Bridgeway Funds NCSRS Certified semi-annual shareholder report (management investment company)

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08200

BRIDGEWAY FUNDS, INC.
(Exact name of registrant as specified in charter)

5615 Kirby Drive, Suite 518
Houston, Texas 77005-2448
(Address of principal executive offices) (Zip code)

Michael D. Mulcahy, President
Bridgeway Funds, Inc.
5615 Kirby Drive, Suite 518
Houston, Texas 77005-2448
(Name and address of agent for service)

Registrant's Telephone Number, including Area Code: (713) 661-3500

Date of fiscal year end: June 30

Date of reporting period: December 31, 2005

Item 1.—Reports to Stockholders

The following is a copy of the report to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

A no-load mutual fund family of domestic funds

Semi-Annual Report
December 31, 2005 (Unaudited)

AGGRESSIVE INVESTORS 1
(Closed to New Investors)

AGGRESSIVE INVESTORS 2

ULTRA-SMALL COMPANY
(Closed)

ULTRA-SMALL COMPANY MARKET

MICRO-CAP LIMITED
(Closed to New Investors)

SMALL-CAP GROWTH

SMALL-CAP VALUE

LARGE-CAP GROWTH

LARGE-CAP VALUE

BLUE CHIP 35 INDEX

BALANCED

www.Bridgeway.com

Table of Contents

Letter from the Investment Management Team
AGGRESSIVE INVESTORS 1
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
AGGRESSIVE INVESTORS 2
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
ULTRA-SMALL COMPANY
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
ULTRA-SMALL COMPANY MARKET
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
MICRO-CAP LIMITED
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
SMALL-CAP GROWTH
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
SMALL-CAP VALUE
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
LARGE-CAP GROWTH
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
LARGE-CAP VALUE
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
BLUE CHIP 35 INDEX
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
BALANCED
	Manager's Commentary
	Disclosure of Fund Expenses
	Schedule of Investments
	Schedule of Options Written
STATEMENT OF ASSETS AND LIABILITIES
STATEMENT OF OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
FINANCIAL HIGHLIGHTS
Notes to Financial Statements
Other Information

Letter from the Investment Management Team

December 31, 2005

Dear Fellow Shareholders,

Calendar year 2005 was excellent for Bridgeway and its shareholders across the majority of our Funds. All of our actively managed Funds beat their market benchmarks for the year, while our index and passively managed Funds did exactly what they are designed to do: reasonably match the performance of their underlying indexes. You can find our usual detailed discussion of performance by individual fund, beginning on page 12.

In addition to performance and financial information, we'd like to highlight several sections of this report. First, a discussion of the market context of our performance is found on page 5. At Bridgeway, we like competition (it helps keep everyone on their toes). However, it's one thing to beat a peer average, but how do we compare to the recommended "picks" of a high profile rating agency? This analysis is presented on pages 6 and 7.

We solicit shareholder feedback with each letter, and a number of investors who have studied our lists of worst-performing stocks have written to us with the following question, "Why don't you set 'stop loss orders' to limit exposure to losses on individual stocks we own?" It seems to make sense that if you could limit your losses, you'd improve overall returns. Not necessarily: see our take on pages 7 and 8.

As many of you know, one of Bridgeway's four business values is achieving superior (efficient) cost structure, and it's useful at times to step back and look at the big picture. Are costs headed in the right direction? We try to answer this question on pages 8 and 9. Finally, you may know that the Funds' adviser donates half of its own net profits to charitable and non-profit organizations. On pages 10 and 11, John gives a report of a trip to Africa and highlights two organizations that the Adviser is particularly proud to help support.

As always, we appreciate your feedback. This is a brand new format for our semi-annual report and we are considering using it twice a year, with the annual and semi-annual reports, when we present the Funds' financial statements. Let us know how you like it at feedback@bridgeway.com. We take your comments seriously and discuss them regularly. Please keep your ideas coming—both favorable and critical. They are a vital tool in helping us serve you better.

Sincerely,

John Montgomery		Richard P. Cancelmo, Jr.
Michael A. Whipple		Elena Khoziaeva

Your investment management team

Market Commentary

As you probably know, we don't pay a lot of attention to market trends at Bridgeway. Our investment process looks the same in a bear or bull market. I have four computer screens in my office, and not one of them runs a ticker tape. Our disciplined rule of thumb is: "If it's not going to make a difference in a decision you make, don't look." This saves a lot of time and emotional energy and lets our investment management team concentrate on what we think we do best—running our models in search of both the next good stock and the appropriate time to sell.

With this as a preface you may be wondering what we would possibly have to say about the market overall. Actually, market trends sometimes do help to explain the context within which our various funds operate. For example, surging energy prices and their effect on energy stocks help explain a portion of both Aggressive Investors Funds' market-beating performance in 2005.

One of the interesting trends since 1999 has been the dramatic lead of small companies over larger ones. By many (but not all) measures, 2005 was the seventh year in a row that small companies have outperformed large ones. For example, this is the seventh year in a row that the smallest companies ("ultra-small" or those in the smallest "decile" of the market) have outperformed the largest companies (those in the top "decile") according to data from the Center for Research in Security Prices ("CRSP"). It is the longest "small cap run" in the 79-year history of the CRSP database; however, we believe that large companies will have their "day in the sun" over the next three- to five-year period. We certainly don't claim to know when the turning point will come, and we don't think it's a good idea for anyone to try to "time" the market. Nor do we think you should go out and sell all your small or ultra-small stocks. However, we do think this would be a good time to make sure your portfolio is in line with your original plan, and that you are not inadvertently over-weighted in small or ultra-small stocks or funds due to their great performance over the last few years.

Like small stocks, "value" stocks have also had a great run in recent years. These stocks, which are characterized by their comparatively low prices (based on certain financial measures), dominated growth-oriented stocks over each of the last six years. On a contrarian basis, we believe growth stocks are also due for a "day in the sun." Indeed, growth stocks did outperform value stocks in the December quarter and in some isolated examples for all of 2005. (For example, large-cap growth mutual funds outperformed large-cap value mutual funds.) Thus, we also think this is a poor time for you to be over-weighted in value stocks or value-oriented funds—and a good time to check your portfolio for inadvertent over-weighting. The box below presents style box returns for 2005 according to data from Lipper.

Lipper Fund Category Returns by Style Box for Calendar 2005

Finally, one of the major market trends of 2005 was the boom in energy stocks, driven by rising oil prices. As a group, these stocks zoomed up by an average of 33%—more than twice the return of any other sector of the economy. Most of our Funds benefited from this trend; our Aggressive Investors Funds, in particular, had substantial weightings in energy, and included energy companies that performed better than the average ones. However, there was some reversal of fortune in the last quarter of the calendar year, as energy lagged all other market sectors.

Bridgeway Funds Standardized Returns for One, Five and Ten Years and Inception to Date As of December 31, 2005*

Fund	1 year		5 year		10 Year		Inception to date		Inception
Aggressive Investors 1	14.93	%	7.65	%	21.05	%	21.64	%	August 5, 1994
Aggressive Investors 2	18.59	%					13.15	%	October 31, 2001
Ultra-Small Company	2.99	%	27.26	%	22.54	%	22.77	%	August 5, 1994
Ultra-Small Company Market	4.08	%	23.88	%			17.10	%	July 31, 1997
Micro-Cap Limited	22.55	%	19.45	%			20.88	%	June 30, 1998
Small-Cap Growth	18.24	%					15.05	%	October 31, 2003
Small-Cap Value	18.92	%					18.06	%	October 31, 2003
Large-Cap Growth	9.33	%					9.07	%	October 31, 2003
Large-Cap Value	11.62	%					16.04	%	October 31, 2003
Blue Chip 35 Index	0.05	%	0.14	%			5.35	%	July 31, 1997
Balanced	6.96	%					5.61	%	June 30, 2001

*: Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance figures quoted, and an investor's shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, please call 1-800-661-3550 or visit the Fund's website at www.bridgeway.com.

Bridgeway 8, Morningstar 3

The Short Version: In 2005, Bridgeway's Funds beat Morningstar's "analyst picks" in eight of eleven equivalent categories.

One of the arguments in favor of purchasing actively managed funds is the desire to do better than average. Usually, our Bridgeway fund performance tables compare our returns to relevant market indexes. We think of indexes as "average," but in fact we believe indexes have beaten roughly 80% of actively managed mutual funds over the long haul historically. So comparing our performance against indexes rather than the "average" mutual fund is actually a very high hurdle. Nevertheless, we'd still like to know that we don't just beat the indexes or the average of our peers, but that we also beat comparable actively managed funds. After all, nobody wants an average doctor—we want a superior one. Likewise with mutual funds, we want to know how we stack up against other funds as chosen by an independent firm specializing in investment research.

Of course, the difficult part is identifying "best" funds up front, at the beginning of the performance period in question. For this purpose we turn to Morningstar, an independent Chicago-based firm, which publishes a list of fund "picks" selected by their analysts. We then look at how the performance of Bridgeway Funds compares with the average performance of these "best" funds. Thus, we pit the Bridgeway Funds in a given category against Morningstar's candidates for best funds. Think of it as a friendly competition.

In 2005, the results of this competition: eight to three in favor of Bridgeway. Of our 11 funds, eight beat the average for the Morningstar "analysts' picks" funds in the equivalent category, including

all but one of our actively managed funds. The table below presents the results by category and Bridgeway Fund.

Bridgeway Funds		Morningstar Analyst "Picks"
Name	2005 Return	Morningstar Category	2005 Return
Large-Cap Value	11.62	Large-cap value	5.04
Blue Chip 35 Index	0.05	Large-cap blend	4.86
Large-Cap Growth	9.33	Large-cap growth	9.03
Aggressive Investors 1	14.93	Mid-cap growth	10.33
Aggressive Investors 2	18.59	Mid-cap growth	10.33
Small-Cap Value	18.92	Small-Value	5.51
Ultra-Small Co. Market	4.08	Small Blend	13.50
Ultra-Small Company	2.99	Small-Growth	7.29
Micro-Cap Limited	22.55	Small-Growth	7.29
Small-Cap Growth	18.24	Small-Growth	7.29
Balanced	6.96	Conservative Allocation	4.70

Past performance is not an indicator of future results. The Bridgeway Funds' adviser, Bridgeway Capital Management, does not have any influence on the selection of the funds chosen by Morningstar's analysts. The number and specific funds used in the comparison are in the control and discretion of Morningstar and their analysts and are subject to change. Morningstar's criteria for choosing Analyst Picks includes, but is not limited to, factors such as performance, expenses, and quality of fund management. In addition, the comparison of Bridgeway Funds to the Morningstar Analyst Picks is limited to performance only and does not take into consideration other factors that are considered by Morningstar when compiling their list of Analyst Picks.

Each Bridgeway Fund is compared to the average total return of the group of funds selected by Morningstar at the beginning of 2005 for the one year period ended December 31, 2005. Although these Analyst Picks changed from the beginning of the year to the final quarter, the same eight Bridgeway Funds beat the average of the end of year Morningstar picks as well. These averages in the table are comprised of between one and eight funds from within each category. In an effort to provide a complete and balanced assessment, all of the Bridgeway Funds are used in the comparison table shown above such that no attempt is made to cull out unfavorable results. The purpose of this comparison is to "raise the bar" on performance comparison, as this analysis uses an arguably higher benchmark by comparing the Bridgeway Funds to other funds chosen by an independent source that specializes in investment research.

Could One Limit Losses and Improve Returns with "Stop Loss" Orders?

The Short Version: It's tempting to think that we could save money and improve returns by instituting "stop loss" orders to eradicate our biggest declining stocks in a period. However, our simplified analysis indicates that is not the case.

For some shareholders, it's painful when the end-of-the-year round-up shows stock performance with a lot of red ink. Sure, the portfolio as a whole might have beaten the market, the peer-group average, or some other benchmark. But some can't help thinking how much better things might have been if your manager had sold earlier.

For example, take a look at the calendar year "losers" for Aggressive Investors 1 Fund on page 15. Even in an "up market" year, ten of our stocks declined more than 22%; one declined 58%. That list is ugly, a blot on an otherwise strong record, and it's only natural to want to wipe it out. A number of our shareholders have suggested we do just that, by setting stop-loss orders. Essentially, these are sell orders that execute automatically if a stock drops below a certain price. Would stop-loss orders have

increased our returns? We asked Elena Khoziaeva to test out this hypothesis under one scenario, using an analysis similar to one we did a number of years ago.

To perform the test, Elena looked at the results from stocks in our aggressive investors style for a representative period, from June 30, 2004 through October 31, 2005. She then set a theoretical stop loss of 20% (i.e. 20% less than either the price on June 30 or else 20% less than the purchase price) on all stocks in Aggressive Investors 1. If a stock continued dropping to, say, a total loss of 40%, Elena assumed that we had sold at the 20% drop and reinvested the proceeds in the remaining stocks in our portfolio. (There are any number of other stop loss programs we could have studied; this is just one, but reflects an answer to a specific suggestion by a shareholder and is representative of other work we have done previously.)

It sounds like it should have been a "slam-dunk" strategy. See the graph of ImClone Systems below. If we had sold the ImClone when the 20% stop order hit, we could have avoided a substantial additional loss of another 15% and increased the Fund's total return for the period by about 0.9%.

ImClone Systems from 6/30/04 to 9/30/04

The problem, though, is that there are plenty of stocks that drop by more than 20% but eventually bounce back up above the 20% level. Sometimes, in fact, they bounce up higher than the price at which we bought, for a nice gain. One example is Research In Motion Ltd., which was our largest position on June 30, 2004. If we had sold this stock when it declined below our theoretical stop loss limit of 20%, we would have missed out on the 33% gain from the stop loss point. Selling at the 20%-down mark would have decreased the Fund's total return for the period by about 4.4% (since this was a core holding).

Research in Motion Ltd. from 6/30/04 to 12/31/04

So, what was the bottom line on Elena's analysis? The answer was interesting. According to the analysis, we would have gained nothing by implementing "stop loss" orders. The actual return of the

Fund over the period in question was 28.00%, while the hypothetical "stop loss" portfolio return was 27.99%—call it a wash. However, those figures don't include all transaction costs, such as trading commissions; we believe that adding those costs in tips the scales in favor of not setting stop loss orders under the specific stop loss program proposed. On top of that, setting stop loss orders would disrupt part of the process we used to manage the Fund's tax-efficiency, thus hurting after-tax returns for shareholders in taxable accounts. Our conclusion from this and other analysis is that setting stop-loss orders sounds good on paper, but our time and efforts are better focused elsewhere.

Six and a Half Years of Expenses

The Short Version: In our fiscal year (June) report we reviewed some data comparing our expense ratios to those of other funds. In our semi-annual report, however, we review our trend of expenses over time, to see whether we're doing a good job of keeping costs low or (ideally) pushing them even lower.

Bridgeway's four business values are integrity, investment performance, efficient cost, and friendly service. In every report we talk a lot about performance and not infrequently about integrity, but I thought it would be appropriate to revisit the record on expenses. We may be doing well relative to our peers, but one of our Bridgeway colleagues recently reviewed our expenses to test our goal of becoming even more efficient.

Overall, the trend is definitely in the right direction, and you, our shareholders, deserve some thanks for that. When investors buy shares in the Funds, the company's net assets increase (good performance on the part of the Funds' stocks has the same effect). Growth in assets is important in helping to drive expenses down on a per share basis, as it allows the Funds' costs to be spread over a larger base. This trend can go the other direction, however, when assets decline or when growth in costs outstrips asset growth. Thus, it is very important to do a good job of managing costs independent of the direction of asset growth.

The table below presents the operating costs for each of our Funds over the past several years. I'm excluding management fees because we covered those separately in our last annual report and because the performance-based fees on some of the Funds can cloud the picture. Thus, expenses in the table are not total operating expenses, but correspond to the "other expenses" category in our prospectus fee table.

One area of greatly increased costs in the last year has been in compliance-related activities. A recent survey of advisory firms indicated that the average firm saw compliance costs rise by 60% in 2005 as firms responded to an abundance of new regulations. These costs have increased for Bridgeway as well, and we'll cover this topic separately in a future letter. Overall, however, we continue to make progress on the expense front, and I am proud of our record of reducing expense ratios in the current decade. As the numbers get leaner, the job gets harder, but we are committed to vigilance in cost management.

Bridgeway Funds Expense Trends 2000 - 2005

"Other expenses" before waivers and reimbursements	Year ended 6/30/2000		Year ended 6/30/2001		Year ended 6/30/2002		Year ended 6/30/2003		Year ended 6/30/2004		Year ended 6/30/2005		6 Months ended 12/31/2005 annualized		Decline Over Period Shown
Aggressive Investors 1	0.54	%	0.20	%	0.21	%	0.30	%	0.23	%	0.19	%	0.34	%	0.20	%
Aggressive Investors 2					1.40	%*	1.05	%	0.27	%	0.28	%	0.25	%	1.15	%
Ultra-Small Company	0.56	%	0.52	%	0.36	%	0.39	%	0.25	%	0.22	%	0.16	%	0.40	%
Ultra-Small Company Market	1.44	%	1.11	%	0.51	%	0.35	%	0.17	%	0.23	%	0.16	%	1.28	%
Micro-Cap Limited	0.78	%	0.49	%	0.34	%	0.52	%	0.23	%	0.30	%	0.24	%	0.54	%
Small-Cap Growth									0.65	%**	0.48	%	0.26	%	0.39	%
Small-Cap Value									0.89	%**	0.47	%	0.20	%	0.69	%
Large-Cap Growth									0.63	%**	0.53	%	0.31	%	0.32	%
Large-Cap Value									1.02	%**	0.60	%	0.32	%	0.70	%
Blue Chip 35 Index	0.39	%	0.60	%	0.85	%	0.99	%	0.50	%	0.48	%	0.26	%	0.13	%
Balanced					1.47	%*	1.06	%	0.91	%	0.59	%	0.45	%	1.02	%
Simple Average of Funds existing in FY2000	0.74	%	0.58	%	0.45	%	0.51	%	0.28	%	0.28	%	0.23	%	0.51	%

*: inception date was 10/31/01
**: Class N only, from inception date 10/31/03

Comfort in the Mediocre

The Short Version: I'd rather settle for market beating performance.

Sometimes I'm amazed at the reasoning that accompanies lousy performance. I've come to expect it in the "management discussion and analysis" from funds that continually under perform. I was surprised at the following rationale by a rating agency that accompanied market lagging performance, however. (Names have been changed to protect the. .. uh, people involved.)

On November 5 Joe Manager Smith stepped down from Mediocre Fund's ZZZ class shares. This month would have marked Smith's seventh year managing the fund. Before taking the helm of these funds, he was an analyst for more than ten funds. While the funds were rarely top-quartile performers—indeed, they haven't beaten the S&P in years—his lengthy experience and the structural setup of the fund gave us comfort.

Comfort? OK, but experience isn't a good thing unless it's good experience, and structure only helps if it's is likely to lead to good results. Where else do you look for proof, if not the long term performance and consistency of performance of a fund?

Some Personal Thoughts on Genocide by John Montgomery

Genocide is not a typical subject for a portfolio manager's letter. However, the Bridgeway Funds are unusual in a number of ways, including the fact that the Funds' Adviser, Bridgeway Capital Management, donates half of its after-tax profits to charitable and non-profit organizations. Some of the projects the Adviser has helped to finance include a college preparatory high school for low-income students, an arts program for bereaved children, and a clean-water system for a small town in Honduras. But one of the Adviser's "core missions" is working to further global peace and to help end genocide. In September, a colleague and I traveled to Africa for two weeks to deepen our understanding of human rights issues, establish new relationships, and find new opportunities to make a difference. After concluding that Sudan and the Congo were currently too dangerous to visit, we

traveled instead to a somewhat safer, yet war-ravaged region of Uganda, and to Rwanda, where in 1994—over a span of just 100 days—800,000 civilians were killed for no reason other than their ethnicity.

Of course, that kind of atrocity is nothing new for the world. Thirty-eight years ago, my life was changed when a seventh-grade history class introduced me to the Holocaust. The horror was almost inconceivable to me, and as a twelve-year-old boy in Houston, Texas, those dreadful events seemed like ancient history, and as remote as a distant planet. But they planted a seed for future action and commitment. With all that we know about that hideous chapter in world history, it seems incredible to me that genocide is still being perpetrated today. And yet, the genocide in Africa is not ancient history; it continues as I write this letter. And thanks to instant news reporting and economic globalization, distances have shrunk to the point that Africa now seems as close as our own back yard. There is no aspect of society, whether family structure, cultural traditions, economic well-being, physical health, or spiritual life, that is undamaged by the violence.

One of the most painful, most unbelievable aspects of our trip involved listening to the personal testimony of Ugandan children, typically between the ages of eight and twelve, who were kidnapped, horribly abused by their captors, trained as soldiers, and forced to mutilate and kill other children from their own villages. I shuddered to think what I would do had my own daughters been among those children. In Rwanda, I stood on a hill where 250,000 victims of the genocide lie buried. How would I feel if my family and friends were in that grave? Such inhumanity is unfathomable and soul wrenching, and yet it continues to exist.

Despite the painful thoughts, the trip was also enormously uplifting. I met some people who had made the courageous decision to turn away from revenge, others who work relentlessly for justice and real reconciliation. I met many individuals who were devoting their energy and creativity to work in government service or with non-governmental or with religious organizations or with philanthropic projects undertaken by small, local businesses. And I met many, many people who were and are making a difference one relationship, one opportunity at a time. So how can you and I make a difference as we go about our own lives here in the United States? To answer that, I'd like to tell you a little about a couple of the organizations that we help fund.

One, about which we're very excited, is called Invisible Children (www.invisiblechildren.com). The children in question are the children of northern Uganda like the ones I met, abducted and forced into a world of brutality that for most of us is simply beyond imagining. As the Invisible Children project comes to fruition, however, we won't need to imagine this world: It will be up in front of us on a movie screen. The three young filmmakers, all of them in their 20s, who created the Invisible Children documentary, have traveled extensively in Uganda. They have filmed hundreds and hundreds of hours' worth of interviews—with children, with their families, with government officials, including the President of Uganda, with members of the military and local NGOs. Young and a little shaggy, with equipment purchased mostly on Ebay, the group appears to present relatively little threat, and this has helped them gain access to some areas that would be unlikely to admit a CNN camera crew. At the same time, the Ugandan children have been willing to open up to these young filmmakers in a way they would probably not have opened up to a team of older journalists.

The Invisible Children: Rough Cut film, complete with an MTV-style soundtrack, is currently being made available, for free, to college and high-school groups around the United States. Students are encouraged to gather their friends and their friends' friends, and their friends' friends' friends to watch and learn and "blog" about what they've learned, to raise money and donate time and energy, to get involved. The filmmakers intend on releasing the Invisible Children: Final Cut in theatres nationwide in early 2007. The immediate cause, of course, is help for the children of Uganda and the restoration of peace, which this area has not seen for 20 years. But perhaps just as important is the cause of helping

America's young people realize that with their time and their energy and their networks of friends, they can help shape the world.

Another group of young people striving for social change, the Genocide Intervention Network (www.genocideinterventionnetwork.com) is focused on helping to end the terrible violence that is ravaging the Darfur region of Sudan. "GI-Net" was started by students and recent alumni of Swarthmore College (which happens to be my alma mater); among their founding members are a Christian, a Jew whose grandparents were Holocaust survivors, and an observant Muslim. The group produces educational materials about Darfur, which it offers to student organizations across the U.S. Last spring, in commemoration of the "100 Days" of genocide in Rwanda, and in concert with hundreds and hundreds of young people from all over the U.S., they raised a quarter of a million dollars for the African Union's peacekeeping efforts in Darfur. I am proud to help support their work.

You might be asking how this all relates to investment. One answer is that there are many different ways to invest, and different ways of defining profit. I regard our support of groups such as GI-Net and Invisible Children (as well as more mature organizations, such as Amnesty International and Human Rights Watch) as investments in the hope for a better world. If these investments help produce a better world for my daughters, and for their families, I will regard that as a very significant profit indeed.

Another answer is that as a money manager, I have always looked for opportunities across the full range of alternatives. Both the world of money-management and the world of philanthropy tend to be very conservative, focused almost exclusively on large, well known companies and organizations. There is no question that large companies such as Apple Computer and well known organizations such as Amnesty International can produce impressive results, and I am happy to invest in them. At the same time, however, I believe it's a mistake to disregard smaller, young companies and organizations. The best of them have energy and fresh, valuable approaches to contribute to the market and the marketplace of ideas. For example, the Bridgeway Ultra-Small Company Fund earned more than 200% on both Quicksilver Resources (an energy company) and SPC Pool (a distributor of swimming-pool supplies). These were tiny companies that yielded enormous gains. Invisible Children and GI-Net may not even be in existence in ten years—or they may be our "ten baggers" that make the difference in actually helping stop a war or end genocide. If we don't take a chance on them, we risk missing out on something extraordinary.

Aggressive Investors 1 Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Aggressive Investors 1 Fund Shareholder,

Our Fund was down 0.57% in the December quarter compared to a gain of 2.09% for our primary benchmark, the S&P 500 Index and 1.81% for our peer benchmark, the Lipper Capital Appreciation Funds Index. It was a poor quarter.

On the heels of three very fine quarters, however, our calendar year return was very strong: 14.93% compared to 4.91% for our primary benchmark, the S&P 500 Index and 7.96% for our peer benchmark, the Lipper Capital Appreciation Funds Index.

The table below presents our December quarter, six-month, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		10 Year 1/1/96 to 12/31/05		Life-to-Date 8/5/94 to 12/31/05
Aggressive Investors 1 Fund	-0.57	%	10.83	%	14.93	%	7.65	%	21.05	%	21.64	%
S&P 500 Index (large companies)	2.09	%	5.77	%	4.91	%	0.54	%	9.06	%	11.12	%
Russell 2000 Index (small companies)	1.13	%	5.88	%	4.55	%	8.22	%	9.26	%	10.78	%
Lipper Capital Appreciation Funds	1.81	%	8.56	%	7.96	%	0.15	%	7.28	%	9.24	%

Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance figures quoted, and an investor's shares, when redeemed, may be worth more or less than original cost. For the most recent month-end performance, please call 1-800-661-3550 or visit the Fund's website at www.bridgeway.com.

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 aggregate record of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index or average. Periods longer than one year are annualized.

For the six-month semi-annual period, our Fund was up 10.83%, compared to 5.77% for the S&P 500 Index of large companies. As reported last quarter, our substantial energy holdings had a very favorable impact in the September quarter, although they "gave back" a bit of return in the December quarter.

According to data from Lipper, Inc. as of December 31, 2005, Aggressive Investors 1 Fund ranked 63rd of 445 capital appreciation funds for 2005, 32nd of 284 over the last five years, 1st of 101 over the last ten years, and 1st of 74 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.

Growth of $10,000 Invested in Aggressive Investors 1 Fund and Indexes from 12/31/95 to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Energy stocks took a back seat this quarter, making way for good performers from a variety of industries.

These are the ten best-performers for the December quarter:

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	67.4	%
2	Apple Computer Inc	Computers	34.6	%
3	Coldwater Creek Inc	Retail	32.2	%
4	LCA-Vision Inc	Healthcare-Products	28.0	%
5	Joy Global Inc	Machinery-Const & Mining	28.0	%
6	WESCO International Inc	Distribution/Wholesale	26.2	%
7	Marvell Technology Group Ltd	Semiconductors	21.6	%
8	Red Hat Inc	Software	17.7	%
9	Cal Dive International Inc	Oil & Gas Services	13.2	%
10	Goodyear Tire & Rubber Co	Auto Parts & Equipment	11.9	%

While last quarter's best performers list was packed with energy stocks, you may be surprised to see only one on our list of gainers above. Our models are still enamored by energy and energy-related companies. However, when we see a run up in a fairly volatile sector that takes its weighting in the portfolio over 35%, our "top-down" risk management strategy may dictate that we begin to trim our holdings, as happened with energy at the beginning of October. Our sector representation went from 35.8% to 22.6% during the quarter.

You might say that our top performer, Hansen Natural, is also involved in energy—energy drinks. Hubert Hansen started making fresh, non-pasteurized juices for film studios and retailers in Southern California in the 30's. Lately, with the addition of smoothies, ready-to-drink iced teas, juice cocktails and energy drinks, its brands have caught the public's attention. Forbes listed Hansen in first place in its "200 Best Small Companies" for 2005, with "new energy drinks targeted at the youth sports market and white-collar workforce." (We gathered our staff recently for a Hansen taste test—the juices were the staff's favorites; I liked the ginseng drink.) Hansen also tops our list of performers for the year, increasing over 166% since our original purchase in March.

Apple's iPod products continue to grow in popularity and to spawn derivative products, which provide diversity for the company beyond personal computers. Although the tremendous price appreciation since our first purchase almost a year and a half ago means this stock is not nearly as cheap as it was, our models still like it, and currently, we're holding.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Careful trimming of our energy holdings gave us a softer landing this quarter than I would have expected.

These are the ten stocks that performed the worst in the December quarter:

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-58.3	%
2	Building Material Holding Corp	Distribution/Wholesale	-26.3	%
3	UGI Corp	Gas	-23.0	%
4	Digital River Inc	Internet	-21.7	%
5	Toll Brothers Inc	Home Builders	-18.0	%
6	Chesapeake Energy Corp	Oil & Gas	-17.5	%
7	Tenaris SA	Iron/Steel	-16.9	%
8	ConocoPhillips	Oil & Gas	-16.8	%
9	Consol Energy Inc	Coal	-15.2	%
10	Overseas Shipholding Group	Transportation	-14.6	%

Although significantly reduced, our exposure to the energy sector was still more than twice that of the broader market, which hurt our quarterly performance. Our energy-related stocks fell 8.17% on average, more favorable than the S&P 500 Index's 9.8% decline of energy stocks. In summary, our energy stocks performed better than average, but still held back our performance substantially in the December quarter.

Forward Industries, maker of carrying cases for cell phones, laptops and other equipment, is our worst performer for the quarter. Timing of product shipments, pricing pressures and higher operating costs are a bad combination and caused the Florida-based company's recent price tumble, which in turn cost the fund 0.5% in performance for the quarter. Digital River was a strong performer through the summer, but by the time we sold the last of our holdings in late October, it had given back most of its gains.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Energy, energy, energy.

These are the ten best-performers for the calendar year:

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	166.8	%
2	Valero Energy Corp	Oil & Gas	105.6	%
3	Tesoro Corp	Oil & Gas	94.1	%
4	Chesapeake Energy Corp	Oil & Gas	91.3	%
5	Coldwater Creek Inc	Retail	62.0	%
6	Foundation Coal Holdings Inc	Coal	61.6	%
7	Kos Pharmaceuticals Inc	Pharmaceuticals	59.9	%
8	Southwestern Energy Co	Oil & Gas	48.8	%
9	Brookfield Asset Management Inc	Real Estate	48.6	%
10	Marvell Technology Group Ltd	Semiconductors	47.8	%

Two-thirds of our performance for the calendar year can be attributed to energy stocks. Six of the ten companies listed above also appeared in our fiscal year winners in June; however, five are in industries other than oil and gas, which helped our diversity later in the year as energy stock prices

began to decline. Coldwater Creek, which provides specialty clothing and gifts purchased through catalogs or the Internet, was our number two performer for the fiscal year (through last June 2005) and a steady performer through the calendar year. Although our Retail weighting was about equal to the market, our stocks did particularly well and gave us a 2% performance boost above the market during the quarter.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: Compared to seven companies that appreciated at least 50% in the calendar year, only one declined that much. Still, it hurt.

The stocks that performed worst for the calendar year:

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-58.3	%
2	Oregon Steel Mills Inc	Iron/Steel	-44.0	%
3	AK Steel Holding Corp	Iron/Steel	-37.3	%
4	Deckers Outdoor Corp	Apparel	-32.6	%
5	Ford Motor Co	Auto Manufacturers	-31.3	%
6	eBay Inc	Internet	-29.5	%
7	Digital River Inc	Internet	-25.4	%
8	Cleveland-Cliffs Inc	Iron/Steel	-23.7	%
9	Commercial Metals Co	Metal Fabricate/Hardware	-22.7	%
10	Petroleum Development Corp	Oil & Gas	-22.2	%

A number of our problem holdings for the year centered on two disparate industries: steel and the Internet. Both of these industries did well for the year overall but some of our individual picks did not. In the case of Oregon Steel, the company also did very well for the year, but unfortunately, the timing of our purchase and sale was particularly poor. As reported above, Forward Industries is facing some order-timing and production expense challenges. Personally, I'm kind of sad to see Ford Motor go (we sold earlier in the year, but not before a substantial loss), but our models know no such emotion. Here are our worst ten for the year:

Top Ten Holdings

At quarter end, Goodyear Tire & Rubber Company comprised our largest company representation at 6.9% of net assets, followed by Apple Computer at 4.0% and Joy Global at 3.8%. From the standpoint of diversification, I love seeing three such disparate companies at the top of our list. Our top ten holdings represented 36.5% of net assets.

