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TABLE OF CONTENTS |
1 | ||||
AGGRESSIVE INVESTORS 1 FUND | ||||
12 | ||||
18 | ||||
AGGRESSIVE INVESTORS 2 FUND | ||||
21 | ||||
27 | ||||
ULTRA-SMALL COMPANY FUND | ||||
30 | ||||
36 | ||||
ULTRA-SMALL COMPANY MARKET FUND | ||||
41 | ||||
47 | ||||
MICRO-CAP LIMITED FUND | ||||
58 | ||||
63 | ||||
SMALL-CAP MOMENTUM FUND | ||||
67 | ||||
72 | ||||
SMALL-CAP GROWTH FUND | ||||
79 | ||||
84 | ||||
SMALL-CAP VALUE FUND | ||||
87 | ||||
92 | ||||
LARGE-CAP GROWTH FUND | ||||
95 | ||||
100 | ||||
LARGE-CAP VALUE FUND | ||||
103 | ||||
108 | ||||
BLUE CHIP 35 INDEX FUND | ||||
111 | ||||
116 | ||||
MANAGED VOLATILITY FUND | ||||
118 | ||||
122 | ||||
126 | ||||
129 | ||||
131 | ||||
133 | ||||
137 | ||||
143 | ||||
159 | ||||
160 | ||||
165 | ||||
167 |
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Bridgeway Funds Standardized Returns as of June 30, 2011*
Annualized | ||||||||||||||||||||||||||||||
Fund | June Qtr. 4/1/11 to 6/30/114 | Six Months 1/1/11 to 6/30/114 | 1 Year | 5 Years | 10 Years | Inception to Date | Inception Date | Gross Expense Ratio2 | ||||||||||||||||||||||
Aggressive Investors 1 | -1.98% | 7.76% | 40.81% | -3.29% | 3.35% | 13.64% | 8/5/1994 | 1.20%3 | ||||||||||||||||||||||
Aggressive Investors 2 | -1.23% | 8.16% | 37.05% | -1.63% | NA | 5.32% | 10/31/2001 | 1.02% | ||||||||||||||||||||||
Ultra-Small Company | -5.45% | 2.03% | 30.12% | 0.22% | 12.30% | 16.06% | 8/5/1994 | 1.17% | ||||||||||||||||||||||
Ultra-Small Co Market | -2.85% | 3.86% | 32.22% | -0.25% | 10.48% | 10.35% | 7/31/1997 | 0.79%1 | ||||||||||||||||||||||
Micro-Cap Limited | -5.69% | 4.74% | 35.47% | -3.23% | 4.98% | 10.28% | 6/30/1998 | 1.47%3 | ||||||||||||||||||||||
Small-Cap Momentum | -0.93% | 7.88% | 37.49% | NA | NA | 25.66% | 5/28/2010 | 1.29%1 | ||||||||||||||||||||||
Small-Cap Growth | 0.16% | 12.70% | 36.17% | -3.27% | NA | 2.95% | 10/31/2003 | 0.93%1 | ||||||||||||||||||||||
Small-Cap Value | -1.37% | 10.69% | 32.73% | -0.78% | NA | 5.80% | 10/31/2003 | 0.91% | ||||||||||||||||||||||
Large-Cap Growth | 0.98% | 7.73% | 32.31% | 2.55% | NA | 4.23% | 10/31/2003 | 0.86%1 | ||||||||||||||||||||||
Large-Cap Value | -0.41% | 7.98% | 30.02% | 2.59% | NA | 6.90% | 10/31/2003 | 1.11%1 | ||||||||||||||||||||||
Blue Chip 35 Index | -0.26% | 3.40% | 25.10% | 3.03% | 2.15% | 4.45% | 7/31/1997 | 0.27%1 | ||||||||||||||||||||||
Managed Volatility | -0.94% | 2.39% | 14.15% | 1.33% | 3.58% | 3.58% | 6/30/2001 | 1.05%1 |
1 Some of the Funds’ fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser has contractually agreed to waive fees and/or reimburse expenses. Any material change to this Fund policy would require a vote by shareholders.
2 Expense ratios are as stated in the current prospectus. Please see financials for expense ratios as of June 30, 2011.
3 The management fee included in the gross expense ratio for the Aggressive Investors 1 and Micro-Cap Limited Funds has been restated to reflect only the base management fee payable under the Fund’s performance-based management fee structure. The total actual management fee for the fiscal year ended June 30, 2010 was -0.81% and -0.57%, respectively. The actual total management fee for the prior fiscal year was negative due to the negative performance adjustment of the investment management fee under the Fund’s performance-based management fee structure.
4 Return is not annualized.
Bridgeway Funds Returns for Calendar Years 1997 through 2010*
1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | |||||||||||||||||||||||||||||||||||||||||||
Aggressive Investors 1 | 18.27% | 19.28% | 120.62% | 13.58% | -11.20% | -18.01% | 53.97% | 12.21% | 14.93% | 7.11% | 25.80% | -56.16% | 23.98% | 17.82% | ||||||||||||||||||||||||||||||||||||||||||
Aggressive Investors 2 | -19.02% | 44.01% | 16.23% | 18.59% | 5.43% | 32.19% | -55.07% | 29.84% | 12.10% | |||||||||||||||||||||||||||||||||||||||||||||||
Ultra-Small Company | 37.99% | -13.11% | 40.41% | 4.75% | 34.00% | 3.98% | 88.57% | 23.33% | 2.99% | 21.55% | -2.77% | -46.24% | 48.93% | 23.55% | ||||||||||||||||||||||||||||||||||||||||||
Ultra-Small Co Market | -1.81% | 31.49% | 0.67% | 23.98% | 4.90% | 79.43% | 20.12% | 4.08% | 11.48% | -5.40% | -39.49% | 25.95% | 24.86% | |||||||||||||||||||||||||||||||||||||||||||
Micro-Cap Limited | 49.55% | 6.02% | 30.20% | -16.61% | 66.97% | 9.46% | 22.55% | -2.34% | -4.97% | -41.74% | 17.65% | 29.11% | ||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Momentum5 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Growth | 11.59% | 18.24% | 5.31% | 6.87% | -43.48% | 15.04% | 11.77% | |||||||||||||||||||||||||||||||||||||||||||||||||
Small-Cap Value | 17.33% | 18.92% | 12.77% | 6.93% | -45.57% | 26.98% | 16.55% | |||||||||||||||||||||||||||||||||||||||||||||||||
Large-Cap Growth | 6.77% | 9.33% | 4.99% | 19.01% | -45.42% | 36.66% | 13.34% | |||||||||||||||||||||||||||||||||||||||||||||||||
Large-Cap Value | 15.15% | 11.62% | 18.52% | 4.49% | -36.83% | 24.92% | 14.51% | |||||||||||||||||||||||||||||||||||||||||||||||||
Blue Chip 35 Index | 39.11% | 30.34% | -15.12% | -9.06% | -18.02% | 28.87% | 4.79% | 0.05% | 15.42% | 6.07% | -33.30% | 26.61% | 10.60% | |||||||||||||||||||||||||||||||||||||||||||
Managed Volatility | -3.51% | 17.82% | 7.61% | 6.96% | 6.65% | 6.58% | -19.38% | 12.39% | 5.41% |
5 Commenced operations on 5/28/10, therefore the Fund has no 1 year return as of 12/31/10.
* Numbers with green highlighting indicate periods when the Fund outperformed its primary benchmark.
Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than original cost. To obtain performance current to the most recent month-end, please visit our website at www.bridgeway.com or call 1-800-661-3550. Total return figures include the reimbursement of dividends and capital gains.
i | www.bridgeway.com |
(continued)
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This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 1-800-661-3550 or visit the Funds’ website at www.bridgeway.com. Funds are available for purchase by residents of the United States, Puerto Rico, U.S. Virgin Islands and Guam only. Foreside Fund Services, LLC, Distributor.
The views expressed here are exclusively those of Fund management. These views, including those relating to the market, sectors or individual stocks are not meant as investment advice and should not be considered predictive in nature.
ii | www.bridgeway.com |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM |
June 30, 2011 |
Dear Fellow Shareholders,
Six of our twelve Funds beat their primary market benchmarks in the June quarter. For the fiscal year ending June 30, eight of eleven Funds beat their primary market benchmarks; the twelfth, Managed Volatility, met its risk target (40% or less of the market risk), while returning more than 40% of its primary market benchmark return.
A review of the recent market environment appears on page 2. In an unusual demonstration of accountability and transparency, each fiscal year we commit to reporting to shareholders what we think is the worst thing at Bridgeway during the year. This year’s choice was a first. Details are on page 3. Another of Bridgeway’s Funds turned 10 years old with the completion of fiscal year 2011. On page 4 we step back and take a look at the performance of both risk and return of this “lower octane” fund. This fund has beaten the S&P Index over this most recent (lower return) decade, while meeting its risk target in eight of ten fiscal years.
Its easy to get discouraged with much of the continuing economic and market news recently. Our president, Mike Mulcahy, presents his views on why we still believe in the long term health of our country on page 6. Our founder, John Montgomery, then follows suit with advice about how to handle the short term ups and downs of the market on page 7.
We have always thought a fair question of any financial adviser is, “How do you invest with your own money?” By way of disclosure, the head of our investment team publishes his own target asset allocation plan (page 8). Be forewarned: each investor’s situation is different; don’t just follow John’s plan. He has a steel stomach for market downturns, a characteristic that has helped his financial picture over the last two and a half decades, but also has caused some short-term bumps along the way, notably in 1987 and 2008.
Audited financial statements begin on page 130. Our last section includes information on why the Bridgeway Funds’ Board of Directors renewed the advisory contract with Bridgeway (page 162).
As always, we appreciate your feedback. We take your comments very seriously and regularly discuss them internally to help in managing our Funds and this company. Please keep your ideas coming — both favorable and critical. They provide us with a vital tool, helping us to serve you better.
Sincerely,
Your Investment Management Team | ||||
John Montgomery | Dick Cancelmo | |||
Elena Khoziaeva | Michael Whipple | |||
Christine Liang | Rasool Shaik |
1 | Annual Report | June 30, 2011 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
Market Review
The Short Version: U.S. stock market returns were mixed within a limited range, as investors tried to understand the effects of poor global and domestic economic news during the June quarter.
The second quarter started strong in April. Equities enjoyed their best month of the year following positive corporate earnings and merger activity. Stocks quickly reversed direction in May and June; soft U.S. economic data, high energy costs, and concerns that Greece could default on its sovereign debt weighed on investors’ minds. A sharp rally in the final days of the quarter helped stocks as a new Greek solution emerged, a favorable U.S. durable goods report was released, and the Federal Reserve ended the QE2 stimulus to little fanfare. The end-of-quarter surge even moved some stock indexes into positive territory. Since the market low point in March 2009, stocks (as measured by the S&P 500 Index) have risen 95% through June 30, 2011. Small- and mid-cap indexes have performed even better, rising well over 100%.
Sector performance was widely mixed. Healthcare shares performed best as investors favored market segments that tend to hold up well in a weaker economy. Utilities and consumer staples, as well as other defensive sectors, did well. Industrials and business services, materials, and information technology shares fell slightly amid concerns that slower growth could hurt earnings in these sectors. Energy shares declined as oil prices tumbled in May and June, while financials fell due to housing and equity market weakness, new regulations that weighed on banks’ earnings, and economic uncertainty.
Looking at the market from a “style box” perspective below, returns were mixed across styles and market capitalizations. According to Morningstar, mid-cap growth stocks were the strongest market segment in the June quarter, up 2.1%.
Following are the stock market “style box” returns from Morningstar for the quarter and year ending June 30, 2011:
www.bridgeway.com | 2 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
The Worst Thing of the Fiscal Year
The Short Version: The shareholders who “threw in the towel”* on either the market or specific Bridgeway equity funds over the last few years did so, in aggregate, with predictably poor timing. As a result, too many of our shareholders from before the market downturn in 2008 missed out on fiscal year 2011, one of the best in Bridgeway’s history. We realize we’re “writing to the choir” right now — and parenthetically want to express our appreciation for your staying the course of long-term investing, our stated goal. Nevertheless, we take significant responsibility for not doing a better job of communicating, educating, and partnering with shareholders to stay the course in a major market downturn. In future letters we will describe some of the steps Bridgeway is taking to address this major concern.
In each annual report for the last thirteen fiscal years, Bridgeway has revealed its “worst thing of the year.” This section has become an important Bridgeway tradition. As a shareholder, you are the owner and “boss,” and we think you have a right to know the negatives as well as the positives. In previous years we have discussed company turnover, trading errors, compliance issues, and specific periods of the performance of one or more of our Funds. Part of our firm’s culture is transparency (we’re the only Fund firm we know of that addresses this topic in an annual report), and we work hard to address problems and not repeat mistakes.
This year’s choice for “worst thing” was experiencing significant shareholder redemptions, the timing of which meant missing the best fiscal year in the past decade and second best year since the inception of Bridgeway Funds in 1994. If you have followed our letters through some years, you will recognize this as the problem we refer to as “chasing hot returns.” It results in buying more shares “high” and selling more “low,” which destroys value over time. It is the exact opposite of the strategy practiced by Bridgeway’s founder, who heads up the investment management team. (See “Super Dollar Cost Averaging” from the December 2008 letter at http://www.bridgeway.com/assets/pdf/reports/Semi Annual Report 2008.12.31.pdf.) The phenomenon of chasing hot returns and panicking in market downturns is well documented in the literature of behavioral finance. We recently came across a financial planner, Carl Richards, who uses drawings to illustrate the dangers of chasing hot returns, or what he refers to as the “behavior gap.” Visually, it tells the story of a phenomenon that has hurt the “take home” returns for too many previous shareholders.
*Of course, some shareholders redeem for other reasons, such as specific cash needs.
3 | Annual Report | June 30, 2011 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
The devastating financial impact of this phenomenon would probably make this year’s “worst thing” a candidate for the worst thing of the decade. It’s difficult to express how bad it feels to know that some of our previous investors missed the upturn.
Happy Birthday: Managed Volatility Fund turns 10!
The Short Version: Most satisfying to our investment management team is designing a fund and seeing it perform exactly as designed. At the end of June we were able to step back and look at the big picture track record of another fund with a decade of performance. This is the single most complicated fund at Bridgeway — involving stocks, fixed income, and a conservative strategy to dampen risk with exchange listed derivatives. It has accomplished well what we set out to do ten+ years ago.
Our most conservative fund, Managed Volatility, just celebrated a ten year anniversary, and we wish to thank our shareholders (new and old) for their continued confidence. Like any proud parent, we celebrate all of the important milestones in our “offspring’s” lives. In the mutual fund world, the best accomplishments come in the form of excellent performance over an extended period of time.
But first, a bit of background. In 2001, Bridgeway set out to address a common complaint about our Funds: “Everything you guys do is high octane!” A great aspect of being an investment firm that uses data and statistics is that it is easier to design in the risk aspects of a Fund up front. With Managed Volatility we wanted to target a level of risk equal to about 40% of the market’s risk, using the S&P 500 Index as a proxy for the market. This isn’t a number out of the blue; it’s roughly equivalent to the risk of long-term bonds. Thus, we wanted to design a fund with long-term returns that looked more like the stock market, but short-term total risk that looked more like a long-term bond fund, specifically 40% of the stock market’s return. So how has the Fund done?
As presented in the graph on the next page, our Fund’s return has actually exceeded the return of the S&P 500 (3.59% versus 2.72%) over the full first decade of the Fund; we exceeded our return goal. On the risk side of the spectrum, we also exceeded our target for market risk (beta), providing 37% of the market risk, better than our goal. On the basis of overall volatility month to month (standard deviation of monthly returns), we came in at 45% of the market volatility — although a majority of that volatility is on the upside — which is definitely not a problem. Downside volatility has clocked in at 40.6%, dead on target with our design goal.
www.bridgeway.com | 4 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
Apart from aggregate data, sometimes it’s helpful to look at performance in individual years (here, fiscal years ending June 30). The graph demonstrates the concept of providing cushion in the down years, but giving some of that back in the up years — resulting in a less bumpy ride, but with an overall better return than just mixing 60% stocks with 40% cash (another way to achieve a risk target of 40%). It also shows the Fund’s success in providing significant cushion in the three big bear market years.
The graph above gives you the feel for risk over the full decade. The next graph shows the annual pattern of risk as measured by volatility, specifically the standard deviation of monthly returns, or how much the Fund and market prices “jump around”. The Fund has consistently controlled for risk, but not to the level of 40% of market in every market environment.
5 | Annual Report | June 30, 2011 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
While it’s a popular measure of risk, the problem with viewing standard deviation of returns as a primary measure of risk is that it gives equal weight to upside and downside volatility. Since most investors care a great deal about how quickly their Fund falls, but are not usually worried about it appreciating with a bit more energy, we also like to separate upside risk from downside risk. One risk measure does exactly this and is called “upside and downside capture.” Since we target 40% of the market’s risk, a majority of the time we would hope to capture something more than 40% of the S&P 500 Index’s return in a majority of up years, but less than 40% in a majority of down years. The table below presents these statistics, also on a fiscal year basis. The numbers in green represent fiscal years where we were on the “right side” of the 40% target; the non-highlighted numbers represent fiscal years we either fell more than 40% of the market in a downturn or captured less than 40% in an up year. Overall, we achieved our goal in eight of ten fiscal years. Notably, the two fiscal years we failed to meet our 40% targets were up years.
Fiscal Years Ended June 30, | ||||||||||||||||||||||||||||||||||||||||
2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | |||||||||||||||||||||||||||||||
Managed Volatility Fund | -0.78 | % | 2.57 | % | 12.94 | % | 7.32 | % | 7.83 | % | 5.87 | % | -1.57 | % | -11.66 | % | 1.67 | % | 14.15 | % | ||||||||||||||||||||
S&P 500 Index | -17.99 | % | 0.25 | % | 19.11 | % | 6.32 | % | 8.63 | % | 20.58 | % | -13.12 | % | -26.21 | % | 14.43 | % | 30.69 | % | ||||||||||||||||||||
Difference | 17.21 | % | 2.32 | % | -6.17 | % | 1.00 | % | -0.80 | % | -14.71 | % | 11.55 | % | 14.55 | % | -12.76 | % | -16.54 | % | ||||||||||||||||||||
% Up/Down Capture |
| 4 of Loss | %
|
| 1028 of Gain | %
|
| 68 of Gain | %
|
| 116 of Gain | %
|
| 91 of Gain | %
|
| 29 of Gain | %
|
| 12 of Loss | %
|
| 44 of Gain | %
|
| 12 of Gain | %
|
| 46 of Gain | %
| ||||||||||
Beta vs. S&P 500 Index | 0.41 | % | 0.25 | % | 0.35 | % | 0.50 | % | 0.40 | % | 0.36 | % | 0.43 | % | 0.41 | % | 0.35 | % | 0.41 | % |
Begin, Commence, Start Moving!
The Short Version: With considerable negative economic news in the media and — post fiscal year end — the first official stock market correction (10% drop) since 2008, it’s easy to get down in the dumps, or worse, panic in the current economic environment. While unemployment is still high, and addressing the debt burden may remain painful for some time, Bridgeway remains optimistic about the long term health of our country. We make no predictions about the short term direction of the economy or the stock market; but Bridgeway Capital Management’s President, Mike Mulcahy explains why we hold an optimistic long term view.
Good news! There is a record amount of cash in both corporate and personal accounts. Bad news! Very little is being invested and spent. In the 2001 comedy movie Rat Race, there is a group of confused tourists who unwittingly enter into a bizarre and humorous race for a $2 million prize. When the host of the race, Donald Sinclair, played by John Cleese of Monty Python fame, reveals they are in the race and announces “go,” they all look bewildered, confused and out of sorts. When one of the contestants asks for clarity, Mr. Sinclair provides more definition… “Begin, commence, start moving…” When nothing happens, he finally pulls out a pistol, fires it into the air and THEN the race really begins.
www.bridgeway.com | 6 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
In many ways I feel our economy is in the same situation. We are in a race to recovery but can’t seem to get past “go.” We are waiting for some strong signal (our metaphorical starter pistol) to “begin, commence, start moving.” Even though we are generally sitting in bewilderment, watching events unfold, I will remain an optimist for a recovery. I don’t know when it will occur, but I am confident it will. Here are just two reasons why:
First, I have a great amount of confidence in our great nation. We are a wonderful group of diverse people with great ideas, innovative spirits and ambitious dreams. These ideals have not been taken away by any economic downturn. Despite the temporary feeling of gloom, political battles, tiresome rhetoric and blame, America is still the best place to pursue opportunities. Better days are ahead because we won’t accept the alternative.
Second, the economy appears poised to grow, because there is significant cash sitting on the sidelines waiting to “begin, commence, start moving.” Moody’s and Standard and Poor’s both report that corporate cash levels are at an all time high (over $2 trillion in US companies), and the Wall Street Journal recently ran a story on the return of corporate earnings, which means that more cash is being added on a daily basis. The CFO Report in June 2011 asserted that CFOs are holding back on hiring and investing until they can get a better glimpse of the future. This “cash hoarding” is under some criticism but is a logical response to lack of confidence in the future.
Another indication of more systematic “cash hoarding” is found in the levels of money supply. M1 and M2 are two measures of cash instruments tracked by the Federal Reserve. These numbers capture money that is in checking accounts, savings accounts, money market funds, and other short-term liquid holdings. Both of these numbers are also at all time highs, with M2 surpassing $9 Trillion this June, up over 10% since the last recession began. Just like corporations, individuals are waiting for a strong signal to return to spending and investing. It is a big deal when consumer consumption represents about 70% of our GDP. A July 2011 study by UBS Wealth Management of 1,000 high net worth investors showed that 40% are holding off on investing. Why? Only 21% were cited as optimistic about the economy, down from 53% in April. Worse, 60% are pessimistic about the economy, up from 27% in April.
In many ways, the data suggests our economy is in the same situation as the contestants in Rat Race. We have the cash, we have the creativity, we have the skills. What’s wrong? We are all just perplexed, waiting for that strong signal to announce that our race to recovery has begun. Sadly, for investors we usually respond too late (but that’s a separate story). Let’s hope that the signal comes soon, as I know we are all tired of this “rat race!”
Whiplash (by John Montgomery)
The Short Version: The easiest cure for financial whiplash: turn off the news about the latest market moves and don’t check your own portfolio prices more than quarterly.
Thirty years ago, I worked in a different service industry: transportation. Specifically, I managed a small bus company in North Carolina. While one might not think there are many similarities between the investment business and the transportation business, I have found a number:
• | low costs make a big difference, |
• | people on the receiving end of any service transaction want to be treated with respect, fairness, and integrity, |
• | the most powerful business asset (the people providing the service) doesn’t even appear on an organization’s balance sheet; investing in those people and providing a great place to work is one of the single best uses of leaders’ time, |
• | technology can help keep you ahead of the curve if you use it well, and |
• | learning from mistakes and failure — and then not repeating them — is key. |
I recently reflected on an investment phenomenon that took me back to my years in North Carolina. Bus passengers at that time would not infrequently sue the public bus company for damages, time off, and pain and suffering from an accident, even mild accidents. Whiplash is hard to prove, and that was a frequent claim. My assistant would visit accident victims at their homes, expressing sincere concern, but also on the lookout for those who would wear a neck brace to work, but play football
7 | Annual Report | June 30, 2011 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
with the kids at home. Sadly, I have to admit I engaged in negative humor and cynicism around these claims of whiplash. You might imagine the jokes told in industry trade meetings. One day, that changed for me. While I was waiting to make a left turn, a taxi ran into the back of my own private car. The day after, my neck was in significant pain; I never took part in whiplash jokes again.
Fast forward to 2011. Last month I was reading an investment article entitled, “A Severe Case of Portfolio Whiplash” (New York Times, July 10, 2011), referring to the ups and downs of the quarter. While the newspaper image of a 25-year-old man in a neck brace took me right back to my experience in North Carolina, there was one major difference. I know how to cure every instance of “whiplash” in the June quarter of 2011. Don’t look at daily prices. Four times a year is plenty. What possible value added is there to looking more frequently? The “upside”: potential sympathy following claims of whiplash. And the potential downside: ending up with sub par returns due to the “behavior gap” discussed two sections above. For long term investments, we believe holding through the downturns is the only way to ensure that an individual investor’s returns don’t drop below that of the fund they are invested in.
“How do you invest your money?” (by John Montgomery)
The Short Version: We have a strong commitment to disclosure at Bridgeway, and I think it is fair for shareholders to know exactly how the head of their investment management team invests his money. Some people say I have a steel stomach in a market downturn. Thus, my target allocation for my personal investments may be more aggressive than would be considered appropriate for most people. I rely very heavily on the funds we manage to build my “nest egg” for retirement (which is likely more than a handful of years away).
A Bridgeway partner recently informed me that our shareholders continue to ask the question, “How does John invest his money?” Since I haven’t shared my target asset allocation with you in a while, I thought I’d give you an update in this annual report. Bear in mind, everybody’s situation is different in terms of our goals, our risk tolerance, our investing experience, and our time horizons. I am not recommending that you follow my target allocation. I share my allocation with you to show you my thought process and also by way of disclosure; you should not simply copy what I’m doing, because your situation is undoubtedly different than mine.
Personally, I have a high pain threshold in a market downturn. I don’t usually look at my account statements (though I do update them in “Quicken” often enough to ensure accuracy and tax and disclosure reporting). My rule of thumb, both professionally and personally, is, “If it doesn’t make a difference in a decision you make, don’t look.” I realize this is hardly classical wisdom, but I see two big specific problems with following one’s investments too frequently. First, investors tend to become more nervous, especially in a downturn, which causes (in my opinion) unnecessary stress, and based on several studies, too much costly changing from one investment to another. Second, investors tend to “chase hot returns,” buying more after a big run-up and selling after a downturn — a formula for financial disaster.
So what’s the antidote to obsessing about returns? Is there a more productive way to spend time and energy? My philosophy is. . .
a) structure an asset allocation plan that matches your goals, investing time horizon, and tolerance for risk (generally, diversified short-term income investments for short-term needs and more stocks for long-term needs),
b) write it down,
c) implement it, and
d) rebalance it every one or two years (or as lifestyle changes occur).
By way of disclosure. . .
First, I am 55 years young and my three children have all completed college and become financially independent. My wife and I pay expenses out of the joint employment income from our respective workplaces, so my investments are essentially all long-term focused and earmarked for our retirement years. For near-term obligations (or maybe an emergency fund), I have historically used short-term bonds (including inflation-protected bonds) and a small amount within a money market fund.
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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
Second, at any given time, my actual allocation will vary somewhat from the target below, due to periodic cash flow and tax management considerations. Generally, I try to keep it in balance over time. By rebalancing on a periodic basis, I am able to invest more dollars in funds that have underperformed and trim what has done really well.
Third, I use Bridgeway-managed portfolios for 100% of my stock market investing needs. (No portfolio manager at Bridgeway is permitted to buy domestic equities directly; we “eat our own cooking.”)
Fourth, this table does not include my substantial, majority ownership in Bridgeway Capital Management, since I plan to retire off of my personal investments as detailed below. [The substantial allocation of Bridgeway Funds through my Bridgeway Capital Management ownership can be found in the Statement of Additional Information on our web site.]
Fifth, in addition to my mutual fund allocation, I also have some investments in an illiquid real estate partnership that my brother (also a director of Bridgeway Capital Management) manages, a holding that represents less than 10% of my retirement assets.
Finally, the following table depicts my personal targeted fund allocation, but does not show or explain how the Bridgeway managers (including me) manage money within each fund.
Whew! Here’s my long term target allocation:
Fund | Allocation | |||
Bridgeway Aggressive Investors 1 and 2 Funds | 50.0% | |||
Bridgeway Ultra-Small Company Fund | 26.4% | |||
Bridgeway Micro-Cap Limited Fund | 10.0% | |||
Bridgeway Managed Volatility Fund | 8.0% | |||
Bridgeway Blue Chip 35 Index Fund | 0.7% | |||
Bridgeway Large-Cap Growth Fund | 0.7% | |||
Bridgeway Large-Cap Value Fund | 0.7% | |||
Bridgeway Small-Cap Growth Fund | 0.7% | |||
Bridgeway Small-Cap Value Fund | 0.7% | |||
Bridgeway Small-Cap Momentum Fund | 0.7% | |||
Bridgeway Omni Tax-Managed Small-Cap Value Fund | 0.7% | |||
Bridgeway Ultra-Small Company Market Fund | 0.7% | |||
|
| |||
Total | 100.0% |
Happy Birthday to the World’s Youngest Nation
As you may know, one of the unusual aspects of Bridgeway Capital Management, the Funds’ adviser, is that we donate half of our profits to non-profit organizations. One of the focus areas of that work took a colleague and me to Juba, Sudan early this year for a week as international election observers with the Carter Center. This historic election was not about electing people to office, but rather determining whether southern Sudan would secede from the north, forming a new nation as provided for in the Comprehensive Peace Agreement (CPA). This agreement was brokered by President George W. Bush in 2005 and ended a 22-year civil war in which 2 million people died.
Reflection on the elections. Successful, peaceful elections by no means guarantee peace — the politics, tensions, and dynamics of the region are hugely complex — but the elections were an important step along the way. The presence of international election observers contributes significantly to peaceful and fair elections, and Bridgeway was doing its small part. I felt as if I were in the room as citizens were signing their country’s own Declaration of Independence. This election was important to the people of South Sudan, to those in Darfur and Nubia, to the general stability of one of Africa’s largest nations, and to the surrounding African nations. But it also affects us here in America, as the future of Africa affects our own future.
Fast forward six months. I write this letter on July 9, five days after celebrating our own country’s independence, also, on the day of birth of the world’s newest nation, South Sudan. Even as this is a wonderful moment for many people in the south, full of hope for freedom, peace, and development, problems abound. The per capita income in the south is a small fraction (a few dollars/day) of what it is in the north. There are ten registered nurses for a population of ten million people. (I personally
9 | Annual Report | June 30, 2011 |
LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) |
know that many nurses in my home town in the U.S.) Today, a girl is several times more likely to die in childbirth than to learn to read. There remain a handful of rebel groups in South Sudan that are not aligned with the current/new government. There is as yet no agreement on a formula for sharing oil revenues between Sudan and South Sudan or on the status of the border states. Significant violence continues in the border states of Abyei and South Kordofan, in addition to the ongoing tragedies in Darfur. In short, there are many opportunities for continued peacemaking and development. My hope and prayer is for peace at the most fundamental level, true unity, and the setting of a foundation for freedom that will be a model for others.
Context. At this point you may be wondering what a country in Africa has to do with Bridgeway and your Funds. It is Bridgeway’s view that taking a broader view of our work and world gives us a much stronger, healthier, and sustainable platform for producing attractive, long-term shareholder returns. Only one member of your investment management team went to the Sudan in the recently completed fiscal year, but we encourage each partner throughout the firm to engage significantly, we say “transformatively,” in his or her own area of passion — both in our investment work and in our broader communities.
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Annual Report | June 30, 2011 |
Aggressive Investors 1 Fund |
June 30, 2011
Dear Fellow Aggressive Investors 1 Fund Shareholder,
Aggressive Investors 1 Fund declined 1.98% for the quarter ended June 30, 2011 trailing, our primary benchmark, the S&P 500 Index (+0.10%), our peer benchmark, the Lipper Capital Appreciation Funds Index (-0.29%) and the Russell 2000 Index (-1.61%). It was a weak quarter on an absolute and relative basis.
For the fiscal year ended June 30, 2011, our Fund appreciated 40.81%, outperforming all of our benchmarks, the S&P 500 Index (+30.69%), the Lipper Capital Appreciation Funds Index (+27.96%) and the Russell 2000 Index (+37.41%). We are very pleased with both the relative and absolute returns for the one year period. We continue to lead our primary benchmark for the ten-year and life-to-date periods, but we still have ground to make up for the five year period.
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. 4/1/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date 8/5/94 to 6/30/11 | ||||||
Aggressive Investors 1 Fund | -1.98% | 40.81% | -3.29% | 3.35% | 13.64% | |||||
S&P 500 Index (large companies) | 0.10% | 30.69% | 2.94% | 2.72% | 8.47% | |||||
Lipper Capital Appreciation Funds Index | -0.29% | 27.96% | 4.53% | 3.46% | 7.76% | |||||
Russell 2000 Index (small companies) | -1.61% | 37.41% | 4.08% | 6.27% | 8.94% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in the category of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Aggressive Investors 1 Fund ranked 47th of 290 capital appreciation funds for the twelve months ending June 30, 2011, 215th of 220 over the last five years, 91st of 162 over the last ten years, and 2nd of 54 since inception in August, 1994. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
www.bridgeway.com | 12 |
Aggressive Investors 1 Fund MANAGER’S COMMENTARY (continued) |
Aggressive Investors 1 Fund vs. S&P 500 Index, Lipper Capital Appreciation Funds Index & Russell 2000 Index
from Inception 8/5/94 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary stocks were the bright spot in the quarter, while Materials and Industrial stocks detracted the most from Fund returns among the ten worst contributors.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, Consumer Discretionary stocks highlighted the list of best performers for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Eight Consumer Discretionary companies made the top-ten list; combined, they contributed over two percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Fossil, Inc. | Textiles, Apparel & Luxury Goods | 0.5% | |||
2 | Dillard’s, Inc. | Multiline Retail | 0.4% | |||
3 | Polaris Industries, Inc. | Leisure Equipment & Products | 0.4% | |||
4 | Pier 1 Imports, Inc. | Specialty Retail | 0.2% | |||
5 | Credit Acceptance Corp. | Consumer Finance | 0.2% | |||
6 | Netflix, Inc. | Internet & Catalog Retail | 0.2% | |||
7 | Basic Energy Services, Inc. | Energy Equipment & Services | 0.2% | |||
8 | CBS Corp. | Media | 0.2% | |||
9 | Magna International, Inc. | Auto Components | 0.2% | |||
10 | TRW Automotive Holdings Corp. | Auto Components | 0.2% |
Fossil manufactures watches and other fashion jewelry, primarily for the high-end market. While many consumers continue to hold off on discretionary purchases in these tight economic times, luxury buyers have begun to resurface. The company posted far better-than-expected earnings in the latest quarter, and revenues jumped over 30 percent to a seasonally adjusted all time high. While sales in Europe have been lackluster at best, growth from Asian markets has been strong and more than picked up the slack — highlighting the fact that some of our U.S. stocks do have foreign exposure. The company projects double-digit percentage sales increases for each of the next two years and boasts “strong buy” recommendations by several analysts. Fossil hit a 52-week high late in the quarter and was the top contributor to the Fund’s performance.
13 | Annual Report | June 30, 2011 |
Aggressive Investors 1 Fund MANAGER’S COMMENTARY (continued) |
Luxury buyers not only have their eyes on nice watches these days; many of the thrill seekers of the bunch have also been in the market for off-road recreational vehicles. Polaris Industries reported a solid first quarter that beat analysts’ estimates and also raised its outlook for the future. Over the past five years, the company has realized stronger revenue and earnings growth in the March and June quarters, a trend some analysts expect to occur in 2011 as well. Polaris has added to its product line with the acquisition of Global Electric Motorcars from Chrysler, as well as Indian Motorcycle, a legendary brand that still offers great appeal for true riders. The stock is trading at close to an all-time high and was the second best Fund performer for the period, increasing almost 30 percent.
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector as supply chains have been impacted, particularly among auto makers and suppliers. Four industrial companies made the “bottom ten contributors” list; combined, they hindered the performance of the Fund by one percent. Additionally, metals and metal-related companies gave back a portion of their stellar gains of the prior quarters.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Silvercorp Metals, Inc. | Metals & Mining | -0.6% | |||
2 | ION Geophysical Corp. | Energy Equipment & Services | -0.6% | |||
3 | Micron Technology, Inc. | Semiconductors & Semiconductor Equipment | -0.4% | |||
4 | Silver Wheaton Corp. | Metals & Mining | -0.4% | |||
5 | CNH Global N.V. | Machinery | -0.3% | |||
6 | Tata Motors, Ltd. - Sponsored ADR | Machinery | -0.3% | |||
7 | United Rentals, Inc. | Trading Companies & Distributors | -0.2% | |||
8 | Timberland Co. | Textiles, Apparel & Luxury Goods | -0.2% | |||
9 | Titan International, Inc. | Machinery | -0.2% | |||
10 | Nabors Industries, Ltd. | Energy Equipment & Services | -0.2% |
What a difference a few months make! In the fourth quarter 2010, silver mining company Silvercorp was the Fund’s top performer and jumped more than 50% for the period. After pushing to 30-year highs, silver began to plummet in April, and some futures investors were forced out of the market by a series of margin increases. Additionally, with the Fed set to wind down its latest stimulus program, known as QE2, in June (it has since ended), many precious metals began trading well off their highs as investors feared an end to the sizable commodity run. Silvercorp, the largest primary silver producer in China, struggled along with the metals themselves, and its stock price dropped 35% during the three month period. Late in the quarter, the company announced a major buyback program to take advantage of what management believes to be an undervaluation in its stock.
So what happens when a company misses revenues by $26 million or over 25% of analysts’ expectations? ION Geophysical can answer that question, as the energy company’s share price dropped over 25% in the quarter. While earnings were still slightly positive for the quarter, one of ION’s key business units took a sizable hit due to the ongoing turmoil in the Middle East, in particular Libya. In fact, a multi-million dollar sale to the country was put on hold for an indefinite time frame. ION was the Fund’s second largest drag on Fund performance for the quarter and demonstrates the downside political risk of exposure to some foreign markets.
Detailed Explanation of Fiscal Year Performance
The Short Version: Consumer Discretionary stocks were the positive story for the fiscal year as well as the quarter. While IT stocks had the largest representation among the worst performers list, Industrial stocks actually hurt our relative performance the most.
A surge in retail activity in the second half of 2010 propelled a number of Consumer Discretionary companies to solid results for the fiscal year. All told, five related companies made the top performers list for the 12-month period. Combined, they returned over four percent to the Fund’s performance.
www.bridgeway.com | 14 |
Aggressive Investors 1 Fund MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Netflix, Inc. | Internet & Catalog Retail | 1.5% | |||
2 | TRW Automotive Holdings Corp. | Auto Components | 1.3% | |||
3 | Fossil, Inc. | Textiles Apparel & Luxury Goods | 1.2% | |||
4 | Dillard’s, Inc. | Multiline Retail | 1.2% | |||
5 | Pier 1 Imports, Inc. | Specialty Retail | 1.2% | |||
6 | ARM Holdings PLC - Sponsored ADR | Semiconductors & Semiconductor Equipment | 1.1% | |||
7 | CBS Corp. | Media | 1.0% | |||
8 | RPC, Inc. | Energy Equipment & Services | 1.0% | |||
9 | W.W. Grainger, Inc. | Trading Companies & Distributors | 1.0% | |||
10 | Ford Motor Co. | Automobiles | 0.9% |
First, Blockbuster. Next, the cable companies? Netflix is the largest online movie rental subscription service in the United States, offering over 18,000 entertainment titles (movies, TV shows) delivered either via mail or streamed directly to users’ TVs or computers. Its business model was credited by some for the demise of one-time giant Blockbuster. Now, even cable companies are worried that their current subscribers may cancel (or downgrade) their services and simply use Netflix more. In May, Netflix inked an agreement with Miramax to add to its library of movies. In April, the company posted earnings and revenues that beat expectations, after reporting similarly strong results in January. A major analyst recently upgraded the stock and claimed that subscribers could hit 50 million by 2013 from 24 million currently. Late in the fiscal year, Netflix’s CEO joined Facebook’s board of directors, prompting speculation that some business relationship between the two companies may be in the works. For the 12-month period, Netflix stock more than doubled in price and was the top contributor to the Fund.
Perhaps it started with the “cash for clunkers” program? Perhaps the industry bailout helped? Perhaps it’s just par for the course for the economic recovery. The domestic auto sector has been on the rebound, and companies such as parts supplier TRW have benefited dramatically. In May, the company posted stellar earnings that grew by almost 40% and beat analysts’ forecasts. TRW also reported strong revenues and improving margins and raised its sales estimates for the entire year. While management acknowledges some challenges due to supply chain disruptions from the Japanese earthquake and tsunami, it expects the impact to be short-lived and believes that any lost production should be recouped in the second half of the year. TRW enhanced the Fund’s return by over one-and-a-quarter-percent for the 12-month period.
While some analysts expected IT companies to lead the domestic recovery as businesses upgrade outdated systems and processes, four related stocks were among the worst performance drags to the Fund. Combined, these holdings cost the Fund about a percent-and-a-quarter in return for the fiscal year.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Sanmina-SCI Corp. | Electronic, Equipment Instruments & Components | -0.6% | |||
2 | Corinthian Colleges, Inc. | Diversified Consumer Services | -0.5% | |||
3 | ION Geophysical Corp. | Energy Equipment & Services | -0.4% | |||
4 | JDS Uniphase Corp. | Communications Equipment | -0.4% | |||
5 | Newcastle Investment Corp. | Real Estate Investment Trusts (REITs) | -0.2% | |||
6 | Sinclair Broadcast Group, Inc. | Media | -0.2% | |||
7 | Titan International, Inc. | Machinery | -0.2% | |||
8 | Las Vegas Sands Corp. | Hotels Restaurants & Leisure | -0.2% | |||
9 | Genworth Financial, Inc. | Insurance | -0.2% | |||
10 | Ceradyne, Inc. | Aerospace & Defense | -0.2% |
An interesting debate has sprung up surrounding the regulation and funding of for-profit colleges. Some colleges have been soundly criticized for charging too much tuition to students who can least afford to repay the loans. These critics believe the for-profit colleges have raised unrealistic expectations for future employment and thus prospects for repayment. On the other
15 | Annual Report | June 30, 2011 |
Aggressive Investors 1 Fund MANAGER’S COMMENTARY (continued) |
hand, some feel that market forces should not be hampered by additional regulations and that the for-profit colleges fill a needed gap. As a result of some pretty dismal statistics released in August 2010 about industry-wide loan repayment rates, the Department of Education proposed new regulations that will penalize schools that fall below certain minimums and will potentially cut them off from being allowed to offer federal student loans. Corinthian Colleges was one of many private education companies that failed to meet the minimum guidelines, and enrollment in its institutions could drop considerably should its students be unable to receive much needed aid. Company management dramatically lowered its earnings outlook as a result of the new proposed standards. For years, certain critics of these institutions have claimed that they fail to prepare students for the jobs market (particularly a tough jobs market), and graduates often are unable to pay back government loans. These regulations could change the entire dynamic of the private education industry. Corinthian Colleges’ stock price dropped almost 50%, and it was the Fund’s second worst contributor.
Top Ten Holdings as of June 30, 2011
Four of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Fossil, TRW Automotive, Dillard’s, Polaris. The Fund was broadly diversified across industries, and no single holding accounted for greater than 2.7% of the net assets. The ten largest positions represented just over 20% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | RPC, Inc. | Energy Equipment & Services | 2.7% | |||
2 | Westlake Chemical Corp. | Chemicals | 2.3% | |||
3 | Fossil, Inc. | Textiles, Apparel & Luxury Goods | 2.1% | |||
4 | TRW Automotive Holdings Corp. | Auto Components | 2.0% | |||
5 | ARM Holdings PLC - Sponsored ADR | Semiconductors & Semiconductor Equipment | 2.0% | |||
6 | Sinclair Broadcast Group, Inc. | Media | 2.0% | |||
7 | Vonage Holdings Corp. | Diversified Telecommunication Services | 2.0% | |||
8 | Dillard’s, Inc. | Multiline Retail | 1.9% | |||
9 | Illumina, Inc. | Life Sciences Tools & Services | 1.7% | |||
10 | Polaris Industries, Inc. | Leisure Equipment & Products | 1.7% | |||
Total | 20.4% |
Industry Sector Representation as of June 30, 2011
The Fund’s most overweighted sector at quarter end was Consumer Discretionary, a sector that performed well in the market and especially in our Fund in the June quarter. The sector added about one and a half percent of relative performance to the Fund. On the other side of the ledger, our Fund is most underweighted in Financials, a riskier sector as demonstrated in the 2008 downturn.
% of Net Assets | % of S&P 500 Index | Difference | ||||
Consumer Discretionary | 19.9% | 10.7% | 9.2% | |||
Consumer Staples | 7.2% | 10.7% | -3.5% | |||
Energy | 14.0% | 12.6% | 1.4% | |||
Financials | 9.9% | 15.0% | -5.1% | |||
Health Care | 8.4% | 11.7% | -3.3% | |||
Industrials | 13.2% | 11.3% | 1.9% | |||
Information Technology | 13.9% | 17.8% | -3.9% | |||
Materials | 10.1% | 3.7% | 6.4% | |||
Telecommunication Services | 3.1% | 3.1% | 0.0% | |||
Utilities | 0.0% | 3.4% | -3.4% | |||
Cash & Other Assets | 0.3% | 0.0% | 0.3% | |||
Total | 100.0% | 100.0% |
www.bridgeway.com | 16 |
Aggressive Investors 1 Fund MANAGER’S COMMENTARY (continued) |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Aggressive Investors 1 Fund. We encourage your feedback; your reactions and concerns are extremely important to us.
Sincerely,
The Investment Management Team
17 | Annual Report | June 30, 2011 |
Bridgeway Aggressive Investors 1 Fund |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.77% |
| |||||||||
Aerospace & Defense - 1.96% |
| |||||||||
Ceradyne, Inc.* | 24,600 | $ | 959,154 | |||||||
L-3 Communications Holdings, Inc. | 12,900 | 1,128,105 | ||||||||
|
| |||||||||
2,087,259 | ||||||||||
Auto Components - 5.88% |
| |||||||||
BorgWarner, Inc.* | 19,400 | 1,567,326 | ||||||||
Magna International, Inc. | 24,800 | 1,340,192 | ||||||||
Tenneco, Inc.* | 27,900 | 1,229,553 | ||||||||
TRW Automotive Holdings Corp.* | 36,200 | 2,136,886 | ||||||||
|
| |||||||||
6,273,957 | ||||||||||
Beverages - 3.24% |
| |||||||||
Brown-Forman Corp., Class B | 13,700 | 1,023,253 | ||||||||
Coca-Cola Enterprises, Inc.# | 43,300 | 1,263,494 | ||||||||
Dr. Pepper Snapple Group, Inc. | 28,000 | 1,174,040 | ||||||||
|
| |||||||||
3,460,787 | ||||||||||
Biotechnology - 1.00% |
| |||||||||
Alexion Pharmaceuticals, Inc.* | 22,800 | 1,072,284 | ||||||||
Chemicals - 5.27% |
| |||||||||
CF Industries Holdings, Inc. | 7,400 | 1,048,358 | ||||||||
Mosaic Co. (The) | 14,800 | 1,002,404 | ||||||||
Sherwin-Williams Co. (The) | 13,300 | 1,115,471 | ||||||||
Westlake Chemical Corp. | 47,300 | 2,454,870 | ||||||||
|
| |||||||||
5,621,103 | ||||||||||
Commercial Banks - 0.94% |
| |||||||||
Royal Bank of Scotland Group PLC - Sponsored ADR* | 80,200 | 998,490 | ||||||||
Communications Equipment - 2.32% |
| |||||||||
Alcatel-Lucent - Sponsored ADR* | 296,800 | 1,712,536 | ||||||||
JDS Uniphase Corp.* | 46,000 | 766,360 | ||||||||
|
| |||||||||
2,478,896 | ||||||||||
Computers & Peripherals - 0.83% |
| |||||||||
Lexmark International, Inc., Class A* | 30,200 | 883,652 | ||||||||
Construction & Engineering - 1.01% |
| |||||||||
MasTec, Inc.* | 54,500 | 1,074,740 | ||||||||
Consumer Finance - 2.58% |
| |||||||||
Credit Acceptance Corp.* | 17,700 | 1,495,119 |
Industry | Company | Shares | Value | |||||||
Consumer Finance (continued) |
| |||||||||
Discover Financial Services | 47,100 | $ | 1,259,925 | |||||||
|
| |||||||||
2,755,044 | ||||||||||
Diversified Telecommunication Services - 1.95% |
| |||||||||
Vonage Holdings Corp.* | 472,600 | 2,084,166 | ||||||||
Electronic Equipment, Instruments & Components - 2.35% |
| |||||||||
Arrow Electronics, Inc.* | 33,600 | 1,394,400 | ||||||||
Vishay Intertechnology, Inc.* | 73,900 | 1,111,456 | ||||||||
|
| |||||||||
2,505,856 | ||||||||||
Energy Equipment & Services - 11.01% |
| |||||||||
Baker Hughes, Inc. | 15,100 | 1,095,656 | ||||||||
Basic Energy Services, Inc.* | 41,700 | 1,312,299 | ||||||||
Halliburton Co. | 30,000 | 1,530,000 | ||||||||
ION Geophysical Corp.* | 87,600 | 828,696 | ||||||||
Nabors Industries, Ltd.* | 39,700 | 978,208 | ||||||||
National Oilwell Varco, Inc. | 14,300 | 1,118,403 | ||||||||
Newpark Resources, Inc.* | 121,800 | 1,104,726 | ||||||||
RPC, Inc.+ | 118,050 | 2,896,947 | ||||||||
Weatherford International, Ltd.* | 47,500 | 890,625 | ||||||||
|
| |||||||||
11,755,560 | ||||||||||
Food & Staples Retailing - 2.02% |
| |||||||||
Safeway, Inc. | 49,200 | 1,149,804 | ||||||||
Wal-Mart Stores, Inc. | 19,000 | 1,009,660 | ||||||||
|
| |||||||||
2,159,464 | ||||||||||
Food Products - 1.01% |
| |||||||||
Bunge, Ltd. | 15,600 | 1,075,620 | ||||||||
Health Care Equipment & Supplies - 1.32% |
| |||||||||
CR Bard, Inc. | 12,800 | 1,406,208 | ||||||||
Health Care Providers & Services - 2.18% |
| |||||||||
Health Management | ||||||||||
Associates, Inc., Class A* | 125,000 | 1,347,500 | ||||||||
Quest Diagnostics, Inc. | 16,600 | 981,060 | ||||||||
|
| |||||||||
2,328,560 | ||||||||||
Hotels, Restaurants & Leisure - 3.17% |
| |||||||||
Domino’s Pizza, Inc.* | 44,700 | 1,128,228 | ||||||||
Red Robin Gourmet Burgers, Inc.* | 30,500 | 1,109,590 | ||||||||
Wynn Resorts, Ltd. | 8,000 | 1,148,320 | ||||||||
|
| |||||||||
3,386,138 | ||||||||||
Household Products - 0.92% |
| |||||||||
Procter & Gamble Co. (The) | 15,500 | 985,335 |
www.bridgeway.com | 18 |
Bridgeway Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Insurance - 3.30% |
| |||||||||
Reinsurance Group of America, Inc. | 18,500 | $ | 1,125,910 | |||||||
RLI Corp.+ | 20,500 | 1,269,360 | ||||||||
Travelers Cos., Inc. (The) | 19,400 | 1,132,572 | ||||||||
|
| |||||||||
3,527,842 | ||||||||||
Internet & Catalog Retail - 1.44% |
| |||||||||
priceline.com, Inc.* | 3,000 | 1,535,790 | ||||||||
IT Services - 1.25% |
| |||||||||
International Business Machines Corp. | 7,800 | 1,338,090 | ||||||||
Leisure Equipment & Products - 1.67% |
| |||||||||
Polaris Industries, Inc. | 16,000 | 1,778,720 | ||||||||
Life Sciences Tools & Services - 1.73% |
| |||||||||
Illumina, Inc.* | 24,600 | 1,848,690 | ||||||||
Machinery - 6.81% |
| |||||||||
CNH Global N.V.* | 31,100 | 1,202,015 | ||||||||
Cummins, Inc. | 9,800 | 1,014,202 | ||||||||
NACCO Industries, Inc., Class A | 10,900 | 1,055,338 | ||||||||
Sauer-Danfoss, Inc.* | 34,500 | 1,738,455 | ||||||||
Tata Motors, Ltd. - Sponsored ADR | 54,400 | 1,224,544 | ||||||||
Titan International, Inc. | 42,500 | 1,031,050 | ||||||||
|
| |||||||||
7,265,604 | ||||||||||
Marine - 0.00% |
| |||||||||
Kirby Corp.* | 20 | 1,133 | ||||||||
Media - 3.34% |
| |||||||||
CBS Corp., Class B Non-Voting | 51,800 | 1,475,782 | ||||||||
Sinclair Broadcast Group, Inc., Class A | 190,600 | 2,092,788 | ||||||||
|
| |||||||||
3,568,570 | ||||||||||
Metals & Mining - 2.19% |
| |||||||||
Silver Wheaton Corp. | 40,000 | 1,320,000 | ||||||||
Silvercorp Metals, Inc. | 108,100 | 1,013,978 | ||||||||
|
| |||||||||
2,333,978 | ||||||||||
Multiline Retail - 1.89% |
| |||||||||
Dillard’s, Inc., Class A+ | 38,600 | 2,012,604 | ||||||||
Oil, Gas & Consumable Fuels - 3.05% |
| |||||||||
Chevron Corp. | 11,500 | 1,182,660 | ||||||||
Hess Corp. | 14,100 | 1,054,116 |
Industry | Company | Shares | Value | |||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||
Valero Energy Corp. | 39,800 | $ | 1,017,686 | |||||||
|
| |||||||||
3,254,462 | ||||||||||
Paper & Forest Products - 2.65% |
| |||||||||
Domtar Corp. | 15,900 | 1,506,048 | ||||||||
MeadWestvaco Corp. | 39,600 | 1,319,076 | ||||||||
|
| |||||||||
2,825,124 | ||||||||||
Pharmaceuticals - 2.13% |
| |||||||||
Bristol-Myers Squibb Co. | 18,000 | 521,280 | ||||||||
Medicines Co. (The)* | 69,600 | 1,149,096 | ||||||||
Valeant Pharmaceuticals International, Inc.+ | 11,700 | 607,932 | ||||||||
|
| |||||||||
2,278,308 | ||||||||||
Real Estate Investment Trusts (REITs) - 3.06% |
| |||||||||
BioMed Realty Trust, Inc. | 64,700 | 1,244,828 | ||||||||
Newcastle Investment Corp. | 147,500 | 852,550 | ||||||||
Weingarten Realty Investors+ | 46,600 | 1,172,456 | ||||||||
|
| |||||||||
3,269,834 | ||||||||||
Road & Rail - 2.46% |
| |||||||||
Amerco, Inc.* | 15,800 | 1,519,170 | ||||||||
Werner Enterprises, Inc.+ | 44,400 | 1,112,220 | ||||||||
|
| |||||||||
2,631,390 | ||||||||||
Semiconductors & Semiconductor Equipment - 7.17% |
| |||||||||
ARM Holdings PLC - Sponsored ADR | 74,800 | 2,126,564 | ||||||||
Atmel Corp.* | 118,100 | 1,661,667 | ||||||||
Fairchild Semiconductor International, Inc.* | 60,200 | 1,005,942 | ||||||||
FEI Co.* | 27,000 | 1,031,130 | ||||||||
Micron Technology, Inc.* | 101,000 | 755,480 | ||||||||
NVIDIA Corp.* | 67,300 | 1,072,426 | ||||||||
|
| |||||||||
7,653,209 | ||||||||||
Specialty Retail - 0.48% |
| |||||||||
Pier 1 Imports, Inc.* | 44,300 | 512,551 | ||||||||
Textiles, Apparel & Luxury Goods - 2.09% |
| |||||||||
Fossil, Inc.* | 19,000 | 2,236,680 | ||||||||
Trading Companies & Distributors - 0.99% |
| |||||||||
W.W. Grainger, Inc. | 6,900 | 1,060,185 |
19 | Annual Report | June 30, 2011 |
Bridgeway Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||||
Common Stocks (continued) |
| |||||||||||
Wireless Telecommunication Services - 1.11% |
| |||||||||||
MetroPCS Communications, Inc.* | 69,100 | $ | 1,189,211 | |||||||||
|
| |||||||||||
TOTAL COMMON STOCKS - 99.77% |
| 106,515,094 | ||||||||||
|
| |||||||||||
(Cost $89,563,251) | ||||||||||||
| Number of Contracts | | Value | |||||||||
CALL OPTIONS PURCHASED - 0.09% |
| |||||||||||
Alcatel-Lucent - Sponsored ADR | ||||||||||||
Expiring September, 2011 at $5.00 | 1,000 | 94,000 | ||||||||||
|
| |||||||||||
TOTAL CALL OPTIONS PURCHASED - 0.09% |
| 94,000 | ||||||||||
|
| |||||||||||
(Cost $119,097) | ||||||||||||
Rate^ | Shares | Value | ||||||||||
MONEY MARKET FUND - 0.50% |
| |||||||||||
BlackRock FedFund | 0.01% | 530,462 | 530,462 | |||||||||
|
| |||||||||||
TOTAL MONEY MARKET FUND - 0.50% |
| 530,462 | ||||||||||
|
| |||||||||||
(Cost $530,462) | ||||||||||||
TOTAL INVESTMENTS - 100.36% | $ | 107,139,556 | ||||||||||
(Cost $90,212,810) | ||||||||||||
Liabilities in Excess of Other Assets - (0.36%) |
| (382,348 | ) | |||||||||
|
| |||||||||||
NET ASSETS - 100.00% | $ | 106,757,208 | ||||||||||
|
| |||||||||||
* Non-income producing security. # Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $583,600. ^ Rate disclosed as of June 30, 2011. + This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $3,573,355 at June 30, 2011. ADR - American Depositary Receipt PLC - Public Limited Company |
|
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): |
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Inputs | Level 3 Significant | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 106,515,094 | $ | — | $ | — | $ | 106,515,094 | ||||||||
Call Options Purchased | 94,000 | — | — | 94,000 | ||||||||||||
Money Market Fund | — | 530,462 | — | 530,462 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 106,609,094 | $ | 530,462 | $ | — | $ | 107,139,556 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ | — | $ | 3,655 | $ | — | $ | 3,655 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 3,655 | $ | — | $ | 3,655 | ||||||||
|
|
|
|
|
|
|
|
** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment. |
See Notes to Financial Statements.
www.bridgeway.com | 20 |
MANAGER’S COMMENTARY | ||
June 30, 2011 |
Dear Fellow Aggressive Investors 2 Fund Shareholder,
Aggressive Investors 2 Fund declined 1.23% for the quarter ended June 30, 2011, trailing our primary market benchmark, the S&P 500 Index (+0.10%) and our peer benchmark, the Lipper Capital Appreciation Funds Index (-0.29%), but outperforming the Russell 2000 Index (-1.61%). It was a weak quarter on an absolute and relative basis.
For the fiscal year ended June 30, 2011, our Fund appreciated 37.05%, outperforming our primary market benchmark, the S&P 500 Index (+30.69%) and our peer benchmark, the Lipper Capital Appreciation Funds Index (+27.96%), but trailing the Russell 2000 Index, (+37.41%). We are pleased with both the relative and absolute returns for the one year period. We continue to lead our primary benchmark for the life-to-date period, but we still have ground to make up for the five year period.
The table below presents our June quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. 4/1/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | Life-to-Date 10/31/01 to 6/30/11 | |||||||||||||
Aggressive Investors 2 Fund | -1.23% | 37.05% | -1.63% | 5.32% | ||||||||||||
S&P 500 Index (large companies) | 0.10% | 30.69% | 2.94% | 4.31% | ||||||||||||
Lipper Capital Appreciation Funds Index | -0.29% | 27.96% | 4.53% | 5.69% | ||||||||||||
Russell 2000 Index (small companies) | -1.61% | 37.41% | 4.08% | 8.45% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions based on the average of 500 widely held common stocks with dividends reinvested, while the Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in the category of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Aggressive Investors 2 Fund ranked 87th of 290 capital appreciation funds for the twelve months ending June 30, 2011, 211th of 220 over the last five years, and 91st of 164 since inception in October, 2001. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
21 | Annual Report | June 30, 2011 |
Aggressive Investors 2 Fund | ||
MANAGER’S COMMENTARY (continued) |
Aggressive Investors 2 Fund vs. S&P 500 Index, Lipper Capital Appreciation Funds Index & Russell 2000 Index
from Inception 10/31/01 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary stocks were the bright spot in the quarter, while Materials and Industrial stocks were the biggest drags on Fund returns among the ten worst contributors.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, Consumer Discretionary stocks led the list of best performers for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Nine Consumer Discretionary companies made the top-ten list and combined they contributed over two-and-a-half percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Polaris Industries, Inc. | Leisure Equipment & Products | 0.4% | |||
2 | Fossil, Inc. | Textiles, Apparel & Luxury Goods | 0.4% | |||
3 | Dillard’s, Inc. | Multiline Retail | 0.4% | |||
4 | Netflix, Inc. | Internet & Catalog Retail | 0.3% | |||
5 | Pier 1 Imports, Inc. | Specialty Retail | 0.3% | |||
6 | Magna International, Inc. | Auto Components | 0.2% | |||
7 | TRW Automotive Holdings Corp. | Auto Components | 0.2% | |||
8 | CBS Corp. | Media | 0.2% | |||
9 | Ross Stores, Inc. | Specialty Retail | 0.2% | |||
10 | Basic Energy Services, Inc. | Energy Equipment & Services | 0.2% |
Fossil manufactures watches and other fashion jewelry, primarily for the high-end market. While many consumers continue to hold off on discretionary purchases in these tight economic times, luxury buyers have begun to resurface. The company posted far better-than-expected earnings in the latest quarter, and revenues jumped over 30 percent to a seasonally adjusted all time high. While sales in Europe have been lackluster at best, growth from Asian markets has been strong and more than picked up the slack — highlighting the fact that some of our U.S. stocks do have foreign exposure. The company projects double-digit percentage sales increases for each of the next two years and boasts “strong buy” recommendations by several analysts. Fossil hit a 52-week high late in the quarter and was the second best contributor to the Fund’s performance.
Luxury buyers not only have their eyes on nice watches these days; many of the thrill seekers of the bunch have also been in the market for off-road recreational vehicles. Polaris Industries reported a solid first quarter that beat analysts’ estimates and
www.bridgeway.com | 22 |
Aggressive Investors 2 Fund | ||
MANAGER’S COMMENTARY (continued) |
also raised its outlook for the future. Over the past five years, the company has realized stronger revenue and earnings growth in the March and June quarters, a trend some analysts expect to occur in 2011 as well. Polaris has added to its product line with the acquisition of Global Electric Motorcars from Chrysler, as well as Indian Motorcycle, a legendary brand that still offers great appeal for serious riders. The stock is trading at close to an all-time high and was the best contributor to Fund return for the period.
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector as supply chains have been impacted, particularly among auto makers and suppliers. Four industrial companies made the “bottom ten contributors” list; combined, they hindered the performance of the Fund by one percent. Additionally, metals and metal-related companies gave back a portion of their stellar gains of the prior quarters.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | ION Geophysical Corp. | Energy Equipment & Services | -0.5% | |||
2 | Silvercorp Metals, Inc. | Metals & Mining | -0.5% | |||
3 | Silver Wheaton Corp. | Metals & Mining | -0.5% | |||
4 | Micron Technology, Inc. | Semiconductors & Semiconductor Equipment | -0.4% | |||
5 | CNH Global N.V. | Machinery | -0.3% | |||
6 | Tata Motors, Ltd. - Sponsored ADR | Machinery | -0.3% | |||
7 | United Rentals, Inc. | Trading Companies & Distributors | -0.3% | |||
8 | Titan International, Inc. | Machinery | -0.2% | |||
9 | Timberland Co. | Textiles, Apparel & Luxury Goods | -0.2% | |||
10 | Vishay Intertechnology, Inc. | Electronic Equipment, Instruments & Components | -0.2% |
What a difference a few months make! In the fourth quarter 2010, silver mining company Silvercorp was the Fund’s top performer and jumped more than 50% for the period. After pushing to 30-year highs, silver began plummeting in April, and some futures investors were forced out of the market by a series of margin increases. Additionally, with the Fed set to wind down its latest stimulus program, known as QE2, in June (it has since ended), many precious metals began trading well off their highs as investors feared an end to the sizable commodity run. Silvercorp, the largest primary silver producer in China, struggled along with the metals themselves, and its stock price dropped 35% during the three month period. Late in the quarter, the company announced a major buyback program to take advantage of what management believes to be an undervaluation in its stock.
So what happens when a company misses revenues by $26 million or over 25% of analysts’ expectations? ION Geophysical can answer that question, as the energy company’s share price dropped over 25% in the quarter. While earnings were still slightly positive for the quarter, one of ION’s key business units took a sizable hit due to the ongoing turmoil in the Middle East, in particular Libya. In fact, a multi-million dollar sale to the country was put on hold for an indefinite time frame. ION detracted most from Fund performance for the quarter and demonstrates the downside political risk of exposure to some foreign markets.
Detailed Explanation of Fiscal Year Performance
The Short Version: Consumer Discretionary stocks were the positive story for the fiscal year as well as the quarter. While IT stocks had the largest representation on the worst contributors list, Industrial stocks actually hurt our relative performance the most.
A surge in retail activity in the second half of 2010 propelled a number of consumer discretionary companies to solid results for the fiscal year. All told, five related companies made the top performers list for the 12-month period. Combined, they returned over three-and-a-half percent to the Fund’s performance.
23 | Annual Report | June 30, 2011 |
Aggressive Investors 2 Fund | ||
MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Netflix, Inc. | Internet & Catalog Retail | 1.9% | |||
2 | Acme Packet, Inc. | Communications Equipment | 1.5% | |||
3 | TRW Automotive Holdings Corp. | Auto Components | 1.4% | |||
4 | Pier 1 Imports, Inc. | Specialty Retail | 1.3% | |||
5 | Dillard’s Inc. | Multiline Retail | 1.2% | |||
6 | CBS Corp. | Media | 1.1% | |||
7 | Polaris Industries, Inc. | Leisure Equipment & Products | 1.0% | |||
8 | Ford Motor Co. | Automobiles | 1.0% | |||
9 | Huntsman Corp. | Chemicals | 1.0% | |||
10 | Silvercorp Metals, Inc. | Metals & Mining | 0.9% |
First, Blockbuster. Next, the cable companies? Netflix is the largest online movie rental subscription service in the United States, offering over 18,000 entertainment titles (movies, TV shows) delivered either via mail or streamed directly to users’ TVs or computers. Its business model was credited by some for the demise of one-time giant Blockbuster. Now, even cable companies are worried that their current subscribers may cancel (or downgrade) their services and simply use Netflix more. In May, Netflix inked an agreement with Miramax to add to its library of movies. In April, the company posted earnings and revenues that beat expectations, after reporting similarly strong results in January. A major analyst recently upgraded the stock and claimed that subscribers could hit 50 million by 2013 from 24 million currently. Late in the fiscal year, Netflix’s CEO joined Facebook’s board of directors, prompting speculation that some business relationship between the two companies may be in the works. For the 12-month period, Netflix stock more than doubled in price and was the top contributor to the Fund.
Perhaps it started with the “cash for clunkers” program? Perhaps the industry bailout helped? Perhaps it’s just par for the course for the economic recovery. The domestic auto sector has been on the rebound, and companies such as parts supplier TRW have benefited dramatically. In May, the company posted stellar earnings that grew by almost 40% and beat analysts’ forecasts. TRW also reported strong revenues and improving margins and raised its sales estimates for the entire year. While management acknowledges some challenges due to supply chain disruptions from the Japanese earthquake and tsunami, it expects the impact to be short-lived and believes that any lost production should be recouped in the second half of the year. TRW enhanced the Fund’s return by over one-and-a-quarter-percent for the 12-month period.
While some analysts expected IT companies to lead the domestic recovery as businesses upgrade outdated systems and processes, four related stocks were among the biggest drags on Fund performance. Combined, these holdings cost the Fund about a percent-and-a-half in return for the fiscal year.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Sanmina-SCI Corp. | Electronic Equipment, Instruments & Components | -0.7% | |||
2 | ION Geophysical Corp. | Energy Equipment & Services | -0.5% | |||
3 | Corinthian Colleges, Inc. | Diversified Consumer Services | -0.4% | |||
4 | JDS Uniphase Corp. | Communications Equipment | -0.4% | |||
5 | DeVry, Inc. | Diversified Consumer Services | -0.3% | |||
6 | Newcastle Investment Corp. | Real Estate Investment Trusts (REITs) | -0.3% | |||
7 | Akamai Technologies, Inc. | Internet Software & Services | -0.3% | |||
8 | Titan International, Inc. | Machinery | -0.2% | |||
9 | Genworth Financial, Inc. | Insurance | -0.2% | |||
10 | Ceradyne, Inc. | Aerospace & Defense | -0.2% |
An interesting debate has sprung up surrounding the regulation and funding of for-profit colleges. Some colleges have been soundly criticized for charging too much tuition to students who can least afford to repay the loans. These critics believe the for-profit colleges have raised unrealistic expectations for future employment and thus prospects for repayment. On the other
www.bridgeway.com | 24 |
Aggressive Investors 2 Fund | ||
MANAGER’S COMMENTARY (continued) |
hand, some feel that market forces should not be hampered by additional regulations and that the for-profit colleges fill a needed gap. As a result of some pretty dismal statistics released in August 2010 about industry-wide loan repayment rates, the Department of Education proposed new regulations that will penalize schools that fall below certain minimums and will potentially cut them off from being allowed to offer federal student loans. Corinthian Colleges was one of many private education companies that failed to meet the minimum guidelines, and enrollment in its institutions could drop considerably should its students be unable to receive much needed aid. Company management dramatically lowered its earnings outlook as a result of the new proposed standards. For years, certain critics of these institutions have claimed that they fail to prepare students for the jobs market (particularly a tough jobs market), and graduates often are unable to pay back government loans. These regulations could change the entire dynamic of the private education industry. Corinthian Colleges’ stock price dropped almost 50%, and it was the Fund’s worst performer.
Top Ten Holdings as of June 30, 2011
Four of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Fossil, TRW Automotive, Dillard’s, Polaris. The Fund was broadly diversified across industries, and no single holding accounted for greater than 2.6% of the net assets. The ten largest positions represented about 20% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | TRW Automotive Holdings Corp. | Auto Components | 2.6% | |||
2 | Westlake Chemical Corp. | Chemicals | 2.3% | |||
3 | Polaris Industries, Inc. | Leisure Equipment & Products | 2.0% | |||
4 | Fossil, Inc. | Textiles, Apparel & Luxury Goods | 1.9% | |||
5 | Domtar Corp. | Paper & Forest Products | 1.9% | |||
6 | RPC, Inc. | Energy Equipment & Services | 1.9% | |||
7 | ARM Holdings PLC - Sponsored ADR | Semiconductors & Semiconductor Equipment | 1.9% | |||
8 | Vonage Holdings Corp. | Diversified Telecommunication Services | 1.8% | |||
9 | Sauer-Danfoss, Inc. | Machinery | 1.8% | |||
10 | Dillard’s, Inc. | Multiline Retail | 1.8% | |||
Total | 19.9% |
Industry Sector Representation as of June 30, 2011
The Fund’s most overweighted sector at quarter end was Consumer Discretionary, a sector that performed well in the market and especially in our Fund in the June quarter. The sector added about one and a half percent of relative performance to the Fund. On the other side of the ledger, our Fund is most underweighted in Financials, a riskier sector as demonstrated in the 2008 downturn.
% of Net Assets | % of S&P 500 Index | Difference | ||||
Consumer Discretionary | 20.1% | 10.7% | 9.4% | |||
Consumer Staples | 6.6% | 10.7% | -4.1% | |||
Energy | 12.1% | 12.6% | -0.5% | |||
Financials | 9.8% | 15.0% | -5.2% | |||
Health Care | 9.8% | 11.7% | -1.9% | |||
Industrials | 12.1% | 11.3% | 0.8% | |||
Information Technology | 14.0% | 17.8% | -3.8% | |||
Materials | 11.9% | 3.7% | 8.2% | |||
Telecommunication Services | 2.9% | 3.1% | -0.2% | |||
Utilities | 0.0% | 3.4% | -3.4% | |||
Cash & Other Assets | 0.7% | 0.0% | 0.7% | |||
Total | 100.0% | 100.0% |
25 | Annual Report | June 30, 2011 |
Aggressive Investors 2 Fund MANAGER’S COMMENTARY (continued) |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk” which may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Aggressive Investors 2 Fund. We encourage your feedback; your reactions and concerns are extremely important to us.
Sincerely,
The Investment Management Team
www.bridgeway.com | 26 |
Bridgeway Aggressive Investors 2 Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011
|
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.34% |
| |||||||||
Aerospace & Defense - 2.06% |
| |||||||||
Ceradyne, Inc.* | 52,400 | $ | 2,043,076 | |||||||
L-3 Communications Holdings, Inc. | 30,000 | 2,623,500 | ||||||||
|
| |||||||||
4,666,576 | ||||||||||
Auto Components - 7.27% |
| |||||||||
BorgWarner, Inc.* | 47,100 | 3,805,209 | ||||||||
Magna International, Inc. | 72,200 | 3,901,688 | ||||||||
Tenneco, Inc.*+ | 63,000 | 2,776,410 | ||||||||
TRW Automotive Holdings Corp.* | 101,100 | 5,967,933 | ||||||||
|
| |||||||||
16,451,240 | ||||||||||
Beverages - 3.45% |
| |||||||||
Brown-Forman Corp., Class B | 29,100 | 2,173,479 | ||||||||
Coca-Cola Enterprises, Inc. | 95,500 | 2,786,690 | ||||||||
Dr. Pepper Snapple Group, Inc. | 67,800 | 2,842,854 | ||||||||
|
| |||||||||
7,803,023 | ||||||||||
Biotechnology - 1.02% |
| |||||||||
Alexion Pharmaceuticals, Inc.* | 49,200 | 2,313,876 | ||||||||
Chemicals - 6.38% |
| |||||||||
CF Industries Holdings, Inc. | 15,600 | 2,210,052 | ||||||||
LSB Industries, Inc.* | 52,800 | 2,266,176 | ||||||||
Mosaic Co. (The) | 33,500 | 2,268,955 | ||||||||
Sherwin-Williams Co. (The) | 29,100 | 2,440,617 | ||||||||
Westlake Chemical Corp.# | 101,000 | 5,241,900 | ||||||||
|
| |||||||||
14,427,700 | ||||||||||
Commercial Banks - 0.97% |
| |||||||||
Royal Bank of Scotland Group PLC - Sponsored ADR*+ | 176,500 | 2,197,425 | ||||||||
Communications Equipment - 2.34% |
| |||||||||
Alcatel-Lucent - Sponsored ADR*+ | 626,900 | 3,617,213 | ||||||||
JDS Uniphase Corp.* | 101,000 | 1,682,660 | ||||||||
|
| |||||||||
5,299,873 | ||||||||||
Computers & Peripherals - 0.81% |
| |||||||||
Lexmark International, Inc., Class A* | 62,400 | 1,825,824 | ||||||||
Construction & Engineering - 0.98% |
| |||||||||
MasTec, Inc.* | 112,000 | 2,208,640 | ||||||||
Consumer Finance - 1.19% |
| |||||||||
Discover Financial Services | 100,600 | 2,691,050 |
Industry | Company | Shares | Value | |||||||
Diversified Financial Services - 1.03% |
| |||||||||
Moody’s Corp. | 60,700 | $ | 2,327,845 | |||||||
Diversified Telecommunication Services - 1.79% |
| |||||||||
Vonage Holdings Corp.* | 919,500 | 4,054,995 | ||||||||
Electronic Equipment, Instruments & Components - 2.54% |
| |||||||||
Arrow Electronics, Inc.* | 76,000 | 3,154,000 | ||||||||
Vishay Intertechnology, Inc.* | 172,800 | 2,598,912 | ||||||||
|
| |||||||||
5,752,912 | ||||||||||
Energy Equipment & Services - 9.95% |
| |||||||||
Baker Hughes, Inc. | 33,000 | 2,394,480 | ||||||||
Basic Energy Services, Inc.* | 90,200 | 2,838,594 | ||||||||
Halliburton Co. | 74,700 | 3,809,700 | ||||||||
ION Geophysical Corp.* | 185,700 | 1,756,722 | ||||||||
National Oilwell Varco, Inc. | 30,000 | 2,346,300 | ||||||||
Newpark Resources, Inc.* | 335,900 | 3,046,613 | ||||||||
RPC, Inc.+ | 172,200 | 4,225,788 | ||||||||
Weatherford International, Ltd.* | 111,000 | 2,081,250 | ||||||||
|
| |||||||||
22,499,447 | ||||||||||
Food & Staples Retailing - 1.07% |
| |||||||||
Safeway, Inc. | 103,700 | 2,423,469 | ||||||||
Food Products - 1.02% |
| |||||||||
Bunge, Ltd. | 33,400 | 2,302,930 | ||||||||
Health Care Equipment & Supplies - 1.40% |
| |||||||||
CR Bard, Inc. | 28,800 | 3,163,968 | ||||||||
Health Care Providers & Services - 3.21% |
| |||||||||
AmerisourceBergen Corp. | 51,200 | 2,119,680 | ||||||||
Health Management Associates, Inc., Class A* | 281,700 | 3,036,726 | ||||||||
Quest Diagnostics, Inc. | 35,600 | 2,103,960 | ||||||||
|
| |||||||||
7,260,366 | ||||||||||
Hotels, Restaurants & Leisure - 2.14% |
| |||||||||
Domino’s Pizza, Inc.* | 95,400 | 2,407,896 | ||||||||
Wynn Resorts, Ltd. | 16,900 | 2,425,826 | ||||||||
|
| |||||||||
4,833,722 | ||||||||||
Household Products - 1.07% |
| |||||||||
Procter & Gamble Co. (The) | 38,200 | 2,428,374 | ||||||||
Insurance - 3.47% |
| |||||||||
Reinsurance Group of America, Inc. | 39,000 | 2,373,540 | ||||||||
RLI Corp.+ | 45,500 | 2,817,360 | ||||||||
Travelers Cos., Inc. (The) | 45,600 | 2,662,128 | ||||||||
|
| |||||||||
7,853,028 |
27 | Annual Report | June 30, 2011 |
Bridgeway Aggressive Investors 2 Fund SCHEDULE OF INVESTMENTS (continued) | ||
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Internet & Catalog Retail - 1.09% |
| |||||||||
priceline.com, Inc.* | 4,800 | $ | 2,457,264 | |||||||
IT Services - 1.27% |
| |||||||||
International Business Machines Corp. | 16,800 | 2,882,040 | ||||||||
Leisure Equipment & Products - 1.99% |
| |||||||||
Polaris Industries, Inc.+ | 40,500 | 4,502,385 | ||||||||
Life Sciences Tools & Services - 1.18% |
| |||||||||
Illumina, Inc.* | 35,500 | 2,667,825 | ||||||||
Machinery - 6.75% |
| |||||||||
CNH Global N.V.* | 70,900 | 2,740,285 | ||||||||
Cummins, Inc. | 22,600 | 2,338,874 | ||||||||
Sauer-Danfoss, Inc.* | 79,000 | 3,980,810 | ||||||||
Tata Motors, Ltd. - Sponsored ADR | 126,800 | 2,854,268 | ||||||||
Titan International, Inc.+ | 138,200 | 3,352,732 | ||||||||
|
| |||||||||
15,266,969 | ||||||||||
Media - 1.44% |
| |||||||||
CBS Corp., Class B Non-Voting | 114,200 | 3,253,558 | ||||||||
Metals & Mining - 2.58% |
| |||||||||
Silver Wheaton Corp.+ | 109,900 | 3,626,700 | ||||||||
Silvercorp Metals, Inc. | 236,400 | 2,217,432 | ||||||||
|
| |||||||||
5,844,132 | ||||||||||
Multiline Retail - 1.75% |
| |||||||||
Dillard’s, Inc., Class A+ | 76,100 | 3,967,854 | ||||||||
Oil, Gas & Consumable Fuels - 2.19% |
| |||||||||
Chevron Corp. | 26,000 | 2,673,840 | ||||||||
Hess Corp. | 30,500 | 2,280,180 | ||||||||
|
| |||||||||
4,954,020 | ||||||||||
Paper & Forest Products - 2.91% |
| |||||||||
Domtar Corp. | 45,000 | 4,262,400 | ||||||||
MeadWestvaco Corp. | 69,300 | 2,308,383 | ||||||||
|
| |||||||||
6,570,783 | ||||||||||
Pharmaceuticals - 2.97% |
| |||||||||
Bristol-Myers Squibb Co. | 83,500 | 2,418,160 | ||||||||
Medicines Co. (The)* | 149,200 | 2,463,292 | ||||||||
Valeant Pharmaceuticals International, Inc.+ | 35,200 | 1,828,992 | ||||||||
|
| |||||||||
6,710,444 |
Industry | Company | Shares | Value | |||||||
Real Estate Investment Trusts (REITs) - 3.16% |
| |||||||||
BioMed Realty Trust, Inc. | 156,400 | $ | 3,009,136 | |||||||
Newcastle Investment Corp. | 276,411 | 1,597,656 | ||||||||
Weingarten Realty Investors+ | 100,700 | 2,533,612 | ||||||||
|
| |||||||||
7,140,404 | ||||||||||
Road & Rail - 1.04% |
| |||||||||
Werner Enterprises, Inc.+ | 94,000 | 2,354,700 | ||||||||
Semiconductors & Semiconductor Equipment - 7.07% |
| |||||||||
ARM Holdings PLC - Sponsored ADR | 147,700 | 4,199,111 | ||||||||
Atmel Corp.* | 239,800 | 3,373,986 | ||||||||
Fairchild Semiconductor International, Inc.* | 133,500 | 2,230,785 | ||||||||
FEI Co.* | 57,700 | 2,203,563 | ||||||||
Micron Technology, Inc.* | 228,500 | 1,709,180 | ||||||||
NVIDIA Corp.* | 142,900 | 2,277,111 | ||||||||
|
| |||||||||
15,993,736 | ||||||||||
Specialty Retail - 2.56% |
| |||||||||
Pier 1 Imports, Inc.* | 191,082 | 2,210,819 | ||||||||
Ross Stores, Inc. | 44,800 | 3,589,376 | ||||||||
|
| |||||||||
5,800,195 | ||||||||||
Textiles, Apparel & Luxury Goods - 1.91% |
| |||||||||
Fossil, Inc.* | 36,700 | 4,320,324 | ||||||||
Trading Companies & Distributors - 1.22% |
| |||||||||
W.W. Grainger, Inc. | 18,000 | 2,765,700 | ||||||||
Wireless Telecommunication Services - 1.10% |
| |||||||||
MetroPCS Communications, Inc.* | 144,900 | 2,493,729 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS - 99.34% | 224,732,345 | |||||||||
|
| |||||||||
(Cost $188,595,289) | ||||||||||
Number of Contracts | Value | |||||||||
|
| |||||||||
CALL OPTIONS PURCHASED - 0.09% |
| |||||||||
Alcatel-Lucent - Sponsored ADR | 2,100 | 197,400 | ||||||||
|
| |||||||||
TOTAL CALL OPTIONS PURCHASED - 0.09% |
| 197,400 | ||||||||
|
| |||||||||
(Cost $246,235) |
www.bridgeway.com | 28 |
Bridgeway Aggressive Investors 2 Fund SCHEDULE OF INVESTMENTS (continued) | ||
Showing percentage of net assets as of June 30, 2011 |
Rate^ |
|
Shares |
|
|
Value |
| ||||
MONEY MARKET FUND - 0.47% |
| |||||||||
BlackRock FedFund | 0.01% | 1,065,509 | $1,065,509 | |||||||
|
| |||||||||
TOTAL MONEY MARKET FUND - 0.47% |
| 1,065,509 | ||||||||
|
| |||||||||
(Cost $1,065,509) | ||||||||||
TOTAL INVESTMENTS - 99.90% | $ | 225,995,254 | ||||||||
(Cost $189,907,033) | ||||||||||
Other Assets in Excess of Liabilities - 0.10% |
| 224,327 | ||||||||
|
| |||||||||
NET ASSETS - 100.00% | $ | 226,219,581 | ||||||||
|
| |||||||||
* Non-income producing security. |
| |||||||||
# Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $1,038,000. |
| |||||||||
^ Rate disclosed as of June 30, 2011. |
| |||||||||
+ This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $18,628,427 at June 30, 2011. |
| |||||||||
ADR - American Depositary Receipt | ||||||||||
PLC - Public Limited Company | ||||||||||
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): |
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 224,732,345 | $ | — | $ | — | $ | 224,732,345 | ||||||||
Call Options Purchased | 197,400 | — | — | 197,400 | ||||||||||||
Money Market Fund | — | 1,065,509 | — | 1,065,509 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 224,929,745 | $ | 1,065,509 | $ | — | $ | 225,995,254 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ | — | $ | 15,113 | $ | — | $ | 15,113 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 15,113 | $ | — | $ | 15,113 | ||||||||
|
|
|
|
|
|
|
|
** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment. |
See Notes to Financial Statements.
