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

As filed with the Securities and Exchange Commission on 11/3/2022

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, 2022

Item 1. Reports to Stockholders.

Abbey Capital Futures Strategy Fund

of

THE RBB FUND, INC.

Annual Report

August 31, 2022

Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report

August 31, 2022 (Unaudited)

Dear Shareholder,

The Abbey Capital Futures Strategy Fund (the “Fund”) Class I Shares returned +17.72% net of fees for the 12-month fiscal year ended August 31, 2022.

Positive performance was driven by trading in fixed income, currencies and energy. Investments in equities were the main detractors during the 12-month period. The Fund’s core allocation to Diversified Trendfollowing (“Trendfollowing”) strategies generated most of the positive performance, while the performance of the Fund’s non-Trendfollowing allocation was 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 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, 2022 (unless otherwise noted)

Barclay CTA numbers are based on the estimates available on the BarclayHedge website as of September 9, 2022

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2022 (Unaudited)

Class I Shares, Class A Shares, and Class C Shares, respectively. This contractual limitation is in effect until December 31, 2022, 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 1.89%, 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 December 31, 2021, 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 12-month period ended August 31, 2022 was positive overall for Fund performance. The Fund’s Trendfollowing sub-advisers recorded gains for the period, while the non-Trendfollowing trading styles were positive in aggregate.

This period was characterised by high inflation and hawkish monetary policy, with supply constraints across commodity sectors and the Russia-Ukraine conflict other notable themes that impacted markets. These factors contributed to sharp moves and heightened volatility across both financial and commodity markets at different times during the period.

Inflation in the US and Europe reached multi-decade highs during the period, with US inflation rising to +9.1% per annum in June 2022, its highest level since 1981. Central banks were initially slow to react to signs of increasing price pressures. The US Federal Reserve initially viewed rising inflation as a “transitory” effect of the global economy re-opening following COVID-19 disruptions and supply bottlenecks in various sectors. However, as high inflation proved more persistent than expected, global central banks began to hike rates in 2022 and scale back monetary policy supports such as quantitative easing.

Rising inflation weighed on both bond and equity prices over the period, with the relationship between the two asset classes shifting as the bond/equity correlation turned positive.

Supply concerns were a persistent theme across commodity markets, contributing to a rally in various energy, metal and agricultural markets in the first half of the 12-month period. The outbreak of the Russia-Ukraine conflict in Q1 2022 led to supply disruptions and an acceleration in price uptrends across many commodity contracts. However, as we moved into Q2 2022, uptrends in commodities began to weaken as concerns about slower global growth became more prominent and the stronger USD weighed on metals prices.

Fund performance from September to December 2021 was negative, with choppy price moves in longer-dated bonds proving challenging for the Fund’s Trendfollowing and Value sub-advisers. Notable losses occurred in late November 2021, when the emergence of the Omicron COVID-19 variant resulted in a sharp reversal of trends in several sectors, most notably in equities and energy.

Fund performance was positive from January to August 2022. Strong trends occurred in both financial and commodity markets in the early part of 2022, which provided a favourable environment for the Fund’s Trendfollowing sub-advisers. As the year progressed, price trends became more prominent in financial contracts, particularly in fixed income and currencies. While Trendfollowing sub-advisers were the primary source of positive Fund performance in the first eight months of 2022, the increased volatility in fixed income markets provided profitable opportunities for the Fund’s Short-term Systematic (“Short-term”) sub-adviser.

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

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Continued)

August 31, 2022 (Unaudited)

The Fund’s largest gains occurred in fixed income over the 12-month period as high inflation and aggressive policy tightening by global central banks led to a significant repricing in global bond and interest rate markets. Some of the most pronounced moves occurred in the US, where the US 2-year Treasury yield rose by over +320 basis points during the 12-month period as investors anticipated US interest rates of approximately 3.75% by the end of 2022. Trendfollowing sub-advisers transitioned to an aggregate short position across bonds and interest rates in late 2021, which resulted in gains as trends in global yields accelerated in the early part of 2022. The Short-term sub-adviser also recorded gains in fixed income from short positions in US Treasuries during the period, while the Value sub-adviser had negative performance due to losses from longs in 3-month Eurodollar contracts.