Rank		Description	Industry	Percent of Net Assets
1		Goodyear Tire & Rubber Co	Auto Parts & Equipment	6.9	%
2		Apple Computer Inc	Computers	4.0	%
3		Joy Global Inc	Machinery-Const & Mining	3.8	%
4		Valero Energy Corp	Oil & Gas	3.7	%
5		McDermott International Inc	Engineering & Const	3.3	%
6		Dress Barn Inc	Retail	3.2	%
7		BMC Software Inc	Software	3.1	%
8		Quanta Services Inc	Commercial Services	3.0	%
9		Tesoro Corp	Oil & Gas	3.0	%
10		Sunoco Inc	Oil & Gas	2.5	%

	Total			36.5	%

Industry Sector Representation as of December 31, 2005

Energy continues as our Fund's largest sector, but we trimmed it substantially, down from 35.8% last quarter. The industry we are most underrepresented in is Financial.

		% of Net Assets		S&P 500 Index		Difference
Basic Materials		1.0	%	2.9	%	-1.9	%
Communications		9.2	%	10.2	%	-1.0	%
Consumer, Cyclical		15.8	%	8.5	%	7.3	%
Consumer, Non-cyclical		16.0	%	21.6	%	-5.6	%
Energy		22.6	%	9.6	%	13.0	%
Financial		5.3	%	21.1	%	-15.8	%
Industrial		15.8	%	11.3	%	4.5	%
Technology		13.4	%	11.4	%	2.0	%
Utilities		0.0	%	3.4	%	-3.4	%
Cash		0.9	%	0.0	%	0.9	%

	Total	100.0	%	100.0	%

Disclaimer

The following is a reminder from the friendly folks at your Fund who worry about liability. 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, December 31, 2005, 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 above average market risk (volatility) and 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 for various reasons such as narrower markets, limited financial resources and less liquid stock.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information. The prospectus and other fund information may be obtained by calling 1800-661-3550 or visiting the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Aggressive Investors 1. This Fund remains open only to current investors as we seek to keep the nimbleness that has fared well through the years. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

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 also no redemption fees or 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on July 1, 2005 and held until December 31, 2005.

Actual Return. 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 "Expense Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical 5% Return. 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 the 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.

Bridgeway Aggressive Investors 1 Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,108.30		$	9.25
Hypothetical Fund Return		$	1,000.00		$	1,016.43		$	8.84

*: Expenses are equal to the Fund's annualized expense ratio of 1.74% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—99.1%
Apparel—2.1%
	Guess? Inc*	240,000	$	8,544,000
Auto Parts & Equipment—6.9%
	The Goodyear Tire & Rubber Co*	1,599,000		27,790,620
Banks—1.4%
	US Bancorp	187,400		5,601,386
Beverages—2.4%
	Hansen Natural Corp*+	124,800		9,835,488
Coal—1.0%
	Foundation Coal Holdings Inc	102,000		3,876,000
Commercial Services—4.0%
	Administaff Inc	97,400		4,095,670
	Quanta Services Inc*	924,500		12,175,665

				16,271,335
Computers—6.1%
	Apple Computer Inc*	223,800		16,088,982
	Sandisk Corp*	136,700		8,587,494

				24,676,476
Distribution/Wholesale—2.5%
	WESCO International Inc*	233,300		9,968,909
Diversified Financial Services—1.6%
	Merrill Lynch & Co	92,400		6,258,252
Electronics—2.2%
	Agilent Technologies*	241,200		8,029,548
	American Science & Engineering*	12,500		779,625

				8,809,173
Engineering & Construction—3.3%
	McDermott International*	302,000		13,472,220
Healthcare Products—4.1%
	Alcon Inc	67,300		8,722,080
	LCA-Vision Inc	162,000		7,696,620

				16,418,700
Internet—1.7%
	Nutri System Inc*	195,000		7,023,900
Iron & Steel—1.0%
	Tenaris	35,800		4,099,100

Machinery—Construction & Mining—5.8%
	JLG Industries Inc	178,800	$	8,164,008
	Joy Global Inc	382,350		15,294,000

				23,458,008
Metal Fabricate/Hardware—1.2%
	NS Group Inc*	112,800		4,716,168
Miscellaneous Manufacturing—1.9%
	Ceradyne Inc*	170,000		7,446,000
Oil & Gas—19.1%
	Anadarko Petroleum Corp	65,900		6,244,025
	Chesapeake Energy Corp	102,800		3,261,844
	ConocoPhillips	83,000		4,828,940
	EOG Resources Inc	97,600		7,160,912
	Occidental Petroleum Corp	71,700		5,727,396
	Southwestern Energy Co*	193,000		6,936,420
	Sunoco Inc	130,800		10,252,104
	Tesoro Petroleum Corp	193,400		11,903,770
	Valero Energy Corp	285,200		14,716,320
	XTO Energy Inc	136,442		5,995,247

				77,026,978
Oil & Gas Services—2.5%
	Cal Dive International Inc*	281,600		10,106,624
Pharmaceuticals—5.4%
	Bristol-Myers Squibb Co	367,500		8,445,150
	Express Scripts Inc*	102,000		8,547,600
	Merck & Co Inc	151,200		4,809,672

				21,802,422
Real Estate Operations—1.3%
	Brookfield Asset Management	102,900		5,178,957
Retail—4.3%
	Dress Barn Inc*	334,373		12,910,142
	Nordstrom Inc	118,200		4,420,680

				17,330,822
Savings & Loans—1.1%
	Washington Mutual Inc	101,100		4,397,850
Semiconductors—2.5%
	Marvell Technology Group Ltd*	177,800		9,972,802
Software—4.8%
	BMC Software Inc*	608,000		12,457,920
	Red Hat Inc*	258,000		7,027,920

				19,485,840

		Number of contracts
Telecommunications—7.5%
	AT&T Inc	388,300	$	9,509,467
	BellSouth Corp	148,500		4,024,350
	Corning Inc*	209,000		4,108,940
	Dobson Communications*	594,500		4,458,750
	Motorola Inc	181,500		4,100,085
	Powerwave Technologies*	316,800		3,982,176

				30,183,768
Transportation—0.0%^
	Kirby Corp*	10		522
Trucking & Leasing—1.4%
	GATX Corp	158,000		5,700,640

TOTAL COMMON STOCKS (Cost $326,464,093)				399,452,960

PURCHASED CALL OPTIONS—LONG—0.1%
ConocoPhillips
	expiring Jan 06 at $62.50	300		6,750
The Goodyear Tire & Rubber Co
	expiring Jan 06 at $17.50	1,000		50,000
Joy Global Inc
	expiring Feb 06 at $40.00	250		65,625
	expiring Apr 06 at $40.00	650		260,000

TOTAL PURCHASED CALL OPTIONS (Cost $625,844)				382,375

MONEY MARKET MUTUAL FUNDS—0.6%
First American Treasury Obligations Fund—Class S		2,317,457		2,317,457

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $2,317,457)				2,317,457

TOTAL INVESTMENTS—99.7% (Cost $329,407,394)			$	402,152,792
Other Assets in excess of Liabilities—0.3%				1,093,094

NET ASSETS—100.0%			$	403,245,886

*: Non-income producing security
^: Less than 0.05% of net assets
+: This security or a portion of this security is out on loan at December 31, 2005. Total loaned securities had a market value of $9,835,488 at December 31, 2005.
See Notes to Financial Statements

Aggressive Investors 2 Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Aggressive Investors 2 Fund Shareholder,

Our Fund had a positive return of 1.72% in the December quarter, compared with 2.09% for the S&P 500 Index and 1.81% for our peer benchmark, the Lipper Capital Appreciation Funds Index. It was a poor quarter.

On the heels of three very fine quarters, however, our calendar year return was very strong: 18.59% compared to 4.91% for our primary benchmark, the S&P 500 Index and 7.96% for our peer benchmark, the Lipper Capital Appreciation Funds Index.

The table below presents our December quarter, six-month, one-year, and life-to-date financial results according to the formula required by the SEC.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 10/31/01 to 12/31/05
Aggressive Investors 2 Fund	1.72	%	13.68	%	18.59	%	13.15	%
S&P 500 Index (large companies)	2.09	%	5.77	%	4.91	%	5.83	%
Russell 2000 Index (small companies)	1.13	%	5.88	%	4.55	%	12.89	%
Lipper Capital Appreciation Funds	1.81	%	8.56	%	7.96	%	6.91	%

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 aggregate record of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index or average. Periods longer than one year are annualized.

For the six-month semi-annual period, our Fund was up 13.68%, compared to 5.77% for the S&P 500 Index of large companies. As reported last quarter, our substantial energy holdings had a very favorable impact in the September quarter, although they "gave back" a bit of returns in the December quarter.

According to data from Lipper, Inc. as of December 31, 2005, Aggressive Investors 2 Fund ranked 35th of 445 capital appreciation funds for 2005 and 31st of 319 such funds 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.

Growth of $10,000 Invested in Aggressive Investors 2 Fund and Indexes from 10/31/01 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Energy stocks had much less effect on performance this quarter, making way for good performers from a variety of industries.

These are the ten best-performers for the December quarter:

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	67.4	%
2	Apple Computer Inc	Computers	34.6	%
3	LCA-Vision Inc	Healthcare-Products	28.0	%
4	Coldwater Creek Inc	Retail	26.7	%
5	WESCO International Inc	Distribution/Wholesale	26.2	%
6	Joy Global Inc	Machinery-Constr & Mining	24.8	%
7	Red Hat Inc	Software	17.3	%
8	JPMorgan Chase & Co	Diversified Financial Services	17.0	%
9	Parker Drilling Co	Oil & Gas	15.1	%
10	Cal Dive International Inc	Oil & Gas Services	13.4	%

While last quarter's best performers list was packed with energy stocks, you may be surprised to see only two on our list of gainers above. Our models are still enamored by energy and energy-related companies. However, when we see a run up in a fairly volatile sector that takes its weighting in the portfolio over 33%, our "top-down" risk management strategy may dictate that we begin to trim our holdings, as happened with energy at the beginning of October. Our sector representation went from 34.5% to 19.2% during the quarter.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Careful trimming of our energy holdings gave us a softer landing this quarter than I would have expected.

These are the ten stocks that performed the worst in the December quarter:

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-57.4	%
2	Building Material Holding Corp	Distribution/Wholesale	-26.9	%
3	Comtech Telecomm. Corp	Telecommunications	-25.4	%
4	UGI Corp	Gas	-23.0	%
5	Digital River Inc	Internet	-21.6	%
6	Toll Brothers Inc	Home Builders	-18.0	%
7	Chesapeake Energy Corp	Oil & Gas	-17.1	%
8	Tenaris SA	Iron/Steel	-16.9	%
9	ConocoPhillips	Oil & Gas	-16.8	%
10	Gold Kist Inc	Food	-15.1	%

Although significantly reduced, our exposure to the energy sector was still more than twice that of the broader market, which hurt our quarterly performance. On the other hand, our energy-related stocks fell only 7.06% on average versus the S&P 500 Index's 9.8% decline of energy stocks. In summary, while we picked better energy stocks than average, our sizeable weighting of energy still held back our performance substantially in the December quarter.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Energy, energy, energy.

These are the ten best-performers for the calendar year:

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	164.6	%
2	Chesapeake Energy Corp	Oil & Gas	92.3	%
3	America Movil SA de CV	Telecommunications	74.5	%
4	Tesoro Corp	Oil & Gas	69.5	%
5	Foundation Coal Holdings Inc	Coal	63.2	%
6	Valero Energy Corp	Oil & Gas	59.8	%
7	Coldwater Creek Inc	Retail	55.2	%
8	Kos Pharmaceuticals Inc	Pharmaceuticals	53.2	%
9	Sunoco Inc	Oil & Gas	51.7	%
10	Brookfield Asset Management	Real Estate	49.9	%

Half of our performance for the calendar year can be attributed to energy stocks. Our number one and four other top performers are in industries other than oil and gas, which helped our diversification later in the year as energy stock prices began to decline. Of our 18.59% return for the year, Hansen contributed approximately 2.8%. Coldwater Creek, which provides specialty clothing and gifts

purchased through catalogs or the Internet, was our number two performer for the fiscal year and a steady performer through the calendar year. Although our Retail weighting was about equal to the market, our stocks did particularly well and gave us a 2% performance boost above the market during the quarter.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: Compared to nine companies that appreciated at least 50% in the calendar year, only one declined that much. Still, it hurt.

The stocks that performed worst for the calendar year:

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-57.4	%
2	Oregon Steel Mills Inc	Iron/Steel	-47.8	%
3	AK Steel Holding Corp	Iron/Steel	-40.6	%
4	eBay Inc	Internet	-29.5	%
5	Digital River Inc	Internet	-29.4	%
6	Ford Motor Co	Auto Manufacturers	-28.5	%
7	Deckers Outdoor Corp	Apparel	-26.7	%
8	Commercial Metals Co	Metal Fabricate/Hardware	-25.6	%
9	Petroleum Development Corp	Oil & Gas	-23.2	%
10	Overseas Shipholding Group	Transportation	-22.1	%

Only one company lost over 50% for the calendar year. As reported for the quarter, Forward Industries tops our worst performers. Increases in energy, raw materials and employment costs have affected the Iron/Steel industry. However, the combined effect of Oregon Steel and AK Steel on our performance for the year was about -1.6%.

Top Ten Holdings

At quarter end, Energy comprised our largest sector representation at 19.2% of net assets, followed by Industrial at 16.6% and Technology at 15.7%. Our top ten holdings represented 31.6% of net assets.

Rank		Description	Industry	Percent of Net Assets
1		Goodyear Tire & Rubber Co	Auto Parts & Equipment	5.3	%
2		McDermott International Inc	Engineering & Construction	3.6	%
3		Joy Global Inc	Machinery-Constr & Mining	3.4	%
4		SanDisk Corp	Computers	3.2	%
5		Marvell Technology Group Ltd	Semiconductors	3.0	%
6		Apple Computer Inc	Computers	3.0	%
7		Express Scripts Inc	Pharmaceuticals	2.8	%
8		Hansen Natural Corp	Beverages	2.5	%
9		BMC Software Inc	Software	2.5	%
10		Valero Energy Corp	Oil & Gas	2.3	%

	Total			31.6	%

Industry Sector Representation as of December 31, 2005

Energy continues as our Fund's largest sector, but we trimmed it substantially, down from 34.5% last quarter. The industry we are most underrepresented in is Financial.

		% of Net Assets		S&P 500 Index		Difference
Basic Materials		0.6	%	2.9	%	-2.3	%
Communications		10.4	%	10.2	%	0.2	%
Consumer, Cyclical		11.4	%	8.5	%	2.9	%
Consumer, Non-cyclical		14.8	%	21.6	%	-6.8	%
Energy		19.2	%	9.6	%	9.6	%
Financial		7.1	%	21.1	%	-14.0	%
Industrial		16.6	%	11.3	%	5.3	%
Technology		15.7	%	11.4	%	4.4	%
Utilities		0.00	%	3.4	%	-3.4	%
Cash		4.2	%	0.0	%	4.2	%

	Total	100.0	%	100.0	%

Disclaimer

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information. For questions or other Fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Aggressive Investors 2. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Aggressive Investors 2 Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,136.80		$	6.62
Hypothetical Fund Return		$	1,000.00		$	1,019.00		$	6.26

*: Expenses are equal to the Fund's annualized expense ratio of 1.23% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

Aggressive Investors 2 Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—95.7%
Aerospace/Defense—0.7%
	Armor Holdings Inc*	50,200	$	2,141,030
Apparel—1.9%
	Guess? Inc*	164,200		5,845,520
Auto Parts & Equipment—5.3%
	The Goodyear Tire & Rubber Co*	940,600		16,347,628
Banks—1.6%
	Corus Bankshares Inc	45,146		2,540,365
	US Bancorp	79,000		2,361,310

				4,901,675
Beverages—2.5%
	Hansen Natural Corp*+	99,800		7,865,238
Biotechnology—1.1%
	Amgen Inc*	44,500		3,509,270
Building Materials—0.8%
	USG Corp*	36,100		2,346,500
Coal—1.4%
	Foundation Coal
	Holdings Inc	52,000		1,976,000
	Peabody Energy Corp	28,700		2,365,454

				4,341,454
Commercial Services—0.9%
	Administaff Inc	62,100		2,611,305
Computers—7.4%
	Apple Computer Inc*	126,700		9,108,463
	Komag Inc*	115,900		4,017,094
	Sandisk Corp*	154,200		9,686,844

				22,812,401
Distribution/Wholesale—2.2%
	Building Material Holding
	Corp	49,200		3,355,932
	WESCO International Inc*	81,600		3,486,768

				6,842,700

Diversified Financial Services—3.2%
	Chicago Mercantile Exchange	10,000	$	3,674,900
	JPMorgan Chase & Co	62,800		2,492,532
	Merrill Lynch & Co	56,800		3,847,064

				10,014,496
Electrical Components & Equipment—1.0%
	Lamson & Sessions Co*	120,400		3,012,408
Electronics—1.5%
	American Science & Engineering*	13,800		860,706
	NovAtel Inc*	141,300		3,901,293

				4,761,999
Engineering & Construction—3.6%
	McDermott International*	245,300		10,942,833
Food—0.0%^
	Gold Kist Inc*	4,208		62,910
Healthcare Products—4.5%
	Alcon Inc	34,500		4,471,200
	Hologic Inc*	166,000		6,294,720
	LCA-Vision Inc	67,300		3,197,423

				13,963,343
Insurance—1.0%
	Selective Insurance	55,900		2,968,290
Internet—1.9%
	j2 Global Communications Inc*	70,200		3,000,348
	Nutri System Inc*	78,400		2,823,968

				5,824,316
Iron & Steel—0.6%
	Tenaris	17,300		1,980,850
Machinery—Construction & Mining—5.2%
	JLG Industries Inc	121,700		5,556,822
	Joy Global Inc	261,400		10,456,000

				16,012,822
Metal Fabricate/Hardware—1.1%
	NS Group Inc*	78,700		3,290,447
Miscellaneous Manufacturing—1.7%
	Ceradyne Inc*	116,000		5,080,800
Oil & Gas—13.6%
	Anadarko Petroleum Corp	46,100		4,367,975
	Chesapeake Energy Corp	85,060		2,698,954
	ConocoPhillips	38,000		2,210,840
	EOG Resources Inc	42,300		3,103,551
	Holly Corp	72,000		4,238,640
	Occidental Petroleum Corp	22,300		1,781,324

	Parker Drilling Co*	270,500	$	2,929,515
	Southwestern Energy Co*	134,200		4,823,148
	Sunoco Inc	56,600		4,436,308
	Tesoro Petroleum Corp	69,300		4,265,415
	Valero Energy Corp	139,600		7,203,360

				42,059,030
Oil & Gas Services—4.1%
	Cal Dive International Inc*	154,078		5,529,859
	Halliburton Co	89,200		5,526,832
	Hydril Co*	24,100		1,508,660

				12,565,351
Pharmaceuticals—5.7%
	Bristol-Myers Squibb Co	154,900		3,559,602
	Express Scripts Inc*	101,900		8,539,220
	Merck & Co Inc	171,000		5,439,510

				17,538,332
Real Estate Operations—0.6%
	Brookfield Asset Management	33,700		1,696,121
Retail—1.9%
	Chico's FAS Inc*	69,600		3,057,528
	Nordstrom Inc	78,400		2,932,160

				5,989,688
Savings & Loans—0.8%
	Washington Mutual Inc	58,000		2,523,000
Semiconductors—3.0%
	Marvell Technology Group Ltd*	165,600		9,288,504
Software—5.3%
	BMC Software Inc*	380,000		7,786,200
	Quality Systems Inc*	57,400		4,406,024
	Red Hat Inc*	155,000		4,222,200

				16,414,424
Telecommunications—8.5%
	America Movil S.A. de C.V.	123,000		3,598,980
	AT&T Inc	163,600		4,006,564
	BellSouth Corp	196,600		5,327,860
	Corning Inc*	180,200		3,542,732
	Dobson Communications*	327,600		2,457,000
	Motorola Inc	106,400		2,403,576
	Powerwave Technologies*	194,600		2,446,122
	Verizon Communications Inc	84,900		2,557,188

				26,340,022

		Number of contracts
Trucking & Leasing—1.1%
	GATX Corp	95,000	$	3,427,600

TOTAL COMMON STOCKS (Cost $252,441,815)				295,322,307

PURCHASED CALL OPTIONS—LONG—0.1%
ConocoPhillips
	expiring Jan 06 at $62.50	150		3,375
Goodyear Tire & Rubber Co
	expiring Jan 06 at $17.50	600		30,000
Joy Global Inc
	expiring Feb 06 at $40.00	200		52,500
	expiring Apr 06 at $40.00	500		200,000

TOTAL PURCHASED CALL OPTIONS (Cost $414,360)				285,875

MONEY MARKET MUTUAL FUNDS—3.7%
		Shares
First American Treasury Obligations Fund—Class S		11,638,563		11,638,563

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $11,638,563)				11,638,563

TOTAL INVESTMENTS—99.5% (Cost $264,494,738)			$	307,246,745
Other Assets in excess of Liabilities—0.5%				1,434,640

NET ASSETS—100.0%			$	308,681,385

*: Non-income producing security
^: Less than 0.05% of net assets
+: This security or a portion of this security is out on loan at December 31, 2005. Total loaned securities had a market value of $7,865,238 at December 31, 2005.
See Notes to Financial Statements

Ultra-Small Company Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Ultra-Small Company Shareholder,

Our Fund was down 0.80% in the December quarter, compared to a 1.13% return for the Russell 2000 Index, 2.02% for our peer group, the Lipper Small-Cap Stock Funds Index, and 1.42% for our primary benchmark, the CRSP Cap-Based Portfolio 10 Index. It was a poor quarter.

For the calendar year 2005, our Fund was up 2.99%, compared to 4.55% for the Russell 2000 Index, 7.63% for the Lipper Small-Cap Stock Funds Index, and 5.80% for the CRSP Cap-Based Portfolio 10 Index—also poor by our standards. In spite of placing first among all mutual funds of any kind since inception in 1994, this was the fourth year in eleven calendar years that we did not beat our primary market benchmark.

The table below presents the December quarter, six month, one-year, five-year, ten-year and life-to-date performance of our Fund and benchmarks. It was a very poor quarter, six months and calendar year.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		10 Year 1/1/96 to 12/31/05		Life-to-Date 8/5/94 to 12/31/05
Ultra-Small Company Fund	-0.80	%	6.42	%	2.99	%	27.26	%	22.54	%	22.77	%
Lipper Small-Cap Stock Funds	2.02	%	7.34	%	7.63	%	4.87	%	8.14	%	10.38	%
Russell 2000 (small companies)	1.13	%	5.88	%	4.55	%	8.22	%	9.26	%	10.78	%
CRSP Cap-Based Port. 10 Index	1.42	%	10.48	%	5.80	%	25.48	%	15.94	%	16.41	%

The Lipper Small-Cap Stock Funds Index is an index of small-company funds compiled by Lipper, Inc. The Russell 2000 Index is an unmanaged, market value weighted index, which measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,682 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. It is not possible to invest directly in an index or average. Periods longer than one year are annualized.

For the six-month (semi-annual) period, our Fund was up 6.42%, compared to the 10.48% of our primary market benchmark, the CRSP Cap-based Portfolio 10 Index of ultra-small companies. There were no major negative themes for this period, but several individual holdings took a big bite out of returns, including World Health Alternatives, Deckers Outdoor, and SFBC International.

According to data from Lipper, Inc., for the period ended December 31, 2005, the Ultra-Small Company Fund ranked 67th of 87 micro-cap funds for the last twelve months, 1st of 50 such funds for the last five years, 2nd of 13 funds for ten years and 1st of 8 funds 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.

Growth of $10,000 Invested in Ultra-Small Company Fund and Indexes from 12/31/95 to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: There were a few bright spots in an otherwise dull quarter.

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	67.4	%
2	Matrixx Initiatives Inc	Pharmaceuticals	47.3	%
3	Hurco Cos Inc	Machinery-Diversified	37.5	%
4	Lamson & Sessions Co	Electrical Compo & Equip	36.6	%
5	Benthos Inc	Machinery-Diversified	36.4	%
6	Air Methods Corp	Healthcare-Services	34.0	%
7	American Retirement Corp	Healthcare-Services	33.5	%
8	Monarch Casino & Resort Inc	Lodging	33.0	%
9	Celadon Group Inc	Transportation	29.2	%
10	Intevac Inc	Machinery-Diversified	29.1	%

Our performance in the December quarter was poor amid the lack-luster performance of ultra-small companies generally. Only one ultra-small company gave us better than 50% performance for the quarter. We first bought Hansen Natural in the spring of 2004 at just under $14.00 per share, and it remained a buy for the Fund through the fall. By June of 2005, when the price rose to over $81.00, we did some trimming to avoid over exposure. Although it was an ultra-small company at the time of purchase, it is not so small any more, so we expect to continue in selling mode. It's a great "little company makes good" story. Hubert Hansen started making fresh, non-pasteurized juices for film studios and retailers in Southern California in the 30's. Lately, with the addition of smoothies, ready-to-drink iced teas, juice cocktails and energy drinks, its brands have caught the public's attention. Forbes listed Hansen in first place in its "200 Best Small Companies" for 2005, with "new energy drinks targeted at the youth sports market and white-collar workforce." (We gathered our staff recently for a Hansen taste test—the juices were the staff's favorites; I liked the ginseng drink.) Hansen also tops our list of best performers for the year, increasing a whopping 312%.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: The Fund had two stocks that lost over 50% this quarter, which, together, cost us about 2.5% in return. That hurts!

Rank	Description	Industry	% Loss
1	SFBC International Inc	Commercial Services	-63.4	%
2	Forward Industries Inc	Textiles	-56.1	%
3	Wireless Xcessories Group	Telecommunications	-38.4	%
4	Sterling Construction Co Inc	Engineering & Construction	-35.0	%
5	Wilsons The Leather Experts	Retail	-33.8	%
6	Mikohn Gaming Corp	Entertainment	-28.5	%
7	Dominion Homes Inc	Home Builders	-25.7	%
8	FieldPoint Petroleum Corp	Oil & Gas	-25.5	%
9	Sun Hydraulics Corp	Metal Fabricate/Hardware	-25.4	%
10	Nash Finch Co	Food	-24.9	%

SFBC International provides clinical research studies to branded and generic pharmaceutical and biotechnology companies around the world. It had been a steady performer from our original purchase in mid-2002. Then came bad news. In early November, Bloomberg News published an article entitled," Big Pharma's Shameful Secret," making allegations of substandard clinical human drug testing procedures, hazardous conditions in their buildings, and corporate mismanagement. The stock fell over 26% on the news. In mid-December several company officers either resigned or retired, the company lowered its profit forecast for 2005 and analysts revised their recommendation from "outperform" to "neutral." The stock fell another 42%, in spite of the fact that a third party investigation exonerated the company of some of the external claims. I believe that the stock may be currently significantly undervalued, but we follow the sell discipline of our process. We sold the last of our holdings in early 2006.

Forward Industries, maker of carrying cases for cell phones, laptops and other equipment, is our second worst performer for the quarter. Timing of product shipments, pricing pressures and higher operating costs are a bad combination and caused the Florida-based company's recent price tumble.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Although there are very few ultra-small companies in the Energy Industry, the hot spot in the broader market for calendar 2005, we had seven stocks that returned over 80%.

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	312.0	%
2	Learning Care Group Inc	Commercial Services	127.1	%
3	American Retirement Corp	Healthcare-Services	113.2	%
4	Somanetics Corp	Healthcare-Products	107.7	%
5	Building Material Holding Corp	Distribution/Wholesale	90.2	%
6	Columbus McKinnon Corp/NY	Machinery-Diversified	82.3	%
7	Matrixx Initiatives Inc	Pharmaceuticals	80.6	%
8	Clean Harbors Inc	Environmental Control	68.0	%
9	Kendle International Inc	Commercial Services	67.7	%
10	Riviera Holdings Corp	Lodging	62.7	%

As discussed for the quarter, Hansen was also the darling for the year. We sure hate to see it grow out of this asset class. Like kudzu vines that keep growing back, we completed a second major round of trimming this January 2006. Learning Care Group, our number two stock for the year, is a provider of

early child care and educational services for children from six weeks to 12 years. 459 centers serve 69,000 children in 25 states and internationally. From our initial purchases in the summer of 2004, the stock price appreciated about 75% to $5.45. On November 15 of last year its board announced a cash merger agreement with A.B.C. Learning Centres Limited of Australia for a purchase price of $7.50 per share. Predictably, the next day, the stock closed at $7.45. Our dilemma: hold out for another 2%? Or take the less risky early bailout at $7.45? We elected the certainty—and to put the appreciation into another good stock with greater growth possibilities. We really liked this company—mainly for its performance, but also because it's just a great little organization: "...an international leader in child education and family solutions, which impact and inspire lifelong learning," according to its mission statement. "The rest of the story" is that on January 10, 2006 shareholders approved the cash merger, which took place at $7.50.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: The combination of accounting problems and officer resignation in today's market can be "sudden death" for a stock price.

Rank	Description	Industry	% Loss
1	World Health Alternatives Inc	Commercial Services	-92.7	%
2	Navarre Corp	Distribution/Wholesale	-65.2	%
3	Atlantis Plastics Inc	Miscellaneous Manufacturer	-61.6	%
4	Innodata Isogen Inc	Software	-53.9	%
5	Deckers Outdoor Corp	Apparel	-49.0	%
6	Wireless Xcessories Group	Telecommunications	-48.5	%
7	Friedman Industries	Iron/Steel	-46.7	%
8	SFBC International Inc	Commercial Services	-44.7	%
9	Olympic Steel Inc	Iron/Steel	-44.6	%
10	IC Isaacs & Co Inc	Apparel	-43.6	%

World Health Alternatives is a medical staffing company that provides medical, professional and administrative staffing services to the healthcare industry. As reported at the end of the September quarter, very soon after we bought it, the stock began tumbling as the company lost its CEO and CFO, its accounting firm was forced to restate its financial results, it got buried under class-action lawsuits, and it became the subject of an investigation by the SEC. In one week the stock price went from $2.37 to $0.41.Why didn't we sell the company well before it plummeted to $0.41? See page 7.

Top Ten Holdings

At quarter end, Consumer, Non-cyclical stocks comprised our largest sector representation at 30.7% of net assets, followed by Industrial at 27.7% and Consumer, Cyclical at 12.1%. Our top ten holdings represented 37.7% of net assets, higher than normal.

Rank		Description	Industry	Percent of Net Assets
1		Hansen Natural Corp	Beverages	9.0	%
2		Matrixx Initiatives Inc	Pharmaceuticals	4.3	%
3		Edge Petroleum Corp	Oil & Gas	3.9	%
4		Celadon Group Inc	Transportation	3.7	%
5		Lamson & Sessions Co/The	Electrical Compo & Equip	3.0	%
6		Ventiv Health Inc	Advertising	2.9	%
7		Columbus McKinnon Corp/NY	Machinery-Diversified	2.9	%
8		Intevac Inc	Machinery-Diversified	2.8	%
9		Parlux Fragrances Inc	Cosmetics/Personal Care	2.6	%
10		Cutera Inc	Healthcare-Products	2.6	%

	Total			37.7	%

Industry Sector Representation as of December 31, 2005

Sector		% of Net Assets		CRSP Portfolio 10 Index		Difference
Basic Materials		0.4	%	2.4	%	-2.0	%
Communications		4.2	%	11.3	%	-7.1	%
Consumer, Cyclical		12.1	%	12.3	%	-0.2	%
Consumer, Non-cyclical		30.7	%	25.0	%	5.7	%
Energy		5.9	%	3.2	%	2.7	%
Financial		4.0	%	22.5	%	-18.5	%
Industrial		27.7	%	12.2	%	15.5	%
Technology		4.1	%	10.0	%	-5.9	%
Utilities		0.0	%	1.0	%	-1.0	%
Diversified		0.0	%	0.1	%	-0.1	%
Cash		10.9	%	0.0	%	10.9	%

	Total	100.0	%	100.0	%

Calendar Year Comparisons by Company Size

The Short Version: The very largest and the very smallest companies were the most "performance challenged" for the calendar year.

As you can see in the following table, the largest companies, as indicated in group one, and the smallest companies, in groups 8, 9, and 10, lagged the performance of most other groups for the year. Not atypical of this asset class, a mediocre 2005 follows the stellar performance of ultra-small stocks from 1999 through 2004. And as illustrated in the table (and as "preached" periodically by me) a critical feature of ultra-small companies is that the higher historical returns of ultra-small stocks does not happen every year; ultra-small stocks can underperform larger stocks (running counter to the long-term trend) for multi-year periods. On a recent internet chat page, a shareholder commented that he had held the sister fund Ultra-Small Company Market a full eight months and the fund just hadn't

done much. Another shareholder responded, "It's a long-term investment! You have to hold it a hundred years!" Although that's a little longer than I define "long-term," he has the right idea.