29 | Annual Report | June 30, 2011 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Ultra-Small Company Fund Shareholder,
Our Fund declined 5.45% for the quarter ended June 30, 2011, trailing our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-3.95%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-1.98%), the Russell Microcap Index (-3.48%) and the Russell 2000 Index (-1.61%). It was a poor quarter on an absolute and relative basis, and we are not pleased.
For the fiscal year ended June 30, 2011, our Fund appreciated 30.12%, beating our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+25.64%), but trailing our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+35.47%), the Russell Microcap Index (+32.70%) and the Russell 2000 Index (37.41%). While we don’t like trailing our benchmarks, ultra-small stocks were at a considerable disadvantage to micro- and small-cap indices, as presented in the table on the following page. We are pleased to beat the CRSP Cap-Based Portfolio 10 Index, the only index of purely ultra-small size companies.
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. 4/1/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date 8/5/94 to 6/30/11 | ||||||
Ultra-Small Company Fund | -5.45% | 30.12% | 0.22% | 12.30% | 16.06% | |||||
CRSP Cap-Based Portfolio 10 Index | -3.95% | 25.64% | 4.13% | 12.70% | 12.69% | |||||
Russell Microcap Index | -3.48% | 32.70% | 0.55% | 5.59% | N/A | |||||
Russell 2000 Index (small companies) | -1.61% | 37.41% | 4.08% | 6.27% | 8.94% | |||||
Lipper Micro-Cap Stock Funds Index | -1.98% | 35.47% | 2.61% | 6.32% | N/A |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,302 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Ultra-Small Company Fund ranked 48th of 69 micro-cap funds for the twelve months ending June 30, 2011, 48th of 60 over the last five years, 1st of 39 over the last ten years, and 1st of 9 since inception in August, 1994. These long-term numbers and the graph below give two snapshots of our long-term success. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
www.bridgeway.com | 30 |
Ultra-Small Company Fund MANAGER’S COMMENTARY (continued) |
Ultra-Small Company Fund vs. CRSP 10 Index, Lipper Micro-Cap Stock Funds Index*, Russell 2000 Index & Russell Microcap Index** from Inception 8/5/94 to 6/30/11
* | The Lipper Micro-Cap Stock Funds Index began on 12/31/1995, and the line graph for the Index begins at the same value as the Fund on that date. |
** | The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date. |
The Stock Market by Size
The Short Version: Unlike their history in the longer term, ultra-small stocks have lagged the micro-cap and small-cap size companies recently. Fortunately, our stock picking models have been able to offset some of this size disadvantage over the full fiscal year timeframe.
A significant determinant of our performance relative to most other funds has to do with the size of the companies in which we invest. These are breathtakingly small companies. The table below shows that ultra-small stocks have been disadvantaged compared to all other deciles for the June quarter, which is not unusual for a down quarter such as this one. The disadvantage was even worse for the fiscal year, as the 2nd through 9th deciles outperformed ultra-small stocks by at least nine percent. This headwind proved too strong to overcome for the June quarter, though we did overcome a significant portion of it for the full fiscal year. Part of the reason for this favorable outcome was the performance of some highly appreciated stocks that we have not yet trimmed from our Fund, and part is due to the success of our Fund’s stock picking models. We still believe in the long term return advantages of 10th decile stocks, as demonstrated by the far right hand column in the table below.
CRSP Decile1 | June Qtr. 4/1/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Years 7/1/06 to 6/30/11 | 10 Years 7/1/01 to 6/30/11 | 85.5 Years 1/1/1926 to 6/30/11 | |||||||||||||||
1 (ultra-large) | -0.36% | 28.14% | 2.74% | 1.80% | 9.11% | |||||||||||||||
2 | 1.55% | 36.13% | 4.74% | 6.40% | 10.52% | |||||||||||||||
3 | 0.32% | 43.42% | 5.97% | 7.10% | 10.96% | |||||||||||||||
4 | 0.47% | 39.97% | 6.92% | 8.56% | 10.92% | |||||||||||||||
5 | -0.70% | 44.83% | 9.18% | 9.25% | 11.49% | |||||||||||||||
6 | -0.48% | 40.35% | 5.98% | 7.26% | 11.41% | |||||||||||||||
7 | -1.63% | 41.92% | 6.62% | 8.30% | 11.41% | |||||||||||||||
8 | -2.97% | 36.15% | 6.85% | 9.17% | 11.61% | |||||||||||||||
9 | -3.01% | 35.10% | 5.51% | 8.74% | 11.65% | |||||||||||||||
10 (ultra-small) | -3.95% | 25.64% | 4.13% | 12.70% | 13.20% |
1 | The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results. |
31 | Annual Report | June 30, 2011 |
Ultra-Small Company Fund MANAGER’S COMMENTARY (continued) |
Detailed Explanation of Quarterly Performance
The Short Version: Consumer stocks led the best contributors list, while there was plenty of diversification on the worst contributors list.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, consumer stocks highlighted the list of best performers for the quarter. Four consumer-related companies (two discretionary and two staples) made the list; combined they contributed over three-quarters-of-a-percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | 8X8, Inc. | Diverisfied Telecommunication Services | 0.6% | |||
2 | Universal Stainless & Alloy | Metals & Mining | 0.5% | |||
3 | Conn’s, Inc. | Specialty Retail | 0.3% | |||
4 | American Vanguard Corp. | Chemicals | 0.3% | |||
5 | Astronics Corp. | Aerospace & Defense | 0.3% | |||
6 | Intersections Inc. | Commercial Services & Supplies | 0.2% | |||
7 | Handy & Harman, Ltd. | Metals & Mining | 0.2% | |||
8 | Omega Protein Corp. | Food Products | 0.2% | |||
9 | Zale Corp. | Specialty Retail | 0.2% | |||
10 | Coffee Holding Co., Inc | Food Products | 0.2% |
Universal Stainless and Alloy Products produces various steel and steel-related products for distribution throughout the United States. In June, the company announced that it was buying the assets of Patriot Special Metals in a $100 million transaction. Management expects the deal to enhance its ability to market greater high-end (and higher margin) products. The company also raised its forecast for second quarter earnings. Universal Stainless climbed almost 40% and was the second best contributor to Fund performance.
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector, impacting supply chains, particularly among auto makers and suppliers. Two industrial companies made the worst contributors list; combined they hurt the performance of the Fund by about one percent. Additionally, commodity-related companies gave back some of their stellar gains of the prior quarters.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | NN, Inc. | Machinery | -0.7% | |||
2 | ISTA Pharmaceuticals, Inc. | Pharmaceuticals | -0.5% | |||
3 | Five Star Quality Care, Inc. | Health Care Providers & Services | -0.5% | |||
4 | Skilled Healthcare Group, Inc. | Health Care Providers & Services | -0.5% | |||
5 | Gramercy Capital Corp. | Real Estate Investment Trusts (REITs) | -0.4% | |||
6 | China Sunergy Co., Ltd. - Sponsored ADR | Electrical Equipment | -0.4% | |||
7 | Verso Paper Corp. | Paper & Forest Products | -0.3% | |||
8 | ZST Digital Networks, Inc. | Communications Equipment | -0.3% | |||
9 | Mercer International, Inc. | Paper & Forest Products | -0.3% | |||
10 | CPI Corp. | Specialty Retail | -0.3% |
In April, nursing home and home health care provider Skilled Healthcare was riding sky high. Management had just hired an investment bank to explore strategic options and a possible sale of the company. The firm’s real estate holdings were likely to be an attractive kicker to any deal. Its stock hit a 52-week high. Weeks later, government regulators proposed a larger-than-expected reduction in the reimbursement rates for Medicare and Medicaid, moves that would dramatically impact the entire industry. Further, the uncertainty of such a bill put a potential sale on hold. Skilled Healthcare dropped over 30% during the three-month period.
www.bridgeway.com | 32 |
Ultra-Small Company Fund MANAGER’S COMMENTARY (continued) |
Detailed Explanation of Fiscal Year Performance
The Short Version: Investment Technology was the story on both the best and worst contributors list.
Advances in Information Technology areas, such as cloud computing, have provided a boon for the innovators. Four IT companies made the best contributors list and contributed over four percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Keithley Instruments | Semiconductors & Semiconductor Equipment | 3.1% | |||
2 | IDT Corp. | Diversified Telecommunication Services | 1.9% | |||
3 | Measurement Specialties, Inc. | Electronic Equipment, Instruments & Components | 1.5% | |||
4 | Mercer International, Inc. | Paper & Forest Products | 1.4% | |||
5 | 8X8, Inc. | Diversified Telecommunication Services | 1.2% | |||
6 | Cost Plus, Inc. | Specialty Retail | 1.0% | |||
7 | Westell Technologies, Inc. | Communications Equipment | 0.9% | |||
8 | Universal Stainless & Alloy | Metals & Mining | 0.9% | |||
9 | NN, Inc. | Machinery | 0.9% | |||
10 | Arlington Asset Investment Corp. | Capital Markets | 0.9% |
Is “cloud” technology the wave of the future (or the present)? Companies such as 8X8 Inc. think so. The technology company offers services that allow businesses to run applications and access data through remote servers, known as clouds, as opposed to their own computers. Even companies like Microsoft have moved in the “cloud” direction. Over the year, 8x8 has seen profits jump by almost 70%, while improving both its gross margin and its free cash-flow position. It also acquired Zerigo, a provider of “virtual” servers, to enhance its menu of related products and better compete with some of the bigger boys (like Amazon). For the fiscal year, its stock soared almost 300% and added over one percent in return to the Fund.
While some analysts expected Information Technology to lead the domestic recovery as businesses upgrade outdated systems and processes, many companies continue to lag behind and continue to hold off on major purchases. Six IT stocks were among the biggest drags on Fund performance. Combined, these holdings cost the Fund almost three percent in return for the fiscal year.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | FSI International, Inc. | Semiconductors & Semiconductor Equipment | -1.0% | |||
2 | Industrial Services of America, Inc. | Commercial Services & Supplies | -0.7% | |||
3 | Gramercy Capital Corp. | Real Estate Investment Trusts (REITs) | -0.6% | |||
4 | Network Engines, Inc. | Computers & Peripherals | -0.5% | |||
5 | Wave Systems Corp. | Internet Software & Services | -0.4% | |||
6 | Culp, Inc. | Textiles, Apparel & Luxury Goods | -0.4% | |||
7 | ZST Digital Networks, Inc. | Communications Equipment | -0.4% | |||
8 | Hypercom, Inc. | Electronic Equipment, Instruments & Components | -0.4% | |||
9 | CPI Corp. | Specialty Retail | -0.3% | |||
10 | BSQUARE Corp. | Software | -0.3% |
At some point, companies need to pay off their loans, especially when big players like Goldman Sachs and Citigroup are involved on the other side of the transaction. Gramercy Capital has been unable to pay off almost $800 million in loans on about 900 real estate properties for over a year and it has been working with creditors to revise terms and extend the deals. While lenders may have been more willing to work with troubled companies prior to the financial crisis of 2008, they are less likely to negotiate indefinitely in the current environment. Unable to reach a new agreement after a few extensions, the lenders can begin foreclosure procedures on all or some of these properties, and Gramercy will play the “wait and see” game to learn
33 | Annual Report | June 30, 2011 |
Ultra-Small Company Fund MANAGER’S COMMENTARY (continued) |
about any role it may have in future management. The holding lost almost 40% and was the third worst contributor to the Fund’s performance during the 12-month period.
Top Ten Holdings as of June 30, 2011
Three of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Universal Stainless and Alloy, Astronics, and 8X8 Inc. The Fund was broadly diversified across industries; no single holding accounted for greater than 2.2% of the net assets. The ten largest positions represented just less than 15% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | NN, Inc. | Machinery | 2.2% | |||
2 | Universal Stainless & Alloy | Metals & Mining | 1.5% | |||
3 | Arlington Asset Investment Corp. | Capital Markets | 1.4% | |||
4 | U.S. Physical Therapy, Inc. | Health Care Providers & Services | 1.4% | |||
5 | MoneyGram International, Inc. | IT Services | 1.4% | |||
6 | Town Sports International Holdings, Inc. | Hotels, Restaurants & Leisure | 1.3% | |||
7 | Quality Distribution, Inc. | Road & Rail | 1.3% | |||
8 | Astronics Corp. | Aeorspace & Defense | 1.3% | |||
9 | 8X8, Inc. | Diversified Telecommunication Services | 1.3% | |||
10 | Cost Plus, Inc. | Specialty Retail | 1.3% | |||
Total | 14.4% |
Industry Sector Representation as of June 30, 2011
Industrials was our most overweighted sector, and our models’ stock picks in this sector helped our relative performance. Health Care was our most underweighted sector.
% of Net Assets | % of CRSP 10 Index | Difference | ||||
Consumer Discretionary | 18.2% | 15.5% | 2.7% | |||
Consumer Staples | 3.7% | 4.2% | -0.5% | |||
Energy | 3.4% | 5.0% | -1.6% | |||
Financials | 20.3% | 22.9% | -2.6% | |||
Health Care | 11.3% | 17.6% | -6.3% | |||
Industrials | 18.9% | 12.2% | 6.7% | |||
Information Technology | 13.5% | 17.9% | -4.4% | |||
Materials | 5.2% | 2.9% | 2.3% | |||
Telecommunication Services | 3.0% | 0.5% | 2.5% | |||
Utilities | 0.6% | 1.3% | -0.7% | |||
Cash & Other Assets | 1.9% | 0.0% | 1.9% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and
www.bridgeway.com | 34 |
Ultra-Small Company Fund MANAGER’S COMMENTARY (continued) |
even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.
Conclusion
Ultra-Small Company Fund remains closed to new investors. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
35 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 98.11% |
| |||||||||
Aerospace & Defense - 1.40% |
| |||||||||
Astronics Corp.* | 40,000 | $1,232,000 | ||||||||
Sparton Corp.* | 8,500 | 86,870 | ||||||||
|
| |||||||||
1,318,870 | ||||||||||
Air Freight & Logistics - 1.10% |
| |||||||||
Park-Ohio Holdings Corp.* | 49,000 | 1,035,860 | ||||||||
Auto Components - 1.36% |
| |||||||||
Motorcar Parts of America, Inc.* | 62,300 | 935,123 | ||||||||
SORL Auto Parts, Inc.*+ | 77,192 | 347,364 | ||||||||
|
| |||||||||
1,282,487 | ||||||||||
Building Products - 0.48% |
| |||||||||
NCI Building Systems, Inc.* | 39,500 | 449,905 | ||||||||
Capital Markets - 3.18% |
| |||||||||
Arlington Asset Investment Corp., Class A+ | 43,600 | 1,368,604 | ||||||||
Calamos Asset Management, Inc., Class A | 41,700 | 605,484 | ||||||||
Ladenburg Thalmann Financial Services, Inc.* | 26,715 | 36,867 | ||||||||
Triangle Capital Corp. | 25,871 | 477,578 | ||||||||
Virtus Investment Partners, Inc.* | 8,500 | 515,950 | ||||||||
|
| |||||||||
3,004,483 | ||||||||||
Chemicals - 0.93% |
| |||||||||
American Vanguard Corp. | 59,000 | 765,230 | ||||||||
Core Molding Technologies, Inc.* | 12,500 | 112,125 | ||||||||
|
| |||||||||
877,355 | ||||||||||
Commercial Banks - 5.73% |
| |||||||||
Ameris Bancorp* | 58,800 | 521,556 | ||||||||
Bancorp, Inc. (The)* | 72,000 | 752,400 | ||||||||
CoBiz Financial, Inc.+ | 107,000 | 699,780 | ||||||||
Enterprise Financial Services Corp. | 2,100 | 28,413 | ||||||||
Farmers Capital Bank Corp.* | 20,000 | 105,000 | ||||||||
First Community Bancshares, Inc. | 30,400 | 425,600 | ||||||||
Macatawa Bank Corp.*+ | 67,800 | 187,467 | ||||||||
Mercantile Bank Corp.*+ | 20,900 | 173,470 | ||||||||
Merchants Bancshares, Inc. | 14,300 | 349,921 | ||||||||
MetroCorp Bancshares, Inc.* | 16,000 | 104,000 | ||||||||
MidWestOne Financial Group, Inc.+ | 30,000 | 433,500 |
Industry | Company | Shares | Value | |||||||
Commercial Banks (continued) |
| |||||||||
Trico Bancshares | 22,000 | $ 321,200 | ||||||||
United Community Banks, Inc.*+ | 44,460 | 469,498 | ||||||||
West Coast Bancorp* | 50,000 | 838,000 | ||||||||
|
| |||||||||
5,409,805 | ||||||||||
Commercial Services & Supplies - 1.74% |
| |||||||||
A.T. Cross Co., Class A* | 17,000 | 193,630 | ||||||||
Casella Waste Systems, Inc., Class A* | 107,700 | 656,970 | ||||||||
Intersections, Inc. | 35,000 | 637,000 | ||||||||
Standard Register Co. (The) | 49,013 | 154,391 | ||||||||
|
| |||||||||
1,641,991 | ||||||||||
Communications Equipment - 2.40% |
| |||||||||
Communications Systems, Inc. | 6,500 | 116,545 | ||||||||
Emcore Corp.* | 222,200 | 608,828 | ||||||||
Westell Technologies, Inc., Class A* | 260,700 | 930,699 | ||||||||
Zoom Technologies, Inc.*+ | 129,000 | 317,340 | ||||||||
ZST Digital Networks, Inc.*+ | 117,500 | 294,925 | ||||||||
|
| |||||||||
2,268,337 | ||||||||||
Computers & Peripherals - 1.77% |
| |||||||||
Datalink Corp.* | 84,200 | 585,190 | ||||||||
Dot Hill Systems Corp.* | 384,100 | 1,090,844 | ||||||||
|
| |||||||||
1,676,034 | ||||||||||
Construction & Engineering - 1.07% |
| |||||||||
Furmanite Corp.* | 70,000 | 555,800 | ||||||||
Sterling Construction Co., Inc.* | 33,100 | 455,787 | ||||||||
|
| |||||||||
1,011,587 | ||||||||||
Consumer Finance - 0.50% |
| |||||||||
CompuCredit Holdings Corp.* | 85,350 | 198,012 | ||||||||
Nicholas Financial, Inc.*+ | 12,100 | 143,748 | ||||||||
White River Capital, Inc. | 7,000 | 134,750 | ||||||||
|
| |||||||||
476,510 | ||||||||||
Containers & Packaging - 0.43% |
| |||||||||
AEP Industries, Inc.* | 14,000 | 408,660 | ||||||||
Diversified Consumer Services - 1.10% |
| |||||||||
Collectors Universe | 40,000 | 592,400 | ||||||||
Mac-Gray Corp. | 29,000 | 448,050 | ||||||||
|
| |||||||||
1,040,450 |
www.bridgeway.com | 36 |
Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Diversified Financial Services - 0.11% |
| |||||||||
MicroFinancial, Inc. | 19,100 | $ 105,623 | ||||||||
Diversified Telecommunication Services - 2.99% |
| |||||||||
8X8, Inc.*+ | 250,000 | 1,222,500 | ||||||||
HickoryTech Corp. | 32,800 | 389,664 | ||||||||
IDT Corp., Class B | 16,400 | 443,128 | ||||||||
SureWest Communications | 46,000 | 769,120 | ||||||||
|
| |||||||||
2,824,412 | ||||||||||
Electrical Equipment - 3.07% |
| |||||||||
Allied Motion Technologies, Inc.* | 30,000 | 163,500 | ||||||||
Coleman Cable, Inc.* | 51,000 | 749,190 | ||||||||
Jinpan International, Ltd.+ | 50,400 | 563,472 | ||||||||
Preformed Line Products, Co. | 13,000 | 925,340 | ||||||||
SL Industries, Inc.* | 7,000 | 164,850 | ||||||||
Ultralife Corp.* | 70,200 | 329,238 | ||||||||
|
| |||||||||
2,895,590 | ||||||||||
Electronic Equipment, Instruments & Components - 3.50% |
| |||||||||
Advanced Photonix, Inc. - Class A*+ | 200,000 | 298,000 | ||||||||
Gerber Scientific, Inc.* | 28,000 | 311,640 | ||||||||
GTSI Corp.* | 35,000 | 187,950 | ||||||||
Kemet Corp.* | 34,033 | 486,332 | ||||||||
LeCroy Corp.* | 674 | 8,115 | ||||||||
PC Connection, Inc.* | 27,100 | 224,388 | ||||||||
PC Mall, Inc.* | 62,500 | 486,250 | ||||||||
Richardson Electronics, Ltd. | 85,400 | 1,160,586 | ||||||||
Wayside Technology Group, Inc. | 10,500 | 142,380 | ||||||||
|
| |||||||||
3,305,641 | ||||||||||
Energy Equipment & Services - 0.62% |
| |||||||||
Mitcham Industries, Inc.* | 33,800 | 584,740 | ||||||||
Food & Staples Retailing - 0.70% |
| |||||||||
Susser Holdings Corp.* | 42,000 | 660,240 | ||||||||
Food Products - 2.86% |
| |||||||||
Coffee Holding Co., Inc.+ | 15,900 | 246,450 | ||||||||
Feihe International, Inc.*+ | 30,000 | 216,900 | ||||||||
Imperial Sugar Co. | 32,000 | 640,000 | ||||||||
Inventure Foods, Inc.* | 35,000 | 139,650 | ||||||||
Omega Protein Corp.* | 71,500 | 986,700 | ||||||||
SunOpta, Inc.* | 66,900 | 475,659 | ||||||||
|
| |||||||||
2,705,359 | ||||||||||
Health Care Equipment & Supplies - 1.24% |
| |||||||||
Synergetics USA, Inc.* | 120,412 | 663,470 |
Industry | Company | Shares | Value | |||||||
Health Care Equipment & Supplies (continued) |
| |||||||||
Theragenics Corp.* | 70,000 | $ 123,200 | ||||||||
Uroplasty, Inc.* | 51,500 | 386,250 | ||||||||
|
| |||||||||
1,172,920 | ||||||||||
Health Care Providers & Services - 7.50% |
| |||||||||
Alliance HealthCare Services, Inc.* | 125,000 | 475,000 | ||||||||
Five Star Quality Care, Inc.* | 188,900 | 1,097,509 | ||||||||
Medcath Corp.* | 48,800 | 663,192 | ||||||||
Metropolitan Health Networks, Inc.* | 224,300 | 1,074,397 | ||||||||
Providence Service Corp. (The)* | 50,000 | 632,500 | ||||||||
RadNet, Inc.* | 214,100 | 942,040 | ||||||||
Skilled Healthcare Group, Inc., Class A* | 95,000 | 898,700 | ||||||||
U.S. Physical Therapy, Inc. | 52,500 | 1,298,325 | ||||||||
|
| |||||||||
7,081,663 | ||||||||||
Health Care Technology - 0.42% |
| |||||||||
HealthStream, Inc.* | 30,000 | 398,100 | ||||||||
Hotels, Restaurants & Leisure - 5.40% |
| |||||||||
Benihana, Inc., Class A* | 15,000 | 157,350 | ||||||||
Caribou Coffee Co., Inc.* | 48,400 | 640,816 | ||||||||
Carrols Restaurant Group, Inc.* | 100,000 | 1,044,000 | ||||||||
Einstein Noah Restaurant Group, Inc. | 30,000 | 449,100 | ||||||||
Kona Grill, Inc.* | 2,100 | 11,802 | ||||||||
Luby’s, Inc.* | 35,700 | 197,064 | ||||||||
Morton’s Restaurant Group, Inc.* | 46,000 | 333,040 | ||||||||
O’Charleys, Inc.* | 64,600 | 472,226 | ||||||||
Ruth’s Hospitality Group, Inc.* | 96,800 | 543,048 | ||||||||
Town Sports International Holdings, Inc.* | 164,000 | 1,248,040 | ||||||||
|
| |||||||||
5,096,486 | ||||||||||
Household Durables - 1.91% |
| |||||||||
Bassett Furniture Industries, Inc. | 23,000 | 181,240 | ||||||||
CSS Industries, Inc. | 7,300 | 152,789 | ||||||||
Lifetime Brands, Inc. | 59,400 | 697,356 | ||||||||
Mad Catz Interactive, Inc.*+ | 225,000 | 319,500 | ||||||||
Sealy Corp.* | 177,900 | 450,087 | ||||||||
|
| |||||||||
1,800,972 |
37 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Insurance - 1.81% |
| |||||||||
Crawford & Co., Class B | 40,000 | $ 282,800 | ||||||||
Meadowbrook Insurance Group, Inc. | 83,000 | 822,530 | ||||||||
Universal Insurance Holdings, Inc. | 130,000 | 607,100 | ||||||||
|
| |||||||||
1,712,430 | ||||||||||
Internet & Catalog Retail - 1.22% |
| |||||||||
1-800-Flowers.com, Inc., Class A* | 183,500 | 568,850 | ||||||||
ValueVision Media, Inc., Class A* | 76,800 | 587,520 | ||||||||
|
| |||||||||
1,156,370 | ||||||||||
IT Services - 2.25% |
| |||||||||
Computer Task Group, Inc.* | 43,300 | 570,261 | ||||||||
Dynamics Research Corp.* | 19,000 | 259,160 | ||||||||
MoneyGram International, Inc.* | 390,500 | 1,296,460 | ||||||||
|
| |||||||||
2,125,881 | ||||||||||
Leisure Equipment & Products - 0.23% |
| |||||||||
Escalade, Inc. | 17,900 | 108,116 | ||||||||
Johnson Outdoors, Inc., Class A* | 6,600 | 112,992 | ||||||||
|
| |||||||||
221,108 | ||||||||||
Life Sciences Tools & Services - 0.54% |
| |||||||||
Cambrex Corp.* | 70,000 | 323,400 | ||||||||
Harvard Bioscience, Inc.* | 35,000 | 186,550 | ||||||||
|
| |||||||||
509,950 | ||||||||||
Machinery - 4.85% |
| |||||||||
Hardinge, Inc. | 44,500 | 485,495 | ||||||||
Hurco Cos., Inc.* | 14,800 | 476,708 | ||||||||
Lydall, Inc.* | 41,200 | 492,752 | ||||||||
MFRI, Inc.* | 11,000 | 87,890 | ||||||||
Miller Industries, Inc. | 50,000 | 934,500 | ||||||||
NN, Inc.* | 140,600 | 2,103,376 | ||||||||
|
| |||||||||
4,580,721 | ||||||||||
Marine - 1.00% |
| |||||||||
International Shipholding Corp. | 28,000 | 595,840 | ||||||||
Star Bulk Carriers Corp. | 170,000 | 351,900 | ||||||||
|
| |||||||||
947,740 | ||||||||||
Media - 1.71% |
| |||||||||
Fisher Communications, Inc.* | 18,000 | 536,760 |
Industry | Company | Shares | Value | |||||||
Media (continued) |
| |||||||||
Global Traffic Network, Inc.* | 36,300 | $ 417,087 | ||||||||
Gray Television, Inc.* | 250,000 | 660,000 | ||||||||
|
| |||||||||
1,613,847 | ||||||||||
Metals & Mining - 2.70% |
| |||||||||
Friedman Industries, Inc. | 23,700 | 253,827 | ||||||||
Handy & Harman, Ltd.* | 55,000 | 846,450 | ||||||||
Universal Stainless & Alloy* | 31,000 | 1,449,560 | ||||||||
|
| |||||||||
2,549,837 | ||||||||||
Oil, Gas & Consumable Fuels - 2.77% |
| |||||||||
Callon Petroleum Co.* | 75,500 | 530,010 | ||||||||
PostRock Energy Corp.* | 69,500 | 405,185 | ||||||||
Warren Resources, Inc.* | 151,500 | 577,215 | ||||||||
Westmoreland Coal Co.* | 62,100 | 1,102,275 | ||||||||
|
| |||||||||
2,614,685 | ||||||||||
Paper & Forest Products - 1.15% |
| |||||||||
Mercer International, Inc.* | 77,400 | 780,192 | ||||||||
Verso Paper Corp.*+ | 113,900 | 305,252 | ||||||||
|
| |||||||||
1,085,444 | ||||||||||
Personal Products - 0.17% |
| |||||||||
Nature’s Sunshine Products, Inc.* | 8,100 | 157,788 | ||||||||
Pharmaceuticals - 1.56% |
| |||||||||
Columbia Laboratories, Inc.*+ | 277,900 | 858,711 | ||||||||
Heska Corp.* | 200 | 1,932 | ||||||||
ISTA Pharmaceuticals, Inc.* | 63,500 | 485,457 | ||||||||
Jiangbo Pharmaceuticals, Inc.*D+ | 45,000 | 124,650 | ||||||||
|
| |||||||||
1,470,750 | ||||||||||
Professional Services - 1.65% |
| |||||||||
GP Strategies Corp.* | 42,000 | 573,720 | ||||||||
On Assignment, Inc.* | 100,000 | 983,000 | ||||||||
|
| |||||||||
1,556,720 | ||||||||||
Real Estate Investment Trusts (REITs) - 5.92% |
| |||||||||
Agree Realty Corp.+ | 26,160 | 584,153 | ||||||||
ARMOUR Residential REIT, Inc.+ | 131,800 | 968,730 | ||||||||
Capital Trust, Inc., Class A*+ | 110,300 | 426,861 | ||||||||
Gramercy Capital Corp.* | 383,600 | 1,162,308 | ||||||||
MPG Office Trust, Inc.*+ | 283,700 | 811,382 | ||||||||
One Liberty Properties, Inc. | 53,500 | 826,040 |
www.bridgeway.com | 38 |
Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Real Estate Investment Trusts (REITs) (continued) |
| |||||||||
Winthrop Realty Trust | 67,900 | $ 810,726 | ||||||||
|
| |||||||||
5,590,200 | ||||||||||
Road & Rail - 2.25% |
| |||||||||
Covenant Transportation | ||||||||||
Group, Inc., Class A* | 33,000 | 255,750 | ||||||||
Quality Distribution, Inc.* | 95,500 | 1,243,410 | ||||||||
Saia, Inc.* | 30,600 | 518,670 | ||||||||
Universal Truckload Services, Inc.* | 6,300 | 107,919 | ||||||||
|
| |||||||||
2,125,749 | ||||||||||
Semiconductors & Semiconductor Equipment - 2.14% |
| |||||||||
Amtech Systems, Inc.*+ | 47,500 | 980,400 | ||||||||
Cascade Microtech, Inc.* | 15,000 | 85,650 | ||||||||
Photronics, Inc.* | 112,200 | 950,334 | ||||||||
|
| |||||||||
2,016,384 | ||||||||||
Software - 1.42% |
| |||||||||
BSQUARE Corp.* | 53,600 | 336,072 | ||||||||
ePlus, Inc.* | 16,800 | 444,192 | ||||||||
Majesco Entertainment Co.*+ | 141,000 | 425,820 | ||||||||
QAD, Inc., Class B | 15,000 | 139,500 | ||||||||
|
| |||||||||
1,345,584 | ||||||||||
Specialty Retail - 4.54% |
| |||||||||
Christopher & Banks Corp. | 82,700 | 475,525 | ||||||||
Conn’s, Inc.*+ | 86,000 | 743,900 | ||||||||
Cost Plus, Inc.*# | 122,100 | 1,221,000 | ||||||||
Destination Maternity Corp. | 30,000 | 599,400 | ||||||||
TravelCenters of America LLC* | 46,200 | 251,790 | ||||||||
Winmark Corp. | 4,500 | 194,985 | ||||||||
Zale Corp.* | 142,300 | 796,880 | ||||||||
|
| |||||||||
4,283,480 | ||||||||||
Textiles, Apparel & Luxury Goods - 0.73% |
| |||||||||
Delta Apparel, Inc.* | 14,600 | 248,200 | ||||||||
DGSE Cos., Inc.* | 1,200 | 8,556 | ||||||||
Rocky Brands, Inc.* | 35,000 | 431,900 | ||||||||
|
| |||||||||
688,656 | ||||||||||
Thrifts & Mortgage Finance - 3.08% |
| |||||||||
BankFinancial Corp. | 27,800 | 235,466 | ||||||||
Beacon Federal Bancorp, Inc. | 7,000 | 96,740 | ||||||||
ESSA Bancorp, Inc. | 50,000 | 621,000 | ||||||||
First Financial Holdings, Inc. | 36,700 | 329,199 | ||||||||
First Pactrust Bancorp, Inc. | 37,000 | 549,820 | ||||||||
Meridian Interstate Bancorp, Inc.* | 35,500 | 485,995 |
Industry | Company | Shares | Value | |||||||||
Thrifts & Mortgage Finance (continued) |
| |||||||||||
Timberland Bancorp, Inc.* | 18,000 | $ 106,380 | ||||||||||
United Financial Bancorp, Inc. | 31,200 | 481,416 | ||||||||||
|
| |||||||||||
2,906,016 | ||||||||||||
Trading Companies & Distributors - 0.31% |
| |||||||||||
Houston Wire & Cable Co. | 18,900 | 293,895 | ||||||||||
Water Utilities - 0.60% |
| |||||||||||
Connecticut Water Service, Inc. | 22,000 | 562,760 | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCKS - 98.11% |
| 92,650,075 | ||||||||||
|
| |||||||||||
(Cost $77,853,703) |
| |||||||||||
Rate^ | Shares | Value | ||||||||||
MONEY MARKET FUND - 3.23% |
| |||||||||||
BlackRock FedFund | 0.01% | 3,051,044 | 3,051,044 | |||||||||
|
| |||||||||||
TOTAL MONEY MARKET FUND - 3.23% |
| 3,051,044 | ||||||||||
|
| |||||||||||
(Cost $3,051,044) | ||||||||||||
TOTAL INVESTMENTS - 101.34% | $95,701,119 | |||||||||||
(Cost $80,904,747) | ||||||||||||
Liabilities in Excess of Other Assets - (1.34%) |
| (1,267,583 | ) | |||||||||
|
| |||||||||||
NET ASSETS - 100.00% | $94,433,536 | |||||||||||
|
|
* | Non-income producing security. |
# | Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $1,082,610. |
^ | Rate disclosed as of June 30, 2011. |
D | Security was fair valued under procedures adopted by the Board of Directors (see Note 2). |
+ | This security or a portion of the security is out on loan at June 30, 2011. |
Total loaned securities had a value of $8,229,684 at June 30, 2011. |
LLC - Limited Liability Company
39 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued) |
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): |
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common | $ | 92,525,425 | $ | — | $ | 124,650 | $ | 92,650,075 | ||||||||
Money | — | 3,051,044 | — | 3,051,044 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 92,525,425 | $ | 3,051,044 | $ | 124,650 | $ | 95,701,119 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other | ||||||||||||||||
Swaps | $ | — | $ | 26,702 | $ | — | $ | 26,702 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 26,702 | $ | — | $ | 26,702 | ||||||||
|
|
|
|
|
|
|
| |||||||||
** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment. |
| |||||||||||||||
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: |
Investment in Securities (Value) | ||||
| ||||
Common Stocks | Total | |||
| ||||
Balance as of 06/30/2010 | $ — | $ — | ||
Purchases | — | — | ||
Sales | — | — | ||
Realized gain/(loss) | — | — | ||
Change in unrealized appreciation/ (depreciation)1 | (155,669) | (155,669) | ||
Transfers in2,3 | 280,319 | 280,319 | ||
Transfers out | — | — | ||
|
| |||
Balance as of 06/30/2011 | $ 124,650 | $ 124,650 | ||
|
| |||
Net change in unrealized appreciation (depreciation) from investments held as of 6/30/111 | $(155,669) | $(155,669) | ||
|
|
1 Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statements of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.
2 Transfers in represent the value as of the beginning of the year ended June 30, 2011, for any investment security where significant transfers in the pricing level occurred during the period. The purchase value is used in situations where the investment was not held as of the beginning of the period.
3 Transfer took place as a result of a trading halt.
The security in the table above was considered Level 3 security because it was fair valued under procedures adopted by the Board of Directors at June 30, 2011. Such valuation is based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.
See Notes to Financial Statements.
www.bridgeway.com | 40 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Ultra-Small Company Market Fund Shareholder,
Our Fund declined 2.85% for the quarter ended June 30, 2011, outperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-3.95%), and the Russell Microcap Index (-3.48%). The Fund did trail its peer benchmark, the Lipper Micro-Cap Stock Funds Index (-1.98%), as well as the Russell 2000 Index (-1.61%). In a typical down quarter where ultra-small stocks were the biggest negative performers, we are pleased to have outperformed the only index of similar sized companies, the CRSP Cap-Based Portfolio 10 Index, and the larger cap Russell Microcap Index.
For the fiscal year ended June 30, 2011, our Fund appreciated 32.22%, outperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+25.64%), but underperforming our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+35.47%), the Russell Microcap Index (+32.70%) and the Russell 2000 Index (+37.41%). While we don’t like trailing any of our benchmarks, ultra-small stocks were at a considerable disadvantage as compared to micro- and small-cap indices, as presented in the table on the following page. We were pleased to beat the CRSP Cap-Based Portfolio 10 Index, the only index of purely ultra-small size companies.
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 06/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date to 6/30/11 | ||||||
Ultra-Small Company Market Fund | -2.85% | 32.22% | -0.25% | 10.48% | 10.35% | |||||
CRSP Cap-Based Portfolio 10 Index | -3.95% | 25.64% | 4.13% | 12.70% | 11.14% | |||||
Russell Microcap Index | -3.48% | 32.70% | 0.55% | 5.59% | N/A | |||||
Russell 2000 Index (small companies) | -1.61% | 37.41% | 4.08% | 6.27% | 6.45% | |||||
Lipper Micro-Cap Stock Funds Index | -1.98% | 35.47% | 2.61% | 6.32% | 7.01% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above and the graph below include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,302 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Ultra-Small Company Market Fund ranked 44th of 69 micro-cap funds for the twelve months ending June 30, 2011, 50th of 60 over the last five years, 4th of 39 over the last ten years, and 8th of 23 since inception in July 1997. These long-term numbers and the graph below give two snapshots of our long-term success. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
41 | Annual Report | June 30, 2011 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY (continued) |
Ultra-Small Company Market Fund vs. CRSP 10 Index, Lipper Micro-Cap Stock Funds Index, Russell 2000 Index & Russell Microcap Index* from Inception 7/31/97 to 6/30/11
* | The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date. |
The Stock Market by Size:
The Short Version: Unlike the performance over the longer term, ultra-small stocks have lagged the micro-cap and small-cap size companies recently. Fortunately, our models, which seek to avoid ultra-small companies that might go out of business, helped offset some of this size disadvantage over the full fiscal year timeframe.
A significant determinant of our performance relative to most other Funds has to do with the size of the companies in which we invest. These are breathtakingly small companies. The table below shows that ultra-small stocks have been at a disadvantage to all other deciles for the June quarter, which is not unusual for a down quarter such as this one. The disadvantage was even worse for the fiscal year, as the 2nd through 9th deciles outperformed ultra-small stocks by at least nine percent. Nevertheless, our Fund was able to partially overcome this disadvantage in the quarter and fiscal year periods due to the success of our Fund’s risk screens, which seek to avoid companies that might become financially distressed or go into bankruptcy. We still believe in the long term return advantages of 10th decile stocks, as demonstrated by the far right hand column in the table below.
CRSP Decile1 | June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Years 7/1/06 to 6/30/11 | 10 Years to 6/30/11 | 85.5 Years 1/1/1926 to 6/30/11 | |||||
1 (ultra-large) | -0.36% | 28.14% | 2.74% | 1.80% | 9.11% | |||||
2 | 1.55% | 36.13% | 4.74% | 6.40% | 10.52% | |||||
3 | 0.32% | 43.42% | 5.97% | 7.10% | 10.96% | |||||
4 | 0.47% | 39.97% | 6.92% | 8.56% | 10.92% | |||||
5 | -0.70% | 44.83% | 9.18% | 9.25% | 11.49% | |||||
6 | -0.48% | 40.35% | 5.98% | 7.26% | 11.41% | |||||
7 | -1.63% | 41.92% | 6.62% | 8.30% | 11.41% | |||||
8 | -2.97% | 36.15% | 6.85% | 9.17% | 11.61% | |||||
9 | -3.01% | 35.10% | 5.51% | 8.74% | 11.65% | |||||
10 (ultra-small) | -3.95% | 25.64% | 4.13% | 12.70% | 13.20% |
1 | The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results. |
www.bridgeway.com | 42 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY (continued) |
Detailed Explanation of Quarterly Performance:
The Short Version: Good contributors were found in most sectors while Consumer Discretionary stocks led the worst contributors list.
Amid all the global uncertainties that have existed for the past three months (domestic labor, Japan earthquake repercussions, EU debt crisis part 2, US debt crisis part 1), plenty of winners can be found throughout the various industries. In fact, seven different sectors were represented in the list of top contributors for the quarter, highlighted by two holdings each from the Investment Technology, Materials, and Industrials sectors.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Intersections, Inc. | Commercial Services & Supplies | 0.2% | |||
2 | Globecomm Systems, Inc. | Communications Equipment | 0.2% | |||
3 | Zagg, Inc. | Chemicals | 0.2% | |||
4 | Oncothyreon, Inc. | Biotechnology | 0.2% | |||
5 | Mitcham Industries, Inc. | Energy Equipment & Services | 0.2% | |||
6 | Universal Stainless & Alloy | Metals & Mining | 0.1% | |||
7 | Central Vermont Public Service Corp. | Electric Utilities | 0.1% | |||
8 | Federal Agricultural Mortgage Corp. | Thrift & Mortgage Finance | 0.1% | |||
9 | Advanced Analogic Technologies, Inc. | Semiconductors & Semiconductor Equipment | 0.1% | |||
10 | Coleman Cable, Inc. | Electrical Equipment | 0.1% |
Biotech companies live and die by the success of their clinical trials. In partnership with Merck, biotech company Oncothyreon is developing Stimuvax, a treatment for non-small cell lung cancer. Stimuvax is now in Phase III of its study, and results are expected in the second half of 2011. Analysts are optimistic about prospects for success; 80% of those who cover Oncothyreon rate it a “buy.” The holding doubled in value during the three month period.
Four Consumer Discretionary companies made the list of worst contributors for the quarter, an indication that consumers remain reluctant to buy with the slowing recovery and uncertain labor picture. Two media companies (newspapers) are represented, inviting the question: Is the newspaper business dying a slow death?
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Cogo Group, Inc. | Communications Equipment | -0.2% | |||
2 | ISTA Pharmaceuticals, Inc. | Pharmaceuticals | -0.1% | |||
3 | Spartan Motors, Inc. | Auto Components | -0.1% | |||
4 | NIVS IntelliMedia Technology Group, Inc. | Household Durables | -0.1% | |||
5 | KVH Industries, Inc. | Communications Equipment | -0.1% | |||
6 | Mercer International, Inc. | Paper & Forest Products | -0.1% | |||
7 | Lee Enterprises, Inc. | Media | -0.1% | |||
8 | FSI International, Inc. | Semiconductors & Semiconductor Equipment | -0.1% | |||
9 | Media General, Inc. | Media | -0.1% | |||
10 | Greenbrier Cos., Inc. | Machinery | -0.1% |
Lee Enterprises owns and publishes about 50 newspapers throughout the country. The company has been hurt by the shift away from print versions to less profitable websites, as advertisers are not willing to pay as much for online publications. Most folks in the 18-34 age group, a key demographic, do not even read a daily paper. In April, the company appeared to be heading toward bankruptcy, but was able to refinance its existing debt through a new high-yield (junk) bond offering. While the move may have kept the doors open, it did not change the negative trend for the industry. In May, Lee reported a significant quarterly loss that management blamed on reduced advertising dollars due to a late Easter holiday. The holding declined almost 70% during the quarter.
43 | Annual Report | June 30, 2011 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY (continued) |
Detailed Explanation of Fiscal Year Performance
The Short Version: Information Technology was the story on both the best and worst contributors list.
Advances in Information Technology areas, such as cloud computing, have represented a boon for the innovators. Four IT companies made the best contributors list, and contributed almost two percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Intersections, Inc. | Commercial Services & Supplies | 0.7% | |||
2 | IDT Corp. | Diversified Telecommunication Services | 0.5% | |||
3 | Hawk Corp. | Aerospace & Defense | 0.5% | |||
4 | Web.com Group, Inc. | Internet Software & Services | 0.5% | |||
5 | Globecomm Systems, Inc. | Communications Equipment | 0.5% | |||
6 | Applied Signal Technology | Aerospace & Defense | 0.5% | |||
7 | Mitcham Industries, Inc. | Energy Equipment & Services | 0.5% | |||
8 | Measurement Specialties, Inc. | Electronic Equipment, Instruments & Components | 0.4% | |||
9 | Universal Stainless & Alloy | Metals & Mining | 0.4% | |||
10 | Amtech Systems, Inc. | Semiconductors & Semiconductor Equipment | 0.4% |
Better safe than sorry. These days, consumers are quite concerned about identity and credit theft. We buy more products online and enter credit card information and occasionally social security numbers. We surf the Net, and our personal data is shared with vendors (and perhaps some unscrupulous people). Intersections Inc. provides consumer protection services to help guard against such threats. During the fiscal year, the company announced new partnerships to help grow its subscription business. In June, it announced a strategic deal with Comcast to provide computer protection when users are shopping or banking online. In March, it forged an alliance with Harland Clarke, the check printing company with over 10,000 bank and credit union customers. Much of this progress is flowing through to the bottom line. Earnings have surged from last year’s levels, and the company continues to experience solid growth. In September 2010, Intersections began rewarding shareholders with an attractive quarterly dividend. Late in the fiscal year, the stock was added to both the Russell 3000 and 2000 Indexes, a move that should provide greater visibility to institutional investors. The holding surged over 300% during the 12-month period and was the top contributor to the Fund’s performance. It’s great to see fundamental corporate success rewarded in the stock price and the performance of our Fund.
While some analysts expected Information Technology to lead the domestic recovery as businesses upgrade outdated systems and processes, many companies continue to lag behind and continue to hold off on major purchases. Three IT stocks were among the biggest drags on Fund performance. Combined, these holdings cost the Fund over a quarter-of-a-percent in return for the fiscal year.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Media General, Inc. | Media | -0.3% | |||
2 | Tessco Technologies, Inc. | Electronic Equipment, Instruments & Components | -0.2% | |||
3 | Taylor Capital Group, Inc. | Commercial Banks | -0.2% | |||
4 | Comverge, Inc. | Electrical Equipment, Instruments & Components | -0.1% | |||
5 | Lionbridge Technologies, Inc. | IT Services | -0.1% | |||
6 | NIVS IntelliMedia Technology Group, Inc. | Household Durables | -0.1% | |||
7 | China Sky One Medical, Inc. | Pharmaceuticals | -0.1% | |||
8 | Pacer International, Inc. | Air Freight & Logistics | -0.1% | |||
9 | Hi-Tech Pharmacal Co., Inc. | Pharmaceuticals | -0.1% | |||
10 | Lee Enterprises, Inc. | Media | -0.1% |
www.bridgeway.com | 44 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY (continued) |
In 2009, Warren Buffet said “for most newspapers in the United States, we would not buy them at any price... They have the possibility of going to just unending losses.” Once again, Sir Warren is proving prophetic. Sales of print newspapers have been dropping dramatically, and advertisers have moved away from what was once their primary source of reaching the public. Late in 2010, Moody’s lowered its outlook for the domestic newspaper industry to negative (from stable). Media General, the owner of newspapers and TV stations primarily in small- and mid-size markets in the southeastern United States, has been feeling the pressure. In October, it posted a worse-than-expected quarterly loss and has had a very difficult time replacing lost print revenues with online or broadcasting sales. For the fiscal year, Media General dropped 60% and was the biggest drag on the Fund’s performance.
Top Ten Holdings as of June 30, 2011
Because this passively managed fund is designed to model the CRSP Cap-Based Portfolio 10 Index, no single company comprises too high a percentage of its assets. In fact, the top ten holdings represent about six percent of overall Fund net assets and no stock accounts for greater than one percent. Bear in mind, any stock with an allocation of greater than one-half-a-percent has appreciated in value as we never initiate any position in excess of that percentage.
Rank | Description | Industry | % of Net Assets | |||
1 | Globecomm Systems, Inc. | Communications Equipment | 0.9% | |||
2 | Federal Agricultural Mortgage Corp. | Thrifts & Mortgage Finance | 0.8% | |||
3 | Intersections, Inc. | Commercial Services & Supplies | 0.7% | |||
4 | Mitcham Industries, Inc. | Energy Equipment & Services | 0.7% | |||
5 | Actuate Corp. | Software | 0.6% | |||
6 | Measurement Specialties, Inc. | Electronic Equipment, Instruments & Components | 0.5% | |||
7 | AFC Enterprises, Inc. | Hotels, Restaurants & Leisure | 0.5% | |||
8 | Hurco Cos., Inc. | Machinery | 0.5% | |||
9 | Bolt Technology Corp. | Energy Equipment & Services | 0.5% | |||
10 | AEP Industries, Inc. | Containers & Packaging | 0.5% | |||
Total | 6.2% |
Industry Sector Representation as of June 30, 2011
As is inherent in the Fund’s design, no Fund sector allocation is far off from the Index sector allocation. In fact, they are all within one percent of the index.
% of Portfolio | % of CRSP 10 Index | Difference | ||||
Consumer Discretionary | 14.8% | 15.5% | -0.7% | |||
Consumer Staples | 3.4% | 4.2% | -0.8% | |||
Energy | 5.4% | 5.0% | 0.4% | |||
Financials | 22.7% | 22.9% | -0.2% | |||
Health Care | 17.1% | 17.6% | -0.5% | |||
Industrials | 12.4% | 12.2% | 0.2% | |||
Information Technology | 17.0% | 17.9% | -0.9% | |||
Materials | 3.5% | 2.9% | 0.6% | |||
Telecommunication Services | 0.9% | 0.5% | 0.4% | |||
Utilities | 1.1% | 1.3% | -0.2% | |||
Cash & Other Assets | 1.7% | 0.0% | 1.7% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or
45 | Annual Report | June 30, 2011 |
Ultra-Small Company Market Fund MANAGER’S COMMENTARY (continued) |
unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.
Conclusion
Thank you for your continued investment in Ultra-Small Company Market Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
www.bridgeway.com | 46 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 98.42% |
| |||||||||
Aerospace & Defense - 0.91% |
| |||||||||
Astronics Corp.* | 22,700 | $ | 699,160 | |||||||
Ducommun, Inc. | 19,100 | 392,887 | ||||||||
GenCorp, Inc.* | 152,600 | 979,692 | ||||||||
Innovative Solutions & Support, Inc.* | 63,454 | 347,093 | ||||||||
LMI Aerospace, Inc.* | 21,000 | 513,030 | ||||||||
Sparton Corp.* | 63,300 | 646,926 | ||||||||
|
| |||||||||
3,578,788 | ||||||||||
Air Freight & Logistics - 0.55% |
| |||||||||
Express-1 Expedited Solutions, Inc.* | 91,200 | 283,632 | ||||||||
Pacer International, Inc.* | 188,800 | 891,136 | ||||||||
Park-Ohio Holdings Corp.* | 46,000 | 972,440 | ||||||||
|
| |||||||||
2,147,208 | ||||||||||
Airlines - 0.18% |
| |||||||||
Pinnacle Airlines Corp.* | 77,759 | 353,026 | ||||||||
Republic Airways Holdings, Inc.* | 67,700 | 369,642 | ||||||||
|
| |||||||||
722,668 | ||||||||||
Auto Components - 1.00% |
| |||||||||
Amerigon, Inc.* | 42,200 | 733,436 | ||||||||
Motorcar Parts of America, Inc.* | 30,600 | 459,306 | ||||||||
Shiloh Industries, Inc. | 39,600 | 426,888 | ||||||||
Spartan Motors, Inc. | 334,600 | 1,806,840 | ||||||||
Strattec Security Corp. | 24,100 | 505,618 | ||||||||
|
| |||||||||
3,932,088 | ||||||||||
Beverages - 0.36% |
| |||||||||
Craft Brewers Alliance, Inc.* | 89,100 | 767,151 | ||||||||
MGP Ingredients, Inc. | 75,900 | 661,089 | ||||||||
|
| |||||||||
1,428,240 | ||||||||||
Biotechnology - 6.42% |
| |||||||||
Achillion Pharmaceuticals, Inc.* | 134,500 | 1,000,680 | ||||||||
ADVENTRX Pharmaceuticals, Inc.* | 92,500 | 278,425 | ||||||||
Affymax, Inc.* | 55,400 | 380,598 | ||||||||
Amicus Therapeutics, Inc.* | 115,991 | 688,987 | ||||||||
Anadys Pharmaceuticals, Inc.* | 99,705 | 100,702 | ||||||||
Arena Pharmaceuticals, Inc.*+ | 209,900 | 285,464 | ||||||||
ArQule, Inc.* | 131,300 | 820,625 | ||||||||
Array Biopharma, Inc.* | 160,100 | 358,624 | ||||||||
AVI BioPharma, Inc.*+ | 307,545 | 439,789 | ||||||||
BioCryst Pharmaceuticals, Inc.* | 90,894 | 347,215 |
Industry | Company | Shares | Value | |||||||
Biotechnology (continued) |
| |||||||||
BioSante Pharmaceuticals, Inc.*+ | 212,800 | $ | 585,200 | |||||||
BioSpecifics Technologies Corp.* | 12,500 | 280,000 | ||||||||
Biotime, Inc.*+ | 1,862 | 9,552 | ||||||||
Celldex Therapeutics, Inc.* | 71,400 | 253,470 | ||||||||
Curis, Inc.*+ | 363,100 | 1,299,898 | ||||||||
Cyclacel Pharmaceuticals, Inc.*+ | 188,139 | 253,988 | ||||||||
Cytori Therapeutics, Inc.*+ | 96,200 | 460,798 | ||||||||
Dusa Pharmaceuticals, Inc.* | 181,000 | 1,125,820 | ||||||||
Dyax Corp.* | 194,200 | 384,516 | ||||||||
GTx, Inc.*+ | 146,624 | 702,329 | ||||||||
Immunomedics, Inc.*+ | 129,000 | 525,030 | ||||||||
Infinity Pharmaceuticals, Inc.*+ | 56,200 | 464,212 | ||||||||
Ligand Pharmaceuticals, Inc., Class B* | 57,133 | 682,739 | ||||||||
Maxygen, Inc. | 49,850 | 272,680 | ||||||||
Myrexis, Inc.* | 98,700 | 353,346 | ||||||||
Nabi Biopharmaceuticals* | 156,100 | 839,818 | ||||||||
Neurocrine Biosciences, Inc.* | 157,600 | 1,268,680 | ||||||||
Novavax, Inc.*+ | 154,700 | 312,494 | ||||||||
Oncothyreon, Inc.*+ | 124,300 | 1,142,317 | ||||||||
Orexigen Therapeutics, Inc.*+ | 40,000 | 63,600 | ||||||||
Osiris Therapeutics, Inc.*+ | 52,000 | 402,480 | ||||||||
PharmAthene, Inc.*+ | 109,800 | 322,812 | ||||||||
Progenics Pharmaceuticals, Inc.* | 72,400 | 519,832 | ||||||||
PROLOR Biotech, Inc.*+ | 75,700 | 373,958 | ||||||||
Repligen Corp.* | 134,734 | 490,432 | ||||||||
Rexahn Pharmaceuticals, Inc.*+ | 131,500 | 163,060 | ||||||||
Sangamo Biosciences, Inc.*+ | 127,436 | 750,598 | ||||||||
Sciclone Pharmaceuticals, Inc.* | 174,307 | 1,052,814 | ||||||||
Spectrum Pharmaceuticals, Inc.*+ | 86,700 | 803,275 | ||||||||
SuperGen, Inc.* | 274,600 | 818,308 | ||||||||
Synta Pharmaceuticals Corp.* | 142,500 | 716,775 | ||||||||
Transcept Pharmaceuticals, Inc.*+ | 24,100 | 263,895 | ||||||||
Trimeris, Inc.* | 143,000 | 353,210 | ||||||||
Vanda Pharmaceuticals, Inc.*+ | 78,600 | 561,204 | ||||||||
Vical, Inc.* | 233,900 | 963,668 | ||||||||
Zalicus, Inc.*+ | 313,021 | 744,990 | ||||||||
|
| |||||||||
25,282,907 |
47 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Building Products - 0.34% |
| |||||||||
Builders FirstSource, Inc.* | 238,300 | $ | 512,345 | |||||||
Insteel Industries, Inc. | 34,000 | 426,360 | ||||||||
NCI Building Systems, Inc.* | 36,800 | 419,152 | ||||||||
|
| |||||||||
1,357,857 | ||||||||||
Capital Markets - 3.43% |
| |||||||||
Arlington Asset Investment Corp., Class A | 38,700 | 1,214,793 | ||||||||
Calamos Asset Management, Inc., Class A | 32,400 | 470,448 | ||||||||
Diamond Hill Investment Group, Inc. | 5,600 | 455,224 | ||||||||
Edelman Financial Group, Inc. | 51,000 | 402,390 | ||||||||
FBR & Co.* | 161,400 | 548,760 | ||||||||
Gladstone Capital Corp.+ | 76,600 | 707,784 | ||||||||
Gladstone Investment Corp. | 28,200 | 201,348 | ||||||||
Harris & Harris Group, Inc.* | 127,900 | 656,127 | ||||||||
HFF, Inc., Class A* | 56,300 | 849,567 | ||||||||
JMP Group, Inc. | 81,100 | 570,133 | ||||||||
Kohlberg Capital Corp.+ | 48,900 | 388,755 | ||||||||
Ladenburg Thalmann Financial Services, Inc.*+ | 493,000 | 680,340 | ||||||||
Main Street Capital Corp.+ | 50,000 | 947,500 | ||||||||
Medallion Financial Corp. | 86,711 | 845,432 | ||||||||
NGP Capital Resources Co. | 48,600 | 398,520 | ||||||||
PennantPark Investment Corp.+ | 129,100 | 1,447,211 | ||||||||
TICC Capital Corp.+ | 82,300 | 790,080 | ||||||||
Triangle Capital Corp. | 57,212 | 1,056,134 | ||||||||
Westwood Holdings Group, Inc. | 23,025 | 877,252 | ||||||||
|
| |||||||||
13,507,798 | ||||||||||
Chemicals - 1.28% |
| |||||||||
American Vanguard Corp. | 75,100 | 974,047 | ||||||||
Chase Corp. | 27,800 | 465,928 | ||||||||
KMG Chemicals, Inc. | 58,800 | 990,192 | ||||||||
Landec Corp.* | 124,900 | 824,340 | ||||||||
Senomyx, Inc.* | 49,300 | 253,402 | ||||||||
Zagg, Inc.*+ | 114,300 | 1,531,620 | ||||||||
|
| |||||||||
5,039,529 | ||||||||||
Commercial Banks - 11.07% |
| |||||||||
1st United Bancorp, Inc.* | 105,319 | 655,084 | ||||||||
Alliance Financial Corp. | 25,000 | 763,250 | ||||||||
American National Bankshares, Inc. | 20,700 | 380,673 | ||||||||
American River Bankshares* | 37,800 | 230,202 | ||||||||
Ameris Bancorp* | 88,600 | 785,882 |
Industry | Company | Shares | Value | |||||||
Commercial Banks (continued) |
| |||||||||
Arrow Financial Corp. | 16,200 | $ | 396,414 | |||||||
Bancorp, Inc. (The)* | 84,600 | 884,070 | ||||||||
BancTrust Financial Group, Inc.*+ | 69,000 | 177,330 | ||||||||
Bank of Commerce Holdings | 41,100 | 172,620 | ||||||||
Bank of Kentucky Financial Corp.+ | 9,000 | 200,430 | ||||||||
Banner Corp. | 44,959 | 786,783 | ||||||||
Bar Harbor Bankshares | 6,000 | 169,500 | ||||||||
Bridge Bancorp, Inc. | 17,300 | 368,144 | ||||||||
Bryn Mawr Bank Corp. | 41,724 | 844,911 | ||||||||
Camden National Corp. | 18,100 | 593,861 | ||||||||
Capital City Bank Group, Inc. | 60,500 | 620,730 | ||||||||
Center Bancorp, Inc.+ | 72,217 | 753,945 | ||||||||
Centerstate Banks, Inc. | 78,300 | 541,836 | ||||||||
Century Bancorp, Inc., Class A | 23,272 | 615,777 | ||||||||
Citizens Holding Co. | 20,670 | 403,065 | ||||||||
CNB Financial Corp. | 40,800 | 566,712 | ||||||||
CoBiz Financial, Inc.+ | 155,800 | 1,018,932 | ||||||||
Eagle Bancorp, Inc.* | 5,964 | 79,321 | ||||||||
Encore Bancshares, Inc.* | 19,600 | 235,592 | ||||||||
Enterprise Financial Services Corp. | 85,700 | 1,159,521 | ||||||||
Farmers Capital Bank Corp.* | 67,149 | 352,532 | ||||||||
Financial Institutions, Inc. | 66,487 | 1,091,717 | ||||||||
First Bancorp | 38,900 | 398,336 | ||||||||
First Bancorp, Inc. | 33,300 | 494,838 | ||||||||
First California Financial Group, Inc.* | 67,400 | 239,607 | ||||||||
First Community Bancshares, Inc. | 44,900 | 628,600 | ||||||||
First Merchants Corp. | 95,000 | 849,300 | ||||||||
First South Bancorp, Inc. | 14,300 | 61,061 | ||||||||
German American Bancorp, Inc. | 39,500 | 654,910 | ||||||||
Great Southern Bancorp, Inc. | 21,600 | 409,320 | ||||||||
Guaranty Bancorp* | 123,200 | 165,088 | ||||||||
Hampden Bancorp, Inc. | 33,000 | 437,910 | ||||||||
Hanmi Financial Corp.*+ | 337,200 | 360,804 | ||||||||
Heritage Commerce Corp.*+ | 144,000 | 735,840 | ||||||||
Heritage Financial Corp. | 74,000 | 956,820 | ||||||||
Home Bancorp, Inc.*+ | 41,600 | 615,264 | ||||||||
Lakeland Bancorp, Inc. | 97,860 | 976,643 | ||||||||
LNB Bancorp, Inc. | 20,000 | 114,400 | ||||||||
Macatawa Bank Corp.*+ | 103,000 | 284,795 |
www.bridgeway.com | 48 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Commercial Banks (continued) |
| |||||||||
MainSource Financial Group, Inc. | 81,700 | $ | 678,110 | |||||||
Merchants Bancshares, Inc. | 27,800 | 680,266 | ||||||||
Metro Bancorp, Inc.* | 27,800 | 317,476 | ||||||||
MidSouth Bancorp, Inc. | 42,696 | 581,947 | ||||||||
MidWestOne Financial Group, Inc.+ | 54,200 | 783,190 | ||||||||
National Bankshares, Inc.+ | 14,300 | 358,072 | ||||||||
NewBridge Bancorp* | 28,287 | 129,554 | ||||||||
Northrim BanCorp, Inc. | 33,300 | 631,701 | ||||||||
Ohio Valley Banc Corp. | 20,500 | 357,930 | ||||||||
OmniAmerican Bancorp, Inc.* | 23,400 | 350,298 | ||||||||
Pacific Continental Corp. | 105,100 | 961,665 | ||||||||
Peapack-Gladstone Financial Corp.+ | 39,130 | 460,951 | ||||||||
Penns Woods Bancorp, Inc. | 16,400 | 563,504 | ||||||||
Peoples Bancorp, Inc. | 28,400 | 320,068 | ||||||||
Preferred Bank* | 16,120 | 116,064 | ||||||||
QCR Holdings, Inc. | 13,200 | 117,744 | ||||||||
Republic First Bancorp, Inc.* | 76,300 | 168,623 | ||||||||
Sandy Spring Bancorp, Inc. | 27,600 | 496,524 | ||||||||
Seacoast Banking Corp. of Florida* | 337,300 | 505,950 | ||||||||
Shore Bancshares, Inc. | 70,733 | 491,594 | ||||||||
Sierra Bancorp | 78,600 | 889,752 | ||||||||
Southside Bancshares, Inc. | 62,021 | 1,231,117 | ||||||||
Southwest Bancorp, Inc.* | 47,000 | 460,130 | ||||||||
State Bancorp, Inc. | 95,900 | 1,279,306 | ||||||||
Sterling Bancorp | 41,900 | 397,631 | ||||||||
Suffolk Bancorp | 43,900 | 612,844 | ||||||||
Sun Bancorp, Inc.* | 30,895 | 112,767 | ||||||||
Taylor Capital Group, Inc.* | 48,300 | 394,128 | ||||||||
Tennessee Commerce Bancorp, Inc.* | 40,800 | 105,672 | ||||||||
Tower Bancorp, Inc. | 35,700 | 978,180 | ||||||||
Trico Bancshares | 46,979 | 685,893 | ||||||||
United Community Banks, Inc.*+ | 89,260 | 942,586 | ||||||||
Univest Corp. of Pennsylvania | 25,500 | 398,565 | ||||||||
Virginia Commerce Bancorp, Inc.* | 153,159 | 905,170 | ||||||||
Washington Banking Co. | 51,700 | 683,474 | ||||||||
West Bancorporation, Inc. | 27,100 | 238,751 | ||||||||
West Coast Bancorp* | 17,583 | 294,691 | ||||||||
Wilshire Bancorp, Inc.* | 184,200 | 541,548 | ||||||||
Yadkin Valley Financial Corp.* | �� | 64,200 | 134,178 | |||||||
|
| |||||||||
43,589,984 |
Industry | Company | Shares | Value | |||||||
Commercial Services & Supplies - 2.19% |
| |||||||||
Amrep Corp.* | 13,400 | $ | 122,878 | |||||||
APAC Customer Services, Inc.* | 265,500 | 1,415,115 | ||||||||
Casella Waste Systems, Inc., Class A* | 81,800 | 498,980 | ||||||||
CECO Environmental Corp.* | 61,600 | 415,184 | ||||||||
Courier Corp. | 25,000 | 276,250 | ||||||||
Fuel Tech, Inc.* | 62,700 | 415,701 | ||||||||
Heritage-Crystal Clean, Inc.* | 18,100 | 347,158 | ||||||||
Intersections, Inc. | 158,584 | 2,886,229 | ||||||||
M&F Worldwide Corp.* | 19,798 | 511,580 | ||||||||
Metalico, Inc.* | 110,800 | 653,720 | ||||||||
Multi-Color Corp. | 35,400 | 874,026 | ||||||||
Standard Register Co. (The) | 65,400 | 206,010 | ||||||||
|
| |||||||||
8,622,831 | ||||||||||
Communications Equipment - 3.45% |
| |||||||||
BigBand Networks, Inc.* | 259,858 | 563,892 | ||||||||
Cogo Group, Inc.* | 228,100 | 1,218,054 | ||||||||
Communications Systems, Inc. | 29,100 | 521,763 | ||||||||
Digi International, Inc.* | 67,239 | 874,107 | ||||||||
Emcore Corp.* | 296,300 | 811,862 | ||||||||
Globecomm Systems, Inc.* | 234,100 | 3,642,596 | ||||||||
KVH Industries, Inc.* | 106,700 | 1,134,221 | ||||||||
Numerex Corp., Class A* | 30,000 | 291,900 | ||||||||
Oplink Communications, Inc.* | 92,100 | 1,715,823 | ||||||||
Opnext, Inc.* | 281,000 | 640,680 | ||||||||
ORBCOMM, Inc.* | 67,000 | 209,710 | ||||||||
PC-Tel, Inc.* | 62,800 | 406,944 | ||||||||
ShoreTel, Inc.* | 59,000 | 601,800 | ||||||||
Telestone Technologies Corp.*+ | 32,800 | 204,016 | ||||||||
Westell Technologies, Inc., Class A* | 171,200 | 611,184 | ||||||||
ZST Digital Networks, Inc.*+ | 55,600 | 139,556 | ||||||||
|
| |||||||||
13,588,108 | ||||||||||
Computers & Peripherals - 1.22% |
| |||||||||
Concurrent Computer Corp.* | 55,300 | 346,178 | ||||||||
Cray, Inc.* | 101,200 | 647,680 | ||||||||
Datalink Corp.* | 54,800 | 380,860 | ||||||||
Dot Hill Systems Corp.* | 526,600 | 1,495,544 | ||||||||
Immersion Corp.* | 104,100 | 887,973 | ||||||||
TransAct Technologies, Inc.* | 89,350 | 1,045,395 | ||||||||
|
| |||||||||
4,803,630 |
49 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Construction & Engineering - 0.57% |
| |||||||||
Argan, Inc.*+ | 44,700 | $ | 453,258 | |||||||
Furmanite Corp.* | 75,400 | 598,676 | ||||||||
Northwest Pipe Co.* | 17,800 | 463,868 | ||||||||
Sterling Construction Co., Inc.* | 28,400 | 391,068 | ||||||||
UniTek Global Services, Inc.* | 44,200 | 349,622 | ||||||||
|
| |||||||||
2,256,492 | ||||||||||
Construction Materials - 0.06% |
| |||||||||
United States Lime & Minerals, Inc.* | 5,300 | 217,353 | ||||||||
Consumer Finance - 0.08% |
| |||||||||
First Marblehead Corp. (The)*+ | 185,600 | 328,512 | ||||||||
Containers & Packaging - 0.47% |
| |||||||||
AEP Industries, Inc.* | 63,000 | 1,838,970 | ||||||||
Distributors - 0.09% |
| |||||||||
Audiovox Corp., Class A* | 47,707 | 360,665 | ||||||||
Diversified Consumer Services - 0.79% |
| |||||||||
Carriage Services, Inc. | 81,100 | 459,837 | ||||||||
Collectors Universe | 69,460 | 1,028,703 | ||||||||
CPI Corp. | 30,700 | 403,705 | ||||||||
Learning Tree International, Inc. | 77,564 | 691,095 | ||||||||
Mac-Gray Corp. | 33,300 | 514,485 | ||||||||
|
| |||||||||
3,097,825 | ||||||||||
Diversified Financial Services - 0.72% |
| |||||||||
Asta Funding, Inc. | 142,300 | 1,193,897 | ||||||||
Encore Capital Group, Inc.* | 22,114 | 679,342 | ||||||||
Marlin Business Services Corp.* | 28,300 | 357,995 | ||||||||
Resource America, Inc., Class A | 100,700 | 591,109 | ||||||||
|
| |||||||||
2,822,343 | ||||||||||
Diversified Telecommunication Services - 0.89% |
| |||||||||
HickoryTech Corp. | 43,495 | 516,721 | ||||||||
IDT Corp., Class B | 48,667 | 1,314,982 | ||||||||
Otelco, Inc.+ | 28,600 | 530,530 | ||||||||
SureWest Communications | 42,000 | 702,240 | ||||||||
Warwick Valley Telephone Co. | 30,200 | 436,088 | ||||||||
|
| |||||||||
3,500,561 | ||||||||||
Electric Utilities - 0.39% |
| |||||||||
Central Vermont Public Service Corp. | 42,200 | 1,525,530 |
Industry | Company | Shares | Value | |||||||
Electrical Equipment - 0.95% |
| |||||||||
Active Power, Inc.* | 166,000 | $ | 406,700 | |||||||
Broadwind Energy, Inc.* | 193,900 | 281,155 | ||||||||
China BAK Battery, Inc.*+ | 179,200 | 180,992 | ||||||||
Coleman Cable, Inc.* | 77,000 | 1,131,130 | ||||||||
LSI Industries, Inc. | 70,500 | 559,770 | ||||||||
Magnetek, Inc.* | 188,311 | 342,726 | ||||||||
Ocean Power Technologies, Inc.* | 38,087 | 137,113 | ||||||||
PowerSecure International, Inc.* | 41,500 | 299,630 | ||||||||
UQM Technologies, Inc.*+ | 183,522 | 412,925 | ||||||||
|
| |||||||||
3,752,141 | ||||||||||
Electronic Equipment, Instruments & Components - 2.44% |
| |||||||||
Comverge, Inc.*+ | 85,700 | 254,529 | ||||||||
DDi Corp. | 83,600 | 797,544 | ||||||||
eMagin Corp.* | 56,300 | 341,741 | ||||||||
Gerber Scientific, Inc.* | 64,900 | 722,337 | ||||||||
IEC Electronics Corp.*+ | 64,500 | 422,475 | ||||||||
Iteris, Inc.* | 126,700 | 164,710 | ||||||||
LeCroy Corp.* | 56,000 | 674,240 | ||||||||
LoJack Corp.* | 44,100 | 192,276 | ||||||||
Measurement Specialties, Inc.* | 59,552 | 2,126,006 | ||||||||
Netlist, Inc.* | 117,900 | 242,874 | ||||||||
PAR Technology Corp.* | 49,000 | 187,180 | ||||||||
PC Connection, Inc.* | 30,000 | 248,400 | ||||||||
