

16

Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2021

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

17

Abbey Capital Futures Strategy Fund

Consolidated Portfolio of Investments (Continued)

August 31, 2021

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, 2021