Company Size According to the CRSP Cap-Based Portfolio Indexes(1)	6 months		1 year		79 years(2)
1 (ultra-large)	5.2	%	3.7	%	9.6	%
2	8.1	%	12.0	%	11.0	%
3	8.6	%	12.4	%	11.4	%
4	6.8	%	10.6	%	11.5	%
5	9.4	%	10.1	%	11.8	%
6	4.2	%	3.2	%	11.9	%
7	7.7	%	10.5	%	11.8	%
8	9.1	%	7.6	%	11.9	%
9	6.4	%	2.0	%	12.1	%
10 (ultra-small)	10.5	%	5.8	%	14.1	%

(1): The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by the market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.
(2): December 1926 to December 2005.

Disclaimer

The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 December 31, 2005, 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 above average 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, limited financial resources and less liquid stock.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information. For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Ultra-Small Company Fund remains closed to investors as we seek to keep the nimbleness that has fared well through the years. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Ultra Small Company Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,064.24		$	5.57
Hypothetical Fund Return		$	1,000.00		$	1,019.81		$	5.45

*: Expenses are equal to the Fund's annualized expense ratio of 1.07% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—89.1%
Advertising—2.9%
	Ventiv Health Inc*	141,800	$	3,349,316
Aerospace/Defense—1.2%
	LMI Aerospace Inc*	98,100		1,391,058
Apparel—0.3%
	Bakers Footwear Group Inc*	25,000		384,500
Auto Parts & Equipment—2.0%
	Titan International Inc	136,000		2,346,000
Banks—0.9%
	Bank of the Ozarks	13,600		501,840
	First Regional Bank*	1,900		128,345
	Flag Financial Corp	1,451		24,449
	Guaranty Federal Bancshares Inc	14,800		412,920

				1,067,554
Beverages—9.0%
	Hansen Natural Corp*+	130,602		10,292,744
Biotechnology—1.4%
	Arqule Inc*	144,500		884,340
	Repligen Corp*	169,700		678,800

				1,563,140
Chemicals—0.4%
	Balchem Corp	11,700		348,777
	ICO Inc*	40,300		130,169

				478,946
Commercial Services—5.8%
	Barrett Business Services*	52,500		1,311,975
	Home Solutions Inc*	208,000		931,840
	Kendle International Inc*	35,600		916,344
	Providence Service Co*	61,800		1,779,222
	Rural/Metro Corp*	107,174		967,781
	SFBC International Inc*	45,549		729,239

				6,636,401
Computers—2.4%
	PAR Technology Corp*	85,000		2,359,600
	Synplicity Inc*	44,300		367,690

				2,727,290
Cosmetics/Personal Care—2.6%
	Parlux Fragrances Inc*	99,600		3,040,788

Distribution/Wholesale—2.7%
	Central European Distribution Corp*	44,950	$	1,804,293
	Navarre Corp* +	230,484		1,274,576

		3,078,869
Electrical Components & Equipment—3.6%
	Graham Corp	29,100		654,750
	Lamson & Sessions Co*	140,000		3,502,800

		4,157,550
Electronics—3.2%
	LeCroy Corp*	70,900		1,084,061
	NovAtel Inc*	94,400		2,606,384

		3,690,445
Engineering & Construction—1.9%
	Meadow Valley Corp*	70,400		815,232
	Sterling Construction Co*	82,100		1,381,743

		2,196,975
Environmental Control—1.1%
	Clean Harbors Inc*	45,200		1,302,212
Food—1.3%
	Cuisine Solutions*	15,000		135,000
	Spartan Stores Inc*	126,100		1,313,962

				1,448,962
Healthcare—Products—3.4%
	Cutera Inc*	115,000		3,031,400
	Somanetics Corp*	28,000		896,000

				3,927,400
Healthcare—Services—0.9%
	Air Methods Corp*	30,046		519,796
	American Retirement Corp*	22,000		552,860

				1,072,656
Insurance—2.5%
	American Physicians Capital Inc*	39,700		1,817,863
	Brooke Corp	8,500		119,000
	Citizens Inc*	32,100		174,945
	Navigators Group Inc*	18,000		784,980

				2,896,788
Internet—0.3%
	Click Commerce Inc*	3,398		71,426
	Raindance Communications Inc*	146,000		297,840

				369,266
Leisure Time—2.1%
	Aldila Inc	93,600		2,380,248

Lodging—1.2%
	Monarch Casino & Resort Inc*	60,000	$	1,356,000
Machinery—Diversified—5.8%
	Columbus McKinnon Co*	150,000		3,297,000
	Intevac Inc*	239,600		3,162,720
	Paragon Technologies Inc*	19,500		194,025

				6,653,745
Media—0.2%
	Metromedia International Group*	122,700		185,277
Metal Fabricate/Hardware—1.7%
	AM Castle & Co*	83,600		1,825,824
	Webco Industries Inc*	1,550		103,850

				1,929,674
Miscellaneous Manufacturing—1.4%
	PW Eagle Inc	77,200		1,582,600
Oil & Gas—5.9%
	Barnwell Industries	17,400		436,740
	Edge Petroleum Corp*	178,600		4,448,926
	FieldPoint Petroleum*	77,600		534,664
	Vaalco Energy Inc*	324,600		1,376,304

				6,796,634
Pharmaceuticals—6.4%
	Anika Therapeutics Inc*	170,525		1,993,437
	Matrixx Initiatives Inc*	234,984		4,922,915
	Neogen Corp*	20,100		422,301

				7,338,653
Retail—3.8%
	Books-A-Million Inc	37,900		367,251
	EZ CORP Inc*	164,406		2,512,124
	The Pantry Inc*	21,200		996,188
	Zones Inc*	88,000		440,880

				4,316,443
Savings & Loans—0.5%
	Pacific Premier Bancorp Inc*	48,900		577,020
Semiconductors—1.7%
	BTU International*	150,700		1,900,312
Software—0.0%^
	Unify Corp*	101,837		34,625
Telecommunications—0.8%
	NMS Communications*	242,100		844,929
	RIT Technologies Ltd.*	47,000		109,510

				954,439

Transportation—7.8%
	Celadon Group Inc*	147,000	$	4,233,600
	Maritrans Inc	36,000		936,720
	SCS Transportaion*	111,400		2,367,250
	USA Truck Inc*	47,700		1,389,501

				8,927,071

TOTAL COMMON STOCKS (Cost $69,687,508)				102,351,601

MONEY MARKET MUTUAL FUNDS—7.0%
First American Treasury Obligations Fund—Class S		8,048,230		8,048,230

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $8,048,230)				8,048,230

TOTAL INVESTMENTS—96.1% (Cost $77,735,738)			$	110,399,831
Other Assets in excess of Liabilities—3.9%				4,472,580

NET ASSETS—100.0%			$	114,872,411

*: Non-income producing security
^: Less than 0.05% of net assets
+: This security or a portion of this security is out on loan at December 31, 2005. Total loaned securities had a market value of $11,321,236 at December 31, 2005.
See Notes to Financial Statements

Ultra-Small Company Market Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Ultra-Small Company Market Fund Shareholder,

Our Fund was up 9.05% in the six months from July through December of 2005. For the same period, our primary benchmark, the CRSP Cap-Based Portfolio 10 Index, was up 10.48%, our peer benchmark, the Lipper Small-Cap Stock Funds Index, was up 7.34%, and the Russell 2000 Index was up 5.88%. It was a strong period in absolute terms, but mixed relative to our benchmarks.

For the calendar year, the Fund was up 4.08%, lagging our primary market benchmark by 1.72%, more than the amount of our expense ratio (0.73% for the calendar year period.) This was the third calendar year of the last eight that we lagged our primary market benchmark. While I expect year-to-year fluctuations relative to our benchmark, I'm much happier when they're on the positive side—as is true of the annualized period since inception. Our strategy of holding positions longer than would be required by the Index's quarterly rebalancing reduces turnover and, I believe, works to our advantage in most market environments; however, it put a drag on relative performance in 2005. A smaller piece of the underperformance was due to our selling stocks to meet shareholder redemption requests in the first half of 2005. If we could turn back the hands of time, I would have recommended reopening our Fund to new investors earlier than we did (June, 2005).

The table below presents our six months, one-year, five-year, and life-to-date financial results according to the formula required by the SEC.

	6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		Life-to-Date 7/31/97 to 12/31/05
Ultra-Small Company Market Fund	9.05	%	4.08	%	23.88	%	17.10	%
CRSP Cap-Based Portfolio 10 Index	10.48	%	5.80	%	25.48	%	15.80	%
Lipper Small-Cap Stock Funds Index	7.34	%	7.63	%	4.87	%	7.26	%
Russell 2000 Index	5.88	%	4.55	%	8.22	%	7.27	%

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,682 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Lipper Small-Cap Stock Funds is an index of small-company funds compiled by Lipper, Inc. The Russell 2000 Index is an unmanaged, market value weighted index, which 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 or average. Periods longer than one year are annualized.

According to data from Lipper, Inc., the Ultra-Small Company Market Fund ranked 60th of 87 micro-cap funds for the calendar year, 3rd of 50 over the last five years and 6th of 30 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.

Growth of $10,000 Invested in Ultra-Small Company Market Fund and Indexes from 7/31/97 (inception) to 12/31/05

Detailed Explanation of Six Months Performance—What Worked Well

The Short Version: When they're up, they're up. (Especially volatile ultra-small stocks.) Of our top ten performers, seven doubled in price over the six-month period.

Rank	Description	Industry	% Gain
1	Anadigics Inc	Semiconductors	159.5	%
2	Supertex Inc	Semiconductors	124.5	%
3	Ladish Co Inc	Metal Fabricate/Hardware	123.7	%
4	Air Methods Corp	Healthcare-Services	116.8	%
5	Lamson & Sessions Co	Electrical Compo & Equip	111.7	%
6	Twin Disc Inc	Machinery-Diversified	104.1	%
7	TheStreet.com Inc	Internet	100.0	%
8	Castle Energy Corp	Oil & Gas	97.9	%
9	Advanced Power Technology Inc	Semiconductors	93.3	%
10	Hurco Cos Inc	Machinery-Diversified	93.1	%

Our Fund's leading industry for the period is Semiconductors and its relative, Electrical Components and Equipment. Although the chip-related industries are volatile, the consumer's appetite for the hottest and fastest electronic devices and leading-edge medical innovations does not waiver. Anadigics manufactures radio frequency integrated circuits for the growing broadband and wireless communications markets. They are more expensive, but smaller, faster and more energy efficient than silicon chips. Supertex makes analog switches and multiplexers, high voltage pulser integrated circuits and drivers primarily for ultrasound diagnostic imaging equipment, portable instruments, non-impact printers and plotters and telephone central office equipment. Advanced Power Technology makes radio frequency and switching power semiconductors, used in radio transmitters and receivers for communications, radar and avionics, as well as for induction heating, dielectric heating plasma generation and illumination. Their products are used in F-22 fighter cockpits, the Boeing 777 back-up power system and even the international space station. The remaining top performers added to our diversification over a variety of industries.

Detailed Explanation of Six Months Performance—What Didn't Work

The Short Version: And when they're down, they're really down. Six companies went down more than 50% for the period.

Rank	Description	Industry	% Loss
1	EndWave Corp	Telecommunications	-70.7	%
2	Forward Industries Inc	Textiles	-65.8	%
3	SFBC International Inc	Commercial Services	-58.2	%
4	Rigel Pharmaceuticals Inc	Pharmaceuticals	-58.0	%
5	Pharmacyclics Inc	Pharmaceuticals	-52.7	%
6	BKF Capital Group Inc	Diversified Finan Serv	-51.2	%
7	NYFIX Inc	Computers	-49.8	%
8	Gaming Partners International Corp	Entertainment	-47.0	%
9	Dominion Homes Inc	Home Builders	-45.2	%
10	TRM Corp	Office/Business Equip	-43.6	%

Oddly enough, our worst performer for the six months, EndWave Corp, is in the same industry as three of our top performers. Similar to their products, EndWave makes high frequency modules for telecom networks, defense electronics and homeland security systems. Another odd fact is that EndWave was our #1 gainer for the last fiscal year, up over 400%. What happened? Even great performers are not exempt from a skittish market. In mid-September the company said it would sell more than 3.3 million shares of stock and granted underwriters a 30-day option to buy about 500,000 in additional stock to cover over-allotments. The price dropped 16%. In late September the price dropped another 40%. What happened? Subsequently, the company announced that "management is not aware of any developments related to the company that would account for recent weakness in the company's share price and increased market activity." (Bloomberg News, September 29, 2005) Then on October 7, a hedge fund reported that it owned 4.29 million shares of End-Wave, which amounted to 40% of net assets in the fund. It had neglected to notify the SEC when its ownership exceeded the 5% threshold. EndWave subsequently filed suit for damages suffered as a result of the activities surrounding the situation. We continue to watch developments.

Forward Industries, maker of carrying cases for cell phones, laptops and other equipment, is our next worst performer for the period. Timing of product shipments, pricing pressures and higher operating costs are a bad combination and caused the Florida-based company's recent price tumble.

SFBC International provides clinical research studies to branded and generic pharmaceutical and biotechnology companies around the world. It was a steady performer from our original purchase in mid-2002. Then came bad news. In early November, Bloomberg News published an article entitled, "Big Pharma's Shameful Secret," making allegations of substandard clinical human drug testing procedures and hazardous conditions in its buildings, along with corporate mismanagement. The stock fell over 26% on the news. In mid-December several company officers either resigned or retired, the company lowered its profit forecast for 2005 and analysts revised their recommendation from "outperform" to "neutral." The stock fell another 42%, in spite of the fact that a third party investigation exonerated the company of some of the external claims. The stock may now be significantly undervalued (although that's not why we would hold it; recall that this is primarily a passively managed fund), but we harvested our losses in late 2005.

Industry Sector Representation as of December 31, 2005

Sector		% of Net Assets		CRSP Portfolio 10 Index		Difference
Basic Materials		3.4	%	2.4	%	1.0	%
Communications		10.9	%	11.3	%	-0.4	%
Consumer, Cyclical		12.0	%	12.3	%	-0.3	%
Consumer, Non-cyclical		24.2	%	25.0	%	-0.8	%
Energy		3.8	%	3.2	%	0.6	%
Financial		18.6	%	22.5	%	-3.9	%
Industrial		11.6	%	12.2	%	-0.4	%
Technology		10.2	%	10.0	%	0.2	%
Utilities		1.1	%	1.0	%	0.1	%
Diversified		0.0	%	0.1	%	-0.1	%
Cash		4.2	%	0.0	%	4.2	%

	Total	100.0	%	100.0	%

Calendar Year Comparisons by Company Size

The Short Version: The very largest and the very smallest companies were the most "performance challenged" for the calendar year.

As you can see in the following table, the largest companies, as indicated in group one, and the smallest companies, in groups 8, 9, and 10, lagged the performance of most other groups for the year. Typical of this asset class, a mediocre 2005 follows the stellar performance of ultra-small stocks from 1999 through 2004. And as illustrated in the table (and as "preached" periodically by me) the critical feature of ultra-small companies is the long-term commitment to hold through their volatile nature. On a recent internet chat page, a shareholder commented that he had held the fund a full eight months and the fund just hadn't done much. Another shareholder responded, "It's a long-term investment! You have to hold it a hundred years!" Although that's a little longer than I define "long-term," he has the right idea.

Company Size According to the CRSP Cap-Based Portfolio Indexes(1)	6 months		1 year		79 years(2)
1 (ultra large)	5.2	%	3.7	%	9.6	%
2	8.1	%	12.0	%	11.0	%
3	8.6	%	12.4	%	11.4	%
4	6.8	%	10.6	%	11.5	%
5	9.4	%	10.1	%	11.8	%
6	4.2	%	3.2	%	11.9	%
7	7.7	%	10.5	%	11.8	%
8	9.1	%	7.6	%	11.9	%
9	6.4	%	2.0	%	12.1	%
10 (ultra-small)	10.5	%	5.8	%	14.1	%

(1): The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by the market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.
(2): December 1926 to December 2005

Disclaimer

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other Fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Ultra-Small Company Market Fund. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Ultra Small Company Market Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05-12/31/05
Actual Fund Return		$	1,000.00		$	1,090.56		$	3.48
Hypothetical Fund Return		$	1,000.00		$	1,021.88		$	3.36

*: Expenses are equal to the Fund's annualized expense ratio of 0.66% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005 (Unaudited)

Industry		Company	Shares	Value
COMMON STOCKS—95.8%
	Advertising—0.9%
		Miva Inc*	201,200	$	995,940
		Traffix Inc	248,700		1,273,344
		Ventiv Health Inc*	198,300		4,683,846

					6,953,130
	Aerospace/Defense—0.6%
		Argon ST Inc*	137,600		4,262,848
		CPI Aerostructures Inc*	33,400		336,004
		EDO Corp	3,700		100,122

					4,698,974
	Agriculture—0.6%
		Andersons Inc	101,181		4,358,877
	Airlines—0.4%
		Hawaiian Holdings Inc*	4,700		18,753
		Mesa Air Group Inc*	134,600		1,407,916
		Midwest Air Group Inc*	80,200		452,328
		Pinnacle Airlines*	22,200		148,074
		World Air Holdings*	98,900		951,418

					2,978,489
	Apparel—1.1%
		Bakers Footwear Group*	51,600		793,608
		Cherokee Inc	30,500		1,048,895
		Cutter & Buck Inc	34,958		390,481
		Hartmarx Corp*	199,200		1,555,752
		Lakeland Industries Inc*	71,600		1,345,364
		Sport Haley Inc*	25,438		123,374
		Tandy Brands Accessories Inc	65,009		780,108
		United Retail Group*	140,700		1,850,205

					7,887,787
	Auto Parts & Equipment—1.0%
		Noble International Ltd	77,400		1,613,016
		Proliance Intl Inc*	197,300		1,043,717
		R&B Inc*	76,314		723,457
		Tenneco Automotive Inc*	73,000		1,431,530
		Titan International Inc	144,000		2,484,000

					7,295,720
	Banks—10.9%
		Abigail Adams National Bancorp	22,220		311,082
		American West Bancorp*	8,888		210,023
		Ameris Bancorp	73,800		1,464,192
		Appalachian Banchares Inc*	18,646		338,798
		Associated Banc-Corp	78,480		2,554,524
		Bancorp Rhode Island Inc	65,200		2,171,160
		Banctrust Financial	2,200		44,220
		Bank of America Corp	59,718		2,755,986
		Bank of Granite Corp	2,400		44,472
		Bank of the Ozarks Inc	40,800		1,505,520

BB&T Corp	1,300	$	54,483
Brookline Bancorp Inc	72,316		1,024,718
Capital Bank Corp	55,300		848,855
Capital Corp of the West	95,220		3,089,889
Capital Crossing Bank*	87,600		2,925,840
Cardinal Financial Corp	10,000		110,000
Cascade Bancorp	900		20,709
Cass Information Systems Inc	61,255		2,033,666
Center Financial Corp	135,600		3,411,696
Central Bancorp Inc	12,300		343,563
City National Corp	579		41,943
CoastFinancial holdings*	48,200		795,782
CoBiz Inc	900		16,407
Columbia Bancorp/Oregon	26,741		590,441
Commercial Bankshares Inc	10,937		386,842
Community Bancorp/CA	15,100		536,050
Community Bancorp/NV*	7,536		238,213
Fidelity Southern Corp	57,476		1,028,820
Finlay Enterprise*	68,000		664,360
First Mariner Bancorp Inc*	48,724		852,670
First Mutual Bancshares Inc	16,335		423,730
First Place Financial Corp.	14,388		346,031
First State Bancorporation	17,000		407,830
FNB Corp	26,830		822,876
FNB Corp Inc	8,640		149,990
FNB Financial Services Corp	44,218		725,175
Fulton Financial Corp	124,165		2,185,304
Gateway Financial Holdings	12,200		202,264
Glacier Bancorp Inc	972		29,209
Greater Community Bancorp	4,589		68,376
Greene County Bancshares	48,717		1,332,897
Guaranty Federal Bancshares Inc	62,556		1,745,312
Heritage Commerce Corp*	15,000		322,500
Intervest Banchares*	42,218		1,044,896
Lakeland Financial Corp	23,300		940,854
LNB Bancorp Inc	23,033		413,442
Macatawa Bank Corp	68,534		2,493,267
Main Source Financial Group	13,921		248,490
MB Financial Inc	47,818		1,692,757
Mercantile Bank Corp	37,677		1,450,565
Midsouth Bancorp Inc	17,750		479,073
MidWestOne Financial Group Inc	77,412		1,375,611
Northrim BanCorp Inc	81,878		1,920,039
North Valley Bancorp	25,300		450,846
Oak Hill Financial	42,700		1,418,494
PAB Bankshares Inc	70,000		1,277,500
Pacific Mercantile Bancorp*	70,100		1,217,637

	Pelican Financial Inc*	75,000	$	416,250
	Pinnacle Financial Partners Inc*	127,700		3,189,946
	PrivateBancorp Inc	37,200		1,323,204
	Prosperity Bancshares Inc	800		22,992
	Southcoast Financial Corp*	29,700		715,770
	Southern Community Financial	55,469		499,221
	South Financial Group Inc/The	72,457		1,995,466
	Southside Bancshares Inc	49,199		993,816
	TD Banknorth Inc	8,718		253,258
	Toronto-Dominion Bank	4,183		220,444
	Umpqua Holdings Corp	100,288		2,861,217
	UnionBanCal Corp	10,606		728,844
	United Security Bancshares	26,059		794,800
	Vail Banks Inc	78,000		1,170,000
	Valley Bancorp*	21,200		735,470
	Vineyard National Bancorp Co	91,940		2,835,430
	Virginia Commerce Bancorp*	74,718		2,173,547
	Western Sierra Bancorp*	55,122		2,005,890
	Wilshire Bancorp Inc	234,944		4,038,687
	Yardville National Bancorp	6,200		214,830

				82,788,971
Beverages—0.4%
	Green Mountain Coffee Roasters*	56,300		2,285,780
	Peet's Coffee & Tea Inc*	17,400		528,090
	Redhook Ale Brewery Inc*	23,000		72,910

				2,886,780
Biotechnology—3.4%
	Arqule Inc*	387,489		2,371,432
	Barrier Therapeutics*	9,037		74,103
	Corgentech Inc*	56,954		585,487
	Curagen*	26,848		82,692
	Curis Inc*	104,671		372,629
	Cytogen Corp*	254,700		697,878
	Cytokinetics Inc*	8,000		52,320
	Embrex Inc*	146,024		2,023,893
	Encysive Pharmaceuticals Inc*	330,900		2,610,801
	Entremed Inc*	404,784		785,281
	Genitope Corp*	111,699		888,007
	GenVec Inc*	254,585		420,065
	Illumina Inc*	52,843		745,086
	Immunogen Inc*	115,385		591,925
	Inovio Biomedical*	250,700		569,089
	Keryx Biopharmaceuticals*	57,647		843,952
	Lifecell Corp*	299,250		5,706,698
	Nanogen Inc*	236,311		619,135

	Neose Technologies*	376,178	$	726,024
	Oscient Pharmaceuticals Corp*	137,100		311,217
	Repligen Corp*	280,400		1,121,600
	Sangamo Biosciences Inc*	297,600		1,199,328
	Seattle Genetics Inc /WA*	115,055		543,059
	Sirna Therapeutics*	428,265		1,297,643
	Stratagene Corp*	53,513		537,271

				25,776,615
Building Materials—0.1%
	AAON Inc*	11,687		209,431
	Comfort Systems USA Inc	43,900		403,880
	Craftmade International	7,700		154,077
	Graham Corp	9,000		202,500

				969,888
Chemicals—1.6%
	Aceto Corp	102,046		671,463
	American Vanguard Corp	114,000		2,679,000
	Balchem Corp	80,700		2,405,667
	Landec Corp*	205,000		1,594,900
	Lesco Inc*	69,306		1,057,610
	Lumera Corp*	202,900		760,875
	NewMarket Corp*	29,200		714,232
	Quaker Chemical Corp	99,700		1,917,231
	Omnova Solutions Inc*	75,700		363,360

				12,164,338
Coal—0.1%
	Westmoreland Coal Co*	39,500		904,550
Commercial Services—3.5%
	ACE Cash Express Inc*	94,000		2,194,900
	Bankrate Inc*	144,800		4,274,496
	Cadmus Communications Corp	67,446		1,357,688
	Carriage Services Inc*	134,500		672,500
	Competitive Tech Inc*	205,600		803,896
	Cornell Cos Inc*	120,900		1,670,838
	Discovery Partners International Inc*	114,957		304,636
	EZCORP Inc*	98,200		1,500,496
	Franklin Covey Co*	192,400		1,215,968
	Geo Group Inc.*	14,400		330,192
	Healthcare Services Group	35,550		736,241
	HMS Holdings Corp*	172,800		1,321,920
	Home Solutions*	268,700		1,203,776
	Hudson Highland Group Inc*	32,590		565,762
	Kendle International Inc*	22,390		576,319
	Lenox Group Inc*	53,100		703,044
	Medifast Inc*	199,100		1,043,284
	Multi-Color Corp	59,136		1,641,024

	National Research Corp	40,300	$	697,190
	Opinion Research Corp*	17,400		97,962
	Perceptron Inc*	119,274		844,460
	Providence Services Corp*	52,992		1,525,640
	RCM Technologies Inc*	170,459		869,341
	Rent-Way Inc*	94,300		602,577

				26,754,150
Computers—3.5%
	Ansoft Corp*	50,300		1,712,715
	BindView Development Corp*	33,878		134,834
	Cyberguard Corp*	103,200		911,256
	Dataram Corp	82,533		434,124
	Delphax Technologies Inc*	21,350		55,937
	Dynamics Research Corp*	80,900		1,249,905
	Immersion Corp*	221,226		1,457,879
	InterVoice Inc*	257,500		2,049,700
	LaserCard Corp*	154,000		2,308,460
	Merge Technologies Inc*	59,200		1,482,368
	Neoware Systems*	110,000		2,563,000
	Netscout Systems Inc*	149,030		812,214
	Planar Systems Inc*	68,546		573,730
	Printronix Inc	69,800		1,072,128
	Rimage Corp*	120,069		3,479,600
	SI International Inc*	76,700		2,344,719
	TechTeam Global Inc*	159,170		1,598,067
	Tier Technologies Inc*	176,500		1,295,510
	Transact Technologies*	122,031		964,045
	Xanser Corp*	151,200		444,528

				26,944,719
Cosmetics/Personal Care—1.6%
	Chattem Inc*	5,800		211,062
	Parlux Fragrances Inc*	381,363		11,643,012

				11,854,074
Distribution/Wholesale—0.9%
	Brightpoint Inc*	69,562		1,928,954
	Central European Distribution Corp*	34,750		1,394,865
	Huttig Building Products*	31,800		267,120
	Navarre Corp* +	521,700		2,885,001

				6,475,940
Diversified Financial Services—1.1%
	Asta Funding Inc	62,100		1,697,814
	BKF Capital Group Inc	43,100		816,745
	Consumer Portfolio Services*	332,800		1,912,934
	Nicholas Financial	118,500		1,245,435
	Sanders Morris Harris Group Inc	85,509		1,401,493
	United PanAm Financial Corp*	53,100		1,373,697

				8,448,118

Electric—0.3%
	Central Vermont Publishing	42,800	$	770,828
	Green Mountain Power Corp	51,100		1,470,147
	Unitil Corp	9,400		235,940

				2,476,915
Electrical Components & Equipment—1.1%
	Active Power Inc*	290,009		1,116,535
	American Superconductor Corp*	125,100		984,537
	C&D Technologies	114,000		868,680
	China Energy Savings*	9,000		74,880
	The Lamson & Sessions Co*	203,600		5,094,072
	Nortech Systems Inc*	1,400		8,190
	TII Network Technologies Inc*	143,700		362,124

				8,509,018
Electronics—1.4%
	Advanced Photonix Inc—Class A*	156,350		431,526
	Axsys Technologies Inc*	61,200		1,098,540
	Cal Micro Devices*	185,200		1,205,652
	Fargo Electronics Inc*	33,550		645,838
	Faro Technologies Inc*	34,900		698,000
	Frequency Electronics Inc	14,600		153,154
	Lowrance Electronics Inc	57,900		1,517,559
	Measurement Specialties Inc*	99,800		2,430,130
	OI Corp*	35,200		436,480
	Quicklogic*	248,751		982,566
	Unifi Inc*	247,300		751,792
	UQM Technologies*	17,300		66,951

				10,418,188
Energy—Alternate Sources—0.3%
	Evergreen Solar Inc*	178,400		1,899,960
Engineering & Construction—1.1%
	Cyber Optics Corp*	6,700		90,316
	Keithley Instruments	23,800		332,724
	Layne Christensen Co*	161,900		4,117,117
	LeCroy Corp*	13,600		207,944
	Mechanical Technology Inc*	16,900		47,320
	Merix Corp*	224,855		1,625,702
	Michael Baker Corp*	51,700		1,320,935
	Napco Securities System*	20,167		209,137
	Perini Corp*	5,500		132,825

				8,084,020
Entertainment—0.8%
	Canterbury Park Holdings Corp	59,400		822,690
	Fox & Hound Group*	122,581		1,886,522

	Gaming Partners Intl*	60,300	$	674,751
	Gaylord Entertainment Co*	44,852		1,955,098
	Nevada Gold & Casino*	84,000		872,760

				6,211,821
Environmental Control—1.0%
	Clean Harbors Inc*	157,947		4,550,453
	Darling International Inc*	370,100		1,469,297
	Waste Industries USA Inc	130,900		1,685,992

				7,705,742
Forest Products—0.1%
	Mercer International*	60,600		476,316
Food—1.2%
	Cal-Maine Foods Inc	211,600		1,436,764
	Imperial Sugar Co	79,016		1,073,029
	Lifeway Foods Inc*	78,151		972,198
	Monterey Gourmet Foods Co*	6,510		26,235
	Rocky Mountain Chocolate Factory Inc	59,136		962,495
	Spartan Stores Inc*	343,650		3,580,833
	Village Super Market—Class A	12,300		741,075
	Zapata Corp*	57,600		332,352

				9,124,981
Gas—0.4%
	Chesapeake Utilities Corp	57,400		1,767,920
	EnergySouth Inc	44,250		1,185,015

				2,952,935
Hand/Machine Tools—0.1%
	Starrett (L.S.) Co—Class A	29,200		453,768
Healthcare—Products—5.0%
	Abaxis Inc*	169,700		2,796,656
	Atrion Corp	39,148		2,718,046
	Cardiac Science Corp*	53,409		483,352
	Cardiotech International Inc*	11,500		25,875
	Compex Technologies Inc*	45,240		295,870
	Criticare Systems Inc*	60,350		299,336
	Encore Medical Corp*	111,400		551,430
	Endologix Inc*	80,000		552,000
	LCA-Vision Inc	241,297		11,464,020
	Lifecore Biomedical Inc*	217,646		3,532,395
	Merit Medical Systems Inc*	17,500		212,450
	Natus Medical Inc*	111,000		1,791,540
	NMT Medical Inc*	161,800		2,588,800
	PhotoMedex Inc*	153,900		264,708
	Somanetics Corp*	234,200		7,494,400
	Spectranetics Corp*	87,400		983,250
	SRI/Surgical Express Inc*	6,755		40,530
	Tutogen Medical Inc*	192,800		574,544
	Utah Medical Products Inc	49,900		1,598,796
	Vital Images Inc*	1,851		48,404

				38,316,402

Healthcare—Services—2.5%
	Air Methods Corp*	61,555	$	1,064,901
	Almost Family Inc*	5,800		92,800
	Amedisys Inc*	171,100		7,227,264
	America Service Group Inc*	101,800		1,614,548
	Bio-Reference Labs Inc*	135,600		2,550,636
	Five Star Quality Care Inc*	171,900		1,352,853
	Medcath Corp*	50,020		927,871
	NovaMed Inc*	181,100		1,182,456
	Option Care Inc	7,312		97,688
	Penn Treaty American*	52,300		3,072,102
	Radiologix Inc*	58,500		178,425

				19,361,544
Home Builders—0.4%
	AMREP Corp*	4,000		104,520
	Cavco Industries Inc*	32,000		1,224,960
	Dominion Homes Inc*	4,772		50,774
	Dover Motorsport	10,800		65,988
	Hovnanian Enterprises Inc—Class A*	822		40,804
	Meritage Corp*	1,800		113,256
	Nobility Homes Inc	28,500		770,070
	Silverleaf Resorts*	170,500		555,830
	Technical Olympic USA Inc	1,406		29,653

				2,955,855
Home Furnishings—0.5%
	Cobra Electronics Corp*	100,675		1,346,024
	Koss Corp	4,138		108,167
	Stanley Furniture Co Inc	88,600		2,053,748