PC Mall, Inc.* | 78,700 | 612,286 | ||||||||
Pulse Electronics, Corp. | 109,800 | 485,316 | ||||||||
RadiSys Corp.* | 97,900 | 713,691 | ||||||||
Richardson Electronics, Ltd. | 52,011 | 706,830 | ||||||||
SMTC Corp.* | 99,300 | 203,565 | ||||||||
Zygo Corp.* | 39,200 | 518,224 | ||||||||
|
| |||||||||
9,614,224 | ||||||||||
Energy Equipment & Services - 1.95% |
| |||||||||
Bolt Technology Corp.* | 155,763 | 1,931,461 | ||||||||
Dawson Geophysical Co.* | 8,200 | 280,030 | ||||||||
ENGlobal Corp.* | 34,761 | 105,326 | ||||||||
Geokinetics, Inc.* | 82,300 | 648,524 | ||||||||
Mitcham Industries, Inc.* | 161,700 | 2,797,410 | ||||||||
OYO Geospace Corp.* | 7,900 | 790,000 | ||||||||
TGC Industries, Inc.* | 117,000 | 747,630 | ||||||||
Union Drilling, Inc.* | 37,100 | 381,759 | ||||||||
|
| |||||||||
7,682,140 | ||||||||||
Food & Staples Retailing - 0.50% |
| |||||||||
Arden Group, Inc., Class A | 5,500 | 506,110 | ||||||||
Susser Holdings Corp.* | 48,900 | 768,708 |
www.bridgeway.com | 50 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Food & Staples Retailing (continued) |
| |||||||||
Village Super Market, Inc., Class A | 24,600 | $ | 681,666 | |||||||
|
| |||||||||
1,956,484 | ||||||||||
Food Products - 1.87% |
| |||||||||
AgFeed Industries, Inc.*+ | 205,801 | 249,019 | ||||||||
Alico, Inc. | 21,000 | 538,020 | ||||||||
American Lorain Corp.*+ | 81,200 | 121,800 | ||||||||
Feihe International, Inc.*+ | 24,700 | 178,581 | ||||||||
Griffin Land & Nurseries, Inc. | 19,300 | 627,057 | ||||||||
HQ Sustainable Maritime Industries, Inc.*D+ | 84,300 | 234,354 | ||||||||
Imperial Sugar Co. | 48,100 | 962,000 | ||||||||
Lifeway Foods, Inc.*+ | 156,302 | 1,747,457 | ||||||||
Omega Protein Corp.* | 33,100 | 456,780 | ||||||||
Overhill Farms, Inc.* | 102,100 | 566,655 | ||||||||
Reddy Ice Holdings, Inc.* | 169,000 | 474,890 | ||||||||
SkyPeople Fruit Juice, Inc.*+ | 63,200 | 168,744 | ||||||||
Smart Balance, Inc.* | 200,500 | 1,038,590 | ||||||||
|
| |||||||||
7,363,947 | ||||||||||
Gas Utilities - 0.21% |
| |||||||||
Chesapeake Utilities Corp. | 15,906 | 636,717 | ||||||||
Gas Natural, Inc. | 15,900 | 183,645 | ||||||||
|
| |||||||||
820,362 | ||||||||||
Health Care Equipment & Supplies - 3.82% |
| |||||||||
Alphatec Holdings, Inc.* | 164,740 | 573,295 | ||||||||
Anika Therapeutics, Inc.* | 98,639 | 702,310 | ||||||||
Antares Pharma, Inc.*+ | 197,000 | 435,370 | ||||||||
AtriCure, Inc.* | 133,200 | 1,718,280 | ||||||||
Atrion Corp. | 2,448 | 484,214 | ||||||||
Cardica, Inc.* | 75,300 | 206,322 | ||||||||
Cardiovascular Systems, Inc.* | 38,500 | 560,560 | ||||||||
Cerus Corp.* | 193,304 | 579,912 | ||||||||
CryoLife, Inc.* | 261,470 | 1,464,232 | ||||||||
IRIS International, Inc.* | 44,100 | 440,559 | ||||||||
Kensey Nash Corp.* | 16,800 | 423,864 | ||||||||
Medical Action Industries, Inc.* | 27,700 | 225,755 | ||||||||
Palomar Medical Technologies, Inc.* | 74,300 | 838,104 | ||||||||
Rockwell Medical Technologies, Inc.*+ | 72,100 | 925,764 | ||||||||
RTI Biologics, Inc.* | 125,000 | 338,750 | ||||||||
Solta Medical, Inc.* | 158,400 | 437,184 | ||||||||
Spectranetics Corp.* | 54,948 | 341,777 | ||||||||
Stereotaxis, Inc.* | 100,600 | 353,106 | ||||||||
Synovis Life Technologies, Inc.* | 40,100 | 698,542 |
Industry | Company | Shares | Value | |||||||
Health Care Equipment & Supplies (continued) |
| |||||||||
Theragenics Corp.* | 151,900 | $ | 267,344 | |||||||
TranS1, Inc.* | 129,500 | 590,520 | ||||||||
Utah Medical Products, Inc. | 49,900 | 1,310,374 | ||||||||
Vascular Solutions, Inc.* | 49,300 | 611,320 | ||||||||
Young Innovations, Inc. | 18,126 | 516,953 | ||||||||
|
| |||||||||
15,044,411 | ||||||||||
Health Care Providers & Services - 3.32% |
| |||||||||
Allied Healthcare International, Inc.* | 222,800 | 554,772 | ||||||||
Almost Family, Inc.* | 11,600 | 317,840 | ||||||||
American Dental Partners, Inc.* | 32,400 | 419,904 | ||||||||
Capital Senior Living Corp.* | 129,000 | 1,198,410 | ||||||||
Chindex International, Inc.*+ | 121,200 | 1,650,744 | ||||||||
Continucare Corp.* | 120,100 | 742,218 | ||||||||
Five Star Quality Care, Inc.* | 121,600 | 706,496 | ||||||||
LCA -Vision, Inc.* | 123,000 | 587,940 | ||||||||
Medcath Corp.* | 43,400 | 589,806 | ||||||||
Metropolitan Health Networks, Inc.* | 268,400 | 1,285,636 | ||||||||
National Research Corp. | 25,500 | 931,515 | ||||||||
Providence Service Corp. (The)* | 115,200 | 1,457,280 | ||||||||
RadNet, Inc.* | 176,300 | 775,720 | ||||||||
Sunrise Senior Living, Inc.* | 85,695 | 816,673 | ||||||||
U.S. Physical Therapy, Inc. | 42,000 | 1,038,660 | ||||||||
|
| |||||||||
13,073,614 | ||||||||||
Health Care Technology - 0.43% |
| |||||||||
HealthStream, Inc.* | 61,500 | 816,105 | ||||||||
Transcend Services, Inc.* | 30,000 | 881,700 | ||||||||
|
| |||||||||
1,697,805 | ||||||||||
Hotels, Restaurants & Leisure - 3.50% |
| |||||||||
AFC Enterprises, Inc.* | 127,732 | 2,101,191 | ||||||||
Benihana, Inc., Class A* | 26,200 | 274,838 | ||||||||
Bluegreen Corp.* | 131,703 | 385,890 | ||||||||
Caribou Coffee Co., Inc.* | 79,600 | 1,053,904 | ||||||||
Carrols Restaurant Group, Inc.* | 78,100 | 815,364 | ||||||||
Dover Downs Gaming & Entertainment, Inc. | 9,637 | 30,839 | ||||||||
Einstein Noah Restaurant Group, Inc. | 49,100 | 735,027 | ||||||||
Famous Dave’s of America, Inc.* | 158,800 | 1,589,588 | ||||||||
Full House Resorts, Inc.* | 60,700 | 192,419 | ||||||||
Gaming Partners International Corp. | 56,300 | 401,982 | ||||||||
Great Wolf Resorts, Inc.* | 164,300 | 499,472 | ||||||||
Jamba, Inc.* | 204,454 | 437,532 |
51 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||||
Luby’s, Inc.* | 73,600 | $ | 406,272 | |||||||
McCormick & Schmick’s Seafood Restaurants, Inc.* | 95,000 | 816,050 | ||||||||
Monarch Casino & Resort, Inc.* | 48,685 | 508,271 | ||||||||
Morgans Hotel Group Co.* | 84,300 | 606,117 | ||||||||
Morton’s Restaurant Group, Inc.* | 64,200 | 464,808 | ||||||||
Multimedia Games Holding Co., Inc.* | 119,300 | 542,815 | ||||||||
Nathan’s Famous, Inc.* | 12,000 | 226,440 | ||||||||
O’Charleys, Inc.* | 54,900 | 401,319 | ||||||||
Premier Exhibitions, Inc.* | 142,500 | 247,950 | ||||||||
Ruth’s Hospitality Group, Inc.* | 86,700 | 486,387 | ||||||||
Town Sports International Holdings, Inc.* | 76,387 | 581,305 | ||||||||
|
| |||||||||
13,805,780 | ||||||||||
Household Durables - 1.52% |
| |||||||||
Bassett Furniture Industries, Inc. | 74,200 | 584,696 | ||||||||
Brookfield Residential Properties, Inc.* | 35,491 | 352,071 | ||||||||
Cavco Industries, Inc.* | 17,500 | 787,500 | ||||||||
Emerson Radio Corp.* | 219,300 | 451,758 | ||||||||
Furniture Brands International, Inc.* | 95,000 | 393,300 | ||||||||
Kid Brands, Inc.* | 83,400 | 430,344 | ||||||||
Libbey, Inc.* | 36,825 | 597,301 | ||||||||
Lifetime Brands, Inc. | 63,300 | 743,142 | ||||||||
M/I Homes, Inc.* | 55,500 | 680,430 | ||||||||
NIVS IntelliMedia Technology Group, Inc.*+ | 206,300 | 72,205 | ||||||||
Sealy Corp.* | 230,800 | 583,924 | ||||||||
Skyline Corp. | 17,300 | 302,750 | ||||||||
|
| |||||||||
5,979,421 | ||||||||||
Household Products - 0.11% |
| |||||||||
Oil-Dri Corp. of America | 19,800 | 424,116 | ||||||||
Independent Power Producers & Energy Traders - 0.13% |
| |||||||||
Synthesis Energy Systems, Inc.*+ | 272,471 | 509,521 | ||||||||
Insurance - 1.71% |
| |||||||||
eHealth, Inc.* | 46,800 | 625,248 | ||||||||
First Acceptance Corp.* | 111,700 | 206,645 | ||||||||
Hallmark Financial Services, Inc.* | 80,800 | 635,896 |
Industry | Company | Shares | Value | |||||||
Insurance (continued) |
| |||||||||
Independence Holding Co.+ | 59,700 | $ | 623,268 | |||||||
Meadowbrook Insurance Group, Inc. | 185,200 | 1,835,332 | ||||||||
Presidential Life Corp. | 44,000 | 459,360 | ||||||||
SeaBright Holdings, Inc. | 59,400 | 588,060 | ||||||||
Stewart Information Services Corp. | 93,300 | 935,799 | ||||||||
Universal Insurance Holdings, Inc.+ | 174,200 | 813,514 | ||||||||
|
| |||||||||
6,723,122 | ||||||||||
Internet & Catalog Retail - 0.94% |
| |||||||||
1-800-Flowers.com, Inc., Class A* | 170,000 | 527,000 | ||||||||
dELiA’s, Inc.* | 118,900 | 186,673 | ||||||||
Gaiam, Inc., Class A | 38,200 | 189,854 | ||||||||
Geeknet, Inc.* | 16,608 | 443,766 | ||||||||
US Auto Parts Network, Inc.* | 100,900 | 772,894 | ||||||||
ValueVision Media, Inc., Class A* | 206,986 | 1,583,443 | ||||||||
|
| |||||||||
3,703,630 | ||||||||||
Internet Software & Services - 1.83% |
| |||||||||
Globalscape, Inc.* | 118,975 | 255,796 | ||||||||
Internap Network Services Corp.* | 82,900 | 609,315 | ||||||||
Keynote Systems, Inc. | 44,400 | 960,372 | ||||||||
Marchex, Inc., Class B | 70,400 | 625,152 | ||||||||
Stamps.com, Inc. | 39,700 | 529,598 | ||||||||
Support.com, Inc.* | 360,650 | 1,731,120 | ||||||||
TheStreet.com, Inc. | 120,000 | 368,400 | ||||||||
Web.com Group, Inc.* | 95,252 | 1,173,505 | ||||||||
Zix Corp.* | 251,982 | 967,611 | ||||||||
|
| |||||||||
7,220,869 | ||||||||||
IT Services - 2.13% |
| |||||||||
Ciber, Inc.* | 121,800 | 675,990 | ||||||||
Computer Task Group, Inc.* | 92,400 | 1,216,908 | ||||||||
Dynamics Research Corp.* | 24,558 | 334,971 | ||||||||
Echo Global Logistics, Inc.*+ | 35,200 | 624,800 | ||||||||
Hackett Group, Inc. (The)* | 126,389 | 643,320 | ||||||||
Lionbridge Technologies, Inc.* | 316,595 | 1,006,772 | ||||||||
MoneyGram International, Inc.* | 454,600 | 1,509,272 | ||||||||
Ness Technologies, Inc.* | 157,500 | 1,192,275 | ||||||||
PRGX Global, Inc.* | 50,300 | 359,645 |
www.bridgeway.com | 52 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
IT Services (continued) |
| |||||||||
Virtusa Corp.* | 43,900 | $ | 831,905 | |||||||
|
| |||||||||
8,395,858 | ||||||||||
Leisure Equipment & Products - 0.75% |
| |||||||||
Arctic Cat, Inc.* | 55,500 | 745,365 | ||||||||
Black Diamond, Inc.* | 62,800 | 494,864 | ||||||||
Johnson Outdoors, Inc., Class A* | 34,800 | 595,776 | ||||||||
Marine Products Corp.*+ | 66,400 | 446,208 | ||||||||
Sturm Ruger & Co., Inc. | 31,400 | 689,230 | ||||||||
|
| |||||||||
2,971,443 | ||||||||||
Life Sciences Tools & Services - 0.96% |
| |||||||||
BioClinica, Inc.* | 77,100 | 383,958 | ||||||||
Caliper Life Sciences, Inc.* | 98,100 | 795,591 | ||||||||
Cambrex Corp.* | 104,100 | 480,942 | ||||||||
Enzo Biochem, Inc.* | 71,900 | 305,575 | ||||||||
Harvard Bioscience, Inc.* | 162,817 | 867,815 | ||||||||
Kendle International, Inc.* | 29,500 | 444,860 | ||||||||
Medtox Scientific, Inc. | 29,000 | 506,630 | ||||||||
|
| |||||||||
3,785,371 | ||||||||||
Machinery - 4.00% |
| |||||||||
Alamo Group, Inc. | 21,800 | 516,660 | ||||||||
Ampco-Pittsburgh Corp. | 26,600 | 623,770 | ||||||||
Commercial Vehicle Group, Inc.* | 66,900 | 949,311 | ||||||||
Dynamic Materials Corp. | 34,000 | 762,280 | ||||||||
Energy Recovery, Inc.*+ | 117,000 | 382,590 | ||||||||
Flow International Corp.* | 210,551 | 749,562 | ||||||||
Graham Corp. | 59,500 | 1,213,800 | ||||||||
Greenbrier Cos., Inc.* | 43,600 | 861,536 | ||||||||
Hardinge, Inc. | 31,300 | 341,483 | ||||||||
Hurco Cos., Inc.* | 60,234 | 1,940,137 | ||||||||
Kadant, Inc.* | 37,800 | 1,191,078 | ||||||||
Key Technology, Inc.* | 17,600 | 284,592 | ||||||||
L.S. Starrett Co., Class A | 29,200 | 299,300 | ||||||||
Lydall, Inc.* | 74,200 | 887,432 | ||||||||
Met-Pro Corp. | 40,200 | 457,476 | ||||||||
Miller Industries, Inc. | 32,600 | 609,294 | ||||||||
NN, Inc.* | 39,100 | 584,936 | ||||||||
PMFG, Inc.*+ | �� | 72,000 | 1,429,200 | |||||||
Twin Disc, Inc. | 29,600 | 1,143,448 | ||||||||
Xerium Technologies, Inc.*+ | 29,200 | 541,660 | ||||||||
|
| |||||||||
15,769,545 | ||||||||||
Marine - 0.11% |
| |||||||||
International Shipholding Corp. | 19,900 | 423,472 | ||||||||
Media - 2.12% |
| |||||||||
A.H. Belo Corp., Class A | 51,100 | 380,184 |
Industry | Company | Shares | Value | |||||||
Media (continued) |
| |||||||||
Carmike Cinemas, Inc.* | 51,800 | $ | 357,938 | |||||||
Cumulus Media, Inc., Class A*+ | 98,700 | 345,450 | ||||||||
Entravision Communications Corp., Class A* | 209,800 | 388,130 | ||||||||
Fisher Communications, Inc.* | 25,200 | 751,464 | ||||||||
Global Traffic Network, Inc.* | 73,874 | 848,812 | ||||||||
Gray Television, Inc.* | 257,200 | 679,008 | ||||||||
Knology, Inc.* | 70,053 | 1,040,287 | ||||||||
Lee Enterprises, Inc.*+ | 192,300 | 171,147 | ||||||||
McClatchy Co., Class A (The)*+ | 173,000 | 486,130 | ||||||||
Media General, Inc., Class A*+ | 134,170 | 512,530 | ||||||||
Navarre Corp.* | 275,500 | 542,735 | ||||||||
Outdoor Channel Holdings, Inc.* | 48,800 | 333,792 | ||||||||
PRIMEDIA, Inc. | 184,137 | 1,298,166 | ||||||||
Saga Communications, Inc., Class A* | 5,604 | 207,348 | ||||||||
|
| |||||||||
8,343,121 | ||||||||||
Metals & Mining - 1.15% |
| |||||||||
China Direct Industries, Inc.*+ | 163,410 | 155,240 | ||||||||
Friedman Industries, Inc. | 67,000 | 717,570 | ||||||||
General Steel Holdings, Inc.*+ | 67,000 | 99,830 | ||||||||
Great Northern Iron Ore Properties+ | 7,700 | 798,336 | ||||||||
Mines Management, Inc.*+ | 6,200 | 13,082 | ||||||||
Paramount Gold & Silver Corp.*+ | 213,300 | 695,358 | ||||||||
Synalloy Corp. | 19,400 | 263,258 | ||||||||
Universal Stainless & Alloy* | 38,500 | 1,800,260 | ||||||||
|
| |||||||||
4,542,934 | ||||||||||
Multiline Retail - 0.28% |
| |||||||||
Bon-Ton Stores, Inc. (The)+ | 45,950 | 446,634 | ||||||||
Duckwall-ALCO Stores, Inc.* | 7,000 | 74,200 | ||||||||
Tuesday Morning Corp.* | 126,500 | 588,225 | ||||||||
|
| |||||||||
1,109,059 | ||||||||||
Oil, Gas & Consumable Fuels - 3.46% |
| |||||||||
Adams Resources & Energy, Inc. | 22,300 | 568,650 | ||||||||
Callon Petroleum Co.* | 179,700 | 1,261,494 | ||||||||
Cheniere Energy, Inc.* | 119,900 | 1,098,284 | ||||||||
CREDO Petroleum Corp.* | 25,300 | 237,061 | ||||||||
Crimson Exploration, Inc.* | 123,700 | 439,135 |
53 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||
Double Eagle Petroleum Co.* | 77,200 | $ | 674,728 | |||||||
Endeavour International Corp.* | 67,272 | 1,013,789 | ||||||||
Evolution Petroleum Corp.* | 110,000 | 781,000 | ||||||||
FX Energy, Inc.* | 105,800 | 928,924 | ||||||||
GMX Resources, Inc.*+ | 62,700 | 279,015 | ||||||||
HKN, Inc.* | 74,134 | 169,025 | ||||||||
Miller Energy Resources, Inc.*+ | 143,800 | 920,320 | ||||||||
Panhandle Oil & Gas, Inc., Class A | 23,797 | 701,774 | ||||||||
PostRock Energy Corp.* | 76,200 | 444,246 | ||||||||
Pyramid Oil Co.*+ | 69,800 | 328,060 | ||||||||
RAM Energy Resources, Inc.*+ | 464,200 | 580,250 | ||||||||
REX American Resources Corp.* | 66,249 | 1,099,733 | ||||||||
Triangle Petroleum Corp.*+ | 57,600 | 372,096 | ||||||||
Uranerz Energy Corp.*+ | 91,181 | 275,367 | ||||||||
Uranium Energy Corp.*+ | 133,100 | 407,286 | ||||||||
Westmoreland Coal Co.* | 59,675 | 1,059,231 | ||||||||
|
| |||||||||
13,639,468 | ||||||||||
Paper & Forest Products - 0.54% |
| |||||||||
Mercer International, Inc.* | 119,400 | 1,203,552 | ||||||||
Neenah Paper, Inc. | 30,000 | 638,400 | ||||||||
Verso Paper Corp.* | 103,400 | 277,112 | ||||||||
|
| |||||||||
2,119,064 | ||||||||||
Personal Products - 0.54% |
| |||||||||
American Oriental Bioengineering, Inc.*+ | 87,000 | 96,570 | ||||||||
CCA Industries, Inc. | 14,100 | 85,446 | ||||||||
Female Health Co. (The)+ | 43,200 | 216,000 | ||||||||
Natural Alternatives International, Inc.* | 17,500 | 84,350 | ||||||||
Nutraceutical International Corp.* | 35,800 | 550,604 | ||||||||
Physicians Formula Holdings, Inc.* | 101,000 | 404,000 | ||||||||
Schiff Nutrition International, Inc. | 62,758 | 702,262 | ||||||||
|
| |||||||||
2,139,232 | ||||||||||
Pharmaceuticals - 2.13% |
| |||||||||
Adolor Corp.* | 119,947 | 238,694 | ||||||||
Akorn, Inc.* | 132,502 | 927,514 | ||||||||
China Pharma Holdings, Inc.*+ | 51,031 | 114,820 | ||||||||
Columbia Laboratories, Inc.* | 254,300 | 785,787 | ||||||||
Depomed, Inc.* | 173,300 | 1,417,594 |
Industry | Company | Shares | Value | |||||||
Pharmaceuticals (continued) |
| |||||||||
Durect Corp.* | 214,640 | $ | 435,719 | |||||||
ISTA Pharmaceuticals, Inc.* | 200,800 | 1,535,116 | ||||||||
Neostem, Inc.*+ | 123,500 | 182,780 | ||||||||
Obagi Medical Products, Inc.* | 56,000 | 528,080 | ||||||||
Pain Therapeutics, Inc.* | 19,853 | 76,831 | ||||||||
Pozen, Inc.* | 76,200 | 320,040 | ||||||||
Santarus, Inc.* | 143,872 | 484,849 | ||||||||
Sucampo Pharmaceuticals, Inc., Class A* | 104,000 | 426,400 | ||||||||
Tianyin Pharmaceutical Co., Inc.* | 65,400 | 94,830 | ||||||||
XenoPort, Inc.* | 116,000 | 825,920 | ||||||||
|
| |||||||||
8,394,974 | ||||||||||
Professional Services - 1.22% |
| |||||||||
Barrett Business Services, Inc. | 31,600 | 452,512 | ||||||||
CRA International, Inc.* | 27,200 | 736,848 | ||||||||
GP Strategies Corp.* | 76,500 | 1,044,990 | ||||||||
Hill International, Inc.* | 10,567 | 60,866 | ||||||||
Hudson Highland Group, Inc.* | 101,700 | 544,095 | ||||||||
National Technical Systems, Inc. | 20,092 | 137,228 | ||||||||
On Assignment, Inc.* | 187,000 | 1,838,210 | ||||||||
|
| |||||||||
4,814,749 | ||||||||||
Real Estate Management & Development - 0.51% |
| |||||||||
Consolidated-Tomoka Land Co. | 43,800 | 1,252,680 | ||||||||
Stratus Properties, Inc.* | 17,300 | 231,820 | ||||||||
Thomas Properties Group, Inc.* | 162,800 | 522,588 | ||||||||
|
| |||||||||
2,007,088 | ||||||||||
Road & Rail - 0.49% |
| |||||||||
Covenant Transportation Group, Inc., Class A* | 42,700 | 330,925 | ||||||||
Quality Distribution, Inc.* | 88,000 | 1,145,760 | ||||||||
Saia, Inc.* | 25,900 | 439,005 | ||||||||
|
| |||||||||
1,915,690 | ||||||||||
Semiconductors & Semiconductor Equipment - 3.20% |
| |||||||||
Advanced Analogic Technologies, Inc.* | 200,000 | 1,211,000 | ||||||||
Amtech Systems, Inc.*+ | 80,046 | 1,652,149 | ||||||||
AuthenTec, Inc.* | 394,200 | 1,087,992 | ||||||||
AXT, Inc.* | 80,000 | 678,400 | ||||||||
FSI International, Inc.* | 225,400 | 617,596 | ||||||||
GSI Technology, Inc.* | 201,417 | 1,450,202 |
www.bridgeway.com | 54 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||||
Integrated Silicon Solution, Inc.* | 149,741 | $ | 1,447,996 | |||||||
Kopin Corp.* | 214,143 | 1,008,614 | ||||||||
Nanometrics, Inc.* | 39,200 | 744,408 | ||||||||
PDF Solutions, Inc.* | 103,400 | 616,264 | ||||||||
Pericom Semiconductor Corp.* | 57,700 | 515,838 | ||||||||
Photronics, Inc.* | 81,070 | 686,663 | ||||||||
QuickLogic Corp.* | 95,100 | 320,487 | ||||||||
Rudolph Technologies, Inc.* | 52,600 | 563,346 | ||||||||
|
| |||||||||
12,600,955 | ||||||||||
Software - 2.73% |
| |||||||||
Actuate Corp.* | 410,030 | 2,398,675 | ||||||||
American Software, Inc., Class A | 60,700 | 504,417 | ||||||||
Callidus Software, Inc.*+ | 109,200 | 638,820 | ||||||||
China TransInfo Technology Corp.*+ | 67,568 | 250,002 | ||||||||
DemandTec, Inc.* | 51,600 | 469,560 | ||||||||
Digimarc Corp.* | 23,100 | 809,193 | ||||||||
ePlus, Inc.* | 19,559 | 517,140 | ||||||||
Glu Mobile, Inc.*# | 140,500 | 740,435 | ||||||||
Guidance Software, Inc.* | 63,000 | 513,450 | ||||||||
Magma Design Automation, Inc.* | 208,365 | 1,664,836 | ||||||||
PROS Holdings, Inc.* | 46,900 | 820,281 | ||||||||
QAD, Inc., Class A | 30,800 | 314,776 | ||||||||
QAD, Inc., Class B | 7,700 | 71,610 | ||||||||
SRS Labs, Inc.* | 54,400 | 521,696 | ||||||||
TeleCommunication Systems, Inc., Class A* | 106,600 | 514,878 | ||||||||
|
| |||||||||
10,749,769 | ||||||||||
Specialty Retail - 2.89% |
| |||||||||
A.C. Moore Arts & Crafts, Inc.* | 80,100 | 200,250 | ||||||||
America’s Car-Mart, Inc.* | 30,000 | 990,000 | ||||||||
Casual Male Retail Group, Inc.* | 163,100 | 676,865 | ||||||||
China Auto Logistics, Inc.*+ | 20,582 | 24,287 | ||||||||
Christopher & Banks Corp. | 100,200 | 576,150 | ||||||||
Cost Plus, Inc.* | 79,800 | 798,000 | ||||||||
Destination Maternity Corp. | 45,400 | 907,092 | ||||||||
Haverty Furniture Cos., Inc. | 33,500 | 385,585 | ||||||||
Hot Topic, Inc. | 184,558 | 1,373,111 | ||||||||
Lithia Motors, Inc., Class A | 55,500 | 1,089,465 | ||||||||
MarineMax, Inc.* | 68,200 | 597,432 | ||||||||
New York & Co., Inc.* | 156,100 | 772,695 | ||||||||
Shoe Carnival, Inc.* | 22,400 | 675,360 | ||||||||
TravelCenters of America LLC* | 76,200 | 415,290 |
Industry | Company | Shares | Value | |||||||
Specialty Retail (continued) |
| |||||||||
West Marine, Inc.* | 37,200 | $ | 385,764 | |||||||
Winmark Corp. | 10,200 | 441,966 | ||||||||
Zale Corp.* | 190,200 | 1,065,120 | ||||||||
|
| |||||||||
11,374,432 | ||||||||||
Textiles, Apparel & Luxury Goods - 0.94% |
| |||||||||
Alpha PRO Tech, Ltd.*+ | 10,500 | 12,285 | ||||||||
Charles & Colvard, Ltd.*+ | 60,900 | 166,866 | ||||||||
Cherokee, Inc. | 20,100 | 344,916 | ||||||||
Culp, Inc.* | 51,016 | 479,040 | ||||||||
Kenneth Cole Productions, Inc., Class A* | 33,600 | 419,664 | ||||||||
LaCrosse Footwear, Inc. | 13,729 | 198,247 | ||||||||
Perry Ellis International, Inc.* | 40,100 | 1,012,525 | ||||||||
Rocky Brands, Inc.* | 52,200 | 644,148 | ||||||||
Unifi, Inc.* | 32,000 | 441,600 | ||||||||
|
| |||||||||
3,719,291 | ||||||||||
Thrifts & Mortgage Finance - 5.26% |
| |||||||||
Bank Mutual Corp. | 132,500 | 486,275 | ||||||||
BankFinancial Corp. | 79,700 | 675,059 | ||||||||
Beacon Federal Bancorp, Inc. | 35,800 | 494,756 | ||||||||
Bofl Holding, Inc.* | 56,200 | 809,842 | ||||||||
Chicopee Bancorp, Inc.* | 26,500 | 378,950 | ||||||||
Clifton Savings Bancorp, Inc. | 64,300 | 709,872 | ||||||||
ESB Financial Corp. | 69,000 | 891,480 | ||||||||
ESSA Bancorp, Inc. | 99,884 | 1,240,559 | ||||||||
Federal Agricultural Mortgage Corp., Class C | 134,300 | 2,970,716 | ||||||||
First Defiance Financial Corp.* | 58,400 | 857,896 | ||||||||
First Financial Holdings, Inc. | 53,800 | 482,586 | ||||||||
First Financial Northwest, Inc.*+ | 65,668 | 332,937 | ||||||||
First Pactrust Bancorp, Inc. | 36,100 | 536,446 | ||||||||
Fox Chase Bancorp, Inc. | 57,932 | 784,979 | ||||||||
Guaranty Federal Bancshares, Inc.* | 20,856 | 111,788 | ||||||||
Heritage Financial Group, Inc. | 17,100 | 203,832 | ||||||||
Home Federal Bancorp, Inc. | 32,200 | 353,878 | ||||||||
Kaiser Federal Financial Group, Inc. | 68,900 | 848,848 | ||||||||
Louisiana Bancorp, Inc.* | 18,000 | 283,860 | ||||||||
Meridian Interstate Bancorp, Inc.* | 52,100 | 713,249 | ||||||||
Meta Financial Group, Inc. | 12,100 | 230,505 | ||||||||
New Hampshire Thrift Bancshares, Inc. | 18,100 | 241,273 | ||||||||
Ocean Shore Holding Co. | 32,100 | 387,768 |
55 | Annual Report | June 30, 2011 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Thrifts & Mortgage Finance (continued) |
| |||||||||
OceanFirst Financial Corp. | 58,183 | $ | 753,470 | |||||||
Provident Financial Holdings, Inc. | 101,300 | 803,309 | ||||||||
Pulaski Financial Corp.+ | 43,500 | 312,330 | ||||||||
Rockville Financial, Inc.+ | 53,557 | 530,214 | ||||||||
Territorial Bancorp, Inc. | 42,300 | 876,456 | ||||||||
Tree.com, Inc.* | 27,100 | 138,752 | ||||||||
United Community Financial Corp.* | 130,000 | 165,100 | ||||||||
United Financial Bancorp, Inc. | 86,641 | 1,336,871 | ||||||||
Westfield Financial, Inc. | 95,200 | 773,024 | ||||||||
|
| |||||||||
20,716,880 | ||||||||||
Trading Companies & Distributors - 0.89% |
| |||||||||
Aceto Corp. | 58,500 | 392,535 | ||||||||
CAI International, Inc.* | 23,238 | 480,097 | ||||||||
China Armco Metals, Inc.*+ | 64,100 | 88,458 | ||||||||
DXP Enterprises, Inc.* | 27,800 | 704,730 | ||||||||
Houston Wire & Cable Co.+ | 29,400 | 457,170 | ||||||||
Lawson Products, Inc. | 28,300 | 556,661 | ||||||||
Titan Machinery, Inc.* | 29,100 | 837,498 | ||||||||
|
| |||||||||
3,517,149 | ||||||||||
Water Utilities - 0.43% |
| |||||||||
Artesian Resources Corp., Class A | 10,500 | 189,210 | ||||||||
Cadiz, Inc.*+ | 32,700 | 355,122 | ||||||||
York Water Co. | 68,550 | 1,134,502 | ||||||||
|
| |||||||||
1,678,834 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS - 98.42% | 387,649,852 | |||||||||
|
| |||||||||
(Cost $272,108,745) | ||||||||||
EXCHANGE TRADED FUND - 1.39% |
| |||||||||
iShares Russell Microcap Index Fund+ | 106,925 | 5,478,837 | ||||||||
|
| |||||||||
TOTAL EXCHANGE TRADED FUND - 1.39% | 5,478,837 | |||||||||
|
| |||||||||
(Cost $3,136,671) | ||||||||||
Rate^ | Shares | Value | ||||||||||||
MONEY MARKET FUND - 0.19% |
| |||||||||||||
BlackRock FedFund | 0.01% | 767,078 | $767,078 | |||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 0.19% |
| 767,078 | ||||||||||||
|
| |||||||||||||
(Cost $767,078) |
| |||||||||||||
TOTAL INVESTMENTS - 100.00% |
| $393,895,767 | ||||||||||||
(Cost $276,012,494) |
| |||||||||||||
Liabilities in Excess of Other Assets - 0.00% |
| (13,011 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% |
| $393,882,756 | ||||||||||||
|
|
* | Non-income producing security. |
# | Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $740,435. |
^ | Rate disclosed as of June 30, 2011. |
D | Security was fair valued under procedures adopted by the Board of Directors (see Note 2). |
+ | This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $36,234,291 at June 30, 2011. |
LLC - Limited Liability Company
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 387,415,498 | $ | — | $ | 234,354 | $ | 387,649,852 | ||||||||
Exchange-Traded Fund | 5,478,837 | — | — | 5,478,837 | ||||||||||||
Money Market Fund | — | 767,078 | — | 767,078 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 392,894,335 | $ | 767,078 | $ | 234,354 | $ | 393,895,767 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ | — | $ | 7,993 | $ | — | $ | 7,993 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 7,993 | $ | — | $ | 7,993 | ||||||||
|
|
|
|
|
|
|
|
** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment. |
www.bridgeway.com | 56 |
Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued) |
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value: | ||||||||||||
Investment in Securities (Value) | ||||||||||||
| ||||||||||||
Common Stocks | Rights | Total | ||||||||||
| ||||||||||||
Balance as of 06/30/2010 | $ 81,300 | $ | 754 | $ | 82,054 | |||||||
Purchases | — | — | — | |||||||||
Sales | (376,392 | ) | — | (376,392 | ) | |||||||
Realized gain/(loss)1 | 16,960 | — | 16,960 | |||||||||
Change in unrealized appreciation/ (depreciation)2 | 105,875 | (754) | 105,121 | |||||||||
Transfers in3,4 | 406,611 | — | 406,611 | |||||||||
Transfers out | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of 06/30/2011 | $ 234,354 | $ | — | $ | 234,354 | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) from investments held as of 6/30/112 | $(172,257 | ) | $ | — | $ | (172,257 | ) | |||||
|
|
|
|
|
| |||||||
1Realized gain/(loss) from Level 3 securities is included on the Statements of Operations in the Realized Gain (Loss) on Investments.
2Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statements of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.
3Transfers in represent the value as of the beginning of the year ended June 30, 2011, for any investment security where significant transfers in the pricing level occurred during the period. The purchase value is used in situations where the investment was not held as of the beginning of the period.
4Transfer took place as a result of a trading halt.
The securities in the table above were considered Level 3 securities because they were fair valued under procedures adopted by the Board of Directors at June 30, 2011. Such valuation is based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.
See Notes to Financial Statements. |
| |||||||||||
57 | Annual Report | June 30, 2011 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Micro-Cap Limited Fund Shareholder,
Our Fund declined 5.69% in the quarter ended June 30, 2011, trailing our primary market benchmark, the CRSP Cap-Based Portfolio 9 Index (-3.01%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-1.98%), the Russell Microcap Index (-3.48%) and the Russell 2000 Index (-1.61%). We are disappointed with the return on an absolute and relative basis.
Our fiscal year was better. For the fiscal year ended June 30, 2011, our Fund appreciated 35.47%, slightly beating our primary market benchmark, the CRSP Cap-Based Portfolio 9 Index (+35.10%), and the Russell Microcap Index (+32.70%). The Fund matched its peer benchmark, the Lipper Micro-Cap Stock Funds Index (+35.47%), and trailed the Russell 2000 Index (+37.41%).
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date 6/30/98 to 6/30/11 | ||||||||||||||||
Micro-Cap Limited Fund | -5.69% | 35.47% | -3.23% | 4.98% | 10.28% | |||||||||||||||
CRSP Cap-Based Portfolio 9 Index | -3.01% | 35.10% | 5.51% | 8.74% | 9.02% | |||||||||||||||
Russell Microcap Index | -3.48% | 32.70% | 0.55% | 5.59% | N/A | |||||||||||||||
Russell 2000 Index (small stocks) | -1.61% | 37.41% | 4.08% | 6.27% | 6.04% | |||||||||||||||
Lipper Micro-Cap Stock Funds Index | -1.98% | 35.47% | 2.61% | 6.32% | 6.70% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The CRSP Cap-Based Portfolio 9 Index is an unmanaged index of 449 publicly traded U.S. micro-cap stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc., for the period ended June 30, 2011, the Micro-Cap Limited Fund ranked 35th of 69 micro-cap funds for the last twelve months ended June 30, 2011, 59th of 60 such funds for the last five years, 31st of 39 funds for the last 10 years and 15th of 33 funds since inception in June, 1998. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
www.bridgeway.com | 58 |
Micro-Cap Limited Fund MANAGER’S COMMENTARY (continued) |
Micro-Cap Limited Fund vs. CRSP 9 Index, Lipper Micro-Cap Stock Funds Index, Russell 2000 Index & Russell Microcap Index* from Inception 6/30/98 to 6/30/11
* | The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date. |
Detailed Explanation of Quarterly Performance
The Short Version: Seven sectors were represented on the best contributors list while the worst contributors list was led by the Industrial and Health Care sectors.
Amid all the global uncertainties in the forefront for the past three months (domestic labor, Japan earthquake repercussions, EU debt crisis part 2, US debt crisis part 1), plenty of winners can be found throughout the various industries. In fact, seven different sectors were represented in the list of top contributors for the quarter, highlighted by three energy and two industrials holdings.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | TriMas Corp. | Machinery | 0.3% | |||
2 | Basic Energy Services, Inc. | Energy Equipment & Services | 0.3% | |||
3 | Twin Disc, Inc. | Machinery | 0.2% | |||
4 | Delek US Holdings, Inc. | Oil, Gas & Consumable Fuels | 0.2% | |||
5 | EMS Technologies, Inc. | Communications Equipment | 0.2% | |||
6 | Advance America Cash Advance Centers, Inc. | Consumer Finance | 0.2% | |||
7 | Standard Motor Products, Inc. | Auto Components | 0.1% | |||
8 | Zoll Medical Corp. | Health Care Equipment & Supplies | 0.1% | |||
9 | Newpark Resources, Inc. | Energy Equipment & Services | 0.1% | |||
10 | Crosstex Energy, Inc. | Oil, Gas & Consumable Fuels | 0.1% |
59 | Annual Report | June 30, 2011 |
Micro-Cap Limited Fund MANAGER’S COMMENTARY (continued) |
When people need money, sometimes a quick payday loan is the best option. These short-term (high interest rate) loans often charge “fees” that could translate into very high equivalent annual interest. (These lenders rarely use the term “interest.”) Advance America is one such cash advance lender, providing borrowers access to much-needed capital in a timely manner. While banks continue to balk at loaning money to many consumers these days, companies such as Advance America are picking up the slack. Earnings grew by over 30% in the first quarter, and revenues increased by over 5%. The stock offers an attractive dividend yield to investors. While Congress has discussed capping rates on such short-term loans, it has not taken action, and lenders like Advance America continue to provide a service that many consumers choose to take advantage of. For the quarter, the holding jumped over 30%.
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector impacting supply chains, particularly among auto makers and suppliers. Three industrial companies made the worst contributors list. Altogether, they cost over three-quarters-of-a-percent to the performance of the Fund. Additionally, a few nursing home companies gave back some of their stellar gains of the prior quarters.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Skilled Healthcare Group, Inc. | Health Care Providers & Services | -0.7% | |||
2 | Bon-Ton Stores, Inc. | Multiline Retail | -0.5% | |||
3 | SFN Group Corp. | Professional Services | -0.4% | |||
4 | Exide Technologies | Auto Components | -0.3% | |||
5 | Sunrise Senior Living, Inc. | Health Care Providers & Services | -0.3% | |||
6 | Mercer International, Inc. | Paper & Forest Products | -0.3% | |||
7 | Great Lakes Dredge & Dock Corp. | Construction & Engineering | -0.3% | |||
8 | Brooks Automation, Inc. | Semiconductors & Semiconductor Equipment | -0.2% | |||
9 | Columbia Laboratories, Inc. | Pharmaceuticals | -0.2% | |||
10 | NN, Inc. | Machinery | -0.2% |
In April, nursing home and home health care provider Skilled Healthcare was riding sky high. Management had just hired an investment bank to explore strategic options and a possible sale of the company. The firm’s real estate holdings were likely to be an attractive kicker to any deal. Its stock hit a 52-week high. Weeks later, government regulators proposed a larger-than-expected reduction in the reimbursement rates for Medicare and Medicaid, moves that would dramatically impact the entire industry. Further, the uncertainty of such a bill put a potential sale on hold. Skilled Healthcare dropped over 30% during the three-month period.
Detailed Explanation of Fiscal Year Performance
The Short Version: Health Care companies added the most to Fund performance while Information Technology stocks led the worst contributors list.
So far, governmental regulations on health care have not killed business or the insurance industry. Health Care holdings headlined the list of top contributors as three related companies combined to add over three percent to the Fund’s performance.
www.bridgeway.com | 60 |
Micro-Cap Limited Fund MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | TriMas Corp. | Machinery | 1.4% | |||
2 | Sunrise Senior Living, Inc. | Health Care Providers & Services | 1.1% | |||
3 | TPC Group, Inc. | Chemicals | 1.1% | |||
4 | Air Methods Corp. | Health Care Providers & Services | 1.0% | |||
5 | Power-One, Inc. | Electrical Equipment | 1.0% | |||
6 | World Acceptance Corp. | Consumer Finance | 1.0% | |||
7 | Ensign Group, Inc. (The) | Health Care Providers & Services | 0.8% | |||
8 | Retail Ventures | Multiline Retail | 0.8% | |||
9 | Petroleum Development Corp. | Oil, Gas & Consumable Fuels | 0.8% | |||
10 | Hawkins, Inc. | Chemicals | 0.8% |
What are the implications of aging populations in America, Canada, and Europe? Senior living facilities such as Sunrise Senior Living have long hoped to reap the rewards and have been doing so lately. With occupancy rates increasing over the past year, the company has seen a steady increase in revenues. As the economy slowly recovers, more elderly folks are turning to retirement communities and long-term care facilities for their twilight years. Sunrise operates facilities primarily in the US, Canada, and Germany. In February, it posted a strong quarterly profit, and its share price soared to a 52-week high. Though the May numbers were not as stellar, Sunrise still beat revenue estimates. The industry faces threats in the form of ever-changing regulation reform (for example, Medicare and Medicaid), but the holding still returned almost 250% during the fiscal year even though it was the fifth worst contributor for the most recent quarter.
While some analysts expected Information Technology companies to lead the domestic recovery as businesses upgrade outdated systems and processes, three IT-related stocks were among the biggest detractors to the Fund. Combined, these holdings cost the Fund over one percent in return for the fiscal year.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Sanmina-SCI Corp. | Electronic Equipment, Instruments & Components | -0.5% | |||
2 | RINO International Corp. | Health Care Equipment & Supplies | -0.5% | |||
3 | Lincoln Educational Services Corp. | Diversified Consumer Services | -0.4% | |||
4 | RAIT Financial Trust | Real Estate Investment Trusts (REITs) | -0.3% | |||
5 | Citi Trends, Inc. | Specialty Retail | -0.3% | |||
6 | Brightpoint, Inc. | Electronic Equipment, Instruments & Components | -0.3% | |||
7 | Lionbridge Technologies, Inc. | IT Services | -0.3% | |||
8 | NN, Inc. | Machinery | -0.2% | |||
9 | Five Star Quality Care, Inc. | Health Care Providers & Services | -0.2% | |||
10 | Omnova Solutions, Inc. | Chemicals | -0.2% |
Apparently, RINO International investors don’t take too kindly to being given false data by company management. In November 2010, the company disclosed that prior financial statements, stemming back to 2008, should not be relied upon as they included data related to customer contracts that never actually existed. Management had been reporting revenue to the SEC and investors that was significantly higher than the financial numbers it shared with Chinese regulators. The stock price plunged on the news, and shareholder lawsuits were filed before the ink of the RINO press release was even dry. For the fiscal year, the holding lost 75% of its value and was the Fund’s worst performer.
Top Ten Holdings as of June 30, 2011
Three of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: TriMas, Delek, Twin Disc. The Fund was broadly diversified across industries and no single holding accounted for greater than 2.1% of the net assets. The ten largest positions represented just over 16% of the total assets of the Fund.
61 | Annual Report | June 30, 2011 |
Micro-Cap Limited Fund MANAGER’S COMMENTARY (continued) |
Rank | Description | Industry | % of Net Assets | |||
1 | Photronics, Inc. | Semiconductors & Semiconductor Equiptment | 2.1% | |||
2 | Red Robin Gourmet Burgers, Inc. | Hotels, Restaurants & Leisure | 2.1% | |||
3 | TriMas Corp. | Machinery | 2.0% | |||
4 | Ensign Group, Inc. (The) | Health Care Providers & Services | 1.6% | |||
5 | Altra Holdings, Inc. | Machinery | 1.5% | |||
6 | Delek US Holdings, Inc. | Oil, Gas & Consumable Fuels | 1.5% | |||
7 | Insight Enterprises, Inc. | Electronic Equiptment, Instruments & Components | 1.4% | |||
8 | Skilled Healthcare Group, Inc. | Health Care Providers & Services | 1.3% | |||
9 | Twin Disc, Inc. | Machinery | 1.3% | |||
10 | Innospec, Inc. | Chemicals | 1.3% | |||
Total | 16.1% |
Industry Sector Representation as of June 30, 2011
Industrials was our largest and most overweighted sector in the Fund. It also happened to be one of the poorer performing sectors for the June quarter. Our Fund was significantly underweighted in both the Information Technology and Financial sectors.
% of Net Assets | % of Russell 2000 Index | Difference | ||||
Consumer Discretionary | 13.3% | 13.3% | 0.0% | |||
Consumer Staples | 3.9% | 3.3% | 0.6% | |||
Energy | 8.3% | 7.1% | 1.2% | |||
Financials | 16.4% | 20.6% | -4.2% | |||
Health Care | 10.6% | 12.5% | -1.9% | |||
Industrials | 21.2% | 15.5% | 5.7% | |||
Information Technology | 12.5% | 18.5% | -6.0% | |||
Materials | 8.5% | 4.9% | 3.6% | |||
Telecommunication Services | 3.9% | 1.1% | 2.8% | |||
Utilities | 0.0% | 3.2% | -3.2% | |||
Cash & Other Assets | 1.4% | 0.0% | 1.4% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in micro-cap companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.
Conclusion
Thank you for your continued investment in Micro-Cap Limited Fund, which remains open to all investors. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
www.bridgeway.com | 62 |
Bridgeway Micro-Cap Limited Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 98.56% |
| |||||||||
Air Freight & Logistics - 0.45% |
| |||||||||
Air Transport Services Group, Inc.* | 16,400 | $ | 112,340 | |||||||
Airlines - 1.04% |
| |||||||||
Hawaiian Holdings, Inc.* | 32,600 | 185,820 | ||||||||
Republic Airways Holdings, Inc.* | 13,900 | 75,894 | ||||||||
|
| |||||||||
261,714 | ||||||||||
Auto Components - 3.50% |
| |||||||||
American Axle & | ||||||||||
Manufacturing Holdings, Inc.* | 21,300 | 242,394 | ||||||||
Dorman Products, Inc.* | 5,100 | 201,858 | ||||||||
Modine Manufacturing Co.* | 8,000 | 122,960 | ||||||||
Standard Motor Products, Inc. | 20,500 | 312,215 | ||||||||
|
| |||||||||
879,427 | ||||||||||
Building Products - 0.69% |
| |||||||||
Trex Co., Inc.* | 7,100 | 173,808 | ||||||||
Capital Markets - 0.55% |
| |||||||||
Calamos Asset Management, Inc., Class A | 9,500 | 137,940 | ||||||||
Chemicals - 4.52% |
| |||||||||
American Vanguard Corp. | 20,800 | 269,776 | ||||||||
Flotek Industries, Inc.* | 31,000 | 264,120 | ||||||||
Innospec, Inc.* | 9,400 | 315,934 | ||||||||
LSB Industries, Inc.* | 3,600 | 154,512 | ||||||||
Quaker Chemical Corp. | 3,100 | 133,331 | ||||||||
|
| |||||||||
1,137,673 | ||||||||||
Commercial Banks - 2.98% |
| |||||||||
BancFirst Corp. | 4,900 | 189,140 | ||||||||
Bancorp, Inc. (The)* | 13,300 | 138,985 | ||||||||
City Holding Co. | 4,400 | 145,332 | ||||||||
Republic Bancorp, Inc., Class A | 13,900 | 276,610 | ||||||||
|
| |||||||||
750,067 | ||||||||||
Commercial Services & Supplies - 1.95% |
| |||||||||
Cenveo, Inc.* | 17,500 | 112,000 | ||||||||
Consolidated Graphics, Inc.* | 4,700 | 258,265 | ||||||||
EnergySolutions, Inc. | 24,200 | 119,548 | ||||||||
|
| |||||||||
489,813 | ||||||||||
Communications Equipment - 1.58% |
| |||||||||
Globecomm Systems, Inc.* | 12,400 | 192,944 |
Industry | Company | Shares | Value | |||||||
Communications Equipment (continued) |
| |||||||||
Ituran Location & Control, Ltd. | 14,500 | $ | 204,305 | |||||||
|
| |||||||||
397,249 | ||||||||||
Construction & Engineering - 2.50% |
| |||||||||
Great Lakes Dredge & Dock Corp.# | 31,900 | 178,002 | ||||||||
Layne Christensen Co.* | 9,200 | 279,128 | ||||||||
Pike Electric Corp.* | 19,300 | 170,612 | ||||||||
|
| |||||||||
627,742 | ||||||||||
Consumer Finance - 1.75% |
| |||||||||
Advance America, Cash Advance Centers, Inc. | 23,800 | 163,982 | ||||||||
World Acceptance Corp.*+ | 4,200 | 275,394 | ||||||||
|
| |||||||||
439,376 | ||||||||||
Diversified Financial Services - 0.68% |
| |||||||||
Interactive Brokers Group, Inc., Class A | 10,900 | 170,585 | ||||||||
Diversified Telecommunication Services - 3.91% |
| |||||||||
Alaska Communications Systems Group, Inc.+ | 22,400 | 198,688 | ||||||||
Consolidated Communications Holdings, Inc. | 6,300 | 122,472 | ||||||||
General Communication, Inc., Class A* | 12,400 | 149,668 | ||||||||
IDT Corp., Class B | 9,200 | 248,584 | ||||||||
Vonage Holdings Corp.* | 59,600 | 262,836 | ||||||||
|
| |||||||||
982,248 | ||||||||||
Electrical Equipment - 1.34% |
| |||||||||
Encore Wire Corp. | 5,400 | 130,788 | ||||||||
Preformed Line Products, Co. | 2,900 | 206,422 | ||||||||
|
| |||||||||
337,210 | ||||||||||
Electronic Equipment, Instruments & Components - 5.03% |
| |||||||||
Brightpoint, Inc.* | 17,400 | 141,114 | ||||||||
GSI Group, Inc.* | 12,700 | 153,035 | ||||||||
Insight Enterprises, Inc.* | 19,900 | 352,429 | ||||||||
Kemet Corp.* | 17,400 | 248,646 | ||||||||
Methode Electronics, Inc. | 11,300 | 131,193 | ||||||||
NAM TAI Electronics, Inc. | 17,600 | 97,152 | ||||||||
OSI Systems, Inc.* | 3,300 | 141,900 | ||||||||
|
| |||||||||
1,265,469 | ||||||||||
Energy Equipment & Services - 4.29% |
| |||||||||
Basic Energy Services, Inc.* | 10,000 | 314,700 | ||||||||
Hercules Offshore, Inc.* | 43,800 | 241,338 |
63 | Annual Report | June 30, 2011 |
Bridgeway Micro-Cap Limited Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Energy Equipment & Services (continued) |
| |||||||||
Newpark Resources, Inc.* | 27,300 | $ | 247,611 | |||||||
Pioneer Drilling Co.* | 18,100 | 275,844 | ||||||||
|
| |||||||||
1,079,493 | ||||||||||
Food & Staples Retailing - 1.11% |
| |||||||||
Pantry, Inc. (The)* | 7,000 | 131,530 | ||||||||
Susser Holdings Corp.* | 9,400 | 147,768 | ||||||||
|
| |||||||||
279,298 | ||||||||||
Food Products - 1.01% |
| |||||||||
Chiquita Brands International, Inc.* | 9,000 | 117,180 | ||||||||
SunOpta, Inc.* | 19,100 | 135,801 | ||||||||
|
| |||||||||
252,981 | ||||||||||
Health Care Equipment & Supplies - 1.18% |
| |||||||||
Greatbatch, Inc.* | 4,900 | 131,418 | ||||||||
Zoll Medical Corp.* | 2,900 | 164,314 | ||||||||
|
| |||||||||
295,732 | ||||||||||
Health Care Providers & Services - 7.31% |
| |||||||||
Ensign Group, Inc. (The) | 13,400 | 407,226 | ||||||||
Five Star Quality Care, Inc.* | 16,500 | 95,865 | ||||||||
Healthways, Inc.* | 13,000 | 197,340 | ||||||||
Kindred Healthcare, Inc.* | 10,900 | 234,023 | ||||||||
National Healthcare Corp. | 5,800 | 287,506 | ||||||||
PharMerica Corp.* | 10,100 | 128,876 | ||||||||
Skilled Healthcare Group, Inc., Class A* | 35,800 | 338,668 | ||||||||
Triple-S Management Corp., Class B* | 6,800 | 147,764 | ||||||||
|
| |||||||||
1,837,268 | ||||||||||
Hotels, Restaurants & Leisure - 2.97% |
| |||||||||
Isle of Capri Casinos, Inc.* | 12,900 | 114,165 | ||||||||
Papa John’s International, Inc.* | 3,300 | 109,758 | ||||||||
Red Robin Gourmet Burgers, Inc.* | 14,400 | 523,872 | ||||||||
|
| |||||||||
747,795 | ||||||||||
Household Durables - 0.50% |
| |||||||||
Libbey, Inc.* | 7,700 | 124,894 | ||||||||
Insurance - 5.33% |
| |||||||||
American Equity Investment Life Holding Co. | 22,700 | 288,517 | ||||||||
Crawford & Co., Class B | 17,700 | 125,139 | ||||||||
Employers Holdings, Inc. | 10,100 | 169,377 | ||||||||
Infinity Property & Casualty Corp. | 4,700 | 256,902 |
Industry | Company | Shares | Value | |||||||
Insurance (continued) |
| |||||||||
Maiden Holdings, Ltd. | 16,400 | $ | 149,240 | |||||||
Meadowbrook Insurance Group, Inc. | 14,300 | 141,713 | ||||||||
Safety Insurance Group, Inc. | 5,000 | 210,200 | ||||||||
|
| |||||||||
1,341,088 | ||||||||||
Internet & Catalog Retail - 1.49% |
| |||||||||
NutriSystem, Inc.+ | 9,600 | 134,976 | ||||||||
ValueVision Media, Inc., Class A* | 31,400 | 240,210 | ||||||||
|
| |||||||||
375,186 | ||||||||||
Internet Software & Services - 0.67% |
| |||||||||
Travelzoo, Inc.*+ | 2,600 | 168,064 | ||||||||
IT Services - 0.65% Cardtronics, Inc.* | 7,000 | 164,150 | ||||||||
Leisure Equipment & Products - 0.43% |
| |||||||||
Arctic Cat, Inc.* | 8,100 | 108,783 | ||||||||
Machinery - 7.51% |
| |||||||||
Alamo Group, Inc. | 10,400 | 246,480 | ||||||||
Altra Holdings, Inc.* | 15,400 | 369,446 | ||||||||
Kadant, Inc.* | 5,000 | 157,550 | ||||||||
NACCO Industries, Inc., Class A | 800 | 77,456 | ||||||||
NN, Inc.* | 15,300 | 228,888 | ||||||||
TriMas Corp.* | 19,900 | 492,525 | ||||||||
Twin Disc, Inc. | 8,200 | 316,766 | ||||||||
|
| |||||||||
1,889,111 | ||||||||||
Marine - 0.62% |
| |||||||||
Navios Maritime Holdings, Inc.+ | 30,100 | 155,015 | ||||||||
Media - 2.16% |
| |||||||||
Knology, Inc.* | 15,800 | 234,630 | ||||||||
Sinclair Broadcast Group, Inc., Class A | 28,200 | 309,636 | ||||||||
|
| |||||||||
544,266 | ||||||||||
Metals & Mining - 1.62% |
| |||||||||
Kaiser Aluminum Corp. | 2,900 | 158,398 | ||||||||
Materion Corp.* | 6,700 | 247,699 | ||||||||
|
| |||||||||
406,097 | ||||||||||
Oil, Gas & Consumable Fuels - 4.03% |
| |||||||||
Alon USA Energy, Inc. | 20,000 | 225,400 | ||||||||
Crosstex Energy, Inc. | 14,200 | 168,980 | ||||||||
Delek US Holdings, Inc. | 23,500 | 368,950 |
www.bridgeway.com | 64 |
Bridgeway Micro-Cap Limited Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||
Knightsbridge Tankers, Ltd.+ | 11,400 | $ | 251,142 | |||||||
|
| |||||||||
1,014,472 | ||||||||||
Paper & Forest Products - 2.32% |
| |||||||||
Mercer International, Inc.* | 18,000 | 181,440 | ||||||||
Neenah Paper, Inc. | 6,500 | 138,320 | ||||||||
PH Glatfelter Co. | 17,200 | 264,536 | ||||||||
|
| |||||||||
584,296 | ||||||||||
Personal Products - 1.77% |
| |||||||||
Elizabeth Arden, Inc.* | 9,300 | 269,979 | ||||||||
Revlon, Inc., Class A* | 10,400 | 174,720 | ||||||||
|
| |||||||||
444,699 | ||||||||||
Pharmaceuticals - 2.10% |
| |||||||||
Columbia Laboratories, Inc.*+ | 77,300 | 238,857 | ||||||||
Medicines Co. (The)* | 17,500 | 288,925 | ||||||||
|
| |||||||||
527,782 | ||||||||||
Professional Services - 3.39% |
| |||||||||
CBIZ, Inc.*+ | 19,000 | 139,840 | ||||||||
Insperity, Inc. | 6,700 | 198,387 | ||||||||
On Assignment, Inc.* | 18,600 | 182,838 | ||||||||
School Specialty, Inc.* | 8,800 | 126,632 | ||||||||
SFN Group, Inc.* | 22,500 | 204,525 | ||||||||
|
| |||||||||
852,222 | ||||||||||
Real Estate Investment Trusts (REITs) - 4.39% |
| |||||||||
ARMOUR Residential REIT, Inc.+ | 31,300 | 230,055 | ||||||||
iStar Financial, Inc.* | 21,900 | 177,609 | ||||||||
Newcastle Investment Corp.+ | 31,600 | 182,648 | ||||||||
RAIT Financial Trust+ | 79,900 | 167,790 | ||||||||
Retail Opportunity Investments Corp. | 21,700 | 233,492 | ||||||||
Sabra Healthcare REIT, Inc. | 6,700 | 111,957 | ||||||||
|
| |||||||||
1,103,551 | ||||||||||
Real Estate Management & Development - 0.70% |
| |||||||||
IRSA Inversiones y Representaciones SA - Sponsored ADR | 12,800 | 176,128 | ||||||||
Semiconductors & Semiconductor Equipment - 4.60% |
| |||||||||
Advanced Energy Industries, Inc.* | 16,700 | 246,993 | ||||||||
Brooks Automation, Inc.* | 21,800 | 236,748 | ||||||||
Kulicke & Soffa Industries, Inc.* | 12,000 | 133,680 |
Industry | Company | Shares | Value | |||||||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||||||||
Photronics, Inc.* |
| 63,700 | $ | 539,539 | ||||||||||
|
| |||||||||||||
1,156,960 | ||||||||||||||
Specialty Retail - 1.69% |
| |||||||||||||
Pep Boys-Manny, Moe & Jack (The) |
| 19,400 | 212,042 | |||||||||||
Select Comfort Corp.* |
| 11,800 | 212,164 | |||||||||||
|
| |||||||||||||
424,206 | ||||||||||||||
Textiles, Apparel & Luxury Goods - 0.56% |
| |||||||||||||
Movado Group, Inc. |
| 8,300 | 142,013 | |||||||||||
Trading Companies & Distributors - 1.69% |
| |||||||||||||
DXP Enterprises, Inc.* |
| 11,400 | 288,990 | |||||||||||
Kaman Corp. |
| 3,800 | 134,786 | |||||||||||
|
| |||||||||||||
423,776 | ||||||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS - 98.56% |
| 24,781,987 | ||||||||||||
|
| |||||||||||||
(Cost $21,435,586) | ||||||||||||||
Rate^ | Shares | Value | ||||||||||||
|
| |||||||||||||
MONEY MARKET FUND - 1.37% |
| |||||||||||||
BlackRock FedFund | 0.01% | 345,689 | 345,689 | |||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 1.37% |
| 345,689 | ||||||||||||
|
| |||||||||||||
(Cost $345,689) |
| |||||||||||||
TOTAL INVESTMENTS - 99.93% |
| $ | 25,127,676 | |||||||||||
(Cost $21,781,275) |
| |||||||||||||
Other Assets in Excess of Liabilities - 0.07% |
| 16,346 | ||||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% | $ | 25,144,022 | ||||||||||||
|
|
* | Non-income producing security. |
# | Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $178,002. |
^ | Rate disclosed as of June 30, 2011. |
+ | This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $1,860,302 at June 30, 2011. |
ADR - American Depositary Receipt
65 | Annual Report | June 30, 2011 |
Bridgeway Micro-Cap Limited Fund SCHEDULE OF INVESTMENTS (continued) |
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
|
| |||||||||||||||
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable | Level 3 Significant Unobservable | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 24,781,987 | $ | — | $ | — | $ | 24,781,987 | ||||||||
Money Market Fund | — | 345,689 | — | 345,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 24,781,987 | $ | 345,689 | $ | — | $ | 25,127,676 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ | — | $ | 4,271 | $ | — | $ | 4,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 4,271 | $ | — | $ | 4,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.
See Notes to Financial Statements. |
|
www.bridgeway.com | 66 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Small-Cap Momentum Fund Shareholder,
For the June quarter, our Fund declined 0.93%, beating our primary market benchmark, the Russell 2000 Index (-1.61%). We are pleased with these relative results for the quarter.
For the fiscal year ended June 30, 2011, our Fund was up 37.49%, edging out the Russell 2000 Index. We are pleased with our first full year performance.
The table below presents our June quarter, one-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance since inception.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | Life-to-Date 5/28/10 to 6/30/11 | ||||||||||||
Small-Cap Momentum Fund | -0.93% | 37.49% | 25.66% | |||||||||||
Russell 2000 Index | -1.61% | 37.41% | 26.76% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above and the graph below include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Small-Cap Momentum Fund ranked 298th of 750 small-cap core funds for the twelve-month period ended June 30, 2011. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
67 | Annual Report | June 30, 2011 |
Small-Cap Momentum Fund MANAGER’S COMMENTARY (continued) |
Small-Cap Momentum Funds vs. Russell 2000 Index from Inception 5/28/10 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary companies led the list of best contributors, while Energy companies were the biggest drags on Fund performance.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, Consumer Discretionary stocks led the list of best contributors for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Four related companies made the list. Altogether, they contributed over three-quarters-of-a-percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution of Return | |||
1 | Timberland Co. (The) | Textiles, Apparel & Luxury Goods | 0.3% | |||
2 | Crocs, Inc. | Textiles, Apparel & Luxury Goods | 0.2% | |||
3 | GT Solar International, Inc. | Seminconductors & Semiconductor Equipment | 0.2% | |||
4 | International Coal Group, Inc. | Metals & Mining | 0.2% | |||
5 | ARIAD Pharmaceuticals, Inc. | Biotechnology | 0.2% | |||
6 | Pricesmart, Inc. | Food & Staples Retailing | 0.2% | |||
7 | NetSuite, Inc. | Software | 0.1% | |||
8 | Questcor Pharmaceuticals, Inc. | Pharmaceuticals | 0.1% | |||
9 | BJ’s Restaurants, Inc. | Hotels, Restaurants & Leisure | 0.1% | |||
10 | Graham Packaging Co., Inc. | Containers & Packaging | 0.1% |
Timberland designs and distributes performance apparel for the rugged outdoorsman/woman (and those who want to look the part). In June, VF agreed to acquire Timberland and announced its intent to pay a 40+% premium relative to the prior day’s close. VF is one of the world’s largest clothing manufacturers and owner of North Face and Wranglers brands (among others). Timberland’s stock had been under considerable pressure, as the company had recently posted a significant decline in earnings as a result of rising leather and labor prices. Though revenues increased during the quarter, management had chosen not to increase prices, and therefore margins were impacted. VF has a history of successfully improving the profitability of companies it has acquired, and it expects Timberland to boost its outdoor apparel business. The company’s stock jumped almost 50% during the quarter and was the top contributor to the Fund.
www.bridgeway.com | 68 |
Small-Cap Momentum Fund MANAGER’S COMMENTARY (continued) |
While uncertainties exist throughout the global economy, energy companies have definitely felt their fair share of volatility lately. The extent of the recovery’s strength continues to impact projections for crude demand, because each passing economic data release seems to force traders to rethink their views. Over the past few months, after OPEC failed to set pricing policy, the U.S. and others tapped their strategic reserves due to fears that the turmoil in the Middle East would hinder supply. Three energy companies made the worst contributors list. Combined, they cost the Fund about half-a-percent in return.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution of Return | |||
1 | InterMune, Inc. | Biotechnology | -0.3% | |||
2 | Universal Display Corp. | Electronic Equipment, Instruments & Components | -0.2% | |||
3 | OpenTable, Inc. | Internet Software & Services | -0.2% | |||
4 | Clayton Williams Energy, Inc. | Oil, Gas & Consumable Fuels | -0.2% | |||
5 | Northern Oil & Gas, Inc. | Oil, Gas & Consumable Fuels | -0.2% | |||
6 | ION Geophysical Corp. | Energy Equipment & Services | -0.2% | |||
7 | United Rentals, Inc. | Trading Companies & Distributors | -0.2% | |||
8 | Cirrus Logic, Inc. | Semiconductors & Semiconductor Equipment | -0.2% | |||
9 | US Gold Corp. | Metals & Mining | -0.2% | |||
10 | Commercial Metals Co. | Metals & Mining | -0.1% |
What happens when a company misses revenues by $26 million or more than 25% of analysts’ expectations? ION Geophysical can answer that question, as the energy company’s share price dropped over 25% in the quarter. While earnings were still slightly positive for the quarter, one of ION’s key business units took a sizable hit due to the ongoing turmoil in the Middle East, in particular Libya. In fact, a multi-million dollar sale to the country was put on hold for an indefinite time period.
Detailed Explanation of Fiscal Year Performance
The Short Version: Energy and Materials stocks added the most to performance for the fiscal year, while Consumer Discretionary stocks led the worst contributors list.
Although certain energy-related stocks performed poorly during the quarter, three energy holdings headlined the list of top contributors for the fiscal year. Combined, they added almost two percent to the Fund’s performance. Crude jumped, due to potential supply/demand issues over the past twelve months, and drilling activity slowly reemerged. Materials stocks also performed well as the price of various commodities (metals) jumped with growing demand in emerging markets.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Kronos Worldwide, Inc. | Chemicals | 1.8% | |||
2 | Healthspring, Inc. | Health Care Providers & Services | 1.1% | |||
3 | Gran Tierra Energy, Inc. | Oil, Gas & Consumable Fuels | 1.0% | |||
4 | Universal American Corp. | Health Care Providers & Services | 0.7% | |||
5 | Lufkin Industries, Inc. | Energy Equipment & Services | 0.5% | |||
6 | Catalyst Health Solutions, Inc. | Health Care Providers & Services | 0.5% | |||
7 | International Coal Group, Inc. | Metals & Mining | 0.5% | |||
8 | RPC, Inc. | Energy Equipment & Services | 0.4% | |||
9 | Polypore International, Inc. | Chemicals | 0.4% | |||
10 | South Jersey Industries, Inc. | Utilities | 0.4% |
Healthspring wasn’t fazed by the new health care laws that people believed would kill the managed care industry. The managed care company reported earnings that grew over 30% in the recent quarter after its Medicare program was significantly enhanced by the November 2010 acquisition of Bravo Health. Revenues soared by over 80%, and membership growth continued to expand. In May, S&P raised its outlook on the company to “positive,” and analysts believe it will be a key player in
69 | Annual Report | June 30, 2011 |
Small-Cap Momentum Fund MANAGER’S COMMENTARY (continued) |
this competitive industry over the long term. Healthspring’s value skyrocketed over 80%, and the holding was the Fund’s second top contributor for the fiscal year.
While some areas of retail have bounced back from the depths of the recession, others continue to struggle as consumers remain weary of the economic recovery and the weak labor market in particular. Four Consumer Discretionary holdings were among the worst contributors to the Fund’s fiscal year performance. In total, they cost the Fund over a percent in return.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | CVB Financial Corp. | Commercial Banks | -0.6% | |||
2 | Brown Shoe Co., Inc. | Specialty Retail | -0.5% | |||
3 | GSI Commerce, Inc. | Internet Software & Services | -0.5% | |||
4 | Impax Laboratories, Inc. | Pharmaceuticals | -0.3% | |||
5 | Acxiom Corp. | IT Services | -0.3% | |||
6 | Coinstar, Inc. | Diversified Consumer Services | -0.2% | |||
7 | AutoChina International, Ltd. | Specialty Retail | -0.2% | |||
8 | McClatchy Co. | Media | -0.2% | |||
9 | ION Geophysical Corp. | Energy Equipment & Services | -0.2% | |||
10 | Pennsylvania Real Estate Investment Trust | Real Estate Investment Trusts (REITs) | -0.2% |
Does anyone rent physical DVDs any more? Coinstar provides automated, self-service DVD rental and coin-counting machines, often found at grocery stores. In January 2011, management reduced its forecast for the year on lower expectations for DVD rentals from its retail kiosks because consumers continue to move to video streaming. Its quarterly earnings and revenues both fell short of analysts’ estimates. In February, a key analyst lowered his company rating to “underweight,” claiming that the consensus EPS outlook remains too high, and the kiosk market may reach saturation over the next two years. Coinstar dropped almost 35% and was the worst performer for the Fund over the twelve month period.
Top Ten Holdings as of June 30, 2011
Two of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Timberland and Crocs. The Fund was broadly diversified across industries and no single holding accounted for greater than 0.7% of the net assets. The ten largest positions represented under 7% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | Robbins & Myers, Inc. | Machinery | 0.7% | |||
2 | Stillwater Mining Co. | Metals & Mining | 0.7% | |||
3 | Cavium, Inc. | Semiconductors & Semiconductor Equipment | 0.7% | |||
4 | Crocs, Inc. | Textiles, Apparel & Luxury Goods | 0.7% | |||
5 | WellCare Health Plans, Inc. | Health Care Providers & Services | 0.7% | |||
6 | Cleco Corp. | Electric Utilities | 0.7% | |||
7 | OpenTable, Inc. | Internet Software & Services | 0.7% | |||
8 | CVR Energy, Inc. | Oil, Gas & Consumable Fuels | 0.7% | |||
9 | Timberland Co. (The) | Textiles, Apparel & Luxury Goods | 0.6% | |||
10 | Penske Automotive Group, Inc. | Specialty Retail | 0.6% | |||
Total | 6.8% |
Industry Sector Representation as of June 30, 2011
The Fund’s highest sector weightings were in the Information Technology and Industrials sectors. The Financials sector was underweighted by over seven percent versus the Russell 2000 Index, and it was the only sector that varied from the index by more than four percent.
www.bridgeway.com | 70 |
Small-Cap Momentum Fund | ||
MANAGER’S COMMENTARY (continued) |
% of Net Assets | % of Russell 2000 Index | Difference | ||||
Consumer Discretionary | 10.3% | 13.3% | -3.0% | |||
Consumer Staples | 3.6% | 3.3% | 0.3% | |||
Energy | 10.2% | 7.1% | 3.1% | |||
Financials | 13.5% | 20.6% | -7.1% | |||
Health Care | 10.6% | 12.5% | -1.9% | |||
Industrials | 18.5% | 15.5% | 3.0% | |||
Information Technology | 18.7% | 18.5% | 0.2% | |||
Materials | 8.7% | 4.9% | 3.8% | |||
Telecommunication Services | 1.2% | 1.1% | 0.1% | |||
Utilities | 4.1% | 3.2% | 0.9% | |||
Cash & Other Assets | 0.6% | 0.0% | 0.6% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.
Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies, and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Small-Cap Momentum Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
71 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.38% |
| |||||||||
Aerospace & Defense - 1.34% |
| |||||||||
Ceradyne, Inc.* | 250 | $ | 9,747 | |||||||
Cubic Corp. | 225 | 11,473 | ||||||||
HEICO Corp.+ | 350 | 19,159 | ||||||||
|
| |||||||||
40,379 | ||||||||||
Airlines - 0.25% |
| |||||||||
SkyWest, Inc. | 500 | 7,530 | ||||||||
Auto Components - 0.36% |
| |||||||||
Amerigon, Inc.* | 200 | 3,476 | ||||||||
Motorcar Parts of America, Inc.* | 125 | 1,876 | ||||||||
Superior Industries | ||||||||||
International, Inc. | 250 | 5,528 | ||||||||
|
| |||||||||
10,880 | ||||||||||
Beverages - 0.73% |
| |||||||||
Boston Beer Co., Inc., Class A* | 100 | 8,960 | ||||||||
Coca-Cola Bottling Co., Consolidated | 100 | 6,766 | ||||||||
National Beverage Corp. | 425 | 6,226 | ||||||||
|
| |||||||||
21,952 | ||||||||||
Biotechnology - 1.87% |
| |||||||||
Amicus Therapeutics, Inc.* | 300 | 1,782 | ||||||||
Ardea Biosciences, Inc.* | 250 | 6,365 | ||||||||
ARIAD Pharmaceuticals, Inc.* | 1,225 | 13,879 | ||||||||
ArQule, Inc.* | 500 | 3,125 | ||||||||
China Biologic Products, Inc.*+ | 250 | 2,550 | ||||||||
Cleveland BioLabs, Inc.*+ | 250 | 852 | ||||||||
Exelixis, Inc.*+ | 1,175 | 10,528 | ||||||||
Genomic Health, Inc.* | 250 | 6,978 | ||||||||
Peregrine Pharmaceuticals, Inc.* | 650 | 1,209 | ||||||||
PROLOR Biotech, Inc.*+ | 500 | 2,470 | ||||||||
Sangamo Biosciences, Inc.*+ | 475 | 2,798 | ||||||||
ZIOPHARM Oncology, Inc.* | 600 | 3,672 | ||||||||
|
| |||||||||
56,208 | ||||||||||
Building Products - 0.97% |
| |||||||||
AAON, Inc.+ | 262 | 5,722 | ||||||||
Ameresco, Inc. Class A* | 400 | 5,672 | ||||||||
Insteel Industries, Inc. | 150 | 1,881 | ||||||||
NCI Building Systems, Inc.* | 200 | 2,278 | ||||||||
USG Corp.*+ | 950 | 13,623 | ||||||||
|
| |||||||||
29,176 |
Industry | Company | Shares | Value | |||||||
Capital Markets - 2.27% |
| |||||||||
Arlington Asset Investment | ||||||||||
Corp., Class A+ | 50 | $ | 1,570 | |||||||
BGC Partners, Inc., Class A | 2,400 | 18,552 | ||||||||
Edelman Financial Group, Inc. | 250 | 1,972 | ||||||||
Evercore Partners, Inc., Class A+ | 350 | 11,662 | ||||||||
FBR & Co.* | 550 | 1,870 | ||||||||
Financial Engines, Inc.* | 425 | 11,016 | ||||||||
INTL FCStone, Inc.* | 150 | 3,632 | ||||||||
Medallion Financial Corp. | 150 | 1,462 | ||||||||
Prospect Capital Corp.+ | 900 | 9,099 | ||||||||
Triangle Capital Corp. | 150 | 2,769 | ||||||||
Virtus Investment Partners, Inc.* | 75 | 4,552 | ||||||||
|
| |||||||||
68,156 | ||||||||||
Chemicals - 2.11% |
| |||||||||
Flotek Industries, Inc.* | 450 | 3,834 | ||||||||
FutureFuel Corp. | 350 | 4,238 | ||||||||
Georgia Gulf Corp.* | 300 | 7,242 | ||||||||
Hawkins, Inc. | 100 | 3,622 | ||||||||
Innospec, Inc.* | 200 | 6,722 | ||||||||
KMG Chemicals, Inc. | 100 | 1,684 | ||||||||
Kraton Performance Polymers, Inc.* | 275 | 10,772 | ||||||||
LSB Industries, Inc.* | 225 | 9,657 | ||||||||
Material Sciences Corp.* | 100 | 725 | ||||||||
Minerals Technologies, Inc. | 150 | 9,944 | ||||||||
TPC Group, Inc.* | 125 | 4,902 | ||||||||
|
| |||||||||
63,342 | ||||||||||
Commercial Banks - 1.59% |
| |||||||||
Banco Latinoamericano de | ||||||||||
Comercio Exterior SA | 350 | 6,062 | ||||||||
Bank of Kentucky Financial Corp.+ | 50 | 1,114 | ||||||||
Bank of the Ozarks, Inc. | 175 | 9,110 | ||||||||
Cape Bancorp, Inc.*+ | 100 | 1,000 | ||||||||
Center Bancorp, Inc.+ | 150 | 1,566 | ||||||||
CNB Financial Corp. | 100 | 1,389 | ||||||||
Enterprise Bancorp, Inc.+ | 100 | 1,507 | ||||||||
First California Financial Group, Inc.* | 250 | 889 | ||||||||
First Financial Corp. | 100 | 3,274 | ||||||||
Heritage Commerce Corp.* | 250 | 1,277 | ||||||||
Home Bancorp, Inc.*+ | 100 | 1,479 | ||||||||
OmniAmerican Bancorp, Inc.* | 125 | 1,871 | ||||||||
Penns Woods Bancorp, Inc. | 50 | 1,718 |
www.bridgeway.com | 72 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Commercial Banks (continued) |
| |||||||||
Southside Bancshares, Inc. | 150 | $ | 2,978 | |||||||
Texas Capital Bancshares, Inc.* | 350 | 9,040 | ||||||||
West Coast Bancorp* | 200 | 3,352 | ||||||||
|
| |||||||||
47,626 | ||||||||||
Commercial Services & Supplies - 1.57% |
| |||||||||
A.T. Cross Co., Class A* | 100 | 1,139 | ||||||||
ACCO Brands Corp.* | 500 | 3,925 | ||||||||
Heritage-Crystal Clean, Inc.* | 150 | 2,877 | ||||||||
Herman Miller, Inc. | 550 | 14,971 | ||||||||
Interface, Inc., Class A | 600 | 11,622 | ||||||||
Intersections, Inc. | 200 | 3,640 | ||||||||
Multi-Color Corp. | 100 | 2,469 | ||||||||
Team, Inc.* | 200 | 4,826 | ||||||||
TRC Cos., Inc.* | 250 | 1,563 | ||||||||
|
| |||||||||
47,032 | ||||||||||
Communications Equipment - 0.97% |
| |||||||||
Communications Systems, Inc. | 100 | 1,793 | ||||||||
Loral Space & Communications, Inc.* | 275 | 19,104 | ||||||||
Numerex Corp., Class A* | 150 | 1,460 | ||||||||
Powerwave Technologies, Inc.* | 1,550 | 4,573 | ||||||||
Westell Technologies, Inc., Class A* | 650 | 2,320 | ||||||||
|
| |||||||||
29,250 | ||||||||||
Computers & Peripherals - 0.26% |
| |||||||||
Stratasys, Inc.* | 200 | 6,740 | ||||||||
TransAct Technologies, Inc.* | 100 | 1,170 | ||||||||
|
| |||||||||
7,910 | ||||||||||
Construction & Engineering - 1.23% |
| |||||||||
Dycom Industries, Inc.* | 300 | 4,902 | ||||||||
Furmanite Corp.* | 325 | 2,581 | ||||||||
Layne Christensen Co.* | 200 | 6,068 | ||||||||
MasTec, Inc.* | 750 | 14,790 | ||||||||
Tutor Perini Corp. | 450 | 8,631 | ||||||||
|
| |||||||||
36,972 | ||||||||||
Construction Materials - 0.72% |
| |||||||||
Eagle Materials, Inc. | 400 | 11,148 | ||||||||
Texas Industries, Inc. | 250 | 10,408 | ||||||||
|
| |||||||||
21,556 | ||||||||||
Consumer Finance - 1.86% |
| |||||||||
Dollar Financial Corp.* | 400 | 8,660 |
Industry | Company | Shares | Value | |||||||
Consumer Finance (continued) |
| |||||||||
Ezcorp, Inc., Class A* | 450 | $ | 16,009 | |||||||
First Cash Financial Services, Inc.* | 275 | 11,547 | ||||||||
Nelnet, Inc., Class A | 450 | 9,927 | ||||||||
World Acceptance Corp.*+ | 150 | 9,835 | ||||||||
|
| |||||||||
55,978 | ||||||||||
Containers & Packaging - 0.97% |
| |||||||||
Boise, Inc. | 1,125 | 8,764 | ||||||||
Graphic Packaging Holding Co.* | 3,550 | 19,312 | ||||||||
UFP Technologies, Inc.* | 50 | 946 | ||||||||
|
| |||||||||
29,022 | ||||||||||
Diversified Consumer Services - 0.34% |
| |||||||||
Ascent Media Corp., Class A* | 150 | 7,946 | ||||||||
Mac-Gray Corp. | 150 | 2,317 | ||||||||
|
| |||||||||
10,263 | ||||||||||
Diversified Financial Services - 0.48% |
| |||||||||
MarketAxess Holdings, Inc. | 375 | 9,397 | ||||||||
NewStar Financial, Inc.* | 475 | 5,073 | ||||||||
|
| |||||||||
14,470 | ||||||||||
Diversified Telecommunication Services - 1.15% |
| |||||||||
AboveNet, Inc. | 225 | 15,854 | ||||||||
Cogent Communications Group, Inc.* | 425 | 7,229 | ||||||||
General Communication, Inc., Class A* | 450 | 5,432 | ||||||||
inContact, Inc.* | 350 | 1,662 | ||||||||
SureWest Communications | 150 | 2,508 | ||||||||
Towerstream Corp.* | 400 | 1,996 | ||||||||
|
| |||||||||
34,681 | ||||||||||
Electric Utilities - 2.46% |
| |||||||||
Cleco Corp. | 575 | 20,039 | ||||||||
El Paso Electric Co. | 400 | 12,920 | ||||||||
Empire District Electric Co. (The) | 375 | 7,222 | ||||||||
PNM Resources, Inc. | 800 | 13,392 | ||||||||
Portland General Electric Co. | 700 | 17,696 | ||||||||
Unitil Corp. | 100 | 2,630 | ||||||||
|
| |||||||||
73,899 | ||||||||||
Electrical Equipment - 2.08% |
| |||||||||
Belden, Inc. | 425 | 14,816 | ||||||||
EnerSys* | 450 | 15,489 |
73 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Electrical Equipment (continued) |
| |||||||||
Franklin Electric Co., Inc. | 200 | $ | 9,390 | |||||||
Global Power Equipment Group, Inc.* | 150 | 3,978 | ||||||||
II-VI, Inc.* | 550 | 14,080 | ||||||||
Lime Energy Co.* | 200 | 1,072 | ||||||||
Preformed Line Products, Co. | 50 | 3,559 | ||||||||
|
| |||||||||
62,384 | ||||||||||
Electronic Equipment, Instruments & Components - 2.79% |
| |||||||||
Coherent, Inc.* | 225 | 12,436 | ||||||||
DTS, Inc.* | 175 | 7,096 | ||||||||
Echelon Corp.* | 400 | 3,636 | ||||||||
eMagin Corp.* | 200 | 1,214 | ||||||||
FARO Technologies, Inc.* | 150 | 6,570 | ||||||||
Gerber Scientific, Inc.* | 250 | 2,782 | ||||||||
Identive Group, Inc.* | 500 | 1,160 | ||||||||
Littelfuse, Inc. | 200 | 11,744 | ||||||||
Measurement Specialties, Inc.* | 150 | 5,355 | ||||||||
MTS Systems Corp. | 150 | 6,274 | ||||||||
Rofin-Sinar Technologies, Inc.* | 250 | 8,538 | ||||||||
TTM Technologies, Inc.* | 775 | 12,416 | ||||||||
Viasystems Group, Inc.* | 200 | 4,498 | ||||||||
|
| |||||||||
83,719 | ||||||||||
Energy Equipment & Services - 3.25% |
| |||||||||
Basic Energy Services, Inc.* | 375 | 11,801 | ||||||||
Bolt Technology Corp.* | 100 | 1,240 | ||||||||
Bristow Group, Inc. | 325 | 16,582 | ||||||||
ENGlobal Corp.* | 250 | 758 | ||||||||
Global Geophysical Services, Inc.* | 350 | 6,230 | ||||||||
Global Industries, Ltd.* | 1,100 | 6,028 | ||||||||
Gulf Island Fabrication, Inc. | 150 | 4,842 | ||||||||
Helix Energy Solutions Group, Inc.* | 1,000 | 16,560 | ||||||||
ION Geophysical Corp.* | 1,425 | 13,480 | ||||||||
Matrix Service Co.* | 250 | 3,345 | ||||||||
Mitcham Industries, Inc.* | 100 | 1,730 | ||||||||
OYO Geospace Corp.* | 75 | 7,500 | ||||||||
Pioneer Drilling Co.* | 500 | 7,620 | ||||||||
|
| |||||||||
97,716 | ||||||||||
Food & Staples Retailing - 1.15% |
| |||||||||
Pricesmart, Inc. | 300 | 15,369 | ||||||||
United Natural Foods, Inc.* | 450 | 19,201 | ||||||||
|
| |||||||||
34,570 | ||||||||||
Food Products - 1.43% |
| |||||||||
B&G Foods, Inc. | 450 | 9,279 |
Industry | Company | Shares | Value | |||||||
Food Products (continued) |
| |||||||||
Fresh Del Monte Produce, Inc. | 550 | $ | 14,669 | |||||||
Hain Celestial Group, Inc. (The)* | 400 | 13,344 | ||||||||
Omega Protein Corp.* | 200 | 2,760 | ||||||||
Smart Balance, Inc.* | 550 | 2,849 | ||||||||
|
| |||||||||
42,901 | ||||||||||
Gas Utilities - 0.68% |
| |||||||||
Chesapeake Utilities Corp. | 100 | 4,003 | ||||||||
South Jersey Industries, Inc. | 300 | 16,293 | ||||||||
|
| |||||||||
20,296 | ||||||||||
Health Care Equipment & Supplies - 2.42% |
| |||||||||
AtriCure, Inc.* | 150 | 1,935 | ||||||||
Cantel Medical Corp. | 150 | 4,036 | ||||||||
DexCom, Inc.* | 650 | 9,418 | ||||||||
Greatbatch, Inc.* | 200 | 5,364 | ||||||||
LeMaitre Vascular, Inc. | 150 | 1,061 | ||||||||
MAKO Surgical Corp.*+ | 375 | 11,149 | ||||||||
Neogen Corp.* | 200 | 9,042 | ||||||||
Rockwell Medical Technologies, Inc.* | 175 | 2,247 | ||||||||
Solta Medical, Inc.* | 550 | 1,518 | ||||||||
Vision-Sciences, Inc.* | 400 | 1,032 | ||||||||
West Pharmaceutical Services, Inc. | 300 | 13,128 | ||||||||
Young Innovations, Inc. | 50 | 1,426 | ||||||||
Zoll Medical Corp.* | 200 | 11,332 | ||||||||
|
| |||||||||
72,688 | ||||||||||
Health Care Providers & Services - 4.52% |
| |||||||||
Air Methods Corp.*+ | 100 | 7,474 | ||||||||
Amedisys, Inc.* | 250 | 6,658 | ||||||||
Amsurg Corp.* | 300 | 7,839 | ||||||||
Centene Corp.* | 450 | 15,988 | ||||||||
Ensign Group, Inc. (The) | 175 | 5,318 | ||||||||
Five Star Quality Care, Inc.* | 350 | 2,034 | ||||||||
IPC The Hospitalist Co., Inc.* | 150 | 6,952 | ||||||||
Kindred Healthcare, Inc.* | 500 | 10,735 | ||||||||
Medcath Corp.* | 200 | 2,718 | ||||||||
MWI Veterinary Supply, Inc.* | 125 | 10,096 | ||||||||
National Healthcare Corp. | 150 | 7,436 | ||||||||
National Research Corp. | 50 | 1,826 | ||||||||
Skilled Healthcare Group, Inc., Class A* | 350 | 3,311 | ||||||||
Sunrise Senior Living, Inc.* | 550 | 5,242 | ||||||||
Team Health Holdings, Inc.* | 600 | 13,506 | ||||||||
Universal American Corp. | 725 | 7,939 |
www.bridgeway.com | 74 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Health Care Providers & Services (continued) |
| |||||||||
WellCare Health Plans, Inc.* | 400 | $ | 20,564 | |||||||
|
| |||||||||
135,636 | ||||||||||
Health Care Technology - 0.30% |
| |||||||||
Medidata Solutions, Inc.* | 250 | 5,968 | ||||||||
Transcend Services, Inc.* | 100 | 2,939 | ||||||||
|
| |||||||||
8,907 | ||||||||||
Hotels, Restaurants & Leisure - 1.90% |
| |||||||||
AFC Enterprises, Inc.* | 250 | 4,112 | ||||||||
Ameristar Casinos, Inc. | 300 | 7,113 | ||||||||
BJ’s Restaurants, Inc.* | 275 | 14,399 | ||||||||
Domino’s Pizza, Inc.* | 550 | 13,882 | ||||||||
Einstein Noah Restaurant Group, Inc. | 175 | 2,620 | ||||||||
Multimedia Games Holding Co., Inc.* | 275 | 1,251 | ||||||||
Texas Roadhouse, Inc. | 700 | 12,275 | ||||||||
Town Sports International Holdings, Inc.* | 200 | 1,522 | ||||||||
|
| |||||||||
57,174 | ||||||||||
Household Durables - 0.94% |
| |||||||||
American Greetings Corp., Class A | 400 | 9,616 | ||||||||
iRobot Corp.* | 225 | 7,940 | ||||||||
Meritage Homes Corp.* | 300 | 6,768 | ||||||||
Universal Electronics, Inc.* | 150 | 3,789 | ||||||||
|
| |||||||||
28,113 | ||||||||||
Independent Power Producers & Energy Traders - 0.24% |
| |||||||||
Dynegy, Inc.* | 1,150 | 7,119 | ||||||||
Industrial Conglomerates - 0.28% |
| |||||||||
Raven Industries, Inc. | 150 | 8,356 | ||||||||
Insurance - 2.69% |
| |||||||||
AmTrust Financial Services, Inc. | 575 | 13,098 | ||||||||
Enstar Group, Ltd.* | 150 | 15,674 | ||||||||
First American Financial Corp. | 1,000 | 15,650 | ||||||||
Global Indemnity PLC* | 300 | 6,654 | ||||||||
Infinity Property & Casualty Corp. | 125 | 6,832 | ||||||||
Safety Insurance Group, Inc. | 150 | 6,306 | ||||||||
Symetra Financial Corp. | 1,100 | 14,773 | ||||||||
Universal Insurance Holdings, Inc. | 350 | 1,635 | ||||||||
|
| |||||||||
80,622 | ||||||||||
Internet & Catalog Retail - 0.69% |
| |||||||||
Shutterfly, Inc.* | 300 | 17,226 |
Industry | Company | Shares | Value | |||||||
Internet & Catalog Retail (continued) |
| |||||||||
ValueVision Media, Inc., Class A* | 450 | $ | 3,442 | |||||||
|
| |||||||||
20,668 | ||||||||||
Internet Software & Services - 3.14% |
| |||||||||
Ancestry.com, Inc.*+ | 425 | 17,591 | ||||||||
Dice Holdings, Inc.* | 625 | 8,450 | ||||||||
Keynote Systems, Inc. | 150 | 3,244 | ||||||||
LivePerson, Inc.* | 500 | 7,070 | ||||||||
NIC, Inc. | 600 | 8,076 | ||||||||
OpenTable, Inc.*+ | 240 | 19,949 | ||||||||
Perficient, Inc.* | 300 | 3,078 | ||||||||
RightNow Technologies, Inc.* | 300 | 9,720 | ||||||||
Saba Software, Inc.* | 250 | 2,258 | ||||||||
Travelzoo, Inc.*+ | 175 | 11,312 | ||||||||
Web.com Group, Inc.* | 275 | 3,388 | ||||||||
|
| |||||||||
94,136 | ||||||||||
IT Services - 1.79% |
| |||||||||
Cardtronics, Inc.* | 400 | 9,380 | ||||||||
Computer Task Group, Inc.* | 150 | 1,976 | ||||||||
Convergys Corp.* | 1,125 | 15,345 | ||||||||
Dynamics Research Corp.* | 100 | 1,364 | ||||||||
Forrester Research, Inc. | 225 | 7,416 | ||||||||
Wright Express Corp.* | 350 | 18,224 | ||||||||
|
| |||||||||
53,705 | ||||||||||
Life Sciences Tools & Services - 0.19% |
| |||||||||
Caliper Life Sciences, Inc.* | 475 | 3,852 | ||||||||
Medtox Scientific, Inc. | 100 | 1,747 | ||||||||
|
| |||||||||
5,599 | ||||||||||
Machinery - 5.11% |
| |||||||||
Albany International Corp., Class A | 300 | 7,917 | ||||||||
Altra Holdings, Inc.* | 225 | 5,398 | ||||||||
Blount International, Inc.* | 450 | 7,862 | ||||||||
Briggs & Stratton Corp. | 450 | 8,937 | ||||||||
Chart Industries, Inc.* | 250 | 13,495 | ||||||||
CIRCOR International, Inc. | 150 | 6,424 | ||||||||
Colfax Corp.* | 400 | 9,920 | ||||||||
ESCO Technologies, Inc. | 250 | 9,200 | ||||||||
Flow International Corp.* | 450 | 1,602 | ||||||||
Hurco Cos., Inc.* | 75 | 2,416 | ||||||||
Lindsay Corp.+ | 100 | 6,880 | ||||||||
Middleby Corp.* | 150 | 14,106 | ||||||||
Mueller Industries, Inc. | 350 | 13,268 | ||||||||
NN, Inc.* | 150 | 2,244 | ||||||||
Robbins & Myers, Inc. | 425 | 22,461 | ||||||||
Titan International, Inc.+ | 375 | 9,098 |
75 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Machinery (continued) |
| |||||||||
TriMas Corp.* | 300 | $ | 7,425 | |||||||
Twin Disc, Inc. | 125 | 4,829 | ||||||||
|
| |||||||||
153,482 | ||||||||||
Marine - 0.60% |
| |||||||||
Alexander & Baldwin, Inc. | 375 | 18,060 | ||||||||
Media - 0.89% |
| |||||||||
Fisher Communications, Inc.* | 100 | 2,982 | ||||||||
Global Sources, Ltd.* | 300 | 2,757 | ||||||||
Madison Square Garden Co., Class A (The)* | 700 | 19,271 | ||||||||
Saga Communications, Inc., Class A* | 50 | 1,850 | ||||||||
|
| |||||||||
26,860 | ||||||||||
Metals & Mining - 3.85% |
| |||||||||
AMCOL International Corp. | 300 | 11,448 | ||||||||
Globe Specialty Metals, Inc. | 675 | 15,134 | ||||||||
Haynes International, Inc. | 125 | 7,741 | ||||||||
Horsehead Holding Corp.* | 400 | 5,328 | ||||||||
Metals USA Holdings Corp.* | 350 | 5,215 | ||||||||
Noranda Aluminum Holding Corp.* | 600 | 9,084 | ||||||||
Revett Minerals, Inc.* | 300 | 1,353 | ||||||||
Schnitzer Steel Industries, Inc., Class A | 250 | 14,400 | ||||||||
SinoCoking Coal & Coke Chemical Industries, Inc.*+ | 200 | 912 | ||||||||
Stillwater Mining Co.* | 950 | 20,910 | ||||||||
US Gold Corp.*+ | 1,400 | 8,442 | ||||||||
Worthington Industries, Inc. | 675 | 15,592 | ||||||||
|
| |||||||||
115,559 | ||||||||||
Multiline Retail - 0.17% |
| |||||||||
Fred’s, Inc., Class A | 350 | 5,050 | ||||||||
Multi-Utilities - 0.69% |
| |||||||||
Avista Corp. | 550 | 14,130 | ||||||||
CH Energy Group, Inc. | 125 | 6,657 | ||||||||
|
| |||||||||
20,787 | ||||||||||
Oil, Gas & Consumable Fuels - 6.91% |
| |||||||||
Adams Resources & Energy, Inc. | 50 | 1,275 | ||||||||
Approach Resources, Inc.* | 275 | 6,234 | ||||||||
ATP Oil & Gas Corp.* | 500 | 7,655 | ||||||||
Carrizo Oil & Gas, Inc.* | 350 | 14,613 | ||||||||
Clayton Williams Energy, Inc.* | 125 | 7,506 |
Industry | Company | Shares | Value | |||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||
Contango Oil & Gas Co.* | 150 | $ | 8,766 | |||||||
CVR Energy, Inc.* | 800 | 19,696 | ||||||||
Enbridge Energy Management LLC* | 356 | 11,000 | ||||||||
Endeavour International Corp.* | 350 | 5,274 | ||||||||
Energy Partners, Ltd.* | 375 | 5,554 | ||||||||
GeoResources, Inc.*+ | 250 | 5,622 | ||||||||
Goodrich Petroleum Corp.*+ | 350 | 6,444 | ||||||||
Gulfport Energy Corp.* | 450 | 13,360 | ||||||||
Magnum Hunter Resources Corp.*+ | 1,150 | 7,774 | ||||||||
Petroquest Energy, Inc.*+ | 600 | 4,212 | ||||||||
Resolute Energy Corp.*+ | 575 | 9,292 | ||||||||
Stone Energy Corp.* | 450 | 13,676 | ||||||||
Swift Energy Co.* | 400 | 14,908 | ||||||||
Triangle Petroleum Corp.*+ | 400 | 2,584 | ||||||||
Vanguard Natural Resources LLC | 275 | 7,733 | ||||||||
W&T Offshore, Inc. | 675 | 17,631 | ||||||||
Western Refining, Inc.*+ | 825 | 14,908 | ||||||||
Westmoreland Coal Co.* | 100 | 1,775 | ||||||||
|
| |||||||||
207,492 | ||||||||||
Paper & Forest Products - 1.06% |
| |||||||||
Buckeye Technologies, Inc. | 350 | 9,443 | ||||||||
Clearwater Paper Corp.* | 100 | 6,828 | ||||||||
Deltic Timber Corp. | 100 | 5,369 | ||||||||
KapStone Paper & Packaging Corp.* | 425 | 7,042 | ||||||||
Neenah Paper, Inc. | 150 | 3,192 | ||||||||
|
| |||||||||
31,874 | ||||||||||
Personal Products - 0.34% |
| |||||||||
Elizabeth Arden, Inc.* | 250 | 7,258 | ||||||||
Nature’s Sunshine Products, Inc.* | 150 | 2,922 | ||||||||
|
| |||||||||
10,180 | ||||||||||
Pharmaceuticals - 1.30% |
| |||||||||
Akorn, Inc.* | 875 | 6,125 | ||||||||
Auxilium Pharmaceuticals, Inc.* | 450 | 8,820 | ||||||||
Columbia Laboratories, Inc.* | 850 | 2,626 | ||||||||
Depomed, Inc.* | 500 | 4,090 | ||||||||
ISTA Pharmaceuticals, Inc.* | 300 | 2,294 | ||||||||
Jazz Pharmaceuticals, Inc.* | 400 | 13,340 |
www.bridgeway.com | 76 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011
|
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Pharmaceuticals (continued) |
| |||||||||
Pernix Therapeutics Holdings* | 200 | $ 1,702 | ||||||||
|
| |||||||||
38,997 | ||||||||||
Professional Services - 2.05% |
| |||||||||
Acacia Research - Acacia Technologies* | 400 | 14,676 | ||||||||
Corporate Executive Board Co. (The) | 300 | 13,095 | ||||||||
CoStar Group, Inc.* | 225 | 13,338 | ||||||||
CRA International, Inc.* | 100 | 2,709 | ||||||||
Exponent, Inc.* | 150 | 6,526 | ||||||||
GP Strategies Corp.* | 150 | 2,049 | ||||||||
Mistras Group, Inc.* | 225 | 3,645 | ||||||||
Odyssey Marine Exploration, Inc.*+ | 650 | 2,035 | ||||||||
On Assignment, Inc.* | 350 | 3,441 | ||||||||
|
| |||||||||
61,514 | ||||||||||
Real Estate Investment Trusts (REITs) - 3.91% |
| |||||||||
Associated Estates Realty Corp. | 400 | 6,500 | ||||||||
Colonial Properties Trust | 750 | 15,300 | ||||||||
Extra Space Storage, Inc. | 875 | 18,664 | ||||||||
First Industrial Realty Trust, Inc.* | 750 | 8,588 | ||||||||
Glimcher Realty Trust+ | 950 | 9,025 | ||||||||
Lexington Realty Trust+ | 1,350 | 12,325 | ||||||||
National Health Investors, Inc. | 250 | 11,107 | ||||||||
Post Properties, Inc. | 450 | 18,342 | ||||||||
Sun Communities, Inc. | 200 | 7,462 | ||||||||
U-Store-It Trust | 950 | 9,994 | ||||||||
|
| |||||||||
117,307 | ||||||||||
Road & Rail - 0.64% |
| |||||||||
Amerco, Inc.* | 200 | 19,230 | ||||||||
Semiconductors & Semiconductor Equipment - 3.85% |
| |||||||||
Cabot Microelectronics Corp.* | 200 | 9,294 | ||||||||
Cavium, Inc.*+ | 475 | 20,705 | ||||||||
CEVA, Inc.* | 225 | 6,854 | ||||||||
Diodes, Inc.* | 400 | 10,440 | ||||||||
FEI Co.* | 350 | 13,366 | ||||||||
GT Solar International, Inc.*+ | 1,150 | 18,630 | ||||||||
International Rectifier Corp.* | 650 | 18,180 | ||||||||
IXYS Corp* | 275 | 4,120 | ||||||||
PDF Solutions, Inc.* | 250 | 1,490 |
Industry | Company | Shares | Value | |||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||||
Silicon Image, Inc.* | 750 | $4,845 | ||||||||
Ultratech, Inc.* | 250 | 7,595 | ||||||||
|
| |||||||||
115,519 | ||||||||||
Software - 5.94% |
| |||||||||
ACI Worldwide, Inc.* | 300 | 10,131 | ||||||||
American Software, Inc., Class A | 250 | 2,078 | ||||||||
Bottomline Technologies, Inc.* | 300 | 7,413 | ||||||||
BroadSoft, Inc.* | 250 | 9,532 | ||||||||
Callidus Software, Inc.*+ | 325 | 1,901 | ||||||||
CommVault Systems, Inc.* | 400 | 17,780 | ||||||||
EPIQ Systems, Inc. | 350 | 4,977 | ||||||||
ePlus, Inc.* | 100 | 2,644 | ||||||||
Guidance Software, Inc.* | 200 | 1,630 | ||||||||
JDA Software Group, Inc.* | 400 | 12,356 | ||||||||
Magma Design Automation, Inc.* | 625 | 4,994 | ||||||||
MicroStrategy, Inc. Class A* | 100 | 16,268 | ||||||||
Monotype Imaging Holdings, Inc.* | 325 | 4,592 | ||||||||
Opnet Technologies, Inc. | 225 | 9,212 | ||||||||
Pervasive Software, Inc.* | 150 | 963 | ||||||||
RealD, Inc.*+ | 500 | 11,695 | ||||||||
SolarWinds, Inc.* | 675 | 17,644 | ||||||||
Taleo Corp., Class A* | 375 | 13,886 | ||||||||
TeleNav, Inc.* | 400 | 7,092 | ||||||||
Tyler Technologies, Inc.* | 300 | 8,034 | ||||||||
Ultimate Software Group, Inc.* | 250 | 13,608 | ||||||||
|
| |||||||||
178,430 | ||||||||||
Specialty Retail - 3.47% |
| |||||||||
Buckle, Inc. (The)+ | 450 | 19,215 | ||||||||
Childrens Place Retail Stores, Inc. (The)*+ | 250 | 11,122 | ||||||||
Cost Plus, Inc.* | 225 | 2,250 | ||||||||
Finish Line, Inc., Class A (The) | 500 | 10,700 | ||||||||
Hibbett Sports, Inc.* | 250 | 10,178 | ||||||||
Lithia Motors, Inc., Class A | 225 | 4,417 | ||||||||
New York & Co., Inc.* | 550 | 2,722 | ||||||||
Penske Automotive Group, Inc. | 850 | 19,329 | ||||||||
Rent-A-Center, Inc. | 600 | 18,336 | ||||||||
Stage Stores, Inc. | 350 | 5,880 | ||||||||
|
| |||||||||
104,149 |
77 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Textiles, Apparel & Luxury Goods - 1.51% |
| |||||||||
Crocs, Inc.* | 800 | $ 20,600 | ||||||||
Maidenform Brands, Inc.* | 200 | 5,532 | ||||||||
Timberland Co. (The), Class A* | 450 | 19,336 | ||||||||
|
| |||||||||
45,468 | ||||||||||
Thrifts & Mortgage Finance - 0.69% |
| |||||||||
Clifton Savings Bancorp, Inc. | 250 | 2,760 | ||||||||
First Pactrust Bancorp, Inc. | 100 | 1,486 | ||||||||
Fox Chase Bancorp, Inc. | 150 | 2,033 | ||||||||
Meridian Interstate Bancorp, Inc.* | 225 | 3,080 | ||||||||
Peoples Federal Bancshares, Inc.* | 50 | 704 | ||||||||
Territorial Bancorp, Inc. | 125 | 2,590 | ||||||||
ViewPoint Financial Group | 300 | 4,140 | ||||||||
WSFS Financial Corp. | 100 | 3,965 | ||||||||
|
| |||||||||
20,758 | ||||||||||
Trading Companies & Distributors - 1.95% |
| |||||||||
CAI International, Inc.* | 200 | 4,132 | ||||||||
GATX Corp. | 450 | 16,704 | ||||||||
H&E Equipment Services, Inc.* | 350 | 4,897 | ||||||||
Textainer Group Holdings, Ltd. | 450 | 13,833 | ||||||||
Titan Machinery, Inc.* | 150 | 4,317 | ||||||||
United Rentals, Inc.* | 575 | 14,605 | ||||||||
|
| |||||||||
58,488 | ||||||||||
Transportation Infrastructure - 0.41% |
| |||||||||
Macquarie Infrastructure Co. LLC | 450 | 12,420 | ||||||||
Water Utilities - 0.06% |
| |||||||||
York Water Co. | 100 | 1,655 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS - 99.38% |
| 2,983,870 | ||||||||
|
| |||||||||
(Cost $2,692,228) |
| |||||||||
EXCHANGE TRADED FUND - 0.55% |
| |||||||||
iShares Russell 2000 Index Fund+ | 200 | 16,560 | ||||||||
|
| |||||||||
TOTAL EXCHANGE TRADED FUND - 0.55% |
| 16,560 | ||||||||
|
| |||||||||
(Cost $16,093) |
|
Rate^ | Shares | Value | ||||||||||||
MONEY MARKET FUND - 0.09% |
| |||||||||||||
BlackRock FedFund | 0.01% | 2,518 | $ | 2,518 | ||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 0.09% |
| 2,518 | ||||||||||||
|
| |||||||||||||
(Cost $2,518) |
| |||||||||||||
TOTAL INVESTMENTS - 100.02% |
| $ | 3,002,948 | |||||||||||
(Cost $2,710,839) |
| |||||||||||||
Liabilities in Excess of Other Assets - (0.02%) |
| (561 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% |
| $ | 3,002,387 | |||||||||||
|
|
* | Non-income producing security. |
^ | Rate disclosed as of June 30, 2011. |
+ | This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $346,573 at June 30, 2011. |
LLC - Limited Liability Company
PLC - Public Limited Company
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Unobservable Inputs | Total | |||||||||||||
Common | ||||||||||||||||
Stocks | $ | 2,983,870 | $ | — | $ | — | $ | 2,983,870 | ||||||||
Exchange Traded | ||||||||||||||||
Fund | 16,560 | — | — | 16,560 | ||||||||||||
Money Market | ||||||||||||||||
Fund | — | 2,518 | — | 2,518 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 3,000,430 | $ | 2,518 | $ | — | $ | 3,002,948 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
www.bridgeway.com | 78 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Small-Cap Growth Fund Shareholder,
Our Fund appreciated 0.16% for the June 2011 quarter, outperforming our primary market benchmark, the Russell 2000 Growth Index (-0.59%), but slightly underperforming our peer benchmark, the Lipper Small-Cap Growth Funds Index (+0.23%). It was a mixed quarter on a relative basis.
For the fiscal year ended June 30, 2011, our Fund was up 36.17%, trailing both of our benchmarks, the Russell 2000 Growth Index (+43.50) and the Lipper Small-Cap Growth Funds Index (+41.91%). It was a strong fiscal year in absolute returns, but poor on the basis of relative returns.
The table below presents our June quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. 4/01/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | Life-to-Date 10/31/03 to 6/30/11 | |||||
Small-Cap Growth Fund | 0.16% | 36.17% | -3.27% | 2.95% | ||||
Russell 2000 Growth Index | -0.59% | 43.50% | 5.79% | 7.46% | ||||
Lipper Small-Cap Growth Funds Index | 0.23% | 41.91% | 4.77% | 6.20% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 2000 Growth Index is an unmanaged index that consists of stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Small-Cap Growth Funds Index is an index of small-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Small-Cap Growth Fund ranked 451st of 505 small-cap growth funds for the twelve-month period ended June 30, 2011, 391st of 393 over the last five years and 311th of 316 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
79 | Annual Report | June 30, 2011 |
Small-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
Small-Cap Growth Fund vs. Russell 2000 Growth Index & Lipper Small-Cap Growth Funds Index
from Inception 10/31/03 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary stocks highlighted the list of best contributors while Industrial stocks had a strong negative showing on the worst contributors list.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, Consumer Discretionary stocks highlighted the list of best performers for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Five related companies made the list; combined they contributed about two-and-a-half percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Crocs, Inc. | Textiles, Apparel & Luxury Goods | 0.9% | |||
2 | GT Solar International, Inc. | Semiconductors & Semiconductor Equipment | 0.9% | |||
3 | Ulta Salon Cosmetics & Fragrance, Inc. | Specialty Retail | 0.7% | |||
4 | Polypore International, Inc. | Electrical Equipment | 0.3% | |||
5 | Sally Beauty Holdings, Inc. | Specialty Retail | 0.3% | |||
6 | Digi International, Inc. | Communications Equipment | 0.3% | |||
7 | Monro Muffler Brake, Inc. | Specialty Retail | 0.3% | |||
8 | Ezcorp, Inc. | Consumer Finance | 0.3% | |||
9 | TriMas Corp. | Machinery | 0.3% | |||
10 | Select Comfort Corp. | Specialty Retail | 0.2% |
While many consumers have obviously kept spending in check as the recovery lumbers along, some still spare no expense on their appearance. Sally Beauty Holdings provides beauty supplies to salons and retail customers. Some of their brands include Clairol, L’Oreal, Paul Mitchell, and Conair. The company has been around since 1964 and has grown from one small store in New Orleans to over 3,500 across the country. Their most recent earnings report revealed improving margins and a 43% increase in sales. Sally Beauty’s share price jumped over 20% during the three month period.
www.bridgeway.com | 80 |
Small-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector impacted supply chains, particularly among auto makers and suppliers. Three industrial companies made the list of poorest contributors. Combined, they hindered the performance of the Fund by one percent. Additionally, commodity-related companies gave back some of their stellar gains of the prior quarters.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Cirrus Logic, Inc. | Semiconductors & Semiconductor Equipment | -0.5% | |||
2 | Bon-Ton Stores, Inc. | Multiline Retail | -0.5% | |||
3 | Great Lakes Dredge & Dock Corp. | Construction & Engineering | -0.4% | |||
4 | NN, Inc. | Machinery | -0.3% | |||
5 | ION Geophysical Corp. | Energy Equipment & Services | -0.3% | |||
6 | Providence Service Corp. (The) | Health Care Providers & Services | -0.3% | |||
7 | Corvel Corp. | Health Care Providers & Services | -0.3% | |||
8 | Arch Chemicals, Inc. | Chemicals | -0.2% | |||
9 | Ferro Corp. | Chemicals | -0.2% | |||
10 | Sunrise Senior Living, Inc. | Health Care Providers & Services | -0.2% |
So what happens when a company misses revenues by $26 million or more than 25% of analysts’ expectations? ION Geophysical can answer that question; the energy company’s share price dropped over 25% in the quarter. While earnings were still slightly positive for the quarter, one of ION’s key business units took a sizable hit due to the ongoing turmoil in the Middle East, in particular Libya. In fact, a multi-million dollar sale to the country was put on hold for an indefinite time period. ION was the Fund’s fifth worst contributor to quarterly performance.
Detailed Explanation of Fiscal Year Performance
The Short Version: Surprisingly, Consumer Discretionary stocks dominated the best contributors list, even in the slow economy. Information Technology stocks were also well represented.
A surge in retail activity in the second half of 2010 propelled a number of Consumer Discretionary companies to solid results for the fiscal year. All told, five related companies made the top contributors list for the twelve-month period. Combined, they returned over eight percent to the Fund’s performance.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Crocs, Inc. | Textiles, Apparel & Luxury Goods | 1.8% | |||
2 | Polypore International, Inc. | Electrical Equipment | 1.8% | |||
3 | Sauer-Danfoss, Inc. | Machinery | 1.7% | |||
4 | Nanometrics, Inc. | Semiconductors & Semiconductor Equipment | 1.5% | |||
5 | TriMas Corp. | Machinery | 1.5% | |||
6 | Ulta Salon Cosmetics & Fragrance, Inc. | Specialty Retail | 1.4% | |||
7 | Destination Maternity Corp. | Specialty Retail | 1.4% | |||
8 | Unisys Corp. | IT Services | 1.3% | |||
9 | Align Technology, Inc. | Health Care Equipment & Supplies | 1.3% | |||
10 | Informatica Corp. | Software | 1.2% |
Just because the economy is stagnant and the recovery has slowed doesn’t mean folks can’t be comfortable. Funky footwear (and apparel) maker Crocs was the Fund’s top contributor for the fiscal year and added almost two percent to the overall return. Since its IPO in early 2006, the company had been a stellar performer as consumers of all shapes and sizes jumped on the Crocs bandwagon. Perhaps laughed at by their friends at first, more and more people soon had an assortment of various colored (and “stylish”) Crocs on their own shoe racks. Suddenly, in late 2007 and 2008, the buzz disappeared, the fad looked to be over, and Crocs’ stock price plummeted close to penny stock territory. However, over the past twelve months, the craze
81 | Annual Report | June 30, 2011 ` |
Small-Cap Growth Fund | ||
MANAGER’S COMMENTARY (continued) |
has returned, Crocs is growing again (not just in the US, but also abroad) and revenues jumped over 30% in the most recent quarter. The company has continued to expand and late in 2010 opened new stores in Puerto Rico.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Corinthian Colleges, Inc. | Diversified Consumer Services | -0.9% | |||
2 | Lincoln Educational Services Corp. | Diversified Consumer Services | -0.7% | |||
3 | Lionbridge Technologies, Inc. | Internet Software & Services | -0.6% | |||
4 | Amedisys, Inc. | Health Care Providers & Services | -0.6% | |||
5 | Kirkland’s, Inc. | Specialty Retail | -0.6% | |||
6 | EnerNOC, Inc. | Commercial Services & Supplies | -0.5% | |||
7 | Sanmina-SCI Corp. | Electronic Equipment, Instruments & Components | -0.5% | |||
8 | FSI International, Inc. | Semiconductors & Semiconductor Equipment | -0.4% | |||
9 | Super Micro Computer, Inc. | Computers & Peripherals | -0.4% | |||
10 | Almost Family, Inc. | Health Care Providers & Services | -0.4% |
An interesting debate has sprung up surrounding the regulation and funding of for-profit colleges. Some colleges have been soundly criticized for charging too much tuition to students who can least afford to repay the loans. These critics believe the for-profit colleges have raised unrealistic expectations for future employment and thus prospects for repayment. On the other hand, some feel that market forces should not be hampered by additional regulations and that the for-profit colleges fill a needed gap. As a result of some pretty dismal statistics released in August 2010 about industry-wide loan repayment rates, the Department of Education proposed new regulations that will penalize schools that fall below certain minimums and will potentially cut them off from being allowed to offer federal student loans. Corinthian Colleges was one of many private education companies that failed to meet the minimum guidelines, and enrollment in its institutions could drop considerably should its students be unable to receive much needed aid. Company management dramatically lowered its earnings outlook as a result of the new proposed standards. For years, certain critics of these institutions have claimed that they fail to prepare students for the jobs market (particularly a tough jobs market), and graduates often are unable to pay back government loans. These regulations could change the entire dynamic of the private education industry. Corinthian Colleges’ stock price dropped almost 50%, and it was the Fund’s worst performer.
Top Ten Holdings as of June 30, 2011
Six of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Ulta Salon, GT Solar, Crocs, Ezcorp, Polypore, and Monro Muffler Brake. The Fund was broadly diversified across industries, and no single holding accounted for greater than 2.6% of the net assets. The ten largest positions represented just over 20% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | Ulta Salon Cosmetics & Fragrance, Inc. | Specialty Retail | 2.6% | |||
2 | RPC, Inc. | Energy Equipment & Services | 2.5% | |||
3 | GT Solar International, Inc. | Semiconductors & Semiconductor Equipment | 2.5% | |||
4 | Crocs, Inc. | Textiles, Apparel & Luxury Goods | 2.4% | |||
5 | Ezcorp, Inc. | Consumer Finance | 2.2% | |||
6 | Polypore International, Inc. | Electrical Equipment | 2.2% | |||
7 | Monro Muffler Brake, Inc. | Specialty Retail | 2.0% | |||
8 | Sauer-Danfoss, Inc. | Machinery | 2.0% | |||
9 | FEI Co. | Semiconductors & Semiconductor Equipment | 2.0% | |||
10 | Sinclair Broadcast Group, Inc. | Media | 1.9% | |||
Total | 22.3% |
www.bridgeway.com | 82 |
Small-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
Industry Sector Representation as of June 30, 2011
Our Fund’s sectors with the largest overweighting for the June quarter end were Industrials and Consumer Discretionary. The Consumer Discretionary sector was a solid performer, as were our models’ stock picks in that sector. Our largest underweighting was in Health Care.
% of Net Assets | % of Russell 2000 Growth Index | Difference | ||||
Consumer Discretionary | 19.0% | 14.8% | 4.2% | |||
Consumer Staples | 1.8% | 3.8% | -2.0% | |||
Energy | 5.0% | 8.7% | -3.7% | |||
Financials | 5.4% | 7.3% | -1.9% | |||
Health Care | 15.0% | 19.2% | -4.2% | |||
Industrials | 21.6% | 15.6% | 6.0% | |||
Information Technology | 24.5% | 24.6% | -0.1% | |||
Materials | 4.6% | 4.6% | 0.0% | |||
Telecommunication Services | 2.8% | 1.3% | 1.5% | |||
Utilities | 0.0% | 0.1% | -0.1% | |||
Cash & Other Assets | 0.3% | 0.0% | 0.3% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Small-Cap Growth Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
83 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.84% |
| |||||||||
Air Freight & Logistics - 1.11% |
| |||||||||
Park-Ohio Holdings Corp.* | 24,600 | $ | 520,044 | |||||||
Airlines - 1.17% |
| |||||||||
Alaska Air Group, Inc.* | 8,000 | 547,680 | ||||||||
Auto Components - 2.32% |
| |||||||||
American Axle & Manufacturing Holdings, Inc.* | 47,100 | 535,998 | ||||||||
Tenneco, Inc.* | 12,400 | 546,468 | ||||||||
|
| |||||||||
1,082,466 | ||||||||||
Beverages - 0.75% |
| |||||||||
Coca-Cola Bottling Co., Consolidated | 5,200 | 351,832 | ||||||||
Capital Markets - 1.51% |
| |||||||||
Virtus Investment Partners, Inc.* | 11,600 | 704,120 | ||||||||
Chemicals - 2.61% |
| |||||||||
Arch Chemicals, Inc. | 15,900 | 547,596 | ||||||||
Flotek Industries, Inc.* | 78,900 | 672,228 | ||||||||
|
| |||||||||
1,219,824 | ||||||||||
Commercial Services & Supplies - 3.19% |
| |||||||||
A.T. Cross Co., Class A* | 11,200 | 127,568 | ||||||||
Consolidated Graphics, Inc.* | 14,500 | 796,775 | ||||||||
Deluxe Corp. | 22,900 | 565,859 | ||||||||
|
| |||||||||
1,490,202 | ||||||||||
Communications Equipment - 2.60% |
| |||||||||
Digi International, Inc.* | 43,900 | 570,700 | ||||||||
Emcore Corp.*+ | 217,500 | 595,950 | ||||||||
Globecomm Systems, Inc.* | 3,100 | 48,236 | ||||||||
|
| |||||||||
1,214,886 | ||||||||||
Construction & Engineering - 1.01% |
| |||||||||
MYR Group, Inc.* | 20,200 | 472,680 | ||||||||
Consumer Finance - 3.89% |
| |||||||||
Credit Acceptance Corp.* | 6,400 | 540,608 | ||||||||
Dollar Financial Corp.* | 10,500 | 227,325 | ||||||||
Ezcorp, Inc., Class A* | 29,500 | 1,049,463 | ||||||||
|
| |||||||||
1,817,396 | ||||||||||
Containers & Packaging - 0.47% |
| |||||||||
Rock-Tenn Co., Class A | 3,300 | 218,922 | ||||||||
Diversified Consumer Services - 1.02% |
| |||||||||
Bridgepoint Education, Inc.*+ | 19,000 | 475,000 |
Industry | Company | Shares | Value | |||||||
Diversified Telecommunication Services - 2.81% |
| |||||||||
Alaska Communications Systems Group, Inc.+ | 51,700 | $ | 458,579 | |||||||
SureWest Communications | 14,400 | 240,768 | ||||||||
Vonage Holdings Corp.* | 138,700 | 611,667 | ||||||||
|
| |||||||||
1,311,014 | ||||||||||
Electrical Equipment - 2.21% |
| |||||||||
Polypore International, Inc.* | 15,200 | 1,031,168 | ||||||||
Electronic Equipment, Instruments & Components - 6.59% |
| |||||||||
Brightpoint, Inc.* | 31,600 | 256,276 | ||||||||
Insight Enterprises, Inc.* | 33,700 | 596,827 | ||||||||
LeCroy Corp.* | 57,800 | 695,912 | ||||||||
OSI Systems, Inc.* | 16,300 | 700,900 | ||||||||
Richardson Electronics, Ltd. | 60,900 | 827,631 | ||||||||
|
| |||||||||
3,077,546 | ||||||||||
Energy Equipment & Services - 3.31% |
| |||||||||
ION Geophysical Corp.* | 38,500 | 364,210 | ||||||||
RPC, Inc.+ | 48,050 | 1,179,147 | ||||||||
|
| |||||||||
1,543,357 | ||||||||||
Food & Staples Retailing - 1.03% |
| |||||||||
Ruddick Corp. | 11,000 | 478,940 | ||||||||
Health Care Equipment & Supplies - 3.52% |
| |||||||||
Align Technology, Inc.* | 21,900 | 499,320 | ||||||||
Invacare Corp. | 7,700 | 255,563 | ||||||||
Orthofix International NV* | 10,084 | 428,267 | ||||||||
Synergetics USA, Inc.* | 83,900 | 462,289 | ||||||||
|
| |||||||||
1,645,439 | ||||||||||
Health Care Providers & Services - 10.97% |
| |||||||||
AMERIGROUP Corp.*# | 11,700 | 824,499 | ||||||||
Corvel Corp.* | 18,500 | 867,650 | ||||||||
Ensign Group, Inc. (The) | 14,300 | 434,577 | ||||||||
Metropolitan Health Networks, Inc.* | 129,900 | 622,221 | ||||||||
MWI Veterinary Supply, Inc.* | 9,500 | 767,315 | ||||||||
PharMerica Corp.* | 22,500 | 287,100 | ||||||||
Providence Service Corp. (The)* | 52,100 | 659,065 | ||||||||
Sunrise Senior Living, Inc.*+ | 43,100 | 410,743 | ||||||||
U.S. Physical Therapy, Inc. | 10,200 | 252,246 | ||||||||
|
| |||||||||
5,125,416 | ||||||||||
Hotels, Restaurants & Leisure - 0.67% |
| |||||||||
CEC Entertainment, Inc. | 7,800 | 312,858 |
www.bridgeway.com | 84 |
Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Internet Software & Services - 1.90% |
| |||||||||
j2 Global Communications, Inc.* | 11,800 | $ | 333,114 | |||||||
Travelzoo, Inc.*+ | 8,600 | 555,904 | ||||||||
|
| |||||||||
889,018 | ||||||||||
IT Services - 4.10% |
| |||||||||
CACI International, Inc., Class A* | 7,700 | 485,716 | ||||||||
Cardtronics, Inc.* | 20,700 | 485,415 | ||||||||
Cognizant Technology Solutions Corp., Class A* | 6,680 | 489,911 | ||||||||
Computer Task Group, Inc.* | 34,600 | 455,682 | ||||||||
|
| |||||||||
1,916,724 | ||||||||||
Machinery - 9.14% |
| |||||||||
Altra Holdings, Inc.* | 19,700 | 472,603 | ||||||||
NACCO Industries, Inc., Class A | 4,800 | 464,736 | ||||||||
NN, Inc.* | 55,100 | 824,296 | ||||||||
Sauer-Danfoss, Inc.* | 18,400 | 927,176 | ||||||||
Titan International, Inc. | 18,600 | 451,236 | ||||||||
TriMas Corp.* | 30,800 | 762,300 | ||||||||
Twin Disc, Inc. | 9,500 | 366,985 | ||||||||
|
| |||||||||
4,269,332 | ||||||||||
Media - 2.41% |
| |||||||||
Knology, Inc.* | 16,700 | 247,995 | ||||||||
Sinclair Broadcast Group, Inc., Class A | 80,100 | 879,498 | ||||||||
|
| |||||||||
1,127,493 | ||||||||||
Metals & Mining - 1.54% |
| |||||||||
Materion Corp.* | 19,400 | 717,218 | ||||||||
Oil, Gas & Consumable Fuels - 1.76% |
| |||||||||
Cheniere Energy, Inc.* | 42,900 | 392,964 | ||||||||
Venoco, Inc.* | 13,700 | 174,538 | ||||||||
Westmoreland Coal Co.* | 14,400 | 255,600 | ||||||||
|
| |||||||||
823,102 | ||||||||||
Pharmaceuticals - 0.49% |
| |||||||||
Medicines Co. (The)* | 13,900 | 229,489 | ||||||||
Professional Services - 1.11% |
| |||||||||
Insperity, Inc. | 17,500 | 518,175 | ||||||||
Semiconductors & Semiconductor Equipment - 8.15% |
| |||||||||
Brooks Automation, Inc.* | 34,300 | 372,498 | ||||||||
Entegris, Inc.* | 37,600 | 380,512 | ||||||||
FEI Co.* | 24,200 | 924,198 | ||||||||
GT Solar International, Inc.*+ | 71,700 | 1,161,540 |
Industry | Company | Shares | Value | |||||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||||||
Kulicke & Soffa Industries, Inc.* | 28,200 | $ | 314,148 | |||||||||
Lattice Semiconductor Corp.* | 35,500 | 231,460 | ||||||||||
Veeco Instruments, Inc.*+ | 8,700 | 421,167 | ||||||||||
|
| |||||||||||
3,805,523 | ||||||||||||
Software - 1.18% |
| |||||||||||
ePlus, Inc.* | 8,900 | 235,316 | ||||||||||
Informatica Corp.* | 5,400 | 315,522 | ||||||||||
|
| |||||||||||
550,838 | ||||||||||||
Specialty Retail - 8.95% |
| |||||||||||
Cost Plus, Inc.* | 44,800 | 448,000 | ||||||||||
Destination Maternity Corp. | 10,800 | 215,784 | ||||||||||
Monro Muffler Brake, Inc. | 25,050 | 934,115 | ||||||||||
Sally Beauty Holdings, Inc.* | 48,800 | 834,480 | ||||||||||
Select Comfort Corp.* | 29,400 | 528,612 | ||||||||||
Ulta Salon Cosmetics & Fragrance, Inc.* | 18,900 | 1,220,562 | ||||||||||
|
| |||||||||||
4,181,553 | ||||||||||||
Textiles, Apparel & Luxury Goods - 3.63% |
| |||||||||||
Crocs, Inc.* | 43,300 | 1,114,975 | ||||||||||
Deckers Outdoor Corp.* | 6,600 | 581,724 | ||||||||||
|
| |||||||||||
1,696,699 | ||||||||||||
Trading Companies & Distributors - 2.72% |
| |||||||||||
DXP Enterprises, Inc.* | 27,700 | 702,195 | ||||||||||
Kaman Corp. | 6,500 | 230,555 | ||||||||||
Titan Machinery, Inc.* | 11,800 | 339,604 | ||||||||||
|
| |||||||||||
1,272,354 | ||||||||||||
|
| |||||||||||
TOTAL COMMON STOCKS - 99.84% (Cost $36,805,813) |
| 46,638,308 | ||||||||||
|
| |||||||||||
Rate^ | Shares | Value | ||||||||||
MONEY MARKET FUND - 1.01% |
| |||||||||||
BlackRock FedFund | 0.01% | 472,996 | 472,996 | |||||||||
|
| |||||||||||
TOTAL MONEY MARKET FUND - 1.01% (Cost $472,996) |
| 472,996 | ||||||||||
|
|
85 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Value | ||||||||
TOTAL INVESTMENTS - 100.85% | $ | 47,111,304 | ||||||
(Cost $37,278,809) | ||||||||
Liabilities in Excess of Other Assets - (0.85%) | (394,802 | ) | ||||||
|
| |||||||
NET ASSETS - 100.00% | $ | 46,716,502 | ||||||
|
|
* | Non-income producing security. |
# | Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $824,499. |
^ | Rate disclosed as of June 30, 2011. |
+ | This security or a portion of the security is out on loan at June 30, 2011. |
Total loaned securities had a value of $5,093,630 at June 30, 2011. |
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): | ||||||||||||||||
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 46,638,308 | $ | — | $ | — | $ | 46,638,308 | ||||||||
Money Market Fund | — | 472,996 | — | 472,996 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 46,638,308 | $ | 472,996 | $ | — | $ | 47,111,304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** Swaps | $ | — | $ | 7,720 | $ | — | $ | 7,720 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 7,720 | $ | — | $ | 7,720 | ||||||||
|
|
|
|
|
|
|
| |||||||||
** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.
See Notes to Financial Statements. |
|
www.bridgeway.com | 86 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Small-Cap Value Fund Shareholder,
Our Fund declined 1.37% for the quarter ended June 30, 2011, outpacing both our primary market benchmark, the Russell 2000 Value Index (-2.65%), and our peer benchmark, the Lipper Small-Cap Value Funds Index (-2.75%). We are pleased with the result.
For the fiscal year ended June 30, 2011, our Fund appreciated 32.73%, beating the Russell 2000 Value Index (+31.35%), but trailing the Lipper Small-Cap Value Funds Index (33.07%). We are generally pleased with the returns, although we still have ground to make up on the longer-term five year returns.
The table below presents our June quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | Life-to-Date to 6/30/11 | |||||
Small-Cap Value Fund | -1.37% | 32.73% | -0.78% | 5.80% | ||||
Russell 2000 Value Index | -2.65% | 31.35% | 2.24% | 7.16% | ||||
Lipper Small-Cap Value Funds Index | -2.75% | 33.07% | 4.02% | 8.29% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. The Lipper Small-Cap Value Funds Index is an index of small-company, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Small-Cap Value Fund ranked 121st of 246 small-cap core funds for the twelve-month period ended June 30, 2011, 188th of 197 over the last five years and 128th of 142 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
87 | Annual Report | June 30, 2011 |
Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Small-Cap Value Fund vs. Russell 2000 Value Index & Lipper Small-Cap Value Funds Index from Inception 10/31/03 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary stocks led the best contributors list, while Materials stocks had three companies on the worst contributors list.
Despite the fact that many consumers remained concerned about the economy and their individual job prospects for the future, consumer discretionary stocks topped the list of best performers for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Four related companies made the list and combined they contributed about one-and-a-quarter percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Healthspring, Inc. | Health Care Providers & Services | 0.5% | |||
2 | International Coal Group, Inc. | Metals & Mining | 0.4% | |||
3 | Advance America, Cash Advance Centers, Inc. | Consumer Finance | 0.4% | |||
4 | Blyth, Inc. | Household Durables | 0.4% | |||
5 | Sally Beauty Holdings, Inc. | Specialty Retail | 0.3% | |||
6 | Dillard’s, Inc. | Multiline Retail | 0.3% | |||
7 | ValueVision Media, Inc. | Internet & Catalog Retail | 0.2% | |||
8 | OSI Systems, Inc. | Electronic Equipment, Instruments & Components | 0.2% | |||
9 | Emcore Corp. | Communication Equipment | 0.2% | |||
10 | PH Glatfelter Co. | Paper & Forest Products | 0.2% |
While consumers have kept spending in check as the recovery progresses more slowly than expected, many still spare no expense to look beautiful. Sally Beauty Holdings provides beauty supplies to salons and retail customers. Some of their brands include Clairol, L’Oreal, Paul Mitchell, and Conair. Founded in 1964, the company has grown from one small store in New Orleans to over 3,500 across the country. The most recent earnings report revealed improving margins and a 43% increase in sales. Sally Beauty’s share price jumped over 20% during the three month period.
The aftermath of the Japanese earthquake and tsunami has been felt throughout the manufacturing sector as supply chains have been impacted, particularly among auto makers and suppliers. Additionally, commodity-related companies gave back some of their stellar gains of the prior quarters. The three chemical companies appearing among the quarter’s worst performers cost the Fund about three-quarters-of-a-percent in return.
www.bridgeway.com | 88 |
Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Hercules Offshore, Inc. | Energy Equipment & Services | -0.4% | |||
2 | Great Lakes Dredge & Dock Corp. | Construction & Engineering | -0.4% | |||
3 | Employers Holdings, Inc. | Insurance | -0.4% | |||
4 | Ferro Corp. | Chemicals | -0.3% | |||
5 | MPG Office Trust, Inc. | Real Estate Investment Trusts (REITs) | -0.3% | |||
6 | Petroleum Development Corp. | Oil, Gas & Consumable Fuels | -0.3% | |||
7 | United Rentals, Inc. | Trading Companies & Distributors | -0.3% | |||
8 | Gramercy Capital Corp. | Real Estate Investment Trusts (REITs) | -0.3% | |||
9 | Arch Chemicals, Inc. | Chemicals | -0.2% | |||
10 | Georgia Gulf Corp. | Chemicals | -0.2% |
Arch Chemicals was one of three chemical companies to make the list of worst performers. The company provides solutions to eliminate bacteria in a number of consumer-related products, including shampoos and pool water cleaners. In May, it posted lower-than-expected earnings after costs had increased at a higher pace than revenues. As commodity prices rose in recent months, the inflated cost of Arch’s raw materials put pressure on profit margins. Further, management was hesitant to raise prices due to intense competition in several of its markets. The holding lost over 15% of its value during the period.
Detailed Explanation of Fiscal Year Performance
The Short Version: Health Care stocks proved to be among the strongest contributors to the Fund’s return, while Financial stocks hurt performance the most.
So far, governmental regualtions on health care have not killed business or the insurance indutry. Health Care holdings headlined the list of top contributors as two Health Care companies combined to add four-and-a-half percent to the Fund’s performance.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Healthspring, Inc. | Health Care Providers & Services | 3.5% | |||
2 | World Acceptance Corp. | Consumer Finance | 1.6% | |||
3 | Hercules Offshore, Inc. | Energy Equipment & Services | 1.3% | |||
4 | Polypore International, Inc. | Chemicals | 1.3% | |||
5 | Pioneer Drilling Co. | Energy Equipment & Services | 1.2% | |||
6 | Unisys Corp. | IT Services | 1.2% | |||
7 | First Industrial Realty Trust, Inc. | Real Estate Investment Trusts (REITs) | 1.2% | |||
8 | Vonage Holdings Corp. | Diversified Telecommunication Services | 1.1% | |||
9 | Cinemark Holdings, Inc. | Media | 1.0% | |||
10 | Par Pharmaceutical Cos., Inc. | Pharmaceuticals | 1.0% |
89 | Annual Report | June 30, 2011 |
Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Healthspring wasn’t fazed by the new health care laws that people believed would kill the managed care industry. The managed care company reported earnings that grew over 30% in the recent quarter after its Medicare program was significantly enhanced by the November 2010 acquisition of Bravo Health. Revenues soared by over 80%, and membership growth continued to expand. In May, S&P raised its outlook on the company to “positive,” and analysts believe it will be a key player in this competitive industry over the long-term. Healthspring’s value skyrocketed almost 200%; the holding was the Fund’s top contributor for the fiscal year.
While many “too big to fail” financial services companies appeared to be back on track after the mortgage debacle of 2008, a number of the middle market institutions have struggled. Three finance-related stocks made the worst contributors list. Combined, they cost the Fund over one-and-a-half percent of return over the past 12 months.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Callon Petroleum Co. | Oil, Gas & Consumable Fuels | -0.7% | |||
2 | Flagstar Bancorp, Inc. | Commercial Banks | -0.7% | |||
3 | Sanmina-SCI Corp. | Electronic Equipment, Instruments & Components | -0.6% | |||
4 | Beneficial Mutual Bancorp, Inc. | Commercial Banks | -0.5% | |||
5 | Gentiva Health Services, Inc. | Health Care Providers & Services | -0.4% | |||
6 | Wave Systems Corp. | Internet Software & Services | -0.4% | |||
7 | Seneca Foods Corp. | Food Products | -0.4% | |||
8 | Super Micro Computer, Inc. | Computers & Peripherals | -0.4% | |||
9 | Gramercy Capital Corp. | Real Estate Investment Trusts (REITs) | -0.3% | |||
10 | Newpark Resources, Inc. | Energy Equipment & Services | -0.3% |
Flagstar Bancorp serves individuals and small- to mid-sized businesses, primarily in Michigan and Indiana. In October, it was forced to raise an additional $380 million in capital to improve its balance sheet position, diluting the ownership of its prior shareholders by a considerable amount. In fact, the new shares began trading at half the closing price of the prior day. Flagstar posted a net loss in a recent report that nevertheless showed improvement from the prior quarter. Management believes the steps it has taken will improve prospects for success over the long haul. Flagstar lost almost 50% during the fiscal year and was the Fund’s worst performer.
Top Ten Holdings as of June 30, 2011
Two of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Healthspring and Sally Beauty. The Fund was diversified across industries, although Financials maintained a sizable allocation (as did the market benchmark). No single holding accounted for greater than 2.7% of the net assets. The ten largest positions represented just over 20% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | Healthspring, Inc. | Health Care Providers & Services | 2.7% | |||
2 | First Industrial Realty Trust, Inc. | Real Estate Investment Trusts (REITs) | 2.6% | |||
3 | BioMed Realty Trust, Inc. | Real Estate Investment Trusts (REITs) | 2.1% | |||
4 | Photronics, Inc. | Semiconductors & Semiconductor Equipment | 2.1% | |||
5 | Sinclair Broadcast Group, Inc. | Media | 2.0% | |||
6 | Hercules Offshore, Inc. | Energy Equipment & Services | 2.0% | |||
7 | Kaiser Aluminum Corp. | Metals & Mining | 1.9% | |||
8 | Sally Beauty Holdings, Inc. | Specialty Retail | 1.8% | |||
9 | Mueller Industries, Inc. | Machinery | 1.8% | |||
10 | Safety Insurance Group, Inc. | Insurance | 1.7% | |||
Total | 20.7% |
www.bridgeway.com | 90 |
Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Industry Sector Representation as of June 30, 2011 |
The Fund’s sector weightings were similar to those on the Russell 2000 Value Index. The largest overweighted sector, Materials, had about two and one half percent more than the Index.
% of Net Assets | % of Russell 2000 Value Index | Difference | ||||||||
Consumer Discretionary | 10.6% | 11.9% | -1.3% | |||||||
Consumer Staples | 3.4% | 2.9% | 0.5% | |||||||
Energy | 7.1% | 5.4% | 1.7% | |||||||
Financials | 35.9% | 34.1% | 1.8% | |||||||
Health Care | 5.8% | 5.7% | 0.1% | |||||||
Industrials | 14.3% | 15.3% | -1.0% | |||||||
Information Technology | 9.4% | 12.1% | -2.7% | |||||||
Materials | 7.9% | 5.3% | 2.6% | |||||||
Telecommunication Services | 2.5% | 0.9% | 1.6% | |||||||
Utilities | 2.5% | 6.4% | -3.9% | |||||||
Cash & Other Assets | 0.6% | 0.0% | 0.6% | |||||||
Total | 100.0 | % | 100.0 | % |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance
Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
91 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.45% |
| |||||||||
Aerospace & Defense - 2.23% | ||||||||||
Ceradyne, Inc.* | 20,300 | $ | 791,497 | |||||||
Curtiss-Wright Corp. | 15,300 | 495,261 | ||||||||
Esterline Technologies Corp.* | 10,500 | 802,200 | ||||||||
|
| |||||||||
2,088,958 | ||||||||||
Airlines - 3.84% |
| |||||||||
Alaska Air Group, Inc.* | 22,200 | 1,519,812 | ||||||||
Republic Airways Holdings, Inc.* | 157,500 | 859,950 | ||||||||
SkyWest, Inc. | 37,200 | 560,232 | ||||||||
US Airways Group, Inc.*+ | 73,600 | 655,776 | ||||||||
|
| |||||||||
3,595,770 | ||||||||||
Auto Components - 0.46% |
| |||||||||
Modine Manufacturing Co.* | 28,000 | 430,360 | ||||||||
Beverages - 0.96% |
| |||||||||
Craft Brewers Alliance, Inc.*+ | 104,500 | 899,745 | ||||||||
Capital Markets - 1.62% |
| |||||||||
Arlington Asset Investment Corp., Class A+ | 32,700 | 1,026,453 | ||||||||
Calamos Asset Management, Inc., Class A | 34,100 | 495,132 | ||||||||
|
| |||||||||
1,521,585 | ||||||||||
Chemicals - 4.20% |
| |||||||||
Arch Chemicals, Inc. | 32,900 | 1,133,076 | ||||||||
Quaker Chemical Corp. | 32,500 | 1,397,825 | ||||||||
Westlake Chemical Corp. | 27,000 | 1,401,300 | ||||||||
|
| |||||||||
3,932,201 | ||||||||||
Commercial Banks - 4.18% |
| |||||||||
BancFirst Corp. | 11,000 | 424,600 | ||||||||
Bancorp, Inc. (The)* | 47,200 | 493,240 | ||||||||
City Holding Co. | 39,100 | 1,291,473 | ||||||||
Merchants Bancshares, Inc. | 11,500 | 281,405 | ||||||||
Republic Bancorp, Inc., Class A | 19,700 | 392,030 | ||||||||
SVB Financial Group* | 8,400 | 501,564 | ||||||||
United Community Banks, Inc.*+ | 50,452 | 532,773 | ||||||||
|
| |||||||||
3,917,085 | ||||||||||
Commercial Services & Supplies - 0.59% |
| |||||||||
UniFirst Corp. | 9,800 | 550,662 | ||||||||
Communications Equipment - 1.26% |
| |||||||||
Emcore Corp.*+ | 430,000 | 1,178,200 |
Industry | Company | Shares | Value | |||||||
Construction & Engineering - 2.58% |
| |||||||||
Great Lakes Dredge & Dock Corp. | 168,600 | $ | 940,788 | |||||||
MasTec, Inc.* | 75,000 | 1,479,000 | ||||||||
|
| |||||||||
2,419,788 | ||||||||||
Consumer Finance - 4.39% |
| |||||||||
Advance America, Cash Advance Centers, Inc. | 217,400 | 1,497,886 | ||||||||
Ezcorp, Inc., Class A* | 32,400 | 1,152,630 | ||||||||
Nelnet, Inc., Class A | 22,200 | 489,732 | ||||||||
World Acceptance Corp.*+ | 14,900 | 976,993 | ||||||||
|
| |||||||||
4,117,241 | ||||||||||
Containers & Packaging - 0.45% |
| |||||||||
Rock-Tenn Co., Class A | 6,400 | 424,576 | ||||||||
Diversified Financial Services - 0.61% |
| |||||||||
Interactive Brokers Group, Inc., Class A | 36,400 | 569,660 | ||||||||
Diversified Telecommunication Services - 2.50% |
| |||||||||
IDT Corp., Class B | 41,500 | 1,121,330 | ||||||||
Vonage Holdings Corp.* | 277,700 | 1,224,657 | ||||||||
|
| |||||||||
2,345,987 | ||||||||||
Electric Utilities - 1.48% |
| |||||||||
Cleco Corp. | 10,500 | 365,925 | ||||||||
El Paso Electric Co. | 31,500 | 1,017,450 | ||||||||
|
| |||||||||
1,383,375 | ||||||||||
Electronic Equipment, Instruments & Components - 4.54% |
| |||||||||
Insight Enterprises, Inc.* | 67,400 | 1,193,654 | ||||||||
OSI Systems, Inc.* | 33,700 | 1,449,100 | ||||||||
Richardson Electronics, Ltd. | 118,600 | 1,611,774 | ||||||||
|
| |||||||||
4,254,528 | ||||||||||
Energy Equipment & Services - 4.27% |
| |||||||||
Complete Production Services, Inc.* | 29,500 | 984,120 | ||||||||
Hercules Offshore, Inc.* | 339,300 | 1,869,543 | ||||||||
Pioneer Drilling Co.* | 75,100 | 1,144,524 | ||||||||
|
| |||||||||
3,998,187 | ||||||||||
Food & Staples Retailing - 1.13% |
| |||||||||
Pantry, Inc. (The)* | 31,900 | 599,401 | ||||||||
Ruddick Corp. | 10,600 | 461,524 | ||||||||
|
| |||||||||
1,060,925 | ||||||||||
Food Products - 1.32% |
| |||||||||
Fresh Del Monte Produce, Inc. | 20,600 | 549,402 |
www.bridgeway.com | 92 |
Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Food Products (continued) |
| |||||||||
Omega Protein Corp.* | 50,000 | $ | 690,000 | |||||||
|
| |||||||||
1,239,402 | ||||||||||
Gas Utilities - 0.48% |
| |||||||||
Chesapeake Utilities Corp. | 11,300 | 452,339 | ||||||||
Health Care Providers & Services - 5.35% |
| |||||||||
Healthspring, Inc.* | 54,500 | 2,512,995 | ||||||||
Kindred Healthcare, Inc.* | 39,500 | 848,065 | ||||||||
PharMerica Corp.* | 44,400 | 566,544 | ||||||||
Triple-S Management Corp., Class B* | 26,100 | 567,153 | ||||||||
U.S. Physical Therapy, Inc. | 21,000 | 519,330 | ||||||||
|
| |||||||||
5,014,087 | ||||||||||
Hotels, Restaurants & Leisure - 0.52% |
| |||||||||
Town Sports International Holdings, Inc.* | 64,400 | 490,084 | ||||||||
Household Durables - 1.11% |
| |||||||||
Blyth, Inc. | 20,600 | 1,037,210 | ||||||||
Insurance - 11.95% |
| |||||||||
AmTrust Financial Services, Inc. | 27,200 | 619,616 | ||||||||
Argo Group International Holdings, Ltd. | 14,900 | 442,828 | ||||||||
CNO Financial Group, Inc.* | 130,000 | 1,028,300 | ||||||||
Employers Holdings, Inc. | 89,900 | 1,507,623 | ||||||||
Harleysville Group, Inc. | 35,200 | 1,097,184 | ||||||||
Infinity Property & Casualty Corp. | 22,400 | 1,224,384 | ||||||||
Meadowbrook Insurance Group, Inc. | 149,800 | 1,484,518 | ||||||||
ProAssurance Corp.* | 13,300 | 931,000 | ||||||||
RLI Corp.+ | 13,400 | 829,728 | ||||||||
Safety Insurance Group, Inc. | 38,600 | 1,622,744 | ||||||||
Universal Insurance Holdings, Inc. | 87,491 | 408,583 | ||||||||
|
| |||||||||
11,196,508 | ||||||||||
Internet & Catalog Retail - 1.20% |
| |||||||||
ValueVision Media, Inc., Class A* | 147,000 | 1,124,550 | ||||||||
IT Services - 1.06% |
| |||||||||
CACI International, Inc., Class A* | 15,800 | 996,664 | ||||||||
Machinery - 2.54% |
| |||||||||
Lydall, Inc.* | 58,500 | 699,660 | ||||||||
Mueller Industries, Inc. | 44,400 | 1,683,204 | ||||||||
|
| |||||||||
2,382,864 | ||||||||||
Industry | Company | Shares | Value | |||||||
Marine - 0.91% |
| |||||||||
International Shipholding Corp. | 39,900 | $ | 849,072 | |||||||
Media - 2.01% |
| |||||||||
Sinclair Broadcast Group, Inc., Class A | 171,200 | 1,879,776 | ||||||||
Metals & Mining - 1.86% |
| |||||||||
Kaiser Aluminum Corp. | 31,900 | 1,742,378 | ||||||||
Multiline Retail - 1.47% |
| |||||||||
Dillard’s, Inc., Class A | 26,500 | 1,381,710 | ||||||||
Multi-Utilities - 0.50% |
| |||||||||
Avista Corp. | 18,400 | 472,696 | ||||||||
Oil, Gas & Consumable Fuels - 2.82% |
| |||||||||
Knightsbridge Tankers, Ltd.+ | 57,800 | 1,273,334 | ||||||||
Petroleum Development Corp.* | 15,700 | 469,587 | ||||||||
Swift Energy Co.* | 10,200 | 380,154 | ||||||||
Westmoreland Coal Co.* | 29,300 | 520,075 | ||||||||
|
| |||||||||
2,643,150 | ||||||||||
Paper & Forest Products - 1.40% |
| |||||||||
PH Glatfelter Co. | 85,600 | 1,316,528 | ||||||||
Pharmaceuticals - 0.50% |
| |||||||||
Medicines Co. (The)* | 28,500 | 470,535 | ||||||||
Real Estate Investment Trusts (REITs) - 12.49% |
| |||||||||
ARMOUR Residential REIT, Inc.+ | 59,300 | 435,855 | ||||||||
BioMed Realty Trust, Inc. | 103,000 | 1,981,720 | ||||||||
First Industrial Realty Trust, Inc.*+ | 209,700 | 2,401,065 | ||||||||
Gramercy Capital Corp.*+ | 225,300 | 682,659 | ||||||||
iStar Financial, Inc.* | 81,300 | 659,343 | ||||||||
MPG Office Trust, Inc.*# | 392,700 | 1,123,122 | ||||||||
Newcastle Investment Corp. | 181,500 | 1,049,070 | ||||||||
Retail Opportunity Investments Corp. | 123,500 | 1,328,860 | ||||||||
Sabra Healthcare REIT, Inc. | 27,400 | 457,854 | ||||||||
Weingarten Realty Investors | 62,940 | 1,583,570 | ||||||||
|
| |||||||||
11,703,118 | ||||||||||
Road & Rail - 1.61% |
| |||||||||
Amerco, Inc.* | 15,700 | 1,509,555 | ||||||||
Semiconductors & Semiconductor Equipment - 2.58% |
| |||||||||
Brooks Automation, Inc.* | 42,700 | 463,722 | ||||||||
Photronics, Inc.* | 230,300 | 1,950,641 | ||||||||
|
| |||||||||
2,414,363 |
93 | Annual Report | June 30, 2011 |
Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011
Industry | Company | Shares | Value | |||||||||||
Common Stocks (continued) | ||||||||||||||
Specialty Retail - 3.78% |
| |||||||||||||
Cost Plus, Inc.* |
| 93,600 | $ | 936,000 | ||||||||||
MarineMax, Inc.* |
| 56,000 | 490,560 | |||||||||||
Pep Boys-Manny, Moe & Jack (The) |
| 37,800 | 413,154 | |||||||||||
Sally Beauty Holdings, Inc.* |
| 99,600 | 1,703,160 | |||||||||||
|
| |||||||||||||
3,542,874 | ||||||||||||||
Thrifts & Mortgage Finance - 0.70% |
| |||||||||||||
Ocwen Financial Corp.* |
| 51,100 | 652,036 | |||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS - 99.45% |
| 93,200,332 | ||||||||||||
|
| |||||||||||||
(Cost $74,594,087) |
| |||||||||||||
Rate^ | Shares | Value | ||||||||||||
MONEY MARKET FUND - 0.72% |
| |||||||||||||
BlackRock FedFund | 0.01% | 668,253 | 668,253 | |||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 0.72% |
| 668,253 | ||||||||||||
|
| |||||||||||||
(Cost $668,253) |
| |||||||||||||
TOTAL INVESTMENTS - 100.17% |
| $93,868,585 | ||||||||||||
(Cost $75,262,340) |
| |||||||||||||
Liabilities in Excess of Other Assets - (0.17%) |
| (154,833 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% |
| $93,713,752 | ||||||||||||
|
| |||||||||||||
* Non-income producing security. # Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $1,123,122. ^ Rate disclosed as of June 30, 2011. + This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $5,813,982 at June 30, 2011. |
| |||||||||||||
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 93,200,332 | $ | — | $ | — | $ | 93,200,332 | ||||||||
Money Market Fund | — | 668,253 | — | 668,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 93,200,332 | $ | 668,253 | $ | — | $ | 93,868,585 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ | — | $ | 9,894 | $ | — | $ | 9,894 | ||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | — | $ | 9,894 | $ | — | $ | 9,894 | ||||||||
|
|
|
|
|
|
|
|
** | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment. |
See Notes to Financial Statements
www.bridgeway.com | 94 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Large-Cap Growth Fund Shareholder,
Our Fund appreciated 0.98% for the quarter ended June 30, 2011, slightly beating both our primary market benchmark, the Russell 1000 Growth Index (+0.76%) and our peer benchmark, the Lipper Large-Cap Growth Funds Index (+0.43%). We are pleased with the results.
For the fiscal year ended June 30, 2011, our Fund appreciated 32.31%, underperforming both our primary market benchmark, the Russell 1000 Growth Index (+35.01%), and our peer benchmark, the Lipper Large-Cap Growth Funds Index (+32.67%). While we like the absolute return, we are never pleased to trail our indices, especially for the longer five year and inception-to-date periods. We still have some catch-up work to do.
The table below presents our June quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | Life-to-Date 10/31/03 to 6/30/11 | |||||||||||||
Large-Cap Growth Fund | 0.98% | 32.31% | 2.55% | 4.23% | ||||||||||||
Russell 1000 Growth Index | 0.76% | 35.01% | 5.33% | 5.46% | ||||||||||||
Lipper Large-Cap Growth Funds Index | 0.43% | 32.67% | 4.05% | 4.69% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 1000 Growth Index is an unmanaged index that consists of stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Large-Cap Growth Funds Index is an index of large-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Large-Cap Growth Fund ranked 328th of 463 large-cap growth funds for the twelve-month period ended June 30, 2011, 253rd of 324 over the last five years and 236th of 270 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
95 | Annual Report | June 30, 2011 |
Large-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
Large-Cap Growth Fund vs. Russell 1000 Growth Index & Lipper Large-Cap Growth Funds Index from Inception 10/31/03 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Discretionary stocks led the list of best contributors, and Information Technology stocks dominated the worst contributors list. While the best market performers were growth leaning (see table on page 2), our star stock picking model in the June quarter had a significant valuation metric.
Despite the fact that many consumers remain concerned about the economy and their individual job prospects for the future, Consumer Discretionary stocks led the list of best performers for the quarter. Apparently some luxury buyers have been jumping back in with more expensive purchases. Three Consumer Discretionary companies made the list; combined, they contributed about three-quarters of a percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Coach, Inc. | Textiles, Apparel & Luxury Goods | 0.4% | |||
2 | VMware, Inc. | Software | 0.2% | |||
3 | Netflix, Inc. | Internet & Catalog Retail | 0.2% | |||
4 | W.W. Grainger, Inc. | Trading Companies & Distributors | 0.2% | |||
5 | MasterCard, Inc. | IT Services | 0.2% | |||
6 | Intel Corp. | Semiconductors & Semiconductor Equipment | 0.2% | |||
7 | Brown-Forman Corp. | Beverages | 0.2% | |||
8 | Ross Stores, Inc. | Specialty Retail | 0.2% | |||
9 | Dr. Pepper Snapple Group, Inc. | Beverages | 0.2% | |||
10 | CR Bard, Inc. | Health Care Equipment & Supplies | 0.1% |
Coach designs and manufactures upper-end handbags and other accessories for both men and women. In the June quarter, the company reported earnings and revenue that beat analysts’ forecasts as sales from China and other emerging markets helped the bottom line. The company continues to expand globally and plans to open another 30 stores in China over the next three years. Coach increased its dividend by 50% during the period, and an industry analyst recently raised the price target, due to prospects for a successful Chinese expansion strategy. This holding, identified by a Bridgeway model that included a strong valuation score, was the Fund’s top performer and contributor during the quarter.
www.bridgeway.com | 96 |
Large-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
While some analysts expected IT companies to lead the domestic recovery as businesses upgrade outdated systems and processes, six related stocks were among the biggest drags on Fund performance. Combined, these holdings cost the Fund over a percent in return for the fiscal quarter.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Gap, Inc. (The) | Specialty Retail | -0.3% | |||
2 | Google, Inc. | Internet Software & Services | -0.3% | |||
3 | JDS Uniphase Corp. | Communications Equipment | -0.2% | |||
4 | Lam Research Corp. | Semiconductors & Semiconductor Equipment | -0.2% | |||
5 | Cimarex Energy Co. | Oil, Gas & Consumable Fuels | -0.2% | |||
6 | SanDisk Corp. | Computers & Peripherals | -0.2% | |||
7 | Alpha Natural Resources, Inc. | Oil, Gas & Consumable Fuels | -0.2% | |||
8 | Akamai Technologies, Inc. | Internet Software & Services | -0.1% | |||
9 | First Solar, Inc. | Semiconductors & Semiconductor Equipment | -0.1% | |||
10 | Nabors Industries, Ltd. | Energy Equipment & Services | -0.1% |
What happens when commodity prices rise and consumers are fearful of buying, due to the uncertain labor market? While Coach may have been somewhat immune, other retailers like Gap Inc., the largest US apparel chain, struggled mightily. In May, the company slashed its outlook for full-year earnings by over 20% as its climbing cost structure continued to pressure margins. Cotton prices have surged in recent months, and the once cheap labor in China is no longer quite as cheap as it was. Gap’s stock price dropped over 15% on the earnings forecast news, the biggest daily decline in a decade. Additionally, a key analyst downgraded the company and lowered the price target, while management announced its intent to close 200 stores across North America. Gap’s stock price plunged almost 20% during the quarter.
Detailed Explanation of Fiscal Year Performance
The Short Version: Surprisingly, Consumer Discretionary stocks dominated the best contributors list even in the slow economy, supporting the view that stock prices lead economic movements. Information Technology stocks had the biggest presence on the worst contributors list.
A surge in retail activity in the second half of 2010 propelled a number of Consumer Discretionary companies to solid results for the fiscal year. All told, four related companies made the best contributing stocks list for the 12-month period. Combined, they returned a whopping five percent to the Fund’s performance.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | TRW Automotive Holdings Corp. | Auto Components | 1.7% | |||
2 | Netflix, Inc. | Internet & Catalog Retail | 1.6% | |||
3 | FMC Technologies, Inc. | Energy Equipment & Services | 1.3% | |||
4 | Apple, Inc. | Computers & Peripherals | 1.1% | |||
5 | Union Pacific Corp. | Road & Rail | 1.1% | |||
6 | MetroPCS Communications, Inc. | Wireless Telecommunication Services | 1.0% | |||
7 | Estee Lauder Cos., Inc. | Personal Products | 1.0% | |||
8 | W.W. Grainger, Inc. | Trading Companies & Distributors | 1.0% | |||
9 | Arrow Electronics, Inc. | Electronic Equipment, Instruments & Components | 0.9% | |||
10 | Coach, Inc. | Textiles, Apparel & Luxury Goods | 0.9% |
97 | Annual Report | June 30, 2011 |
Large-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
First, Blockbuster. Next, the cable companies? Netflix is the largest online movie rental subscription service in the United States, offering over 18,000 entertainment titles (movies, TV shows) delivered either via mail or streamed directly to users’ TVs or computers. Its business model was credited by some for the demise of one-time giant Blockbuster. Now, even cable companies are worried that their current subscribers may cancel (or downgrade) their services and simply use Netflix more. In May, Netflix inked an agreement with Miramax to add to its library of movies. In April, the company posted earnings and revenues that beat expectations, after reporting similarly strong results in January. A major analyst recently upgraded the stock and claimed that subscribers could hit 50 million by 2013 from 24 million currently. Late in the fiscal year, Netflix’s CEO joined Facebook’s board of directors, prompting speculation that some business relationship between the two companies may be in the works. For the 12-month period, Netflix stock more than doubled in price and was the second best contributor to the Fund.
As was the case for the most recent quarter, IT companies were among the biggest drags on Fund performance for the 12-month period as six related holdings made the worst contributors list. Combined, these stocks cost the Fund over a percent-and-a-half in performance; businesses were apparently not quite ready to invest in significant (and long overdue) hardware and systems expansion.