In currencies, the Fund held long USD positions throughout the period, which resulted in gains. Hawkish guidance from the US Federal Reserve and higher US yields supported the US currency, with long USD positions against the EUR and JPY leading to gains in the sector. A widening US-Japan yield differential helped the USD reach a 24-year high against the JPY during the period. Meanwhile, the USD hit a 20-year high against the EUR during the period. The EUR weakened as the US Federal Reserve was more aggressive in tightening monetary policy than the European Central Bank and as a supply crunch in European energy markets weighed on the growth outlook for the eurozone. The allocations to Trendfollowing and Global Macro sub-advisers were responsible for the majority of the Fund’s gains in currencies during the period.

Supply concerns were a prominent theme in energy markets over the 12-month period. OPEC+ supply restrictions, combined with strong global demand, were a tailwind for crude oil prices in the first half of the period. Disruptions to Russian energy supplies following the imposition of economic sanctions also impacted prices. In August 2022, US natural gas futures hit their highest level since 2008 on concerns about low inventory levels. European natural gas and electricity prices reached record highs in August 2022 amid severe energy supply shortages as Russia restricted natural gas exports to the region. The Fund’s long positions in energy resulted in gains for the period, with longs in crude oil, distillates and natural gas all contributing positively to performance.

The Fund’s performance in metals was mixed during the period, with gains in base metals partially offset by losses in precious metals. Low inventories were an important theme across many base metals markets, with the Fund’s largest gains occurring from longs in aluminium and nickel as both metals hit record highs in March 2022 before uptrends reversed. Both metals were supported by uncertainty about supplies from Russia. Aluminium prices were also boosted at times by high energy costs, while nickel prices were impacted by a short squeeze that took place at the London Metal Exchange. Meanwhile, the Fund’s losses in precious metals were primarily the result of investments in gold.

Modest gains were also recorded in agricultural commodities. The Fund’s Trendfollowing allocation was the primary source of gains in this sector during the period, with longs in corn, wheat and cotton contributing positively to returns. Wheat and corn prices were supported by disruptions to agricultural exports from Russia and Ukraine, with concerns about growing conditions in the US and Brazil serving as a further tailwind to corn prices. Meanwhile, droughts in key US growing regions saw cotton futures rally.

Equities were the largest detractor from Fund performance at the sector level during the period. Losses mostly occurred in early 2022 from long positions as global equities began to decline from record highs. High inflation and concerns about the impact of tighter monetary policy weighed on global stocks during the period. The Russia-Ukraine conflict, COVID-19 lockdowns in China, signs of slowing global growth and some mixed earnings data also impacted risk sentiment at times. The S&P 500 Total Return Index returned -11.2% for the 12- month period overall, with the index entering a bear market in June 2022.

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Abbey Capital Futures Strategy Fund

Annual Investment Adviser’s Report (Concluded)

August 31, 2022 (Unaudited)

This reversal in the long-term uptrend in equities proved challenging for the Fund’s Trendfollowing sub-advisers, while its Short-term sub-adviser recorded partially offsetting gains in the sector.

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 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, 2022 (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.

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

5

Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2022 (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 2.14% 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, 2022 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, 2022 (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.

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, 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, 2022 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, 2022 (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.

8

Abbey Capital Futures Strategy Fund

Performance Data (Continued)

August 31, 2022 (Unaudited)

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.

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, 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, 2022 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.

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Abbey Capital Futures Strategy Fund

Performance Data (Concluded)

August 31, 2022 (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 2022. 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.

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Abbey Capital Futures Strategy Fund

Fund Expense Examples

August 31, 2022 (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, 2022 through August 31, 2022, 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.

11

Abbey Capital Futures Strategy Fund

Consolidated Portfolio Holdings Summary Table

August 31, 2022 (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, 2022

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, 2022

Futures contracts outstanding as of August 31, 2022 were as follows:

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, 2022

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, 2022

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, 2022

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, 2022

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, 2022