				3,507,939
Household Products/Wares—0.3%
	CNS Inc	105,050		2,301,646
	Nashua Corp*	38,600		270,972

				2,572,618
Housewares—0.3%
	Enesco Group Inc*	17,700		32,568
	Libbey	110,300		1,127,266
	Lifetime Brands Inc	57,000		1,178,190

				2,338,024
Insurance—2.1%
	Affirmative Insurance	5,400		78,786
	American Independence Corp*	45,135		518,601
	Capital Title Group	183,700		1,015,861
	Ceres Group Inc*	354,900		1,834,833
	Donegal Group Inc	139,069		3,231,964
	Fidelity National Title Group	8,039		195,750
	Fidelity National Financial Inc	45,941		1,690,169
	Investors Title Co	56,432		2,380,866

	Meadowbrook Insurance Group Inc*	370,400	$	2,163,136
	Merchants Group Inc	3,400		102,510
	Penn Treaty American*	130,400		1,309,216
	Procentury Corp	71,000		763,250
	SCPIE Holdings Inc*	18,200		378,560
	21st Century Holdings	6,800		116,348
	United America Indemnity*	28,704		527,006

				16,306,856
Internet—4.6%
	Aladdin Knowledge Systems*	51,974		894,992
	Answerthink Inc*	242,700		1,031,475
	Art Technology Group*	498,642		977,338
	Blue Coat Systems Inc*	55,300		2,528,316
	Captiva Software Corp*	232,000		5,162,000
	Digitas Inc*	134,521		1,684,203
	ePlus Inc*	100,800		1,394,265
	Expedia Inc*	144,098		3,452,588
	Harris Interactive Inc*	70,300		302,993
	IAC/InteractiveCorp*	144,098		4,079,414
	I-Many Inc*	523,200		732,480
	Imergent Inc*	90,100		594,660
	Jupitermedia Corp*	164,000		2,423,920
	Knot Inc*	186,800		2,136,992
	Online Resources Corp*	158,500		1,751,425
	Quotesmith.com Inc*	30,400		91,200
	Raindance Communications Inc*	501,606		1,023,276
	Selectica Inc*	18,714		53,335
	TheStreet.com Inc*	246,800		1,779,428
	Tumbleweed Communications*	380,100		1,170,708
	United Online Inc	14,029		199,492
	Valueclick Inc*	38,914		704,733
	Watchguard Tech*	289,200		1,070,040

				35,239,273
Iron/Steel—1.5%
	Friedman Industries	98,300		578,987
	Great Northern Iron Ore Properties	12,000		1,671,000
	Olympic Steel Inc*	72,800		1,809,080
	Oregon Steel Mills Inc*	170,000		5,001,400
	Roanoke Electric Steel Corp	90,000		2,124,000

				11,184,467
Leisure Time—0.5%
	Aldila Inc	78,979		2,008,436
	Ambassadors International Inc	77,600		1,202,800
	Pegasus Solutions*	84,610		758,952

				3,970,188

Lodging—0.6%
	Jameson Inns Inc*	296,728	$	637,965
	Monarch Casino & Resort Inc*	164,800		3,724,480

				4,362,445
Machinery-Diversified—2.0%
	Columbus McKinnon Co*	35,700		784,686
	Gehl Co*	165,150		4,335,188
	Hurco Cos Inc*	219,934		6,778,366
	Twin Disc Inc	68,200		3,047,858

				14,946,098
Media—0.7%
	4Kids Entertainment*	10,600		166,314
	New Fontier Media*	121,142		791,057
	Point.360*	61,200		109,548
	Sirius Satellite Radio Inc*	582,300		3,901,410

				4,968,329
Metal Fabricate/Hardware—0.5%
	Hawk Corp*	17,400		255,258
	Ladish Co Inc*	64,700		1,446,045
	NN Inc	7,608		80,645
	Northwest Pipe Co*	75,600		2,026,080

				3,808,028
Mining—0.2%
	Kinross Gold Corp*	22,353		206,095
	US Lime & Minerals*	53,700		1,421,439

				1,627,534
Miscellaneous Manufacturing—1.9%
	Ceradyne Inc*	122,625		5,370,975
	Charles & Colvard+	12,925		261,085
	EnPro Industries Inc*	13,600		366,520
	Flanders Corp*	270,542		3,289,791
	Park-Ohio Holdings Corp*	235,715		3,323,582
	Raven Industries Inc	35,600		1,027,060
	Steinway Instruments*	45,800		1,168,358

				14,807,371
Office/Business Equipment—0.0%^
	Compx International	12,100		193,842
Oil & Gas—2.8%
	ATP Oil & Gas Corp*	188,700		6,983,787
	Brigham Exploration Co*	176,600		2,094,476
	Castle Energy Corp	7,650		186,660
	Edge Petroleum Corp/DE*	109,618		2,730,584
	Giant Industries Inc*	133,800		6,952,248
	Meridian Resource Corp*	404,000		1,696,800
	Remington Oil & Gas Corp*	1,400		51,100
	Royale Energy Inc*	93,856		595,985

				21,291,640

Oil & Gas Services—0.6%
	Lufkin Industries Inc	95,742	$	4,774,654
Packaging & Containers—0.2%
	AEP Industries Inc*	58,800		1,470,000
Pharmaceuticals—5.5%
	Anika Therapeutics Inc*	155,400		1,816,626
	BioScript Inc*	98,661		743,904
	Dov Pharmaceuticals Inc *	158,400		2,325,312
	Dusa Pharm. Inc*	131,400		1,415,178
	Dyax Corp*	107,400		565,998
	Eli Lilly & Co	34,669		1,961,919
	Emisphere Technologies Inc *	144,800		628,432
	First Horizon Pharmaceutical Corp*	279,200		4,816,200
	Genta Inc*	1,074,000		1,568,040
	HealthExtras Inc *	21,900		549,690
	Hemispherx Biopharmaceuticals*	333,300		723,261
	Hi-Tech Pharmacal Co Inc *	112,476		4,981,562
	Hollis-Eden Pharmaceuticals *	132,160		639,654
	Indevus Pharmaceuticals*	442,800		2,386,692
	Integrated Biopharma Inc*	54,100		219,105
	Intrabiotics Pharmaceuticals Inc *	61,300		221,293
	Introgen Therapeutics Inc *	167,875		884,701
	Ista Pharmaceuticals Inc*	101,400		644,904
	Mannatech Inc	90,680		1,252,291
	Matrixx Initiatives Inc *	90,300		1,891,785
	Memory Pharmaceuticals*	263,772		601,400
	National Medical Health Cardinal *	103,408		2,812,698
	Natural Health Trend*	87,600		845,340
	Neogen Corp *	69,281		1,455,594
	Nuvelo Inc *	136,104		1,103,803
	Pain Therapeutics Inc *	114,000		770,640
	Penwest Pharmaceuticals Co *	28,000		546,560
	Pharmacyclics Inc *	142,300		505,165
	Rigel Pharmaceuticals Inc*	35,566		297,332
	ViroPharma Inc*	125,800		2,333,590
	Vivus Inc *	163,600		484,256

				41,992,925
Real Estate—1.1%
	California Coastal Communities Inc *	109,900		4,311,377
	Consolidated—Tomoka Land Co*	43,800		3,105,420
	United Capital Corp *	26,100		643,887
	Wilshire Enterprises Inc *	27,300		212,667

				8,273,351

Retail—5.0%
	America's Car Mart Inc *	92,220	$	1,523,474
	Blair Corp	33,000		1,285,020
	Books-A-Millions Inc	191,906		1,859,569
	Buffalo Wild Wings Inc*	28,600		949,806
	Celebrate Express*	24,100		325,350
	Collegiate Pacific	154,200		1,403,220
	Dave & Buster's Inc *	143,600		2,528,796
	Famous Dave's Of America Inc *	158,800		1,789,676
	First Cash Financial Services Inc *	116,250		3,389,850
	Friendly's Ice Cream Corp *	97,900		841,940
	Frisch's Restaurants Inc	47,800		1,168,710
	GTSI Corp *	17,086		119,602
	Hastings Entertainment Inc *	33,500		183,580
	JOS A Bank Clothiers Inc *	40,125		1,741,826
	Kirkland's Inc*	68,500		408,945
	Luby's Inc *	252,700		3,360,910
	Main Street Restaurant Group *	10,100		44,339
	The Pantry Inc *	3,300		155,067
	Perry Ellis International Inc*	65,800		1,250,200
	Restoration Hardware*	160,745		967,685
	REX Stores Corp*	105,700		1,589,728
	Riviera Holdings Corp*	106,100		1,738,979
	Rocky Shoes & Boots*	55,100		1,342,236
	Rush Enterprises Inc—Class A*	43,600		648,768
	Rush Enterprises Inc—Class B*	43,600		627,840
	The Sportsman's Guide Inc *	165,900		3,956,715
	TweeterHome Entertainment*	280,000		1,601,600
	Wilsons The Leather Experts *	159,996		580,785
	Zones Inc *	60,000		300,600

				37,684,816
Savings & Loans—3.0%
	American Bancorp NJ	84,213		835,393
	Berkshire Hills Bancorp Inc	24,900		834,150
	Beverly Hills Bancorp	4,700		48,739
	BFC Financal Corp*	83,372		460,213
	Carver Bancorp Inc	53,600		821,688
	Centrue Financial Corp*	26,000		683,800
	Cooperative Bankshares Inc	10,100		205,535
	Fidelity Bancorp Inc	47,512		896,551
	FirstBank NW Corp	21,492		683,875
	First Pactrust Bancorp Inc	53,800		1,464,113
	Harrington West Financial Group Inc	86,320		1,437,427
	Heritage Financial Corp	6,405		156,410
	HMN Financial Inc	55,300		1,631,350
	Horizon Financial Corp	24,300		530,712
	LSB Corp	76,350		1,324,673

	MASSBANK Corp	20,536	$	676,661
	NewAlliance Bancshares Inc	67,028		974,587
	NewMil Bancorp Inc	32,900		980,420
	Northeast Bancorp	4,700		112,800
	Pacific Premier Bancorp *	28,400		335,120
	Provident Financial Hldgs	17,550		461,565
	Pulaski Financial Corp	113,193		2,032,946
	PVF Capital Corp	83,292		875,399
	Rainier Pacific Financial Group Inc*	45,200		723,657
	Riverview Bancorp Inc	25,800		601,398
	Sterling Financial Corp*	1,206		30,126
	Synergy Financial Group	21,400		268,356
	Teche Holding Co	11,400		445,854
	Timberland Bancorp Inc	19,800		464,528
	Union Community Bancorp	29,839		798,193
	Washington Savings Bank FSB	95,850		833,895
	Willow Grove Bancorp	6,011		90,946

				22,721,080
Semiconductors—3.0%
	Advanced Power Technology Inc *	206,500		2,814,595
	All American Semiconductor*	13,200		52,140
	Anadigics Inc*	402,158		2,412,948
	BTU International*	81,473		1,027,366
	Diodes Inc *	63,225		1,963,136
	ESS Technology*	292,103		1,001,913
	IXYS Corp*	45,110		527,335
	Kopin Corp*	132,300		707,805
	LogicVision Inc*	52,194		65,243
	Mindspeed Tech*	323,000		759,050
	Monolithic System*	184,709		1,015,900
	Pericom Semiconductors*	176,000		1,402,720
	Rudolph Technologies*	61,200		788,256
	SBS Technologies Inc*	12,723		128,121
	Spire Corp*	13,200		98,340
	Supertex Inc*	62,100		2,747,925
	Therma-Wave Inc*	392,200		560,846
	Transwitch Corp*	886,400		1,622,112
	TRM Corp*	78,400		584,080
	Virage Logic Corp*	159,800		1,578,824
	White Electronic Designs Corp *	171,400		875,854

				22,734,509
Services, Business—0.0%^
	RAE Systems, Inc*	37,405		131,292
Software—4.5%
	Actuate Corp*	570,200		1,790,428
	Allscripts Healthcare Soutions Inc *	94,453		1,265,670
	American Software	31,038		202,926
	Authentidate Holding Corp*	334,299		645,197

	CAM Commerce Solutions Inc	93,900	$	1,954,050
	Computer Programs & Systems	16,547		685,542
	Concur Technologies Inc *	112,900		1,455,281
	Ceva Inc*	142,296		890,773
	Digi International Inc *	112,936		1,184,699
	Digital Angel Corp*	251,050		775,745
	DocuCorp International Inc *	77,872		496,045
	Document Sciences Corp *	8,788		70,304
	Dot Hill Systems*	193,800		1,343,034
	Embarcadero Technologies Inc.*	8,600		62,608
	Intervideo, Inc. *	43,700		461,035
	INVESTools, Inc. *	22,700		122,580
	Manugistics*	708,100		1,239,175
	MetaSolv Inc*	255,093		739,770
	Mind CTI Ltd	318,495		834,457
	Moldflow Corp *	163,600		2,280,584
	MSC Software Corp*	42,200		717,400
	Napster Inc*	208,000		732,160
	Nuance Communications *	130,592		996,416
	PAR Technology Corp*	7,200		199,872
	Perficient Inc*	133,300		1,187,703
	Pervasive Software Inc *	174,800		765,624
	Phoenix Technologies*	186,581		1,167,997
	QAD Inc	49,150		375,506
	Quality Systems Inc *	46,000		3,530,960
	TradeStation Group Inc *	245,974		3,045,158
	Witness Systems Inc *	138,850		2,731,180

				33,949,879
Telecommunications—4.6%
	Airspan Networks*	10,600		60,314
	Anaren Inc*	31,800		497,034
	AVI BioPharma Inc*	432,800		1,493,160
	Avici Systems Inc *	80,901		316,323
	Aware Inc *	373,800		1,659,672
	CalAmp Corp*	293,700		3,080,913
	Comarco Inc *	12,100		120,758
	Communications Systems Inc	7,000		85,960
	Comtech Telecommunications*	7,050		215,307
	Ditech Communications Corp *	191,670		1,600,445
	EndWave Corp * +	129,942		1,530,717
	Essex Corp *	11,800		201,190
	Forgent Networks Inc *	15,119		39,309
	Glenayre Technologies Inc *	541,400		1,759,550
	GlobeTel Communications *	446,000		1,645,740
	Globecomm Systems Inc *	68,500		422,645
	Hickory Tech Corp	5,895		46,512
	ID Sytems Inc*	79,100		1,886,535
	KVH Industries Inc *	148,300		1,450,374
	NMS Communications Corp*	284,300		992,207

		Optical Cable Corp*	89,225	$	486,981
		Performance Technologies Inc*	148,850		1,219,082
		Radyne Corp*	134,900		1,965,493
		RELM Wirelss Corp*	121,180		885,825
		SafeNet Inc*	27,100		873,162
		SBA Communications Corp*	11,100		198,690
		Sirenza Microdevices Inc*	360,500		1,661,905
		Spectralink Corp	110,950		1,316,977
		Stratos International*	212,779		1,297,952
		Ubiquitel Inc*	618,000		6,112,020
		Vyyo Inc*	12,031		58,110
		Warwick Valley Telephone Co	5,400		103,086
		XETA Technologies Inc*	17,700		40,710

					35,324,658
	Textiles—0.1%
		Culp Inc*	5,200		24,596
		Forward Industries*+	46,700		415,630

					440,226
	Transportation—1.6%
		Celadon Group Inc*	113,900		3,280,320
		HUB Group Inc—Class A*	144,600		5,111,610
		Marten Transport Ltd*	168,099		3,062,764
		Patriot Transportation Holding Inc*	16,400		1,064,032

					12,518,726
	Trucking & Leasing—0.3%
		Greenbrier Cos Inc	77,800		2,209,520
	Water—0.4%
		Artesian Resources Corp—Class A	14,850		439,560
		Connecticut Water	44,700		1,095,597
		Pennichuck Corp	10,621		217,093
		York Water Co	45,700		1,181,345

					2,933,595

TOTAL COMMON STOCKS (Cost $403,155,072)					727,372,468

EXCHANGE TRADED FUNDS—1.7%
	iShares Russell 2000 Index Fund		94,100		6,276,470
	iShares Russell 2000 Value Index Fund		105,200		6,934,784

TOTAL EXCHANGE TRADED FUNDS (Cost $13,091,369)					13,211,254

MONEY MARKET MUTUAL FUNDS—2.9%
	First American Treasury Obligations Fund Class S		21,867,406		21,867,406

TOTAL MONEY MARKET MUTUAL FUNDS Cost $21,867,406)					21,867,406

TOTAL INVESTMENTS—100.4% (Cost $438,113,847)				$	762,451,128
Liabilities in excess of Other Assets—(0.4%)					(2,766,790	)

TOTAL NET ASSETS—100.0%				$	759,684,338

*: Non-income producing security
^: Less than 0.05% of net assets
+: This security or a portion of this security is out on loan at December 31, 2005.Total loaned securities had a market value of $4,683,612 at December 31, 2005.

See Notes to Financial Statements

		Unrealized Depreciation
Financial Futures
Russell 2000 E-Mini, 84 contracts, expires March 2006		$	(123,732	)

Micro-Cap Limited Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Micro-Cap Limited Shareholder,

The Fund was down 0.13% in the December quarter, compared to the 1.50% return for our primary benchmark, the CRSP Cap-Based Portfolio 9 Index, 2.02% for our peer benchmark, the Lipper Small-Cap Stock Index, and 1.13% for the Russell 2000 Index of small companies. It was a poor quarter.

I like our calendar year return a lot better. For the twelve months through December, the Fund was up 22.55%, compared to 2.00% for the CRSP Cap-Based Portfolio 9 Index, 7.63% for our peer benchmark, the Lipper Small-Cap Stock Index, and 4.55% for the Russell 2000 Index of small companies.

The table below presents our December quarter, six months, one-year, five-year, and life-to-date financial results according to the formula required by the SEC.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		Life-to-Date 6/30/98 to 12/31/05
Micro-Cap Limited Fund	-0.13	%	13.38	%	22.55	%	19.45	%	20.88	%
CRSP Cap-Based Portfolio 9 Index	1.50	%	6.37	%	2.00	%	16.18	%	11.30	%
Lipper Small-Cap Stock Funds	2.02	%	7.34	%	7.63	%	4.87	%	6.12	%
Russell 2000 Index (small stocks)	1.13	%	5.88	%	4.55	%	8.22	%	6.65	%

The CRSP Cap-Based Portfolio 9 Index is an unmanaged index of 627 micro-cap companies compiled by the Center for Research in Security Prices, with dividends reinvested. The Lipper Small Cap Stock Funds is an index of small-cap funds compiled by Lipper, Inc. The Russell 2000 Index is an unmanaged, market value weighted index, which 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 or average. Periods longer than one year are annualized.

For the six-month (semi-annual) period, our Fund was up 13.38%, compared to 5.88% for the Russell 2000 Index of small companies. As reported last quarter, our lack of energy-dependent holdings kept our Fund diversified when energy stocks lost favor. Our outperformance was due to a handful of stocks across a broad cross-section of industries.

According to data from Lipper, Inc., Micro-Cap Limited Fund ranked 1st of 87 micro-cap funds for the past twelve months, 9th of 50 such funds over the past five years, and 4th of 42 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. The graph on the following page presents our financial performance by quarter since inception.

Your Fund Needs a Scrapbook

Over the past few months, Micro-Cap Limited has been mentioned in a number of articles: Louis Rukeyser's Mutual Funds December, 2005 newsletter, Investor's Business Daily on December 6, 2005,

Kiplinger's January 2006 and February 2006 issues, Investment News' Databook 2005 published on December 19, 2005, the Wall Street Journal on January 5, 2006 and January 10, 2006 and in Business Week Online on January 13, 2006. Are we marketing the Fund? No. In fact, the Fund remains closed to new investors. However, we do appreciate the fact that the media likes to feature the Fund. Will the small-cap (and micro-cap) dominance continue? In the three- to five-year timeframe, historical patterns suggest, probably not. (Large companies will probably have their day in the sun again, though it might not be in 2006.) Will investors be selling their investments in very small companies and putting the proceeds in large companies to capture this possibility? No doubt, some will, so once again we ring the caution bell about trying to time the market. (It's very difficult to time the market, even major market moves.) Should investors check their allocation plans, to be sure they are not over-weighted in small and micro-cap stocks after such a favorable period? Absolutely. Under any circumstances, we suggest shareholders only invest money in the stock market that they can afford to leave there long term, and that they take a long-term view of these investments. Speaking of the long-term, I like this graph (but there were major bumps along the way):

Growth of $10,000 Invested in Micro-Cap Limited Fund and Indexes from 6/30/98 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Of our top-performing companies for the quarter, three had better than 50% return.

Rank	Description	Industry	% Gain
1	Multi-Fineline Electronix Inc	Electronics	64.6	%
2	Titanium Metals Corp	Mining	59.9	%
3	RPC Inc	Oil & Gas Services	53.4	%
4	Nutri/System Inc	Internet	44.0	%
5	American Retirement Corp	Healthcare-Services	33.5	%
6	Intevac Inc	Machinery-Diversified	28.0	%
7	LCA-Vision Inc	Healthcare-Products	28.0	%
8	Consolidated-Tomoka Land Co	Real Estate	24.9	%
9	Alaska Air Group Inc	Airlines	22.9	%
10	Trizetto Group	Internet	20.3	%

Our top ten performing stocks came from nine different industries. Multi-Fineline Electronix engineers, designs, and manufactures flexible printed circuit boards and component assembly solutions for electronics. Its products include mobile phone and smart mobile devices, bar code scanners, personal digital assistants, computer-storage products, printed circuits for medical applications, and blood oxygen sensors. A recent addition to the Fund, Multi-Fineline Electronix was our #2 best-performing stock in the September quarter and the #4 best stock for the calendar year at 121.1% return (although we didn't own it that full period).

Titanium reminds me of the 21st Century's elixir, the bottle of mysterious brown liquid hawked by slick salesmen to cure, energize or clean everything you could imagine. "Ti" on the periodic chart, it is a light, strong, lustrous, corrosion-resistant (including sea water and chlorine) transition metal with a white-silvery metallic color. It's used in white paint, paper, toothpaste, plastics, cement, joint replacements, tennis rackets, gemstones and air purifiers. Its alloys are used in aircraft, amour plating, naval ships, spacecraft and missiles because of its low density (60% as dense as steel), lightness and strength (as strong as steel and 43% lighter.) Our number two best performer, Titanium Metals Corporation offers titanium sponge, melted, and mill products for aerospace, industrial, and other applications. Titanium Metals has been a steady performer for the Fund for four years, making periodic appearances on our winner's list. As you'll see below, the company is our best performer for the calendar year, up a whopping 176.6%.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: One stock was down over 50% for the quarter. Our underweighting in energy compared to the market (S&P Small-cap) kept our losses to a minimum overall.

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-60.1	%
2	Horizon Health Corp	Healthcare-Services	-28.6	%
3	Building Material Holding Corp	Distribution/Wholesale	-26.8	%
4	Sun Hydraulics Corp	Metal Fabricate/Hardware	-26.2	%
5	Comtech Telecomm. Corp	Telecommunications	-24.6	%
6	Digital River Inc	Internet	-21.6	%
7	Labor Ready Inc	Commercial Services	-18.8	%
8	Gold Kist Inc	Food	-18.3	%
9	ACT Teleconferencing Inc	Telecommunications	-15.3	%
10	Clean Harbors Inc	Environmental Control	-15.1	%

Building Material Holding Corporation's performance illustrates the volatile nature of these tiny companies. It was our 11th best performing stock last quarter. It was the #1 performer for the June quarter. It is our #7 best stock for the calendar year, up 78.4%. This quarter, it's the 3rd worst performer. (Granted, -26.8% is not a dramatic downturn in the context of micro-cap companies.) The company markets and sells building products, and manufactures building components, such as lumber, millwork, floor and roof trusses, and wall panels and services to production homebuilders. Our models decided not to wait for an upturn, and we sold our holdings in Building Materials at the end of December.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Of our ten top-performing stocks, four more than doubled in return. Essentially, the four companies are not related, four different industries, four different sectors.

Rank	Description	Industry	% Gain
1	Titanium Metals Corp	Mining	176.6	%
2	Quality Systems Inc	Software	156.7	%
3	RPC Inc	Oil & Gas Services	135.9	%
4	Multi-Fineline Electronix Inc	Electronics	121.1	%
5	LCA-Vision Inc	Healthcare-Products	94.2	%
6	Trizetto Group	Internet	83.4	%
7	Building Material Holding Corp	Distribution/Wholesale	78.4	%
8	American Retirement Corp	Healthcare-Services	78.1	%
9	SS&C Technologies Inc	Software	76.0	%
10	Middleby Corp	Machinery-Diversified	70.5	%

Most of the ten companies listed above have been very consistent performers. Five of the ten were in our winners for the September quarter, and six were top ranked for the fiscal year in the June report. Quality Systems is one of those. The company sells healthcare information systems that automate medical and dental information. Its software systems include general patient information, appointment scheduling, billing, insurance claims submission and other care services. Quality Systems is in the Technology Sector, which, together with SS&C Technologies and others, added over 8% to our calendar year return. It's also our top holding at just under 5% of the portfolio.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: Two stocks lost over 50% for the calendar year, and, similar to our winners, they represented a fairly wide range of industries and sectors.

Rank	Description	Industry	% Loss
1	ACT Teleconferencing Inc	Telecommunications	-69.7	%
2	Forward Industries Inc	Textiles	-52.6	%
3	Deckers Outdoor Corp	Apparel	-43.2	%
4	CFC International Inc	Chemicals	-40.5	%
5	America Service Group Inc	Healthcare-Services	-40.2	%
6	Navarre Corp	Distribution/Wholesale	-36.7	%
7	Cantel Medical Corp	Healthcare-Products	-35.6	%
8	Olympic Steel Inc	Iron/Steel	-34.9	%
9	Digital River Inc	Internet	-34.3	%
10	ACE Cash Express Inc	Commercial Services	-33.7	%

ACT Teleconferencing, Inc. provides audio, video, data, and Web-based conferencing services to businesses and organizations in North America, Europe, and Asia Pacific. Financial difficulties in the early fall of 2005 resulting in increased loans and credit extensions created stock price jitters, and a steep drop in value, which precipitated delisting. Fortunately, its light weighting in the Fund caused very little effect overall.

Decker Outdoor makes footwear for outdoor sports and recreation under the Teva and Ugg brands. Sales continued to slide under increased competition and lack of new products. Uncharacteristically, it was a "hot potato" to our models; we held it from February to late April. As of December 30, Forward Industries and Navarre were the only companies of this list of ten decliners that we continued to own. We sold the last of our holdings in Forward after the first of the year.

Top Ten Holdings

At quarter end, Industrial comprised our largest sector representation at 32.2% of net assets, followed by Consumer, Non-cyclical at 16.3% and Communications at 13.7%. Our top ten holdings represented 37.0% of net assets.

Rank		Description	Industry	Percent of Net Assets
1		Quality Systems Inc	Software	4.9	%
2		NS Group Inc	Metal Fabricate/Hardware	4.5	%
3		Middleby Corp	Machinery-Diversified	4.4	%
4		Parker Drilling Co	Oil & Gas	4.1	%
5		American Science & Engineering Inc	Electronics	3.6	%
6		ASV Inc	Auto Manufacturers	3.5	%
7		j2 Global Communications Inc	Internet	3.3	%
8		Nutri/System Inc	Internet	2.9	%
9		Freightcar America Inc	Miscellaneous Manufacturer	2.9	%
10		Lamson & Sessions Co	Electrical Compo & Equip	2.9	%

	Total			37.0	%

Industry Sector Representation as of December 31, 2005

Sector		% of Net Assets		% S&P Small-Cap Index		Difference
Basic Materials		1.0	%	3.4	%	-2.4	%
Communications		13.7	%	3.4	%	10.3	%
Consumer, Cyclical		11.1	%	18.7	%	-7.6	%
Consumer, Non-cyclical		16.3	%	17.6	%	-1.3	%
Energy		6.1	%	7.9	%	-1.8	%
Financial		5.3	%	14.7	%	-9.4	%
Industrial		32.2	%	20.1	%	12.1	%
Technology		9.0	%	9.8	%	-0.8	%
Utilites		0.0	%	4.4	%	-4.4	%
Cash		5.3	%	0.0	%	5.3	%

	Total	100.0	%	100.0	%

Calendar Year Comparisons by Company Size

The Short Version: The very largest and the very smallest companies were the most "performance challenged" for the calendar year.

As you can see in the following table, the largest companies, as indicated in group one, and the smallest companies, in groups 8, 9, and 10, lagged the performance of most other groups for the year. Typical of this asset class, a mediocre 2005 follows the stellar performance of ultra-small stocks from 1999 through 2004. And as illustrated in the table (and as "preached" periodically by me) the critical feature of micro-cap companies is the long-term commitment to hold through their volatile nature. On a recent internet chat page, a shareholder commented that he had held another of our very small

company funds a full eight months and the fund just hadn't done much. Another shareholder responded, "It's a long-term investment! You have to hold it a hundred years!" Although that's a little longer than I define "long-term," he has the right idea.

Company Size According to the CRSP Cap-Based Portfolio Indexes(1)	6 months		1 year		79 years(2)
1 (ultra large)	5.2	%	3.7	%	9.6	%
2	8.1	%	12.0	%	11.0	%
3	8.6	%	12.4	%	11.4	%
4	6.8	%	10.6	%	11.5	%
5	9.4	%	10.1	%	11.8	%
6	4.2	%	3.2	%	11.9	%
7	7.7	%	10.5	%	11.8	%
8	9.1	%	7.6	%	11.9	%
9	6.4	%	2.0	%	12.1	%
10 (ultra-small)	10.5	%	5.8	%	14.1	%

(1): The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by the market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.
(2): December 1926 to December 2005

Disclaimer

The Fund is subject to above average market risk (volatility) and is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Micro-Cap Limited. This Fund remains open only to current investors as we seek to keep the nimbleness that has fared well through the years. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

As a shareholder of the Fund, you will incur no transaction costs from the Funds, including sales charges (loads) on purchases, on reinvested dividends, or on other distributions. There are also no redemption fees or 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 the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on July 1, 2005 and held until December 31, 2005.

Bridgeway Micro-Cap Limited Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05-12/31/05
Actual Fund Return		$	1,000.00		$	1,133.76		$	9.25
Hypothetical Fund Return		$	1,000.00		$	1,016.53		$	8.74

*: Expenses are equal to the Fund's annualized expense ratio of 1.72% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005 (Unaudited)

Industry		Company	Shares	Value
COMMON STOCKS—94.7%
	Advertising—0.5%
		Ventiv Health Inc*	16,100	$	380,282
	Airlines—2.0%
		Alaska Air Group Inc*	43,400	$	1,550,248
	Apparel—1.6%
		True Religion Apparel Inc*	80,300		1,236,620
	Auto Manufacturers—3.5%
		ASV Inc*	106,226		2,653,525
	Banks—2.5%
		City Holding Co	19,300		693,835
		First Regional Bank*	5,500		371,525
		Macatawa Bank Corp	18,653		678,596
		Old Second Bancorp Inc	5,954		182,014

					1,925,970
	Building Materials—0.1%
		ElkCorp	2,100		70,686
	Commercial Services—3.5%
		Escala Group*	49,000		993,720
		Kendle International*	31,400		808,236
		Labor Ready Inc*	39,800		828,636

					2,630,592
	Computers—1.7%
		Komag Inc*	37,000		1,282,420
	Distribution/Wholesale—0.3%
		Navarre Corp*	35,000		193,550
	Electronics—8.3%
		American Science & Engineering Inc*	44,300		2,762,991
		Itron Inc*	41,600		1,665,664
		Molecular Devices Co*	30,800		891,044
		Multi-Fineline Electronix Inc*	20,300		977,851

					6,297,550

Electronic Components & Equipment—2.9%
	Lamson & Sessions Co*	87,500		2,189,250
Environmental Control—1.5%
	Clean Harbors Inc*	38,200		1,100,542
Hand/ Machine Tools—0.7%
	Baldor Electric Co	19,600		502,740
Healthcare—Products—9.7%
	Cutera Inc*	71,000		1,871,560
	ICU Medical Inc*	3,278		128,530
	IRIS International*	66,300		1,449,318
	LCA—Vision Inc	34,550		1,641,471
	SurModics Inc*	40,200		1,486,998
	Vital Images Inc*	29,400		768,810

				7,346,687
Healthcare—Services—8.0%
	American Retirement Corp*	81,000		2,035,530
	Quality Systems Inc*	48,400		3,715,184
	Res-Care Inc*	20,300		352,611

				6,103,325
Insurance—2.0%
	Navigators Group Inc*	18,700	$	815,507
	United Fire & Casualty Co	17,389		703,037

				1,518,544
Internet—8.2%
	j2 Global Communications Inc*	58,900		2,517,386
	NutriSystem Inc*	62,000		2,233,240
	Trizetto Group Inc*	86,000		1,461,140

				6,211,766
Leisure Time—0.9%
	Ambassadors Group Inc	30,000		686,700
Machinery-Diversified—6.9%
	Columbus McKinnon Co*	57,300		1,259,454
	Intevac Inc*	50,000		660,000
	Middleby Corp*	38,200		3,304,300

				5,223,754

	Metal Fabricate/Hardware—4.5%
		NS Group Inc*	82,200	3,436,782
	Mining—2.1%
		Tennant Company	16,900	878,800
		Titanium Metals Corp*	11,800	746,468

				1,625,268
	Miscellaneous Manufacturers—2.9%
		FreightCar America Inc	45,600	2,192,448
	Oil & Gas—4.1%
		Parker Drilling Co*	285,900	3,096,297
	Oil & Gas Services—2.0%
		Lufkin Industries	3,200	159,584
		NATCO Group Inc*	28,500	583,110
		RPC Inc*	29,250	770,445
��
				1,513,139
	Real Estate—0.7%
		Consolidated Tomoka	7,900	560,110
	Retail—2.2%
		EZCORP Inc*	42,694	652,364
		Pantry Inc/The *	20,916	982,843

				1,635,207
	Software—1.3%
		Witness Systems Inc*	50,000	983,500
	Telecommunications—6.2%
		Hypercom Corp*	209,000	1,335,510
		Powerwave Technologies Inc*	100,400	1,262,028
		Sykes Enterprises*	62,600	836,962
		UbiquiTel Inc*	48,500	479,665
		Viasat Inc *	28,200	753,786

				4,667,951

	Textiles—0.6%
		Forward Industries Inc*	50,860	$	452,654
	Transportation—2.4%
		HUB Group Inc—Class A*	51,400		1,816,990
	Trucking & Leasing—0.9%
		Greenbrier Companies Inc	23,500		667,400

TOTAL COMMON STOCKS (Cost $49,769,073)					71,752,497

MONEY MARKET MUTUAL FUNDS—2.5%
	First American Treasury Obligations Fund—Class S		1,899,390		1,899,390

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $1,899,390)					1,899,390

TOTAL INVESTMENTS—97.2% (Cost $51,668,463)				$	73,651,887
Other Assets in excess of Liabilities—2.8%					2,103,817

NET ASSETS—100.0%				$	75,755,704

*: Non-income producing security

See Notes to Financial Statements

Small-Cap Growth Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Small-Cap Growth Shareholder,

Our Fund had a positive return of 3.28% for the December 2005 quarter, compared to a 1.61% return for our primary market benchmark, the Russell 2000 Growth Index, and a 1.71% return of our peer benchmark, the Lipper Small-Cap Growth Index. It was a good quarter.