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Micron Technology, Inc. | Semiconductors & Semiconductor Equipment | -0.5% | |||
2 | Akamai Technologies ,Inc. | Internet Software & Services | -0.5% | |||
3 | Ford Motor Co. | Automobiles | -0.3% | |||
4 | ITT Educational Services, Inc. | Diversified Consumer Services | -0.3% | |||
5 | Hewlett-Packard Co. | Computers & Peripherals | -0.2% | |||
6 | Big Lots, Inc. | Multiline Retail | -0.2% | |||
7 | Alpha Natural Resources, Inc. | Oil, Gas & Consumable Fuels | -0.2% | |||
8 | Target Corp. | Multiline Retail | -0.1% | |||
9 | JDS Uniphase Corp. | Communications Equipment | -0.1% | |||
10 | Nabors Industries, Ltd | Energy Equipment & Services | -0.1% |
Does the dramatic growth in tablets mean the end of the personal computer? Micron Technology certainly hopes not. While Apple’s iPad leads the way in the booming tablet business, PC sales have suffered, and chipmakers are definitely feeling the pinch. Micron focuses on producing memory chips for PCs, and it has struggled because of the changing industry dynamic. Further, some of its key smart-phone customers like Nokia and Research in Motion have also experienced competitive problems of their own. Sales have plunged over six percent year-over-year, and revenues have dropped significantly. Still, some analysts are hopeful. Micron remains an industry leader and maintains attractive margins as management has been able to reduce its cost structure. Recently, an industry analyst upgraded its rating to “outperform,” believing its declining stock price has moved too far. During the 12-month period, Micron’s share price dropped over 15%.
Top Ten Holdings as of June 30, 2011
Three of the Fund’s top contributors for the June 2011 quarter were also among the largest holdings at the end of the fiscal year: Netflix, Intel, and Coach. The Fund was well diversified across industries, although Investment Technology made up a sizable allocation (as was the case for the Russell 1000 Growth Index). Still, no single holding accounted for greater than 2.2% of the net assets. The ten largest positions represented less than twenty percent of the total assets of the Fund.
www.bridgeway.com | 98 |
Large-Cap Growth Fund MANAGER’S COMMENTARY (continued) |
Rank | Description | Industry | % of Net Assets | |||
1 | Netflix, Inc. | Internet & Catalog Retail | 2.2% | |||
2 | Intel Corp. | Semiconductors & Semiconductor Equipment | 2.1% | |||
3 | MetroPCS Communications, Inc. | Wireless Telecommunication Services | 2.0% | |||
4 | Apple, Inc. | Computers & Peripherals | 2.0% | |||
5 | priceline.com, Inc. | Internet & Catalog Retail | 1.9% | |||
6 | International Business Machines Corp. | IT Services | 1.8% | |||
7 | Coach, Inc. | Textiles, Apparel & Luxury Goods | 1.8% | |||
8 | Southwestern Energy Co. | Oil, Gas & Consumable Fuels | 1.7% | |||
9 | Atmel Corp. | Semiconductors & Semiconductor Equipment | 1.7% | |||
10 | F5 Networks, Inc. | Communications Equipment | 1.7% | |||
Total | 18.9% |
Industry Sector Representation as of June 30, 2011
The Fund was overweighted in Consumer Discretionary stocks by more than five percent, and it proved to be one of the best performing sectors for the quarter. Health Care and Consumer Staples were the most underweighted sectors.
% of Net Assets | % of Russell 1000 Growth Index | Difference | ||||
Consumer Discretionary | 19.3% | 14.0% | 5.3% | |||
Consumer Staples | 9.7% | 11.8% | -2.1% | |||
Energy | 10.3% | 11.6% | -1.3% | |||
Financials | 3.8% | 4.0% | -0.2% | |||
Health Care | 8.5% | 10.9% | -2.4% | |||
Industrials | 12.2% | 13.5% | -1.3% | |||
Information Technology | 28.0% | 27.0% | 1.0% | |||
Materials | 5.8% | 6.0% | -0.2% | |||
Telecommunication Services | 2.0% | 1.1% | 0.9% | |||
Utilities | 0.0% | 0.1% | -0.1% | |||
Cash & Other Assets | 0.4% | 0.0% | 0.4% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to market risk (volatility) and is not an appropriate investment for short-term investors.
Conclusion
Thank you for your continued investment in Large-Cap Growth Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
99 | Annual Report | June 30, 2011 |
Bridgeway Large-Cap Growth Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011
|
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.57% | ||||||||||
Aerospace & Defense - 2.99% | ||||||||||
Boeing Co. (The) | 5,900 | $ | 436,187 | |||||||
Lockheed Martin Corp. | 7,200 | 582,984 | ||||||||
Northrop Grumman Corp. | 10,500 | 728,175 | ||||||||
|
| |||||||||
1,747,346 | ||||||||||
Auto Components - 1.61% | ||||||||||
TRW Automotive Holdings Corp.* | 16,000 | 944,480 | ||||||||
Automobiles - 0.76% | ||||||||||
Ford Motor Co.* | 32,300 | 445,417 | ||||||||
Beverages - 3.80% | ||||||||||
Brown-Forman Corp., Class B | 12,600 | 941,094 | ||||||||
Coca-Cola Enterprises, Inc. | 20,200 | 589,436 | ||||||||
Dr. Pepper Snapple Group, Inc. | 16,500 | 691,845 | ||||||||
|
| |||||||||
2,222,375 | ||||||||||
Capital Markets - 0.52% | ||||||||||
Franklin Resources, Inc. | 2,300 | 301,967 | ||||||||
Chemicals - 1.26% | ||||||||||
Sherwin-Williams Co. (The) | 8,800 | 738,056 | ||||||||
Communications Equipment - 3.21% |
| |||||||||
Cisco Systems, Inc. | 29,000 | 452,690 | ||||||||
F5 Networks, Inc.* | 9,000 | 992,250 | ||||||||
JDS Uniphase Corp.* | 25,800 | 429,828 | ||||||||
|
| |||||||||
1,874,768 | ||||||||||
Computers & Peripherals - 6.28% |
| |||||||||
Apple, Inc.* | 3,400 | 1,141,278 | ||||||||
Dell, Inc.* | 36,700 | 611,789 | ||||||||
Hewlett-Packard Co. | 14,200 | 516,880 | ||||||||
NetApp, Inc.* | 9,800 | 517,244 | ||||||||
SanDisk Corp.* | 21,400 | 888,100 | ||||||||
|
| |||||||||
3,675,291 | ||||||||||
Containers & Packaging - 0.94% |
| |||||||||
Crown Holdings, Inc.* | 14,100 | 547,362 | ||||||||
Diversified Financial Services - 0.96% |
| |||||||||
Moody’s Corp.+ | 14,600 | 559,910 | ||||||||
Electrical Equipment - 0.71% |
| |||||||||
Thomas & Betts Corp.* | 7,700 | 414,645 | ||||||||
Electronic Equipment, Instruments & Components - 0.95% |
| |||||||||
Arrow Electronics, Inc.* | 13,400 | 556,100 |
Industry | Company | Shares | Value | |||||||
Energy Equipment & Services - 2.66% |
| |||||||||
Diamond Offshore Drilling, Inc.+ | 6,300 | $ | 443,583 | |||||||
Halliburton Co. | 17,400 | 887,400 | ||||||||
Nabors Industries, Ltd.* | 9,100 | 224,224 | ||||||||
|
| |||||||||
1,555,207 | ||||||||||
Food & Staples Retailing - 2.46% |
| |||||||||
CVS Caremark Corp. | 20,440 | 768,135 | ||||||||
Wal-Mart Stores, Inc. | 12,600 | 669,564 | ||||||||
|
| |||||||||
1,437,699 | ||||||||||
Health Care Equipment & Supplies - 3.11% |
| |||||||||
Becton Dickinson & Co. | 6,400 | 551,488 | ||||||||
CR Bard, Inc. | 7,900 | 867,894 | ||||||||
Medtronic, Inc. | 10,400 | 400,712 | ||||||||
|
| |||||||||
1,820,094 | ||||||||||
Health Care Providers & Services - 3.80% |
| |||||||||
AmerisourceBergen Corp. | 21,400 | 885,960 | ||||||||
DaVita, Inc.* | 6,800 | 588,948 | ||||||||
Quest Diagnostics, Inc.# | 12,600 | 744,660 | ||||||||
|
| |||||||||
2,219,568 | ||||||||||
Hotels, Restaurants & Leisure - 1.67% |
| |||||||||
International Game Technology | 23,800 | 418,404 | ||||||||
Wynn Resorts, Ltd. | 3,900 | 559,806 | ||||||||
|
| |||||||||
978,210 | ||||||||||
Household Products - 2.36% |
| |||||||||
Colgate-Palmolive Co. | 7,500 | 655,575 | ||||||||
Procter & Gamble Co. (The) | 11,400 | 724,698 | ||||||||
|
| |||||||||
1,380,273 | ||||||||||
Industrial Conglomerates - 3.43% |
| |||||||||
3M Co. | 7,800 | 739,830 | ||||||||
General Electric Co. | 38,400 | 724,224 | ||||||||
Tyco International, Ltd. | 11,000 | 543,730 | ||||||||
|
| |||||||||
2,007,784 | ||||||||||
Insurance - 2.33% |
| |||||||||
Aflac, Inc. | 5,400 | 252,072 | ||||||||
Axis Capital Holdings, Ltd. | 12,700 | 393,192 | ||||||||
Travelers Cos., Inc. (The) | 12,300 | 718,074 | ||||||||
|
| |||||||||
1,363,338 | ||||||||||
Internet & Catalog Retail - 4.13% |
| |||||||||
Netflix, Inc.*+ | 4,900 | 1,287,181 |
www.bridgeway.com | 100 |
Bridgeway Large-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Internet & Catalog Retail (continued) |
| |||||||||
priceline.com, Inc.* | 2,200 | $ | 1,126,246 | |||||||
|
| |||||||||
2,413,427 | ||||||||||
Internet Software & Services - 1.56% |
| |||||||||
Google, Inc., Class A* | 1,800 | 911,484 | ||||||||
IT Services - 4.19% |
| |||||||||
Cognizant Technology | 3,600 | 264,024 | ||||||||
International Business | 6,300 | 1,080,765 | ||||||||
Mastercard, Inc., Class A | 1,900 | 572,546 | ||||||||
Western Union Co. (The) | 26,700 | 534,801 | ||||||||
|
| |||||||||
2,452,136 | ||||||||||
Machinery - 1.34% |
| |||||||||
Cummins, Inc. | 7,600 | 786,524 | ||||||||
Media - 2.31% |
| |||||||||
Omnicom Group, Inc. | 9,400 | 452,704 | ||||||||
Viacom, Inc., Class B | 17,600 | 897,600 | ||||||||
|
| |||||||||
1,350,304 | ||||||||||
Metals & Mining - 2.67% |
| |||||||||
Alcoa, Inc. | 26,700 | 423,462 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 16,400 | 867,560 | ||||||||
Newmont Mining Corp. | 5,000 | 269,850 | ||||||||
|
| |||||||||
1,560,872 | ||||||||||
Multiline Retail - 0.87% |
| |||||||||
Target Corp. | 10,900 | 511,319 | ||||||||
Oil, Gas & Consumable Fuels - 7.67% |
| |||||||||
Alpha Natural Resources, Inc.* | 7,100 | 322,624 | ||||||||
Chevron Corp. | 7,500 | 771,300 | ||||||||
Cimarex Energy Co. | 4,200 | 377,664 | ||||||||
ConocoPhillips | 5,900 | 443,621 | ||||||||
El Paso Corp. | 15,500 | 313,100 | ||||||||
Exxon Mobil Corp. | 6,800 | 553,384 | ||||||||
SM Energy Co. | 4,200 | 308,616 | ||||||||
Southwestern Energy Co.* | 23,700 | 1,016,256 | ||||||||
Williams Cos., Inc. (The) | 12,500 | 378,125 | ||||||||
|
| |||||||||
4,484,690 | ||||||||||
Paper & Forest Products - 0.94% |
| |||||||||
International Paper Co. | 18,400 | 548,688 |
Industry | Company | Shares | Value | |||||||
Personal Products - 1.10% |
| |||||||||
Estee Lauder Cos., Inc., | 6,100 | $ | 641,659 | |||||||
Pharmaceuticals - 1.62% |
| |||||||||
Bristol-Myers Squibb Co. | 21,653 | 627,071 | ||||||||
Johnson & Johnson | 4,800 | 319,296 | ||||||||
|
| |||||||||
946,367 | ||||||||||
Road & Rail - 2.10% |
| |||||||||
CSX Corp. | 22,200 | 582,084 | ||||||||
Union Pacific Corp. | 6,200 | 647,280 | ||||||||
|
| |||||||||
1,229,364 | ||||||||||
Semiconductors & Semiconductor Equipment - 8.11% |
| |||||||||
Altera Corp. | 14,600 | 676,710 | ||||||||
Atmel Corp.* | 71,600 | 1,007,412 | ||||||||
First Solar, Inc.*+ | 2,800 | 370,356 | ||||||||
Intel Corp. | 54,200 | 1,201,072 | ||||||||
Lam Research Corp.* | 9,000 | 398,520 | ||||||||
Linear Technology Corp.+ | 8,500 | 280,670 | ||||||||
Xilinx, Inc. | 22,100 | 805,987 | ||||||||
|
| |||||||||
4,740,727 | ||||||||||
Software - 3.67% |
| |||||||||
Microsoft Corp. | 23,600 | 613,600 | ||||||||
Oracle Corp. | 24,900 | 819,459 | ||||||||
VMware, Inc., Class A* | 7,100 | 711,633 | ||||||||
|
| |||||||||
2,144,692 | ||||||||||
Specialty Retail - 6.07% |
| |||||||||
Advance Auto Parts, Inc. | 7,100 | 415,279 | ||||||||
AutoZone, Inc.* | 2,000 | 589,700 | ||||||||
Bed Bath & Beyond, Inc.* | 11,000 | 642,070 | ||||||||
Gap, Inc. (The) | 33,500 | 606,350 | ||||||||
Limited Brands, Inc. | 6,900 | 265,305 | ||||||||
Ross Stores, Inc. | 9,400 | 753,128 | ||||||||
TJX Cos., Inc. | 5,300 | 278,409 | ||||||||
|
| |||||||||
3,550,241 | ||||||||||
Textiles, Apparel & Luxury Goods - 1.84% |
| |||||||||
Coach, Inc. | 16,800 | 1,074,024 | ||||||||
Trading Companies & Distributors - 1.60% |
| |||||||||
W.W. Grainger, Inc. | 6,100 | 937,265 |
101 | Annual Report | June 30, 2011 |
Bridgeway Large-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||||||
Common Stocks (continued) |
| |||||||||||||
Wireless Telecommunication Services - 1.97% |
| |||||||||||||
MetroPCS Communications, Inc.* |
| 66,900 | $ | 1,151,349 | ||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS - 99.57% |
| 58,225,022 | ||||||||||||
|
| |||||||||||||
(Cost $47,696,407) | ||||||||||||||
Rate^ | Shares | Value | ||||||||||||
MONEY MARKET FUND - 0.44% |
| |||||||||||||
BlackRock FedFund | 0.01% | 258,125 | 258,125 | |||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 0.44% |
| 258,125 | ||||||||||||
|
| |||||||||||||
(Cost $258,125) | ||||||||||||||
TOTAL INVESTMENTS - 100.01% |
| $ | 58,483,147 | |||||||||||
(Cost $47,954,532) | ||||||||||||||
Liabilities in Excess of Other Assets - (0.01%) |
| (5,613 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% | $ | 58,477,534 | ||||||||||||
|
| |||||||||||||
* Non-income producing security. # Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $744,660. ^ Rate disclosed as of June 30, 2011. + This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $2,941,700 at June 30, 2011.
|
|
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
Valuation Inputs | ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| Level 1 Quoted Prices | |
| Level 2 Significant Observable Inputs |
|
| Level 3 Significant | | Total | |||||||
Common Stocks | $58,225,022 | $ | — | $ | — | $ | 58,225,022 | |||||||||
Money Market Fund | — | 258,125 | — | 258,125 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $58,225,022 | $ | 258,125 | $ | — | $ | 58,483,147 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments** | ||||||||||||||||
Swaps | $ — | $ | 5,184 | $ | — | $ | 5,184 | |||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ 1— | $ | 5,184 | $ | — | $ | 5,184 | |||||||||
|
|
|
|
|
|
|
| |||||||||
** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.
See Notes to Financial Statements. |
|
www.bridgeway.com | 102 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Large-Cap Value Fund Shareholder,
Our Fund declined 0.41% in the quarter ended June 30, 2011, edging out our primary market benchmark, the Russell 1000 Value Index (-0.50%), but slightly trailing our peer benchmark, the Lipper Large-Cap Value Funds Index (-0.37%). It was a mixed quarter on a relative basis.
For the fiscal year ended June 30, 2011, our Fund returned 30.02%, beating both of our benchmarks, the Russell 1000 Value Index (+28.94%) and the Lipper Large-Cap Value Funds Index (+28.35%). We are pleased with these results and also the fact that we continue to lead the benchmarks over the longer five year and life-to-date time periods.
The table below presents our June quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception to June 30, 2011.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | Life-to-Date to 6/30/11 | |||||
Large-Cap Value Fund | -0.41% | 30.02% | 2.59% | 6.90% | ||||
Russell 1000 Value Index | -0.50% | 28.94% | 1.15% | 5.56% | ||||
Lipper Large-Cap Value Funds Index | -0.37% | 28.35% | 1.71% | 5.01% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 1000 Value Index is an unmanaged index that consists of stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. The Lipper Large-Cap Value Funds Index is an index of large-company, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Large-Cap Value Fund ranked 166th of 291 large-cap value funds for the twelve-month period ended June 30, 2011, 59th of 210 over the last five years and 46th of 156 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
103 | Annual Report | June 30, 2011 |
Large-Cap Value Fund MANAGER’S COMMENTARY (continued) |
|
Large-Cap Value Fund vs. Russell 1000 Value Index & Lipper Large-Cap Value Funds Index from Inception 10/31/03 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: The Health Care sector had a very strong showing on the best contributors list, while the Financial sector struggled heavily.
So far, new governmental regulations on health care have not killed business or the insurance industry. Four of the top 10 contributors to the Fund came from the Health Care sector. Combined, they added over half-a-percent to overall performance during the quarter.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | UnitedHealth Group, Inc. | Health Care Providers & Services | 0.2% | |||
2 | Aetna, Inc. | Health Care Providers & Services | 0.2% | |||
3 | McKesson Corp. | Health Care Providers & Services | 0.2% | |||
4 | Northrop Grumman Corp. | Aerospace & Defense | 0.2% | |||
5 | L-3 Communications Holdings, Inc. | Aerospace & Defense | 0.1% | |||
6 | VF Corp. | Textiles, Apparel & Luxury Goods | 0.1% | |||
7 | CVS Caremark Corp. | Food & Staples Retailing | 0.1% | |||
8 | Union Pacific Corp. | Road & Rail | 0.1% | |||
9 | WellPoint, Inc. | Health Care Providers & Services | 0.1% | |||
10 | Dr. Pepper Snapple Group, Inc. | Beverages | 0.1% |
UnitedHealth Group, the nation’s largest health insurer, was the Fund’s top contributor over the past three months, and its stock price jumped almost 15% during the quarter. Its recent earnings soared beyond analysts’ forecasts on better-than-expected revenue growth. In a show of confidence for shareholders, the company raised its dividend by 30% and also announced a new share buyback program. Recently, a key industry analyst raised the price target for UnitedHealth as the uncertainty in the industry seems to be subsiding despite ongoing political rhetoric.
So much for the rebound in the financial sector. With the recovery slowing and the Fed ending its latest QE2 stimulus, four financial services companies made the worst contributors list this past quarter. Combined, these holdings cost the Fund over half-a-percent in return.
www.bridgeway.com | 104 |
Large-Cap Value Fund MANAGER’S COMMENTARY (continued) |
|
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Micron Technology, Inc. | Semiconductors & Semiconductor Equipment | -0.5% | |||
2 | Wells Fargo & Co. | Commercial Banks | -0.2% | |||
3 | Gap, Inc. (The) | Specialty Retail | -0.2% | |||
4 | Unit Corp. | Energy Equipment & Services | -0.2% | |||
5 | Vishay Intertechnology, Inc. | Electronic Equipment, Instruments & Components | -0.2% | |||
6 | Chesapeake Energy Corp. | Oil, Gas & Consumable Fuels | -0.2% | |||
7 | Morgan Stanley | Capital Markets | -0.2% | |||
8 | Aflac, Inc. | Insurance | -0.2% | |||
9 | Berkshire Hathaway, Inc. | Insurance | -0.1% | |||
10 | Valero Energy Corp. | Oil, Gas & Consumable Fuels | -0.1% |
What happens when commodity prices rise and consumers are fearful of buying, due to the uncertain labor market? While Coach may have been somewhat immune, other retailers like Gap Inc., the largest US apparel chain, struggled mightily. In May, the company slashed its outlook for full-year earnings by over 20% as its climbing cost structure continued to pressure margins. Cotton prices have surged in recent months, and the once cheap labor in China is no longer quite as cheap as it was. Gap’s stock price dropped over 15% on the earnings forecast news, the biggest daily decline in a decade. Additionally, a key analyst downgraded the company and lowered the price target, while management announced its intent to close 200 stores across North America. Gap’s stock price plunged almost 20% during the quarter.
Detailed Explanation of Fiscal Year Performance
The Short Version: The best and worst contributors lists were very diversified, with six sectors making the best contributors list.
The strong performance of the past 12 months was broad based; contributions came from virtually all areas of the economy. In fact, six different sectors were represented on the list of top contributors, with energy in two of the top three spots. Two holdings actually doubled in price during the fiscal year.
These are the Fund’s ten best-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | National Oilwell Varco, Inc. | Energy Equipment & Services | 1.7% | |||
2 | Chevron Corp. | Oil, Gas & Consumable Fuels | 1.3% | |||
3 | TRW Automotive Holdings Corp. | Auto Components | 1.2% | |||
4 | E.I. du Pont de Nemours & Co. | Chemicals | 1.1% | |||
5 | Pfizer, Inc. | Pharmaceuticals | 1.1% | |||
6 | AT&T, Inc. | Diversified Telecommunication Services | 1.0% | |||
7 | Ford Motor Co. | Automobiles | 1.0% | |||
8 | ConocoPhillips | Oil, Gas & Consumable Fuels | 1.0% | |||
9 | Union Pacific Corp. | Road & Rail | 0.9% | |||
10 | Exxon Mobil Corp. | Oil, Gas & Consumable Fuels | 0.9% |
National Oilwell Varco manufactures products and develops systems for use in oil and gas drilling. Over the past year, deep-water drilling has become the most viable option for exploration opportunities. National Oilwell provides key equipment to this growing fleet of rigs. While the company posted somewhat disappointing earnings in April that sent its stock lower, some analysts found value in the fine print of the report. For one, it experienced solid inbound order growth and looked primed to continue benefiting from enhanced offshore activity. Its share price more than doubled during the 12-month period; the holding was the top contributor to the Fund’s performance.
Four sectors were represented on this list of Fund worst performers, proving that even in strong years, laggards will exist in virtually every industry. Five Financial holdings highlighted the worst contributors list for the fiscal year.
105 | Annual Report | June 30, 2011 |
Large-Cap Value Fund MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten worst-contributing stocks for the fiscal year ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Morgan Stanley | Capital Markets | -0.2% | |||
2 | Nabors Industries, Ltd. | Energy Equipment & Services | -0.1% | |||
3 | American International Group, Inc. | Insurance | -0.1% | |||
4 | Valero Energy Corp. | Oil, Gas & Consumable Fuels | -0.1% | |||
5 | PartnerRe, Ltd. | Insurance | -0.1% | |||
6 | Alcoa, Inc. | Metals & Mining | -0.1% | |||
7 | Axis Capital Holdings, Ltd. | Insurance | -0.1% | |||
8 | Xerox Corp. | Office Electronics | -0.1% | |||
9 | Tyco International, Ltd. | Industrial Conglomerates | -0.1% | |||
10 | Ameriprise Financial, Inc. | Capital Markets | -0.1% |
After completing its acquisition of Superior Well Services in September 2010, land rig contractor Nabors Industries had been flying high with its enhanced exposure to the growing domestic onshore drilling market. Its stock price even hit a 52-week high before the April 2011 earnings release, when the company reported higher profits and revenues that grew by over 50 percent. However, both numbers came in slightly below expectations. Management pointed to severe weather that prompted operations to slow in certain regions of the US, as well as political unrest in Yemen and Oman that caused further disruptions overseas. In June, the company lowered its forecast for second quarter earnings, citing similar concerns. Drilling conditions have improved in the Gulf of Mexico since the BP accident, even though issuance of permits remains slower than desired. Nabors’ stock has plummeted since the earnings news; the holding was the second poorest contributor to the Fund’s performance.
Top Ten Holdings as of June 30, 2011
Only one of the Fund’s top contributors for the June 2011 quarter was also among the largest holdings at the end of the fiscal year: Union Pacific. The Fund was well diversified across industries, though financials made up a sizable portion of the Fund as well as of the Russell 1000 Value Index. Still, no single holding accounted for greater than 2.6% of the net assets. The ten largest positions represented less than 20% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | Chevron Corp. | Oil, Gas & Consumable Fuels | 2.6% | |||
2 | Exxon Mobil Corp. | Oil, Gas & Consumable Fuels | 2.2% | |||
3 | Union Pacific Corp. | Road & Rail | 2.1% | |||
4 | Pfizer, Inc. | Pharmaceuticals | 2.0% | |||
5 | AT&T, Inc. | Diversified Telecommunications Services | 2.0% | |||
6 | Wells Fargo & Co. | Commercial Banks | 1.9% | |||
7 | Berkshire Hathaway, Inc. | Insurance | 1.8% | |||
8 | Chubb Corp. | Insurance | 1.7% | |||
9 | AvalonBay Communities, Inc. | Real Estate Investment Trusts (REITs) | 1.7% | |||
10 | ConocoPhillips | Oil, Gas & Consumable Fuels | 1.7% | |||
Total | 19.7% |
www.bridgeway.com | 106 |
Large-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Industry Sector Representation as of June 30, 2011
Financial stocks made up more than one fourth of the Fund assets at the end of the June quarter, and our picks in that sector helped our relative performance by more than half a percent. The largest underweighting was in Utility stocks, which was a strong performing sector in the quarter.
% of Net Assets | % of Russell 1000 Value Index | Difference | ||||
Consumer Discretionary | 8.4% | 9.0% | -0.6% | |||
Consumer Staples | 10.7% | 7.2% | 3.5% | |||
Energy | 10.7% | 12.4% | -1.7% | |||
Financials | 26.0% | 26.7% | -0.7% | |||
Health Care | 13.7% | 12.3% | 1.4% | |||
Industrials | 10.7% | 9.4% | 1.3% | |||
Information Technology | 8.5% | 8.6% | -0.1% | |||
Materials | 4.5% | 2.9% | 1.6% | |||
Telecommunication Services | 3.4% | 4.7% | -1.3% | |||
Utilities | 3.2% | 6.8% | -3.6% | |||
Cash & Other Assets | 0.2% | 0.0% | 0.2% | |||
Total | 100.0% | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not indicative of future performance.
The Fund is subject to market risk (volatility) and is not an appropriate investment for short-term investors.
Conclusion
Thank you for your continued investment in Large-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
107 | Annual Report | June 30, 2011 |
Bridgeway Large-Cap Value Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 99.52% |
| |||||||||
Aerospace & Defense - 5.57% |
| |||||||||
L-3 Communications | ||||||||||
Holdings, Inc. | 4,300 | $ | 376,035 | |||||||
Lockheed Martin Corp. | 5,600 | 453,432 | ||||||||
Northrop Grumman Corp. | 6,100 | 423,035 | ||||||||
Raytheon Co. | 8,000 | 398,800 | ||||||||
|
| |||||||||
1,651,302 | ||||||||||
Auto Components - 1.45% |
| |||||||||
TRW Automotive Holdings Corp.* | 7,300 | 430,919 | ||||||||
Beverages - 2.85% |
| |||||||||
Brown-Forman Corp., Class B | 4,600 | 343,574 | ||||||||
Coca-Cola Enterprises, Inc. | 7,000 | 204,260 | ||||||||
Dr. Pepper Snapple Group, Inc. | 7,100 | 297,703 | ||||||||
|
| |||||||||
845,537 | ||||||||||
Biotechnology - 1.08% |
| |||||||||
Biogen Idec, Inc.* | 3,000 | 320,760 | ||||||||
Capital Markets - 1.66% |
| |||||||||
Ameriprise Financial, Inc. | 4,500 | 259,560 | ||||||||
Morgan Stanley | 10,100 | 232,401 | ||||||||
|
| |||||||||
491,961 | ||||||||||
Chemicals - 2.56% |
| |||||||||
E.I. du Pont de Nemours & Co. | 8,000 | 432,400 | ||||||||
Sherwin-Williams Co. (The) | 3,900 | 327,093 | ||||||||
|
| |||||||||
759,493 | ||||||||||
Commercial Banks - 4.45% |
| |||||||||
City National Corp. | 2,400 | 130,200 | ||||||||
M&T Bank Corp.+ | 3,700 | 325,415 | ||||||||
U.S. Bancorp | �� | 11,700 | 298,467 | |||||||
Wells Fargo & Co. | 20,100 | 564,006 | ||||||||
|
| |||||||||
1,318,088 | ||||||||||
Computers & Peripherals - 1.83% |
| |||||||||
Dell, Inc.* | 18,100 | 301,727 | ||||||||
SanDisk Corp.* | 5,800 | 240,700 | ||||||||
|
| |||||||||
542,427 | ||||||||||
Construction & Engineering - 1.03% |
| |||||||||
URS Corp.* | 6,800 | 304,232 | ||||||||
Consumer Finance - 2.06% |
| |||||||||
Capital One Financial Corp. | 5,900 | 304,853 | ||||||||
Discover Financial Services | 11,400 | 304,950 | ||||||||
|
| |||||||||
609,803 |
Industry | Company | Shares | Value | |||||||
Diversified Financial Services - 1.18% |
| |||||||||
CME Group, Inc. | 1,200 | $ | 349,908 | |||||||
Diversified Telecommunication Services - 1.95% |
| |||||||||
AT&T, Inc. | 18,449 | 579,483 | ||||||||
Electric Utilities - 3.16% |
| |||||||||
American Electric Power Co., Inc. | 8,100 | 305,208 | ||||||||
Duke Energy Corp. | 17,400 | 327,642 | ||||||||
Southern Co. | 7,550 | 304,869 | ||||||||
|
| |||||||||
937,719 | ||||||||||
Electronic Equipment, Instruments & Components - 2.05% |
| |||||||||
Arrow Electronics, Inc.* | 7,500 | 311,250 | ||||||||
Vishay Intertechnology, Inc.* | 19,800 | 297,792 | ||||||||
|
| |||||||||
609,042 | ||||||||||
Energy Equipment & Services - 1.29% |
| |||||||||
Nabors Industries, Ltd.* | 4,700 | 115,808 | ||||||||
National Oilwell Varco, Inc. | 3,400 | 265,914 | ||||||||
|
| |||||||||
381,722 | ||||||||||
Food & Staples Retailing - 3.57% |
| |||||||||
CVS Caremark Corp. | 11,480 | 431,418 | ||||||||
Safeway, Inc. | 13,000 | 303,810 | ||||||||
Wal-Mart Stores, Inc. | 6,100 | 324,154 | ||||||||
|
| |||||||||
1,059,382 | ||||||||||
Food Products - 0.86% |
| |||||||||
Campbell Soup Co. | 7,400 | 255,670 | ||||||||
Health Care Providers & Services - 8.15% |
| |||||||||
Aetna, Inc. | 8,000 | 352,720 | ||||||||
AmerisourceBergen Corp. | 6,800 | 281,520 | ||||||||
CIGNA Corp. | 4,900 | 252,007 | ||||||||
McKesson Corp. | 5,200 | 434,980 | ||||||||
Quest Diagnostics, Inc. | 5,400 | 319,140 | ||||||||
UnitedHealth Group, Inc. | 8,800 | 453,904 | ||||||||
WellPoint, Inc. | 4,100 | 322,957 | ||||||||
|
| |||||||||
2,417,228 | ||||||||||
Household Products - 3.35% |
| |||||||||
Colgate-Palmolive Co. | 4,300 | 375,863 | ||||||||
Kimberly-Clark Corp. | 4,300 | 286,208 | ||||||||
Procter & Gamble Co. (The) | 5,200 | 330,564 | ||||||||
|
| |||||||||
992,635 | ||||||||||
Industrial Conglomerates - 1.98% |
| |||||||||
General Electric Co. | 16,400 | 309,304 | ||||||||
Tyco International, Ltd. | 5,600 | 276,808 | ||||||||
|
| |||||||||
586,112 |
www.bridgeway.com | 108 |
Bridgeway Large-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Insurance - 10.99% | ||||||||||
Aflac, Inc. | 7,300 | $ | 340,764 | |||||||
American International Group, Inc.* | 4,700 | 137,804 | ||||||||
Axis Capital Holdings, Ltd. | 3,900 | 120,744 | ||||||||
Berkshire Hathaway, Inc., Class B* | 6,700 | 518,513 | ||||||||
Chubb Corp. | 8,000 | 500,880 | ||||||||
Everest Re Group, Ltd. | 1,600 | 130,800 | ||||||||
Loews Corp. | 7,100 | 298,839 | ||||||||
PartnerRe, Ltd. | 1,700 | 117,045 | ||||||||
Prudential Financial, Inc. | 7,600 | 483,284 | ||||||||
Reinsurance Group of America, Inc. | 3,500 | 213,010 | ||||||||
Travelers Cos., Inc. (The) | 6,800 | 396,984 | ||||||||
|
| |||||||||
3,258,667 | ||||||||||
IT Services - 0.72% | ||||||||||
Fidelity National Information | ||||||||||
Services, Inc. | 6,900 | 212,451 | ||||||||
Media - 3.90% | ||||||||||
DIRECTV, Class A* | 6,200 | 315,084 | ||||||||
Omnicom Group, Inc. | 4,800 | 231,168 | ||||||||
Time Warner, Inc. | 8,466 | 307,909 | ||||||||
Walt Disney Co. (The) | 7,700 | 300,608 | ||||||||
|
| |||||||||
1,154,769 | ||||||||||
Metals & Mining - 0.88% | ||||||||||
Alcoa, Inc. | 16,500 | 261,690 | ||||||||
Multiline Retail - 0.97% | ||||||||||
Target Corp. | 6,100 | 286,151 | ||||||||
Oil, Gas & Consumable Fuels - 9.37% | ||||||||||
Chesapeake Energy Corp. | 11,400 | 338,466 | ||||||||
Chevron Corp. | 7,514 | 772,740 | ||||||||
ConocoPhillips | 6,600 | 496,254 | ||||||||
Exxon Mobil Corp. | 8,100 | 659,178 | ||||||||
Hess Corp. | 1,700 | 127,092 | ||||||||
Valero Energy Corp. | 9,700 | 248,029 | ||||||||
Williams Cos., Inc. (The) | 4,500 | 136,125 | ||||||||
|
| |||||||||
2,777,884 | ||||||||||
Paper & Forest Products - 1.02% | ||||||||||
International Paper Co. | 10,100 | 301,182 | ||||||||
Pharmaceuticals - 4.41% | ||||||||||
Bristol-Myers Squibb Co. | 12,172 | 352,501 | ||||||||
Merck & Co., Inc. | 10,100 | 356,429 | ||||||||
Pfizer, Inc. | 29,100 | 599,460 | ||||||||
|
| |||||||||
1,308,390 |
Industry | Company | Shares | Value | |||||||
Real Estate Investment Trusts (REITs) - 4.83% |
| |||||||||
AvalonBay Communities, Inc. | 3,900 | $ | 500,760 | |||||||
CommonWealth REIT | 5,100 | 131,784 | ||||||||
HCP, Inc. | 10,165 | 372,954 | ||||||||
Ventas, Inc. | 8,100 | 426,951 | ||||||||
|
| |||||||||
1,432,449 | ||||||||||
Road & Rail - 2.08% | ||||||||||
Union Pacific Corp. | 5,900 | 615,960 | ||||||||
Semiconductors & Semiconductor Equipment - 3.00% |
| |||||||||
Atmel Corp.* | 21,200 | 298,284 | ||||||||
Intel Corp. | 13,500 | 299,160 | ||||||||
Micron Technology, Inc.* | 39,100 | 292,468 | ||||||||
|
| |||||||||
889,912 | ||||||||||
Software - 0.91% | ||||||||||
Microsoft Corp.# | 10,400 | 270,400 | ||||||||
Specialty Retail - 0.90% | ||||||||||
Gap, Inc. (The) | 14,700 | 266,070 | ||||||||
Textiles, Apparel & Luxury Goods - 1.21% |
| |||||||||
VF Corp. | 3,300 | 358,248 | ||||||||
Thrifts & Mortgage Finance -0.78% |
| |||||||||
New York Community Bancorp, Inc. | 15,400 | 230,846 | ||||||||
Wireless Telecommunication Services - 1.47% |
| |||||||||
MetroPCS Communications, Inc.* | 25,400 | 437,134 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS - 99.52% | 29,505,626 | |||||||||
|
| |||||||||
(Cost $23,125,107) |
Rate^ | Shares | Value | ||||||||||
MONEY MARKET FUND - 2.35% |
| |||||||||||
BlackRock FedFund | 0.01% | 697,039 | 697,039 | |||||||||
|
| |||||||||||
TOTAL MONEY MARKET FUND - 2.35% |
| 697,039 | ||||||||||
|
| |||||||||||
(Cost $697,039) |
|
109 | Annual Report | June 30, 2011 |
Bridgeway Large-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Value | ||||
TOTAL INVESTMENTS - 101.87% (Cost $23,822,146) | $ | 30,202,665 | ||
Liabilities in Excess of Other Assets - (1.87%) | (555,370 | ) | ||
|
| |||
NET ASSETS - 100.00% | $ | 29,647,295 | ||
|
| |||
* Non-income producing security. # Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $270,400. ^ Rate disclosed as of June 30, 2011. + This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $325,415 at June 30, 2011.
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
|
|
Valuation Inputs | ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
Level 1 Prices | Level 2 Significant | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
Common Stocks | $ | 29,505,626 | $ | — | $ | — | $ | 29,505,626 | ||||||||
Money Market Fund | — | 697,039 | — | 697,039 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 29,505,626 | $ | 697,039 | $ | — | $ | 30,202,665 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See Notes to Financial Statements. |
| |||||||||||||||
www.bridgeway.com | 110 |
MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Blue Chip 35 Index Fund Shareholder,
For the quarter ending June 30, 2011, our Fund depreciated 0.26%, underperforming our primary market benchmark, the S&P 500 Index (+0.10%) and our peer benchmark, the Lipper Large-Cap Core Funds Index (+0.14%). Our Fund outperformed the index of the most similar sized companies, the Russell Top 50 Index (-0.56%), and the Bridgeway Ultra-Large 35 Index (-0.35%). We expect to underperform our primary market benchmark about half the time in periods where smaller and mid-size companies outperform larger ones. Details of this “size effect” are shown in the table on the next page. We are pleased to beat the Russell Top 50 Index in this type of market.
For the fiscal year ending June 30, 2011, our Fund returned 25.10%, trailing our primary market benchmark, the S&P 500 Index (+30.69%), our peer benchmark, the Lipper Large-Cap Core Funds Index (+28.64%), the Russell Top 50 Index (+25.66%) and the Bridgeway Ultra-Large 35 Index (+25.17%). This was an environment classically less favorable to our Fund: a strong up market led by small and mid-size companies. Relative to the S&P 500 Index, the mid-size companies of the S&P 500 had a huge performance advantage, as demonstrated in the second column of numbers on the next page. Relative to the Russell Top 50 Index, a market cap weighted index of companies of similar size to our Fund, our “roughly equal weighting strategy” swims upstream in the momentum leaning environment of the last fiscal year. Our strategy tends to shine more in large cap dominated markets and “choppy” markets, in which we expect our roughly equal weighting to shine.
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance from inception.
June Qtr. to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date to 06/30/11 | ||||||
Blue Chip 35 Index Fund | -0.26% | 25.10% | 3.03% | 2.15% | 4.45% | |||||
S&P 500 Index | 0.10% | 30.69% | 2.94% | 2.72% | 4.17% | |||||
Russell Top 50 Index | -0.56% | 25.66% | 2.18% | 0.68% | NA | |||||
Bridgeway Ultra-Large 35 Index | -0.35% | 25.17% | 3.16% | 2.42% | 4.60% | |||||
Lipper Large-Cap Core Funds Index | 0.14% | 28.64% | 2.54% | 2.11% | 3.53% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell Top 50 Index measures the performance of the largest companies in the Russell 3000 Index. It includes 50 of the largest securities, based on a combination of their market cap and current index membership, and represents approximately 40% of the total market capitalization of the Russell 3000 Index. The Bridgeway Ultra-Large 35 Index is an index comprised of very large, “blue chip” U.S. stocks, excluding tobacco; it is compiled by the adviser of the Fund. The Lipper Large-Cap Core Funds Index reflects the aggregate record of domestic large-cap core mutual funds as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Lipper, Inc. as of June 30, 2011, Blue-Chip 35 Index Fund ranked 929th of 1,072 large-cap core funds for the twelve months ending June 30, 2011, 303rd of 815 over the last five years, 294th of 491 over the last ten years, and 95th of 270 since inception in July 1997. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
111 | Annual Report | June 30, 2011 |
Blue Chip 35 Index Fund MANAGER’S COMMENTARY (continued) |
Blue Chip 35 Index Fund vs. S&P 500 Index, Russell Top 50 Index*, Bridgeway Ultra-Large 35 Index & Lipper Large-Cap Core Funds Index from Inception 7/31/97 to 6/30/11
* | The Russell Top 50 Index began on12/31/2001, and the line graph for the Index begins at the same value as the Fund on that date. |
Quarterly and Fiscal Year Performance by Company Size:
The Short Version: Mid-cap size dominance and a very strong market created a considerable headwind in our fiscal year ending June 30, 2011.
As demonstrated in the table below, ultra-large stocks were the performance anomaly for the quarter ended June 30, 2011. The other nine categories were almost in rank order, with smaller companies performing more poorly. Unfortunately for our Fund, the largest company category lagged its nearby large brethren (deciles 2 and 3), presenting some headwind relative to our primary market and peer benchmarks. Specifically, this explains why we underperformed the S&P 500 Index, which is made up of the three largest deciles of stocks.
Mid-cap stocks were dominant in the fiscal year ended June 30, 2011, with ultra-large, and ultra-small stocks lagging by a considerable margin. Ultra-large stocks trailed the second largest decile of stocks by a whopping eight percent for the year. This is very unusual and created a performance challenge for our Fund.
CRSP Decile1 | Three Month to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Years 7/1/06 to 6/30/11 | 10 Years to 6/30/11 | 85.5 Years 1/1/1926 to 6/30/11 | |||||
1 (ultra-large) | -0.36% | 28.14% | 2.74% | 1.80% | 9.11% | |||||
2 | 1.55% | 36.13% | 4.74% | 6.40% | 10.52% | |||||
3 | 0.32% | 43.42% | 5.97% | 7.10% | 10.96% | |||||
4 | 0.47% | 39.97% | 6.92% | 8.56% | 10.92% | |||||
5 | -0.70% | 44.83% | 9.18% | 9.25% | 11.49% | |||||
6 | -0.48% | 40.35% | 5.98% | 7.26% | 11.41% | |||||
7 | -1.63% | 41.92% | 6.62% | 8.30% | 11.41% | |||||
8 | -2.97% | 36.15% | 6.85% | 9.17% | 11.61% | |||||
9 | -3.01% | 35.10% | 5.51% | 8.74% | 11.65% | |||||
10 (ultra-small) | -3.95% | 25.64% | 4.13% | 12.70% | 13.20% |
1 | The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results. |
www.bridgeway.com | 112 |
Blue Chip 35 Index Fund MANAGER’S COMMENTARY (continued) |
Fiscal Year Performance
The Short Version: Energy companies were the biggest contributors to Fund performance, while the Financials sector led the worst contributors list.
Over the course of the fiscal year, crude oil prices surged from the low $70s to the mid $90s before the U.S. tapped into its strategic reserve late in the period. Based on the price movement alone, the major oil producers and other related energy companies reaped tremendous benefits to their bottom lines and performed very well during the 12-month period. Three energy companies were among the top five Fund contributors. Combined, they added over four-and-a-half percent to overall performance.
In the aftermath of the recession, banks began the long road to recovery in a stricter regulatory environment. Yet the mortgage debacle left many remnants as banks are making charges to earnings, settling lawsuits, and the sluggish housing sector and weak labor market continue to hinder consumer activity. Four financials were among the worst contributors to the Fund’s performance.
Here’s the full list of our companies:
Rank | Company | Industry | % Contribution to Return | |||
1 | Schlumberger, Ltd. | Energy Equipment & Services | 1.8% | |||
2 | Apple, Inc. | Computers & Peripherals | 1.7% | |||
3 | ConocoPhillips | Oil, Gas & Consumable Fuels | 1.6% | |||
4 | Oracle Corp. | Software | 1.5% | |||
5 | Chevron Corp. | Oil, Gas & Consumable Fuels | 1.4% | |||
6 | Verizon Communications, Inc. | Diversified Telecommunication Services | 1.2% | |||
7 | Pfizer, Inc. | Pharmaceuticals | 1.1% | |||
8 | United Technologies Corp. | Aerospace & Defense | 1.1% | |||
9 | International Business Machines Corp. | IT Services | 1.0% | |||
10 | Coca-Cola Co. (The) | Beverages | 1.0% | |||
11 | Exxon Mobil Corp. | Oil, Gas & Consumable Fuels | 1.0% | |||
12 | McDonald’s Corp. | Hotels, Restaurants & Leisure | 0.9% | |||
13 | Occidental Petroleum Corp. | Oil, Gas & Consumable Fuels | 0.9% | |||
14 | United Parcel Service, Inc. | Air Freight & Logistics | 0.9% | |||
15 | AT&T, Inc. | Diversified Telecommunication Services | 0.9% | |||
16 | Monsanto Co. | Chemicals | 0.9% | |||
17 | General Electric Co. | Industrial Conglomerates | 0.8% | |||
18 | 3M Co. | Industrial Conglomerates | 0.7% | |||
19 | CVS Caremark Corp. | Food & Staples Retailing | 0.7% | |||
20 | PepsiCo, Inc. | Beverages | 0.5% | |||
21 | Visa, Inc. | IT Services | 0.5% | |||
22 | Abbott Laboratories | Pharmaceuticals | 0.5% | |||
23 | Johnson & Johnson | Pharmaceuticals | 0.5% | |||
24 | Microsoft Corp. | Software | 0.5% | |||
25 | Intel Corp. | Semiconductors & Semiconductor Equipment | 0.5% | |||
26 | JPMorgan Chase & Co. | Diversified Financials Services | 0.4% | |||
27 | Google, Inc. | Internet Software & Services | 0.4% | |||
28 | Wal-Mart Stores, Inc. | Food & Staples Retailing | 0.4% | |||
29 | Wells Fargo & Co. | Commercial Banks | 0.3% | |||
30 | Procter & Gamble Co. (The) | Household Products | 0.3% | |||
31 | Goldman Sachs Group, Inc. (The) | Capital Markets | 0.2% | |||
32 | Merck & Co., Inc. | Pharmaceuticals | 0.1% | |||
33 | Frontier Communications Corp.* | Diversified Telecommunication Services | 0.1% |
113 | Annual Report | June 30, 2011 |
Blue Chip 35 Index Fund MANAGER’S COMMENTARY (continued) | ||
Rank | Company | Industry | % Contribution to Return | |||
34 | Berkshire Hathaway, Inc. | Insurance | 0.0% | |||
35 | Hewlett-Packard Co. | Computers & Peripherals | -0.5% | |||
36 | Bank of America Corp. | Diversified Financials Services | -0.8% | |||
37 | Cisco Systems, Inc. | Communications Equipment | -0.8% |
* | Spinoff from Verizon Communications, Inc. |
What Worked
Over the course of the fiscal year, crude oil prices surged from the low $70s to the mid $90s and even pushed above $110/ barrel before the US tapped into its strategic reserve late in the period. Based on the price movement alone, the major oil producers reaped tremendous benefits to their bottom lines. Chevron is one such company; its share price surged over 50% during the fiscal year on higher oil prices and strong refining margins. The political unrest in the Middle East raised concerns about global supply issues, especially as emerging economies continue to grow, thus boosting demand. Chevron has continued to post solid earnings and revenues in recent quarters, and analysts expect more of the same in the periods to follow. In fact, 11 of 20 analysts recently raised estimates for 2011, and 12 out of 19 did the same for 2012. Management has improved margins through aggressive cost-cutting moves and made strategic decisions to focus on its more profitable markets. Earlier in the period, Chevron raised its dividend by over 8%, a nice vote of confidence for its shareholders. The holding contributed over one-and-a-quarter-percent to the return of the Fund over the 12-month period.
What Didn’t Work
When Bank of America bought leading mortgage lender Countrywide Mortgage for a mere $4 billion in 2008, many analysts and investors believed it to be a no-lose situation. After all, the major money center bank was paying only about one-third of Countrywide’s book value and should have had more than enough cushion should any fallout from bad loans occur down the road. However, in late June 2011, Bank of America agreed to an $8.5 billion settlement with a group of institutional investors and will be taking a $20+ billion charge to its second quarter earnings because of bad mortgage-backed securities. While Bank of America believes it is moving closer to putting the memories of the bad deal behind it, analysts point out that it has made similar claims in the past. In fact, in January, the bank settled with Fannie Mae and Freddie Mac over bad loans to the tune of $2.8 billion, hoping the worst had ended. Needless to say, Bank of America lowered its earnings estimates for the second quarter, and many analysts have reduced their price targets. However, within the fine print of the bank’s warning, management mentioned that sales and trading results for the quarter would most likely exceed those of last year. For the fiscal year, Bank of America lost over 20% and was the Fund’s second biggest hindrance to Fund performance.
Industry Sector Representation as of June 30, 2011
The Information Technology sector made up over a quarter of the Fund and was also the most overweighted sector. The most underweighted sector was Consumer Discretionary, which made up only three percent of the Fund.
% of Net Assets | % of S&P 500 Index | Difference | ||||
Consumer Discretionary | 3.0% | 10.7% | -7.7% | |||
Consumer Staples | 13.9% | 10.7% | 3.2% | |||
Energy | 13.6% | 12.6% | 1.0% | |||
Financials | 13.4% | 15.0% | -1.6% | |||
Health Care | 11.2% | 11.7% | -0.5% | |||
Industrials | 10.8% | 11.3% | -0.5% | |||
Information Technology | 25.9% | 17.8% | 8.1% | |||
Materials | 2.7% | 3.7% | -1.0% | |||
Telecommunication Services | 5.4% | 3.1% | 2.3% | |||
Utilities | 0.0% | 3.4% | -3.4% | |||
Cash & Other Assets | 0.1% | 0.0% | 0.1% | |||
Total | 100.0% | 100.0% |
www.bridgeway.com | 114 |
Blue Chip 35 Index Fund MANAGER’S COMMENTARY (continued) | ||
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those of market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.
The Fund is subject to significant market risk (volatility) and is not an appropriate investment for short-term investors.
Conclusion
Thank you for your continued investment in Blue Chip 35 Index Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
115 | Annual Report | June 30, 2011 |
Bridgeway Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 100.11% |
| |||||||||
Aerospace & Defense - 2.72% |
| |||||||||
United Technologies Corp. | 101,780 | $ | 9,008,548 | |||||||
Air Freight & Logistics - 2.76% |
| |||||||||
United Parcel Service, Inc., Class B | 125,263 | 9,135,430 | ||||||||
Beverages - 5.72% |
| |||||||||
Coca-Cola Co. (The) | 134,057 | 9,020,696 | ||||||||
PepsiCo, Inc. | 141,350 | 9,955,280 | ||||||||
|
| |||||||||
18,975,976 | ||||||||||
Capital Markets - 2.68% |
| |||||||||
Goldman Sachs Group, Inc. (The) | 66,700 | 8,877,103 | ||||||||
Chemicals - 2.72% |
| |||||||||
Monsanto Co. | 124,550 | 9,034,857 | ||||||||
Commercial Banks - 2.61% |
| |||||||||
Wells Fargo & Co. | 308,759 | 8,663,777 | ||||||||
Communications Equipment - 2.73% |
| |||||||||
Cisco Systems, Inc. | 579,108 | 9,039,876 | ||||||||
Computers & Peripherals - 6.07% |
| |||||||||
Apple, Inc.* | 33,300 | 11,177,811 | ||||||||
Hewlett-Packard Co. | 246,200 | 8,961,680 | ||||||||
|
| |||||||||
20,139,491 | ||||||||||
Diversified Financial Services - 5.36% |
| |||||||||
Bank of America Corp. | 809,508 | 8,872,208 | ||||||||
JPMorgan Chase & Co. | 217,195 | 8,891,963 | ||||||||
|
| |||||||||
17,764,171 | ||||||||||
Diversified Telecommunication Services - 5.44% |
| |||||||||
AT&T, Inc. | 286,925 | 9,012,314 | ||||||||
Verizon Communications, Inc. | 242,089 | 9,012,974 | ||||||||
|
| |||||||||
18,025,288 | ||||||||||
Energy Equipment & Services - 2.73% |
| |||||||||
Schlumberger, Ltd. | 104,800 | 9,054,720 | ||||||||
Food & Staples Retailing - 5.47% |
| |||||||||
CVS Caremark Corp. | 241,000 | 9,056,780 | ||||||||
Wal-Mart Stores, Inc. | 170,919 | 9,082,636 | ||||||||
|
| |||||||||
18,139,416 | ||||||||||
Hotels, Restaurants & Leisure - 3.00% |
| |||||||||
McDonald’s Corp. | 118,100 | 9,958,192 |
Industry | Company | Shares | Value | |||||||
Household Products - 2.73% |
| |||||||||
Procter & Gamble Co. (The) | 142,126 | $ | 9,034,950 | |||||||
Industrial Conglomerates - 5.36% |
| |||||||||
3M Co. | 94,900 | 9,001,265 | ||||||||
General Electric Co. | 465,143 | 8,772,597 | ||||||||
|
| |||||||||
17,773,862 | ||||||||||
Insurance - 2.72% |
| |||||||||
Berkshire Hathaway, Inc., Class B* | 116,550 | 9,019,804 | ||||||||
Internet Software & Services - 2.68% |
| |||||||||
Google, Inc., Class A* | 17,570 | 8,897,097 | ||||||||
IT Services - 6.03% |
| |||||||||
International Business Machines Corp. | 56,567 | 9,704,069 | ||||||||
Visa, Inc., Class A | 122,200 | 10,296,572 | ||||||||
|
| |||||||||
20,000,641 | ||||||||||
Oil, Gas & Consumable Fuels - 10.94% |
| |||||||||
Chevron Corp. | 87,895 | 9,039,122 | ||||||||
ConocoPhillips | 120,215 | 9,038,966 | ||||||||
Exxon Mobil Corp. | 110,487 | 8,991,432 | ||||||||
Occidental Petroleum Corp. | 88,400 | 9,197,136 | ||||||||
|
| |||||||||
36,266,656 | ||||||||||
Pharmaceuticals - 11.24% |
| |||||||||
Abbott Laboratories | 171,900 | 9,045,378 | ||||||||
Johnson & Johnson | 150,552 | 10,014,719 | ||||||||
Merck & Co., Inc. | 255,835 | 9,028,417 | ||||||||
Pfizer, Inc. | 445,844 | 9,184,386 | ||||||||
|
| |||||||||
37,272,900 | ||||||||||
Semiconductors & Semiconductor Equipment - 2.96% |
| |||||||||
Intel Corp. | 442,943 | 9,815,617 | ||||||||
Software - 5.44% |
| |||||||||
Microsoft Corp. | 347,245 | 9,028,370 | ||||||||
Oracle Corp. | 273,813 | 9,011,186 | ||||||||
|
| |||||||||
18,039,556 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS - 100.11% | 331,937,928 | |||||||||
|
| |||||||||
(Cost $267,058,972) |
www.bridgeway.com | 116 |
Bridgeway Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Rate^ |
|
Shares |
|
|
Value |
| ||||
MONEY MARKET FUND - 0.01% |
| |||||||||
BlackRock FedFund | 0.01% | 29,942 | $29,942 | |||||||
|
| |||||||||
TOTAL MONEY MARKET FUND - 0.01% |
| 29,942 | ||||||||
|
| |||||||||
(Cost $29,942) | ||||||||||
TOTAL INVESTMENTS - 100.12% |
| $ | 331,967,870 | |||||||
(Cost $267,088,914) | ||||||||||
Liabilities in Excess of Other Assets - (0.12%) |
| (402,818 | ) | |||||||
|
| |||||||||
NET ASSETS - 100.00% |
| $ | 331,565,052 | |||||||
|
| |||||||||
* Non-income producing security. ^ Rate disclosed as of June 30, 2011. |
| |||||||||
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): |
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common | $ | 331,937,928 | $ | — | $ | — | $ | 331,937,928 | ||||||||
Money | — | 29,942 | — | 29,942 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 331,937,928 | $ | 29,942 | $ | — | $ | 331,967,870 | ||||||||
|
|
|
|
|
|
|
| |||||||||
See Notes to Financial Statements. |
|
117 | Annual Report | June 30, 2011 |
MANAGER’S COMMENTARY |
June 30, 2011 |
Dear Fellow Managed Volatility Fund Shareholder:
For the quarter ended June 30, 2011, Managed Volatility Fund declined 0.94%, trailing our primary market benchmark, the S&P 500 Index (+0.10%), our peer benchmark, the Lipper Balanced Funds Index (+0.74%), and the fixed income only Bloomberg/ EFFAS U.S. Government 1-3 Year Total Return Bond Index (+0.96%). It was a relatively poor quarter, though this is a very short time period within which to evaluate this Fund. Looking at the risk side of the equation, the S&P 500 dropped 6.9% from the peak (4/29/11) to the low point (6/15/11) while the Fund dropped 3.8% over the same period, providing a nice “cushion” to the downturn, though not as much as our average target — we seek to provide “60% cushion” on average.
For the full fiscal year ended June 30, 2011, Managed Volatility Fund returned 14.15%, versus 30.69% for the S&P 500 Index. This is a very good result, as our Fund returned 46% (significantly above our 40 percent capture ratio goal) of the market’s appreciation with only 43% of the risk (as measured by standard deviation of monthly returns). Our peer benchmark, the Lipper Balanced Funds Index returned +20.32%. We outperformed the fixed income only Bloomberg/ EFFAS U.S. Government 1-3 Year Total Return Bond Index (+1.46%), an expected result in a bull market period.
As presented on page 4, the Fund just celebrated its tenth anniversary. Please see that section for a view of the longer term decade.
This hybrid Fund invests in both equity and fixed-income securities, while incorporating an options strategy designed to produce a conservative, lower-volatility balanced portfolio. During very favorable equity market conditions, the Fund often under-performs many of the more aggressive benchmarks. On the other hand, when stocks struggle and investors seek the safe haven of more conservative bonds, Managed Volatility Fund tends to perform better than the equity-only indexes.
The table below presents our June quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. See the next page for a graph of performance since inception.
June Qtr. 4/1/11 to 6/30/11 | 1 Year 7/1/10 to 6/30/11 | 5 Year 7/1/06 to 6/30/11 | 10 Year 7/1/01 to 6/30/11 | Life-to-Date to 6/30/11 | ||||||
Managed Volatility Fund | -0.94% | 14.15% | 1.33% | 3.58% | 3.58% | |||||
S&P 500 Index | 0.10% | 30.69% | 2.94% | 2.72% | 2.72% | |||||
Bloomberg/EFFAS U.S. Government 1-3 Year | 0.96% | 1.46% | 4.21% | 3.66% | 3.66% | |||||
Lipper Balanced Funds Index | 0.74% | 20.32% | 4.40% | 4.36% | 4.36% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Bloomberg/ EFFAS U.S. Government 1-3 year Total Return Bond Index is a transparent benchmark for the total return of the 1-3 year U.S. Government bond market. The Lipper Balanced Funds Index is an index of balanced funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.
According to data from Morningstar as of June 30, 2011, the Managed Volatility Fund ranked 38th of 129 Long-Short funds for the fiscal year ended June 30, 2011, 18th out of 44 funds over the past five years and 7th out of 17 funds over the last ten years. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.
www.bridgeway.com | 123 |
Managed Volatility Fund MANAGER’S COMMENTARY (continued) |
According to data from Lipper, Inc. as of June 30, 2011, the Managed Volatility Fund ranked 455th of 473 Mixed-Asset Target Allocation Moderate funds for the calendar year ended June 30, 2011, 357th of 376 over the past five years and 130th of 181 funds since inception on June 30, 2001. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.
Managed Volatility Fund vs. S&P 500 Index, Bloomberg/EFFAS Bond Index & Lipper Balanced Funds Index from Inception 6/30/01 to 6/30/11
Detailed Explanation of Quarterly Performance
The Short Version: Consumer Staples and Health Care stocks added the most to Fund Performance. Financials and Energy stocks hurt Fund returns.
Despite the fact that many consumers remained pretty concerned about the economy and their individual job prospects for the future, the Consumer Staples sector added the most to Fund performance for the quarter. So far, new governmental regulations on health care have not killed business or the insurance industry and Health Care stocks were the second largest contributor to Fund performance.
With the recovery slowing and the Fed ending its latest QE2 stimulus, the Financials sector rebound ground to a halt and Financial Stocks were the biggest hindrance to Fund Performance for the quarter. Following closely, the Energy Sector was the second worst drag on the Fund’s returns as energy companies have felt their fair share of volatility lately. The extent of the economic recovery’s strength continues to impact projections for crude demand because each passing economic data release seems to force traders to rethink their views. Over the past few months, after OPEC failed to act, the US and others tapped their strategic reserves on fears that the turmoil in the Middle East would hinder supply.
Detailed Explanation of Calender Year Performance
The Short Version: Information Technology stocks added to Fund performance, while Energy was the biggest hinderance to returns.
Advances in Information Technology areas, such as cloud computing, have represented a boon for the innovators and, as a result, IT-related stocks added the most to the Fund’s returns for the fiscal year. While Energy stocks were among the worst contributors for the quarter, they were the second best contributors for the fiscal year. Crude oil jumped on potential supply/ demand issues over the past 12 months and drilling activity slowly but surely reemerged. No sectors had an absolute negative impact on Fund performance for the fiscal year.
119 | Annual Report | June 30, 2011 |
Managed Volatility Fund MANAGER’S COMMENTARY (continued) |
Top Ten Holdings as of June 30, 2011
The Fund was broadly diversified and no single holding accounted for greater than 3% of the net assets. Two energy companies were among the largest holdings at fiscal year-end. The ten largest positions represented just more than 15% of the total assets of the Fund.
Rank | Description | Industry | % of Net Assets | |||
1 | Travelers Cos., Inc. (The) | Insurance | 2.9% | |||
2 | Timberland Co. (The) | Textiles, Apparel & Luxury Goods | 2.1% | |||
3 | Berkshire Hathaway, Inc. | Insurance | 1.6% | |||
4 | TRW Automotive Holdings Corp. | Auto Components | 1.5% | |||
5 | Exxon Mobil Corp. | Oil, Gas & Consumable Fuels | 1.4% | |||
6 | Chevron Corp. | Oil, Gas & Consumable Fuels | 1.2% | |||
7 | JDS Uniphase Corp. | Communications Equipment | 1.1% | |||
8 | JPMorgan Chase & Co. | Diversified Financial Services | 1.0% | |||
9 | Apple, Inc. | Computers & Peripherals | 0.9% | |||
10 | US Airways Group, Inc. | Airlines | 0.9% | |||
Total | 15.6% |
Industry Sector Representation as of June 30, 2011
As of June 30, 2011, our equities weighting increased to 60.2% of the Fund’s overall allocation. Information Technology and Financial stocks continue to be the highest weighted sectors. These sectors hurt performance for the quarter, but helped for the fiscal year.
The fixed income portion of the portfolio continues to be all in U.S. Treasuries as we have chosen to avoid more risky corporate notes. Finally, we utilized the options markets to generate additional income by selling puts and calls, a strategy that can be quite effective when premiums are high during volatile equity market environments.
Asset Type | % of Net Assets | |||
Common Stock | 60.2% | |||
Consumer Discretionary | 9.1% | |||
Consumer Staples | 5.6% | |||
Energy | 6.7% | |||
Financials | 10.3% | |||
Health Care | 4.4% | |||
Industrials | 7.3% | |||
Information Technology | 12.1% | |||
Materials | 1.3% | |||
Telecommunication Services | 1.4% | |||
Utilities | 2.0% | |||
U.S. Government Obligations | 39.2% | |||
Covered Call Options Written | -1.9% | |||
Put Options Written | -0.8% | |||
Money Market Funds | 3.2% | |||
Other Assets in Excess of Liabilities | 0.1% | |||
Total | 100.0% |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or
www.bridgeway.com | 120 |
Managed Volatility Fund MANAGER’S COMMENTARY (continued) |
unfavorable) description of a holding applies only as of the quarter-end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. The Fund uses an option writing strategy in which the Fund may sell covered calls or secured put options. Up to 75% of Fund assets may be invested in options. Options are subject to special risks and may not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potential normally associated with stocks. Finally, the Fund’s fixed-income holdings are subject to three types of risk. Interest rate risk is the chance that bond prices overall will decline as interest rates rise. Credit risk is the chance a bond issuer will fail to pay interest and principal. Prepayment risk is the chance a mortgage-backed bond issuer will repay a higher yielding bond, resulting in a lower paying yield.
Conclusion
Thank you for your continued investment in the Managed Volatility Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
Your Investment Management Team
121 | Annual Report | June 30, 2011 |
Bridgeway Managed Volatility Fund |
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2011
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 60.21% |
| |||||||||
Aerospace & Defense - 1.50% |
| |||||||||
General Dynamics Corp. | 1,400 | $ | 104,328 | |||||||
Honeywell International, Inc. | 2,100 | 125,139 | ||||||||
Lockheed Martin Corp. | 870 | 70,444 | ||||||||
Northrop Grumman Corp. | 800 | 55,480 | ||||||||
United Technologies Corp. | 940 | 83,199 | ||||||||
|
| |||||||||
438,590 | ||||||||||
Air Freight & Logistics - 0.39% |
| |||||||||
FedEx Corp. | 1,200 | 113,820 | ||||||||
Airlines - 0.91% |
| |||||||||
US Airways Group, Inc.*# | 30,000 | 267,300 | ||||||||
Auto Components - 1.65% |
| |||||||||
American Axle & Manufacturing Holdings, Inc.*# | 3,500 | 39,830 | ||||||||
TRW Automotive Holdings Corp.*# | 7,500 | 442,725 | ||||||||
|
| |||||||||
482,555 | ||||||||||
Beverages - 1.57% |
| |||||||||
Brown-Forman Corp., Class B | 2,950 | 220,335 | ||||||||
Coca-Cola Co. (The) | 2,500 | 168,225 | ||||||||
PepsiCo, Inc. | 1,000 | 70,430 | ||||||||
|
| |||||||||
458,990 | ||||||||||
Biotechnology - 0.48% |
| |||||||||
Gilead Sciences, Inc.*# | 3,400 | 140,794 | ||||||||
Capital Markets - 1.10% |
| |||||||||
Ameriprise Financial, Inc.# | 2,080 | 119,974 | ||||||||
Bank of New York Mellon Corp. (The) | 1,032 | 26,440 | ||||||||
Charles Schwab Corp. (The)# | 3,500 | 57,575 | ||||||||
Franklin Resources, Inc. | 300 | 39,387 | ||||||||
Morgan Stanley# | 800 | 18,408 | ||||||||
State Street Corp. | 1,300 | 58,617 | ||||||||
|
| |||||||||
320,401 | ||||||||||
Chemicals - 0.95% |
| |||||||||
Dow Chemical Co. (The) | 3,900 | 140,400 | ||||||||
Monsanto Co. | 500 | 36,270 | ||||||||
Sherwin-Williams Co. (The) | 600 | 50,322 | ||||||||
Sigma-Aldrich Corp. | 700 | 51,366 | ||||||||
|
| |||||||||
278,358 | ||||||||||
Commercial Banks - 1.19% |
| |||||||||
Comerica, Inc. | 1,600 | 55,312 | ||||||||
KeyCorp | 3,700 | 30,821 | ||||||||
U.S. Bancorp | 4,100 | 104,591 |
Industry | Company | Shares | Value | |||||||
Commercial Banks (continued) |
| |||||||||
Wells Fargo & Co. | 5,571 | $ | 156,322 | |||||||
|
| |||||||||
347,046 | ||||||||||
Communications Equipment - 2.77% |
| |||||||||
Alcatel-Lucent - Sponsored ADR*# | 35,000 | 201,950 | ||||||||
Cisco Systems, Inc.# | 14,100 | 220,101 | ||||||||
JDS Uniphase Corp.*# | 20,000 | 333,200 | ||||||||
Juniper Networks, Inc.*# | 1,700 | 53,550 | ||||||||
|
| |||||||||
808,801 | ||||||||||
Computers & Peripherals - 1.55% |
| |||||||||
Apple, Inc.* | 800 | 268,536 | ||||||||
Lexmark International, Inc., Class A*# | 3,600 | 105,336 | ||||||||
SanDisk Corp.*# | 1,900 | 78,850 | ||||||||
|
| |||||||||
452,722 | ||||||||||
Consumer Finance - 0.83% |
| |||||||||
American Express Co. | 1,500 | 77,550 | ||||||||
Capital One Financial Corp. | 3,200 | 165,344 | ||||||||
|
| |||||||||
242,894 | ||||||||||
Diversified Financial Services - 1.50% |
| |||||||||
Bank of America Corp.# | 10,800 | 118,368 | ||||||||
Citigroup, Inc. | 510 | 21,236 | ||||||||
JPMorgan Chase & Co.# | 7,300 | 298,862 | ||||||||
|
| |||||||||
438,466 | ||||||||||
Diversified Telecommunication Services - 0.96% |
| |||||||||
AT&T, Inc. | 5,400 | 169,614 | ||||||||
Frontier Communications Corp.+ | 672 | 5,423 | ||||||||
Verizon Communications, Inc. | 1,400 | 52,122 | ||||||||
Vonage Holdings Corp.*# | 12,000 | 52,920 | ||||||||
|
| |||||||||
280,079 | ||||||||||
Electric Utilities - 0.51% |
| |||||||||
American Electric Power Co., Inc. | 1,600 | 60,288 | ||||||||
Exelon Corp. | 1,100 | 47,124 | ||||||||
Progress Energy, Inc. | 900 | 43,209 | ||||||||
|
| |||||||||
150,621 | ||||||||||
Electrical Equipment - 0.21% |
| |||||||||
Emerson Electric Co. | 1,100 | 61,875 | ||||||||
Electronic Equipment, Instruments & Components - 1.28% |
| |||||||||
Corning, Inc.# | 3,300 | 59,895 | ||||||||
FLIR Systems, Inc. | 1,200 | 40,452 | ||||||||
Jabil Circuit, Inc.# | 7,000 | 141,400 |
www.bridgeway.com | 122 |
Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2010 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Electronic Equipment, Instruments & Components (continued) |
| |||||||||
Power-One, Inc.*#+ | 16,500 | $ | 133,650 | |||||||
|
| |||||||||
375,397 | ||||||||||
Energy Equipment & Services - 1.61% |
| |||||||||
Halliburton Co.# | 3,500 | 178,500 | ||||||||
ION Geophysical Corp.*# | 11,300 | 106,898 | ||||||||
National Oilwell Varco, Inc. | 800 | 62,568 | ||||||||
RPC, Inc.# | 5,000 | 122,700 | ||||||||
|
| |||||||||
470,666 | ||||||||||
Food & Staples Retailing - 1.65% |
| |||||||||
CVS Caremark Corp.# | 5,400 | 202,932 | ||||||||
Kroger Co. (The) | 1,000 | 24,800 | ||||||||
Safeway, Inc. | 2,900 | 67,773 | ||||||||
Wal-Mart Stores, Inc. | 3,500 | 185,990 | ||||||||
|
| |||||||||
481,495 | ||||||||||
Food Products - 1.17% |
| |||||||||
Archer-Daniels-Midland Co.# | 2,500 | 75,375 | ||||||||
General Mills, Inc. | 2,400 | 89,328 | ||||||||
Kraft Foods, Inc., Class A | 1,200 | 42,276 | ||||||||
Mead Johnson Nutrition Co. | 2,016 | 136,181 | ||||||||
|
| |||||||||
343,160 | ||||||||||
Health Care Equipment & Supplies - 0.77% |
| |||||||||
Baxter International, Inc. | 1,300 | 77,597 | ||||||||
Becton Dickinson & Co. | 220 | 18,957 | ||||||||
CR Bard, Inc. | 500 | 54,930 | ||||||||
Stryker Corp. | 1,260 | 73,950 | ||||||||
|
| |||||||||
225,434 | ||||||||||
Health Care Providers & Services - 1.04% |
| |||||||||
Express Scripts, Inc.* | 1,500 | 80,970 | ||||||||
Laboratory Corp. of America Holdings* | 300 | 29,037 | ||||||||
Medco Health Solutions, Inc.* | 1,400 | 79,128 | ||||||||
Quest Diagnostics, Inc. | 800 | 47,280 | ||||||||
UnitedHealth Group, Inc. | 1,300 | 67,054 | ||||||||
|
| |||||||||
303,469 | ||||||||||
Hotels, Restaurants & Leisure - 0.26% |
| |||||||||
McDonald’s Corp. | 900 | 75,888 | ||||||||
Household Products - 1.20% |
| |||||||||
Colgate-Palmolive Co. | 1,500 | 131,115 | ||||||||
Kimberly-Clark Corp. | 1,000 | 66,560 | ||||||||
Procter & Gamble Co. (The)# | 2,400 | 152,568 | ||||||||
|
| |||||||||
350,243 |
Industry | Company | Shares | Value | |||||||
Independent Power Producers & Energy Traders - 0.27% |
| |||||||||
AES Corp. (The)* | 6,100 | $ | 77,714 | |||||||
Industrial Conglomerates - 1.20% |
| |||||||||
3M Co.# | 2,800 | 265,580 | ||||||||
General Electric Co. | 4,500 | 84,870 | ||||||||
|
| |||||||||
350,450 | ||||||||||
Insurance - 5.60% |
| |||||||||
Aflac, Inc. | 800 | 37,344 | ||||||||
AON Corp.# | 1,700 | 87,210 | ||||||||
Berkshire Hathaway, Inc., Class B*# | 6,000 | 464,340 | ||||||||
Chubb Corp.# | 2,500 | 156,525 | ||||||||
Principal Financial Group, Inc. | 400 | 12,168 | ||||||||
Progressive Corp. (The) | 1,620 | 34,636 | ||||||||
Travelers Cos., Inc. (The)# | 14,500 | 846,510 | ||||||||
|
| |||||||||
1,638,733 | ||||||||||
Internet & Catalog Retail - 0.70% |
| |||||||||
Amazon.com, Inc.*# | 1,000 | 204,490 | ||||||||
Internet Software & Services - 0.68% |
| |||||||||
eBay, Inc.*# | 3,000 | 96,810 | ||||||||
Google, Inc., Class A* | 200 | 101,276 | ||||||||
|
| |||||||||
198,086 | ||||||||||
IT Services - 2.29% |
| |||||||||
Automatic Data Processing, Inc. | 800 | 42,144 | ||||||||
Cognizant Technology Solutions Corp., Class A* | 1,000 | 73,340 | ||||||||
International Business Machines Corp.# | 1,200 | 205,860 | ||||||||
Paychex, Inc. | 500 | 15,360 | ||||||||
Teradata Corp.*# | 3,200 | 192,640 | ||||||||
Visa, Inc., Class A | 1,300 | 109,538 | ||||||||
Western Union Co. (The) | 1,500 | 30,045 | ||||||||
|
| |||||||||
668,927 | ||||||||||
Leisure Equipment & Products - 0.23% |
| |||||||||
Hasbro, Inc.# | 1,500 | 65,895 | ||||||||
Life Sciences Tools & Services - 0.26% |
| |||||||||
Thermo Fisher Scientific, Inc.* | 1,200 | 77,268 | ||||||||
Machinery - 2.07% |
| |||||||||
Danaher Corp.# | 3,000 | 158,970 | ||||||||
Eaton Corp.# | 4,800 | 246,960 | ||||||||
Sauer-Danfoss, Inc.*# | 3,000 | 151,170 |
123 | Annual Report | June 30, 2011 |
Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Machinery (continued) |
| |||||||||
Titan International, Inc.# | 2,000 | $ | 48,520 | |||||||
|
| |||||||||
605,620 | ||||||||||
Media - 1.50% |
| |||||||||
Comcast Corp., Class A# | 6,450 | 163,443 | ||||||||
News Corp., Class A# | 9,100 | 161,070 | ||||||||
Omnicom Group, Inc.# | 1,000 | 48,160 | ||||||||
Time Warner, Inc. | 1,833 | 66,666 | ||||||||
|
| |||||||||
439,339 | ||||||||||
Metals & Mining - 0.16% |
| |||||||||
Alcoa, Inc. | 600 | 9,516 | ||||||||
United States Steel Corp.+ | 800 | 36,832 | ||||||||
|
| |||||||||
46,348 | ||||||||||
Multiline Retail - 1.30% |
| |||||||||
Big Lots, Inc.*# | 2,800 | 92,820 | ||||||||
Sears Holdings Corp.*+ | 400 | 28,576 | ||||||||
Target Corp.# | 5,500 | 258,005 | ||||||||
|
| |||||||||
379,401 | ||||||||||
Multi-Utilities - 1.23% |
| |||||||||
Dominion Resources, Inc.# | 2,620 | 126,467 | ||||||||
Public Service Enterprise Group, Inc. | 2,600 | 84,864 | ||||||||
Sempra Energy | 2,800 | 148,064 | ||||||||
|
| |||||||||
359,395 | ||||||||||
Oil, Gas & Consumable Fuels - 5.06% |
| |||||||||
Anadarko Petroleum Corp. | 1,000 | 76,760 | ||||||||
Apache Corp. | 500 | 61,695 | ||||||||
Chesapeake Energy Corp. | 1,000 | 29,690 | ||||||||
Chevron Corp.# | 3,378 | 347,394 | ||||||||
ConocoPhillips# | 1,687 | 126,846 | ||||||||
EOG Resources, Inc. | 1,500 | 156,825 | ||||||||
Exxon Mobil Corp. | 5,000 | 406,900 | ||||||||
Occidental Petroleum Corp. | 1,200 | 124,848 | ||||||||
Peabody Energy Corp. | 1,200 | 70,692 | ||||||||
Spectra Energy Corp. | 2,850 | 78,118 | ||||||||
|
| |||||||||
1,479,768 | ||||||||||
Paper & Forest Products - 0.20% |
| |||||||||
International Paper Co.# | 2,000 | 59,640 | ||||||||
Pharmaceuticals - 1.82% |
| |||||||||
Allergan, Inc.# | 1,900 | 158,175 | ||||||||
Bristol-Myers Squibb Co. | 4,079 | 118,128 |
Industry | Company | Shares | Value | |||||||
Pharmaceuticals (continued) |
| |||||||||
Merck & Co., Inc.# | 2,800 | $ | 98,812 | |||||||
Pfizer, Inc. | 7,600 | 156,560 | ||||||||
|
| |||||||||
531,675 | ||||||||||
Road & Rail - 0.71% |
| |||||||||
Union Pacific Corp. | 2,000 | 208,800 | ||||||||
Semiconductors & Semiconductor Equipment - 1.81% |
| |||||||||
Broadcom Corp., Class A*# | 3,500 | 117,740 | ||||||||
Fairchild Semiconductor International, Inc.*# | 7,000 | 116,970 | ||||||||
Intel Corp. | 6,500 | 144,040 | ||||||||
Texas Instruments, Inc.# | 4,570 | 150,033 | ||||||||
|
| |||||||||
528,783 | ||||||||||
Software - 1.69% |
| |||||||||
BMC Software, Inc.* | 520 | 28,444 | ||||||||
Citrix Systems, Inc.* | 1,400 | 112,000 | ||||||||
Intuit, Inc.*# | 2,100 | 108,906 | ||||||||
Microsoft Corp. | 3,300 | 85,800 | ||||||||
Oracle Corp. | 4,860 | 159,943 | ||||||||
|
| |||||||||
495,093 | ||||||||||
Specialty Retail - 0.97% |
| |||||||||
AutoZone, Inc.* | 900 | 265,365 | ||||||||
Staples, Inc. | 1,250 | 19,750 | ||||||||
|
| |||||||||
285,115 | ||||||||||
Textiles, Apparel & Luxury Goods - 2.55% |
| |||||||||
NIKE, Inc., Class B | 1,500 | 134,970 | ||||||||
Timberland Co. (The), Class A*# | 14,200 | 610,174 | ||||||||
|
| |||||||||
745,144 | ||||||||||
Thrifts & Mortgage Finance - 0.13% |
| |||||||||
Hudson City Bancorp, Inc.# | 4,800 | 39,312 | ||||||||
Trading Companies & Distributors - 0.26% |
| |||||||||
W.W. Grainger, Inc. | 500 | 76,825 | ||||||||
Wireless Telecommunication Services - 0.47% |
| |||||||||
American Tower Corp., Class A*# | 1,500 | 78,495 | ||||||||
MetroPCS Communications, Inc.*# | 1,500 | 25,815 |
www.bridgeway.com | 124 |
Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Wireless Telecommunication Services (continued) |
| |||||||||
Sprint Nextel Corp.*# | 6,000 | $ | 32,340 | |||||||
|
| |||||||||
136,650 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS -60.21% |
| 17,607,535 | ||||||||
|
| |||||||||
(Cost $13,507,680) |
Due Date | Discount Rate or Coupon Rate | Principal Amount | Value | |||||||||
U.S. GOVERNMENT OBLIGATIONS - 39.26% |
| |||||||||||
U.S. Treasury Bills - 30.77% |
| |||||||||||
07/21/2011 | 0.185%(a) | $ | 1,500,000 | 1,499,986 | ||||||||
07/28/2011 | 1.798%(a) | 1,500,000 | 1,499,973 | |||||||||
09/01/2011 | 0.170%(a) | 1,500,000 | 1,499,957 | |||||||||
09/29/2011 | 0.250%(a) | 1,500,000 | 1,499,925 | |||||||||
10/27/2011 | 0.115%(a) | 1,500,000 | 1,499,819 | |||||||||
12/01/2011 | 0.115%(a) | 1,500,000 | 1,499,541 | |||||||||
|
| |||||||||||
8,999,201 | ||||||||||||
U.S. Treasury Notes - 8.49% |
| |||||||||||
08/31/2011 | 4.625% | 300,000 | 302,262 | |||||||||
12/31/2011 | 1.000% | 200,000 | 200,867 | |||||||||
04/30/2012 | 4.500% | 300,000 | 310,699 | |||||||||
07/15/2012 | 1.500% | 200,000 | 202,609 | |||||||||
08/15/2012 | 1.750% | 300,000 | 305,016 | |||||||||
11/30/2012 | 3.375% | 300,000 | 312,844 | |||||||||
12/31/2012 | 3.625% | 200,000 | 209,758 | |||||||||
01/31/2013 | 0.625% | 100,000 | 100,394 | |||||||||
11/15/2013 | 4.250% | 200,000 | 217,109 | |||||||||
03/15/2014 | 1.250% | 100,000 | 101,453 | |||||||||
02/15/2015 | 4.000% | 200,000 | 220,438 | |||||||||
|
| |||||||||||
2,483,449 | ||||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS - 39.26% |
| 11,482,650 | ||||||||||
|
| |||||||||||
(Cost $11,396,183) |
|
Number of Contracts | Value | |||||||
PUT OPTIONS PURCHASED - 0.01% |
| |||||||
SPDR S&P 500 ETF Trust |
| |||||||
Expiring July, 2011 at $130.00 | 40 | 3,200 | ||||||
|
| |||||||
TOTAL PUT OPTIONS PURCHASED - 0.01% | 3,200 | |||||||
|
| |||||||
(Cost $11,694) |
Value | ||||||||
TOTAL INVESTMENTS - 99.48% | $ | 29,093,385 | ||||||
(Cost $24,915,557) | ||||||||
Other Assets in Excess of Liabilities - 0.52% | 152,880 | |||||||
|
| |||||||
NET ASSETS - 100.00% | $ | 29,246,265 | ||||||
|
|
* | Non-income producing security. |
# | Security subject to call or put option written by the Fund. |
+ | This security or a portion of the security is out on loan at June 30, 2011. |
Total loaned securities had a value of $243,890 at June 30, 2011. |
(a) | Rate represents the effective yield at purchase. |
ADR | - American Depositary Receipt |
See Notes to Financial Statements.
125 | Annual Report | June 30, 2011 |
Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN |
Showing percentage of net assets as of June 30, 2011 |
Company | Number of Contracts | Value | ||||||
CALL OPTIONS WRITTEN - (1.91%) |
| |||||||
3M Co. | ||||||||
Expiring October, 2011 at $97.50 | 10 | $ | (2,390 | ) | ||||
Alcatel-Lucent - Sponsored ADR | ||||||||
Expiring September, 2011 at $5.00 | 350 | (32,900 | ) | |||||
Allergan, Inc. | ||||||||
Expiring July, 2011 at $75.00 | 7 | (5,880 | ) | |||||
Amazon.com, Inc. | ||||||||
Expiring July, 2011 at $200.00 | 5 | (3,550 | ) | |||||
American Axle & Manufacturing Holdings, Inc. | ||||||||
Expiring July, 2011 at $11.00 | 35 | (2,450 | ) | |||||
American Tower Corp., Class A | ||||||||
Expiring July, 2011 at $55.00 | 8 | (120 | ) | |||||
Ameriprise Financial, Inc. | ||||||||
Expiring September, 2011 at $60.00 | 7 | (1,330 | ) | |||||
AON Corp. | ||||||||
Expiring October, 2011 at $52.50 | 7 | (980 | ) | |||||
Archer-Daniels-Midland Co. | ||||||||
Expiring September, 2011 at $31.00 | 10 | (980 | ) | |||||
Bank of America Corp. | ||||||||
Expiring August, 2011 at $13.00 | 50 | (350 | ) | |||||
Berkshire Hathaway, Inc., Class B | ||||||||
Expiring September, 2011 at $80.00 | 60 | (7,800 | ) | |||||
Big Lots, Inc. | ||||||||
Expiring October, 2011 at $35.00 | 7 | (945 | ) | |||||
Expiring October, 2011 at $45.00 | 10 | (100 | ) | |||||
|
| |||||||
(1,045 | ) | |||||||
Broadcom Corp., Class A | ||||||||
Expiring August, 2011 at $40.00 | 15 | (180 | ) | |||||
Expiring November, 2011 at $35.00 | 10 | (2,280 | ) | |||||
|
| |||||||
(2,460 | ) | |||||||
Charles Schwab Corp. (The) | ||||||||
Expiring September, 2011 at $17.00 | 10 | (580 | ) | |||||
Chevron Corp. | ||||||||
Expiring August, 2011 at $105.00 | 15 | (2,715 | ) | |||||
Chubb Corp. | ||||||||
Expiring July, 2011 at $60.00 | 7 | (1,792 | ) | |||||
Cisco Systems, Inc. | ||||||||
Expiring July, 2011 at $17.50 | 30 | (30 | ) |
Company | Number of Contracts | Value | ||||||
Expiring October, 2011 at $16.00 | 30 | $ | (2,190 | ) | ||||
|
| |||||||
(2,220 | ) | |||||||
Comcast Corp., Class A |
| |||||||
Expiring October, 2011 at $25.00 | 15 | (2,250 | ) | |||||
ConocoPhillips |
| |||||||
Expiring August, 2011 at $85.00 | 6 | (36 | ) | |||||
Corning, Inc. |
| |||||||
Expiring August, 2011 at $21.00 | 8 | (48 | ) | |||||
CVS Caremark Corp. |
| |||||||
Expiring August, 2011 at $34.00 | 15 | (5,700 | ) | |||||
Danaher Corp. |
| |||||||
Expiring September, 2011 at $55.00 | 10 | (1,300 | ) | |||||
Dominion Resources, Inc. |
| |||||||
Expiring October, 2011 at $45.00 | 7 | (2,520 | ) | |||||
Eaton Corp. |
| |||||||
Expiring October, 2011 at $55.00 | 15 | (2,400 | ) | |||||
eBay, Inc. |
| |||||||
Expiring August, 2011 at $31.00 | 10 | (2,340 | ) | |||||
Fairchild Semiconductor International, Inc. |
| |||||||
Expiring July, 2011 at $19.00 | 70 | (1,050 | ) | |||||
Gilead Sciences, Inc. |
| |||||||
Expiring August, 2011 at $41.00 | 8 | (1,432 | ) | |||||
Halliburton Co. |
| |||||||
Expiring October, 2011 at $50.00 | 8 | (3,520 | ) | |||||
Hasbro, Inc. |
| |||||||
Expiring July, 2011 at $47.50 | 8 | (80 | ) | |||||
Hudson City Bancorp, Inc. |
| |||||||
Expiring July, 2011 at $10.00 | 24 | (120 | ) | |||||
International Business Machines Corp. |
| |||||||
Expiring October, 2011 at $175.00 | 5 | (2,330 | ) | |||||
International Paper Co. |
| |||||||
Expiring October, 2011 at $31.00 | 7 | (987 | ) | |||||
Intuit, Inc. |
| |||||||
Expiring August, 2011 at $52.50 | 7 | (1,190 | ) | |||||
ION Geophysical Corp. |
| |||||||
Expiring July, 2011 at $9.00 | 113 | (6,215 | ) | |||||
Jabil Circuit, Inc. |
| |||||||
Expiring September, 2011 at $18.00 | 70 | (18,200 | ) | |||||
JDS Uniphase Corp. |
| |||||||
Expiring August, 2011 at $15.00 | 200 | (44,600 | ) |
www.bridgeway.com | 126 |
Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) |
Showing percentage of net assets as of June 30, 2011 |
Company | Number of Contracts | Value | ||||||
Call Options Written (continued) |
| |||||||
JPMorgan Chase & Co. |
| |||||||
Expiring August, 2011 at $45.00 | 25 | $ | (550 | ) | ||||
Juniper Networks, Inc. |
| |||||||
Expiring October, 2011 at $31.00 | 5 | (1,385 | ) | |||||
Lexmark International, Inc., Class A |
| |||||||
Expiring July, 2011 at $40.00 | 8 | (40 | ) | |||||
Expiring August, 2011 at $28.00 | 8 | (1,680 | ) | |||||
|
| |||||||
(1,720 | ) | |||||||
Merck & Co., Inc. |
| |||||||
Expiring July, 2011 at $34.00 | 12 | (1,632 | ) | |||||
MetroPCS Communications, Inc. |
| |||||||
Expiring November, 2011 at $16.00 | 15 | (3,600 | ) | |||||
Morgan Stanley |
| |||||||
Expiring October, 2011 at $27.00 | 8 | (264 | ) | |||||
News Corp., Class A |
| |||||||
Expiring October, 2011 at $17.00 | 25 | (3,750 | ) | |||||
Power-One, Inc. |
| |||||||
Expiring July, 2011 at $7.00 | 165 | (18,975 | ) | |||||
Procter & Gamble Co. (The) |
| |||||||
Expiring October, 2011 at $65.00 | 7 | (749 | ) | |||||
RPC, Inc. |
| |||||||
Expiring September, 2011 at $22.50 | 50 | (15,500 | ) | |||||
SanDisk Corp. |
| |||||||
Expiring August, 2011 at $44.00 | 7 | (1,057 | ) | |||||
Sauer-Danfoss, Inc. |
| |||||||
Expiring August, 2011 at $45.00 | 30 | (22,200 | ) | |||||
Sprint Nextel Corp. |
| |||||||
Expiring August, 2011 at $5.00 | 25 | (1,250 | ) | |||||
Target Corp. |
| |||||||
Expiring July, 2011 at $50.00 | 35 | (175 | ) | |||||
Expiring July, 2011 at $52.50 | 20 | (40 | ) | |||||
|
| |||||||
(215 | ) | |||||||
Teradata Corp. |
| |||||||
Expiring October, 2011 at $60.00 | 10 | (3,900 | ) | |||||
Texas Instruments, Inc. |
| |||||||
Expiring October, 2011 at $33.00 | 12 | (1,836 | ) | |||||
Timberland Co. (The), Class A |
| |||||||
Expiring August, 2011 at $30.00 | 142 | (188,860 | ) | |||||
Titan International, Inc. |
| |||||||
Expiring October, 2011 at $20.00 | 20 | (11,000 | ) | |||||
Travelers Cos., Inc. (The) |
| |||||||
Expiring July, 2011 at $60.00 | 122 | (2,440 | ) |
Company | Number of Contracts | Value | ||||||
TRW Automotive Holdings Corp. |
| |||||||
Expiring July, 2011 at $50.00 | 75 | $ | (70,500 | ) | ||||
US Airways Group, Inc. |
| |||||||
Expiring August, 2011 at $8.00 | 300 | (36,600 | ) | |||||
Vonage Holdings Corp. |
| |||||||
Expiring September, 2011 at $5.00 | 120 | (6,000 | ) | |||||
|
| |||||||
TOTAL CALL OPTIONS WRITTEN – (1.91%) | (559,843 | ) | ||||||
|
| |||||||
(Premiums received $(378,986)) | ||||||||
PUT OPTIONS WRITTEN - (0.78%) |
| |||||||
Aetna, Inc. |
| |||||||
Expiring July, 2011 at $42.00 | 40 | (1,120 | ) | |||||
Ball Corp. |
| |||||||
Expiring August, 2011 at $35.00 | 35 | (1,400 | ) | |||||
Brooks Automation, Inc. |
| |||||||
Expiring July, 2011 at $10.00 | 50 | (2,000 | ) | |||||
Ceradyne, Inc. |
| |||||||
Expiring September, 2011 at $45.00 | 20 | (14,400 | ) | |||||
CF Industries Holdings, Inc. |
| |||||||
Expiring August, 2011 at $130.00 | 5 | (2,235 | ) | |||||
Chubb Corp. |
| |||||||
Expiring July, 2011 at $65.00 | 45 | (11,610 | ) | |||||
Coca-Cola Enterprises |
| |||||||
Expiring August, 2011 at $28.00 | 115 | (6,325 | ) | |||||
CSX Corp. |
| |||||||
Expiring November, 2011 at $25.00 | 100 | (12,800 | ) | |||||
Dillards, Inc., Class A |
| |||||||
Expiring July, 2011 at $50.00 | 20 | (1,600 | ) | |||||
Expiring August, 2011 at $45.00 | 50 | (5,500 | ) | |||||
|
| |||||||
(7,100 | ) | |||||||
Domino’s Pizza, Inc. |
| |||||||
Expiring September, 2011 at $23.00 | 40 | (2,600 | ) | |||||
Dr. Pepper Snapple Group, Inc. |
| |||||||
Expiring August, 2011 at $40.00 | 50 | (3,750 | ) | |||||
Everest Re Group, Ltd. |
| |||||||
Expiring July, 2011 at $85.00 | 35 | (14,000 | ) | |||||
Fidelity National Information Services, Inc. |
| |||||||
Expiring October, 2011 at $29.00 | 75 | (6,000 | ) | |||||
Gap, Inc. |
| |||||||
Expiring September, 2011 at $19.00 | 40 | (5,960 | ) | |||||
GT Solar International, Inc. |
| |||||||
Expiring September, 2011 at $12.50 | 140 | (7,000 | ) |
127 | Annual Report | June 30, 2011 |
Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) |
Showing percentage of net assets as of June 30, 2011 |
Company | Number of Contracts | Value | ||||||
Put Options Written (continued) |
| |||||||
ION Geophysical Corp. | ||||||||
Expiring August, 2011 at $12.00 | 110 | $ | (30,800 | ) | ||||
Kulicke & Soffa Industries, Inc. | ||||||||
Expiring July, 2011 at $12.00 | 30 | (2,700 | ) | |||||
MasTec, Inc. | ||||||||
Expiring July, 2011 at $17.50 | 50 | (750 | ) | |||||
Omnicom Group, Inc. | ||||||||
Expiring July, 2011 at $45.00 | 65 | (975 | ) | |||||
PartnerRe, Ltd. | ||||||||
Expiring August, 2011 at $65.00 | 15 | (1,590 | ) | |||||
Expiring August, 2011 at $80.00 | 20 | (27,600 | ) | |||||
|
| |||||||
(29,190 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | ||||||||
Expiring September, 2011 at $30.00 | 75 | (5,625 | ) | |||||
Rogers Communications, Inc. | ||||||||
Expiring October, 2011 at $35.00 | 75 | (4,500 | ) | |||||
RPC, Inc. | ||||||||
Expiring September, 2011 at $20.00 | 60 | (4,800 | ) | |||||
Sauer-Danfoss, Inc. | ||||||||
Expiring July, 2011 at $50.00 | 25 | (4,200 | ) | |||||
Titan International, Inc. | ||||||||
Expiring July, 2011 at $25.00 | 60 | (9,300 | ) | |||||
Vonage Holdings Corp. | ||||||||
Expiring September, 2011 at $4.00 | 200 | (8,000 | ) | |||||
WellPoint, Inc. | ||||||||
Expiring September, 2011 at $75.00 | 40 | (8,960 | ) | |||||
Westlake Chemical Corp. |
| |||||||
Expiring July, 2011 at $55.00 | 50 | (20,000 | ) | |||||
|
| |||||||
TOTAL PUT OPTIONS WRITTEN — (0.78%) | (228,100 | ) | ||||||
|
| |||||||
(Premiums received $(251,738)) | ||||||||
TOTAL OPTIONS WRITTEN — (2.69%) | $ | (787,943 | ) | |||||
|
| |||||||
(Premiums received $(630,724)) |
|
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements): |
Assets Table |
| |||||||||||||||
Valuation Inputs |
| |||||||||||||||
Investment in Securities (Value) |
| |||||||||||||||
| Level 1 Quoted Prices |
|
| Level 2 Significant Observable Inputs |
|
| Level 3 Significant Unobservable Inputs |
| Total | |||||||
Common Stocks | $17,607,536 | $ | — | $ | — | $ | 17,607,536 | |||||||||
U.S. Government Obligations | — | 11,482,650 | — | 11,482,650 | ||||||||||||
Put Options Purchased | 3,200 | — | — | 3,200 | ||||||||||||
Money Market Fund | — | 941,568 | — | 941,568 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $17,610,736 | $ | 12,424,218 | $ | — | $ | 30,034,954 | |||||||||
|
|
|
|
|
|
|
|
Liabilities Table |
| |||||||||||||
Valuation Inputs |
| |||||||||||||
Investment in Securities (Value) |
| |||||||||||||
Level 1 Quoted Prices | | Level 2 Significant Observable Inputs | |
| Level 3 Significant Unobservable Inputs |
| Total | |||||||
Written Options | $(787,943) | $ | — | $ | — | $ | (787,943 | ) | ||||||
|
|
|
|
|
|
| ||||||||
TOTAL | $(787,943) | $ | — | $ | — | $ | (787,943 | ) | ||||||
|
|
|
|
|
|
|
See Notes to Financial Statements.
www.bridgeway.com | 128 |
STATEMENTS OF ASSETS AND LIABILITIES
|
June 30, 2011
ASSETS | Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | Ultra-Small Company Market | ||||||||||||
Investments at value | $ | 107,139,556 | $ | 225,995,254 | $ | 95,701,119 | $ | 393,895,767 | ||||||||
Cash | - | - | - | - | ||||||||||||
Receivables: | ||||||||||||||||
Portfolio securities sold | 1,743,361 | 4,727,714 | 892,710 | 894,599 | ||||||||||||
Fund shares sold | 6,801 | 33,388 | 2,701 | 212,258 | ||||||||||||
Dividends and interest | 73,718 | 181,818 | 124,262 | 368,817 | ||||||||||||
Reclaims receivable | 1,406 | 2,113 | - | - | ||||||||||||
Receivable from investment adviser | 53,569 | - | - | - | ||||||||||||
Deposits with brokers | - | - | - | - | ||||||||||||
Total return swap | 3,655 | 15,113 | 26,702 | 7,993 | ||||||||||||
Prepaid expenses | 24,696 | 38,144 | 14,966 | 62,437 | ||||||||||||
Total assets | 109,046,762 | 230,993,544 | 96,762,460 | 395,441,871 | ||||||||||||
LIABILITIES | ||||||||||||||||
Payables: | ||||||||||||||||
Portfolio securities purchased | 2,096,004 | 4,425,344 | 2,195,486 | 462,098 | ||||||||||||
Fund shares redeemed | 129,434 | 96,370 | 24,444 | 749,908 | ||||||||||||
Accrued Liabilities: | ||||||||||||||||
Investment adviser fees | - | 40,977 | 67,123 | 150,385 | ||||||||||||
Administration fees | 3,213 | 6,819 | 2,825 | 11,849 | ||||||||||||
Directors’ fees | 367 | 781 | 316 | 1,332 | ||||||||||||
Other | 60,536 | 203,672 | 38,730 | 183,543 | ||||||||||||
Call options written at value | - | - | - | - | ||||||||||||
Put options written at value | - | - | - | - | ||||||||||||
Total liabilities | 2,289,554 | 4,773,963 | 2,328,924 | 1,559,115 | ||||||||||||
NET ASSETS | $ | 106,757,208 | $ | 226,219,581 | $ | 94,433,536 | $ | 393,882,756 | ||||||||
NET ASSETS REPRESENT | ||||||||||||||||
Paid-in capital | $ | 158,255,548 | $ | 380,207,014 | $ | 82,359,605 | $ | 260,169,865 | ||||||||
Undistributed (distributions in excess of) net investment income | 1,673,564 | 71,250 | 918,104 | 3,445,648 | ||||||||||||
Accumulated net realized gain (loss) on investments | (70,102,305 | ) | (190,162,017 | ) | (3,667,247 | ) | 12,375,977 | |||||||||
Net unrealized appreciation on investments | 16,930,401 | 36,103,334 | 14,823,074 | 117,891,266 | ||||||||||||
NET ASSETS | $ | 106,757,208 | $ | 226,219,581 | $ | 94,433,536 | $ | 393,882,756 | ||||||||
Shares of common stock outstanding of $.001 par value* | 2,795,541 | 14,844,911 | 3,184,581 | 25,669,108 | ||||||||||||
Net asset value per share | $ | 38.19 | $ | 15.24 | $ | 29.65 | $ | 15.34 | ||||||||
Total investments at cost | $ | 90,212,810 | $ | 189,907,033 | $ | 80,904,747 | $ | 276,012,494 | ||||||||
Premiums received on call options written | $ | - | $ | - | $ | - | $ | - | ||||||||
Premiums received on put options written | $ | - | $ | - | $ | - | $ | - |
* | See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund. |
See Notes to Financial Statements.
129 | Annual Report | June 30, 2011 |
Micro-Cap Limited | Small-Cap Momentum | Small-Cap Growth | Small-Cap Value | Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||||||||||||
$ | 25,127,676 | $ | 3,002,948 | $ | 47,111,304 | $ | 93,868,585 | $ | 58,483,147 | $ | 30,202,665 | $ | 331,967,870 | $ | 29,093,385 | |||||||||||||||
- | - | - | - | - | - | - | 912,693 | |||||||||||||||||||||||
179,376 | - | 1,172,594 | - | - | 537,028 | 4,572,408 | 36,380 | |||||||||||||||||||||||
2,313 | 325 | 8,340 | 2,637 | 4,917 | 99,002 | 15,960 | 1,360 | |||||||||||||||||||||||
30,606 | 2,421 | 19,104 | 137,331 | 53,149 | 31,542 | 336,859 | 34,507 | |||||||||||||||||||||||
- | - | - | - | - | - | - | - | |||||||||||||||||||||||
4,479 | 9,697 | - | - | - | - | 12,619 | - | |||||||||||||||||||||||
- | - | - | - | - | - | - | 93 | |||||||||||||||||||||||
4,271 | - | 7,720 | 9,894 | 5,184 | 10,474 | - | - | |||||||||||||||||||||||
12,474 | 9,857 | 10,358 | 17,307 | 11,600 | 7,920 | 48,427 | 14,060 | |||||||||||||||||||||||
25,361,195 | 3,025,248 | 48,329,420 | 94,035,754 | 58,557,997 | 30,888,631 | 336,954,143 | 30,092,478 | |||||||||||||||||||||||
189,782 | 2,052 | 1,462,421 | 155,208 | - | 1,178,539 | 4,641,301 | - | |||||||||||||||||||||||
- | - | 82,748 | 57,419 | 13,965 | 25,796 | 658,194 | 17,484 | |||||||||||||||||||||||
- | - | 18,824 | 36,353 | 19,904 | 7,204 | - | 4,741 | |||||||||||||||||||||||
757 | 89 | 1,377 | 2,826 | 1,755 | 892 | 10,186 | 907 | |||||||||||||||||||||||
87 | 10 | 156 | 321 | 189 | 98 | 1,128 | 99 | |||||||||||||||||||||||
26,547 | 20,710 | 47,392 | 69,875 | 44,650 | 28,807 | 78,282 | 35,039 | |||||||||||||||||||||||
- | - | - | - | - | - | - | 559,843 | |||||||||||||||||||||||
- | - | - | - | - | - | - | 228,100 | |||||||||||||||||||||||
217,173 | 22,861 | 1,612,918 | 322,002 | 80,463 | 1,241,336 | 5,389,091 | 846,213 | |||||||||||||||||||||||
$ | 25,144,022 | $ | 3,002,387 | $ | 46,716,502 | $ | 93,713,752 | $ | 58,477,534 | $ | 29,647,295 | $ | 331,565,052 | $ | 29,246,265 | |||||||||||||||
$ | 29,808,600 | $ | 2,423,070 | $ | 70,357,852 | $ | 139,658,428 | $ | 85,886,684 | $ | 26,650,531 | $ | 335,608,287 | $ | 32,137,975 | |||||||||||||||
395,079 | 2,340 | (4,548 | ) | 760,775 | 121,976 | 175,553 | 3,448,573 | 151,301 | ||||||||||||||||||||||
(8,410,329 | ) | 284,868 | (33,477,017 | ) | (65,321,590 | ) | (38,064,925 | ) | (3,559,308 | ) | (72,370,764 | ) | (7,063,621 | ) | ||||||||||||||||
3,350,672 | 292,109 | 9,840,215 | 18,616,139 | 10,533,799 | 6,380,519 | 64,878,956 | 4,020,610 | |||||||||||||||||||||||
$ | 25,144,022 | $ | 3,002,387 | $ | 46,716,502 | $ | 93,713,752 | $ | 58,477,534 | $ | 29,647,295 | $ | 331,565,052 | $ | 29,246,265 | |||||||||||||||
3,447,452 | 235,653 | 3,762,853 | 6,198,929 | 4,369,461 | 2,028,230 | 43,649,454 | 2,525,040 | |||||||||||||||||||||||
$ | 7.29 | $ | 12.74 | $ | 12.42 | $ | 15.12 | $ | 13.38 | $ | 14.62 | $ | 7.60 | $ | 11.58 | |||||||||||||||
$ | 21,781,275 | $ | 2,710,839 | $ | 37,278,809 | $ | 75,262,340 | $ | 47,954,532 | $ | 23,822,146 | $ | 267,088,914 | $ | 24,915,557 | |||||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 378,986 | |||||||||||||||
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 251,738 |
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| ||
Year Ended June 30, 2011 |
Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | Ultra-Small Company Market | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends | $ | 1,053,981 | $ | 2,578,073 | $ | 1,088,248 | $ 3,885,323 | |||||||||
Less: foreign taxes withheld | (11,375 | ) | (34,851 | ) | - | (303) | ||||||||||
Interest | - | - | - | - | ||||||||||||
Securities lending | 102,274 | 203,128 | 227,256 | 2,235,803 | ||||||||||||
Total Investment Income | 1,144,880 | 2,746,350 | 1,315,504 | 6,120,823 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees - Base fees | 951,255 | 2,316,646 | 816,528 | 1,943,016 | ||||||||||||
Investment advisory fees - Performance adjustment | (1,750,966 | ) | (1,524,342 | ) | - | - | ||||||||||
Administration fees | 39,044 | 95,757 | 33,492 | 143,530 | ||||||||||||
Accounting fees | 58,395 | 78,140 | 59,430 | 120,041 | ||||||||||||
Transfer agent fees | 66,704 | 288,939 | 47,840 | 162,214 | ||||||||||||
Professional fees | 36,604 | 80,561 | 34,855 | 139,199 | ||||||||||||
Custody fees | 7,273 | - | 14,206 | 50,220 | ||||||||||||
Blue sky fees | 22,184 | 31,111 | 8,479 | 22,527 | ||||||||||||
Directors’ and officers’ fees | 17,254 | 43,291 | 14,801 | 63,819 | ||||||||||||
Shareholder servicing fees | 67,744 | 247,524 | 7,517 | 227,077 | ||||||||||||
Reports to shareholders | 24,774 | 67,228 | 6,499 | 61,361 | ||||||||||||
Miscellaneous expenses | 31,477 | 93,620 | 29,630 | 117,617 | ||||||||||||
Total Expenses | (428,258 | ) | 1,818,475 | 1,073,277 | 3,050,621 | |||||||||||
Less investment advisory fees waived | - | - | - | (135,023 | ) | |||||||||||
Less other fees waived | - | - | - | - | ||||||||||||
Less expense reimbursed by investment adviser | - | - | - | - | ||||||||||||
Net Expenses | (428,258 | ) | 1,818,475 | 1,073,277 | 2,915,598 | |||||||||||
NET INVESTMENT INCOME (LOSS) | 1,573,138 | 927,875 | 242,227 | 3,205,225 | ||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||||||||
Realized Gain (Loss) on: | ||||||||||||||||
Investments | 15,394,243 | 43,353,786 | 13,055,558 | 24,198,635 | ||||||||||||
Written options | - | - | - | - | ||||||||||||
Futures contracts | - | - | - | - | ||||||||||||
Swaps | 14,916 | 126,891 | 595,827 | 636,929 | ||||||||||||
Net Realized Gain (Loss) | 15,409,159 | 43,480,677 | 13,651,385 | 24,835,564 | ||||||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||
Investments | 18,210,197 | 37,056,414 | 9,031,585 | 78,993,823 | ||||||||||||
Written options | - | - | - | - | ||||||||||||
Swaps | 86,626 | 15,113 | 26,702 | 7,993 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) | 18,296,823 | 37,071,527 | 9,058,287 | 79,001,816 | ||||||||||||
Net Realized and Unrealized Gain on Investments | 33,705,982 | 80,552,204 | 22,709,672 | 103,837,380 | ||||||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 35,279,120 | $ | 81,480,079 | $ | 22,951,899 | $107,042,605 |
See Notes to Financial Statements.
131 | Annual Report | June 30, 2011 |
|
Micro-Cap Limited | Small-Cap Momentum | Small-Cap Growth | Small-Cap Value | Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||||||||||||
$ | 269,317 | $ 36,469 | $ | 241,175 | $ | 1,788,654 | $ | 757,700 | $ | 638,052 | $ | 6,569,294 | $ | 304,502 | ||||||||||||||||
(2,900) | (81 | ) | - | - | - | - | - | (94 | ) | |||||||||||||||||||||
- | - | - | - | - | - | - | 186,331 | |||||||||||||||||||||||
99,177 | 5,494 | 181,880 | 204,109 | 10,813 | 4,411 | - | 8,834 | |||||||||||||||||||||||
365,594 | 41,882 | 423,055 | 1,992,763 | 768,513 | 642,463 | 6,569,294 | 499,573 | |||||||||||||||||||||||
216,885 | 13,641 | 307,580 | 627,372 | 293,035 | 137,059 | 234,974 | 190,919 | |||||||||||||||||||||||
(303,051) | - | (62,293 | ) | (106,506 | ) | (49,900 | ) | 10,594 | - | - | ||||||||||||||||||||
8,887 | 914 | 19,011 | 38,765 | 21,704 | 10,135 | 108,307 | 11,797 | |||||||||||||||||||||||
48,972 | 53,825 | 50,691 | 57,822 | 51,625 | 47,518 | 81,287 | 56,670 | |||||||||||||||||||||||
42,360 | 31,330 | 65,597 | 95,516 | 60,674 | 45,807 | 48,478 | 39,838 | |||||||||||||||||||||||
13,572 | 9,663 | 22,016 | 35,960 | 22,924 | 14,888 | 96,974 | 27,934 | |||||||||||||||||||||||
4,877 | 13,052 | 4,721 | 6,678 | 3,398 | 2,666 | 6,757 | 9,638 | |||||||||||||||||||||||
20,682 | 10,599 | 16,575 | 17,403 | 16,411 | 17,728 | 30,814 | 19,975 | |||||||||||||||||||||||
3,901 | 366 | 8,592 | 17,495 | 9,642 | 4,474 | 47,951 | 5,272 | |||||||||||||||||||||||
9,251 | 151 | 36,746 | 65,143 | 36,302 | 14,509 | 41,692 | 13,410 | |||||||||||||||||||||||
3,820 | - | 12,557 | 22,816 | 14,134 | 5,505 | 20,177 | 3,915 | |||||||||||||||||||||||
7,765 | 1,227 | 18,368 | 35,048 | 21,411 | 8,994 | 82,165 | 9,751 | |||||||||||||||||||||||
77,921 | 134,768 | 500,161 | 913,512 | 501,360 | 319,877 | 799,576 | 389,119 | |||||||||||||||||||||||
- | (13,641 | ) | (17,669 | ) | - | (8,387 | ) | (89,696 | ) | (234,974 | ) | (90,013 | ) | |||||||||||||||||
- | (11,250 | ) | - | - | - | - | - | - | ||||||||||||||||||||||
- | (87,555 | ) | - | - | - | - | (121,986 | ) | - | |||||||||||||||||||||
77,921 | 22,322 | 482,492 | 913,512 | 492,973 | 230,181 | 442,616 | 299,106 | |||||||||||||||||||||||
287,673 | 19,560 | (59,437 | ) | 1,079,251 | 275,540 | 412,282 | 6,126,678 | 200,467 | ||||||||||||||||||||||
4,397,159 | 283,835 | 7,049,367 | 20,632,270 | 8,849,005 | 3,085,131 | (2,697,030 | ) | 512,252 | ||||||||||||||||||||||
- | - | - | - | - | - | - | 1,457,055 | |||||||||||||||||||||||
- | - | - | - | - | - | - | (979,384 | ) | ||||||||||||||||||||||
51,205 | - | 9,726 | (164,893 | ) | 1,032 | 8,059 | - | - | ||||||||||||||||||||||
4,448,364 | 283,835 | 7,059,093 | 20,467,377 | 8,850,037 | 3,093,190 | (2,697,030 | ) | 989,923 | ||||||||||||||||||||||
2,252,926 | 427,560 | 8,648,324 | 8,548,371 | 7,451,541 | 3,511,524 | 54,984,311 | 3,283,814 | |||||||||||||||||||||||
- | - | - | - | - | - | - | (90,078 | ) | ||||||||||||||||||||||
4,271 | - | 52,927 | 58,141 | 5,184 | - | - | - | |||||||||||||||||||||||
2,257,197 | 427,560 | 8,701,251 | 8,606,512 | 7,456,725 | 3,511,524 | 54,984,311 | 3,193,736 | |||||||||||||||||||||||
6,705,561 | 711,395 | 15,760,344 | 29,073,889 | 16,306,762 | 6,604,714 | 52,287,281 | 4,183,659 | |||||||||||||||||||||||
$ | 6,993,234 | $730,955 | $ | 15,700,907 | $ | 30,153,140 | $ | 16,582,302 | $ | 7,016,996 | $ | 58,413,959 | $ | 4,384,126 |
www.bridgeway.com | 132 |
STATEMENTS OF CHANGES IN NET ASSETS
|
Aggressive Investors 1 | Aggressive Investors 2 | |||||||||||||||
Year Ended June 30, | Year Ended June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income | $ | 1,573,138 | $ | 2,258,003 | $ | 927,875 | $ | 1,950,934 | ||||||||
Net realized gain (loss) on investments | 15,409,159 | 11,290,324 | 43,480,677 | 32,280,345 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments | 18,296,823 | (2,367,120 | ) | 37,071,527 | 8,446,736 | |||||||||||
Net increase/(decrease) in net assets resulting from operations | 35,279,120 | 11,181,207 | 81,480,079 | 42,678,015 | ||||||||||||
DISTRIBUTIONS: | ||||||||||||||||
From net investment income | (2,167,451 | ) | (930,085 | ) | (1,764,382 | ) | (1,620,063 | ) | ||||||||
Net decrease in net assets from distributions | (2,167,451 | ) | (930,085 | ) | (1,764,382 | ) | (1,620,063 | ) | ||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Proceeds from sale of shares | 4,009,344 | 3,655,994 | 25,828,087 | 114,813,049 | ||||||||||||
Reinvestment of distributions | 2,051,684 | 881,283 | 1,678,100 | 1,413,787 | ||||||||||||
Cost of shares redeemed | (25,423,129 | ) | (37,615,713 | ) | (184,295,247 | ) | (237,848,301 | ) | ||||||||
Redemption fees | - | - | - | - | ||||||||||||
Net increase/(decrease) in net assets from share transactions | (19,362,101 | ) | (33,078,436 | ) | (156,789,060 | ) | (121,621,465 | ) | ||||||||
Net increase/(decrease) in net assets | 13,749,568 | (22,827,314 | ) | (77,073,363 | ) | (80,563,513 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | 93,007,640 | 115,834,954 | 303,292,944 | 383,856,457 | ||||||||||||
End of period* | $ | 106,757,208 | $ | 93,007,640 | $ | 226,219,581 | $ | 303,292,944 | ||||||||
SHARES ISSUED & REDEEMED | ||||||||||||||||
Issued | 111,901 | 119,698 | 2,017,158 | 9,531,170 | ||||||||||||
Distributions reinvested | 58,220 | 29,298 | 119,779 | 114,107 | ||||||||||||
Redeemed | (735,719 | ) | (1,255,542 | ) | (14,365,022 | ) | (19,605,918 | ) | ||||||||
Net increase/(decrease) | (565,598 | ) | (1,106,546 | ) | (12,228,085 | ) | (9,960,641 | ) | ||||||||
Outstanding at beginning of period | 3,361,139 | 4,467,685 | 27,072,996 | 37,033,637 | ||||||||||||
Outstanding at end of period | 2,795,541 | 3,361,139 | 14,844,911 | 27,072,996 | ||||||||||||
* Including undistributed net investment income of: | $ | 1,673,564 | $ | 2,264,739 | $ | 71,250 | $ | 874,268 |
1 | Commencement of operations. |
See Notes to Financial Statements.
133 | Annual Report | June 30, 2011 |
|
Ultra-Small Company | Ultra-Small Company Market | Micro-Cap Limited | Small-Cap Momentum | |||||||||||||||||||||||||||
Year Ended June 30, | Year Ended June 30, | Year Ended June 30, | Year Ended | For the Period May 28, 20101 through | ||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | June 30, 2011 | June 30, 2010 | |||||||||||||||||||||||
$ 242,227 | $ 713,280 | $ 3,205,225 | $ 4,192,088 | $ 287,673 | $ 445,655 | $ 19,560 | $ 807 | |||||||||||||||||||||||
13,651,385 | 13,701,643 | 24,835,564 | 30,266,479 | 4,448,364 | 4,966,984 | 283,835 | (105 | ) | ||||||||||||||||||||||
9,058,287 | (1,347,400 | ) | 79,001,816 | 9,608,184 | 2,257,197 | (1,140,437 | ) | 427,560 | (135,451 | ) | ||||||||||||||||||||
22,951,899 | 13,067,523 | 107,042,605 | 44,066,751 | 6,993,234 | 4,272,202 | 730,955 | (134,749 | ) | ||||||||||||||||||||||
(632,748 | ) | (837,589 | ) | (4,111,396 | ) | (5,060,400 | ) | (401,927 | ) | (300,332 | ) | (16,889 | ) | - | ||||||||||||||||
(632,748 | ) | (837,589 | ) | (4,111,396 | ) | (5,060,400 | ) | (401,927 | ) | (300,332 | ) | (16,889 | ) | - | ||||||||||||||||
1,235,133 | 2,791,876 | 54,560,870 | 83,956,444 | 1,983,842 | 1,581,302 | 420,997 | 2,022,858 | |||||||||||||||||||||||
608,040 | 783,940 | 3,618,063 | 4,532,570 | 387,792 | 292,385 | 16,889 | - | |||||||||||||||||||||||
(11,310,433 | ) | (7,932,551 | ) | (110,930,484 | ) | (126,816,712 | ) | (4,544,849 | ) | (9,838,747 | ) | (38,172 | ) | - | ||||||||||||||||
- | - | 34,909 | 66,739 | - | - | 498 | - | |||||||||||||||||||||||
(9,467,260 | ) | (4,356,735 | ) | (52,716,642 | ) | (38,260,959 | ) | (2,173,215 | ) | (7,965,060 | ) | 400,212 | 2,022,858 | |||||||||||||||||
12,851,891 | 7,873,199 | 50,214,567 | 745,392 | 4,418,092 | (3,993,190 | ) | 1,114,278 | 1,888,109 | ||||||||||||||||||||||
81,581,645 | 73,708,446 | 343,668,189 | 342,922,797 | 20,725,930 | 24,719,120 | 1,888,109 | - | |||||||||||||||||||||||
$94,433,536 | $81,581,645 | $393,882,756 | $343,668,189 | $25,144,022 | $20,725,930 | $3,002,387 | $1,888,109 | |||||||||||||||||||||||
42,347 | 120,490 | 3,926,854 | 6,969,210 | 287,844 | 295,049 | 34,852 | 202,374 | |||||||||||||||||||||||
21,208 | 34,611 | 251,429 | 393,794 | 56,612 | 54,448 | 1,449 | - | |||||||||||||||||||||||
(435,555 | ) | (327,820 | ) | (7,841,213 | ) | (10,690,345 | ) | (684,486 | ) | (1,766,430 | ) | (3,022 | ) | - | ||||||||||||||||
(372,000 | ) | (172,719 | ) | (3,662,930 | ) | (3,327,341 | ) | (340,030 | ) | (1,416,933 | ) | 33,279 | 202,374 | |||||||||||||||||
3,556,581 | 3,729,300 | 29,332,038 | 32,659,379 | 3,787,482 | 5,204,415 | 202,374 | - | |||||||||||||||||||||||
3,184,581 | 3,556,581 | 25,669,108 | 29,332,038 | 3,447,452 | 3,787,482 | 235,653 | 202,374 | |||||||||||||||||||||||
$ 918,104 | $680,558 | $ 3,445,648 | $ 4,177,591 | $ 395,079 | $ 439,547 | $ 2,340 | $807 |
www.bridgeway.com | 134 |
STATEMENTS OF CHANGES IN NET ASSETS (continued)
|
Small-Cap Growth | Small-Cap Value | |||||||||||||||
Year Ended June 30, | Year Ended June 30, | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income (loss) | $ | (59,437 | ) | $ | 139,914 | $ | 1,079,251 | $ | 863,013 | |||||||
Net realized gain (loss) on investments | 7,059,093 | 13,339,052 | 20,467,377 | 16,392,876 | ||||||||||||
Net change in unrealized appreciation/(depreciation) on investments | 8,701,251 | (6,778,228 | ) | 8,606,512 | 8,117,075 | |||||||||||
Net increase in net assets resulting from operations | 15,700,907 | 6,700,738 | 30,153,140 | 25,372,964 | ||||||||||||
DISTRIBUTIONS: | ||||||||||||||||
From net investment income | (107,719 | ) | (252,145 | ) | (557,827 | ) | (806,731 | ) | ||||||||
Net decrease in net assets from distributions | (107,719 | ) | (252,145 | ) | (557,827 | ) | (806,731 | ) | ||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Proceeds from sale of shares | 3,223,456 | 16,264,411 | 5,959,606 | 14,406,868 | ||||||||||||
Reinvestment of distributions | 103,847 | 235,833 | 518,027 | 705,905 | ||||||||||||
Cost of shares redeemed | (29,215,374 | ) | (37,633,988 | ) | (51,060,064 | ) | (63,207,015 | ) | ||||||||
Net increase/(decrease) in net assets from share transactions | (25,888,071 | ) | (21,133,744 | ) | (44,582,431 | ) | (48,094,242 | ) | ||||||||
Net increase/(decrease) in net assets | (10,294,883 | ) | (14,685,151 | ) | (14,987,118 | ) | (23,528,009 | ) | ||||||||
NET ASSETS: | ||||||||||||||||
Beginning of year | 57,011,385 | 71,696,536 | 108,700,870 | 132,228,879 | ||||||||||||
End of year* | $ | 46,716,502 | $ | 57,011,385 | $ | 93,713,752 | $ | 108,700,870 | ||||||||
SHARES ISSUED & REDEEMED | ||||||||||||||||
Issued | 298,349 | 1,683,629 | 436,595 | 1,267,266 | ||||||||||||
Distributions reinvested | 9,466 | 24,464 | 38,515 | 61,490 | ||||||||||||
Redeemed | (2,779,197 | ) | (3,944,414 | ) | (3,769,962 | ) | (5,423,838 | ) | ||||||||
Net increase/(decrease) | (2,471,382 | ) | (2,236,321 | ) | (3,294,852 | ) | (4,095,082 | ) | ||||||||
Outstanding at beginning of year | 6,234,235 | 8,470,556 | 9,493,781 | 13,588,863 | ||||||||||||
Outstanding at end of year | 3,762,853 | 6,234,235 | 6,198,929 | 9,493,781 | ||||||||||||
* Including undistributed (distributions in excess of) net investment income of: | $ | (4,548 | ) | $ | 152,882 | $ 760,775 | $ | 414,281 |
See Notes to Financial Statements.
135 | Annual Report | June 30, 2011 |
|
Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||||||||||||||||
Year Ended June 30, | Year Ended June 30, | Year Ended June 30, | Year Ended June 30, | |||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||
$ 275,540 | $ 391,274 | $ 412,282 | $ 469,938 | $ 6,126,678 | $ 4,239,573 | $ 200,467 | $ 406,546 | |||||||||||||||||||||||
8,850,037 | 931,464 | 3,093,190 | 2,963,788 | (2,697,030) | (10,168,908) | 989,923 | (221,955) | |||||||||||||||||||||||
7,456,725 | 8,818,151 | 3,511,524 | 2,161,925 | 54,984,311 | 26,109,776 | 3,193,736 | 1,280,993 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
16,582,302 | 10,140,889 | 7,016,996 | 5,595,651 | 58,413,959 | 20,180,441 | 4,384,126 | 1,465,584 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(342,087) | (417,231) | (461,725) | (565,868) | (4,877,457) | (4,072,171) | (266,935) | (612,394) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(342,087) | (417,231) | (461,725) | (565,868) | (4,877,457) | (4,072,171) | (266,935) | (612,394) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
5,691,636 | 3,317,409 | 4,744,136 | 2,205,061 | 111,420,242 | 75,798,410 | 3,094,011 | 7,408,382 | |||||||||||||||||||||||
317,943 | 393,794 | 446,019 | 523,937 | 4,439,505 | 3,847,889 | 261,827 | 599,982 | |||||||||||||||||||||||
(22,181,617) | (25,559,606) | (7,632,342) | (10,220,486) | (60,417,342) | (61,180,333) | (11,910,284) | (22,477,177) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(16,172,038) | (21,848,403) | (2,442,187) | (7,491,488) | 55,442,405 | 18,465,966 | (8,554,446) | (14,468,813) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
68,177 | (12,124,745) | 4,113,084 | (2,461,705) | 108,978,907 | 34,574,236 | (4,437,255) | (13,615,623) | |||||||||||||||||||||||
58,409,357 | 70,534,102 | 25,534,211 | 27,995,916 | 222,586,145 | 188,011,909 | 33,683,520 | 47,299,143 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ 58,477,534 | $ 58,409,357 | $ 29,647,295 | $ 25,534,211 | $ 331,565,052 | $ 222,586,145 | $ 29,246,265 | $ 33,683,520 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
440,651 | 313,191 | 335,041 | 183,704 | 15,453,229 | 11,535,727 | 271,787 | 697,925 | |||||||||||||||||||||||
25,703 | 36,161 | 33,535 | 43,991 | 613,191 | 574,312 | 23,315 | 55,812 | |||||||||||||||||||||||
(1,838,186) | (2,394,855) | (572,388) | (869,788) | (8,423,862) | (9,336,887) | (1,063,914) | (2,101,935) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
(1,371,832) | (2,045,503) | (203,812) | (642,093) | 7,642,558 | 2,773,152 | (768,812) | (1,348,198) | |||||||||||||||||||||||
5,741,293 | 7,786,796 | 2,232,042 | 2,874,135 | 36,006,896 | 33,233,744 | 3,293,852 | 4,642,050 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
4,369,461 | 5,741,293 | 2,028,230 | 2,232,042 | 43,649,454 | 36,006,896 | 2,525,040 | 3,293,852 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ 121,976 | $ 187,491 | $ 175,553 | $ 222,649 | $ 3,448,573 | $ 2,199,352 | $ 151,301 | $ 217,769 |
www.bridgeway.com | 136 |
FINANCIAL HIGHLIGHTS |
(for a share outstanding throughout the period indicated)
Income from Investment Operations | ||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment | Net Realized and Unrealized Gain\(Loss) | Total from Investment Operations | |||||||||||||
AGGRESSIVE INVESTORS 1 | ||||||||||||||||
Year Ended June 30, 2011 | $ | 27.67 | $0.51 | $10.72 | $11.23 | |||||||||||
Year Ended June 30, 2010 | 25.93 | 0.58 | 1.40 | 1.98 | ||||||||||||
Year Ended June 30, 2009 | 53.96 | 0.30 | (28.00) | (27.70) | ||||||||||||
Year Ended June 30, 2008 | 61.90 | (0.59) | 3.14 | 2.55 | ||||||||||||
Year Ended June 30, 2007 | 61.90 | (0.43) | 6.41 | 5.98 | ||||||||||||
AGGRESSIVE INVESTORS 2 | ||||||||||||||||
Year Ended June 30, 2011 | 11.20 | 0.05 | 4.09 | 4.14 | ||||||||||||
Year Ended June 30, 2010 | 10.37 | 0.06 | 0.82 | 0.88 | ||||||||||||
Year Ended June 30, 2009 | 20.67 | 0.02 | (10.32) | (10.30) | ||||||||||||
Year Ended June 30, 2008 | 20.05 | (0.08) | 1.27 | 1.19 | ||||||||||||
Year Ended June 30, 2007 | 17.55 | (0.07) | 2.94 | 2.87 | ||||||||||||
ULTRA-SMALL COMPANY | ||||||||||||||||
Year Ended June 30, 2011 | 22.94 | 0.07 | 6.83 | 6.90 | ||||||||||||
Year Ended June 30, 2010 | 19.76 | 0.19 | 3.22 | 3.41 | ||||||||||||
Year Ended June 30, 2009 | 24.59 | 0.23 | (5.03) | (4.80) | ||||||||||||
Year Ended June 30, 2008 | 37.65 | 0.03 | (8.67) | (8.64) | ||||||||||||
Year Ended June 30, 2007 | 42.42 | 0.12 | 3.37 | 3.49 | ||||||||||||
ULTRA-SMALL COMPANY MARKET | ||||||||||||||||
Year Ended June 30, 2011 | 11.72 | 0.12 | 3.65 | 3.77 | ||||||||||||
Year Ended June 30, 2010 | 10.50 | 0.14 | 1.25 | 1.39 | ||||||||||||
Year Ended June 30, 2009 | 15.33 | 0.14 | (3.88) | (3.74) | ||||||||||||
Year Ended June 30, 2008 | 20.36 | 0.14 | (4.49) | (4.35) | ||||||||||||
Year Ended June 30, 2007 | 18.94 | 0.10 | 1.76 | 1.86 |
(a) | Per share amounts calculated based on the average daily shares outstanding during the period. |
(b) | For the years ended June 30, 2009, June 30, 2010 and June 30, 2011, the expense ratio was significantly lower than past years due to a negative performance adjustment to the investment advisory fee. Please refer to the Statements of Operations and Note 3 of the Notes to Financial Statements for further information. The rate shown may not be indicative of the rate going forward. |
(c) | Total return may have been lower had various fees not been waived during the period. |
(d) | Amount represents less than $0.005. |
See Notes to Financial Statements.
137 | Annual Report | June 30, 2011 |
|
Less Distributions to Shareholders from: | Ratios & Supplemental Data | |||||||||||||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||||||||||||
Net Realized Gain | Net Investment Income | Total Distributions | Paid in Capital from Redemption Fees(a) | Net Asset Value, End of Year | Total Return | Net Assets End of Year (000’s) | Expenses Before Waivers and | Expenses After Waivers and | Net Investment Reimbursement | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
$ - | $(0.71) | $ (0.71) | $ - | $38.19 | 40.81% | $ 106,757 | (0.41%)(b) | (0.41%) | 1.49% | 107% | ||||||||||||||||||||||||||||||||
- | (0.24) | (0.24) | - | 27.67 | 7.56% | 93,008 | (0.51%)(b) | (0.51%) | 1.94% | 118% | ||||||||||||||||||||||||||||||||
(0.33) | - | (0.33) | - | 25.93 | (51.31%) | 115,835 | 0.34%(b) | 0.34% | 0.97% | 134% | ||||||||||||||||||||||||||||||||
(10.49) | - | (10.49) | - | 53.96 | 3.54% | (c) | 338,715 | 1.78% | 1.78% | (1.03%) | 142% | |||||||||||||||||||||||||||||||
(5.98) | - | (5.98) | - | 61.90 | 10.79% | 367,958 | 1.72% | 1.72% | (0.75%) | 115% | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.10) | (0.10) | - | 15.24 | 37.05% | 226,220 | 0.70% | 0.70% | 0.36% | 93% | ||||||||||||||||||||||||||||||||
- | (0.05) | (0.05) | - | 11.20 | 8.44% | 303,293 | 1.02% | 1.02% | 0.52% | 105% | ||||||||||||||||||||||||||||||||
- | - | - | - | 10.37 | (49.83%) | 383,856 | 1.20% | 1.20% | 0.14% | 126% | ||||||||||||||||||||||||||||||||
(0.57) | - | (0.57) | - | 20.67 | 5.88% | (c) | 885,076 | 1.17% | 1.17% | (0.40%) | 127% | |||||||||||||||||||||||||||||||
(0.37) | - | (0.37) | - | 20.05 | 16.68% | 650,939 | 1.22% | 1.22% | (0.38%) | 124% | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.19) | (0.19) | - | 29.65 | 30.12% | 94,434 | 1.18% | 1.18% | 0.27% | 110% | ||||||||||||||||||||||||||||||||
- | (0.23) | (0.23) | - | 22.94 | 17.26% | 81,582 | 1.17% | 1.17% | 0.83% | 133% | ||||||||||||||||||||||||||||||||
- | (0.03) | (0.03) | - | 19.76 | (19.48%) | 73,708 | 1.16% | 1.16% | 1.23% | 90% | ||||||||||||||||||||||||||||||||
(4.31) | (0.11) | (4.42) | - | 24.59 | (24.59%) | (c) | 94,933 | 1.07% | 1.07% | 0.10% | 102% | |||||||||||||||||||||||||||||||
(8.26) | - | (8.26) | - | 37.65 | 9.12% | 137,236 | 1.09% | 1.09% | 0.31% | 106% | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.15) | (0.15) | - (d) | 15.34 | 32.22% | (c) | 393,883 | 0.79% | 0.75% | 0.82% | 42% | |||||||||||||||||||||||||||||||
- | (0.17) | (0.17) | - (d) | 11.72 | 13.30% | (c) | 343,668 | 0.77% | 0.75% | 1.18% | 48% | |||||||||||||||||||||||||||||||
(0.89) | (0.21) | (1.10) | 0.01 | 10.50 | (23.47%) | (c) | 342,923 | 0.79% | 0.75% | 1.27% | 42% | |||||||||||||||||||||||||||||||
(0.65) | (0.04) | (0.69) | 0.01 | 15.33 | (21.72%) | (c) | 721,412 | 0.66% | 0.66% | 0.79% | 29% | |||||||||||||||||||||||||||||||
(0.37) | (0.08) | (0.45) | 0.01 | 20.36 | 10.08% | 1,162,416 | 0.67% | 0.67% | 0.53% | 34% | ||||||||||||||||||||||||||||||||
|
|
www.bridgeway.com | 138 |
FINANCIAL HIGHLIGHTS (continued) |
(for a share outstanding throughout the period indicated)
Income from Investment Operations | ||||||||||||||||
|
| |||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gain\(Loss) | Total from Investment Operations | |||||||||||||
MICRO-CAP LIMITED | ||||||||||||||||
Year Ended June 30, 2011 | $ 5.47 | $ 0.08 | $ 1.85 | $ 1.93 | ||||||||||||
Year Ended June 30, 2010 | 4.75 | 0.09 | 0.69 | 0.78 | ||||||||||||
Year Ended June 30, 2009 | 7.05 | 0.06 | (2.35) | (2.29) | ||||||||||||
Year Ended June 30, 2008 | 8.56 | 0.03 | (1.53) | (1.50) | ||||||||||||
Year Ended June 30, 2007 | 11.10 | (0.01) | (0.32) | (0.33) | ||||||||||||
SMALL-CAP MOMENTUM | ||||||||||||||||
Year Ended June 30, 2011 | 9.33 | 0.09 | 3.40 | 3.49 | ||||||||||||
Period Ended June 30, 2010(f) | 10.00 | -(e) | (0.67) | (0.67) | ||||||||||||
SMALL-CAP GROWTH | ||||||||||||||||
Year Ended June 30, 2011 | 9.14 | (0.01) | 3.31 | 3.30 | ||||||||||||
Year Ended June 30, 2010 | 8.46 | 0.02 | 0.70 | 0.72 | ||||||||||||
Year Ended June 30, 2009 | 13.95 | 0.03 | (5.52) | (5.49) | ||||||||||||
Year Ended June 30, 2008 | 16.01 | (0.03) | (2.03) | (2.06) | ||||||||||||
Year Ended June 30, 2007 | 14.75 | (0.04) | 1.30 | 1.26 | ||||||||||||
SMALL-CAP VALUE | ||||||||||||||||
Year Ended June 30, 2011 | 11.45 | 0.14 | 3.60 | 3.74 | ||||||||||||
Year Ended June 30, 2010 | 9.73 | 0.07 | 1.72 | 1.79 | ||||||||||||
Year Ended June 30, 2009 | 15.86 | 0.08 | (6.14) | (6.06) | ||||||||||||
Year Ended June 30, 2008 | 18.74 | 0.03 | (2.91) | (2.88) | ||||||||||||
Year Ended June 30, 2007 | 16.02 | (0.03) | 2.75 | 2.72 |
(a) | Per share amounts calculated based on the average daily shares outstanding during the period. |
(b) | Annualized for periods less than one year. |
(c) | For the years ended June 30, 2010 and June 30, 2011, the expense ratio was significantly lower than past years due to a negative performance adjustment to the investment advisory fee. Please refer to the Statements of Operations and Note 3 of the Notes to Financial Statements for further information. The rate shown may not be indicative of the rate going forward. |
(d) | Total return may have been lower had various fees not been waived during the period. |
(e) | Amount represents less than $0.005. |
(f) | Commenced operations on May 28, 2010. |
See Notes to Financial Statements.
139 | Annual Report | June 30, 2011 |
|
Less Distributions to Shareholders from: | Ratios & Supplemental Data | |||||||||||||||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||||||||||||
Net Realized Gain | Net Investment Income | Total Distributions | Paid in Capital from Redemption Fees(a) | Net Asset Value, End of Period | Total Return | Net Assets End of Period (000’s) | Expenses Before Waivers and Reimburse- ments (b) | Expenses After Waivers and Reimburse- ments (b) | Net Investment Income (Loss) After Waivers and Reimburse- ments (b) | Portfolio Turnover Rate | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
$ - | $(0.11) | $ (0.11) | $ - | $ 7.29 | 35.47% | $ 25,144 | 0.32%(c) | 0.32% | 1.19% | 111% | ||||||||||||||||||||||||||||||||
- | (0.06) | (0.06) | - | 5.47 | 16.44% | 20,726 | 0.00%(c) | 0.00% | 1.73% | 123% | ||||||||||||||||||||||||||||||||
- | (0.01) | (0.01) | - | 4.75 | (32.41%) | 24,719 | 0.87% | 0.87% | 1.13% | 151% | ||||||||||||||||||||||||||||||||
- | (0.01) | (0.01) | - | 7.05 | (17.49%) | (d) | 38,136 | 0.75% | 0.75% | 0.36% | 147% | |||||||||||||||||||||||||||||||
(2.21) | - | (2.21) | - | 8.56 | (3.37%) | 62,244 | 0.84% | 0.84% | (0.09%) | 133% | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.08) | (0.08) | - (e) | 12.74 | 37.49% | (d) | 3,002 | 5.43% | 0.90% | 0.79% | 272% | |||||||||||||||||||||||||||||||
- | - | - | - | 9.33 | (6.70%) | (d) | 1,888 | 11.24% | 0.90% | 0.50% | 3% | |||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.02) | (0.02) | - | 12.42 | 36.17% | (d) | 46,717 | 0.98% | 0.94% | (0.12%) | 87% | |||||||||||||||||||||||||||||||
- | (0.04) | (0.04) | - | 9.14 | 8.44% | 57,011 | 0.93% | 0.93% | 0.21% | 87% | ||||||||||||||||||||||||||||||||
- | - | - | - | 8.46 | (39.35%) | 71,697 | 0.94% | 0.94% | 0.29% | 75% | ||||||||||||||||||||||||||||||||
- | - | - | - | 13.95 | (12.87%) | (d) | 144,668 | 0.87% | 0.87% | (0.20%) | 63% | |||||||||||||||||||||||||||||||
- | - | - | - | 16.01 | 8.54% | 172,395 | 0.92% | 0.92% | (0.31%) | 37% | ||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
- | (0.07) | (0.07) | - | 15.12 | 32.73% | 93,714 | 0.87% | 0.87% | 1.03% | 84% | ||||||||||||||||||||||||||||||||
- | (0.07) | (0.07) | - | 11.45 | 18.35% | 108,701 | 0.91% | 0.91% | 0.64% | 81% | ||||||||||||||||||||||||||||||||
- | (0.07) | (0.07) | - | 9.73 | (38.15%) | 132,229 | 0.92% | 0.92% | 0.75% | 83% | ||||||||||||||||||||||||||||||||
- | - | - | - | 15.86 | (15.37%) | (d) | 331,648 | 0.83% | 0.83% | 0.18% | 73% | |||||||||||||||||||||||||||||||
- | - | - | - | 18.74 | 16.98% | 280,177 | 0.88% | 0.88% | (0.19%) | 58% | ||||||||||||||||||||||||||||||||
|
|
www.bridgeway.com | 140 |
FINANCIAL HIGHLIGHTS (continued) |
(for a share outstanding throughout the year indicated) |
Income from Investment Operations | ||||||||||||||||
|
| |||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income(a) | Net Realized and Unrealized Gain\(Loss) | Total from Investment Operations | |||||||||||||
LARGE-CAP GROWTH | ||||||||||||||||
Year Ended June 30, 2011 | $10.17 | $0.06 | $ 3.22 | $ 3.28 | ||||||||||||
Year Ended June 30, 2010 | 9.06 | 0.06 | 1.11 | 1.17 | ||||||||||||
Year Ended June 30, 2009 | 13.73 | 0.06 | (4.66) | (4.60) | ||||||||||||
Year Ended June 30, 2008 | 14.12 | 0.06 | (0.41) | (0.35) | ||||||||||||
Year Ended June 30, 2007 | 12.11 | 0.03 | 2.02 | 2.05 | ||||||||||||
LARGE-CAP VALUE | ||||||||||||||||
Year Ended June 30, 2011 | 11.44 | 0.20 | 3.21 | 3.41 | ||||||||||||
Year Ended June 30, 2010 | 9.74 | 0.19 | 1.73 | 1.92 | ||||||||||||
Year Ended June 30, 2009 | 13.63 | 0.23 | (3.89) | (3.66) | ||||||||||||
Year Ended June 30, 2008 | 17.07 | 0.22 | (2.94) | (2.72) | ||||||||||||
Year Ended June 30, 2007 | 14.41 | 0.17 | 2.64 | 2.81 | ||||||||||||
BLUE CHIP 35 INDEX | ||||||||||||||||
Year Ended June 30, 2011 | 6.18 | 0.15 | 1.39 | 1.54 | ||||||||||||
Year Ended June 30, 2010 | 5.66 | 0.13 | 0.52 | 0.65 | ||||||||||||
Year Ended June 30, 2009 | 7.21 | 0.15 | (1.51) | (1.36) | ||||||||||||
Year Ended June 30, 2008 | 8.52 | 0.19 | (1.39) | (1.20) | ||||||||||||
Year Ended June 30, 2007 | 7.21 | 0.16 | 1.26 | 1.42 | ||||||||||||
MANAGED VOLATILITY | ||||||||||||||||
Year Ended June 30, 2011 | 10.23 | 0.07 | 1.37 | 1.44 | ||||||||||||
Year Ended June 30, 2010 | 10.19 | 0.10 | 0.08 | 0.18 | ||||||||||||
Year Ended June 30, 2009 | 12.58 | 0.18 | (1.69) | (1.51) | ||||||||||||
Year Ended June 30, 2008 | 12.95 | 0.29 | (0.49) | (0.20) | ||||||||||||
Year Ended June 30, 2007 | 12.65 | 0.28 | 0.44 | 0.72 |
(a) | Per share amounts calculated based on the average daily shares outstanding during the period. |
(b) | Total return may have been lower had various fees not been waived during the period. |
(c) | Total return includes the effect of a reimbursement by the Adviser and the accounting agent due to a trading error. |
See Notes to Financial Statements.
141 | Annual Report | June 30, 2011 |
Less Distributions to Shareholders from | Ratios & Supplemental Data | |||||||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||
Net Realized Gain | Net Income | Total Distributions | Net Asset Value, End of Year | Total Return | Net Assets End of Year (000’s) | Expenses Before Waivers and Reimbursements | Expenses After Reimbursements | Net Investment Income After Waivers and Reimbursements | Portfolio Turnover | |||||||||||||||||||||||||||||
$ - | $(0.07) | $(0.07) | $13.38 | 32.31%(b) | $ 58,478 | 0.86% | 0.84% | 0.47% | 65% | |||||||||||||||||||||||||||||
- | (0.06) | (0.06) | 10.17 | 12.89%(b) | 58,409 | 0.86% | 0.84% | 0.55% | 40% | |||||||||||||||||||||||||||||
- | (0.07) | (0.07) | 9.06 | (33.43%) | 70,534 | 0.82% | 0.82% | 0.63% | 49% | |||||||||||||||||||||||||||||
- | (0.04) | (0.04) | 13.73 | (2.50%)(b) | 174,813 | 0.71% | 0.71% | 0.39% | 37% | |||||||||||||||||||||||||||||
- | (0.04) | (0.04) | 14.12 | 16.98% | 138,138 | 0.78% | 0.78% | 0.25% | 39% | |||||||||||||||||||||||||||||
- | (0.23) | (0.23) | 14.62 | 30.02%(b) | 29,647 | 1.17% | 0.84% | 1.50% | 43% | |||||||||||||||||||||||||||||
- | (0.22) | (0.22) | 11.44 | 19.65%(b) | 25,534 | 1.11% | 0.84% | 1.58% | 49% | |||||||||||||||||||||||||||||
- | (0.23) | (0.23) | 9.74 | (26.88%)(b) | 27,996 | 0.98% | 0.84% | 2.20% | 65% | |||||||||||||||||||||||||||||
(0.51) | (0.21) | (0.72) | 13.63 | (16.46%)(b) | 54,144 | 0.80% | 0.79% | 1.38% | 28% | |||||||||||||||||||||||||||||
- | (0.15) | (0.15) | 17.07 | 19.57% | 86,095 | 0.79% | 0.79% | 1.08% | 34% | |||||||||||||||||||||||||||||
- | (0.12) | (0.12) | 7.60 | 25.10%(b) | 331,565 | 0.27% | 0.15% | 2.09% | 19% | |||||||||||||||||||||||||||||
- | (0.13) | (0.13) | 6.18 | 11.25%(b)(c) | 222,586 | 0.27% | 0.15% | 1.99% | 28% | |||||||||||||||||||||||||||||
- | (0.19) | (0.19) | 5.66 | (18.77%)(b) | 188,012 | 0.25% | 0.15% | 2.58% | 86% | |||||||||||||||||||||||||||||
- | (0.11) | (0.11) | 7.21 | (14.28%)(b) | 250,988 | 0.22% | 0.15% | 2.35% | 12% | |||||||||||||||||||||||||||||
- | (0.11) | (0.11) | 8.52 | 19.81%(b) | 99,082 | 0.35% | 0.15% | 1.98% | 11% | |||||||||||||||||||||||||||||
- | (0.09) | (0.09) | 11.58 | 14.15%(b) | 29,246 | 1.22% | 0.94% | 0.63% | 34% | |||||||||||||||||||||||||||||
- | (0.14) | (0.14) | 10.23 | 1.67%(b) | 33,684 | 1.05% | 0.94% | 0.91% | 33% | |||||||||||||||||||||||||||||
(0.52) | (0.36) | (0.88) | 10.19 | (11.66%)(b) | 47,299 | 1.01% | 0.94% | 1.72% | 51% | |||||||||||||||||||||||||||||
- | (0.17) | (0.17) | 12.58 | (1.57%)(b) | 75,417 | 0.88% | 0.88% | 2.23% | 44% | |||||||||||||||||||||||||||||
(0.15) | (0.27) | (0.42) | 12.95 | 5.87%(b) | 87,056 | 0.98% | 0.94% | 2.16% | 27% |
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1. Organization:
Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Bridgeway is organized as a series fund, which currently has 13 investment funds (each, a “Fund” and collectively, the “Funds”): Aggressive Investors 1, Aggressive Investors 2, Ultra-Small Company, Ultra-Small Company Market, Micro-Cap Limited, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Large-Cap Value, Blue Chip 35 Index and Managed Volatility Funds are presented in this report. The Omni Tax-Managed Small-Cap Value Fund (formerly, the Omni Small-Cap Value Fund) commenced operations on December 31, 2010 and is included in a separate report.
Bridgeway is authorized to issue 2,000,000,000 shares of common stock at $0.001 per share. 15,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares each have been classified into the Aggressive Investors 2 and Blue Chip 35 Index Funds. 5,000,000 shares have been classified into the Ultra-Small Company Fund. 10,000,000 shares have been classified in the Micro-Cap Limited Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Tax-Managed Small-Cap Value, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, and Large-Cap Value Funds. 50,000,000 shares have been classified into the Managed Volatility Fund. All shares outstanding currently represent Class N shares.
The Ultra-Small Company Fund is open to existing investors (direct only).
All of the Funds are no-load, diversified funds.
The Aggressive Investors 1 and 2 Funds seek to exceed the stock market total return (primarily through capital appreciation) at a level of total risk roughly equal to that of the stock market over longer periods of time (three years or more).
The Ultra-Small Company, Ultra-Small Company Market, Micro-Cap Limited, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value and Large-Cap Growth Funds seek to provide a long-term total return of capital, primarily through capital appreciation.
The Blue Chip 35 Index and Large-Cap Value Funds seek to provide long-term total return of capital, primarily through capital appreciation but also some income.
The Managed Volatility Fund seeks to provide a high current return with short-term risk less than or equal to 40% of the stock market.
Bridgeway Capital Management, Inc. (the “Adviser”) is the investment adviser for all of the Funds.
2. Significant Accounting Policies:
The following summary of significant accounting policies, followed in the preparation of the financial statements of the Funds, are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Securities, Options, Futures and Other Investments Valuation Other than options, portfolio securities that are principally traded on a national securities exchange are valued at their last sale price on the principal exchange on which they are traded prior to the close of the New York Stock Exchange (“NYSE”), on each day the NYSE is open for business. If there is no closing price on the NYSE, the portfolio security will be valued using a composite price, which is defined as the last price for the security on any exchange. Portfolio securities other than options that are principally traded on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) are valued at the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their home exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions.
Short-term fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Options are valued at the close if there is trading volume and if there is no trading volume, the bid on long
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positions and ask on the short positions. Other investments for which no sales are reported are valued at the latest bid price in accordance with the pricing policy established by the Board of Directors.
Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.
Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.
When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued at fair value as determined in good faith by or under the direction of the Board of Directors. The valuation assigned to fair valued securities for purposes of calculating the Funds’ NAVs may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.
The inputs and valuation techniques used to determine the value of a Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical assets |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Money market fund investments consist of mutual funds which invest primarily in securities that are valued at amortized cost, a Level 2 investment. Therefore, the money market funds are classified as Level 2 investments. The Funds’ total return swap values are derived by applying observable inputs to the outstanding notional values and are therefore classified as Level 2 investments also.
• | Level 3 — significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments) |
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Funds’ investments as of June 30, 2011 is included with each Fund’s Schedule of Investments.
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The Funds’ policy is to recognize transfers into, and transfers out, of each level of hierarchy as of the beginning of the reporting period. For the fiscal year ended June 30, 2011, there were no transfers between Level 1 and Level 2 on any of the Funds.
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and International Financial Reporting Standards (“IFRS’). ASU No. 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU No. 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04, and its impact on the financial statements has not been determined.
Securities Lending Upon lending its securities to third parties, each Fund receives compensation in the form of fees. A Fund also continues to receive dividends on the securities loaned. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. Gain or loss in the fair value of the securities loaned that may occur during the term of the loan will be for the account of a Fund. Each Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, a Fund does not have the right to sell or repledge collateral received in the form of securities unless the borrower goes into default. The risks to a Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due.
As of June 30, 2011, the Funds had securities on loan and related collateral with values shown below:
Securities on | Value of | |||||||
Bridgeway Fund | Loan Value | Collateral | ||||||
Aggressive Investors 1 | $ 3,573,355 | $ 3,659,828 | ||||||
Aggressive Investors 2 | 18,628,427 | 19,087,361 | ||||||
Ultra-Small Company | 8,229,684 | 9,006,516 | ||||||
Ultra-Small Company Market | 36,234,291 | 40,154,762 | ||||||
Micro-Cap Limited | 1,860,302 | 2,071,952 | ||||||
Small-Cap Momentum | 346,573 | 360,771 | ||||||
Small-Cap Growth | 5,093,630 | 5,240,550 | ||||||
Small-Cap Value | 5,813,982 | 6,129,853 | ||||||
Large-Cap Growth | 2,941,700 | 2,994,700 | ||||||
Large-Cap Value | 325,415 | 333,000 | ||||||
Managed Volatility | 243,890 | 264,724 |
It is each Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. As of June 30, 2011 the collateral consisted of an institutional money market fund.
Use of Estimates in Financial Statements In preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Risks and Uncertainties The Funds provide for various investment options, including stocks and call and put options. Such investments are exposed to various risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.
Security Transactions, Investment Income and Expenses Security transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend
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income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date. Particularly related to the Managed Volatility Fund, discounts and premiums are accreted/amortized on the effective interest method.
Fund expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Funds’ total net assets or other appropriate basis.
Distributions to Shareholders The Funds pay dividends from net investment income and distribute realized capital gains annually, usually in December.
Derivatives
The Funds’ use of derivatives for the fiscal year ended June 30, 2011 was limited to futures contracts, total return swaps, purchased options and written options. The following is a summary of how these derivatives are treated in the financial statements and their impact on the Funds.
Asset Derivatives | Liability Derivatives | |||||||||||
Fund/Financial Instrument Type | Type of Derivative | Location on Statement of Assets and Liabilities | Fair Value | Location on Statement of Assets and Liabilities | Fair Value | |||||||
Aggressive Investors 1 | ||||||||||||
Other | Swap | Receivable, Total Return Swap | $ | 3,655 | $ - | |||||||
Equity Contracts | Purchased Option | Investments at value | 94,000 | - | ||||||||
Aggressive Investors 2 | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 15,113 | - | ||||||||
Equity Contracts | Purchased Option | Investments at value | 197,400 | - | ||||||||
Ultra-Small Company | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 26,702 | - | ||||||||
Ultra-Small Company Market | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 7,993 | - | ||||||||
Micro-Cap Limited | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 4,271 | - | ||||||||
Small-Cap Growth | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 7,720 | - | ||||||||
Small-Cap Value | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 9,894 | - | ||||||||
Large-Cap Growth | ||||||||||||
Other | Swap | Receivable, Total Return Swap | 5,184 | - |
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Asset Derivatives | Liability Derivatives | |||||||||||||
Fund/Financial Instrument Type | Type of Derivative | Location on Statement of Assets and Liabilities | Fair Value | Location on Statement of Assets and Liabilities | Fair Value | |||||||||
Large-Cap Value | ||||||||||||||
Other | Swap | Receivable, Total Return Swap | 10,474 | - | ||||||||||
Managed Volatility | ||||||||||||||
Equity Contracts | Call Options | |||||||||||||
Written Option | - | Written at value | 559,843 | |||||||||||
Put Options Written at | 228,100 | |||||||||||||
Purchased Option | Investments at value | 3,200 | - |
Fund/Financial Instrument Type | Type of Derivative | Location of Gain (Loss) on Derivatives Recognized in Income | Amount of Realized Gain (Loss) | Amount of Gain | ||||||||
Aggressive Investors 1 | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | $ 14,916 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | $ 86,626 | |||||||||||
Equity Contracts | Purchased Option | Change in Unrealized Appreciation (Depreciation) on Investments | (25,097 | ) | ||||||||
Aggressive Investors 2 | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 126,891 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 15,113 | |||||||||||
Equity Contracts | Purchased Option | Change in Unrealized Appreciation (Depreciation) on Investments | (48,835 | ) | ||||||||
Ultra-Small Company | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 595,827 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 26,702 | |||||||||||
Ultra-Small Company Market | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 636,929 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 7,993 | |||||||||||
Micro-Cap Limited | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 51,205 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 4,271 | |||||||||||
Small-Cap Growth | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 9,726 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 52,927 |
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Fund/Financial Instrument Type | Type of Derivative | Location of Gain (Loss) on Derivatives Recognized in Income | Amount of Realized Gain (Loss) | Amount of Unrealized Gain (Loss) | ||||||||
Small-Cap Value | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | (164,893 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 58,141 | |||||||||||
Large-Cap Growth | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 1,032 | |||||||||
Change in Unrealized Appreciation (Depreciation) on Swaps | 5,184 | |||||||||||
Large-Cap Value | ||||||||||||
Other | Swap | Realized Gain (Loss) on Swaps | 8,059 | |||||||||
Managed Volatility | ||||||||||||
Equity Contracts | Written | |||||||||||
Option | Realized Gain (Loss) on Written Options | 1,457,055 | ||||||||||
Change in Unrealized Appreciation (Depreciation) on Written Options | (90,078 | ) | ||||||||||
Future | Realized Gain (Loss) on Futures Contracts | (979,384 | ) | |||||||||
Purchased Option | Realized Gain (Loss) on Investments | (14,304 | ) | |||||||||
Change in Unrealized Appreciation (Depreciation) on Investments | (8,494 | ) |
The derivative instruments outstanding as of June 30, 2011, as disclosed in the Notes to the Financial Statements, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period, as disclosed in the Statement of Operations, serve as indicators of the volume of derivative activity for the Funds.
Futures Contracts The Funds may purchase or sell financial futures contracts to hedge cash positions, manage market risk and to dampen volatility in line with investment objectives. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash or U.S. government securities equal to the minimum “initial margin” requirements of the exchange on which the futures contract is traded. The contract amount reflects the extent of a Fund’s exposure in these financial instruments. A Fund’s participation in the futures markets involves certain risks, including imperfect correlation between movements in the price of futures contracts and movements in the price of the securities hedged or used for cover. Pursuant to a contract, such Fund agrees to receive from, or pay to, the broker an amount of cash equal to the fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized appreciation or depreciation. When a contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. With futures, there is minimal counterparty risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. As of June 30, 2011, the Funds had no open futures contracts.
Options The Aggressive Investors 1 and Aggressive Investors 2 Funds may buy and sell calls and puts to increase or decrease each Fund’s exposure to stock market risk or for purposes of diversification of risk. The Managed Volatility Fund may buy and sell calls and puts to reduce the Fund’s volatility and provide some cash flow. An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. The premium paid by a Fund for the purchase of a call or a put option is included in such Fund’s Schedule of Investments as an investment and subsequently marked-to-market to reflect the current market value of the option. When a Fund writes a call or a put option, an amount equal to the premium received by such Fund is included in its Statement of Assets and Liabilities as a liability and is subsequently marked-to-market to reflect the current market value of the option written. If an option which a Fund has written either expires
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on its stipulated expiration date, or if such Fund enters into a closing purchase transaction, that Fund realizes a gain (or a loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option that a Fund has written is assigned, such Fund realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written is assigned, the amount of the premium originally received reduces the cost of the security that such Fund purchased upon exercise of the option. Buying calls increases a Fund’s exposure to the underlying security to the extent of any premium paid. Buying puts on a stock market index tends to limit a Fund’s exposure to a stock market decline. All options purchased by the Funds were listed on exchanges and considered liquid positions with readily available market quotes.