For the calendar year, the Fund was up 18.24%, beating the Russell 2000 Growth Index by 14.09% and the Lipper Small-Cap Growth Index by 12.90%. We beat both benchmarks for the quarter, six-month, one year and life-to-date periods, a "clean sweep," with which I am very pleased.

The table below presents our performance for the December quarter, six month, 1 year and annualized performance since inception, followed by a graph of performance since inception.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 10/31/03 to 12/31/05
Small-Cap Growth Fund	3.28	%	12.17	%	18.24	%	15.05	%
Russell 2000 Growth Index	1.61	%	8.03	%	4.15	%	10.22	%
Lipper Small-Cap Growth Index	1.71	%	6.63	%	5.34	%	8.77	%

Performance data quoted represents past performance and is 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. For the most recent month end performance, please call 1-800-661-3550 or visit the Fund's website at www.bridgeway.com

The Russell 2000 Growth Index is an unmanaged index which 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 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.

For the six-month semi-annual period, our Fund was up 12.17%, compared to 8.03% for the Russell 2000 Growth Index and 6.63% for the Lipper Small-Cap Growth Index. Fourth quarter performance shows evidence of losing the energy boost that we had enjoyed during the third quarter; however, the six-month numbers don't show the effect.

According to data from Morningstar, Inc., our Fund ranked 9th of 774 small-cap growth funds for the last twelve months. The Fund's numeric rankings are based solely on total return performance. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

Growth of $10,000 Invested in Small-Cap Growth Fund and Indexes from 10/31/03 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Two of our ten top performers garnered over 50% return. The combined efforts of companies in the health-related arena added better than 2.5% to our Fund's quarterly return.

Rank	Description	Industry	% Gain
1	Hansen Natural Corp	Beverages	67.4	%
2	Titanium Metals Corp	Mining	59.9	%
3	Matrixx Initiatives Inc	Pharmaceuticals	47.3	%
4	Mitcham Industries Inc	Oil & Gas Services	43.2	%
5	Intuitive Surgical Inc	Healthcare-Products	34.4	%
6	American Retirement Corp	Healthcare-Services	33.5	%
7	LCA-Vision Inc	Healthcare-Products	28.0	%
8	MarineMax Inc	Retail	23.9	%
9	Astec Industries Inc	Machinery-Constr & Mining	22.5	%
10	Homestore Inc	Internet	21.2	%

We first bought Hansen Natural in the fall of 2004 at just under $26 per share, and it remained a buy for the following twelve months. Currently, it's selling for about $90 per share. It's a great "little company makes good" story. Hubert Hansen started making fresh, non-pasteurized juices for film studios and retailers in Southern California in the 30's. Lately, with the addition of smoothies, ready-to-drink iced teas, juice cocktails and energy drinks, its brands have caught the public's attention. Forbes listed Hansen in first place in its "200 Best Small Companies" for 2005, with "new energy drinks targeted at the youth sports market and white-collar workforce." (We gathered our staff recently for a Hansen taste test—the juices were the staff's favorites; I liked the ginseng drink.) Hansen is also in second place on our list of performers for the year, with a 258.2% increase, and our largest portfolio holding at 2%.

Titanium reminds me of the 21st century's elixir, the bottle of mysterious brown liquid hawked by slick salesmen to cure, energize or clean everything you could imagine. "Ti" on the periodic chart, it is a light, strong, lustrous, corrosion-resistant (including sea water and chlorine) transition metal with a white-silvery metallic color. It's used in white paint, paper, toothpaste, plastics, cement, joint replacements, tennis rackets, gemstones and air purifiers. Its alloys are used in aircraft, armor plating, naval ships, spacecraft and missiles because of its low density (60% as dense as steel), lightness and strength (as strong as steel and 43% lighter.) Our number two best performer, Titanium Metals Corporation, offers titanium sponge, melted, and mill products for aerospace, industrial, and other applications. Titanium Metals has been a steady performer for the Fund over the last year, making quarterly appearances on our winner's list. As you'll see below, the company is our best performer for the calendar year, up a whopping 424.3%.

For shareholders who own both Small-Cap Value and Small-Cap Growth Funds, you may notice that three stocks on the list above are also in Small-Cap Value. How can the same company be classified as both value and growth? At the time of purchase, a stock qualifies for only one fund. However, price changes, and to a lesser degree, changes in fundamental financial characteristics can change the designation from growth to value, especially for stocks on the margin between value and growth. Therefore, over time it is possible to have purchased a stock at different times for more than one of these funds. Similarly, a stock can grow from small to large and end up in, for instance, both the Small-Cap Value Fund and the Large-Cap Value Fund. Since we don't immediately sell a stock when it moves across one of these "boundaries," it can end up in more than one fund at the same time. Overall, there is currently a 23% "overlap" between Small-Cap Value and Small-Cap Growth Funds, most near the border of designation.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Only one company had a more than 50% drop and one additional one over 30%.

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-56.0	%
2	Calgon Carbon Corp	Environmental Control	-32.5	%
3	Comtech Telecomm. Corp	Telecommunications	-26.4	%
4	Gold Kist Inc	Food	-23.7	%
5	Kos Pharmaceuticals Inc	Pharmaceuticals	-22.6	%
6	Arqule Inc	Biotechnology	-21.8	%
7	Digital River Inc	Internet	-21.8	%
8	UGI Corp	Gas	-21.4	%
9	ADC Telecommunications Inc	Telecommunications	-19.6	%
10	MTS Systems Corp	Computers	-18.5	%

Calgon Carbon Corporation offers products and services for the purification, separation, and concentration of liquids and gases and is primarily known for water treatment. The stock price may have been affected by contract delays and higher production costs. We trimmed our exposure in October. The stock has made a fair recovery since late December, and currently, we're holding.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Of our ten top-performing stocks, four more than doubled in return. Although many companies in the Energy sector have cooled, the two small energy-related companies in the list below have continued to add to our returns.

Rank	Description	Industry	% Gain
1	Titanium Metals Corp	Mining	424.3	%
2	Hansen Natural Corp	Beverages	258.2	%
3	Southwestern Energy Co	Oil & Gas	179.3	%
4	Peabody Energy Corp	Coal	103.7	%
5	LCA-Vision Inc	Healthcare-Products	103.1	%
6	Chico's FAS Inc	Retail	93.0	%
7	SS&C Technologies Inc	Software	80.4	%
8	Matrixx Initiatives Inc	Pharmaceuticals	77.2	%
9	Intuitive Surgical Inc	Healthcare-Products	76.2	%
10	American Retirement Corp	Healthcare-Services	75.0	%

The top two gainers for the calendar year (profiled above in the quarterly section), along with eight other companies, registering 75% and above, created a winning lineup for our Fund. Southwestern Energy and Peabody Energy are at the larger end of company size for Small-Cap Growth, after recent appreciation. Four of our top ten winners are in the Consumer, Non-Cyclical Sector: LCA Vision, Matrixx Initiatives, Intuitive Surgical and American Retirement. The Fund had almost twice the weighting in this sector as the general market (S&P Small-cap,) and our models picked the cream of the crop, resulting in just shy of 4% contribution to our return from this group.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: We had four stocks that lost over 50%

Rank	Description	Industry	% Loss
1	Navarre Corp	Distribution/Wholesale	-66.1	%
2	Looksmart	Internet	-61.2	%
3	Travelzoo Inc	Internet	-59.9	%
4	Forward Industries Inc	Textiles	-56.0	%
5	Deckers Outdoor Corp	Apparel	-49.2	%
6	Artesyn Technologies Inc	Electrical Compo & Equip	-41.8	%
7	Calgon Carbon Corp	Environmental Control	-39.5	%
8	Navigant Consulting Inc	Commercial Services	-37.9	%
9	Ceradyne Inc	Miscellaneous Manufacturing	-34.3	%
10	Sapient Corp	Internet	-34.1	%

Of the ten worst-performing stocks for the calendar year, four are in the Technology sector. However, because we were not over-weighted in this group, the negative effect on performance was less than 0.5%. By December 31, 2005, we had sold all except Navarre, Forward and Ceradyne.

First place loser, Navarre Corporation, publishes and distributes home entertainment and multimedia products such as personal computer software, compact disc and DVD audio, DVD and VHS video, video games, and accessories. In mid-November when the company announced that it would be restating financials for 2003 through 2005 and had to file its September 30 report without auditor and officer certifications, it faced delisting. By month end, it had settled report filings and had

been reinstated with NASDAQ. Its share price rose 8% in early December after announcing officer changes. For now, we are "staying put."

Top Ten Holdings

At quarter end, Consumer, Non-Cyclical comprised our largest sector representation at 24.2% of net assets, followed by Energy at 16.5% and Industrial at 16.5%. Our top ten holdings represented only 15.2% of net assets, which demonstrates the diversification of this Fund. This strategy spreads the risk associated with any one company in an attempt to reduce overall portfolio volatility (and contrasts with some of our more aggressively managed styles which can place some pretty big bets on individual stocks.)

Rank		Description	Industry	Percent of Net Assets
1		Hansen Natural Corp	Beverages	2.0	%
2		Southwestern Energy Co	Oil & Gas	2.0	%
3		LCA-Vision Inc	Healthcare-Products	1.5	%
4		Cognizant Technology Solutions Corp	Computers	1.5	%
5		Matrixx Initiatives Inc	Pharmaceuticals	1.5	%
6		Intuitive Surgical Inc	Healthcare-Products	1.5	%
7		Consol Energy Inc	Coal	1.3	%
8		Urban Outfitters Inc	Retail	1.3	%
9		Chico's FAS Inc	Retail	1.3	%
10		Helmerich & Payne Inc	Oil & Gas	1.3	%

	Total			15.2	%

Industry Sector Representation as of December 31, 2005

Industry		% of Net Assets		% S&P Small-cap Index		Difference
Basic Materials		2.9	%	3.4	%	-0.5	%
Communications		9.9	%	3.4	%	6.5	%
Consumer, Cyclical		8.8	%	18.7	%	-9.9	%
Consumer, Non-cyclical		24.2	%	17.6	%	6.6	%
Energy		16.5	%	7.9	%	8.6	%
Financial		2.4	%	14.7	%	-12.3	%
Industrial		16.5	%	20.1	%	-3.6	%
Technology		12.0	%	9.8	%	2.2	%
Utilities		0.0	%	4.4	%	-4.4	%
Diversified		0.5	%	0.0	%	0.5	%
Cash		6.3	%	0.0	%	6.3	%

	Total	100.0	%	100.0	%

Disclaimer

The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those regarding 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, December 31, 2005, 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 above average market risk (volatility) and is not an appropriate investment for short-term investors. Investments in small companies carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Small-Cap Growth. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Small-Cap Growth Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,121.70		$	4.71
Hypothetical Fund Return		$	1,000.00		$	1,020.77		$	4.48

*: Expenses are equal to the Fund's annualized expense ratio of 0.88% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—93.7%
Advertising—0.2%
	Ventiv Health Inc*	12,975	$	306,469
Aerospace/Defense—2.1%
	Armor Holdings Inc*	24,800		1,057,720
	Engineered Support Systems Inc	25,350		1,055,574
	Teledyne Technologies Inc*	8,000		232,800
	United Industrial Corp	7,000		289,590

				2,635,684
Apparel—1.0%
	Guess? Inc*	27,100		964,760
	I.C. Isaacs & Co Inc*	73,000		335,070

				1,299,830
Banks—1.8%
	Corus Bankshares Inc	17,300		973,471
	First Regional Bancorp*	2,151		145,300
	Old Second Bancorp Inc	7,800		238,446
	PrivateBancorp Inc	24,200		860,794

				2,218,011
Beverages—2.0%
	Hansen Natural Corp*+	32,800		2,584,968
Biotechnology—0.8%
	ArQule Inc*	19,050		116,586
	SuperGen Inc*	184,202		930,220

				1,046,806
Chemicals—1.4%
	CFC International Inc*	39,000		547,599
	Eastman Chemical Co	17,000		877,030
	The Lubrizol Corp	8,000		347,440

				1,772,069
Coal—2.3%
	CONSOL Energy Inc	25,300		1,649,054
	Foundation Coal Holdings Inc	26,200		995,600
	Peabody Energy Corp	4,000		329,680

				2,974,334
Commercial Services—5.2%
	Barrett Business Services*	39,200		979,608
	Bright Horizons Family Solutions Inc*	8,800		326,040
	Education Management Corp*	12,300		412,173
	Home Solutions of America Inc*	198,000		887,040

	Kendle International Inc*	39,000	$	1,003,860
	Korn/Ferry International*	37,700		704,613
	Labor Ready Inc*	53,100		1,105,542
	MPS Group Inc*	83,100		1,135,977

				6,554,853
Computers—3.7%
	Ansoft Corp*	19,807		674,428
	Cognizant Technology Solutions Corp*	36,440		1,834,754
	Electronics for Imaging*	35,500		944,655
	PAR Technology Corp*	34,000		943,840
	Synplicity Inc*	37,760		313,408

				4,711,085
Cosmetics/ Personal Care—0.2%
	Chattem Inc*	6,000		218,340
�� Distribution/Wholesale—0.1%
	Navarre Corp*+	22,100		122,213
Electrical Components & Equipment—1.5%
	Graham Corp	41,900		942,750
	The Lamson & Sessions Co*	39,400		985,788

				1,928,538
Electronics—3.9%
	American Science & Engineering Inc*	17,000		1,060,290
	Checkpoint Systems Inc*	26,000		640,900
	Itron Inc*	30,200		1,209,208
	Molecular Devices Corp*	35,500		1,027,015
	Park Electrochemical Corp	40,900		1,062,582

				4,999,995
Environmental Control—0.6%
	Clean Harbors Inc*	27,000		777,870
Food—0.4%
	Gold Kist Inc*	30,000		448,500
Hand/Machine Tools—0.7%
	Baldor Electric Co	36,000		923,400
Healthcare Products—7.5%
	Cutera Inc*	46,200		1,217,832
	Hologic Inc*	25,000		948,000
	Intuitive Surgical Inc*	15,400		1,805,958
	IRIS International Inc*	44,300		968,398
	LCA-Vision Inc	38,850		1,845,764
	SurModics Inc*	18,000		665,820
	Techne Corp*	20,100		1,128,615
	Vital Images Inc*	36,300		949,245

				9,529,632

Healthcare Services—3.3%
	Amedisys Inc*	10,100	$	426,624
	American Retirement Corp*	51,400		1,291,682
	DaVita Inc*	25,785		1,305,752
	Psychiatric Solutions Inc*	9,000		528,660
	UnitedHealth Group Inc	11,250		699,075

				4,251,793
Holding Companies Diversified—0.5%
	Walter Industries Inc	13,300		661,276
Household Products/Wares—0.2%
	CNS Inc	14,000		306,740
Internet—5.0%
	CNET Networks Inc*	100,400		1,474,876
	Cybersource Corp*	127,100		838,860
	Earthlink Inc*	65,400		726,594
	Homestore Inc*	145,000		739,500
	NetFlix Inc*	23,000		622,380
	Nutri/System Inc*	24,000		864,480
	SonicWall Inc*	104,100		824,472
	United Online Inc	22,800		324,216

				6,415,378
Iron/Steel—0.6%
	Carpenter Technology Corp	10,900		768,123
Lodging—0.7%
	Riviera Holdings Corp*	52,500		860,475
Machinery-Construction & Mining—2.2%
	Astec Industries Inc*	20,000		653,200
	JLG Industries Inc	25,300		1,155,198
	Joy Global Inc	24,000		960,000

				2,768,398
Machinery Diversified—1.8%
	Intevac Inc*	62,200		821,040
	The Middleby Corp*	17,600		1,522,400

				2,343,440
Metal Fabricate/Hardware—1.0%
	Sun Hydraulics Corp	58,000		1,121,140
	The Timken Co	4,825		154,497

				1,275,637
Mining—0.9%
	Titanium Metals Corp*	18,600		1,176,636

Miscellaneous Manufacturing—1.5%
	Ceradyne Inc*	20,000	$	876,000
	Trinity Industries Inc	22,400		987,168

				1,863,168
Office Furnishing—0.7%
	HNI Corp	16,300		895,359
Oil & Gas—9.0%
	Berry Petroleum Co	18,000		1,029,600
	Cabot Oil & Gas Corp	4,000		180,400
	FieldPoint Petroleum Corp*	64,900		447,161
	Frontier Oil Corp	24,500		919,485
	Goodrich Petroleum Corp*	52,000		1,307,800
	Grey Wolf Inc*	74,000		572,020
	Helmerich & Payne Inc	24,900		1,541,559
	Holly Corp	16,000		941,920
	Parker Drilling Co*	90,000		974,700
	Southwestern Energy Co*	68,400		2,458,296
	Vintage Petroleum Inc	20,000		1,066,600

				11,439,541
Oil & Gas Services—5.1%
	Cal Dive International Inc*	25,000		897,250
	Dril-Quip Inc*	23,000		1,085,600
	Lufkin Industries Inc	18,100		902,647
	Mitcham Industries Inc*	53,500		934,645
	NATCO Group Inc*	43,400		887,964
	RPC Inc	33,880		892,399
	Superior Energy Services*	42,800		900,940

				6,501,445
Pharmaceuticals—4.6%
	Anika Therapeutics Inc*	78,200		914,158
	Kos Pharmaceuticals Inc*	13,500		698,355
	Matrixx Initiatives Inc*	87,500		1,833,125
	United Therapeutics Corp*	13,100		905,472
	Valeant Pharmaceuticals International	29,500		533,360
	Viropharma Inc*	50,000		927,500

				5,811,970
Real Estate—0.7%
	Consolidated Tomoka Land Co.	12,200		864,980
Retail—6.3%
	Chico's FAS Inc*	35,400		1,555,122
	Coldwater Creek Inc*	29,300		894,529
	MarineMax Inc*	8,250		260,452
	MSC Industrial Direct Co	30,200		1,214,644
	O'Reilly Automotive Inc*	33,800		1,081,938
	The Sportsman's Guide Inc*	60,150		1,434,578

	Urban Outfitters Inc*	61,600	$	1,559,096

				8,000,359
Semiconductors—5.0%
	BTU International Inc*	116,486		1,468,877
	Cohu Inc	38,000		869,060
	Kopin Corp*	141,396		756,469
	Nvidia Corp*	26,200		957,872
	Supertex Inc*	29,500		1,305,375
	Zoran Corp*	58,000		940,180

				6,297,833
Software—3.4%
	BMC Software Inc*	47,600		975,324
	Informatica Corp*	70,400		844,800
	Quality Systems Inc*	15,900		1,220,484
	Transaction Systems Architects Inc*	17,800		512,462
	Wind River Systems Inc*	49,000		723,730

				4,276,800
Telecommunications—4.6%
	CommScope Inc*	39,300		791,109
	Comtech Telecommunications Corp*	9,000		274,860
	Hypercom Corp*	134,700		860,733
	Lightbridge Inc*	95,355		790,493
	NMS Communications Corp*	253,400		884,366
	Powerwave Technologies Inc*	69,000		867,330
	Ubiquitel Inc*	45,900		453,951
	ViaSat Inc*	34,400		919,512

				5,842,354
Textiles—0.1%
	Forward Industries Inc*	14,000		124,600
Transportation—1.1%
	JB Hunt Transport Services Inc	60,500		1,369,720

TOTAL COMMON STOCKS (Cost $99,543,599)				119,168,622

MONEY MARKET MUTUAL FUNDS—6.9%
First American Treasury Obligations Fund—Class S		8,748,961		8,748,961

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $8,748,961)				8,748,961

TOTAL INVESTMENTS—100.6% (Cost $108,292,560)			$	127,917,583
Liabilities in excess of Other Assets—(0.6%)				(708,354	)

NET ASSETS—100.0%			$	127,209,229

*: Non-income producing security
+: This security or a portion of this security is out on loan at December 31, 2005. Total loaned securities had a market value of $2,344,655 at December 31, 2005.
See Notes to Financial Statements

Small-Cap Value Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Small-Cap Value Shareholder,

Our Fund was up 1.85% in the December 2005 quarter, compared to a 0.66% gain for our primary market benchmark, the Russell 2000 Value Index, and a 1.34% return of our peer benchmark, the Lipper Small-Cap Value Index. It was a good but not exceptional quarter.

For the calendar year, the Fund was up 18.92%, beating the Russell 2000 Value Index by 14.21% and the Lipper Small-Cap Value Index by 11.47%. We beat both benchmarks for the quarter, six-month, one year and life-to-date periods, a "clean sweep," with which I am very pleased.

The table below presents our performance for the December quarter, six month, 1 year, and annualized performance since inception, followed by a graph of performance since inception.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 10/31/03 to 12/31/05
Small-Cap Value Fund	1.85	%	12.13	%	18.92	%	18.06	%
Russell 2000 Value Index	0.66	%	3.78	%	4.71	%	15.92	%
Lipper Small-Cap Value Index	1.34	%	6.04	%	7.45	%	16.90	%

The Russell 2000 Value Index is an unmanaged index which 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 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.

For the six-month semi-annual period, our Fund was up 12.13%, compared to 3.78% for the Russell 2000 Value Index and 6.04% for the Lipper Small-Cap Value Index. Fourth quarter performance shows evidence of losing the energy boost that we had enjoyed during the third quarter; however, the six-month numbers don't show the effect.

According to data from Morningstar, Inc., our Fund ranked 2nd of 355 small-cap value funds for the last twelve months. The Fund's numeric rankings are based solely on total return performance. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

Growth of $10,000 Invested in Small-Cap Value Fund and Indexes from 10/31/03 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Three stocks gained over 50% for the December quarter. Grubb and Ellis was the top-performer out of all eleven Bridgeway mutual funds for the quarter.

Seven stocks gained more than 30% in the December quarter.

Rank	Description	Industry	% Gain
1	Grubb & Ellis Co	Real Estate	105.1	%
2	Titanium Metals Corp	Mining	59.9	%
3	Mitcham Industries Inc	Oil & Gas Services	53.3	%
4	Supertex Inc	Semiconductors	47.2	%
5	AAR Corp	Aerospace/Defense	44.3	%
6	Andersons Inc/The	Agriculture	37.4	%
7	American Retirement Corp	Healthcare-Services	34.3	%
8	Darden Restaurants Inc	Retail	29.1	%
9	WESCO International Inc	Distribution/Wholesale	26.2	%
10	SonicWALL Inc	Internet	24.7	%

Since 1958, Grubb & Ellis, a commercial real estate company, has provided a wide range of integrated real estate services to owners/investors and tenants. They advise buyers, sellers, landlords, and tenants on the sale, leasing, and valuation of commercial property, along with property management and related services for owners of investment properties. In early December, in a privately negotiated transaction, the company purchased 5.8 million shares of its common stock at $4.00 per share. According to Grubb & Ellis' CEO, "We believe our stock is undervalued by the market, and we are constantly exploring strategic initiatives designed to enhance stockholder value." The street must have agreed. The publicly-traded share price the same day was $7.10; it closed on December 30 at $11.70.

Titanium reminds me of the 21st century's elixir, the bottle of mysterious brown liquid hawked by slick salesmen to cure, energize or clean everything you could imagine. "Ti" on the periodic chart, it is a light, strong, lustrous, corrosion-resistant (including sea water and chlorine) transition metal with a white-silvery metallic color. It's used in white paint, paper, toothpaste, plastics, cement, joint replacements, tennis rackets, gemstones and air purifiers. Its alloys are used in aircraft, armor plating, naval ships, spacecraft and missiles because of its low density (60% as dense as steel), lightness and strength (as strong as steel and 43% lighter.) Our number two best performer, Titanium Metals Corporation, offers titanium sponge, melted, and mill products for aerospace, industrial, and other applications. Titanium Metals has been a steady performer for the Fund over the last year and a half. As you'll see below, the company is our best performer for the calendar year, up a whopping 424.1%.

For shareholders who own both Small-Cap Value and Small-Cap Growth Funds, you may notice that three stocks on the list above are also in Small-Cap Growth. How can the same company be classified as both value and growth? At the time of purchase a stock qualifies for only one Fund. However, price changes, and to a lesser degree, changes in fundamental financial characteristics can change the designation from growth to value, especially for stocks on the margin between value and growth. Therefore, over time it is possible to have purchased a stock at different times for more than one of these Funds. Similarly, a stock can grow from small to large and end up in, for instance, both the Small-Cap Value Fund and the Large-Cap Value Fund. Since we don't immediately sell a stock when it moves across one of these "boundaries," it can end up in more than one fund at the same time. Overall, there is currently a 23% "overlap" between these two funds, most near the border of designation.

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Except for one stock with an over-50% loss, there wasn't much not to like for the quarter in this Fund.

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-62.1	%
2	Wilsons The Leather Experts	Retail	-29.4	%
3	Dominion Homes Inc	Home Builders	-29.0	%
4	Riviera Holdings Corp	Lodging	-26.0	%
5	Building Material Holding Corp	Distribution/Wholesale	-25.1	%
6	Toll Brothers Inc	Home Builders	-24.6	%
7	MDC Holdings Inc	Home Builders	-21.4	%
8	Petroquest Energy Inc	Oil & Gas	-20.7	%
9	SuperGen Inc	Biotechnology	-19.8	%
10	Clayton Williams Energy Inc	Oil & Gas	-19.6	%

Forward Industries, maker of carrying cases for cell phones, laptops and other equipment, is our top worst performer for the quarter. Timing of product shipments, pricing pressures and higher operating costs are a bad combination and caused the Florida-based company's recent price tumble.

Five of the ten companies listed above are related to the homebuilding and materials business, industries that were hurt by the threat of a slowdown following rising interest rates. These stocks are classified in the Consumer, Cyclical Sector. Although it was our second heaviest weighted sector for the quarter, its losses were not severe, costing us about a percent of return.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: All ten of our top performers for the calendar year rendered above 50% return. Clearly, we benefited from energy holdings during the full twelve-month period.

Twelve stocks gained more than 50% in the calendar year.

Rank	Description	Industry	% Gain
1	Titanium Metals Corp	Mining	424.1	%
2	Holly Corp	Oil & Gas	104.2	%
3	Peabody Energy Corp	Coal	103.7	%
4	McDermott International Inc	Engineering & Construction	93.1	%
5	Mitcham Industries Inc	Oil & Gas Services	87.6	%
6	Humana Inc	Healthcare-Services	83.0	%
7	Grubb & Ellis Co	Real Estate	82.3	%
8	Tesoro Corp	Oil & Gas	64.8	%
9	AAR Corp	Aerospace/Defense	59.3	%
10	Consol Energy Inc	Coal	58.8	%

As outlined in the quarterly returns, Titanium Metals was the absolute bright spot for the calendar year as well. Even doubling in price, Holly Corp. and Peabody Energy Corp. are in distant second and third places. Holly's five year annualized total return of 80.7% has been reported the best in the oil and gas industry. Headquartered in Dallas, Texas, Holly Corporation is an independent petroleum refiner and marketer producing high value light products such as gasoline, diesel fuel and jet fuel. Forbes magazine has named it as one of America's best managed companies in 2005. "Holly's remarkable growth is a testament to its dedicated employees, disciplined operations and proven business strategy," said Matthew Clifton, Holly's Chief Executive Officer. Peabody Energy is one of the

biggest US coal companies, whose growth has been boosted by record production and high coal and fuel prices.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: Although a couple of stocks hovered closely, there were no holdings with losses greater than 50% for the calendar year, which helped our stats.

Rank	Description	Industry	% Loss
1	Forward Industries Inc	Textiles	-49.9	%
2	AK Steel Holding Corp	Iron/Steel	-46.0	%
3	Park-Ohio Holdings Corp	Miscellaneous Manufacturing	-43.9	%
4	InterVoice Inc	Computers	-40.4	%
5	OM Group Inc	Chemicals	-38.5	%
6	Wilsons The Leather Experts	Retail	-36.6	%
7	Bluegreen Corp	Entertainment	-36.6	%
8	Northwest Airlines Corp	Airlines	-36.2	%
9	Sapient Corp	Internet	-34.9	%
10	America Service Group Inc	Healthcare-Services	-34.7	%

Our ten stocks "in the red" were spread over ten different industries. The stock price of steelmaker AK Steel Holding Corporation, pressured by offshore producers, had a rickety ride the last three quarters of 2005. Although we sold the last of our holdings in May, its price affected our return for the year.

There is one fairly unusual statistic I want to share (and for which I am very pleased): only one sector in our Fund was in negative territory for the calendar year, and even though it was down for the year, it beat our S&P Small-cap market bogey for that sector.

Top Ten Holdings

At quarter end, Industrial comprised our largest sector representation at 25.1% of net assets, followed by Consumer, Cyclical at 18.3% and Consumer, Non-cyclical at 16.7%. Our top ten holdings represented only 17.1% of net assets, which demonstrates the diversification of this Fund. This strategy spreads the risk associated with any one company in an attempt to reduce overall portfolio volatility (and contrasts with some of our more aggressively managed styles which can place some pretty big bets on individual stocks.)