Covered Call Options and Secured Puts The Aggressive Investors 1, Aggressive Investors 2 and Managed Volatility Funds may write call options on a covered basis, that is, a Fund will own the underlying security, or a Fund may write secured puts. The principal reason for writing covered calls and secured puts on a security is to attempt to realize income through the receipt of premiums. The option writer has, in return for the premium, given up the opportunity for profit from a substantial price increase in the underlying security so long as the obligation as a writer continues, but has retained the risk of loss should the price of the security decline. All options were listed on exchanges and considered liquid positions with readily available market quotes. Transactions in options written during the fiscal year ended June 30, 2011 are as follows:
Managed Volatility Fund | Managed Volatility Fund | |||||||||||||||||
Written Call Options | Written Put Options | |||||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||||
Outstanding, June 30, 2010 | 2,212 | $ 297,023 | 2,581 | $ 335,089 | ||||||||||||||
Positions Opened | 9,913 | 1,654,349 | 10,106 | 1,432,817 | ||||||||||||||
Exercised | (3,869) | (743,257) | (3,267) | (392,103) | ||||||||||||||
Expired | (5,021) | (691,681) | (6,168) | (906,789) | ||||||||||||||
Closed | (700) | (137,448) | (1,517) | (217,276) | ||||||||||||||
Outstanding, June 30, 2011 | 2,535 | $ 378,986 | 1,735 | $ 251,738 | ||||||||||||||
Market Value, June 30, 2011 | $ 559,843 | $ 228,100 |
The Aggressive Investors 1 and Aggressive Investors 2 Funds had no transactions in written options during the fiscal year ended June 30, 2011.
Swaps. Each Fund may enter into total return swaps. Total return swaps are agreements that provide a Fund with a return based on the performance of an underlying asset, in exchange for fee payments to a counterparty based on a specified rate. The difference in the value of these income streams is recorded daily by the Funds and is settled in cash monthly.
The fee paid by a Fund will typically be determined by multiplying the face value of the swap agreement by an agreed upon interest rate. In addition, if the underlying asset declines in value over the term of the swap, a Fund would also be required to pay the dollar value of that decline to the counterparty. Total return swaps could result in losses if the underlying asset does not perform as anticipated by the Adviser. A Fund may use its own NAV as the underlying asset in a total return swap. This strategy serves to reduce cash drag (the impact of cash on a Fund’s overall return) by replacing it with the impact of market exposure based upon a Fund’s own investment holdings. The following total return swaps were open as of June 30, 2011:
Portfolio | Swap Counterparty | Notional Principal | Maturity Date | Net Unrealized Gain\(Loss) | ||||||
Aggressive Investors 1 | ReFlow Management Co. | $ | 353,423 | July 1, 2011 | $ 3,655 | |||||
Aggressive Investors 2 | ReFlow Management Co. | 459,923 | July 1, 2011 | 15,113 | ||||||
Ultra-Small Company | ReFlow Management Co. | 1,992,459 | July 1, 2011 | 26,702 | ||||||
Ultra-Small Company Market | ReFlow Management Co. | 1,217,938 | July 1, 2011 | 7,993 | ||||||
Micro-Cap Limited | ReFlow Management Co. | 155,906 | July 1, 2011 | 4,271 | ||||||
Small-Cap Growth | ReFlow Management Co. | 247,758 | July 1, 2011 | 7,720 |
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Portfolio | Swap Counterparty | Notional Principal | Maturity Date | Net Unrealized Gain\(Loss) | ||||||
Small-Cap Value | ReFlow Management Co. | 642,645 | July 1, 2011 | 9,894 | ||||||
Large-Cap Growth | ReFlow Management Co. | 276,557 | July 1, 2011 | 5,184 |
IndemnificationUnder the Company’s organizational documents, the Funds’ officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.
3. Management Fees, Other Related Party Transactions and Contingencies:
The Funds have entered into management agreements with the Adviser. As compensation for the advisory services rendered, facilities furnished, and expenses borne by the Adviser, the Funds pay the Adviser a fee pursuant to each Fund’s management agreement, as described below.
Aggressive Investors 1: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million and 0.85% of any excess over $500 million.
The Performance Adjustment equals 4.67% times the difference in cumulative total return between the Fund and the Standard and Poor’s 500 Composite Stock Price Index with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of –0.70% to a maximum of +0.70%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.
Aggressive Investors 2: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee rate is based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million, 0.85% from $500 million to $1 billion, and 0.80% over $1 billion.
The Performance Adjustment equals 2.00% times the difference in cumulative total return between the Fund and the Standard and Poor’s 500 Composite Stock Price Index with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.30% to a maximum of +0.30%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.
Ultra-Small Company: The Fund pays management fees based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million and 0.85% of any excess over $500 million. The management fees are computed daily and are payable monthly. However, during any period that the Fund’s net assets range from $27,500,000 to $55,000,000, the advisory fee will be determined as if the Fund had $55,000,000 under management. This is limited to a maximum annualized expense ratio of 1.49% of average net assets.
Ultra-Small Company Market: The Fund’s management fee is a flat 0.50% of the value of the Fund’s average daily net assets, computed daily and payable monthly.
Micro-Cap Limited: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million and 0.85% of any excess over $500 million. However, during any quarter that the Fund’s net assets range from $27,500,000 to $55,000,000, the advisory fee will be determined as if the Fund had $55,000,000 under management. This is limited to a maximum annualized expense ratio of 1.49% of the net assets in the quarter the advisory fee is determined.
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The Performance Adjustment equals 2.87% times the difference in cumulative total return between the Fund and the CRSP Cap-Based Portfolio 9 Index with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of –0.70% to a maximum of +0.70%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.
Small-Cap Momentum: The Fund’s management fee is a flat 0.55% of the value of the Fund’s average daily net assets, computed daily and payable monthly.
Small-Cap Growth and Small-Cap Value: A total advisory fee is paid by each Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the annual rate of 0.60% of the value of the Fund’s average daily net assets.
The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 2000 Growth Index for Small-Cap Growth Fund and the Russell 2000 Value Index for Small-Cap Value Fund, with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.
Large-Cap Growth and Large-Cap Value: A total advisory fee is paid by each Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the annual rate of 0.50% of the value of the Fund’s average daily net assets.
The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 1000 Growth Index for Large-Cap Growth Fund and the Russell 1000 Value Index for the Large-Cap Value Fund, with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.
Blue Chip 35 Index: The Fund’s management fee is a flat 0.08% of the value of the Fund’s average daily net assets, computed daily and payable monthly.
Managed Volatility: The Fund’s management fee is a flat 0.60% of the value of the Fund’s average daily net assets, computed daily and payable monthly.
Expense limitations: At a special meeting on March 31, 2005, shareholders of the Funds (except for the Small-Cap Momentum Fund, which was launched on May 28, 2010) approved amendments to the Management Agreements detailing expense limitations. With regard to the Small-Cap Momentum Fund, the Board of Directors and sole initial shareholder approved an expense limitation beginning on May 28, 2010. The Adviser agrees to reimburse the Funds for operating expenses and management fees above the expense limitations, which are shown as a ratio of net expenses to average net assets, for each Fund, for the fiscal year ended June 30, 2011. Such expense limitations and total reimbursements for the fiscal year ended June 30, 2011, are shown below.
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NOTES TO FINANCIAL STATEMENTS (continued) |
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June 30, 2011 |
Bridgeway Fund | Expense Limitation | Total Waivers and Reimbursements for Period Ending 06/30/11 | ||||||
Aggressive Investors 1 | 1.80% | $ - | ||||||
Aggressive Investors 2 | 1.75% | - | ||||||
Ultra-Small Company | 2.00% | - | ||||||
Ultra-Small Company Market | 0.75% | 135,023 | ||||||
Micro-Cap Limited | 1.85% | - | ||||||
Small-Cap Momentum* | 0.90% | 101,196 | ||||||
Small-Cap Growth | 0.94% | 17,669 | ||||||
Small-Cap Value | 0.94% | $ - | ||||||
Large-Cap Growth | 0.84% | 8,387 | ||||||
Large-Cap Value | 0.84% | 89,696 | ||||||
Blue Chip 35 Index | 0.15% | 356,960 | ||||||
Managed Volatility | 0.94% | 90,013 | ||||||
* The Fund is authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser, provided, however, that any reimbursements must be paid at a date not more than three years after the fiscal year in which the Adviser waived the fees or reimbursed the expenses and the reimbursements do not cause the Fund to exceed the expense limitation in the agreement. The Fund has recoupable expenses of $11,221 and $101,196, which expire June 30, 2013 and June 30, 2014, respectively. |
Other Waivers and Reimbursements: BNY Mellon Asset Servicing, the Funds’ accounting agent, at its discretion, voluntarily waived a portion of its accounting and transfer agent fees for the Small-Cap Momentum Fund. For the fiscal year ended June 30, 2011, BNY Mellon Asset Servicing waived $6,250 in accounting fees and $5,000 in transfer agent fees.
Other Related Party Transactions: On occasion, the Funds will engage in inter-portfolio trades when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. During the fiscal year ended June 30, 2011, the Ultra-Small Company Fund, Ultra-Small Company Market Fund, Micro-Cap Limited Fund, Small-Cap Growth Fund and Small-Cap Momentum Fund had inter-portfolio purchases of $279,552, $198,975, $128,214, $600,886 and $1,873, respectively. Also during the fiscal year ended June 30, 2011, the Ultra-Small Company Fund, Ultra-Small Company Market Fund and Small-Cap Value Fund had inter-portfolio sales of $200,844, $407,766 and $600,876, respectively. No inter-portfolio purchases or sales were entered into during the fiscal year ended June 30, 2011 by the Aggressive Investors 1, Aggressive Investors 2, Large-Cap Growth, Large-Cap Value, Blue Chip 35 Index and Managed Volatility Funds.
The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Funds including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Funds, the Adviser is paid an aggregate annual fee of $535,000 payable in equal monthly installments.
One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Another director of Bridgeway, Michael Mulcahy, is an executive and director of the Adviser. Under the 1940 Act definitions, each is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery and Mr. Mulcahy is borne by the Adviser rather than the Funds.
Board of Directors Compensation Independent Directors are paid an annual retainer of $14,000 with an additional retainer of $2,500 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and
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June 30, 2011 |
Corporate Governance Committee Chair. Independent Directors are paid $6,000 per meeting for meeting fees. Such compensation is the total compensation from all Funds and is allocated among the Funds.
The Independent Directors receive this compensation in the form of shares of the Funds, credited to his or her account. Such Directors are reimbursed for any expenses incurred in attending meetings and conferences and expenses for subscriptions or printed materials. The amount of directors’ fees attributable to each Fund is disclosed in the Statements of Operations.
4. Distribution and Shareholder Servicing Fees:
Foreside Fund Services, LLC acts as distributor of the Funds’ shares pursuant to a Distribution Agreement dated November 12, 2010. The Adviser pays all costs and expenses associated with distribution of the Funds’ shares pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.
5. Purchases and Sales of Investment Securities:
Purchases and sales of investments, other than short-term securities, for each Fund for the fiscal year ended June 30, 2011 were as follows:
Purchases | Sales | |||||||||||||
Bridgeway Fund | U.S. Government | Other | U.S. Government | Other | ||||||||||
Aggressive Investors 1 | $ - | $ | 111,597,663 | $ - | $ | 130,516,564 | ||||||||
Aggressive Investors 2 | - | 239,196,675 | - | 394,958,739 | ||||||||||
Ultra-Small Company | - | 97,396,915 | - | 105,960,697 | ||||||||||
Ultra-Small Company Market | - | 161,620,265 | - | 210,975,659 | ||||||||||
Micro-Cap Limited | - | 26,695,195 | - | 29,347,224 | ||||||||||
Small-Cap Momentum | - | 7,216,018 | - | 6,814,417 | ||||||||||
Small-Cap Growth | - | 44,629,654 | - | 70,017,280 | ||||||||||
Small-Cap Value | - | 87,025,991 | - | 130,663,378 | ||||||||||
Large-Cap Growth | - | 37,906,007 | - | 53,951,820 | ||||||||||
Large-Cap Value | - | 11,639,875 | - | 14,226,120 | ||||||||||
Blue Chip 35 Index | - | 113,091,423 | - | 55,910,341 | ||||||||||
Managed Volatility | 199,789 | 7,666,626 | 2,155,000 | 12,722,302 |
6. Federal Income Taxes
It is the Funds’ policy to continue to comply with the provisions of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and distribute income to the extent necessary so that the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.
Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/ depreciation and the cost of investment securities for tax purposes, including short-term securities at June 30, 2011, were as follows:
Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | Ultra-Small Company Market | |||||
As of June 30, 2011 | ||||||||
Gross appreciation (excess of value over tax cost) | $20,118,186 | $ 41,978,307 | $19,969,413 | $129,622,249 | ||||
Gross depreciation (excess of tax cost over value) | (3,162,717) | (5,827,403) | (5,166,347) | (12,793,651) | ||||
Net unrealized appreciation (depreciation) | $16,955,469 | $ 36,150,904 | $14,803,066 | $116,828,598 | ||||
Cost of investments for income tax purposes | $90,184,087 | $189,844,350 | $80,898,053 | $277,067,169 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
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June 30, 2011 |
Micro-Cap Limited | Small-Cap Momentum | Small-Cap Growth | Small-Cap Value | |||||
As of June 30, 2011 | ||||||||
Gross appreciation (excess of value over tax cost) | $�� 4,244,952 | $ 337,926 | $ 10,675,472 | $ 20,588,352 | ||||
Gross depreciation (excess of tax cost over value) | (897,683) | (48,151) | (842,977) | (1,955,986) | ||||
Net unrealized appreciation (depreciation) | $ 3,347,269 | $ 289,775 | $ 9,832,495 | $ 18,632,366 | ||||
Cost of investments for income tax purposes | $21,780,407 | $2,713,173 | $37,278,809 | $ 75,236,219 | ||||
Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||
As of June 30, 2011 | ||||||||
Gross appreciation (excess of value over tax cost) | $ 12,158,482 | $ 6,834,723 | $ 68,391,931 | $ 5,243,227 | ||||
Gross depreciation (excess of tax cost over value) | (1,629,867) | (517,411) | (8,369,049) | (1,242,365) | ||||
Net unrealized appreciation | $ 10,528,615 | $ 6,317,312 | $ 60,022,882 | $ 4,000,862 | ||||
Cost of investments for income tax purposes | $ 47,954,532 | $23,885,353 | $271,944,988 | $24,304,580 |
The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale loss deferrals, and adjustments to basis from investments in real estate investment trusts, business development companies and partnerships.
Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.
The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2011 and June 30, 2010, respectively, are as follows:
Aggressive Investors 1 | Aggressive Investors 2 | |||||||||||||
Year | Year | Year | Year | |||||||||||
Ended | Ended | Ended | Ended | |||||||||||
June 30, 2011 | June 30, 2010 | June 30, 2011 | June 30, 2010 | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $2,167,451 | $930,085 | $1,764,382 | $1,620,063 | ||||||||||
Total | $2,167,451 | $930,085 | $1,764,382 | $1,620,063 | ||||||||||
Ultra-Small Company | Ultra-Small Company Market | |||||||||||||
Year Ended June 30, 2011 | Year Ended June 30, 2010 | Year Ended June 30, 2011 | Year Ended June 30, 2010 | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $632,748 | $837,589 | $4,111,396 | $5,060,400 | ||||||||||
Total | $632,748 | $837,589 | $4,111,396 | $5,060,400 |
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NOTES TO FINANCIAL STATEMENTS (continued) |
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June 30, 2011 |
Micro-Cap Limited | Small-Cap Momentum | |||||||||||||
Year Ended June 30, 2011 | Year Ended June 30, 2010 | Year Ended June 30, 2011 | Year Ended June 30, 2010* | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $ 401,927 | $ 300,332 | $ 16,889 | $ - | ||||||||||
Total | $ 401,927 | $ 300,332 | $ 16,889 | $ - | ||||||||||
Small-Cap Growth | Small-Cap Value | |||||||||||||
Year Ended June 30, 2011 | Year Ended June 30, 2010 | Year Ended June 30, 2011 | Year Ended June 30, 2010 | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $ 107,719 | $ 252,145 | $557,827 | $806,731 | ||||||||||
Total | $ 107,719 | $ 252,145 | $557,827 | $806,731 | ||||||||||
Large-Cap Growth | Large-Cap Value | |||||||||||||
Year Ended June 30, 2011 | Year Ended June 30, 2010 | Year Ended June 30, 2011 | Year Ended June 30, 2010 | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $ 342,087 | $ 417,231 | $461,725 | $565,868 | ||||||||||
Total | $ 342,087 | $ 417,231 | �� | $461,725 | $565,868 | |||||||||
Blue Chip 35 Index | Managed Volatility | |||||||||||||
Year Ended June 30, 2011 | Year Ended June 30, 2010 | Year Ended June 30, 2011 | Year Ended June 30, 2010 | |||||||||||
Distributions paid from: | ||||||||||||||
Ordinary income | $4,877,457 | $4,072,171 | $266,935 | $612,394 | ||||||||||
Total | $4,877,457 | $4,072,171 | $266,935 | $612,394 |
* | Commenced operations on May 28, 2010, and as a result, there were no distributions for the year ended June 30, 2010. |
At June 30, 2011, the Funds had available for tax purposes, capital loss carryovers as follows:
Aggressive Investor 1 | Aggressive Investor 2 | Ultra-Small Company | ||||||||||||
Expiring | 6/30/2017 | $ - | $ 12,816,562 | $2,301,468 | ||||||||||
6/30/2018 | 70,102,305 | 177,345,455 | 1,365,778 |
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NOTES TO FINANCIAL STATEMENTS (continued) | ||
June 30, 2011 |
Micro-Cap Limited | Small-Cap Growth | Small-Cap Value | ||||||||||||
Expiring | 6/30/2015 | $ - | $ 2,860,044 | $ - | ||||||||||
6/30/2016 | - | - | - | |||||||||||
6/30/2017 | 3,902,694 | 7,823,854 | 14,748,497 | |||||||||||
6/30/2018 | 4,507,635 | 22,793,119 | 50,552,993 |
Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||||
Expiring | 6/30/2012 | $ - | $ - | $ 327,296 | $ - | |||||||||||||
6/30/2013 | - | - | 282,192 | - | ||||||||||||||
6/30/2014 | - | - | 402,963 | - | ||||||||||||||
6/30/2015 | - | - | 418,882 | - | ||||||||||||||
6/30/2016 | - | - | 31,461 | - | ||||||||||||||
6/30/2017 | 4,574,830 | 127,273 | 28,604,419 | - | ||||||||||||||
6/30/2018 | 33,490,095 | 3,361,989 | 34,451,339 | 7,043,873 | ||||||||||||||
6/30/2019 | - | - | 2,656,190 | - |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by a fund after June 30, 2011, will not be subject to expiration. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment.
There are no capital loss carryovers for Ultra-Small Company Market Fund and Small-Cap Momentum Fund as of June 30, 2011.
Capital loss carryovers utilized during the fiscal year June 30, 2011 were as follows:
Bridgeway Fund | Capital Loss Carryover Utilized | |||
Aggressive Investors 1 | $ | 15,406,021 | ||
Aggressive Investors 2 | 43,447,188 | |||
Ultra-Small Company | 12,949,694 | |||
Ultra-Small Company Market | 8,675,110 | |||
Micro-Cap Limited | 4,376,827 | |||
Small-Cap Growth | 7,049,367 | |||
Small-Cap Value | 20,636,947 | |||
Large-Cap Growth | 8,849,005 | |||
Large-Cap Value | 3,045,462 | |||
Managed Volatility | 980,347 |
Capital loss carryovers of $337,509 expired for the Blue Chip 35 Index Fund during the fiscal year ended June 30, 2011.
Components of Accumulated Earnings (Deficit) As of June 30, 2011, the components of accumulated earnings (deficit) on a tax basis were:
Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | ||||||||||
Accumulated Net Investment Income (Loss) | $ 1,648,496 | $ 23,680 | $ 938,111 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments* | (70,102,305) | (190,162,017) | (3,667,246) | |||||||||
Net Unrealized Appreciation/Depreciation of Investments | 16,955,469 | 36,150,904 | 14,803,066 | |||||||||
Total | $(51,498,340) | $(153,987,433) | $12,073,931 |
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NOTES TO FINANCIAL STATEMENTS (continued) | ||
June 30, 2011 |
Ultra-Small Company Market | Micro-Cap Limited | Small-Cap Momentum | ||||||||||
Accumulated Net Investment Income (Loss) | $ 3,451,116 | $ 398,482 | $ 280,420 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments* | 13,433,177 | (8,410,329 | ) | 9,122 | ||||||||
Net Unrealized Appreciation/Depreciation of Investments | 116,828,598 | 3,347,269 | 289,775 | |||||||||
Total | $133,712,891 | $ (4,664,578 | ) | $ 579,317 | ||||||||
Small-Cap Growth | Small-Cap Value | Large-Cap Growth | ||||||||||
Accumulated Net Investment Income (Loss) | $ 3,172 | $ 724,448 | $ 127,160 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments* | (33,477,017 | ) | (65,301,490 | ) | (38,064,925 | ) | ||||||
Net Unrealized Appreciation/Depreciation of Investments | 9,832,495 | 18,632,366 | 10,528,615 | |||||||||
Total | $ (23,641,350 | ) | $(45,944,676 | ) | $(27,409,150 | ) | ||||||
Large-Cap Value | Blue Chip 35 Index | Managed Volatility | ||||||||||
Accumulated Net Investment Income (Loss) | $ 168,714 | $ 3,448,573 | $ 151,301 | |||||||||
Accumulated Net Realized Gain (Loss) on Investments* | (3,489,262 | ) | (67,514,690 | ) | (7,043,873 | ) | ||||||
Net Unrealized Appreciation/Depreciation of Investments | 6,317,312 | 60,022,882 | 4,000,862 | |||||||||
Total | $ 2,996,764 | $ (4,043,235 | ) | $ (2,891,710 | ) |
* | Includes losses incurred during the period November 1, 2010 through June 30, 2011, which a Fund has elected to defer to its fiscal year ending June 30, 2012. Post October Losses - Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Blue-Chip 35 Index Fund has deferred post October losses of $339,948. |
For the fiscal year June 30, 2011, the Funds recorded the following reclassifications to the accounts listed below:
Increase (Decrease) | ||||||||||||
Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | ||||||||||
Paid-in-Capital | $ - | $ - | $ - | |||||||||
Undistributed Net Investment Income | 3,138 | 33,489 | 628,067 | |||||||||
Accumulated Net Realized Loss | (3,138) | (33,489) | (628,067) | |||||||||
Ultra-Small Company Market | Micro-Cap Limited | Small-Cap Momentum | ||||||||||
Paid-in-Capital | $ 2,633,668 | $ (60) | $ - | |||||||||
Undistributed Net Investment Income | 174,228 | 69,786 | (1,138) | |||||||||
Accumulated Net Realized Loss | (2,807,896) | (69,726) | 1,138 | |||||||||
Small-Cap Growth | Small-Cap Value | Large-Cap Growth | ||||||||||
Paid-in-Capital | $ - | $ - | $ - | |||||||||
Undistributed Net Investment Income | 9,726 | (174,930) | 1,032 | |||||||||
Accumulated Net Realized Loss | (9,726) | 174,930 | (1,032) | |||||||||
Large-Cap Value | Blue Chip 35 Index | Managed Volatility | ||||||||||
Paid-in-Capital | $ - | $ (337,509) | $ - | |||||||||
Undistributed Net Investment Income | 2,347 | - | - | |||||||||
Accumulated Net Realized Loss | (2,347) | 337,509 | - |
The difference between book and tax components of net assets and the resulting reclassifications were primarily a result of the differing book/tax treatment of expired capital loss carryovers, the deduction of equalization debits for tax purposes, and investments in swaps, partnerships, real estate investment trusts and business development companies.
157 | Annual Report | June 30, 2011 |
NOTES TO FINANCIAL STATEMENTS (continued) | ||
June 30, 2011 |
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Fund’s tax positions and has concluded that no provision for income tax is required in each Fund’s financial statements. The Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
7. Line of Credit
Bridgeway established a line of credit agreement (“Facility”) with The Bank of New York Mellon (the “Bank” or “Lender”) effective November 5, 2010. The Facility is for temporary or emergency purposes, such as to provide liquidity for shareholder redemptions, and is cancellable by either party. Unless cancelled earlier, the Facility shall be held available until November 4, 2011. Advances under the Facility are limited to $10,000,000 in total for all Funds and advances to each Fund shall not exceed certain limits set forth in the credit agreement, including but not limited to, the maximum amount a Fund is permitted to borrow under the 1940 Act.
The Funds incur a commitment fee of 0.05% per annum on the unused portion of the Facility and interest expense to the extent of amounts borrowed under the Facility. Interest is based on the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-month Eurodollar Rate, plus 1.25%. The commitment fees are payable quarterly in arrears and are allocated to all participating Funds. Interest expense is charged directly to a Fund based upon actual amounts borrowed by such Fund.
For the fiscal year ended June 30, 2011, borrowings by the Funds under this line of credit were as follows:
Portfolio | Weighted Average Interest Rate | Weighted Average Loan Balance | Number of Days Outstanding | Interest Expense Incurred1 | Maximum Amount Borrowed During the Period | |||||||||||||||
Aggressive Investors 1 | 1.45% | $ 548,500 | 18 | $ 394 | $1,278,000 | |||||||||||||||
Aggressive Investors 2 | 1.49% | 1,012,500 | 28 | 1,157 | 3,570,000 | |||||||||||||||
Ultra-Small Company | 1.48% | 435,958 | 24 | 424 | 1,179,000 | |||||||||||||||
Ultra-Small Company Market | 1.45% | 812,938 | 32 | 1,037 | 2,950,000 | |||||||||||||||
Micro-Cap Limited | 1.45% | 135,143 | 7 | 38 | 306,000 | |||||||||||||||
Small-Cap Growth | 1.49% | 283,857 | 21 | 244 | 748,000 | |||||||||||||||
Small-Cap Value | 1.46% | 448,156 | 45 | 809 | 1,700,000 | |||||||||||||||
Large-Cap Growth | 1.46% | 202,905 | 42 | 341 | 684,000 | |||||||||||||||
Large-Cap Value | 1.51% | 161,750 | 4 | 27 | 179,000 | |||||||||||||||
Blue Chip 35 Index | 1.46% | 1,045,000 | 44 | 1,833 | 2,530,000 | |||||||||||||||
1Interest expense is included on the Statements of Operations in Miscellaneous expenses. |
There were no outstanding borrowings by the Funds under this line of credit as of June 30, 2011.
8. Redemption Fees
In Ultra-Small Company Market and Small-Cap Momentum Funds, a 2% redemption fee may be charged on shares held less than six months. The fee is charged for the benefit of the remaining shareholders and will be paid to the appropriate Fund to help offset transaction costs. The fee is accounted for as an addition to paid-in capital.
9. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | ||
To the Shareholders and Board of Directors of Bridgeway Funds, Inc.
We have audited the accompanying statements of assets and liabilities of Aggressive Investors 1 Fund, Aggressive Investors 2 Fund, Ultra Small Company Fund, Ultra Small Company Market Fund, Micro-Cap Limited Fund, Small-Cap Momentum Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Large-Cap Value Fund, Blue Chip 35 Index Fund, and Managed Volatility Fund, each a series of Bridgeway Funds, Inc. (the “Funds”), including the schedules of investments, as of June 30, 2011, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years and periods presented in the two year period then ended, and the financial highlights for each of the years and periods presented in the five year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2011 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Aggressive Investors 1 Fund, Aggressive Investors 2 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Micro-Cap Limited Fund, Small-Cap Momentum Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Large-Cap Value Fund, Blue Chip 35 Index Fund, and Managed Volatility Fund as of June 30, 2011, the results of their operations for the year then ended, the changes in their net assets for each of the years or periods in the two year period then ended, and financial highlights for each of the years or periods in the five year period then ended, in conformity with accounting principles generally accepted in the United States of America.
BBD, LLP |
Philadelphia, Pennsylvania
August 25, 2011
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OTHER INFORMATION | ||
June 30, 2011 (unaudited) |
1. Shareholder Tax Information
Certain tax information regarding the Funds is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended June 30, 2011. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2010.
The Funds designate the following items with regard to distributions paid during the fiscal year ended June 30, 2011. All designations are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to designate the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.
Aggressive Investor 1 | Aggressive Investor 2 | Ultra-Small Company | Ultra-Small Company Market | |||||||||||||
Corporate Dividends Received Deduction | 41.46% | 100.00% | 67.55% | 93.12% | ||||||||||||
Qualified Dividend Income | 42.46% | 100.00% | 65.81% | 91.39% | ||||||||||||
Qualified Interest Related Dividends | 0.03% | 0.01% | 0.09% | 0.05% | ||||||||||||
Qualified Short Term Capital Gain Dividends | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||
U.S. Government Income | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||
Micro-Cap Limited | Small-Cap Momentum | Small-Cap Growth | Small-Cap Value | |||||||||||||
Corporate Dividends Received Deduction | 35.43% | 7.32% | 100.00% | 100.00% | ||||||||||||
Qualified Dividend Income | 34.80% | 8.02% | 100.00% | 100.00% | ||||||||||||
Qualified Interest Related Dividends | 0.04% | 0.38% | 0.00% | 0.00% | ||||||||||||
Qualified Short Term Capital Gain Dividends | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||
U.S. Government Income | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||
Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||
Corporate Dividends Received Deduction | 100.00% | 94.86% | 100.00% | 75.37% | ||||||||||||
Qualified Dividend Income | 100.00% | 94.78% | 100.00% | 75.77% | ||||||||||||
Qualified Interest Related Dividends | 0.00% | 0.01% | 0.00% | 47.04% | ||||||||||||
Qualified Short Term Capital Gain Dividends | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||||
U.S. Government Income | 0.00% | 0.00% | 0.00% | 5.28% |
U.S. Government Income represents the amount of interest that was derived from direct U.S. Government obligations. Generally, such interest is exempt from state income tax. However, for residents of California, New York and Connecticut the statutory threshold requirements were not satisfied. Due to the diversity in state and local tax law, it is recommended you consult a tax adviser as to the applicability of the information provided for your specific situation.
During the fiscal year ended June 30, 2011, the Funds paid distributions from ordinary income and long-term capital gain which included equalization debits summarized below:
Aggressive Investors 1 | Aggressive Investors 2 | Ultra-Small Company | Ultra-Small Company Market | Micro-Cap Limited | Small-Cap Momentum | |||||||||||||||||||
Ordinary Income Distributions | $2,167,451 | $1,764,382 | $632,748 | $4,111,396 | $ 401,927 | $ 16,889 | ||||||||||||||||||
Equalization Debits Included in Ordinary Income Distributions | - | - | - | 383,457 | - | - | ||||||||||||||||||
Equlization Debits Included in Long-Term Capital Gain Distributions | - | - | - | 2,250,211 | - | - | ||||||||||||||||||
Small-Cap Growth | Small-Cap Value | Large-Cap Growth | Large-Cap Value | Blue Chip 35 Index | Managed Volatility | |||||||||||||||||||
Ordinary Income Distributions | $ 107,719 | $ 557,827 | $342,087 | $ 461,725 | $4,877,457 | $266,935 |
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OTHER INFORMATION (continued) | ||
June 30, 2011 (unaudited) |
2. Proxy Voting
Fund policies and procedures used in determining how to vote proxies relating to the Funds’ securities and a summary of proxies voted by the Funds for the period ended June 30, 2011 available without a charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov.
3. Fund Holdings
The complete schedules of the Funds’ holdings for the second and fourth quarters of each fiscal year are contained in the Funds’ Semi-Annual and Annual shareholder reports, respectively.
The Bridgeway Funds file complete schedules of the Funds’ holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days after the end of the period. Copies of the Funds’ Form N-Q are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy Form N-Q at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 1-800-SEC-0330.
4. Investment Advisory Agreement Approval
At a meeting held on May 13, 2011 (the “Meeting”), the Board of Directors (“Board”), including a majority of the non-interested or independent Directors (hereinafter, “Directors”), met in person and approved the renewal of the investment management agreement (the “Advisory Agreement”) between Bridgeway Capital Management, Inc. (the “Adviser”) and the following Funds: Aggressive Investors 1 Fund, Aggressive Investors 2 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Micro-Cap Limited Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Large-Cap Value Fund, Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund (each, a “Fund” and collectively, the “Funds”).
In reaching its decisions to approve the continuation of the Advisory Agreement for each Fund, the Board considered information provided specifically in relation to the renewal of the Advisory Agreement for the Meeting. In response to specific requests from the independent Directors in connection with the Meeting, the Adviser furnished, and the Board considered, information including, but not limited to, the following: (1) the investment performance over various time periods and the fees and expenses of each Fund as compared to a comparable group of funds (the “peer funds”); (2) the nature, extent and quality of services provided by the Adviser to the Funds, including investment advisory and administrative services to the Funds; (3) the actual management fees paid by each Fund to the Adviser; (4) the costs of providing services to each Fund and the profitability of the Adviser from the relationship with each Fund; (5) the extent to which economies of scale may be present, and if so, whether they would be shared with the Fund’s shareholders; and (6) any “fall out” or ancillary benefits accruing to the Adviser as a result of the relationship with each Fund. In addition to evaluating, among other things, the written information provided by the Adviser, the Board also evaluated the answers to questions posed by the independent Directors to representatives of the Adviser at the Meeting.
In considering the information and materials described above, the independent Directors received assistance from independent legal counsel and were provided with a written description of their statutory responsibilities and the legal standards that are applicable to approvals of advisory agreements. Although the Advisory Agreement for all of the Funds was considered at the same Board meeting, the Directors addressed each Fund separately during the Meeting.
Based on all of the information presented, the Board, including a majority of its independent Directors, determined on a Fund-by-Fund basis that the fees charged under the Advisory Agreement are reasonable in relation to the services that are provided under the Advisory Agreement. In view of the broad scope and variety of factors and information, the Directors did not identify any single factor as being of paramount importance in reaching their conclusions and determinations to approve the continuance of the Advisory Agreement for each Fund. Rather, the approval determinations were made on the basis of each Director’s business judgment after consideration of all of the factors taken in their entirety.
Although not meant to be all-inclusive, the following discusses some of the factors relevant to the Board’s decisions to approve the continuance of the Advisory Agreement for each Fund.
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OTHER INFORMATION (continued) | ||
June 30, 2011 (unaudited) |
Nature, Extent and Quality of Services. In examining the nature, extent and quality of the services provided by the Adviser, the independent Directors were pleased that the Funds continue to have access to the Adviser’s specialized skills in quantitative analysis and active and passive investment management and trading, and viewed those skills as relatively unique within the investment management industry. The independent Directors were satisfied that staffing levels at the Adviser were adequate and appropriate in view of the Funds’ operations. The independent Directors noted that the Adviser devotes most of its personnel time to managing the Funds, as they represent approximately half of the Adviser’s total assets under management. The independent Directors also noted that there have been no significant changes in personnel that provide services to the Funds. The independent Directors also considered that, in addition to providing investment management services to the Funds, the Adviser is also responsible for developing and maintaining policies and procedures to ensure that the Funds comply with applicable rules and regulations. Finally, the independent Directors considered that the Adviser provides certain administrative services under the Administrative Services Agreement approximately at cost to the Funds. Based on the information considered, the Board concluded that the nature, extent and quality of the Adviser’s services supported approval of the Advisory Agreement.
Investment Performance. The independent Directors reviewed performance information as of December 31, 2010 for each Fund. With regard to the Aggressive Investors 1 Fund, the independent Directors noted that: (i) the Fund has outperformed its benchmark index for the past ten year period as well as since inception; and (ii) the Fund’s performance for the past three and five year periods has lagged both peer funds and its benchmark index primarily due to underperformance during the 2008 and 2009 economic crisis, although the Fund was outperforming its peer funds and benchmark index for the three year period, five year period and since inception period as of March 31, 2008. With regard to the Aggressive Investors 2 Fund, the independent Directors noted that: (i) the Fund has outperformed its benchmark index since inception; and (ii) the Fund’s performance for the past three and five year periods has lagged both peer funds and its benchmark index primarily due to underperformance during the recent economic crisis although the Fund was outperforming its peer funds and benchmark index for the five year period ending March 31, 2009. With regard to the Ultra-Small Company Fund, the independent Directors noted that the Fund has significantly outperformed its benchmark index since inception, although it has lagged its peer funds and benchmark index for the past three and five year periods. With regard to the Ultra-Small Company Market Fund, the independent Directors noted that the Fund has lagged its peer funds and benchmark index for the past three and five year periods and lagged its benchmark index since inception. However, the independent Directors considered that the Ultra-Small Company Market Fund is a passively managed fund whose peer funds have a significantly higher average market capitalization and that this difference in average capitalization was the primary reason for the difference in performance compared to peer funds. The independent Directors also considered that the underperformance of the Ultra-Small Company Market Fund against the benchmark was driven primarily by calendar year 2009 and the effect of certain factors that have typically helped the Fund to outperform previously, resulted in significant underperformance. With regard to the Micro-Cap Limited Fund, the independent Directors noted that the Fund has outperformed its benchmark index since inception, although it has underperformed its peer funds and benchmark index for the past three and five year periods and lagged its benchmark index for the past ten year period. With regard to the Small-Cap Growth Fund and Small-Cap Value Fund, the independent Directors noted that each Fund’s performance for the past three and five year periods has lagged both peer funds and its benchmark index and has also lagged its benchmark index since inception and also noted that this lag in performance is primarily due to underperformance during the economic crisis of 2008 and 2009 although each Fund was outperforming its benchmark index for the three year period and since inception period as of March 31, 2008. With regard to the Large-Cap Growth Fund, the independent Directors noted that: (i) the Fund has lagged its peer funds and benchmark index for the past three and five year periods and lagged its primary benchmark index since inception; and (ii) such lag in performance was primarily due to underperformance during the recent economic crisis although the Fund was outperforming its peer funds for the three year period and outperforming its benchmark index for the three year period and the since inception period as of March 31, 2008. With regard to the Large-Cap Value Fund, the independent Directors noted that: (i) the Fund has outperformed its peer funds and benchmark index for the past three and five year periods; and (ii) the Fund has outperformed its benchmark index since inception. With regard to the Blue Chip 35 Index Fund, the independent Directors noted that: (i) the Fund has outperformed its peer funds and benchmark index for the past three and five year periods; and (ii) the Fund has outperformed its benchmark index for the past ten year period and since inception. With regard to the Managed Volatility Fund, the independent Directors noted that: (i) the Fund has outperformed its peer funds and benchmark index for the past three year period; (ii) the Fund has
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OTHER INFORMATION (continued) | ||
June 30, 2011 (unaudited) |
slightly lagged its peer funds and benchmark index for the past five year period; and (iii) the Fund has outperformed its benchmark index since inception. With regard to the Small-Cap Momentum Fund, the independent Directors noted that the Fund had not yet completed a full year of performance and that for the short time of its existence, the Fund had slightly lagged its benchmark index.
Fees and Expenses. The independent Directors were satisfied with the reasonableness of the management fees and favorable overall expense levels, after applicable management fee and expense waivers, of each of the Funds, and believed that the fee and expense levels were consistent with the Adviser’s long-standing goal of providing low cost funds. The management fees of the Aggressive Investors 1 Fund and Aggressive Investors 2 Fund are performance-based fees that adjust higher or lower in a range in response to investment results. As a result of the performance fees and the recent underperformance, the Aggressive Investors 1 Fund’s and Aggressive Investors 2 Fund’s management fees are significantly lower than peer funds, although the base management fee is slightly higher than peer funds. The total expenses of the Aggressive Investors 1 Fund and Aggressive Investors 2 Fund are significantly lower than peer funds. The Ultra-Small Company Fund has no performance fee and the management fee is lower than peer funds and the total expenses were significantly lower than peer funds. The passively managed Ultra-Small Company Market Fund’s management fee was higher than the average of other peer funds, but the independent Directors recognized that the fee was warranted because of the higher costs to manage and trade stocks in the ultra-small market capitalization range and that the Fund was relatively unique among index funds based on its ultra-small and passive management focus. The independent Directors also noted that the total expenses of the Ultra-Small Company Market Fund were slightly higher than its peer funds. The management fees of the Micro-Cap Limited Fund also are performance-based fees that adjust higher or lower in a range in response to investment results. As a result of the performance fees and the Fund’s underperformance, the Micro-Cap Limited Fund’s management fees and overall expenses are significantly lower than peer funds and its base management fee is lower than peer funds. The Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund and Large-Cap Value Fund also have performance fees, and each Fund’s management fees and overall expenses were significantly lower than its peer funds. The Blue Chip 35 Index Fund has no performance fee and both the management fee and total expenses were significantly lower than peer funds, partly due to fee waivers and expense reimbursements by the Adviser. The Managed Volatility Fund and Small-Cap Momentum Fund have no performance fees and their respective management fee and total expenses were significantly lower than peer funds.
In addition, the independent Directors considered that the Adviser agreed to contractual expense limitation agreements for each of the Funds to ensure that total expense levels do not increase above certain levels. The independent Directors also reviewed the fees the Adviser charged to other funds and separately managed accounts and evaluated the differences in fees and services provided to the Funds and such other separately managed accounts.
The foregoing comparisons assisted the independent Directors by providing them with a basis for evaluating each Fund’s management fee and expense ratio on a relative basis.
Profitability. The independent Directors reviewed the materials it received from the Adviser regarding its revenues and costs in providing investment management and certain administrative services to the Funds. In particular, the independent Directors considered the analysis of the Adviser’s profitability with respect to each Fund, calculated for the years ended December 31, 2007, December 31, 2008, December 31, 2009 and December 31, 2010. The independent Directors also considered the Adviser’s representations that allocating expenses on a Fund-by-Fund basis to calculate Fund-by-Fund profitability is a subjective, and somewhat arbitrary process, since the Adviser does not track expenses or maintain staff on a Fund-by-Fund basis. The independent Directors also considered the Adviser’s representations that profit margins for certain years can be affected by the seven to one total compensation cap for Adviser employees (i.e., no employee can make more than seven times the total compensation of the lowest paid employee). The independent Directors also considered that the Adviser was operating the Aggressive Investors 1 Fund, Micro-Cap Limited Fund, Small-Cap Growth Fund, Large-Cap Growth Fund, Large-Cap Value Fund, Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund at a loss. The independent Directors noted that, as a business matter, the Adviser was entitled to earn reasonable profits for its services to the Funds. The independent Directors also considered management’s representations that although it is operating many of the Funds at a loss, the Adviser has significant financial resources to support operations.
Economies of Scale. With regard to economies of scale, the independent Directors noted that the Aggressive Investors 1 Fund, Aggressive Investors 2 Fund, Ultra-Small Company Fund and Micro-Cap Limited Fund each have fee breakpoints in
163 | Annual Report | June 30, 2011 |
OTHER INFORMATION (continued) | ||
June 30, 2011 (unaudited) |
their management fee schedules and that the Aggressive Investors 2 Fund has reached a size so that it already benefits from a reduced base management fee rate. The independent Directors noted that although the Aggressive Investors 1 Fund, Ultra-Small Company Fund and Micro-Cap Limited Fund are not currently at an asset level at which they can take advantage of the breakpoints contained in their fee schedules, the fee schedules are structured so that when the assets of the Funds increase, economies of scale may be shared for the benefit of shareholders. Although the Ultra-Small Company Market Fund does not have fee breakpoints in its management fee schedule, the Adviser noted that it believes that the Fund does not exhibit significant economies of scale because it involves intensive and time-consuming portfolio and trading management because trades are small and oftentimes less liquid, so they may take longer to execute. As a result, the Adviser indicated that an increase in assets of the Ultra-Small Company Market Fund does not necessarily lead to economies of scale. Although the Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund and Large-Cap Value Fund do not have fee breakpoints in their management fee schedules, the Adviser indicated that these Funds were priced low relative to peers and ahead of the economies of scale curve at launch. In particular, these Funds’ management fees were aggressively priced from launch as if they had assets of $1 billion (in the case of the Small-Cap Growth and Small-Cap Value Funds) and $5 billion (in the case of the Large-Cap Growth and Large-Cap Value Funds). However, these four Funds had assets that were significantly below the $1 billion and $5 billion levels, as the case may be, at the time of the Meeting. With regard to the Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund, the Adviser noted that, although none of these Funds has fee breakpoints in its management fee schedule, each Fund was priced low relative to peers and ahead of the economies of scale curve at launch. In view of asset sizes and fee structures, the independent Directors were satisfied that shareholders were not missing the opportunity to benefit from economies of scale if they were available.
“Fall Out” or Ancillary Benefits. In terms of potential “fall out” or ancillary benefits to the Adviser due to its position as manager of the Funds, the independent Directors noted that the Adviser continues to use no soft dollars and its administrative services to the Funds are structured to approximate an at-cost relationship.
Overall, the Directors were pleased to renew the Advisory Agreement with respect to each Fund. The Directors valued access by the Funds to the Adviser’s proprietary quantitative investment management services, relative investment performance and favorable fee levels and concluded that renewal of the Advisory Agreement was in the best interests of the Funds and their shareholders.
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DISCLOSURE OF FUND EXPENSES | ||
June 30, 2011 (unaudited) |
As a shareholder of a Fund, you will incur no transaction costs from such Fund, including sales charges (loads) on purchases, on reinvested dividends or on other distributions. There are no exchange fees. Shareholders are subject to redemption fees on the Ultra-Small Company Market and Small-Cap Momentum Funds under certain circumstances. However, as a shareholder of a Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on January 1, 2011 and held until June 30, 2011.
Actual Expenses. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes. The second line of the table below 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 a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.
Beginning Account Value at 1/1/11 | Ending Account Value at 6/30/11 | Expense Ratio | Expenses Paid During Period* 1/1/11 - 6/30/11 | |||||||
Bridgeway Aggressive Investors 1 | ||||||||||
Actual Fund Return | $1,000.00 | $1,077.60 | -0.24 | %** | $(1.24) | |||||
Hypothetical Fund Return | $1,000.00 | $1,025.98 | -0.24 | %** | $(1.21) | |||||
Bridgeway Aggressive Investors 2 | ||||||||||
Actual Fund Return | $1,000.00 | $1,081.60 | 0.64 | % | $3.30 | |||||
Hypothetical Fund Return | $1,000.00 | $1,021.62 | 0.64 | % | $3.21 | |||||
Bridgeway Ultra-Small Company Fund | ||||||||||
Actual Fund Return | $1,000.00 | $1,020.30 | 1.17 | % | $5.86 | |||||
Hypothetical Fund Return | $1,000.00 | $1,018.99 | 1.17 | % | $5.86 | |||||
Bridgeway Ultra-Small Company Market Fund | ||||||||||
Actual Fund Return | $1,000.00 | $1,038.60 | 0.75 | % | $3.79 | |||||
Hypothetical Fund Return | $1,000.00 | $1,021.08 | 0.75 | % | $3.76 | |||||
Bridgeway Micro-Cap Limited Fund | ||||||||||
Actual Fund Return | $1,000.00 | $1,047.40 | 0.48 | % | $2.44 | |||||
Hypothetical Fund Return | $1,000.00 | $1,022.41 | 0.48 | % | $2.41 | |||||
Bridgeway Small-Cap Momentum Fund | ||||||||||
Actual Fund Return | $1,000.00 | $1,078.80 | 0.90 | % | $4.64 | |||||
Hypothetical Fund Return | $1,000.00 | $1,020.33 | 0.90 | % | $4.51 |
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DISCLOSURE OF FUND EXPENSES (continued) |
June 30, 2011 (unaudited) |
Beginning Account Value at 1/1/11 | Ending Account Value at 6/30/11 | Expense Ratio | Expenses Paid During Period* 1/1/11 - 6/30/11 | |||||||||||
Bridgeway Small-Cap Growth Fund | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,127.00 | 0.94% | $4.96 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,020.13 | 0.94% | $4.71 | ||||||||||
Bridgeway Small-Cap Value Fund | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,106.90 | 0.84% | $4.39 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,020.63 | 0.84% | $4.21 | ||||||||||
Bridgeway Large-Cap Growth Fund | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,077.30 | 0.84% | $4.33 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,020.63 | 0.84% | $4.21 | ||||||||||
Bridgeway Large-Cap Value Fund | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,079.80 | 0.84% | $4.33 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,020.63 | 0.84% | $4.21 | ||||||||||
Bridgeway Blue Chip 35 Index Fund | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,034.00 | 0.15% | $0.76 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,024.05 | 0.15% | $0.75 | ||||||||||
Bridgeway Managed Volatility | ||||||||||||||
Actual Fund Return | $1,000.00 | $1,024.80 | 0.94% | $4.72 | ||||||||||
Hypothetical Fund Return | $1,000.00 | $1,020.13 | 0.94% | $4.71 |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent half-year divided by the number of days in the fiscal year. |
** | The expense ratio for Aggressive Investors 1 Fund is negative due to the negative performance adjustment of the investment advisory fee. The expense ratio for this period excluding the negative performance adjustment was 1.24%. |
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DIRECTORS & OFFICERS |
June 30, 2011 |
Independent Directors
| ||||||||||
Name, Address and Age1 | Position Held with Bridgeway Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Director | Other Directorships Held by Director | |||||
Kirbyjon Caldwell Age 58 | Director | Term: 1 Year Length: 2001 to Present.
| Senior Pastor of Windsor Village United Methodist Church, since 1982.
| Thirteen
| United Continental Holdings, Inc., American Church Mortgage Company, Reliant Energy, NRG Energy, Inc., Amegy Bancshares Advisory Board
| |||||
Karen S. Gerstner Age 56 | Director | Term: 1 Year Length: 1994 to Present.
| Principal, Karen S. Gerstner & Associates, P.C., 2004 to present.
| Thirteen
| None
| |||||
Miles Douglas Harper, III* Age 48 | Director | Term: 1 Year Length: 1994 to Present. | Partner, 1998 to present, Gainer, Donnelly, Desroches, LLP. | Thirteen | Calvert Social Investment Fund (8 Portfolios), Calvert Social Index Series, Inc. (1 Portfolio), Calvert Impact Fund (4 Portfolios), Calvert World Values Fund (3 Portfolios), Founders Bank, SSB
| |||||
Evan Harrel Age 50 | Director | Term: 1 Year Length: 2006 to Present.
| Executive Director, Small Steps Nurturing Center, 2004 to present.
| Thirteen | None | |||||
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DIRECTORS & OFFICERS (continued) |
June 30, 2011 |
“Interested” or Affiliated Directors and Officers
| ||||||||||
Name, Address and Age1 | Position(s) Held with Bridgeway Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Director | Other Directorships Held by Director | |||||
Michael D. Mulcahy2 Age 47 | President and Director | Term: 1 Year Length: 2003 to Present. | Director, President and COO, Bridgeway Capital Management, Inc., 10/2010 to present, President, Bridgeway Funds, 2005 to present. Director, Secretary and Vice President, Bridgeway Capital Management, Inc., 12/2002 to 10/2010.
| Thirteen | None | |||||
John N. R. Montgomery3 Age 55 | Vice President and Director | Term: 1 Year Length: 1993 to Present. | Director and Chairman, Bridgeway Capital Management, Inc., 10/2010 to present, Vice President, Bridgeway Funds, 2005 to present. Director and President, Bridgeway Capital Management, Inc., 11/1993 - 10/2010.
| Thirteen | None | |||||
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DIRECTORS & OFFICERS (continued) |
June 30, 2011 |
Other Officers
| ||||||||||
Name, Address and Age1 | Position Held with Bridgeway Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Officer | Other Directorships Held by Officer | |||||
Richard P. Cancelmo, Jr. Age 53 | Vice President | Term: 1 Year Length: 2004 to Present.
| Staff member, Bridgeway Capital Management, Inc., since 2000.
| N/A | None | |||||
Linda G. Giuffré Age 49 | Treasurer and Chief Compliance Officer | Term: 1 Year Length: 2004 to Present. | Chief Compliance Officer, Bridgeway Capital Management, Inc., 2004 to present.
| N/A | None | |||||
Deborah L. Hanna Age 46 | Secretary | Term: 1 Year Length: 2007 to Present. | Self-employed, accounting and related projects for various organizations, 2001 to present.
| N/A | None | |||||
Sharon Lester Age 56 | Vice President | Term: 1 Year Length: 2011 to Present. | Staff member, Bridgeway Capital Management, Inc., 12/2010 to present. Prior to 12/2010, Director of Portfolio Operations, Invesco.
| N/A | None |
* | Independent Chairman |
1 | The address of all of the Directors and Officers of Bridgeway Funds is 20 Greenway Plaza, Suite 450, Houston, Texas, 77046. |
2 | Michael Mulcahy is a director and officer of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds. |
3 | John Montgomery is chairman, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds. |
The overall management of the business and affairs of Bridgeway Funds is vested with its Board of Directors (the “Board”). The Board approves all significant agreements between Bridgeway Funds and persons or companies furnishing services to it, including agreements with its Adviser and Custodian. The day-to-day operations of Bridgeway Funds are delegated to its officers, subject to its investment objectives and policies and general supervision by the Board.
The Funds’ Statement of Additional Information includes additional information about the Board and is available, without charge, upon request by calling 1-800-661-3550.
169 | Annual Report | June 30, 2011 |
THIS PAGE INTENTIONALLY LEFT BLANK
TABLE OF CONTENTS |
OMNI TAX-MANAGED SMALL-CAP VALUE FUND | ||||
4 | ||||
8 | ||||
STATEMENT OF ASSETS AND LIABILITIES | 22 | |||
STATEMENT OF OPERATIONS | 23 | |||
STATEMENT OF CHANGES IN NET ASSETS | 24 | |||
FINANCIAL HIGHLIGHTS | 26 | |||
28 | ||||
33 | ||||
34 | ||||
35 | ||||
36 |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY |
June 30, 2011
Dear Fellow Omni Tax-Managed Small-Cap Value Fund Shareholder,
Our Fund declined 1.57% for the quarter ended June 30, 2011, outperforming our primary market benchmark, the Russell 2000 Value Index (-2.65%). For the period since inception on December 31, 2010, the Fund returned 6.80%, beating the Russell 2000 Value Index (+3.77%). This is a very short time period, but we celebrate “getting off on the right foot.”
The table below presents our June quarter and life-to-date financial results according to the formula required by the SEC. See below for a graph of performance from inception to June 30, 2011.
June Qtr. 4/1/11 to 6/30/11 | Life-to-Date 12/31/10 to 6/30/11 | |||||||
Omni Tax-Managed Small-Cap Value Fund | -1.57% | 6.80% | ||||||
Russell 2000 Value Index | -2.65% | 3.77% |
Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. It is not possible to invest directly in an index.
Omni Tax-Managed Small-Cap Value Fund vs. Russell 2000 Value from Inception 12/31/10 to 6/30/11
4 | Annual Report | June 30, 2011 |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Detailed Explanation of Quarterly Performance
The Short Version: Consumer-related stocks led both the best and worst contributor lists for the quarter.
Despite the fact that many consumers remain concerned about the economy and their individual job prospects for the future, Consumer Discretionary and Consumer Staples stocks led the list of best performers for the quarter. Some luxury buyers have been jumping back in with more expensive purchases. Three Consumer Discretionary companies and two Consumer Staples companies made the ten best-contributors list; combined, they contributed over half a percent to the Fund’s return.
These are the Fund’s ten best-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Dillard’s, Inc. | Multiline Retail | 0.2% | |||
2 | Temple-Inland, Inc. | Containers & Packaging | 0.2% | |||
3 | GT Solar International, Inc. | Semiconductors & Semiconductor Equipment | 0.2% | |||
4 | Polaris Industries, Inc. | Leisure Equipment & Products | 0.1% | |||
5 | Healthspring, Inc. | Health Care Providers & Services | 0.1% | |||
6 | Foot Locker, Inc. | Specialty Retail | 0.1% | |||
7 | KAR Auction Services, Inc. | Commercial Services & Supplies | 0.1% | |||
8 | Holly Corp. | Oil, Gas & Consumable Fuels | 0.1% | |||
9 | Flowers Foods, Inc. | Food Products | 0.1% | |||
10 | Nu Skin Enterprises, Inc. | Personal Products | 0.1% |
Consumer Discretionary companies also led the list of worst contributors for the quarter, an indication that consumers remain reluctant to buy, given the slowing economic recovery and uncertain labor picture.
These are the Fund’s ten worst-contributing stocks for the quarter ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Lender Processing Services, Inc. | IT Services | -0.2% | |||
2 | American Eagle Outfitters, Inc. | Specialty Retail | -0.1% | |||
3 | Manitowoc Co., Inc. (The) | Machinery | -0.1% | |||
4 | Lexmark International, Inc. | Computers & Peripherals | -0.1% | |||
5 | First Horizon National Corp. | Commercial Banks | -0.1% | |||
6 | Community Health Systems, Inc. | Health Care Providers & Services | -0.1% | |||
7 | Collective Brands, Inc. | Specialty Retail | -0.1% | |||
8 | Frontline, Ltd. | Oil, Gas & Consumable Fuels | -0.1% | |||
9 | Big Lots, Inc. | Multiline Retail | -0.1% | |||
10 | Brunswick Corp. | Leisure Equipment & Products | -0.1% |
Detailed Explanation of Fiscal Period Performance (12/31/10 - 6/30/11)
The Short Version: It was a strong fiscal period across most sectors, but Consumer Discretionary stocks were the biggest drag on Fund performance.
Six different sectors made the best contributors list for the fiscal period. This shows that it was a broad-based up market and that no sectors dominated the market. The Energy, Consumer Discretionary, Industrials and Health Care sectors each had two stocks on the best contributors list.
www.bridgeway.com | 5 |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
These are the Fund’s ten best-contributing stocks for the fiscal period ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Holly Corp. | Oil, Gas & Consumable Fuels | 0.6% | |||
2 | Tesoro Corp. | Oil, Gas & Consumable Fuels | 0.5% | |||
3 | Dillard’s, Inc. | Multiline Retail | 0.5% | |||
4 | Armstrong World Industries, Inc. | Building Products | 0.5% | |||
5 | Healthspring, Inc. | Health Care Providers & Services | 0.5% | |||
6 | Sauer-Danfoss, Inc. | Machinery | 0.4% | |||
7 | AMERIGROUP Corp. | Health Care Providers & Services | 0.4% | |||
8 | Vishay Intertechnology, Inc. | Electronic Equipment, Instruments & Components | 0.4% | |||
9 | Tenneco, Inc. | Auto Components | 0.4% | |||
10 | Cabot Corp. | Chemicals | 0.3% |
Five Consumer Discretionary stocks made the worst contributors list, indicating that consumer fears have been around for most of the period and not just for the June quarter. These five stocks cost the Fund over three-quarters of a percent of return for the fiscal period.
These are the Fund’s ten worst-contributing stocks for the fiscal period ended June 30, 2011:
Rank | Description | Industry | % Contribution to Return | |||
1 | Aeropostale, Inc. | Specialty Retail | -0.3% | |||
2 | Lender Processing Services, Inc. | IT Services | -0.2% | |||
3 | Dex One Corp. | Media | -0.2% | |||
4 | Synovus Financial Corp. | Commercial Banks | -0.2% | |||
5 | RadioShack Corp. | Specialty Retail | -0.2% | |||
6 | American Eagle Outfitters, Inc. | Specialty Retail | -0.1% | |||
7 | SUPERVALU, Inc. | Food & Staples Retailing | -0.1% | |||
8 | Corinthian Colleges, Inc. | Diversified Consumer Services | -0.1% | |||
9 | TCF Financial Corp. | Commercial Banks | -0.1% | |||
10 | Lexmark International, Inc. | Computers & Peripherals | -0.1% |
Top Ten Holdings as of June 30, 2011
Three of the top ten holdings were also on the best contributors list for the quarter ended June 30, 2011. Nine different industries were present, demonstrating the diversification of this Fund’s holdings.
Rank | Description | Industry | % of Net Assets | |||
1 | Brink’s Co. (The) | Commercial Services & Supplies | 0.9% | |||
2 | Cracker Barrel Old Country Store, Inc. | Hotels, Resturants & Leisure | 0.8% | |||
3 | Leap Wireless International, Inc. | Wireless Telecommunication Services | 0.7% | |||
4 | Broadridge Financial Solutions, Inc. | IT Services | 0.7% | |||
5 | Transatlantic Holdings, Inc. | Insurance | 0.7% | |||
6 | Healthspring, Inc. | Health Care Providers & Services | 0.7% | |||
7 | Dillard’s, Inc. | Multiline Retail | 0.7% | |||
8 | Temple-Inland, Inc. | Containers & Packaging | 0.6% | |||
9 | Health Net, Inc. | Health Care Providers & Services | 0.6% | |||
10 | Ryder System, Inc. | Road & Rail | 0.6% | |||
Total | 7.0% |
6 | Annual Report | June 30, 2011 |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (continued) |
Industry Sector Representation as of June 30, 2011
The Fund is designed with a deep value methodology, and sector weightings may vary considerably from the benchmark, as seen in the table below. This is most notably true with our underweighting – one might say more reasonable weighting - of Financial stocks.