Rank		Description	Industry	Percent of Net Assets
1		Quanta Services Inc	Commercial Services	2.8	%
2		Goodyear Tire & Rubber Co	Auto Parts & Equipment	2.6	%
3		Intergraph Corp	Computers	2.0	%
4		Columbus McKinnon Corp	Machinery-Diversified	1.8	%
5		GATX Corp	Trucking & Leasing	1.6	%
6		AAR Corp	Aerospace/Defense	1.4	%
7		Eastman Chemical Co	Chemicals	1.3	%
8		LMI Aerospace Inc	Aerospace/Defense	1.2	%
9		Dril-Quip Inc	Oil & Gas Services	1.2	%
10		McDermott International Inc	Engineering & Construction	1.2	%

	Total			17.1	%

Industry Sector Representation as of December 31, 2005

Industry		% of Net Assets		% S&P Small-cap		Difference
Basic Materials		5.5	%	3.4	%	2.1	%
Communications		8.6	%	3.4	%	5.2	%
Consumer, Cyclical		18.3	%	18.7	%	-0.4	%
Consumer, Non-cyclical		16.7	%	17.6	%	-0.9	%
Energy		7.7	%	7.9	%	-0.2	%
Financial		9.6	%	14.7	%	-5.1	%
Industrial		25.1	%	20.1	%	5.0	%
Technology		6.7	%	9.8	%	-3.1	%
Utilities		0.7	%	4.4	%	-3.7	%
Diversified		0.3	%	0.0	%	0.3	%
Cash		0.8	%	0.0	%	0.8	%

	Total	100.0	%	100.0	%

Disclaimer

The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those regarding 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, December 31, 2005, 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 above average market risk (volatility) and is not an appropriate investment for short-term investors. Investments in the small companies within this fund carry greater risk than is customarily associated with larger companies for various reasons such as narrower markets, limited financial resources and less liquid stock.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank-you for your continued investment in Small-Cap Value. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Small-Cap Value Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,121.30		$	4.28
Hypothetical Fund Return		$	1,000.00		$	1,021.17		$	4.08

*: Expenses are equal to the Fund's annualized expense ratio of 0.80% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—99.2%
Advertising—0.3%
	Ventiv Health Inc*	30,300	$	715,686
Aerospace/Defense—3.9%
	AAR Corp*	129,900		3,111,105
	Armor Holdings Inc*	54,000		2,303,100
	LMI Aerospace Inc*	184,100		2,610,538
	United Industrial Corp	11,000		455,070

				8,479,813
Airlines—0.7%
	Alaska Air Group Inc*	42,400		1,514,528
Apparel—1.7%
	Bakers Footwear Group Inc*	75,200		1,156,576
	Oxford Industries Inc	44,600		2,439,620

				3,596,196
Auto Parts & Equipment—2.7%
	The Goodyear Tire & Rubber Co*	331,900		5,768,422
Banks—2.2%
	Center Financial Corp	53,100		1,335,996
	City Holding Co	48,000		1,725,600
	Intervest Bancshares Corp*	70,102		1,735,025

				4,796,621
Beverages—0.2%
	Constellation Brands Inc—Class A*	17,000		445,910
Biotechnology—1.4%
	Arqule Inc*	387,093		2,369,009
	SuperGen Inc*	147,400		744,370

				3,113,379
Building Materials—0.9%
	Eagle Materials Inc	7,300		893,228
	Universal Forest Products Inc	20,400		1,127,100

				2,020,328
Chemicals—2.8%
	Eastman Chemical Co	55,000		2,837,450
	Lubrizol Corp	15,700		681,851
	Lyondell Chemical Co	8,360		199,135
	Schulman A Inc	111,600		2,401,632

				6,120,068

Coal—0.3%
	CONSOL Energy Inc	4,000	$	260,720
	Peabody Energy Corp	5,180		426,936

				687,656
Commercial Services—6.8%
	Administaff Inc	54,900		2,308,545
	Consolidated Graphics Inc*	14,500		686,430
	Kendle International Inc*	58,700		1,510,938
	Korn/Ferry International*	78,900		1,474,641
	Labor Ready Inc*	36,200		753,684
	Quanta Services Inc*	455,100		5,993,667
	Rural/Metro Corp*	229,663		2,073,857

				14,801,762
Computers—3.3%
	Agilysys Inc	131,400		2,394,108
	Covansys Corp*	18,099		246,327
	Intergraph Corp*	87,700		4,368,337
	Intervoice Inc*	10,800		85,968

				7,094,740
Distribution/Wholesale—3.1%
	Brightpoint Inc*	83,500		2,315,455
	Building Material Holding Corp	29,700		2,025,837
	Navarre Corp*	109,600		606,088
	Wesco International Inc*	40,800		1,743,384

				6,690,764
Diversified Financial Services—2.4%
	Knight Capital Group Inc*	238,400		2,357,776
	Nelnet Inc*	13,000		528,840
	Piper Jaffray Cos*	59,200		2,391,680

				5,278,296
Electric—0.1%
	OGE Energy Corp	5,400		144,666
Electric Utilities—0.6%
	WPS Resources Corp	23,500		1,299,785
Electronics—1.6%
	American Science & Engineering Inc*	6,000		374,220
	Check Point Systems Inc*	66,500		1,639,225
	CTS Corp	9,437		104,373
	Park Electrochemical Corp	56,200		1,460,076

				3,577,894

Engineering & Construction—2.7%
	EMCOR Group Inc*	34,800	$	2,350,044
	McDermott International Inc*	56,800		2,533,848
	Sterling Construction Co Inc*	53,200		895,356

				5,779,248
Environmental Control—1.1%
	Clean Harbors Inc*	81,000		2,333,610
Food—2.0%
	Seaboard Corp	1,400		2,115,400
	Spartan Stores Inc*	215,300		2,243,426

				4,358,826
Healthcare Services—2.3%
	American Retirement Corp*	96,800		2,432,584
	Humana Inc*	13,460		731,282
	Res-Care Inc*	110,600		1,921,122

				5,084,988
Holding Companies Diversified—0.3%
	Walter Industries Inc	14,000		696,080
Home Builders—2.3%
	Beazer Homes USA Inc	22,100		1,609,764
	Brookfield Homes Corp	5,708		283,859
	Hovnanian Enterprises Inc—Class A*	26,820		1,331,345
	KB Home	11,080		805,073
	MDC Holdings Inc	9,062		561,663
	Standard-Pacific Corp	9,200		338,560

				4,930,264
Household Products/Wares—1.7%
	Ennis Inc	77,600		1,409,992
	Playtex Products*	170,000		2,323,900

				3,733,892
Housewares—0.1%
	Toro Co	5,800		253,866
Insurance—4.5%
	American Physicians Capital Inc*	16,200		741,798
	Argonaut Group Inc*	29,500		966,715
	Commerce Group Inc	33,700		1,930,336
	Horace Mann Educators Corp	93,300		1,768,968
	Ohio Casualty Corp	25,700		727,824
	Stewart Information Services Corp	40,400		1,966,268
	United Fire & Casualty Co	43,500		1,758,705

				9,860,614

Internet—2.4%
	HomeStore Inc*	364,000	$	1,856,400
	NetFlix Inc*	60,500		1,637,130
	SonicWall Inc*	233,100		1,846,152

				5,339,682
Iron/Steel—2.2%
	Carpenter Technology Corp	33,900		2,388,933
	Reliance Steel and Aluminum Co	38,100		2,328,672

				4,717,605
Lodging—0.5%
	Riviera Holdings Corp*	62,900		1,030,931
Machinery Diversified—2.9%
	Columbus McKinnon Corp*	174,100		3,826,718
	Intermec Inc*	31,400		1,061,320
	Stewart & Stevenson Services Inc	72,300		1,527,699

				6,415,737
Metal Fabricate/Hardware—2.4%
	AM Castle & Co*	105,600		2,306,304
	Commercial Metals Co	54,700		2,053,438
	NS Group Inc*	22,500		940,725

				5,300,467
Mining—0.5%
	Titanium Metals Corp*	17,000		1,075,420
Miscellaneous Manufacturer—0.5%
	Clarcor Inc	38,200		1,134,922
Office Furnishing—0.6%
	CompX International Inc	7,300		116,946
	Steelcase Inc	70,900		1,122,347

				1,239,293
Oil & Gas—5.0%
	Callon Petroleum Co*	15,000		264,750
	Giant Industries Inc*	46,100		2,395,356
	Holly Corp	16,400		965,468
	Penn Virginia Corp	40,700		2,336,180
	Petroquest Energy Inc*	93,500		774,180
	Swift Energy Co*	45,900		2,068,713
	Tesoro Corp	35,700		2,197,335

				11,001,982
Oil & Gas Services—2.3%
	Dril-Quip Inc*	54,200		2,558,240
	Mitcham Industries*	141,900		2,478,993

				5,037,233

Packaging & Containers—0.3%
		Silgan Holdings Inc	19,400	$	700,728
Pharmaceuticals—2.3%
		Alpharma Inc	81,900		2,334,969
		Anika Therapeutics*	101,200		1,183,028
		Valeant Pharmaceuticals International	81,100		1,466,288

					4,984,285
Real Estate—0.5%
		Grubb & Ellis Co*	92,000		1,104,000
Retail—6.7%
		Casey's General Store Inc	90,600		2,246,880
		Darden Restaurants Inc	39,000		1,516,320
		Denny's Corp*	64,420		259,613
		Dillard's Inc	96,300		2,390,166
	��	EZCORP Inc*	132,000		2,016,960
		Luby's Inc*	150,700		2,004,310
		MarineMax Inc*	23,100		729,267
		Men's Wearhouse Inc*	4,800		141,312
		Pantry Inc/The*	28,900		1,358,011
		Rush Enterprises Inc*	130,000		1,934,400

					14,597,239
Semiconductors—1.8%
		Cohu Inc	7,300		166,951
		PMC—Sierra Inc*	18,800		144,948
		Supertex Inc*	45,804		2,026,827
		Zoran Corp*	102,000		1,653,420

					3,992,146
Software—1.6%
		CCC Information Services Group*	30,738		805,950
		Sybase Inc*	35,400		773,844
		Transaction Systems Architects Inc*	45,000		1,295,550
		Wind River Systems Inc*	41,400		611,478

					3,486,822
Telecommunications—5.8%
		Adaptec Inc*	432,000		2,514,240
		Anixter International Inc	18,000		704,160
		Dobson Communications Corp*	312,500		2,343,750
		EMS Technologies Inc*	119,100		2,108,070
		Interdigital Communications Corp*	101,555		1,860,488
		Lantronix Inc*	449,300		741,345
		SureWest Communications	6,961		183,561
		Sycamore Networks Inc*	527,200		2,277,504

					12,733,118
Textiles—0.2%
		Forward Industries Inc*	50,600		450,340

Transportation—7.1%
	Aleris International Inc*	73,500	$	2,369,640
	Celadon Group Inc*	71,363		2,055,254
	Hub Group Inc*	53,700		1,898,295
	Maritrans Inc	60,700		1,579,414
	OMI Corp	72,370		1,313,515
	Overseas Shipholding Group	30,600		1,541,934
	SCS Transportation Inc*	109,900		2,335,375
	USA Truck Inc*	84,700		2,467,311

				15,560,738
Trucking & Leasing—1.6%
	GATX Corp	95,100		3,431,208

TOTAL COMMON STOCKS (Cost $191,302,897)				216,511,798

MONEY MARKET MUTUAL FUNDS—1.4%
First American Treasury Obligations Fund—Class S		3,057,433		3,057,433

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $3,057,433)				3,057,433

TOTAL INVESTMENTS—100.6% (Cost $194,360,330)			$	219,569,231
Liabilities in excess of Other Assets—(0.6%)				1,241,613	)

NET ASSETS—100.0%			$	218,327,618

*: Non-income producing security
See Notes to Financial Statements

Large-Cap Growth Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Large-Cap Growth Shareholder,

Our Fund had a positive return of 2.20% for the December 2005 quarter, compared to a 2.98% return for our primary market benchmark, the Russell 1000 Growth Index, and a 3.63% return of our peer benchmark, the Lipper Large-Cap Growth Index. It was a poor quarter.

The six-month performance is more in line with my expectations, and I am pleased with the full calendar year returns, 9.33%, compared to 5.26% return for the Russell 1000 Growth Index and 7.58% for the Lipper Large-Cap Growth Index.

The table below presents our performance for the December quarter, six month, one year and annualized performance since inception, followed by a graph of performance since inception.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 10/31/03 to 12/31/05
Large-Cap Growth Fund	2.20	%	9.73	%	9.33	%	9.07	%
Russell 1000 Growth Index	2.98	%	7.11	%	5.26	%	7.50	%
Lipper Large-Cap Growth Index	3.63	%	8.97	%	7.58	%	8.77	%

The Russell 1000 Growth Index is an unmanaged index which 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 Index is an index of large-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index or average. Periods longer than one year are annualized.

For the six-month semi-annual period, our Fund was up 9.73%, compared to a 7.11% return for the Russell 1000 Growth Index and 8.97% for the Lipper Large-Cap Growth Index. Fourth quarter performance shows evidence of losing the energy sector boost that we had enjoyed during the third quarter.

According to data from Morningstar, Inc., our Fund ranked 318th of 1639 large-cap growth funds for the last twelve months. The Fund's numeric rankings are based solely on total return performance. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

Growth of $10,000 Invested in Large-Cap Growth Fund and Indexes from 10/31/03 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: Five (very different) stocks were up 20% or more for the December quarter.

Rank	Description	Industry	% Gain
1	Apple Computer Inc	Computers	34.1	%
2	Fastenal Co	Distribution/Wholesale	28.3	%
3	Adobe Systems Inc	Software	23.8	%
4	Monsanto Co	Agriculture	23.6	%
5	Jabil Circuit Inc	Electronics	20.0	%
6	Whole Foods Market Inc	Food	17.3	%
7	Yahoo! Inc	Internet	15.8	%
8	Schlumberger Ltd	Oil & Gas Services	15.1	%
9	Scientific-Atlanta Inc	Telecommunications	13.1	%
10	Franklin Resources Inc	Diversified Finan Serv	12.0	%

Apple's iPod products continue to grow in popularity and to spawn derivative products, which provide diversity for the company beyond its personal computer line. Although the tremendous price appreciation since our first purchase almost a year and a half ago means this stock is not nearly as cheap as it was, our models still like it, and currently, we're holding.

Second place performer, Fastenal Company, is in the wholesale and retail distribution business of industrial and construction supplies, including threaded fasteners, such as bolts, nuts, screws, studs, washers and other supplies, such as paints, concrete anchors, batteries, sealants, metal framing systems, wire rope, anchors, rivets, and related accessories. Founded in 1967 in Minnesota, it's a company that had a modest beginning and has continued to grow steadily through the years. CEO Robert Kierlin, in his book The Power of Fastenal People, writes: "When we only had about 30 employees in our Winona office and warehouse, all of the men signed up for their week to clean the men's restroom, and all the women signed up for their week to clean the women's restroom. We saved by not hiring out janitorial services and kept egos in check (we also were more careful about keeping the place clean)." The original 30 has grown to 6,392, with 1,700 stores in 50 states. Although we like the story, our models just like the stock.

100

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Our fund had two stocks that lost more than 20% for the December quarter.

Rank	Description	Industry	% Loss
1	Symantec Corp	Internet	-22.8	%
2	ACCO Brands Corp	Household Products/Wares	-21.6	%
3	Total System Services Inc	Software	-18.0	%
4	Questar Corp	Pipelines	-14.1	%
5	Dell Inc	Computers	-12.3	%
6	Exxon Mobil Corp	Oil & Gas	-11.6	%
7	TXU Corp	Electric	-11.1	%
8	CH Robinson Worldwide Inc	Transportation	-10.1	%
9	Paychex Inc	Commercial Services	-8.3	%
10	Autodesk Inc	Software	-7.5	%

Interestingly, five companies from our list of winners were technology related, and four companies from our list of losers were also from the technology area. No consistent trend here.

Symantec Corporation provides software, appliances, and services to secure and manage information technology infrastructure for individuals and businesses. The Norton Anti-Virus software line is a familiar brand. In early July, Symantec acquired Veritas with high hopes for a great combo company; however, late shipping problems, over-optimistic sales estimates, and some accounting difficulties resulted in a drop of over 19% in early November. If that weren't enough bad news, the CFO announced his retirement on the heels of the resignation of the President just weeks earlier. Naturally, analysts reacted by downgrading the stock. Bad news and negative reactions aside, our models still like the stock, and we're holding.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Six of the ten best performers returned over 50%, with the other four close behind. The name of the game for our calendar year performance was energy.

Rank	Description	Industry	% Gain
1	Apple Computer Inc	Computers	112.0	%
2	EOG Resources Inc	Oil & Gas	103.3	%
3	Genentech Inc	Biotechnology	69.9	%
4	Nordstrom Inc	Retail	60.1	%
5	TXU Corp	Electric Utilities	55.5	%
6	Questar Corp	Pipelines	50.4	%
7	Phelps Dodge Corp	Mining	45.4	%
8	Schlumberger Ltd	Oil & Gas Services	45.1	%
9	UnitedHealth Group Inc	Healthcare-Services	41.2	%
10	Baker Hughes Inc	Oil & Gas Services	41.2	%

Over a third of our performance for the calendar year can be attributed to energy stocks. Five of our best ten performers were from the energy sector; the other five spanned the spectrum from computers to electric utilities to healthcare, however. Five of these best performers were also "repeaters" from last quarter.

EOG Resources, Inc. is an independent oil and natural gas company, engaging in the exploration, development, production, and marketing of natural gas and crude oil. We have held it in this Fund for about two years. It was listed in Forbes "400 Best Big Companies" at the end of December. Besides good stock performance, selection criteria for the Forbes honor are these: revenue of at least $1 billion,

101

a share price over $5, publicly traded for more than two years, innovation, efficiency, market leadership, financial measures compared against peers and accounting integrity standards. We're glad to have EOG Resources in our Fund and happy to have it as a Houston neighbor.

For shareholders who own both Large-Cap Value and Large-Cap Growth Funds, you may notice that two stocks on the list above are also in Large-Cap Value. How can the same company be classified as both value and growth? At the time of purchase a stock qualifies for only one Fund. However, price changes, and to a lesser degree, changes in fundamental financial characteristics can change the designation from growth to value, especially for stocks on the margin between value and growth. Therefore, over time it is possible to have purchased a stock at different times for more than one of these Funds. Similarly, a stock can grow from small to large and end up in, for instance, both the Small-Cap Growth Fund and the Large-Cap Growth Fund. Since we don't immediately sell a stock when it moves across one of these "boundaries," it can end up in more than one fund at the same time. Overall, 18% of the Large-Cap Growth Fund stocks are also owned by Large-Cap Value, most near the border of designation.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: We had no stocks that lost over 50%, and only two additional ones over 40%. Our overweighting in the Communications Sector, compared to the S&P 500, cost the Fund almost 1.50% in return.

Rank	Description	Industry	% Loss
1	Avaya Inc	Telecommunications	-43.4	%
2	Biogen Idec Inc	Biotechnology	-42.6	%
3	Symantec Corp	Internet	-32.1	%
4	MBNA Corp	Diversified Finan Serv	-31.4	%
5	Lexmark International Inc	Computers	-29.1	%
6	Dell Inc	Computers	-27.5	%
7	Network Appliance Inc	Computers	-26.4	%
8	Millennium Pharmaceuticals Inc	Biotechnology	-26.3	%
9	Waters Corp	Electrical Comp & Equip	-26.0	%
10	eBay Inc	Internet	-25.7	%

Avaya, Inc. provides communication systems, applications, and services in voice and data systems. The company announced March quarter earnings at 7 cents per share, significantly lower than 27 cents a year ago. The market reacted negatively to that announcement, and the price dropped almost 18%. Although we sold the last of our holdings in mid-May, the drop was steep enough to make Avaya our worst performer for the calendar year.

Drug company, Biogen Idec, is a leader in the development and manufacture of medications for relapsing forms of multiple sclerosis, certain forms of cancer, and moderate-to-severe chronic plaque psoriasis. Then came what is probably a drug company's worst nightmare. In late February there was one confirmed death and one suspected case of a rare, often fatal, disorder among participants in clinical trials of Biogen's Tysabri MS drug. It was pulled from usage, and Biogen stock fell 43% in one day. We sold our holdings in mid March.

Top Ten Holdings

At quarter end, Consumer, Non-cyclical stocks comprised our largest sector representation at 21.4% of net assets, followed by Communications at 20.3% and Consumer, Cyclicals at 18.6%. Our top ten holdings represented only 28.2% of net assets, which demonstrates the diversification of the fund. This strategy spreads the risk associated with any one company in an attempt to reduce overall

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portfolio volatility (and contrasts with some of our more aggressively managed styles which can place some pretty big bets on individual stocks.)

Rank		Description	Industry	Percent of Net Assets
1		Nordstrom Inc	Retail	4.0	%
2		Genentech Inc	Biotechnology	3.1	%
3		Sprint Nextel Corp	Telecommunications	3.0	%
4		Schlumberger Ltd	Oil & Gas Services	3.0	%
5		UnitedHealth Group Inc	Healthcare-Services	2.8	%
6		Home Depot Inc	Retail	2.7	%
7		Motorola Inc	Telecommunications	2.5	%
8		Qualcomm Inc	Telecommunications	2.5	%
9		TXU Corp	Electric	2.4	%
10		Texas Instruments Inc	Semiconductors	2.2	%

	Total			28.2	%

Industry Sector Representation as of December 31, 2005

Sector		% of Net Assets		% of S&P 500 Index		Difference
Basic Materials		0.7	%	2.9	%	-2.2	%
Communications		20.2	%	10.2	%	10.0	%
Consumer, Cyclical		18.5	%	8.5	%	10.0	%
Consumer, Non-cyclical		21.3	%	21.6	%	-0.3	%
Energy		14.7	%	9.6	%	5.1	%
Financial		5.3	%	21.1	%	-15.8	%
Industrial		7.0	%	11.3	%	-4.3	%
Technology		9.1	%	11.4	%	-2.3	%
Utilities		2.4	%	3.4	%	-1.0	%
Cash		0.8	%	0.0	%	0.8	%

	Total	100.0	%	100.0	%

Disclaimer

The Fund is subject to market risk (volatility) and is not an appropriate investment for short-term investors.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

103

Conclusion

Thank you for your continued investment in Large-Cap Growth. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

104

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Large-Cap Growth Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05-12/31/05
Actual Fund Return		$	1,000.00		$	1,097.27		$	4.33
Hypothetical Fund Return		$	1,000.00		$	1,021.07		$	4.18

*: Expenses are equal to the Fund's annualized expense ratio of 0.82% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

105

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—99.2%
Advertising—1.1%
	Getty Images Inc*	6,900	$	615,963
Aerospace/Defense—0.3%
	L-3 Communications Holdings Inc	2,000		148,700
Agriculture—0.5%
	Monsanto Co	3,800		294,614
Apparel—2.0%
	Coach Inc*	35,320		1,177,569
Auto Manufacturers—0.4%
	PACCAR Inc	3,000		207,690
Beverages—1.7%
	Coca-Cola Co	10,500		423,255
	PepsiCo Inc	9,500		561,260

				984,515
Biotechnology—4.3%
	Amgen Inc*	9,000		709,740
	Genentech Inc*	19,000		1,757,500

				2,467,240
Coal—1.7%
	CONSOL Energy Inc	5,700		371,526
	Peabody Energy Corp	7,500		618,150

				989,676
Commercial Services—0.9%
	Paychex Inc	14,000		533,680
Computers—1.6%
	Apple Computer Inc*	5,000		359,450
	Dell Inc*	3,500		104,965
	NCR Corp*	14,400		488,736

				953,151
Cosmetic/Personal Care—1.8%
	Procter & Gamble Co	18,232		1,055,268
Distribution/Wholesale—0.7%
	Fastenal Co	10,000		391,900
Diversified Financial Services—3.6%
	Ameritrade Holdings Corp*	22,600		542,400
	Chicago Mercantile Exchange	1,000		367,490
	Franklin Resources Inc	12,200		1,146,922

				2,056,812

106

Electric Utilities—2.4%
	TXU Corp	28,000	$	1,405,320
Electronics—1.2%
	Agilent Technologies*	2,000		66,580
	Jabil Circuit Inc*	16,400		608,276

				674,856
Food—1.1%
	Whole Foods Market Inc	8,000		619,120
Healthcare—Products—3.1%
	C.R. Bard Inc	1,800		118,656
	Johnson & Johnson	9,000		540,900
	Medtronic Inc	4,400		253,308
	Zimmer Holdings Inc*	13,160		887,510

				1,800,374
Healthcare—Services—2.9%
	Laboratory Corp of American Holdings*	1,600		86,160
	UnitedHealth Group Inc	25,716		1,597,992
	WellPoint Health Networks Inc*	60		4,787

				1,688,939
Home Furnishings—2.2%
	Harman International Industries Inc	12,740		1,246,609
Household Products/Wares—1.8%
	Fortune Brands Inc	13,520		1,054,830
Insurance—1.8%
	The Progressive Corp	8,800		1,027,664
Internet—5.1%
	eBay Inc*	29,160		1,261,170
	Google Inc*	1,600		663,776
	Symantec Corp*	42,920		751,100
	Yahoo! Inc*	7,220		282,880

				2,958,926
Machinery Diversified—0.2%
	Rockwell Automation Inc	2,400		141,984
Media—1.9%
	News Corp—Class A	17,544		272,809
	Walt Disney Co	33,200		795,804

				1,068,613
Metal Fabricate/ Harware—1.5%
	Precision Castparts	17,000		880,770
Mining—0.2%
	Phelps Dodge Corp	1,000		143,870

107

Miscellaneous Manufacturing—2.9%
	3M Co	6,232	$	482,980
	Danaher Corp	14,800		825,544
	General Electric Co	11,000		385,550

				1,694,074
Oil & Gas—6.2%
	Burlington Resources Inc	5,000		431,000
	EOG Resources Inc	10,000		733,700
	Exxon Mobil Corp	15,700		881,869
	Noble Energy Inc	15,900		640,770
	Southwestern Energy Co.*	11,000		395,340
	XTO Energy Inc	10,666		468,664

				3,551,343
Oil & Gas Services—6.2%
	Baker Hughes Inc	4,600		279,588
	BJ Services Co	11,400		418,038
	Halliburton Co	12,000		743,520
	Schlumberger Ltd	17,700		1,719,555
	Weatherford International Ltd.*	11,000		398,200

				3,558,901
Pharmaceuticals—3.6%
	Bristol-Myers Squibb Co	44,400		1,020,312
	Caremark Rx Inc*	2,000		103,580
	Gilead Sciences Inc*	15,020		790,503
	Pfizer Inc	7,200		167,904

				2,082,299
Pipelines—0.7%
	Questar Corp	5,000		378,500
Retail—13.2%
	Best Buy Co Inc	15,645		680,245
	Chico's FAS Inc*	9,000		395,370
	Home Depot Inc	38,960		1,577,101
	Lowe's Companies Inc	10,340		689,264
	Nordstrom Inc	62,140		2,324,037
	Office Depot Inc.*	20,000		628,000
	Staples Inc	25,890		587,962
	Tiffany & Co	13,200		505,428
	Walgreen Co	5,900		261,134

				7,648,541

108

Semiconductors—6.3%
	Advanced Micro Devices Inc*	17,000	$	520,200
	Broadcom Corp*	13,400		631,810
	Freescale Semiconductor Inc*	7,121		179,236
	Intel Corp	17,800		444,288
	Nvidia Corp*	16,500		603,240
	Texas Instruments Inc	39,590		1,269,651

				3,648,425
Software—1.1%
	Adobe Systems Inc	5,400		199,584
	Autodesk Inc	7,200		309,240
	BMC Software Inc* 6	1,13		23,277
	Fiserv Inc*	2,000		86,540
	Oracle Corp*	2,000		24,420

				643,061
Telecommunications—12.2%
	Cisco Systems Inc*	46,200		790,944
	Corning Inc*	37,200		731,352
	Harris Corp	12,100		520,421
	Juniper Networks Inc*	15,700		350,110
	Motorola Inc	64,500		1,457,055
	QUALCOMM Inc	33,500		1,443,180
	Sprint Nextel Corp	73,743		1,722,636

				7,015,698
Transportation—0.8%
	CH Robinson Worldwide	13,000		481,390

TOTAL COMMON STOCKS (Cost $47,044,596)				57,290,885

MONEY MARKET MUTUAL FUNDS—0.6%
First American Treasury Obligations Fund—Class S		332,001		332,001

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $332,001)				332,001

TOTAL INVESTMENTS—99.8% (Cost $47,376,597)			$	57,622,886
Other Assets in excess of Liabilities—0.2%				113,912

NET ASSETS—100.0%			$	57,736,798

*: Non-income producing security
See Notes to Financial Statements

109

Large-Cap Value Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Large-Cap Value Shareholder,

Our Fund was up 2.29% for the December 2005 quarter, compared to a 1.27% gain for our primary market benchmark, the Russell 1000 Value Index, and a 1.87% return of our peer benchmark, the Lipper Large-Cap Value Index. It was a fairly good quarter.

It was a better calendar year. The Fund was up 11.62%, beating the Russell 1000 Value Index by 4.57% and the Lipper Large-Cap Value Index by 5.36%. I am pleased with these results.

The table below presents our performance for the December quarter, six month, 1 year, and annualized performance since inception, followed by a graph of performance since inception.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 10/31/03 to 12/31/05
Large-Cap Value Fund	2.29	%	7.84	%	11.62	%	16.04	%
Russell 1000 Value Index	1.27	%	5.20	%	7.05	%	14.54	%
Lipper Large-Cap Value Index	1.87	%	5.74	%	6.26	%	12.01	%

The Russell 1000 Value Index is an unmanaged index which 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 Index is an index of large-company, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index or average. Periods longer than one year are annualized.

For the six-month semi-annual period, our Fund was up 7.84%, compared to a 5.20% return for the Russell 1000 Value Index and 5.74% for the Lipper Large-Cap Value Index. Fourth quarter performance shows evidence of losing the energy sector boost that we had enjoyed during the third quarter. However, the full six-month period does not show the effect.

According to data from Morningstar, Inc., our Fund ranked 57th of 1292 large-cap value funds for the last twelve months. The Fund's numeric rankings are based solely on total return performance. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

110

Growth of $10,000 Invested in Large-Cap Value Fund and Indexes from 10/31/03 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: We had one stock with over 30% return in a rather lackluster quarter.

Rank	Description	Industry	% Gain
1	Express Scripts Inc	Pharmaceuticals	34.7	%
2	Darden Restaurants Inc	Retail	28.0	%
3	E*Trade Financial Corp	Diversified Finan Serv	18.5	%
4	JC Penney Co Inc	Retail	18.5	%
5	Burlington Northern Santa Fe Corp	Transportation	18.4	%
6	JPMorgan Chase & Co	Diversified Finan Serv	17.0	%
7	Costco Wholesale Corp	Retail	14.8	%
8	Washington Mutual Inc	Savings & Loans	13.2	%
9	Golden West Financial Corp	Savings & Loans	11.1	%
10	Phelps Dodge Corp	Mining	10.7	%

Our top performer, Express Scripts, manages pharmacy benefits for organizations such as health maintenance organizations, health insurers, third-party administrators, employers, union-sponsored benefit plans, and government health programs. They provide claims processing, mail pharmacy services, specialty prescription fulfillment, and benefit design consultation, drug utilization review, formulary management and disease management. Express Scripts was listed in Forbes "400 Best Big Companies" at the end of December. Besides good stock performance, selection criteria for the Forbes honor are these: revenue of at least $1 billion, a share price over $5, publicly traded for more than two years, innovation, efficiency, market leadership, financial measures compared against peers and accounting integrity standards. Express Scripts has been a steady performer for this Fund for several years.

Four companies in our winners list are in the Financial Sector, which filled in a bit of the performance gap left by energy stocks for the December quarter. Altogether the sector added a little less than 2% to our return for the quarter.

111

Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: I'm not too unhappy when our worst performer is down only 16.8%. In addition, the list of ten generally represents several industries, illustrating the Fund's diversity.

Rank	Description	Industry	% Loss
1	ConocoPhillips	Oil & Gas	-16.8	%
2	United States Steel Corp	Iron/Steel	-15.7	%
3	Toll Brothers Inc	Home Builders	-15.6	%
4	Chevron Corp	Oil & Gas	-12.3	%
5	DR Horton Inc	Home Builders	-9.9	%
6	Georgia-Pacific Corp	Forest Products & Paper	-9.4	%
7	CVS Corp	Retail	-8.9	%
8	Fidelity National Financial Inc	Insurance	-8.0	%
9	Verizon Communications Inc	Telecommunications	-7.9	%
10	RR Donnelley & Sons Co	Commercial Services	-7.8	%

Two of the worst performers, ConocoPhillips and Chevron, have had a rickety ride the past three months. Hurricane Katrina, political influences, consumer demands for energy and foreign agreements (or lack thereof) reflect some short-term bumps. These are a couple of blue chips that our models like; we're holding.

Toll Brothers and DR Horton both engage in the development, construction, financing and sale of residential homes, including single-family, duplexes and condominiums. Reactions to stories on the deflating of the real estate bubble have caused fluctuations in prices. DR Horton was our second best performer for the fiscal year ending June 30, evidence of the bubble's rise and fall. We sold our holdings in both companies before year end.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Four stocks gained over 50% for the calendar year, with the other six close behind. For the calendar year, of course, the most dramatic sector play was energy.

Rank	Description	Industry	% Gain
1	Corning Inc	Telecommunications	67.0	%
2	Nordstrom Inc	Retail	60.1	%
3	Amerada Hess Corp	Oil & Gas	54.0	%
4	Aetna Inc	Healthcare-Services	51.2	%
5	Valero Energy Corp	Oil & Gas	49.3	%
6	Burlington Northern Santa Fe Corp	Transportation	49.2	%
7	Express Scripts Inc	Pharmaceuticals	47.6	%
8	Office Depot Inc	Retail	46.0	%
9	Phelps Dodge Corp	Mining	45.4	%
10	Eagle Materials Inc	Building Materials	41.7	%

Almost half of our performance for the calendar year can be attributed to energy stocks. Even though the sector "cooled" somewhat in the fourth quarter, three of our best ten performers for the calendar year were from the energy sector. The other seven spanned the industry spectrum from Retail to Transportation to Building Materials, however. Five of these best performers were also "repeaters" from last quarter.