% of Portfolio | % of Russell 2000 Value Index | Difference | ||||||||
Consumer Discretionary | 23.9% | 11.9% | 12.0% | |||||||
Consumer Staples | 5.7% | 2.9% | 2.8% | |||||||
Energy | 5.7% | 5.4% | 0.3% | |||||||
Financials | 16.5% | 34.1% | -17.6% | |||||||
Health Care | 7.9% | 5.7% | 2.2% | |||||||
Industrials | 19.0% | 15.3% | 3.7% | |||||||
Information Technology | 11.8% | 12.1% | -0.3% | |||||||
Materials | 7.4% | 5.3% | 2.1% | |||||||
Telecommunication Services | 2.7% | 0.9% | 1.8% | |||||||
Utilities | 0.0% | 6.4% | -6.4% | |||||||
Cash & Other Assets | -0.6% | 0.0% | -0.6% | |||||||
Total | 100.0 | % | 100.0 | % |
Disclaimer
The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2011, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your investment in Omni Tax-Managed Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
www.bridgeway.com | 7 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
COMMON STOCKS - 100.01% |
| |||||||||
Aerospace & Defense - 1.71% |
| |||||||||
AAR Corp. | 1,850 | $ | 50,116 | |||||||
AerCap Holdings NV* | 600 | 7,806 | ||||||||
AeroCentury Corp.* | 200 | 2,560 | ||||||||
Alliant Techsystems, Inc. | 2,550 | 181,892 | ||||||||
Astrotech Corp.* | 200 | 208 | ||||||||
Curtiss-Wright Corp. | 3,800 | 123,006 | ||||||||
Ducommun, Inc. | 450 | 9,257 | ||||||||
Kratos Defense & Security Solutions, Inc.* | 450 | 5,472 | ||||||||
LMI Aerospace, Inc.* | 550 | 13,436 | ||||||||
Moog, Inc., Class A* | 3,500 | 152,320 | ||||||||
Sparton Corp.* | 450 | 4,599 | ||||||||
Teledyne Technologies, Inc.* | 150 | 7,554 | ||||||||
Triumph Group, Inc. | 900 | 89,622 | ||||||||
|
| |||||||||
|
647,848 |
| ||||||||
Air Freight & Logistics - 0.45% |
| |||||||||
Air Transport Services Group, Inc.* | 4,950 | 33,907 | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 2,000 | 119,020 | ||||||||
Pacer International, Inc.* | 1,600 | 7,552 | ||||||||
Park-Ohio Holdings Corp.* | 550 | 11,627 | ||||||||
|
| |||||||||
|
172,106 |
| ||||||||
Airlines - 1.51% |
| |||||||||
Alaska Air Group, Inc.* | 2,650 | 181,419 | ||||||||
Allegiant Travel Co.*+ | 1,400 | 69,300 | ||||||||
Hawaiian Holdings, Inc.* | 2,300 | 13,110 | ||||||||
JetBlue Airways Corp.*+ | 22,550 | 137,555 | ||||||||
Pinnacle Airlines Corp.* | 650 | 2,951 | ||||||||
Republic Airways Holdings, Inc.* | 2,300 | 12,558 | ||||||||
SkyWest, Inc. | 4,100 | 61,746 | ||||||||
US Airways Group, Inc.* | 10,650 | 94,891 | ||||||||
|
| |||||||||
|
573,530 |
| ||||||||
Auto Components - 1.65% |
| |||||||||
China Automotive Systems, Inc.*+ | 700 | 6,041 | ||||||||
Cooper Tire & Rubber Co. | 2,850 | 56,402 | ||||||||
Dana Holding Corp.* | 7,250 | 132,675 | ||||||||
Drew Industries, Inc. | 700 | 17,304 | ||||||||
Exide Technologies* | 3,600 | 27,504 | ||||||||
Federal-Mogul Corp.* | 5,200 | 118,716 | ||||||||
Fuel Systems Solutions, Inc.* | 700 | 17,465 | ||||||||
Goodyear Tire & Rubber Co. (The)* | 9,400 | 157,638 | ||||||||
Motorcar Parts of America, Inc.* | 350 | 5,254 | ||||||||
Shiloh Industries, Inc. | 550 | 5,929 |
Industry | Company | Shares | Value | |||||||
Auto Components (continued) |
| |||||||||
SORL Auto Parts, Inc.*+ | 700 | $ | 3,150 | |||||||
Spartan Motors, Inc. | 1,150 | 6,210 | ||||||||
Strattec Security Corp. | 100 | 2,098 | ||||||||
Tenneco, Inc.* | 1,550 | 68,308 | ||||||||
|
| |||||||||
|
624,694 |
| ||||||||
Automobiles - 0.03% |
| |||||||||
Winnebago Industries, Inc.*+ | 1,000 | 9,660 | ||||||||
Beverages - 0.20% |
| |||||||||
Coca-Cola Bottling Co., Consolidated | 550 | 37,213 | ||||||||
Cott Corp.* | 350 | 2,944 | ||||||||
MGP Ingredients, Inc. | 650 | 5,661 | ||||||||
National Beverage Corp. | 2,150 | 31,498 | ||||||||
|
| |||||||||
|
77,316 |
| ||||||||
Building Products - 0.64% |
| |||||||||
A.O. Smith Corp. | 150 | 6,345 | ||||||||
Armstrong World Industries, Inc. | 2,950 | 134,402 | ||||||||
Gibraltar Industries, Inc.* | 1,400 | 15,848 | ||||||||
Griffon Corp.* | 2,950 | 29,736 | ||||||||
Quanex Building Products Corp. | 1,750 | 28,683 | ||||||||
Universal Forest Products, Inc. | 1,200 | 28,752 | ||||||||
|
| |||||||||
|
243,766 |
| ||||||||
Capital Markets - 0.43% |
| |||||||||
Calamos Asset Management, Inc., Class A | 700 | 10,164 | ||||||||
CIFC Deerfield Corp.* | 250 | 1,713 | ||||||||
Edelman Financial Group, Inc. | 1,000 | 7,890 | ||||||||
GFI Group, Inc. | 5,600 | 25,704 | ||||||||
Gleacher & Co., Inc.* | 1,500 | 3,060 | ||||||||
INTL FCStone, Inc.* | 450 | 10,895 | ||||||||
Investment Technology Group, Inc.* | 2,250 | 31,545 | ||||||||
Oppenheimer Holdings, Inc., Class A | 850 | 23,978 | ||||||||
Piper Jaffray Cos.* | 1,700 | 48,977 | ||||||||
|
| |||||||||
|
163,926 |
| ||||||||
Chemicals - 3.20% |
| |||||||||
American Vanguard Corp. | 900 | 11,673 | ||||||||
Arabian American Development Co.* | 300 | 1,215 | ||||||||
Arch Chemicals, Inc. | 1,600 | 55,104 |
8 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Chemicals (continued) |
| |||||||||
Cabot Corp. | 4,850 | $ | 193,369 | |||||||
Cytec Industries, Inc. | 3,800 | 217,322 | ||||||||
Ferro Corp.* | 6,000 | 80,640 | ||||||||
Georgia Gulf Corp.* | 2,100 | 50,694 | ||||||||
Innospec, Inc.* | 800 | 26,888 | ||||||||
Keyuan Petrochemicals, Inc.D | 100 | 356 | ||||||||
Koppers Holdings, Inc. | 1,600 | 60,688 | ||||||||
Material Sciences Corp.* | 400 | 2,900 | ||||||||
Minerals Technologies, Inc. | 1,375 | 91,149 | ||||||||
OM Group, Inc.* | 1,900 | 77,216 | ||||||||
Omnova Solutions, Inc.* | 2,100 | 14,616 | ||||||||
Penford Corp.* | 150 | 795 | ||||||||
PolyOne Corp. | 7,250 | 112,157 | ||||||||
Shiner International, Inc.* | 800 | 656 | ||||||||
Spartech Corp.* | 1,100 | 6,699 | ||||||||
Stepan Co. | 350 | 24,815 | ||||||||
TOR Minerals International, Inc.* | 200 | 3,542 | ||||||||
TPC Group, Inc.* | 950 | 37,259 | ||||||||
Westlake Chemical Corp. | 2,600 | 134,940 | ||||||||
Zep, Inc. | 600 | 11,340 | ||||||||
|
| |||||||||
|
1,216,033 |
| ||||||||
Commercial Banks - 6.52% |
| |||||||||
1st Source Corp. | 2,000 | 41,480 | ||||||||
Ameris Bancorp* | 1,400 | 12,418 | ||||||||
Associated Banc-Corp. | 15,100 | 209,890 | ||||||||
BancFirst Corp. | 1,300 | 50,180 | ||||||||
BancorpSouth, Inc.+ | 6,900 | 85,629 | ||||||||
Banner Corp. | 1,257 | 21,998 | ||||||||
Boston Private Financial Holdings, Inc. | 4,850 | 31,913 | ||||||||
Capital City Bank Group, Inc. | 1,050 | 10,773 | ||||||||
Cascade Bancorp*+ | 100 | 1,010 | ||||||||
CoBiz Financial, Inc. | 1,700 | 11,118 | ||||||||
Dearborn Bancorp, Inc.*+ | 350 | 413 | ||||||||
Enterprise Financial Services Corp. | 550 | 7,442 | ||||||||
First Bancorp | 1,100 | 11,264 | ||||||||
First Busey Corp. | 5,950 | 31,476 | ||||||||
First Citizens BancShares, Inc., Class A | 900 | 168,498 | ||||||||
First Commonwealth Financial Corp. | 5,200 | 29,848 | ||||||||
First Community Bancshares, Inc. | 1,100 | 15,400 | ||||||||
First Financial Bancorp | 4,000 | 66,760 | ||||||||
First Horizon National Corp. | 20,200 | 192,708 | ||||||||
First Interstate Bancsystem, Inc. | 2,900 | 42,746 |
Industry | Company | Shares | Value | |||||||
Commercial Banks (continued) |
| |||||||||
First Merchants Corp. | 1,700 | $ | 15,198 | |||||||
First Midwest Bancorp, Inc. | 5,100 | 62,679 | ||||||||
Great Southern Bancorp, Inc. | 750 | 14,212 | ||||||||
Green Bankshares, Inc.*+ | 350 | 917 | ||||||||
Guaranty Bancorp* | 2,500 | 3,350 | ||||||||
Hanmi Financial Corp.*+ | 11,700 | 12,519 | ||||||||
Heartland Financial USA, Inc. | 950 | 13,822 | ||||||||
International Bancshares Corp. | 5,900 | 98,707 | ||||||||
Intervest Bancshares Corp., Class A* | 1,300 | 3,978 | ||||||||
Lakeland Bancorp, Inc. | 1,900 | 18,962 | ||||||||
Macatawa Bank Corp.*+ | 650 | 1,797 | ||||||||
MainSource Financial Group, Inc. | 1,300 | 10,790 | ||||||||
MB Financial, Inc. | 3,500 | 67,340 | ||||||||
Metro Bancorp, Inc.* | 450 | 5,139 | ||||||||
MetroCorp Bancshares, Inc.* | 450 | 2,925 | ||||||||
Nara Bancorp, Inc.* | 2,950 | 23,984 | ||||||||
NewBridge Bancorp* | 600 | 2,748 | ||||||||
PacWest Bancorp | 2,400 | 49,368 | ||||||||
Peapack-Gladstone Financial Corp.+ | 250 | 2,945 | ||||||||
Peoples Bancorp, Inc. | 350 | 3,944 | ||||||||
Pinnacle Financial Partners, Inc.*+ | 2,650 | 41,234 | ||||||||
Porter Bancorp, Inc. | 400 | 1,992 | ||||||||
PremierWest Bancorp*+ | 300 | 435 | ||||||||
PrivateBancorp, Inc. | 4,900 | 67,620 | ||||||||
Renasant Corp. | 1,700 | 24,633 | ||||||||
Republic Bancorp, Inc., Class A | 1,200 | 23,880 | ||||||||
Savannah Bancorp, Inc. (The)* | 200 | 1,482 | ||||||||
SCBT Financial Corp. | 1,300 | 37,284 | ||||||||
Seacoast Banking Corp. of Florida* | 4,300 | 6,450 | ||||||||
Shore Bancshares, Inc. | 50 | 347 | ||||||||
Sierra Bancorp | 450 | 5,094 | ||||||||
Southwest Bancorp, Inc.* | 1,200 | 11,748 | ||||||||
State Bancorp, Inc. | 550 | 7,337 | ||||||||
StellarOne Corp. | 2,000 | 24,220 | ||||||||
Sun Bancorp, Inc.* | 5,600 | 20,440 | ||||||||
Susquehanna Bancshares, Inc. | 9,700 | 77,600 | ||||||||
Synovus Financial Corp. | 58,700 | 122,096 | ||||||||
TCF Financial Corp.+ | 12,150 | 167,670 | ||||||||
Tennessee Commerce Bancorp, Inc.* | 750 | 1,942 |
www.bridgeway.com | 9 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Commercial Banks (continued) |
| |||||||||
Trico Bancshares | 1,200 | $ | 17,520 | |||||||
Union First Market Bankshares Corp. | 1,900 | 23,142 | ||||||||
United Community Banks, Inc.*+ | 210 | 2,218 | ||||||||
Virginia Commerce Bancorp, Inc.* | 1,000 | 5,910 | ||||||||
Webster Financial Corp. | 6,500 | 136,630 | ||||||||
WesBanco, Inc. | 1,800 | 35,388 | ||||||||
West Bancorporation, Inc. | 1,100 | 9,691 | ||||||||
Western Alliance Bancorp* | 7,300 | 51,830 | ||||||||
Wintrust Financial Corp. | 2,800 | 90,104 | ||||||||
|
| |||||||||
|
2,474,225 |
| ||||||||
Commercial Services & Supplies - 4.80% |
| |||||||||
A.T. Cross Co., Class A* | 550 | 6,264 | ||||||||
ABM Industries, Inc. | 7,100 | 165,714 | ||||||||
American Reprographics Co.* | 2,100 | 14,847 | ||||||||
APAC Customer Services, Inc.* | 2,400 | 12,792 | ||||||||
Brink’s Co. (The) | 11,500 | 343,045 | ||||||||
Casella Waste Systems, Inc., Class A* | 900 | 5,490 | ||||||||
Consolidated Graphics, Inc.* | 950 | 52,203 | ||||||||
Corrections Corp. of America* | 2,300 | 49,795 | ||||||||
Courier Corp. | 550 | 6,078 | ||||||||
Covanta Holding Corp. | 11,900 | 196,231 | ||||||||
Deluxe Corp. | 4,100 | 101,311 | ||||||||
EnergySolutions, Inc. | 5,900 | 29,146 | ||||||||
Ennis, Inc. | 1,600 | 27,840 | ||||||||
G&K Services, Inc., Class A | 1,350 | 45,711 | ||||||||
Guanwei Recycling Corp.* | 200 | 262 | ||||||||
HNI Corp. | 3,500 | 87,920 | ||||||||
Intersections, Inc. | 1,450 | 26,390 | ||||||||
KAR Auction Services, Inc.* | 10,950 | 207,064 | ||||||||
Kimball International, Inc., Class B | 3,300 | 21,219 | ||||||||
M&F Worldwide Corp.* | 1,400 | 36,176 | ||||||||
Multi-Color Corp. | 550 | 13,580 | ||||||||
Perma-Fix Environmental Services, Inc.* | 1,400 | 1,946 | ||||||||
Schawk, Inc. | 1,500 | 24,840 | ||||||||
Standard Parking Corp.* | 650 | 10,380 | ||||||||
Standard Register Co. (The) | 300 | 945 | ||||||||
SYKES Enterprises, Inc.* | 2,850 | 61,361 | ||||||||
Team, Inc.* | 1,250 | 30,162 | ||||||||
UniFirst Corp. | 1,550 | 87,094 |
Industry | Company | Shares | Value | |||||||
Commercial Services & Supplies (continued) |
| |||||||||
United Stationers, Inc. | 3,600 | $ | 127,548 | |||||||
Viad Corp. | 1,200 | 26,748 | ||||||||
|
| |||||||||
|
1,820,102 |
| ||||||||
Communications Equipment - 0.80% |
| |||||||||
Arris Group, Inc.* | 500 | 5,805 | ||||||||
Black Box Corp. | 600 | 18,762 | ||||||||
Brocade Communications Systems, Inc.* | 1,850 | 11,951 | ||||||||
Comtech Telecommuni-cations Corp. | 2,000 | 56,080 | ||||||||
EchoStar Corp., Class A* | 2,150 | 78,325 | ||||||||
EMS Technologies, Inc.* | 1,200 | 39,564 | ||||||||
Technical Communications Corp. | 200 | 1,660 | ||||||||
Tellabs, Inc. | 17,050 | 78,600 | ||||||||
Westell Technologies, Inc., Class A* | 3,200 | 11,424 | ||||||||
Zoom Technologies, Inc.*+ | 150 | 369 | ||||||||
ZST Digital Networks, Inc.*+ | 250 | �� | 628 | |||||||
|
| |||||||||
|
303,168 |
| ||||||||
Computers & Peripherals - 1.43% |
| |||||||||
Concurrent Computer Corp.* | 300 | 1,878 | ||||||||
Datalink Corp.* | 350 | 2,432 | ||||||||
Diebold, Inc. | 4,950 | 153,500 | ||||||||
Hutchinson Technology, Inc.*+ | 300 | 681 | ||||||||
Imation Corp.* | 1,800 | 16,992 | ||||||||
Lexmark International, Inc., Class A* | 5,200 | 152,152 | ||||||||
NCR Corp.* | 10,550 | 199,290 | ||||||||
Presstek, Inc.* | 1,700 | 2,771 | ||||||||
Xyratex, Ltd.*+ | 1,400 | 14,364 | ||||||||
|
| |||||||||
|
544,060 |
| ||||||||
Construction & Engineering - 1.27% |
| |||||||||
Argan, Inc.* | 150 | 1,521 | ||||||||
Dycom Industries, Inc.* | 1,650 | 26,961 | ||||||||
EMCOR Group, Inc.* | 5,200 | 152,412 | ||||||||
Great Lakes Dredge & Dock Corp. | 2,700 | 15,066 | ||||||||
Layne Christensen Co.* | 1,200 | 36,408 | ||||||||
MasTec, Inc.* | 5,500 | 108,460 | ||||||||
Michael Baker Corp.* | 350 | 7,392 | ||||||||
MYR Group, Inc.* | 1,300 | 30,420 | ||||||||
Orion Marine Group, Inc.* | 300 | 2,823 | ||||||||
Pike Electric Corp.* | 1,550 | 13,702 |
10 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Construction & Engineering (continued) |
| |||||||||
Primoris Services Corp. | 3,800 | $ | 49,020 | |||||||
Sterling Construction Co., Inc.* | 50 | 689 | ||||||||
Tutor Perini Corp. | 1,900 | 36,442 | ||||||||
|
| |||||||||
|
481,316 |
| ||||||||
Construction Materials - 0.04% |
| |||||||||
Headwaters, Inc.* | 4,700 | 14,711 | ||||||||
Consumer Finance - 0.73% |
| |||||||||
Advance America, Cash Advance Centers, Inc. | 2,900 | 19,981 | ||||||||
Cash America International, Inc. | 1,900 | 109,953 | ||||||||
CompuCredit Holdings Corp.*+ | 1,650 | 3,828 | ||||||||
First Marblehead Corp. (The)* | 4,650 | 8,230 | ||||||||
Nelnet, Inc., Class A | 2,900 | 63,974 | ||||||||
White River Capital, Inc. | 100 | 1,925 | ||||||||
World Acceptance Corp.* | 1,050 | 68,849 | ||||||||
|
| |||||||||
|
276,740 |
| ||||||||
Containers & Packaging - 3.22% |
| |||||||||
AEP Industries, Inc.* | 200 | 5,838 | ||||||||
Boise, Inc. | 10,600 | 82,574 | ||||||||
Graphic Packaging Holding Co.* | 31,900 | 173,536 | ||||||||
Greif, Inc. Class A | 3,600 | 234,108 | ||||||||
Myers Industries, Inc. | 1,650 | 16,962 | ||||||||
Packaging Corp. of America | 7,600 | 212,724 | ||||||||
Rock-Tenn Co., Class A | 2,550 | 169,167 | ||||||||
Silgan Holdings, Inc. | 2,000 | 81,940 | ||||||||
Temple-Inland, Inc. | 8,100 | 240,894 | ||||||||
UFP Technologies, Inc.* | 200 | 3,784 | ||||||||
|
| |||||||||
|
1,221,527 |
| ||||||||
Distributors - 0.28% |
| |||||||||
Audiovox Corp., Class A* | 800 | 6,048 | ||||||||
Core-Mark Holding Co., Inc* | 850 | 30,345 | ||||||||
Pool Corp. | 2,300 | 68,563 | ||||||||
|
| |||||||||
|
104,956 |
| ||||||||
Diversified Consumer Services - 2.80% |
| |||||||||
Bridgepoint Education, Inc.*+ | 3,400 | 85,000 | ||||||||
Career Education Corp.*+ | 4,900 | 103,635 | ||||||||
Carriage Services, Inc. | 650 | 3,685 | ||||||||
China Education Alliance, Inc.* | 300 | 243 | ||||||||
Coinstar, Inc.*+ | 2,500 | 136,350 |
Industry | Company | Shares | Value | |||||||
Diversified Consumer Services (continued) |
| |||||||||
Corinthian Colleges, Inc.*+ | 950 | $ | 4,047 | |||||||
CPI Corp.+ | 250 | 3,288 | ||||||||
Education Management Corp.*+ | 8,550 | 204,687 | ||||||||
ITT Educational Services, Inc.* | 2,250 | 176,040 | ||||||||
Lincoln Educational Services Corp. | 800 | 13,720 | ||||||||
Mac-Gray Corp. | 1,650 | 25,492 | ||||||||
Regis Corp. | 3,750 | 57,450 | ||||||||
Service Corp. International | 18,000 | 210,240 | ||||||||
Universal Technical Institute, Inc. | 1,900 | 37,563 | ||||||||
|
| |||||||||
|
1,061,440 |
| ||||||||
Diversified Financial Services - 0.39% |
| |||||||||
Asta Funding, Inc. | 350 | 2,936 | ||||||||
Interactive Brokers Group, Inc., Class A | 2,650 | 41,473 | ||||||||
PHH Corp.* | 4,800 | 98,496 | ||||||||
Resource America, Inc., Class A | 700 | 4,109 | ||||||||
|
| |||||||||
|
147,014 |
| ||||||||
Diversified Telecommunication Services - 1.84% |
| |||||||||
Atlantic Tele-Network, Inc. | 4,250 | 163,030 | ||||||||
Cbeyond, Inc.* | 5,050 | 66,812 | ||||||||
Consolidated Communi-cations Holdings, Inc. | 2,300 | 44,712 | ||||||||
General Communication, Inc., Class A* | 3,600 | 43,452 | ||||||||
HickoryTech Corp. | 450 | 5,346 | ||||||||
IDT Corp., Class B | 5,400 | 145,908 | ||||||||
Iridium Communications, Inc.* | 5,200 | 44,980 | ||||||||
PAETEC Holding Corp.* | 28,250 | 135,317 | ||||||||
Premiere Global Services, Inc.* | 4,000 | 31,920 | ||||||||
SureWest Communications | 930 | 15,550 | ||||||||
|
| |||||||||
|
697,027 |
| ||||||||
Electrical Equipment - 0.28% |
| |||||||||
Allied Motion Technologies, Inc.* | 250 | 1,362 | ||||||||
A-Power Energy Generation Systems, Ltd.*D | 500 | 752 | ||||||||
China BAK Battery, Inc.*+ | 2,950 | 2,980 | ||||||||
General Cable Corp.* | 2,000 | 85,160 | ||||||||
New Energy Systems Group* | 550 | 1,226 | ||||||||
Powell Industries, Inc.* | 350 | 12,775 |
www.bridgeway.com | 11 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Electrical Equipment (continued) |
| |||||||||
Ultralife Corp.* | 650 | $ | 3,049 | |||||||
|
| |||||||||
|
107,304 |
| ||||||||
Electronic Equipment, Instruments & Components - 2.69% |
| |||||||||
ADDvantage Technologies Group, Inc.* | 300 | 777 | ||||||||
Anixter International, Inc. | 2,450 | 160,083 | ||||||||
Brightpoint, Inc.* | 5,850 | 47,444 | ||||||||
Celestica, Inc.* | 850 | 7,446 | ||||||||
DDi Corp. | 700 | 6,678 | ||||||||
Gerber Scientific, Inc.* | 900 | 10,017 | ||||||||
GTSI Corp.* | 150 | 805 | ||||||||
IEC Electronics Corp.* | 250 | 1,638 | ||||||||
Insight Enterprises, Inc.* | 2,150 | 38,076 | ||||||||
Iteris, Inc.* | 1,600 | 2,080 | ||||||||
Itron, Inc.* | 2,850 | 137,256 | ||||||||
Kemet Corp.* | 2,400 | 34,296 | ||||||||
LoJack Corp.* | 650 | 2,834 | ||||||||
Multi-Fineline Electronix, Inc.* | 800 | 17,288 | ||||||||
NAM TAI Electronics, Inc. | 150 | 828 | ||||||||
PAR Technology Corp.* | 550 | 2,101 | ||||||||
PC Mall, Inc.* | 450 | 3,501 | ||||||||
Power-One, Inc.*+ | 4,950 | 40,095 | ||||||||
Pulse Electronics, Corp. | 1,900 | 8,398 | ||||||||
RadiSys Corp.* | 800 | 5,832 | ||||||||
RF Monolithics, Inc.* | 300 | 411 | ||||||||
Richardson Electronics, Ltd. | 650 | 8,833 | ||||||||
Sanmina-SCI Corp.* | 7,100 | 73,343 | ||||||||
Smart Modular Technologies (WWH), Inc.* | 4,700 | 43,052 | ||||||||
SMTC Corp.* | 550 | 1,128 | ||||||||
Tech Data Corp.* | 3,100 | 151,559 | ||||||||
TESSCO Technologies, Inc. | 300 | 3,336 | ||||||||
TTM Technologies, Inc.* | 1,500 | 24,030 | ||||||||
Viasystems Group, Inc.* | 700 | 15,743 | ||||||||
Vishay Intertechnology, Inc.* | 11,450 | 172,208 | ||||||||
Wayside Technology Group, Inc. | 100 | 1,356 | ||||||||
|
| |||||||||
|
1,022,472 |
| ||||||||
Energy Equipment & Services - 2.09% |
| |||||||||
Cal Dive International, Inc.* | 4,350 | 26,013 | ||||||||
Energy Services of America Corp.* | 400 | 1,160 | ||||||||
ENGlobal Corp.* | 900 | 2,727 | ||||||||
Exterran Holdings, Inc.* | 4,800 | 95,184 | ||||||||
Geokinetics, Inc.* | 650 | 5,122 | ||||||||
Helix Energy Solutions Group, Inc.* | 7,000 | 115,920 |
Industry | Company | Shares | Value | |||||||
Energy Equipment & Services (continued) |
| |||||||||
Hercules Offshore, Inc.* | 2,950 | $ | 16,254 | |||||||
Hornbeck Offshore Services, Inc.* | 900 | 24,750 | ||||||||
Mitcham Industries, Inc.* | 350 | 6,055 | ||||||||
Newpark Resources, Inc.* | 350 | 3,174 | ||||||||
North American Energy Partners, Inc.* | 450 | 3,447 | ||||||||
Parker Drilling Co.* | 5,400 | 31,590 | ||||||||
PHI, Inc., Non Voting* | 550 | 11,952 | ||||||||
Pioneer Drilling Co.* | 2,500 | 38,100 | ||||||||
SEACOR Holdings, Inc. | 1,500 | 149,940 | ||||||||
Superior Energy Services, Inc.* | 4,800 | 178,272 | ||||||||
Tetra Technologies, Inc.* | 3,500 | 44,555 | ||||||||
TGC Industries, Inc.* | 450 | 2,876 | ||||||||
Union Drilling, Inc.* | 900 | 9,261 | ||||||||
Willbros Group, Inc.* | 3,300 | 28,182 | ||||||||
|
| |||||||||
|
794,534 |
| ||||||||
Food & Staples Retailing - 2.16% |
| |||||||||
Arden Group, Inc., Class A | 20 | 1,840 | ||||||||
BJ’s Wholesale Club, Inc.* | 4,100 | 206,435 | ||||||||
Casey’s General Stores, Inc. | 2,450 | 107,800 | ||||||||
Ingles Markets, Inc., Class A | 1,500 | 24,825 | ||||||||
Nash Finch Co. | 750 | 26,858 | ||||||||
Pantry, Inc. (The)* | 1,600 | 30,064 | ||||||||
Pricesmart, Inc. | 2,200 | 112,706 | ||||||||
Ruddick Corp. | 3,700 | 161,098 | ||||||||
Spartan Stores, Inc. | 1,400 | 27,342 | ||||||||
SUPERVALU, Inc. | 850 | 7,998 | ||||||||
Susser Holdings Corp.* | 850 | 13,362 | ||||||||
Village Super Market, Inc., Class A | 850 | 23,554 | ||||||||
Weis Markets, Inc. | 1,800 | 73,314 | ||||||||
Winn-Dixie Stores, Inc.* | 200 | 1,690 | ||||||||
|
| |||||||||
|
818,886 |
| ||||||||
Food Products - 2.46% |
| |||||||||
B&G Foods, Inc. | 2,400 | 49,488 | ||||||||
Cal-Maine Foods, Inc.+ | 1,400 | 44,744 | ||||||||
Chiquita Brands International, Inc.* | 3,800 | 49,476 | ||||||||
Dean Foods Co.* | 8,500 | 104,295 | ||||||||
Dole Food Co., Inc.*+ | 7,150 | 96,668 | ||||||||
Farmer Bros. Co. | 400 | 4,056 | ||||||||
Feihe International, Inc.*+ | 300 | 2,169 | ||||||||
Flowers Foods, Inc. | 8,025 | 176,871 | ||||||||
Fresh Del Monte Produce, Inc. | 4,100 | 109,347 |
12 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Food Products (continued) |
| |||||||||
Inventure Foods, Inc.* | 650 | $ | 2,594 | |||||||
John B. Sanfilippo & Son, Inc.* | 150 | 1,269 | ||||||||
Omega Protein Corp.* | 650 | 8,970 | ||||||||
Overhill Farms, Inc.* | 550 | 3,052 | ||||||||
Pilgrim’s Pride Corp.*+ | 850 | 4,598 | ||||||||
Sanderson Farms, Inc. | 1,300 | 62,114 | ||||||||
Seneca Foods Corp., Class A* | 750 | 19,185 | ||||||||
Snyders-Lance, Inc. | 1,950 | 42,178 | ||||||||
SunOpta, Inc.* | 250 | 1,778 | ||||||||
TreeHouse Foods, Inc.* | 2,150 | 117,412 | ||||||||
Zhongpin, Inc.*+ | 3,000 | 31,440 | ||||||||
|
| |||||||||
|
931,704 |
| ||||||||
Health Care Equipment & Supplies - 0.39% |
| |||||||||
Angeion Corp.* | 100 | 464 | ||||||||
CryoLife, Inc.* | 300 | 1,680 | ||||||||
Greatbatch, Inc.* | 1,400 | 37,548 | ||||||||
Invacare Corp. | 1,950 | 64,721 | ||||||||
Medical Action Industries, Inc.* | 150 | 1,222 | ||||||||
Synergetics USA, Inc.* | 300 | 1,653 | ||||||||
Teleflex, Inc. | 150 | 9,159 | ||||||||
Theragenics Corp.* | 1,550 | 2,728 | ||||||||
Wright Medical Group, Inc.* | 1,800 | 27,000 | ||||||||
|
| |||||||||
|
146,175 |
| ||||||||
Health Care Providers & Services - 6.89% |
| |||||||||
Alliance HealthCare Services, Inc.* | 2,450 | 9,310 | ||||||||
Allied Healthcare International, Inc.* | 2,000 | 4,980 | ||||||||
Almost Family, Inc.* | 350 | 9,590 | ||||||||
Amedisys, Inc.* | 100 | 2,663 | ||||||||
American Dental Partners, Inc.* | 550 | 7,128 | ||||||||
AMERIGROUP Corp.* | 2,750 | 193,792 | ||||||||
Amsurg Corp.* | 1,900 | 49,647 | ||||||||
BioScrip, Inc.* | 600 | 3,894 | ||||||||
Capital Senior Living Corp.* | 300 | 2,787 | ||||||||
CardioNet, Inc.* | 800 | 4,248 | ||||||||
Centene Corp.* | 3,800 | 135,014 | ||||||||
Community Health Systems, Inc.* | 7,100 | 182,328 | ||||||||
Continucare Corp.* | 1,600 | 9,888 | ||||||||
Cross Country Healthcare, Inc.* | 800 | 6,080 | ||||||||
Ensign Group, Inc. (The) | 1,200 | 36,468 | ||||||||
Five Star Quality Care, Inc.* | 1,650 | 9,586 |
Industry | Company | Shares | Value | |||||||
Health Care Providers & Services (continued) |
| |||||||||
Gentiva Health Services, Inc.* | 2,200 | $ | 45,826 | |||||||
Hanger Orthopedic Group, Inc.* | 850 | 20,800 | ||||||||
Health Management Associates, Inc., Class A* | 20,300 | 218,834 | ||||||||
Health Net, Inc.* | 7,450 | 239,070 | ||||||||
Healthspring, Inc.* | 5,400 | 248,994 | ||||||||
Healthways, Inc.* | 1,600 | 24,288 | ||||||||
InfuSystems Holdings, Inc.* | 700 | 1,498 | ||||||||
Integramed America, Inc.* | 350 | 3,378 | ||||||||
Kindred Healthcare, Inc.* | 1,950 | 41,866 | ||||||||
LHC Group, Inc.* | 650 | 14,989 | ||||||||
LifePoint Hospitals, Inc.* | 3,600 | 140,688 | ||||||||
Magellan Health Services, Inc.* | 2,550 | 139,587 | ||||||||
Medcath Corp.* | 700 | 9,513 | ||||||||
Metropolitan Health Networks, Inc.* | 1,850 | 8,862 | ||||||||
Molina Healthcare, Inc.* | 3,000 | 81,360 | ||||||||
National Healthcare Corp. | 850 | 42,134 | ||||||||
Owens & Minor, Inc. | 4,950 | 170,726 | ||||||||
PDI, Inc.* | 500 | 3,545 | ||||||||
PharMerica Corp.* | 100 | 1,276 | ||||||||
Providence Service Corp. | 450 | 5,692 | ||||||||
PSS World Medical, Inc.* | 3,350 | 93,834 | ||||||||
Select Medical Holdings Corp.* | 10,450 | 92,692 | ||||||||
Skilled Healthcare Group, Inc., Class A* | 1,750 | 16,555 | ||||||||
SRI/Surgical Express, Inc.* | 50 | 212 | ||||||||
Sunrise Senior Living, Inc.* | 2,600 | 24,778 | ||||||||
Triple-S Management Corp., Class B* | 1,800 | 39,114 | ||||||||
U.S. Physical Therapy, Inc. | 350 | 8,656 | ||||||||
Universal American Corp. | 4,500 | 49,275 | ||||||||
WellCare Health Plans, Inc.* | 3,100 | 159,371 | ||||||||
|
| |||||||||
|
2,614,816 |
| ||||||||
Hotels, Restaurants & Leisure - 6.79% |
| |||||||||
Ameristar Casinos, Inc. | 3,800 | 90,098 | ||||||||
Benihana, Inc., Class A* | 550 | 5,770 | ||||||||
Biglari Holdings, Inc.* | 99 | 38,714 | ||||||||
Bluegreen Corp.* | 1,150 | 3,370 | ||||||||
Bob Evans Farms, Inc. | 2,000 | 69,940 | ||||||||
Boyd Gaming Corp.*+ | 5,100 | 44,370 | ||||||||
Brinker International, Inc. | 6,850 | 167,551 | ||||||||
California Pizza Kitchen, Inc.* | 1,600 | 29,552 |
www.bridgeway.com | 13 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||||
Carrols Restaurant Group, Inc.* | 6,100 | $ | 63,684 | |||||||
CEC Entertainment, Inc. | 1,200 | 48,132 | ||||||||
Cheesecake Factory, Inc. (The)* | 3,850 | 120,774 | ||||||||
Cracker Barrel Old Country Store, Inc. | 6,200 | 305,722 | ||||||||
DineEquity, Inc.* | 1,875 | 98,006 | ||||||||
Dover Downs Gaming & Entertainment, Inc. | 800 | 2,560 | ||||||||
Einstein Noah Restaurant Group, Inc. | 2,050 | 30,688 | ||||||||
Famous Dave’s of America, Inc.* | 250 | 2,503 | ||||||||
Full House Resorts, Inc.* | 650 | 2,060 | ||||||||
Granite City Food & Brewery, Ltd.* | 200 | 648 | ||||||||
Great Wolf Resorts, Inc.* | 1,150 | 3,496 | ||||||||
Isle of Capri Casinos, Inc.* | 9,250 | 81,862 | ||||||||
Jack in the Box, Inc.* | 5,550 | 126,429 | ||||||||
Kona Grill, Inc.* | 300 | 1,686 | ||||||||
Luby’s, Inc.* | 1,000 | 5,520 | ||||||||
Marcus Corp. | 8,200 | 81,016 | ||||||||
McCormick & Schmick’s Seafood Restaurants, Inc.* | 550 | 4,724 | ||||||||
Monarch Casino & Resort, Inc.* | 500 | 5,220 | ||||||||
Morton’s Restaurant Group, Inc.* | 550 | 3,982 | ||||||||
MTR Gaming Group, Inc.* | 900 | 2,727 | ||||||||
Multimedia Games Holding Co., Inc.* | 900 | 4,095 | ||||||||
O’Charleys, Inc.* | 700 | 5,117 | ||||||||
Papa John’s International, Inc.* | 1,600 | 53,216 | ||||||||
Penn National Gaming, Inc.* | 5,850 | 235,989 | ||||||||
PF Chang’s China Bistro, Inc.+ | 2,400 | 96,576 | ||||||||
Pinnacle Entertainment, Inc.* | 4,650 | 69,285 | ||||||||
Red Lion Hotels Corp.* | 650 | 5,135 | ||||||||
Red Robin Gourmet Burgers, Inc.* | 1,150 | 41,837 | ||||||||
Ruby Tuesday, Inc.* | 17,500 | 188,650 | ||||||||
Ruth’s Hospitality Group, Inc.* | 1,650 | 9,256 | ||||||||
Scientific Games Corp., Class A* | 8,350 | 86,339 | ||||||||
Sonic Corp.* | 2,850 | 30,296 | ||||||||
Speedway Motorsports, Inc. | 1,950 | 27,651 | ||||||||
Universal Travel Group*D+ | 700 | 2,246 |
Industry | Company | Shares | Value | |||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||||
Vail Resorts, Inc. | 2,500 | $ | 115,550 | |||||||
Wendy’s/Arby’s Group, Inc., Class A | 32,250 | 163,508 | ||||||||
|
| |||||||||
|
2,575,550 |
| ||||||||
Household Durables - 0.80% |
| |||||||||
American Greetings Corp., Class A | 7,750 | 186,310 | ||||||||
Bassett Furniture Industries, Inc. | 400 | 3,152 | ||||||||
Beazer Homes USA, Inc.* | 1,900 | 6,441 | ||||||||
Blyth, Inc. | 250 | 12,587 | ||||||||
Brookfield Residential Properties, Inc.* | 764 | 7,579 | ||||||||
Comstock Homebuilding Cos., Inc., Class A* | 700 | 798 | ||||||||
CSS Industries, Inc. | 350 | 7,326 | ||||||||
Emerson Radio Corp.* | 700 | 1,442 | ||||||||
Flexsteel Industries, Inc. | 150 | 2,182 | ||||||||
Furniture Brands International, Inc.* | 1,400 | 5,796 | ||||||||
Kid Brands, Inc.* | 700 | 3,612 | ||||||||
La-Z-Boy, Inc.* | 1,300 | 12,831 | ||||||||
Libbey, Inc.* | 700 | 11,354 | ||||||||
Lifetime Brands, Inc. | 450 | 5,283 | ||||||||
Meritage Homes Corp.* | 850 | 19,176 | ||||||||
NIVS IntelliMedia Technology Group, Inc.*+ | 500 | 175 | ||||||||
Ryland Group, Inc. (The) | 150 | 2,480 | ||||||||
Universal Electronics, Inc.* | 600 | 15,156 | ||||||||
|
| |||||||||
|
303,680 |
| ||||||||
Household Products - 0.13% |
| |||||||||
Central Garden & Pet Co., Class A* | 4,100 | 41,615 | ||||||||
Oil-Dri Corp. of America | 250 | 5,355 | ||||||||
Orchids Paper Products Co. | 50 | 632 | ||||||||
|
| |||||||||
|
47,602 |
| ||||||||
Industrial Conglomerates - 0.62% |
| |||||||||
Seaboard Corp. | 76 | 183,768 | ||||||||
Tredegar Corp. | 2,800 | 51,380 | ||||||||
|
| |||||||||
|
235,148 |
| ||||||||
Insurance - 7.77% |
| |||||||||
Allied World Assurance Co. Holdings, Ltd. | 3,050 | 175,619 | ||||||||
Alterra Capital Holdings, Ltd. | 8,300 | 185,090 |
14 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Insurance (continued) |
| |||||||||
American Equity Investment Life Holding Co. | 4,250 | $ | 54,018 | |||||||
American National Insurance Co. | 2,100 | 162,750 | ||||||||
American Safety Insurance Holdings, Ltd.* | 350 | 6,699 | ||||||||
Argo Group International Holdings, Ltd. | 800 | 23,776 | ||||||||
Aspen Insurance Holdings, Ltd. | 5,450 | 140,228 | ||||||||
Baldwin & Lyons, Inc., Class B | 850 | 19,694 | ||||||||
Citizens, Inc.* | 3,900 | 26,598 | ||||||||
CNO Financial Group, Inc.* | 18,600 | 147,126 | ||||||||
Crawford & Co., Class B | 2,100 | 14,847 | ||||||||
Delphi Financial Group, Inc., Class A | 4,000 | 116,840 | ||||||||
EMC Insurance Group, Inc. | 1,050 | 20,055 | ||||||||
Endurance Specialty Holdings, Ltd. | 3,100 | 128,123 | ||||||||
FBL Financial Group, Inc., Class A | 2,500 | 80,375 | ||||||||
Flagstone Reinsurance Holdings SA | 5,100 | 42,993 | ||||||||
Hallmark Financial Services, Inc.* | 700 | 5,509 | ||||||||
Hanover Insurance Group, Inc. (The) | 4,000 | 150,840 | ||||||||
Harleysville Group, Inc. | 2,100 | 65,457 | ||||||||
Horace Mann Educators Corp. | 2,950 | 46,050 | ||||||||
Infinity Property & Casualty Corp. | 1,000 | 54,660 | ||||||||
Maiden Holdings, Ltd. | 5,550 | 50,505 | ||||||||
Meadowbrook Insurance Group, Inc. | 3,950 | 39,144 | ||||||||
Montpelier Re Holdings, Ltd. | 4,450 | 80,100 | ||||||||
National Financial Partners Corp.* | 3,100 | 35,774 | ||||||||
National Interstate Corp. | 1,200 | 27,480 | ||||||||
National Western Life Insurance Co., Class A | 325 | 51,828 | ||||||||
Navigators Group, Inc. (The)* | 1,250 | 58,750 | ||||||||
Protective Life Corp. | 6,450 | 149,188 | ||||||||
SeaBright Holdings, Inc. | 800 | 7,920 | ||||||||
Selective Insurance Group, Inc. | 4,400 | 71,588 | ||||||||
StanCorp Financial Group, Inc. | 3,500 | 147,665 | ||||||||
State Auto Financial Corp. | 2,850 | 49,676 |
Industry | Company | Shares | Value | |||||||
Insurance (continued) |
| |||||||||
Stewart Information Services Corp. | 1,450 | $ | 14,543 | |||||||
Symetra Financial Corp. | 8,850 | 118,856 | ||||||||
Tower Group, Inc. | 3,450 | 82,179 | ||||||||
Transatlantic Holdings, Inc. | 5,100 | 249,951 | ||||||||
United Fire & Casualty Co. | 2,200 | 38,214 | ||||||||
Universal Insurance Holdings, Inc. | 1,800 | 8,406 | ||||||||
|
| |||||||||
|
2,949,114 |
| ||||||||
Internet & Catalog Retail - 0.35% |
| |||||||||
1-800-Flowers.com, Inc., Class A* | 2,950 | 9,145 | ||||||||
HSN, Inc.* | 2,700 | 88,884 | ||||||||
NutriSystem, Inc.+ | 900 | 12,654 | ||||||||
Orbitz Worldwide, Inc.* | 4,750 | 11,827 | ||||||||
Overstock.com, Inc.* | 800 | 12,176 | ||||||||
|
| |||||||||
|
134,686 |
| ||||||||
Internet Software & Services - 0.73% |
| |||||||||
AOL, Inc.* | 7,050 | 140,013 | ||||||||
EarthLink, Inc. | 9,300 | 71,564 | ||||||||
EasyLink Services International Corp., Class A* | 1,000 | 5,840 | ||||||||
Infospace, Inc.* | 1,650 | 15,048 | ||||||||
Internap Network Services Corp.* | 600 | 4,410 | ||||||||
Inuvo, Inc.* | 200 | 420 | ||||||||
Local.com Corp.*+ | 600 | 2,004 | ||||||||
Looksmart, Ltd.* | 600 | 906 | ||||||||
ModusLink Global Solutions, Inc. | 150 | 672 | ||||||||
United Online, Inc. | 6,300 | 37,989 | ||||||||
|
| |||||||||
|
278,866 |
| ||||||||
IT Services - 3.86% |
| |||||||||
Acxiom Corp.* | 5,700 | 74,727 | ||||||||
Broadridge Financial Solutions, Inc. | 10,800 | 259,956 | ||||||||
CACI International, Inc., Class A* | 2,200 | 138,776 | ||||||||
Cardtronics, Inc.* | 1,100 | 25,795 | ||||||||
Ciber, Inc.* | 4,800 | 26,640 | ||||||||
Convergys Corp.* | 7,650 | 104,346 | ||||||||
CSG Systems International, Inc.* | 1,600 | 29,568 | ||||||||
DST Systems, Inc. | 3,050 | 161,040 | ||||||||
Dynamics Research Corp.* | 350 | 4,774 | ||||||||
Euronet Worldwide, Inc.* | 2,350 | 36,214 |
www.bridgeway.com | 15 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
IT Services (continued) |
| |||||||||
Global Cash Access Holdings, Inc.* | 750 | $ | 2,385 | |||||||
Hackett Group, Inc. (The)* | 2,800 | 14,252 | ||||||||
Heartland Payment Systems, Inc. | 1,600 | 32,960 | ||||||||
Information Services Group, Inc.* | 350 | 620 | ||||||||
Integral Systems, Inc.* | 50 | 608 | ||||||||
Lender Processing Services, Inc. | 6,500 | 135,915 | ||||||||
Lionbridge Technologies, Inc.* | 2,750 | 8,745 | ||||||||
Mantech International Corp., Class A | 2,450 | 108,829 | ||||||||
NCI, Inc., Class A* | 1,000 | 22,720 | ||||||||
Ness Technologies, Inc.* | 950 | 7,191 | ||||||||
Online Resources Corp.* | 1,100 | 3,586 | ||||||||
PFSweb, Inc.* | 450 | 2,065 | ||||||||
PRGX Global, Inc.* | 800 | 5,720 | ||||||||
SRA International, Inc., Class A* | 4,350 | 134,502 | ||||||||
StarTek, Inc.* | 550 | 1,898 | ||||||||
TeleTech Holdings, Inc.* | 4,150 | 87,482 | ||||||||
Tier Technologies, Inc.* | 600 | 3,000 | ||||||||
TNS, Inc.* | 1,900 | 31,540 | ||||||||
|
| |||||||||
|
1,465,854 |
| ||||||||
Leisure Equipment & Products - 0.67% |
| |||||||||
Arctic Cat, Inc.* | 450 | 6,044 | ||||||||
Callaway Gulf Co. | 250 | 1,555 | ||||||||
Escalade, Inc. | 300 | 1,812 | ||||||||
Jakks Pacific, Inc.* | 1,300 | 23,933 | ||||||||
Johnson Outdoors, Inc., Class A* | 350 | 5,992 | ||||||||
Polaris Industries, Inc.+ | 1,700 | 188,989 | ||||||||
Smith & Wesson Holding Corp.* | 1,550 | 4,650 | ||||||||
Steinway Musical Instruments, Inc.* | 450 | 11,560 | ||||||||
Sturm Ruger & Co., Inc. | 450 | 9,877 | ||||||||
|
| |||||||||
|
254,412 |
| ||||||||
Life Sciences Tools & Services - 0.14% |
| |||||||||
Affymetrix, Inc.* | 5,800 | 45,994 | ||||||||
Bioanalytical Systems, Inc.*+ | 100 | 197 | ||||||||
Cambrex Corp.* | 1,000 | 4,620 | ||||||||
Harvard Bioscience, Inc.* | 700 | 3,731 | ||||||||
|
| |||||||||
|
54,542 |
| ||||||||
Machinery - 2.39% |
| |||||||||
Alamo Group, Inc. | 550 | 13,035 |
Industry | Company | Shares | Value | |||||||
Machinery (continued) |
| |||||||||
Albany International Corp., Class A | 1,900 | $ | 50,141 | |||||||
Ampco-Pittsburgh Corp. | 300 | 7,035 | ||||||||
Briggs & Stratton Corp. | 3,750 | 74,475 | ||||||||
Cleantech Solutions International, Inc.*+ | 250 | 222 | ||||||||
Federal Signal Corp. | 2,900 | 19,024 | ||||||||
Greenbrier Cos., Inc.* | 100 | 1,976 | ||||||||
Hardinge, Inc. | 400 | 4,364 | ||||||||
Harsco Corp. | 6,300 | 205,380 | ||||||||
Hurco Cos., Inc.* | 200 | 6,442 | ||||||||
John Bean Technologies Corp. | 1,820 | 35,162 | ||||||||
Key Technology, Inc.* | 300 | 4,851 | ||||||||
L.S. Starrett Co., Class A | 350 | 3,588 | ||||||||
LB Foster Co., Class A | 450 | 14,810 | ||||||||
Lydall, Inc.* | 550 | 6,578 | ||||||||
Manitowoc Co., Inc. (The) | 8,400 | 141,456 | ||||||||
MFRI, Inc.* | 200 | 1,598 | ||||||||
Miller Industries, Inc. | 150 | 2,804 | ||||||||
Mueller Water Products, Inc., Class A | 7,200 | 28,656 | ||||||||
NACCO Industries, Inc., Class A | 450 | 43,569 | ||||||||
NN, Inc.* | 650 | 9,724 | ||||||||
Oshkosh Corp.* | 1,400 | 40,516 | ||||||||
Sauer-Danfoss, Inc.* | 2,950 | 148,650 | ||||||||
TriMas Corp.* | 1,600 | 39,600 | ||||||||
WSI Industries, Inc. | 100 | 609 | ||||||||
Xerium Technologies, Inc.*+ | 50 | 927 | ||||||||
|
| |||||||||
|
905,192 |
| ||||||||
Marine - 0.13% |
| |||||||||
Danaos Corp.* | 1,250 | 6,875 | ||||||||
Eagle Bulk Shipping, Inc.*+ | 1,650 | 4,092 | ||||||||
Excel Maritime Carriers, Ltd.*+ | 3,900 | 12,090 | ||||||||
Genco Shipping & Trading, Ltd.*+ | 450 | 3,384 | ||||||||
Global Ship Lease, Inc., Class A* | 200 | 1,066 | ||||||||
Horizon Lines, Inc., Class A+ | 1,400 | 1,694 | ||||||||
International Shipholding Corp. | 350 | 7,448 | ||||||||
Navios Maritime Holdings, Inc.+ | 400 | 2,060 | ||||||||
Paragon Shipping, Inc., Class A+ | 600 | 1,218 | ||||||||
Rand Logistics, Inc.* | 300 | 2,202 | ||||||||
Star Bulk Carriers Corp. | 650 | 1,345 |
16 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Marine (continued) |
| |||||||||
Ultrapetrol Bahamas, Ltd.*+ | 1,400 | $ | 6,916 | |||||||
|
| |||||||||
|
50,390 |
| ||||||||
Media - 2.25% |
| |||||||||
A.H. Belo Corp., Class A | 700 | 5,208 | ||||||||
Belo Corp., Class A* | 4,750 | 35,768 | ||||||||
Carmike Cinemas, Inc.* | 450 | 3,110 | ||||||||
ChinaNet Online Holdings, Inc.*+ | 600 | 876 | ||||||||
Cinemark Holdings, Inc. | 9,350 | 193,638 | ||||||||
Dex One Corp.* | 600 | 1,518 | ||||||||
E.W. Scripps Co., Class A (The)* | 2,700 | 26,109 | ||||||||
Entercom Communications Corp., Class A* | 1,750 | 15,190 | ||||||||
Entravision Communications Corp., Class A* | 3,950 | 7,308 | ||||||||
Fisher Communications, Inc.* | 50 | 1,491 | ||||||||
Gray Television, Inc.* | 2,650 | 6,996 | ||||||||
Harris Interactive, Inc.* | 600 | 510 | ||||||||
Harte-Hanks, Inc. | 2,950 | 23,954 | ||||||||
John Wiley & Sons, Inc., Class A | 2,800 | 145,628 | ||||||||
Journal Communications, Inc., Class A* | 2,550 | 13,183 | ||||||||
Lee Enterprises, Inc.*+ | 4,050 | 3,604 | ||||||||
McClatchy Co., Class A (The)*+ | 3,950 | 11,099 | ||||||||
Media General, Inc., Class A* | 800 | 3,056 | ||||||||
Meredith Corp.+ | 3,000 | 93,390 | ||||||||
Navarre Corp.* | 1,700 | 3,349 | ||||||||
New York Times Co., Class A (The)* | 7,350 | 64,092 | ||||||||
Radio One, Inc., Class D* | 2,550 | 4,514 | ||||||||
Reading International, Inc., Class A* | 800 | 3,640 | ||||||||
Scholastic Corp. | 2,400 | 63,840 | ||||||||
Valassis Communications, Inc.* | 4,000 | 121,200 | ||||||||
|
| |||||||||
|
852,271 |
| ||||||||
Metals & Mining - 0.29% |
| |||||||||
A.M. Castle & Co.* | 800 | 13,288 | ||||||||
China Gerui Advanced Materials Group, Ltd.* | 500 | 1,910 | ||||||||
Noranda Aluminum Holding Corp.* | 5,900 | 89,326 | ||||||||
Puda Coal, Inc.*D+ | 1,400 | 6,300 |
Industry | Company | Shares | Value | |||||||
Metals & Mining (continued) |
| |||||||||
Sutor Technology Group, Ltd.*+ | 450 | $ | 567 | |||||||
|
| |||||||||
|
111,391 |
| ||||||||
Multiline Retail - 1.22% |
| |||||||||
Big Lots, Inc.* | 2,900 | 96,135 | ||||||||
Bon-Ton Stores, Inc. (The)+ | 650 | 6,318 | ||||||||
Dillard’s, Inc., Class A | 4,750 | 247,665 | ||||||||
Duckwall-ALCO Stores, Inc.* | 200 | 2,120 | ||||||||
Fred’s, Inc., Class A | 1,800 | 25,974 | ||||||||
Saks, Inc.* | 7,450 | 83,217 | ||||||||
Tuesday Morning Corp.* | 450 | 2,092 | ||||||||
|
| |||||||||
|
463,521 |
| ||||||||
Oil, Gas & Consumable Fuels - 3.57% |
| |||||||||
Adams Resources & Energy, Inc. | 300 | 7,650 | ||||||||
Barnwell Industries, Inc.* | 300 | 1,545 | ||||||||
BioFuel Energy Corp.* | 350 | 144 | ||||||||
BMB Munai, Inc.*+ | 2,600 | 2,600 | ||||||||
Callon Petroleum Co.* | 1,750 | 12,285 | ||||||||
China North East Petroleum Holdings, Ltd.*+ | 300 | 975 | ||||||||
Cloud Peak Energy, Inc.* | 5,400 | 115,020 | ||||||||
Crimson Exploration, Inc.* | 2,000 | 7,100 | ||||||||
Crosstex Energy, Inc. | 2,200 | 26,180 | ||||||||
CVR Energy, Inc.* | 6,750 | 166,185 | ||||||||
Delek US Holdings, Inc. | 2,500 | 39,250 | ||||||||
Double Eagle Petroleum Co.* | 250 | 2,185 | ||||||||
Equal Energy, Ltd.* | 300 | 2,007 | ||||||||
Frontline, Ltd.+ | 4,500 | 66,330 | ||||||||
GeoMet, Inc.* | 1,850 | 2,183 | ||||||||
GMX Resources, Inc.*+ | 400 | 1,780 | ||||||||
Green Plains Renewable Energy, Inc.*+ | 950 | 10,250 | ||||||||
Holly Corp. | 3,400 | 235,960 | ||||||||
James River Coal Co.*+ | 1,300 | 27,066 | ||||||||
L&L Energy, Inc.*+ | 1,100 | 5,643 | ||||||||
Penn Virginia Corp. | 500 | 6,605 | ||||||||
PrimeEnergy Corp.* | 200 | 4,682 | ||||||||
RAM Energy Resources, Inc.*+ | 3,650 | 4,563 | ||||||||
REX American Resources Corp.* | 350 | 5,810 | ||||||||
SemGroup Corp., Class A* | 3,000 | 77,010 | ||||||||
SMF Energy Corp.* | 300 | 417 | ||||||||
StealthGas, Inc.* | 200 | 854 |
www.bridgeway.com | 17 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Oil, Gas & Consumable Fuels (continued) |
| |||||||||
Stone Energy Corp.* | 2,250 | $ | 68,378 | |||||||
Teekay Corp. | 4,300 | 132,784 | ||||||||
Tsakos Energy Navigation, Ltd. | 500 | 5,000 | ||||||||
USEC, Inc.*+ | 2,950 | 9,853 | ||||||||
W&T Offshore, Inc. | 5,300 | 138,436 | ||||||||
Western Refining, Inc.*+ | 9,200 | 166,244 | ||||||||
|
| |||||||||
|
1,352,974 |
| ||||||||
Paper & Forest Products - 0.59% |
| |||||||||
Buckeye Technologies, Inc. | 1,800 | 48,564 | ||||||||
Clearwater Paper Corp.* | 750 | 51,210 | ||||||||
KapStone Paper & Packaging Corp.* | 2,150 | 35,626 | ||||||||
Mercer International, Inc.* | 2,050 | 20,664 | ||||||||
Neenah Paper, Inc. | 550 | 11,704 | ||||||||
Orient Paper, Inc.*+ | 450 | 1,570 | ||||||||
PH Glatfelter Co. | 2,100 | 32,298 | ||||||||
Verso Paper Corp.* | 2,450 | 6,566 | ||||||||
Wausau Paper Corp. | 2,250 | 15,165 | ||||||||
|
| |||||||||
|
223,367 |
| ||||||||
Personal Products - 0.74% |
| |||||||||
China Sky One Medical, Inc.*+ | 150 | 327 | ||||||||
Elizabeth Arden, Inc.* | 1,700 | 49,351 | ||||||||
Inter Parfums, Inc. | 1,400 | 32,242 | ||||||||
Natural Alternatives International, Inc.* | 50 | 241 | ||||||||
Nu Skin Enterprises, Inc., Class A | 4,300 | 161,465 | ||||||||
Nutraceutical International Corp.* | 350 | 5,383 | ||||||||
Parlux Fragrances, Inc.* | 700 | 2,247 | ||||||||
Physicians Formula Holdings, Inc.* | 350 | 1,400 | ||||||||
USANA Health Sciences, Inc.* | 900 | 28,152 | ||||||||
|
| |||||||||
|
280,808 |
| ||||||||
Pharmaceuticals - 0.41% |
| |||||||||
Biostar Pharmaceuticals, Inc.* | 700 | 763 | ||||||||
China Shenghuo Pharmaceutical Holdings, Inc.* | 700 | 420 | ||||||||
Cornerstone Therapeutics, Inc.* | 900 | 8,064 | ||||||||
Impax Laboratories, Inc.* | 4,150 | 90,428 | ||||||||
Jiangbo Pharmaceuticals, Inc.*D | 150 | 416 |
Industry | Company | Shares | Value | |||||||
Pharmaceuticals (continued) |
| |||||||||
Par Pharmaceutical Cos., Inc.* | 1,700 | $ | 56,066 | |||||||
Tianyin Pharmaceutical Co., Inc.* | 300 | 435 | ||||||||
|
| |||||||||
|
156,592 |
| ||||||||
Professional Services - 1.44% |
| |||||||||
Barrett Business Services, Inc. | 300 | 4,296 | ||||||||
CBIZ, Inc.*+ | 2,300 | 16,928 | ||||||||
Dolan Co. (The)* | 1,400 | 11,858 | ||||||||
FTI Consulting, Inc.*+ | 3,400 | 128,996 | ||||||||
GP Strategies Corp.* | 650 | 8,879 | ||||||||
Heidrick & Struggles International, Inc. | 1,050 | 23,772 | ||||||||
Huron Consulting Group, Inc.* | 1,700 | 51,357 | ||||||||
ICF International, Inc.* | 1,200 | 30,456 | ||||||||
Insperity, Inc. | 1,600 | 47,376 | ||||||||
Kelly Services, Inc., Class A* | 2,800 | 46,200 | ||||||||
Kforce, Inc.* | 2,900 | 37,932 | ||||||||
National Technical Systems, Inc. | 150 | 1,024 | ||||||||
Navigant Consulting, Inc.* | 2,300 | 24,127 | ||||||||
On Assignment, Inc.* | 2,800 | 27,524 | ||||||||
RCM Technologies, Inc.* | 400 | 2,140 | ||||||||
School Specialty, Inc.* | 50 | 720 | ||||||||
SFN Group, Inc.* | 3,800 | 34,542 | ||||||||
TrueBlue, Inc.* | 3,400 | 49,232 | ||||||||
VSE Corp. | 30 | 747 | ||||||||
|
| |||||||||
|
548,106 |
| ||||||||
Real Estate Management & Development - 0.01% |
| |||||||||
China Housing & Land | ||||||||||
Development, Inc.*+ | 350 | 490 | ||||||||
FirstService Corp.* | 100 | 3,454 | ||||||||
|
| |||||||||
|
3,944 |
| ||||||||
Road & Rail - 2.64% |
| |||||||||
Amerco, Inc.* | 1,600 | 153,840 | ||||||||
Arkansas Best Corp. | 2,000 | 47,460 | ||||||||
Avis Budget Group, Inc.* | 7,700 | 131,593 | ||||||||
Celadon Group, Inc.* | 800 | 11,168 | ||||||||
Con-way, Inc. | 4,100 | 159,121 | ||||||||
Covenant Transportation Group, Inc., Class A* | 550 | 4,262 | ||||||||
Frozen Food Express Industries, Inc.* | 650 | 2,320 | ||||||||
Marten Transport, Ltd. | 1,300 | 28,080 |
18 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||
Common Stocks (continued) |
| |||||||||
Road & Rail (continued) |
| |||||||||
P.A.M. Transportation Services, Inc.* | 250 | $ | 2,468 | |||||||
RailAmerica, Inc.* | 4,600 | 69,000 | ||||||||
Ryder System, Inc. | 4,200 | 238,770 | ||||||||
Saia, Inc.* | 650 | 11,018 | ||||||||
USA Truck, Inc.* | 450 | 5,085 | ||||||||
Vitran Corp., Inc.* | 50 | 635 | ||||||||
Werner Enterprises, Inc. | 5,400 | 135,270 | ||||||||
|
| |||||||||
|
1,000,090 |
| ||||||||
Semiconductors & Semiconductor Equipment - 2.06% |
| |||||||||
Amkor Technology, Inc.*+ | 15,400 | 95,018 | ||||||||
Amtech Systems, Inc.* | 500 | 10,320 | ||||||||
DSP Group, Inc.* | 2,100 | 18,270 | ||||||||
Fairchild Semiconductor International, Inc.* | 9,550 | 159,580 | ||||||||
GT Solar International, Inc.*+ | 9,300 | 150,660 | ||||||||
inTEST Corp.* | 150 | 500 | ||||||||
Kulicke & Soffa Industries, Inc.* | 6,300 | 70,182 | ||||||||
LTX-Credence Corp.* | 3,400 | 30,396 | ||||||||
MEMC Electronic Materials, Inc.* | 3,500 | 29,855 | ||||||||
Mindspeed Technologies, Inc.*+ | 850 | 6,800 | ||||||||
Photronics, Inc.* | 4,200 | 35,574 | ||||||||
Pixelworks, Inc.* | 450 | 1,102 | ||||||||
Ramtron International Corp.* | 900 | 2,682 | ||||||||
Sigma Designs, Inc.* | 2,700 | 20,628 | ||||||||
SunPower Corp., Class A*+ | 408 | 7,887 | ||||||||
Teradyne, Inc.* | 9,500 | 140,600 | ||||||||
|
| |||||||||
|
780,054 |
| ||||||||
Software - 0.14% |
| |||||||||
CDC Corp., Class A* | 350 | 731 | ||||||||
Cinedigm Digital Cinema Corp., Class A* | 2,200 | 3,718 | ||||||||
GSE Systems, Inc.* | 250 | 540 | ||||||||
QAD, Inc., Class B | 150 | 1,395 | ||||||||
Rosetta Stone, Inc.*+ | 700 | 11,298 | ||||||||
Take-Two Interactive Software, Inc.* | 2,150 | 32,852 | ||||||||
TeleCommunication Systems, Inc., Class A* | 600 | 2,898 | ||||||||
|
| |||||||||
|
53,432 |
| ||||||||
Specialty Retail - 5.97% |
| |||||||||
A.C. Moore Arts & Crafts, Inc.* | 900 | 2,250 |
Industry | Company | Shares | Value | |||||||
Specialty Retail (continued) |
| |||||||||
Aeropostale, Inc.* | 6,750 | $ | 118,125 | |||||||
American Eagle Outfitters, Inc. | 14,600 | 186,150 | ||||||||
ANN, Inc.* | 4,300 | 112,230 | ||||||||
Ascena Retail Group, Inc.* | 5,150 | 175,358 | ||||||||
Barnes & Noble, Inc. | 2,800 | 46,424 | ||||||||
Big 5 Sporting Goods Corp. | 700 | 5,502 | ||||||||
Books-A-Million, Inc.+ | 550 | 1,908 | ||||||||
Brown Shoe Co., Inc. | 1,150 | 12,248 | ||||||||
Build-A-Bear-Workshop, Inc.* | 700 | 4,557 | ||||||||
Cabela’s, Inc.* | 5,250 | 142,538 | ||||||||
Casual Male Retail Group, Inc.* | 2,200 | 9,130 | ||||||||
Cato Corp., Class A (The) | 1,000 | 28,800 | ||||||||
Childrens Place Retail Stores, Inc. (The)* | 1,700 | 75,633 | ||||||||
Christopher & Banks Corp. | 1,650 | 9,488 | ||||||||
Citi Trends, Inc.* | 50 | 754 | ||||||||
Collective Brands, Inc.* | 4,400 | 64,636 | ||||||||
Conn’s, Inc.*+ | 1,100 | 9,515 | ||||||||
Destination Maternity Corp. | 400 | 7,992 | ||||||||
Express, Inc. | 350 | 7,630 | ||||||||
Finish Line, Inc., Class A (The) | 2,450 | 52,430 | ||||||||
Foot Locker, Inc. | 9,500 | 225,720 | ||||||||
Genesco, Inc.* | 1,800 | 93,780 | ||||||||
Hastings Entertainment, Inc.* | 250 | 1,025 | ||||||||
Haverty Furniture Cos., Inc. | 700 | 8,057 | ||||||||
hhgregg, Inc.*+ | 1,850 | 24,790 | ||||||||
Hot Topic, Inc. | 2,050 | 15,252 | ||||||||
Kirkland’s, Inc.* | 700 | 8,414 | ||||||||
MarineMax, Inc.* | 800 | 7,008 | ||||||||
Men’s Wearhouse, Inc. (The) | 2,450 | 82,565 | ||||||||
Midas, Inc.* | 450 | 2,844 | ||||||||
Office Depot, Inc.* | 12,800 | 54,016 | ||||||||
OfficeMax, Inc.* | 3,950 | 31,008 | ||||||||
Pacific Sunwear of California, Inc.* | 3,050 | 7,960 | ||||||||
Penske Automotive Group, Inc. | 6,950 | 158,043 | ||||||||
Pep Boys-Manny, Moe & Jack (The) | 2,450 | 26,778 | ||||||||
Pier 1 Imports, Inc.* | 5,450 | 63,056 | ||||||||
RadioShack Corp. | 2,950 | 39,264 | ||||||||
Rent-A-Center, Inc. | 4,250 | 129,880 | ||||||||
Select Comfort Corp.* | 2,550 | 45,849 | ||||||||
Shoe Carnival, Inc.* | 450 | 13,568 |
www.bridgeway.com | 19 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
Showing percentage of net assets as of June 30, 2011 |
Industry | Company | Shares | Value | |||||||||
Common Stocks (continued) |
| |||||||||||
Specialty Retail (continued) |
| |||||||||||
Sonic Automotive, Inc., Class A+ | 4,050 | $ | 59,332 | |||||||||
Stage Stores, Inc. | 1,700 | 28,560 | ||||||||||
Stein Mart, Inc. | 2,000 | 19,280 | ||||||||||
Talbots, Inc.*+ | 1,800 | 6,012 | ||||||||||
TravelCenters of America LLC* | 650 | 3,542 | ||||||||||
West Marine, Inc.* | 800 | 8,296 | ||||||||||
Wet Seal, Inc., Class A (The)* | 4,650 | 20,786 | ||||||||||
Zale Corp.* | 1,500 | 8,400 | ||||||||||
|
| |||||||||||
|
2,266,383 |
| ||||||||||
Textiles, Apparel & Luxury Goods - 0.98% |
| |||||||||||
American Apparel, Inc.*+ | 1,800 | 1,602 | ||||||||||
Culp, Inc.* | 150 | 1,408 | ||||||||||
Delta Apparel, Inc.* | 250 | 4,250 | ||||||||||
Hanesbrands, Inc.* | 2,500 | 71,375 | ||||||||||
Jones Group, Inc. (The) | 12,400 | 134,540 | ||||||||||
Kenneth Cole Productions, Inc., Class A* | 650 | 8,119 | ||||||||||
LaCrosse Footwear, Inc. | 150 | 2,166 | ||||||||||
Lakeland Industries, Inc.* | 200 | 1,752 | ||||||||||
Liz Claiborne, Inc.*+ | 2,450 | 13,108 | ||||||||||
Movado Group, Inc. | 800 | 13,688 | ||||||||||
Oxford Industries, Inc. | 550 | 18,568 | ||||||||||
Perry Ellis International, Inc.* | 450 | 11,362 | ||||||||||
Quiksilver, Inc.* | 17,600 | 82,720 | ||||||||||
R.G. Barry Corp. | 400 | 4,512 | ||||||||||
Rocky Brands, Inc.* | 250 | 3,085 | ||||||||||
|
| |||||||||||
|
372,255 |
| ||||||||||
Thrifts & Mortgage Finance - 0.54% |
| |||||||||||
Astoria Financial Corp. | 8,100 | 103,599 | ||||||||||
BankAtlantic Bancorp, Inc., Class A* | 2,950 | 2,802 | ||||||||||
Beacon Federal Bancorp, Inc. | 200 | 2,764 | ||||||||||
First Defiance Financial Corp.* | 750 | 11,018 | ||||||||||
First Federal Bancshares of Arkansas, Inc.*+ | 40 | 259 | ||||||||||
First Financial Holdings, Inc. | 550 | 4,934 | ||||||||||
First Financial Northwest, Inc.* | 200 | 1,014 | ||||||||||
First Pactrust Bancorp, Inc. | 100 | 1,486 | ||||||||||
Flushing Financial Corp. | 2,700 | 35,100 | ||||||||||
Meta Financial Group, Inc. | 100 | 1,905 | ||||||||||
Provident Financial Holdings, Inc. | 400 | 3,172 | ||||||||||
Radian Group, Inc. | 7,900 | 33,417 |
Industry | Company | Shares | Value | |||||||||||
Thrifts & Mortgage Finance (continued) |
| |||||||||||||
Riverview Bancorp, Inc.* |
| 600 | $ 1,812 | |||||||||||
Timberland Bancorp, Inc.* |
| 200 | 1,182 | |||||||||||
|
| |||||||||||||
|
204,464 |
| ||||||||||||
Trading Companies & Distributors - 1.00% |
| |||||||||||||
Aircastle, Ltd. |
| 3,700 | 47,064 | |||||||||||
Applied Industrial Technologies, Inc. |
| 2,150 | 76,562 | |||||||||||
Beacon Roofing Supply, Inc.* |
| 2,100 | 47,922 | |||||||||||
China Armco Metals, Inc.*+ |
| 500 | 690 | |||||||||||
DXP Enterprises, Inc.* |
| 450 | 11,407 | |||||||||||
GATX Corp. |
| 3,000 | 111,360 | |||||||||||
Interline Brands, Inc.* |
| 1,550 | 28,474 | |||||||||||
Rush Enterprises, Inc., Class A* |
| 2,800 | 53,284 | |||||||||||
Willis Lease Finance Corp.* |
| 150 | 1,999 | |||||||||||
|
| |||||||||||||
|
378,762 |
| ||||||||||||
Wireless Telecommunication Services - 0.88% |
| |||||||||||||
Leap Wireless International, Inc.* |
| 16,100 | 261,303 | |||||||||||
NTELOS Holdings Corp. |
| 2,650 | 54,113 | |||||||||||
USA Mobility, Inc. |
| 1,300 | 19,838 | |||||||||||
|
| |||||||||||||
|
335,254 |
| ||||||||||||
|
| |||||||||||||
TOTAL COMMON STOCKS - 100.01% |
|
|
37,949,760 |
| ||||||||||
|
| |||||||||||||
(Cost $37,512,957) |
| |||||||||||||
Rate^ | Shares | Value | ||||||||||||
MONEY MARKET FUND - 0.27% |
| |||||||||||||
BlackRock FedFund | 0.01% | 102,736 | 102,736 | |||||||||||
|
| |||||||||||||
TOTAL MONEY MARKET FUND - 0.27% |
| 102,736 | ||||||||||||
|
| |||||||||||||
(Cost $102,736) |
| |||||||||||||
TOTAL INVESTMENTS - 100.28% |
| 38,052,496 | ||||||||||||
(Cost $37,615,693) |
| |||||||||||||
Liabilities in Excess of Other Assets -(0.28%) |
| (107,776 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS - 100.00% |
| $37,944,720 | ||||||||||||
|
|
* | Non-income producing security. |
^ | Rate disclosed as of June 30, 2011. |
D | Security was fair valued under procedures adopted by the Board of Directors (see Note 2). |
+ | This security or a portion of the security is out on loan at June 30, 2011. Total loaned securities had a value of $2,351,651 at June 30, 2011. |
LLC | - Limited Liability Company |
20 | Annual Report | June 30, 2011 |
Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) |
|
Summary of inputs used to value the Fund’s investments as of 06/30/2011 are as follows (See Note 2 in Notes to Financial Statements):
Valuation Inputs | ||||||||||||||||
| ||||||||||||||||
Investment in Securities (Value) | ||||||||||||||||
| ||||||||||||||||
Level 1 Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
| ||||||||||||||||
Common Stocks | $ | 37,939,690 | $ | — | $ | 10,070 | $ | 37,949,760 | ||||||||
Money Market Fund | — | 102,736 | — | 102,736 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL | $ | 37,939,690 | $ | 102,736 | $ | 10,070 | $ | 38,052,496 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Investment in Securities (Value) | ||||||||||
| ||||||||||
Common Stocks | Total | |||||||||
| ||||||||||
Balance as of 12/31/2010 | $ | — | $ | — | ||||||
Purchases | — | — | ||||||||
Sales | — | — | ||||||||
Realized gain/(loss) | — | — | ||||||||
Change in unrealized appreciation/(depreciation)1 | (15,260) | (15,260) | ||||||||
Transfers in2,3 | 25,330 | 25,330 | ||||||||
Transfers out | — | — | ||||||||
|
|
|
| |||||||
Balance as of 06/30/2011 | $ | 10,070 | $ | 10,070 | ||||||
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) from investments held as of 6/30/111 | $ | (15,260) | $ | (15,260) | ||||||
|
|
|
|
1 Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statement of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.
2 Transfers in represents the value as of the beginning of the period ended June 30, 2011, for any investment security where significant transfers in the pricing level occurred during the period. The purchase value is used in situations where the investment was not held as of the beginning of the period.
3 Transfers took place as a result of trading halts.
The securities in the table above were considered Level 3 securities because they were fair valued under procedures adopted by the Board of Directors at June 30, 2011. Such valuation is based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.
See Notes to Financial Statements.
|
www.bridgeway.com | 21 |
STATEMENT OF ASSETS AND LIABILITIES
|
June 30, 2011
ASSETS | Omni Tax-Managed Small-Cap Value | |||||||||
Investments at value | $38,052,496 | |||||||||
Receivables: | ||||||||||
Fund shares sold | 236,649 | |||||||||
Dividends and interest | 25,077 | |||||||||
Receivable from investment adviser | 6,970 | |||||||||
Prepaid expenses | 8,829 | |||||||||
Total assets | 38,330,021 | |||||||||
LIABILITIES | ||||||||||
Payables: | ||||||||||
Portfolio securities purchased | 336,360 | |||||||||
Fund shares redeemed | 12,030 | |||||||||
Administration fees | 1,085 | |||||||||
Directors’ fees | 115 | |||||||||
Other | 35,711 | |||||||||
Total liabilities | 385,301 | |||||||||
NET ASSETS | $37,944,720 | |||||||||
NET ASSETS REPRESENT | ||||||||||
Paid-in capital | $37,481,701 | |||||||||
Undistributed net investment income | 54,379 | |||||||||
Accumulated net realized loss on investments | (28,163 | ) | ||||||||
Net unrealized appreciation on investments | 436,803 | |||||||||
NET ASSETS | $37,944,720 | |||||||||
Shares of common stock outstanding of $.001 par value* | 3,552,546 | |||||||||
Net asset value per share | $ 10.68 | |||||||||
Total investments at cost | $37,615,693 |
* | See Note 1 - Organization in the Notes to Financial Statements for shares authorized for the Fund. |
See Notes to Financial Statements.
22 | Annual Report | June 30, 2011 |
|
Period Ended June 30, 2011 |
Omni Tax-Managed Small-Cap Value1 | ||||||||||
INVESTMENT INCOME | ||||||||||
Dividends | $101,994 | |||||||||
Securities lending | 16,886 | |||||||||
Total Investment Income | 118,880 | |||||||||
EXPENSES | ||||||||||
Investment advisory fees | 50,945 | |||||||||
Administration fees | 3,657 | |||||||||
Accounting fees | 34,353 | |||||||||
Transfer agent fees | 6,199 | |||||||||
Professional fees | 26,040 | |||||||||
Custody fees | 21,388 | |||||||||
Blue sky fees | 2,999 | |||||||||
Directors’ and officers’ fees | 1,222 | |||||||||
Shareholder servicing fees | 4,304 | |||||||||
Reports to shareholders | 6,870 | |||||||||
Miscellaneous expenses | 1,377 | |||||||||
Total Expenses | 159,354 | |||||||||
Less investment advisory fees waived. | (50,945 | ) | ||||||||
Less other fees waived. | (12,427 | ) | ||||||||
Less expense reimbursed by investment adviser | (34,848 | ) | ||||||||
Net Expenses | 61,134 | |||||||||
NET INVESTMENT INCOME | 57,746 | |||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | ||||||||||
Realized Gain (Loss) on: | ||||||||||
Investments | (28,163 | ) | ||||||||
Net Realized Loss | (28,163 | ) | ||||||||
Change in Unrealized Appreciation (Depreciation) on: | ||||||||||
Investments | 436,803 | |||||||||
Net Change in Unrealized Appreciation (Depreciation) | 436,803 | |||||||||
Net Realized and Unrealized Gain on Investments | 408,640 | |||||||||
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $466,386 |
1 Commencement of operations December 31, 2010.
See Notes to Financial Statements.
www.bridgeway.com | 23 |
STATEMENT OF CHANGES IN NET ASSETS
|
|
Omni Tax-Managed Small-Cap Value | ||||||
For the Period December 31, 20101 through June 30, 2011 | ||||||
OPERATIONS | ||||||
Net investment income | $ 57,746 | |||||
Net realized loss on investments | (28,163 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments | 436,803 | |||||
Net increase in net assets resulting from operations | 466,386 | |||||
SHARE TRANSACTIONS: | ||||||
Proceeds from sale of shares | 39,874,315 | |||||
Cost of shares redeemed | (2,395,981 | ) | ||||
Net increase in net assets from share transactions | 37,478,334 | |||||
Net increase in net assets | 37,944,720 | |||||
NET ASSETS: | ||||||
Beginning of period | - | |||||
End of period* | $37,944,720 | |||||
SHARES ISSUED & REDEEMED | ||||||
Issued | 3,784,388 | |||||
Redeemed | (231,842 | ) | ||||
Net increase in shares | 3,552,546 | |||||
Outstanding at beginning of period | - | |||||
Outstanding at end of period | 3,552,546 | |||||
* Including undistributed net investment income of: | $ 54,379 |
1 | Commencement of operations. |
See Notes to Financial Statements.
24 | Annual Report | June 30, 2011 |
THIS PAGE INTENTIONALLY LEFT BLANK
www.bridgeway.com | 25 |
(for a share outstanding throughout the period indicated)
Income from Investment Operations | ||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(a) | Net Realized and Unrealized Gain\(Loss) | Total from Investment Operations | |||||||||||||
OMNI TAX-MANAGED SMALL-CAP VALUE | ||||||||||||||||
Period Ended June 30, 2011(c) | $10.00 | $0.03 | $0.65 | $0.68 |
(a) | Per share amounts calculated based on the average daily shares outstanding during the period. |
(b) | Annualized for periods less than one year. |
(c) | Commenced operations on December 31, 2010. |
(d) | Total return may have been lower had various fees not been waived during the period. |
See Notes to Financial Statements.
26 | Annual Report | June 30, 2011 |
|
Less Distributions to Shareholders from: | Ratios & Supplemental Data | |||||||||||||||||||
|
| |||||||||||||||||||
Net Realized Gain | Net Investment Income | Total Distributions | Net Asset Value, End of Period | Total Return | Net Assets End of | Expenses Before Waivers and Reimbursements(b) | Expenses After Waivers and Reimbursements(b) | Net Investment Income (Loss) After Waivers and Reimbursements(b) | Portfolio Turnover Rate | |||||||||||
| ||||||||||||||||||||
�� | ||||||||||||||||||||
$ - | $ - | $ - | $10.68 | 6.80%(d) | $37,945 | 1.56% | 0.60% | 0.57% | 7% | |||||||||||
|
www.bridgeway.com | 27 |
NOTES TO FINANCIAL STATEMENTS |
|
| ||
June 30, 2011
1. Organization:
Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Bridgeway is organized as a series fund, which currently has 13 investment funds (each, a “Bridgeway Fund” and collectively, the “Bridgeway Funds”). Aggressive Investors 1, Aggressive Investors 2, Ultra-Small Company, Ultra-Small Company Market, Micro-Cap Limited, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Large-Cap Value, Blue Chip 35 Index and Managed Volatility Funds are presented in a separate report. The Omni Tax-Managed Small-Cap Value Fund (the “Fund”) commenced operations on December 31, 2010 and is presented in this report.
Effective January 18, 2011, the Omni Small-Cap Value Fund changed its name to Omni Tax-Managed Small-Cap Value Fund.
Bridgeway is authorized to issue 2,000,000,000 shares of common stock at $0.001 per share. 15,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares each have been classified into the Aggressive Investors 2 and Blue Chip 35 Index Funds. 5,000,000 shares have been classified into the Ultra-Small Company Fund. 10,000,000 shares have been classified in the Micro-Cap Limited Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Tax-Managed Small-Cap Value, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, and Large-Cap Value Funds. 50,000,000 shares have been classified into the Managed Volatility Fund. All shares outstanding currently represent Class N shares.
All of the Bridgeway Funds are no-load, diversified funds.
The Fund seeks to provide long-term total return on capital, primarily through capital appreciation.
Bridgeway Capital Management, Inc. (the “Adviser”) is the investment adviser for all of the Bridgeway Funds.
2. Significant Accounting Policies:
The following summary of significant accounting policies, followed in the preparation of the financial statements of the Fund, are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Securities, Options, Futures and Other Investments Valuation Other than options, portfolio securities that are principally traded on a national securities exchange are valued at their last sale price on the principal exchange on which they are traded prior to the close of the New York Stock Exchange (“NYSE”), on each day the NYSE is open for business. If there is no closing price on the NYSE, the portfolio security will be valued using a composite price, which is defined as the last price for the security on any exchange. Portfolio securities other than options that are principally traded on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) are valued at the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their home exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions. Other investments for which no sales are reported are valued at the latest bid price in accordance with the pricing policy established by the Board of Directors.
Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.
Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.
When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Fund may be valued at fair value as determined in good faith by or under the direction of the Board of Directors. The valuation assigned to fair valued securities for purposes of calculating the Fund’s NAV may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.
28 | Annual Report | June 30, 2011 |
NOTES TO FINANCIAL STATEMENTS (continued) |
|
June 30, 2011 |
The inputs and valuation techniques used to determine the value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
• | Level 1 — quoted prices in active markets for identical assets |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Fund does not adjust the quoted price for such investments, even in situations where the Fund holds a large position and a sale could reasonably impact the quoted price.
• | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Money market fund investments consist of mutual funds which invest primarily in securities that are valued at amortized cost, a Level 2 investment. Therefore, the money market funds are classified as Level 2 investments.
• | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Fund uses one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Fund in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Fund in the absence of market information. Assumptions used by the Fund due to the lack of observable inputs may significantly impact the resulting value and therefore the Fund’s results of operations.
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of June 30, 2011 is included with the Fund’s Schedule of Investments.
In May 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and International Financial Reporting Standard (“IFRS”). ASU No. 2011-04 will require reporting entities to disclose quantitative information about the unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU No. 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04, and its impact on the financial statements has not been determined.
Securities Lending Upon lending its securities to third parties, the Fund receives compensation in the form of fees. The Fund also continues to receive dividends on the securities loaned. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. Gain or loss in the fair value of the securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, the Fund does not have the right to sell or repledge collateral received in the
www.bridgeway.com | 29 |
NOTES TO FINANCIAL STATEMENTS (continued) |
|
June 30, 2011 |
form of securities unless the borrower goes into default. The risks to the Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due.
As of June 30, 2011, the Fund had securities on loan and related collateral with values shown below:
Securities on | Value of | |||||||
Loan Value | Collateral | |||||||
$2,351,651 | $2,468,192 |
It is the Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. As of June 30, 2011, the collateral consisted of an institutional money market fund.
Use of Estimates in Financial Statements In preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Risks and Uncertainties The Fund provides for various investment options, including stocks. Such investments are exposed to various risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.
Security Transactions, Investment Income and ExpensesSecurity transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date.
Bridgeway Funds’ expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Bridgeway Funds’ total net assets or other appropriate basis.
Distributions to Shareholders The Fund pays dividends from net investment income and distributes realized capital gains annually.
Indemnification Under the Company’s organizational documents, the Fund’s officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts.
3. Management Fees, Other Related Party Transactions and Contingencies:
The Fund has entered into a management agreement with the Adviser. As compensation for the advisory services rendered, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee of 0.50% of the value of the Fund’s average daily net assets, computed daily and payable monthly.
Expense limitations: The Board of Directors and sole initial shareholder approved an expense limitation beginning on December 31, 2010 for the Fund. The Adviser agrees to reimburse the Fund for operating expenses and management fees above the expense limitation of 0.60% of the value of its average net assets for the fiscal year. In connection with such expense limitation, total reimbursements for the period ended June 30, 2011 were $85,793. The Fund is authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser, provided, however, that any reimbursement must be paid at a date not more than three years after the fiscal year in which the Adviser waived the fees or reimbursed the expenses and the reimbursements do not cause the Fund to exceed the expense limitation in the agreement.
30 | Annual Report | June 30, 2011 |
NOTES TO FINANCIAL STATEMENTS (continued) |
|
June 30, 2011 |
Other Waivers and Reimbursements: BNY Mellon Asset Servicing, the Fund’s accounting agent, at its discretion, voluntarily waived a portion of its accounting and transfer agent fees for the Fund. For the period ended June 30, 2011, BNY Mellon Asset Servicing waived $9,427 in accounting fees and $3,000 in transfer agent fees.
Other Related Party Transactions: On occasion, the Fund may engage in inter-portfolio trades when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. No inter-portfolio purchases or sales were entered into during the period ended June 30, 2011.
The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Fund including, but not limited to: (i) supervising and managing various aspects of the Fund’s business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Fund; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Fund’s registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an aggregate annual fee of $535,000 payable in equal monthly installments. During the period ended June 30, 2011, the Fund’s allocation of this expense was $3,657.
One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Another director of Bridgeway, Michael Mulcahy, is an executive and director of the Adviser. Under the 1940 Act definitions, each is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery and Mr. Mulcahy is borne by the Adviser rather than the Bridgeway Funds.
Board of Directors Compensation Independent Directors are paid an annual retainer of $14,000 with an additional retainer of $2,500 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. Independent Directors are paid $6,000 per meeting for meeting fees. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.
The Independent Directors receive this compensation in the form of shares of the Bridgeway Funds, credited to his or her account. Such Directors are reimbursed for any expenses incurred in attending meetings and conferences and expenses for subscriptions or printed materials.
4. Distribution and Shareholder Servicing Fees:
Foreside Fund Services, LLC acts as distributor of the Fund’s shares pursuant to a Distribution Agreement dated November 12, 2010. The Adviser pays all costs and expenses associated with distribution of the Fund’s shares pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.
5. Purchases and Sales of Investment Securities:
Purchases and sales of investments, other than short-term securities, for the Fund for the period ended June 30, 2011 were as follows:
Purchases | Sales | |||||||||||||
U.S. Government | Other | U.S. Government | Other | |||||||||||
$ - | $ | 38,986,003 | $ - | $ | 1,444,882 |
6. Federal Income Taxes
It is the Fund’s policy to continue to comply with the provisions of the Internal Revenue Code of 1986 (“Internal Revenue Code”), as amended, applicable to regulated investment companies and distribute income to the extent necessary so that the Fund is not subject to federal income tax. Therefore, no federal income tax provision is required.
www.bridgeway.com | 31 |
NOTES TO FINANCIAL STATEMENTS (continued) |
|
June 30, 2011 |
Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/ depreciation and the cost of investment securities for tax purposes, including short-term securities at June 30, 2011, were as follows:
Gross appreciation (excess of value over tax cost) | $ | 2,273,037 | ||
Gross depreciation (excess of tax cost over value) | (1,843,443 | ) | ||
Net unrealized appreciation (depreciation) | $ | 429,594 | ||
Cost of investments for income tax purposes | $ | 37,622,902 |
The differences between book and tax net unrealized appreciation (depreciation) are due to wash sale loss deferrals.
Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.
The Fund commenced operations on December 31, 2010, there were no cash distributions paid during the period ended June 30, 2011.
Components of Accumulated Earnings (Deficit) As of June 30, 2011, the components of accumulated earnings (deficit) on a tax basis were:
Undistributed Net Investment Income | $ | 54,379 | ||
Accumulated Net Realized Loss on Investments* | (20,954 | ) | ||
Net Unrealized Appreciation of Investments | 429,594 | |||
Total | $ | 463,019 |
* | Includes losses incurred from commencement, December 31, 2010, through June 30, 2011, which the Fund has elected to defer to its fiscal year ending June 30, 2012. Post October Losses - Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Fund has deferred post October losses of $20,954. |
For the fiscal year June 30, 2011, the Fund recorded the following reclassification to the accounts listed below:
Increase (Decrease) | ||||
Paid-in-Capital | $ 3,367 | |||
Undistributed Net Investment Income | (3,367 | ) | ||
Accumulated Net Realized Loss | - |
The difference between book and tax components of net assets and the resulting reclassification was a result of the deduction of equalization debits for tax purposes.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Fund’s tax positions and has concluded that no provision for income tax is required in the Fund’s financial statements. The Fund is not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
7. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
32 | Annual Report | June 30, 2011 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
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To the Shareholders and Board of Directors of Bridgeway Funds, Inc. |
We have audited the accompanying statement of assets and liabilities of the Omni Tax-Managed Small-Cap Value Fund, a series of shares of beneficial interest in Bridgeway Funds, Inc (the “Fund”), including the schedule of investments, as of June 30, 2011, and the related statement of operations, the statement of changes in net assets, and the financial highlights for the period from December 31, 2010 (commencement of operations) through June 30, 2011. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2011 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Omni Tax-Managed Small-Cap Value Fund as of June 30, 2011, and the results of its operations, changes in its net assets and its financial highlights for the period December 31, 2010 to June 30, 2011, in conformity with accounting principles generally accepted in the United States of America.
BBD, LLP
Philadelphia, Pennsylvania
August 25, 2011
www.bridgeway.com | 33 |
OTHER INFORMATION |
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June 30, 2011 |
1. Shareholder Tax Information
For Federal income tax purposes, the following information is provided with respect to written notification requirements under the Internal Revenue Code.
For each category listed below it is the intention of the Fund to distribute and report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder. For the taxable period ended June 30, 2011, there were no cash distributions.
• | Capital gain dividends |
• | Exempt-interest dividends |
• | Qualified dividends |
• | Dividends eligible for the corporate dividends received deduction |
• | Foreign taxes paid |
• | Foreign source gross income |
• | Interest-related dividends |
• | Short-term capital gain dividends |
In addition, as required by certain states, the Fund hereby designates, and intends to distribute, the maximum amount of dividends attributable to federal obligations interest earned by the Fund.
This notice is for informational purposes only and shareholders should not use the above information to prepare their income tax returns. The information necessary to prepare income tax returns will be included in calendar year-end federal tax information forms and supplements, which will be mailed after December 31.
2. Proxy Voting
Fund policies and procedures used in determining how to vote proxies relating to the Fund’s securities and a summary of proxies voted by the Fund for the period ended June 30, 2011 are available without a charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov.
3. Fund Holdings
The complete schedule of the Fund’s holdings for the second and fourth quarters of each fiscal year are contained in the Fund’s Semi-Annual and Annual shareholder reports, respectively.
The Bridgeway Funds file complete schedules of the Fund’s holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days after the end of the period. Copies of the Fund’s Form N-Q are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy Form N-Q at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 1-800-SEC-0330.
34 | Annual Report | June 30, 2011 |
DISCLOSURE OF FUND EXPENSES |
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June 30, 2011 |
As a shareholder of the Fund, you will incur no transaction costs from the Fund, including sales charges (loads) on purchases, on reinvested dividends, or on other distributions. There are no exchange fees. However, as a shareholder of the Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on January 1, 2011 and held until June 30, 2011.
Actual Expenses. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, 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 line under the heading “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes. The second line of the table below 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 a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.
Beginning Account Value at 1/1/11 | Ending Account Value at 6/30/11 | Expense Ratio | Expenses Paid During Period* 1/1/11 - 6/30/11 | |||||||
Bridgeway Omni Tax-Managed Small-Cap Value | ||||||||||
Actual Fund Return | $1,000.00 | $1,068.00 | 0.60% | $3.08 | ||||||
Hypothetical Fund Return | $1,000.00 | $1,021.82 | 0.60% | $3.01 |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent half-year divided by the number of days in the fiscal year. |
www.bridgeway.com | 35 |
DIRECTORS & OFFICERS |
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June 30, 2011 |
Independent Directors
Name, Address and Age1 | Position Held with Bridgeway | Term of Office and Length of Time Served | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Director | Other Directorships Held by Director | |||||
Kirbyjon Caldwell Age 58 | Director | Term: 1 Year Length: 2001 to Present. | Senior Pastor of Windsor Village United Methodist Church, since 1982. | Thirteen | United Continental Holdings, Inc., American Church Mortgage Company, Reliant Energy, NRG Energy, Inc., Amegy Bancshares Advisory Board
| |||||
Karen S. Gerstner Age 56 | Director | Term: 1 Year Length: 1994 to Present.
| Principal, Karen S. Gerstner & Associates, P.C., 2004 to present. | Thirteen | None | |||||
Miles Douglas Harper, III* Age 48 | Director | Term: 1 Year Length: 1994 to Present. | Partner, 1998 to present, Gainer, Donnelly, Desroches, LLP. | Thirteen | Calvert Social Investment Fund (8 Portfolios), Calvert Social Index Series, Inc. (1 Portfolio), Calvert Impact Fund (4 Portfolios), Calvert World Values Fund (3 Portfolios), Founders Bank, SSB
| |||||
Evan Harrel Age 50 | Director | Term: 1 Year Length: 2006 to Present.
| Executive Director, Small Steps Nurturing Center, 2004 to present. | Thirteen | None | |||||
36 | Annual Report | June 30, 2011 |
DIRECTORS & OFFICERS (continued) |
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June 30, 2011 |
“Interested” or Affiliated Directors and Officers
Name, Address and Age1 | Position(s) Held with | Term of Office and Time | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Director | Other Directorships Held by Director | |||||
Michael D. Mulcahy2 Age 47 | President and Director | Term: 1 Year Length: 2003 to Present. | Director, President and COO, Bridgeway Capital Management, Inc., 10/2010 to present, President, Bridgeway Funds, 2005 to present. Director, Secretary and Vice President, Bridgeway Capital Management, Inc., 12/2002 to 10/2010.
| Thirteen | None | |||||
John N. R. Montgomery3 Age 55 | Vice President and Director | Term: 1 Year Length: 1993 to Present. | Director and Chairman, Bridgeway Capital Management, Inc., 10/2010 to present, Vice President, Bridgeway Funds, 2005 to present. Director and President, Bridgeway Capital Management, Inc., 7/1993 to 10/2010.
| Thirteen | None | |||||
www.bridgeway.com | 37 |
DIRECTORS & OFFICERS (continued) |
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June 30, 2011 |
Other Officers
Name, Address and Age1 | Position Held with | Term of Office and Time | Principal Occupation(s) During Past Five Years | No. of Bridgeway Funds Overseen by Officer | Other Directorships Held by Officer | |||||
Richard P. Cancelmo, Jr. Age 53 | Vice President | Term: 1 Year Length: 2004 to Present.
| Staff member, Bridgeway Capital Management, Inc., since 2000. | N/A | None | |||||
Linda G. Giuffré Age 49 | Treasurer and Chief Compliance Officer | Term: 1 Year Length: 2004 to Present.
| Chief Compliance Officer, Bridgeway Capital Management, Inc., 2004 to present. | N/A | None | |||||
Deborah L. Hanna Age 46 | Secretary | Term: 1 Year Length: 2007 to Present. | Self-employed, accounting and related projects for various organizations, 2001 to present.
| N/A | None | |||||
Sharon Lester Age 56 | Vice President | Term: 1 Year Length: 2011 to Present. | Staff member, Bridgeway Capital Management, Inc., 12/2010 to present. Prior to 12/2010, Director of Portfolio Operations, Invesco.
| N/A | None |
* | Independent Chairman |
1 | The address of all of the Directors and Officers of Bridgeway Funds is 20 Greenway Plaza, Suite 450, Houston, Texas, 77046. |
2 | Michael Mulcahy is a director and officer of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds. |
3 | John Montgomery is chairman, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds. |
The overall management of the business and affairs of Bridgeway Funds is vested with its Board of Directors (the “Board”). The Board approves all significant agreements between Bridgeway Funds and persons or companies furnishing services to it, including agreements with its Adviser and Custodian. The day-to-day operations of Bridgeway Funds are delegated to its officers, subject to its investment objectives and policies and general supervision by the Board.
The Fund’s Statement of Additional Information includes additional information about the Board and is available, without charge, upon request by calling 1-800-661-3550.
38 | Annual Report | June 30, 2011 |