Corning Incorporated manufactures an amazing variety of glass-based products from liquid crystal displays (LCDs), which are used in computer monitors and LCD televisions, optical fiber and cable,

112

with all necessary cable components, ceramic technologies and solutions for emissions and pollution control, and laboratory products, which include items like coated slides, culture dishes, flasks, glass beakers. The company has demonstrated steady growth over the last couple of years and had an excellent third quarter report.

Second place fashion retailer, Nordstrom, was also a best-performer in our fiscal year period ending in June, 2005. Founded in 1901 in Seattle, it has grown to be a world-wide standard in department store products, adding restaurants, coffee bars and spas to its "shopping experience" and full service e-shopping as well. It has been a steady performer for the Fund since our original purchase in December 2004.

For shareholders who own both Large-Cap Value and Large-Cap Growth Funds, you may notice that two stocks on the list above are also in Large-Cap Growth. How can the same company be classified as both value and growth? At the time of purchase a stock qualifies for only one fund. However, price changes, and to a lesser degree, changes in fundamental financial characteristics, can change the designation from growth to value, especially for stocks on the margin between value and growth. Therefore, over time it is possible to have purchased a stock at different times for more than one of these funds. Similarly, a stock can grow from small to large and end up in, for instance, both the Small-Cap Value Fund and the Large-Cap Value Fund. Since we don't immediately sell a stock when it moves across one of these "boundaries," it can end up in more than one fund at the same time. Overall, 11% of the Large-Cap Value Fund stocks are also owned by Large-Cap Growth, most near the border of designation.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: Two stocks lost more than 30% for the calendar year.

Rank	Description	Industry	% Loss
1	Ford Motor Co	Auto Manufacturers	-32.8	%
2	United States Steel Corp	Iron/Steel	-30.3	%
3	Verizon Communications Inc	Telecommunications	-25.7	%
4	Freddie Mac	Diversified Finan Serv	-25.5	%
5	Advanced Micro Devices Inc	Semiconductors	-23.5	%
6	General Motors Corp	Auto Manufacturers	-22.6	%
7	Xerox Corp	Office/Business Equip	-21.7	%
8	Juniper Networks Inc	Telecommunications	-18.0	%
9	Georgia-Pacific Corp	Forest Products & Paper	-17.7	%
10	Eaton Corp	Misc Manufacturing	-17.2	%

The US Auto Manufacturing Industry woes continue. Ford heads up our "performance-challenged" list. It remains to be seen whether their restructuring can turn stock prices around. Our models decided not to wait to find out, and we sold the last of our holdings in August.

In a late October report, a US Steel company representative said, "As previously announced, the company's third quarter 2005 results were impacted by a significant cost increase for natural gas, primarily the result of gas production disruptions following Hurricanes Katrina and Rita, as well as increased costs for steel scrap and other raw material inputs." Although they have no information about hurricanes and industry raw material trends, our models signaled a sell, and we sold shortly thereafter. The next week, the stock price began to rise, and it's closing now over our original purchase price. Clearly, our models don't get it right all the time.

113

Top Ten Holdings

At quarter end, Financial comprised our largest sector representation at 31.6% of net assets, followed by Energy at 16.5% and Communications at 10.8%. Our top ten holdings represented only 23.6% of net assets, which demonstrates the diversification of the fund. This strategy spreads the risk associated with any one company in an attempt to reduce overall portfolio volatility (and contrasts with some of our more aggressively managed styles which can place some pretty big bets on individual stocks.)

Rank		Description	Industry	Percent of Net Assets
1		AT&T Inc	Telecommunications	3.4	%
2		Aetna Inc	Healthcare-Services	2.5	%
3		Chevron Corp	Oil & Gas	2.5	%
4		CSX Corp	Transportation	2.3	%
5		Berkshire Hathaway Inc	Insurance	2.2	%
6		BellSouth Corp	Telecommunications	2.2	%
7		Hewlett-Packard Co	Computers	2.2	%
8		Lehman Brothers Holdings Inc	Diversified Financial Services	2.2	%
9		Phelps Dodge Corp	Mining	2.1	%
10		Merrill Lynch & Co Inc	Diversified Financial Services	2.0	%

	Total			23.6	%

Industry Sector Representation as of December 31, 2005

Sector		% of Net Assets		S&P 500 Index		Difference
Basic Materials		2.8	%	2.9	%	-0.1	%
Communications		10.8	%	10.2	%	0.6	%
Consumer, Cyclical		9.9	%	8.5	%	1.4	%
Consumer, Non-cyclical		8.5	%	21.6	%	-13.1	%
Energy		16.5	%	9.6	%	6.9	%
Financial		31.6	%	21.1	%	10.5	%
Industrial		8.0	%	11.3	%	-3.3	%
Technology		4.4	%	11.4	%	-7.0	%
Utility		6.9	%	3.4	%	3.5	%
Cash		0.6	%	0.0	%	0.6	%

	Total	100.0	%	100.0	%

Disclaimer

114

The Fund is subject to market risk (volatility) and is not an appropriate investment for short-term investors.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Large-Cap Value. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

115

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Large-Cap Value Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05-12/31/05
Actual Fund Return		$	1,000.00		$	1,078.44		$	4.35
Hypothetical Fund Return		$	1,000.00		$	1,021.02		$	4.23

*: Expenses are equal to the Fund's annualized expense ratio of 0.83% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

116

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005 (Unaudited)

Industry		Company	Shares	Value
COMMON STOCKS—99.4%
	Aerospace/Defense—0.7%
		Goodrich Corp	7,000	$	287,700
	Agriculture—1.0%
		Archer Daniels Midland Co	17,000		419,220
	Banks—4.6%
		AmSouth Bancorp	17,100		448,191
		Bank of America Corp	9,008		415,719
		KeyCorp	13,000		428,090
		US Bancorp	21,800		651,602

					1,943,602
	Building Materials—0.0%^
		Eagle Materials Inc	133		16,274
	Chemicals—0.7%
		Eastman Chemical Co	6,000		309,540
	Commercial Services—0.8%
		RR Donnelley & Sons	10,400		355,784
	Computers—3.4%
		Affiliated Computer Services Inc*	2,000		118,360
		Hewlett-Packard Co	31,700		907,571
		NCR Corp*	12,300		417,462

					1,443,393
	Diversified Financial Services—12.4%
		Bear Stearns Companies Inc	4,534		523,813
		Citigroup Inc	13,240		642,537
		ETRADE Group Inc	39,600		826,056
		Goldman Sachs Group Inc	4,800		613,008
		JP Morgan Chase & Co	10,850		430,637
		Lehman Brothers Holdings Inc	7,070		906,162
		Merrill Lynch & Company	12,500		846,625
		Morgan Stanley & Co	7,400		419,876

					5,208,714
	Electric—5.5%
		American Electric Power Inc	11,700		433,953
		Duke Energy Corp	26,100		716,445
		Edison International	14,700		641,067
		Southern Co	15,050		519,677

					2,311,142
	Electric Utilities—1.3%
		TXU Corp	11,000		552,090

117

Electronics—0.2%
	Parker Hannifin Corp	1,000	$	65,960
Gas—0.1%
	Sempra Energy	900		40,356
Hand/Machine Tools—0.8%
	Black & Decker Corp	4,000		347,840
Healthcare—Products—0.8%
	Zimmer Holdings Inc*	5,000		337,200
Healthcare—Services—3.5%
	Aetna Inc	11,300		1,065,702
	WellPoint Health Networks Inc*	5,400		430,866

				1,496,568
Home Builders—4.4%
	Centex Corp	7,840		560,482
	DR Horton Inc	1		34
	KB Home	5,500		399,630
	Lennar Corp—Class A	8,260		504,025
	Pulte Homes Inc	9,420		370,771

				1,834,942
Insurance—13.1%
	Allstate Corp	7,000		378,490
	AON Corp	12,200		438,590
	Berkshire Hathaway Inc—Class B*	310		910,005
	Chubb Corp	4,000		390,600
	Cigna Corp	6,100		681,370
	CNA Financial Corp*	13,000		425,490
	Fidelity National	11,000		404,690
	Metlife Inc	15,800		774,200
	Prudential Financial Inc	11,000		805,090
	Safeco Corp	5,264		297,416

				5,505,941
Media—2.0%
	Time Warner Inc	26,900		469,136
	Walt Disney Co	15,900		381,123

				850,259
Mining—2.1%
	Phelps Dodge Corp	6,200		891,994
Miscellaneous Manufacturing—1.8%
	Textron Inc	9,700		746,706
Oil & Gas—16.5%
	Amerada Hess Corp	4,780		606,200
	Anadarko Petroleum Corp	7,300		691,675
	Chesapeake Energy Corp	22,000		698,060

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		ChevronTexaco Corp	18,514	$	1,051,040
		Conoco Phillips	11,600		674,888
		Kerr-McGee Corp	4,191		380,794
		Marathon Oil Corp	5,000		304,850
		Occidental Petroleum Corp	9,600		766,848
		Sunoco Inc	5,200		407,576
		Tesoro Corp	11,100		683,205
		Valero Energy Corp	13,200		681,120

					6,946,256
	Pharmaceuticals—2.3%
		Bristol-Myers Squibb Co	400		9,192
		Express Scripts Inc*	6,000		502,800
		Hospira Inc*	10,400		444,912

					956,904
	Retail—5.6%
		Costco Wholesale Corp	3,000		148,410
		CVS Corp	11,480		303,302
		Darden Resturants	8,000		311,040
		Federated Department Stores Inc	2,400		159,192
		Home Depot Inc/The	15,700		635,536
		JC Penny Co Inc	8,600		478,160
		Nordstrom Inc	6,000		224,400
		Office Depot Inc*	3,000		94,200

					2,354,240
	Savings and Loans—1.5%
		Golden West Financial Corp	3,200		211,200
		Washington Mutual	10,100		439,350

					650,550
	Semiconductors—1.0%
		National Semiconductor	16,000		415,680
	Telecommunications—8.8%
		AT&T Corp	58,310		1,428,011
		BellSouth Corp	33,500		907,850
		Corning Inc*	22,600		444,316
		Juniper Networks Inc*	22,775		507,883
		Verizon Communications Inc	14,030		422,584

					3,710,644
	Transportation—4.5%
		Burlington Northern Santa Fe Corp	3,000		212,460
		CSX Corp	18,800		954,476
		Norfolk Southern Corp	16,250		728,488

					1,895,424

TOTAL COMMON STOCKS (Cost $35,339,387)					41,894,923

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MONEY MARKET MUTUAL FUNDS—0.5%
First American Treasury Obligations Fund—Class S		224,751	$	224,751

	TOTAL MONEY MARKET MUTUAL FUNDS (Cost $224,751)			224,751

TOTAL INVESTMENTS—99.9% (Cost $35,564,138)			$	42,119,674
Other Assets in Excess of Liabilities—0.1%				50,989

NET ASSETS—100.0%			$	42,170,663

*: Non-income producing security
^: Less than 0.05% of net assets
See Notes to Financial Statements

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Blue Chip 35 Index Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Blue Chip 35 Index Fund Shareholder,

For the six months ending December 2005, our Fund was up 4.72%, compared with a 5.77% increase of our primary benchmark, the S&P 500 Index, and a 6.79% increase for our peer group, the Lipper Large-Cap Core Funds Index. We essentially matched the return of the Index we seek to track, the Bridgeway Ultra-Large 35 Index (up 4.73%). In an environment that continues to be more favorable to smaller companies, our performance was mixed.

For the full calendar year our Fund was up 0.05%, compared to 4.91% for the S&P 500 Index and 5.72% for the Lipper Large-Cap Core Funds Index. As detailed below, ultra-large stocks lagged behind most market segments by size in 2005. It has not been an environment favorable to our ultra-large companies for an extended period, specifically, since 1999. On a contrarian basis (as in "each market niche gets its day in the sun"), we believe we are overdue for a period of large-cap company outperformance, an environment which would probably be favorable to our Fund.

The table below presents our six-month, one-year, five-year and life-to-date financial results according to the formula required by the SEC. Since inception (see the right-hand column in the table below), we still lead our primary market benchmark, the S&P 500 Index, and our peer benchmark, the Lipper Large-Cap Core Funds Index. We trail our own proprietary index, Bridgeway Ultra-Large 35, by an amount roughly equal to our expense ratio, a result I am pleased with.

	6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		Life-to-Date 7/31/97 to 12/31/05
Blue Chip 35 Index Fund	4.72	%	0.05	%	0.14	%	5.35	%
S&P 500 Index	5.77	%	4.91	%	0.54	%	4.83	%
Bridgeway Ultra-Large 35 Index	4.73	%	0.08	%	0.84	%	5.47	%
Lipper Large-Cap Core Funds	6.79	%	5.72	%	-0.38	%	4.08	%

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 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 reflect 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 or average. Periods longer than one year are annualized.

According to data from Morningstar, Inc., our Fund ranked 1,483rd of 1,851 large blend funds for the last twelve months and 509th of 1,155 such funds for the last five years. The Fund's numeric rankings are based solely on total return performance. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

121

Growth of $10,000 Invested in Blue Chip 35 Fund and Indexes from 7/31/97 (inception) to 12/31/05

Performance Summary in a Small Company Dominated Market

The Short Version: It's been a small-cap dominated market for at least six years, which is not the environment most favorable to our Fund.

"First decile" stocks, those the size of the largest 10% on the New York Stock Exchange, significantly underperformed almost every other category of stocks in the six-month, one-year and five-year periods reported below. While a majority of the weighting in the S&P 500 Index is also in this first decile, it also has substantial exposure to the second decile and even some exposure to companies as small as the fourth decile. When small stocks are in favor, our fund is at a relative disadvantage, since ours is more a "pure large cap," "high end of the first decile," fund. This fact has put a significant damper on our performance relative to the S&P 500 and most large-cap mutual funds over the last six-months, year, and even five years.

Company Size According to the CRSP Cap-Based Portfolio Indexes(1)	6 months		1 year		5 years		79 years(2)
1 (ultra-large)	5.2	%	3.7	%	-1.6	%	9.6	%
2	8.1	%	12.0	%	6.8	%	11.0	%
3	8.6	%	12.4	%	7.5	%	11.4	%
4	6.8	%	10.6	%	9.0	%	11.5	%
5	9.4	%	10.1	%	7.9	%	11.8	%
6	4.2	%	3.2	%	10.1	%	11.9	%
7	7.7	%	10.5	%	11.4	%	11.8	%
8	9.1	%	7.6	%	14.9	%	11.9	%
9	6.4	%	2.0	%	16.2	%	12.1	%
10 (ultra-small)	10.5	%	5.8	%	25.5	%	14.1	%

(1): The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by the market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.
(2): December 1926 to December 2005.

Informal Long-term Goal

The Short Version: Informally, we have a goal of outperforming the S&P 500 Index in each year that large companies outperform small ones and half the years that small ones beat large ones. So far, we've done just about that.

So far, there has only been one calendar year data point since inception of this Fund when large companies beat small companies. (I'm expecting several more data points in the next five years; we'll see.) In that year (1998), our Fund handily beat the S&P 500, at least partly, if not entirely, due to the advantage of our ultra-large companies in that environment. Our "swimming with the current," was

122

reflected in our performance. What is interesting is that we also seek to outperform the S&P 500 Index in half the years that small companies beat large. This may seem counterintuitive, but it relates to interesting aspects of our contrarian strategy of "roughly equally weighting" the stocks in the Bridgeway Ultra-Large 35 Index. In a "market cap weighted" index, such as the S&P 500 Index, the more an index company goes up in price (and thus, perhaps, the more expensive it becomes) the more heavily weighted it is in the index. Ours is the opposite. The Bridge-way Ultra-Large 35 Index structure is such that the more a company goes up in price; the more we tend to "pull back" from it in weighting. Likewise, the more the stock price goes down, the more we are increasing our weighting (or adding back). As the table below indicates, we have beaten the S&P 500 Index in four of seven years that small company performance has exceeded that of large companies. Overall, this has led to our beating the S&P 500 Index on a cumulative basis since inception. (See the table on page 94.) Of course, past performance is no guarantee of future performance, so it will be interesting to continue to track this feature.

Calendar Year	Large or Small Dominance?	Blue Chip 35 Index Fund		S&P 500 Index		Difference
1998	Large	39.1	%	28.5	%	10.6	%
1999	Small	30.3	%	21.0	%	9.3	%
2000	Small	-15.1	%	-9.1	%	-6.0	%
2001	Small	-9.1	%	-11.9	%	2.8	%
2002	Small	-18.0	%	-22.1	%	4.1	%
2003	Small	28.9	%	28.7	%	0.2	%
2004	Small	4.8	%	10.9	%	-6.1	%
2005	Small	0.1	%	4.9	%	-4.9	%

Calendar Year Performance

The Short Version: It was a poor calendar year, relative to both our primary market benchmark and our peer benchmarks.

At the end of the fiscal year in June, we reported the re-composition of the index and the fund, which we do every few years to keep our focus on the largest "blue chip" U.S. stocks and to do so in a way that pays attention to diversification and risk. We dropped seven companies and added seven. However, since all fourteen contributed to the calendar year return, they are all listed below, with returns for the half year period only. (We own 36 companies rather than 35, in anticipation of a merger between two companies, something that historically has happened every few years.)

Total Return for Blue Chip 35 Index Fund Stocks for the Calendar Year 2005*

Rank	Company	Industry	% Change
1	Google Inc(2)	Internet	39.9	%
2	Texas Instruments Inc	Semiconductors	18.9	%
3	Genentech Inc(2)	Biotechnology	13.5	%
4	JPMorgan Chase & Co(2)	Diversified Financial Services	13.5	%
5	PepsiCo Inc	Beverages	10.6	%
6	Applied Materials Inc(2)	Semiconductors	9.4	%
7	Wachovia Corp(2)	Banks	8.5	%
8	Hewlett-Packard Co(1)	Computers	8.5	%
9	United Technologies Corp(2)	Aerospace/Defense	8.3	%
10	Exxon Mobil Corp	Oil & Gas	8.1	%
11	Intel Corp	Semiconductors	5.9	%
12	American International Group Inc	Insurance	5.8	%

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13	Chevron Corp	Oil & Gas	5.8	%
14	Merck & Co Inc	Pharmaceuticals	3.7	%
15	Procter & Gamble Co	Cosmetics/Personal Care	3.3	%
16	Citigroup Inc	Diversified Finan Services	2.3	%
17	Berkshire Hathaway Inc	Insurance	2.1	%
18	Wells Fargo & Co	Banks	2.0	%
19	Eli Lilly & Co	Pharmaceuticals	1.0	%
20	Bank of America Corp	Banks	0.1	%
21	Microsoft Corp	Software	-0.5	%
22	Bristol-Myers Squibb Co(1)	Pharmaceuticals	-1.3	%
23	General Electric Co	Miscellaneous Manufacturing	-1.3	%
24	AT&T Inc	Telecommunications	-2.4	%
25	Home Depot Inc	Retail	-2.4	%
26	Coca-Cola Co	Beverages	-2.5	%
27	Wal-Mart Stores Inc	Retail	-2.9	%
28	3M Co	Miscellaneous Manufacturing	-3.1	%
29	ConocoPhillips(2)	Oil & Gas	-3.9	%
30	United Parcel Service Inc	Transportation	-4.3	%
31	Johnson & Johnson	Healthcare-Products	-4.6	%
32	Comcast Corp(1)	Media	-7.1	%
33	Oracle Corp	Software	-7.7	%
34	Time Warner Inc	Media	-8.1	%
35	Cisco Systems Inc	Telecommunications	-8.5	%
36	Pfizer Inc	Pharmaceuticals	-9.9	%
37	International Business Machines Corp	Computers	-10.0	%
38	Fannie Mae(1)	Diversified Financial Services	-10.9	%
39	McDonald's Corp(1)	Retail	-12.0	%
40	EI Du Pont de Nemours & Co(1)	Chemicals	-12.2	%
41	Verizon Communications Inc	Telecommunications	-16.5	%
42	Dell Inc	Computers	-19.7	%
43	Ford Motor Co(1)	Auto Manufacturers	-23.2	%

*: Performance for footnoted companies is for a partial year due to portfolio recomposition.
(1): Sold during 2005.
(2): Purchased during 2005.

The biggest industry shift in the last six months has been in energy stocks, as their recent hot performance has begun to cool. ExxonMobil, number one in the June report, dropped to number ten in December. Number two ChevronTexaco dropped to number thirteen. The Communications and Technology sectors have taken some of that performance leadership, with newcomer Google and Texas Instruments leading the Index.

Google was added to the Index in July and quickly rose to the number one slot by year end. In competition with a couple of other browser companies, it has introduced "G-mail" for email and instant messaging to add to its Google Talk for its combo "instant messaging"/free web-based calling feature. Google techs are working hard to provide extra features to retain customer loyalty, such as ease of contact lists, program loading and updating and purchase options for e-shoppers. Number two performer, Texas Instruments, has benefited from the increase in demand—up 6.8% over 2004—for microchips for computers, mobile phones and digital music players and other consumer devices.

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On the other end of the performance spectrum, computer makers Dell and IBM have had a challenging calendar year. Dell is working on expanding foreign production, particularly in India, in hopes of filling in the gap from slowing US sales. IBM's results were under expectations early in the calendar year. It continues to struggle against competition and to try to diversify its business units.

Sector Representation as of December 31, 2005

The Short Version: Our sector representation does not vary significantly relative to the S&P 500, except, perhaps, that we have more technology.

The following table presents the percentage of our Fund's stocks by sector of the economy relative to that of our primary market benchmark.

		% of Net Assets		S&P 500 Index		Difference
Basic Materials		0.0	%	2.9	%	-2.9	%
Communications		14.0	%	10.2	%	3.8	%
Consumer, Cyclical		5.8	%	8.5	%	-2.7	%
Consumer, Non-cyclical		21.9	%	21.6	%	0.3	%
Energy		7.6	%	9.6	%	-2.0	%
Financial		20.3	%	21.1	%	-0.8	%
Industrial		11.6	%	11.3	%	0.3	%
Technology		18.6	%	11.4	%	7.2	%
Utilities		0.0	%	3.4	%	-3.4	%
Cash		0.2	%	0.0	%	0.2	%

	Total	100.0	%	100.0	%

Tax Efficiency

The Short Version: We just completed our eighth year of not distributing any capital gains. While all index funds tend toward tax efficiency, this one has been so in the extreme.

		1 Year 1/1/05 to 12/31/05		5 Year 1/1/01 to 12/31/05		Life-to-Date 7/31/97 to 12/31/05
Blue Chip 35 Index Fund
	Return Before Taxes	0.05	%	0.14	%	5.35	%
	Return After Taxes on Distributions	-0.45	%	-0.34	%	4.92	%
	Return After Taxes on Distributions and Sale of Fund Shares	-0.17	%	-0.17	%	4.39	%

I recently came across this commentary online:

XYZ ETF Company says the distributions result from changes in companies found within the indexes that the ETFs track and from the nature of assets flowing into the funds. Changes in indexes can create capital gains because ETF managers must sell off stocks that are being removed from the index.

I thought the final comment a bit unusual: distributions were caused by the "nature of the assets flowing into the funds." Hmmm. I thought a dollar was a dollar was a dollar.

Most index funds track indexes that were created to typify a particular market niche, for instance, large or small U.S. companies. Typically, these are "rebalanced" quarterly or annually. As companies are "jettisoned" from the index that have appreciated over time, the mutual funds tracking them necessarily take capital gains when rebalancing. The index that our Fund tracks, Bridgeway Ultra-Large 35 Index, was specifically created with mutual fund shareholders' needs in mind, however. Our

125

structure is much less likely to create a capital gain, thus seeking to preserve our tax efficiency in the extreme. For example, since our fund tracks the largest of the large companies, a company doesn't leave the Index just because it gets larger. We only rebalance every two, or more likely three years, which also reduces the need for selling appreciated stocks. A divested company (a smaller company created when a large company sells shares of a division on the market as a separate company) is not automatically sold at the first opportunity, but when it is more advantageous to shareholder interests. These are just some of the ways we have been able to avoid making a capital gain distribution, thus saving more of our Fund returns from the tax man.

Contrarian Viewpoint

The Short Version: I'm a contrarian at heart. Here's another "take" on a theme in this letter. With small companies having recently outperformed large ones for six or seven years in a row (depending on what measure you use), ultra-large companies appear overdue for a comeback. That would bode well for our Fund.

In that same vein, the following recent web site posting caught my eye:

Can anyone point me to any investment guru or writer or anybody who recommends funds that have poor performance? Certainly there are managers out there who have great strategies but haven't had good returns. Why isn't anyone talking about and buying these funds?

In spite of beating its market benchmark since inception, I would describe this Fund as Bridgeway's "good Fund with poor performance." All other Bridgeway Funds with a three year track record have five stars as rated by Morningstar. This one has just two. However, I don't think that's reflective of its prospects. (Overall ratings are based on 3- and 5-year Morning-star Risk-Adjusted Returns and account for variation in a fund's monthly performance. Past performance is no guarantee of future results.)

Disclaimer

The Fund is subject to above average market risk (volatility) and is not an appropriate investment for short-term investors.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

Thank you for your continued investment in Blue Chip 35 Index. This Fund remains open to both current and new investors. As always, we appreciate your feedback.

Sincerely,

John Montgomery

126

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Blue Chip 35 Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05 - 12/31/05
Actual Fund Return		$	1,000.00		$	1,047.20		$	0.77
Hypothetical Fund Return		$	1,000.00		$	1,024.45		$	0.77

*: Expenses are equal to the Fund's annualized expense ratio of 0.15% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

127

SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—99.8%
Aerospace/Defense—2.9%
	United Technologies Corp	24,900	$	1,392,159
Banks—8.3%
	Bank of America Corp	28,328		1,307,337
	Wachovia Corp	26,400		1,395,504
	Wells Fargo & Co	20,660		1,298,068

				4,000,909
Beverages—5.2%
	Coca-Cola Co/The	27,457		1,106,792
	PepsiCo Inc	23,605		1,394,583

				2,501,375
Biotechnology—3.0%
	Genentech Inc.*	15,500		1,433,750
Computers—5.0%
	Dell Inc*	36,344		1,089,957
	International Business Machines Corp	15,942		1,310,432

				2,400,389
Cosmetics/Personal Care—2.6%
	Procter & Gamble Co	21,636		1,252,292
Diversified Financial Services—5.9%
	Citigroup Inc	29,314		1,422,608
	JPMorgan Chase & Co	35,900		1,424,871

				2,847,479
Healthcare—Products—2.7%
	Johnson & Johnson	21,312		1,280,851
Insurance—6.0%
	American International Group Inc	21,801		1,487,482
	Berkshire Hathaway Inc—Class B*	474		1,391,427

				2,878,909
Internet—3.8%
	Google Inc*	4,400		1,825,384
Media—2.6%
	Time Warner Inc	71,830		1,252,715
Miscellaneous Manufacturing—5.7%
	3M Co	18,053		1,399,108
	General Electric Co	37,438		1,312,202

				2,711,310
Oil & Gas—7.6%
	ChevronTexaco Corp	22,550		1,280,164
	ConocoPhillips	19,100		1,111,238

128

	Exxon Mobil Corp	21,827	$	1,226,023

				3,617,425
Pharmaceuticals—8.4%
	Eli Lilly & Co	24,080		1,362,687
	Merck & Co Inc	47,746		1,518,799
	Pfizer Inc	50,023		1,166,536

				4,048,022
Retail—5.8%
	Depot Inc	33,915		1,372,879
	Wal-Mart Stores Inc	29,719		1,390,849

				2,763,728
Semiconductors—8.4%
	Applied Materials Inc	77,500		1,390,350
	Intel Corp	51,933		1,296,248
	Texas Instruments Inc	40,980		1,314,229

				4,000,827
Software—5.3%
	Microsoft Corp	48,440		1,266,706
	Oracle Corp*	103,348		1,261,879

				2,528,585
Telecommunications—7.6%
	AT&T Inc	52,975		1,297,358
	Cisco Systems Inc*	71,174		1,218,499
	Verizon Communications Inc	37,439		1,127,663

				3,643,520
Transportation—3.0%
	United Parcel Service Inc	19,203		1,443,105

TOTAL COMMON STOCKS (Cost $43,833,458)				47,822,734

MONEY MARKET MUTUAL FUNDS—0.0%^
First American Treasury Obligations Fund—Class S		17,344		17,344

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $17,344)				17,344

TOTAL INVESTMENTS—99.8% (Cost $43,850,802)			$	47,840,078
Other Assets in Excess of Liabilities—0.2%				101,034

NET ASSETS—100.0%			$	47,941,112

*: Non-income producing security
^: Less than 0.05% of net assets
See Notes to Financial Statements

129

Balanced Fund
MANAGER'S COMMENTARY
(Unaudited)

December 31, 2005

Dear Fellow Balanced Fund Shareholder,

Our Fund was up 0.86% in the December quarter compared to a 0.66% return for the Bloomberg/EFFAS U.S. Government 1-3 year Total Return Bond Index, a 1.70% return for the Lipper Balanced Fund Index and a 1.21% return for the Balanced Benchmark. Not much to say about this quarter except that it was a poor one on both an absolute and relative basis.

The six-month performance is more in line with my expectations, and I am quite pleased with the full calendar year returns, 6.96% compared to 1.58% for the Bloomberg/EFFAS U.S. Government 1-3 year Total Return Bond Index, 5.20% for the Lip-per Balanced Fund Index and 2.85% for the Balanced Benchmark.

The table below presents our December quarter, six month, one year and life-to-date financial results according to the formula required by the SEC.

	Dec. Qtr. 10/1/05 to 12/31/05		6 Months 7/1/05 to 12/31/05		1 Year 1/1/05 to 12/31/05		Life-to-Date 7/1/01 to 12/31/05
Balanced Portfolio	0.86	%	3.83	%	6.96	%	5.61	%
Bloomberg/ EFFAS U.S. Government 1-3 year Total Return Bond Index	0.66	%	0.71	%	1.58	%	3.22	%
Lipper Balanced Fund Index	1.70	%	4.68	%	5.20	%	4.30	%
S&P 500 Index	2.09	%	5.77	%	4.91	%	2.16	%
Balanced Benchmark	1.21	%	2.62	%	2.85	%	2.80	%

The Lipper Balanced Funds is an index of balanced funds compiled by Lipper, Inc. Balanced Benchmark is a combined index of which 40% reflects the S&P 500 Index (an unmanaged index of large companies with dividends reinvested) and 60% reflects the Bloomberg/ EFFAS U.S. Government 1-3 year Total Return Bond Index (transparent benchmark for the total return of the 1-3 year U.S. Government bond market).

According to data from Lipper, Inc., the Balanced Fund ranked 270th of 650 balanced funds for the calendar year 2005 and 61st of 396 funds since inception. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

According to data from Morningstar, the Balanced Fund ranked 6th of 563 Conservative Allocation funds for the calendar year 2005 and 35th out of 365 funds for three years. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

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Growth of $10,000 Invested in Balanced Fund and Indexes from 6/30/01 (inception) to 12/31/05

Detailed Explanation of Quarterly Performance—What Worked Well

The Short Version: The energy component that we had been enjoying in the last several quarters is noticeably absent from this list of best-performers. Even so, we had seven companies above 20% return for the quarter.

Rank	Description	Industry	% Gain
1	Apple Computer Inc	Computers	34.1	%
2	Circuit City Stores Inc	Retail	31.6	%
3	Georgia-Pacific Corp	Forest Products & Paper	27.5	%
4	Fluor Corp	Engineering & Construction	26.8	%
5	Adobe Systems Inc	Software	23.8	%
6	Monsanto Co	Agriculture	23.6	%
7	Jabil Circuit Inc	Electronics	20.0	%
8	Starbucks Corp	Retail	19.8	%
9	National Semiconductor Corp	Semiconductors	18.9	%
10	Dillard's Inc	Retail	18.9	%

Apple's iPod products continue to grow in popularity and to spawn derivative products, which provide diversity for the company beyond its personal computers line. Although the tremendous price appreciation since our first purchase over four years ago means this stock is not nearly as cheap as it was, our models still like it.

Circuit City, reported a 10.8% increase in December sales, following an increase in share price from $16 in September to $22.95 at the end of the year. Although we can align good December gains to sales of flat-panel TVs, digital audio players, video games and other electronics, share price increases have continued into January 2006.

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Detailed Explanation of Quarterly Performance—What Didn't Work

The Short Version: Two companies lost more than 20% for the quarter.

Rank	Description	Industry	% Loss
1	General Motors Corp	Auto Manufacturers	-31.9	%
2	American Standard Cos Inc	Building Materials	-22.7	%
3	Ford Motor Co	Auto Manufacturers	-19.6	%
4	ConocoPhillips	Oil & Gas	-16.8	%
5	ADC Telecommunications Inc	Telecommunications	-16.4	%
6	Bausch & Lomb Inc	Healthcare-Products	-15.8	%
7	American Power Conversion Corp	Electrical Compo & Equip	-15.2	%
8	Symantec Corp	Internet	-14.8	%
9	American Express Co	Diversified Finan Serv	-14.8	%
10	Toll Brothers Inc	Home Builders	-14.8	%

The Auto Manufacturing Industry woes continue this quarter. Both General Motors and Ford appear on our "performance challenged" list. It remains to be seen whether their restructuring can turn stock prices around. American Standard, maker of air conditioning systems, fixtures and fittings for bathrooms and kitchens, and vehicle control systems, revised its third quarter earnings and full-year forecasts in mid-October. The stock price immediately tumbled 17% and has not recovered since. Our models got cold feet, and we sold the last of our holdings shortly afterward.

Detailed Explanation of Calendar Year Performance—What Worked Well

The Short Version: Obviously, the name of the game for our calendar year performance was energy. Six of the ten best performers were over 50% in return, with the other four close behind.

Rank	Description	Industry	% Gain
1	Valero Energy Corp	Oil & Gas	115.8	%
2	Burlington Resources Inc	Oil & Gas	71.5	%
3	Gilead Sciences Inc	Pharmaceuticals	56.7	%
4	Amerada Hess Corp	Oil & Gas	54.0	%
5	Nordstrom Inc	Retail	51.7	%
6	Aetna Inc	Healthcare-Services	51.2	%
7	Freeport-McMoRan Copper & Gold Inc	Mining	49.2	%
8	EOG Resources Inc	Oil & Gas	47.7	%
9	Anadarko Petroleum Corp	Oil & Gas	46.2	%
10	Circuit City Stores Inc	Retail	43.7	%

Six out of ten companies on our winners list are in the Energy Sector. In explaining why that is significant, I want to tell you a little about the management of your Fund. In line with our Balanced Fund objective, 45% of the equity holdings in the portfolio are indexed, which keeps us in line with the market (S&P 500) in general, and our sector weightings will also be aligned with the market, within a small percentage over time. A minimum of 25% of assets is invested in fixed income securities. The remaining 30% is actively managed using our stock picking models. We try to keep about 15% of those selections in growth companies and about 15% in value. It's in these two baskets that we employ our put-writing strategy. It's also an area in which I believe some of our competitive advantage exists. The energy holdings in our Fund for this calendar year are a good illustration. We had almost the same weighting in Energy as the S&P 500; however, our stocks performed twice as well, adding significantly

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to our return for the year because of our careful selection. Of course, I cannot promise results like this with every sector every year; we just concentrate on picking one good stock at a time.

Detailed Explanation of Calendar Year Performance—What Didn't Work

The Short Version: One stock was down over 50% for the calendar year.

Rank	Description	Industry	% Loss
1	Winn-Dixie Stores Inc	Food	-84.9	%
2	AK Steel Holding Corp	Iron/Steel	-47.9	%
3	Avaya Inc	Telecommunications	-47.1	%
4	Avon Products Inc	Cosmetics/Personal Care	-30.4	%
5	QLogic Corp	Semiconductors	-28.3	%
6	Toll Brothers Inc	Home Builders	-27.7	%
7	Waters Corp	Electrical Compo & Equip	-26.0	%
8	MBNA Corp	Diversified Finan Serv	-25.8	%
9	Power-One Inc	Electrical Compo & Equip	-21.8	%
10	Ford Motor Co	Auto Manufacturers	-21.8	%

Of the ten worst-performers for the year, all ten are in different industries, which illustrates both the diversity of the portfolio and that there was no particular sector influence. Winn-Dixie's dramatic price drop in February and subsequent delisting after filing Chapter 11 rendered it our worst performer for the year, even though we sold it in late February.

The stock price of steelmaker AK Steel Holding Corporation, pressured by offshore producers and rising energy costs, had a rickety ride in 2005. We sold our holdings in late May. Avaya, Inc. provides communication systems, applications, and services in voice and data systems. The company announced March quarter earnings at 7 cents per share, significantly lower than 27 cents a year ago. The market reacted negatively to that announcement, and the price dropped almost 18%. We completed our exit in mid-May.

Top Ten Holdings

Here are the top ten holdings at the end of December. Please note that the option positions included here are short puts. The percentages are based on a theoretical stock position, that is, as if we

133

owned the underlying stock. We are obligated to buy the underlying stock at a specific strike price for a specific period of time.

Rank		Description	Industry	% of Net Assets
1		Goodyear Tire & Rubber Co/The, incl. Feb $17.5, Jan $15 & Jan $17.5	Auto Parts & Equipment	2.1	%
2		Bristol-Myers Squibb Co, inl. June $22.5	Pharmaceuticals	2.0	%
3		McDermott Int, incl. Jan $35 & Jan $40	Engineering & Construction	2.0	%
4		Express Scripts Inc, incl. Feb $80 & Jan $80	Pharmaceuticals	1.7	%
5		Merck & Co Inc, incl. Apr $27.5, Feb $32.5 & Jan $30	Pharmaceuticals	1.6	%
6		BellSouth Corp, incl. Jan $25	Telecommunications	1.5	%
7		Washington Mutual Inc, incl. Jan $40	Savings & Loans	1.5	%
8		BMC Software Inc, incl. Feb $20 & Jan $20	Software	1.4	%
9		Apple Computer Inc, incl. Jan $60	Computers	1.4	%
10		ConocoPhillips, incl. Feb $55 & Jan $60	Oil & Gas	1.2	%

	Total			16.4	%

Industry Sector Representation as of December 31, 2005

Common Stock		56.5	%
	Basic Materials	1.9	%
	Communications	5.5	%
	Consumer, Cyclical	7.0	%
	Consumer, Non- Cyclical	12.4	%
	Energy	5.5	%
	Financial	9.6	%
	Industrial	6.9	%
	Technology	6.5	%
	Utilities	1.2	%
U. S. Government Obligations		35.8	%
Corporate Notes		2.2	%
Covered Call Options Written		-0.4	%
Put Options Written		-0.3	%
Money Market Funds		9.2	%
Other Assets In Excess of Liabilities		-3.0	%

	Total	100.0	%

Disclaimer

The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those of market

134

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, December 31, 2005, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding the Fund's risks, objectives, fees and expenses, experience of its management, and other information For questions or other fund information, call 1-800-661-3550 or visit the Fund's website www.bridgeway.com. Foreside Fund Services, LLC, distributor.

Conclusion

In closing, we would like to thank you for your continued investment in Balanced Fund. We appreciate your feedback, so please call or write us with any questions or comments. We work for you and value your input.

Sincerely,

Richard P. Cancelmo, Jr.

135

DISCLOSURE OF FUND EXPENSES
(Unaudited)

Bridgeway Balanced Fund

		Beginning Account Value at 7/1/05			Ending Account Value at 12/31/05			Expense Paid During Period* 7/1/05-12/31/05
Actual Fund Return		$	1,000.00		$	1,038.30		$	4.77
Hypothetical Fund Return		$	1,000.00		$	1,020.52		$	4.74

*: Expenses are equal to the Fund's annualized expense ratio of 0.93% multiplied by the average account value over the period, multiplied by the number of days in the first fiscal half-year divided by 365 days in the current year (to reflect the one half-year period).

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Balanced Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of December 31, 2005
(Unaudited)

Industry	Company	Shares	Value
COMMON STOCKS—56.5%
Aerospace/Defenese—0.9%
	General Dynamics Corp	700	$	79,835
	Goodrich Corp	1,800		73,980
	Lockheed Martin Corp	2,470		157,166
	Northrop Grumman Corp	1,200		72,132
	Rockwell Collins Inc	1,000		46,470
	United Technologies Corp	1,740		97,283

				526,866
Agriculture—1.3%
	Archers-Daniels-Midland Co	18,600		458,676
	Monsanto Co	3,900		302,367

				761,043
Airlines—0.1%
	Southwest Airlines Co	2,400		39,432
Apparel—0.2%
	Coach Inc*	2,700		90,018
Auto Manufacturers—0.9%
	Ford Motor Co	22,800		176,016
	General Motors Corp	12,000		233,040
	Paccar Inc	1,300		89,999

				499,055
Auto Parts & Equipment—0.7%
	Goodyear Tire & Rubber Co*	22,400		389,312
	Johnson Controls Inc	480		34,997

				424,309
Banks—3.7%
	AmSouth Bancorp	5,840		153,066
	Bank of America Corp	3,400		156,910
	Bank of New York Co	6,500		207,025
	Comerica Inc	3,400		192,984
	KeyCorp	4,600		151,478
	State Street Corp	2,000		110,880
	SunTrust Bank Inc	2,500		181,900
	Synovus Financial Corp	5,500		148,555
	US Bancorp	14,800		442,372
	Wachovia Corp	2,457		129,877
	Wells Fargo & Co	2,900		182,207
	Zions Bancorporation	1,700		128,452

				2,185,706

137

Beverages—1.0%
	Brown-Forman Corp	2,500	$	173,300
	Coca-Cola Co	4,100		165,271
	Coca-Cola Enterprise	7,800		149,526
	PepsiCo Inc	2,100		124,068

				612,165
Biotechnology—0.6%
	Amgen Inc*	2,500		197,150
	Genzyme Corp*	2,400		169,872

				367,022
Building Materials—0.1%
	Vulcan Materials Co	1,200		81,300
Chemicals—0.6%
	Ecolab Inc	2,400		87,048
	Sherwin-Williams Co	3,500		158,970
	Sigma-Aldrich Corp	1,900		120,251

				366,269
Coal—0.6%
	Peabody Energy Corp	4,000		329,680
Commercial Services—1.2%
	Equifax Inc	2,600		98,852
	Moody's Corp	1,600		98,272
	Quanta Services Inc*	30,000		395,100
	Robert Half International	1,300		49,257
	RR Donnelley & Sons	2,200		75,262

				716,743
Computers—2.0%
	Affiliated Computer Services Inc*	2,500		147,950
	Apple Computer Inc*	5,200		373,828
	EMC Corp*	14,200		193,404
	Hewlett-Packard Co	4,700		134,561
	International Business Machines	1,800		147,960
	NCR Corp*	4,400		149,336

				1,147,039
Cosmetics/Personal Care—1.2%
	Alberto-Culver Co	3,000		137,250
	Colgate-Palmolive Co	4,400		241,340
	Kimberly-Clark Corp	1,100		65,615
	Procter & Gamble Co	4,000		231,520

				675,725
Distribution/Wholesale—0.4%
	Building Materials Holding Corp	2,500		170,525
	WW Grainger Inc	500		35,550

				206,075

138

Diversified Financial Services—4.1%
	Ameriprise Financial	480	$	19,680
	Bear Stearns Cos Inc	1,400		161,742
	Charles Schwab Corp	11,800		173,106
	CIT Group Inc	3,500		181,230
	Citigroup Inc	2,800		135,884
	Countrywide Financial Corp	2,000		68,380
	ETrade Financial Corp	11,400		237,804
	Franklin Resources Inc	2,000		188,020
	Goldman Sachs Group Inc	1,700		217,107
	Janus Capital Group	3,300		61,479
	JP Morgan Chase & Co	4,000		158,760
	Lehman Brothers Holdings Inc	2,200		281,974
	Merrill Lynch & Co Inc	2,500		169,325
	Morgan Stanley & Co Inc	1,800		102,132
	SLM Corp	810		44,623
	T Rowe Price Group Inc	2,500		180,075

				2,381,321
Electric—1.5%
	Allegheny Energy Inc*	2,800		88,620
	Ameren Corp	600		30,744
	American Electric Power Co Inc	2,435		90,314
	Dominion Resources Inc	760		58,672
	Duke Energy Corp	3,000		82,350
	Edison International	2,300		100,303
	Exelon Corp	1,900		100,966
	TECO Energy Inc	5,600		96,208
	TXU Corp	4,200		210,798

				858,975
Electrical Components & Equipment—0.2%
	Emerson Electric Co	1,800		134,460
Electronics—1.2%
	Itron Inc*	10,000		400,400
	Jabil Circuit Inc*	2,300		85,307
	Parker Hannifin Corp	2,400		158,304
	Thermo Electron Corp*	2,300		69,299

				713,310
Engineering & Construction—0.1%
	Fluor Corp	800		61,808
Environmental Control—0.1%
	Allied Waste Industries Inc*	5,200		45,448
Food—1.0%
	Albertson's Inc	12,500		266,875
	Campbell Soup Co	3,200		95,264
	Hershey Co/The	1,300		71,825
	Kellogg Co	3,900		168,558

				602,522

139

Forest Products & Paper—0.2%
	Lousiana-Pacific Co	3,300	$	90,651
Gas—0.1%
	Sempra Energy	1,600		71,744
Hand/Machine Tools—0.1%
	Black & Decker Corp	400		34,784
Healthcare—Products—1.6%
	Bausch & Lomb Inc	1,500		101,850
	Becton Dickinson & Co	2,420		145,394
	CR Bard Inc	2,300		151,616
	Johnson & Johnson	2,100		126,210
	St Jude Medical Inc*	3,280		164,656
	Stryker Corp	2,660		118,184
	Zimmer Holdings Inc*	1,700		114,648

				922,558
Healthcare—Services—1.0%
	Aetna Inc	1,200		113,172
	Coventry Health Care Inc*	1,800		102,528
	Health Management Associates Inc	1,500		32,940
	Quest Diagnostics Inc	2,200		113,256
	United Health Group Inc	2,000		124,280
	WellPoint Inc*	1,300		103,727

				589,903
Home Builders—0.2%
	Centex Corp	400		28,596
	KB Home	1,200		87,192

				115,788
Home Furnishings—0.3%
	Leggett & Platt Inc	7,600		174,496
Household Products/Wares—0.1%
	Clorox Co	830		47,219
Insurance—2.4%
	ACE Ltd	1,400		74,816
	Aflac Inc	800		37,136
	Allstate Corp	1,000		54,070
	AON Corp	5,000		179,750
	Chubb Corp	1,600		156,240
	Cigna Corp	1,400		156,380
	Genworth Financial	2,600		89,908
	Metlife Inc	3,100		151,900
	Principal Financial Group Inc	2,700		128,061
	Progressive Corp	1,380		161,156
	Prudential Financial	1,200		87,828
	Safeco Corp	2,720		153,680

				1,430,925

140

Internet—0.8%
	Amazon.com Inc*	2,600	$	122,590
	eBay Inc*	2,800		121,100
	Symantec Corp*	7,400		129,500
	Yahoo! Inc*	3,100		121,458

				494,648
Iron/Steel—0.0%^
	United States Steel Corp	500		24,035
Leisure Time—0.2%
	Brunswick Corp	1,670		67,902
	Carnival Corp	1,400		74,858

				142,760
Lodging—0.1%
	Marriott International Inc	1,300		87,061
Machinery—Construction & Mining—0.2%
	Caterpiller Inc	1,700		98,209
Machinery—Diversified—0.1%
	Cummins Inc	600		53,838
	Deere & Co	300		20,433

				74,271
Media—1.3%
	Comcast Corp*	4,700		122,012
	McGraw-Hill Cos Inc	4,000		206,520
	Meredith Corp	2,900		151,786
	News Corp Class A	2,000		31,100
	Time Warner Inc	6,700		116,848
	Viacom Inc*	3,300		107,580

				735,846
Mining—0.3%
	Freeport-McMoRan Copper & Gold Inc	3,000		161,400
Miscellaneous Manufacturing—1.9%
	Cooper Industries Ltd	2,600		189,800
	Danaher Corp	3,400		189,652
	Eaton Corp	2,200		147,598
	Honeywell International Inc	5,300		197,425
	Ingersoll-Rand Co	5,800		234,146
	Textron Inc	2,200		169,356

				1,127,977
Office/Business Equipment—0.1%
	Xerox Corp*	4,800		70,320

141

Oil & Gas—4.1%
	Amerada Hess Corp	1,020	$	129,356
	Anadarko Petroleum Corp	1,400		132,650
	Apache Corp	1,700		116,484
	Burlington Resources Inc	2,200		189,640
	Chesapeake Energy Co	10,000		317,300
	Chevron Corp	878		49,844
	ConocoPhillips	2,400		139,632
	EOG Resources Inc	2,400		176,088
	Marathon Oil Corp	2,200		134,134
	Nabors Industries Ltd*	3,400		257,550
	Occidental Petroleum Corp	2,100		167,748
	Rowan Cos Inc	5,500		196,020
	Sunoco Inc	2,400		188,112
	Valero Energy Corp	3,600		185,760

				2,380,318
Oil & Gas Services—0.6%
	Baker Hughes Inc	1,800		109,404
	Halliburton Co	2,350		145,606
	Schlumberger Ltd	1,100		106,865

				361,875
Pharmaceuticals—4.5%
	Abbott Laboratories	3,200		126,176
	Allergan Inc	1,400		151,144
	Bristol-Myers Squibb Co	50,900		1,169,682
	Cardinal Health Inc	1,200		82,500
	Caremark RX Inc*	3,800		196,802
	Express Scripts Inc*	1,600		134,080
	Gilead Sciences Inc*	4,900		257,887
	Hospira Inc*	6,900		295,182
	Medco Health Solutions Inc*	3,500		195,300
	Pfizer Inc	1,500		34,980

				2,643,733
Pipelines—0.1%
	El Paso Corp	5,000		60,800

142

Retail—2.5%
	AutoNation Inc*	1,000	$	21,730
	AutoZone Inc*	1,000		91,750
	Bed Bath & Beyond Inc*	2,920		105,558
	Circuit City Stores Inc	2,900		65,511
	Costco Wholesale Corp	1,000		49,470
	CVS Corp	3,500		92,470
	Dillard's Inc	2,000		49,640
	Federated Department Stores Inc	400		26,532
	J.C. Penney Co Inc	2,000		111,200
	Lowe's Cos Inc	940		62,660
	Nordstrom Inc	5,000		187,000
	Office Depot Inc*	4,300		135,020
	Sears Holding Corp*	900		103,977
	Staples Inc	3,950		89,705
	Starbucks Corp*	3,000		90,030
	Walgreen Co	2,500		110,650
	Wal-Mart Stores Inc	2,000		93,600

				1,486,503
Savings & Loans—1.1%
	Golden West Financial Corp	1,934		127,644
	Washington Mutual Inc	12,443		541,271

				668,915
Semiconductors—1.4%
	Altera Corp*	2,200		40,766
	Applied Materials Inc	4,400		78,936
	Freescale Semiconductors Inc*	3,776		95,042
	Linear Technology Co	2,800		100,996
	National Semiconductors	1,800		46,764
	Nvidia Corp*	7,200		263,232
	Texas Instruments Inc	5,570		178,630

				804,366
Software—1.7%
	Adobe Systems Inc	5,000		184,800
	Autodesk Inc	6,000		257,700
	Automatic Data Processing Inc	1,600		73,424
	BMC Software Inc*	3,920		80,321
	Citrix Systems Inc*	4,300		123,754
	Compuware Corp*	11,000		98,670
	First Data Corp	2,300		98,923
	Novell Inc*	5,400		47,682
	Oracle Corp*	1,560		19,048

				984,322

143

Telecommunications—4.2%
	ALLTEL Corp	1,900	$	119,890
	AT&T Corp	10,100		247,349
	BellSouth Corp	22,700		615,170
	Cisco Systems Inc*	6,300		107,856
	Citizens Communications Co	4,800		58,704
	Comverse Technology Inc*	7,900		210,061
	Corning Inc*	11,200		220,192
	Motorola Inc	5,300		119,727
	QUALCOMM Inc	1,700		73,236
	Scientific-Atlanta Inc	2,100		90,447
	Sprint Corp-FON Group	3,800		88,768
	Tellabs Inc*	12,400		135,160
	Verizon Communications Inc	12,500		376,500

				2,463,060
Toys, Games & Hobbies—0.1%
	Hasbro Inc	2,500		50,450
Transportation—0.8%
	Burlington Northern Sante Fe Corp	1,100		77,902
	CSX Corp	2,700		137,079
	FedEx Corp	1,300		134,407
	Norfolk Southern Corp	2,700		121,041

				470,429
Trucking/Leasing—0.7%
	GATX Corp	10,500		378,840

TOTAL COMMON STOCKS (Cost $28,763,917)				33,074,497

Due Date		Discount Rate or Coupon Rate		Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS—35.8%
U.S. Treasury Bills—23.5%
	01/05/06	3.53	%**	$	2,000,000	$	1,999,021
	01/12/06	3.67	%**		1,000,000		998,776
	01/19/06	3.42	%**		900,000		898,375
	03/09/06	3.57	%**		2,000,000		1,986,513
	04/06/06	3.87	%**		2,000,000		1,979,360
	04/13/06	3.97	%**		1,000,000		988,636
	05/25/06	4.16	%**		2,000,000		1,967,826
	06/08/06	4.19	%**		2,000,000		1,964,356
	06/22/06	4.22	%**		1,000,000		979,721

							13,762,584

144

	U.S. Treasury Notes—12.3%
		01/31/06	1.88	%	300,000	$	299,531
		04/30/06	2.25	%	500,000		496,739
		05/15/06	2.00	%	200,000		198,312
		05/31/06	2.50	%	300,000		297,797
		11/15/06	3.50	%	200,000		198,430
		03/31/07	3.75	%	300,000		297,445
		07/31/07	3.88	%	500,000		495,937
		08/15/07	2.75	%	300,000		292,242
		11/15/07	3.00	%	200,000		195,016
		02/15/08	3.38	%	300,000		293,824
		10/15/08	3.13	%	200,000		193,461
		11/15/08	3.38	%	200,000		194,633
		04/15/09	3.13	%	300,000		288,609
		06/15/09	4.00	%	300,000		296,356
		08/15/09	3.50	%	200,000		194,180
		10/15/09	3.38	%	300,000		289,699
		11/15/09	3.50	%	200,000		193,836
		02/15/10	3.50	%	300,000		290,180
		04/15/10	4.00	%	300,000		295,641
		06/15/10	3.63	%	500,000		485,254
		07/15/10	3.88	%	500,000		490,039
		10/15/10	4.25	%	500,000		497,383
		11/15/13	4.25	%	200,000		198,094
		02/15/15	4.00	%	200,000		193,906

							7,166,544

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost $21,044,581)							20,929,128

		Number of Contracts
CORPORATE NOTES—2.2%
	Leucadia National Corp Senior Notes 7.75%, 08/15/13*	1,000,000		1,055,000
	Sea Containers Ltd, Class A, Series B 7.88%, 02/15/08	276,000		264,615

TOTAL CORPORATE NOTES (Cost $1,315,863)				1,319,615

PURCHASED CALL OPTIONS—LONG—0.1%
	SBC Communications expiring Jan 07 at $25.00	30,000		39,750

TOTAL PURCHASED CALL OPTIONS (Cost $41,080)				39,750

MONEY MARKET MUTUAL FUNDS—9.2%
		Shares
First American Treasury Obligations Fund—Class S		5,400,234		5,400,234

TOTAL MONEY MARKET MUTUAL FUNDS (Cost $5,400,234)				5,400,234

TOTAL INVESTMENTS—103.8% (Cost $56,565,675)			$	60,763,224
Liabilities in excess of Other Assets—(3.8%)				(2,246,002	)

NET ASSETS—100.0%			$	58,517,222

145

*: Non-income producing security
**: Rate disclosed represents discount rate.
^: Less than 0.05% of net assets

See Notes to Financial Statements

146

Balanced Fund
SCHEDULE OF OPTIONS WRITTEN
As of December 31, 2005 (Unaudited)

Company		Number of Contracts	Value
COVERED CALL OPTIONS WRITTEN
	Abbott Laboratories expiring Jan 06 at $45.00	1,000	$	(50	)
	ACE Ltd expiring Jan 06 at $50.00	700		(2,590	)
	Adobe Systems Inc expiring Jan 06 at $35.00	1,500		(3,487	)
	Aetna Inc expiring Jan 06 at $100.00	500		(125	)
	Affiliated Computer Services Inc expiring Jan 06 at $60.00	1,000		(1,650	)
	Albertson's Inc expiring Jan 06 at $25.00	2,500		(63	)
	Allstate Corp expring Jan 06 at $60.00	1,000		(25	)
	Amgen Inc expiring Jan 06 at $90.00	700		(18	)
	AON Corp expiring Jan 06 at $37.50	2,000		(600	)
	Apple Computer Inc expiring Apr 06 at $80.00	3,000		(12,000	)
	Applied Materials Inc expiring Apr 06 at $20.00	1,500		(562	)
	Archer-Daniels-Midland Co expiring Mar 06 at $25.00	2,500		(2,812	)
	AT&T Inc expiring Jan 06 at $25.00	5,000		(375	)
	Autodesk Inc expiring Jan 06 at $50.00	3,000		(75	)
	Autonation Inc expiring Jan 06 at $22.50	1,000		(125	)
	Bausch & Lomb Inc expiring Jan 06 at $90.00	700		(18	)
	Bed Bath & Beyond Inc expiring Jan 06 at $45.00	800		(20	)
	BellSouth Corp expiring Apr 06 at $27.50	15,000		(12,750	)
	Bristol-Myers Squibb Co expiring Jan 06 at $22.50	5,000		(2,750	)
	expiring Feb 06 at $22.50	10,000		(8,500	)
	Brunswick Corp expiring Mar 06 at $45.00	1,000		(700	)
	Building Materials Holding Corp expiring Jan 06 at $80.00	2,500		(625	)

147

Burlington Northern expiring Jan 06 at $70.00	500	$	(950	)
Burlington Resources Inc expiring Jan 06 at $85.00	2,200		(3,960	)
Cardinal Health Inc expiring Jan 06 at $70.00	500		(275	)
Caremark RX Inc expiring Jan 06 at $55.00	1,200		(120	)
Chesapeake Energy expiring Jan 06 at $30.00	10,000		(22,500	)
CIT Group Inc expiring Jan 06 at $50.00	1,500		(3,525	)
Coach Inc expiring Feb 06 at $40.00	800		(100	)
Comerica Inc expiring Jan 06 at $60.00	1,200		(120	)
Comverse Technology expiring Apr 06 at $30.00	2,000		(1,200	)
Corning Inc expiring Jan 06 at $22.50	5,000		(375	)
Countrywide Financial Corp expiring Jan 06 at $37.50	2,000		(200	)
CSX Corp expiring Jan 06 at $50.00	500		(700	)
Circuit City Stores expring Jan 06 at $22.50	800		(600	)
Citrix Systems Inc expiring Mar 06 at $30.00	1,500		(1,800	)
CVS Corp expiring Feb 06 at $30.00	1,200		(180	)
eBay Inc expiring Jan 06 at $50.00	500		(88	)
Ecolab Inc expiring Apr 06 at $35.00	500		(1,212	)
EMC Corp expiring Apr 06 at $15.00	3,000		(1,125	)
EOG Resources expiring Jan 06 at $85.00	1,000		(175	)
E*Trade Financial expiring Apr 06 at $22.50	3,000		(3,150	)
First Data Corp expiring Feb 06 at $45.00	800		(660	)
Freeport-McMoran Copper & Gold Inc expiring Jan 06 at $55.00	2,000		(2,200	)
Freescale Semiconductor Inc expiring Mar 06 at $30.00	2,000		(800	)
GATX Corp expiring Jan 06 at $35.00	10,500		(16,800	)
General Motors Corp expiring Jan 06 at $25.00	12,000		(900	)

148

Gilead Sciences Inc expiring Jan 06 at $60.00	1,500	$	(225	)
Goodyear Tire & Rubber Co expiring Jan 06 at $17.50	10,000		(5,000	)
expiring Feb 06 at $17.50	10,000		(8,250	)
expiring Apr 06 at $17.50	1,200		(1,710	)
Halliburton Co expiring Apr 06 at $70.00	1,300		(2,697	)
Health Management Association expiring Feb 06 at $25.00	1,500		(113	)
Honeywell International Inc expiring Jan 06 at $37.50	2,000		(1,200	)
Hospira Inc expiring Feb 06 at $45.00	2,000		(1,650	)
ITRON expiring Jan 06 at $50.00	10,000		(1,250	)
Jabil Circuit Inc expiring Jan 06 at $32.50	800		(3,760	)
JPMorgan Chase & Co expiring Jan 06 at $37.50	4,000		(8,600	)
KB Home expiring Jan 06 at $75.00	600		(690	)
Kimberly Clark Corp expiring Jan 06 at $65.00	1,100		(55	)
Lehman Brothers Holding Inc expiring Jan 06 at $115.00	700		(9,520	)
Linear Technology expiring Jan 06 at $40.00	800		(60	)
Marathon Oil Corp expiring Jan 06 at $70.00	1,000		(25	)
Marriott International expiring Jan 06 at $70.00	500		(188	)
McGraw-Hill Cos Inc expiring Jan 06 at $55.00	1,200		(120	)
Medco Health Solutions Inc expiring Jan 06 at $55.00	1,000		(1,925	)
Monsanto Co expiring Jan 06 at $70.00	1,000		(7,700	)
Motorala Inc expiring Jan 06 at $22.50	2,500		(2,000	)
Nabors Industries expiring Jan 06 at $75.00	800		(1,900	)
NCR Corp expiring Apr 06 at $35.00	1,000		(1,800	)
News Corp Cl A expiring Jan 06 at $15.00	2,000		(1,300	)
Nordstrom Inc expiring Jan 06 at $40.00	1,000		(300	)
Norfolk Southern Corp expiring Jan 06 at $45.00	900		(855	)

149

Novell Inc expiring Jan 06 at $7.50	2,500	$	(3,250	)
Nvidia Corp expiring Mar 06 at $40.00	2,500		(3,687	)
Office Depot Inc expiring Apr 06 at $35.00	1,500		(1,275	)
Peabody Energy Corp expiring Jan 06 at $80.00	4,000		(17,000	)
PepsiCo Inc expiring Jan 06 at $60.00	1,000		(350	)
Procter & Gamble Co expiring Jan 06 at $60.00	1,000		(125	)
Qualcomm Inc expiring Jan 06 at $50.00	1,000		(25	)
Quanta Services Inc expiring Jan 06 at $15.00	10,000		(250	)
Quest Diagnostics Inc expiring Feb 06 at $55.00	1,000		(325	)
Safeco Corp expiring Jan 06 at $55.00	1,000		(1,875	)
Sears Holding Corp expiring Jan 06 at $115.00	900		(3,420	)
Sprint Nextel Corp expiring Jan 06 at $25.00	1,000		(150	)
Starbucks Corp expiring Jan 06 at $32.50	1,500		(113	)
St. Jude Medical Inc expiring Jan 06 at $55.00	1,200		(120	)
Stryker Corp expiring Jan 06 at $47.50	1,600		(360	)
Texas Instruments Inc expiring Jan 06 at $35.00	2,000		(150	)
Textron Inc expiring Jan 06 at $80.00	1,000		(300	)
United Health Group expiring Mar 06 at $65.00	1,000		(1,850	)
US Bancorp expiring Jan 06 at $30.00	10,000		(4,500	)
expiring June 06 at $32.50	4,800		(2,160	)
Verizon Communication Inc expiring Jan 06 at $35.00	5,000		(125	)
expiring Jan 06 at $32.50	7,500		(563	)
Washington Mutual Inc expiring Jan 06 at $40.00	8,000		(30,400	)
expiring Apr 06 at $45.00	1,500		(2,475	)
Yahoo! Inc expiring Jan 06 at $45.00	1,000		(175	)

TOTAL COVERED CALL OPTIONS WRITTEN			(251,551	)

(Premiums Received—$313,462)

See Notes to Financial Statements

150

Company		Number of Contracts	Value
PUT OPTIONS WRITTEN
	Albertson's Inc expiring Jan 06 at $22.50	2,500	$	(3,875	)
	expiring Mar 06 at $22.50	5,000		(10,375	)
	Apple Computer Inc expiring Jan 06 at $60.00	6,000		(1,800	)
	BellSouth Corp expiring Jan 06 at $25.00	10,500		(525	)
	BMC Software Inc expiring Jan 06 at $20.00	16,000		(4,400	)
	expiring Feb 06 at $20.00	20,000		(12,500	)
	Brightpoint Inc expiring Jan 06 at $25.00	3,000		(825	)
	expiring Feb 06 at $25.00	8,000		(6,200	)
	expiring Feb 06 at $30.00	2,500		(8,000	)
	ConocoPhillips expiring Jan 06 at $60.00	5,000		(11,875	)
	expiring Feb 06 at $55.00	5,000		(4,875	)
	Dress Barn expiring Jan 06 at $35.00	9,500		(3,562	)
	Express Scripts Inc expiring Jan 06 at $80.00	5,000		(4,000	)
	expiring Feb 06 at $80.00	5,000		(10,375	)
	Fidelity National Financial Inc expiring Jan 06 at $35.00	5,000		(500	)
	Ford Motor Co expiring Jan 06 at $7.50	20,000		(5,500	)
	Georgia-Pacific Corp expiring Jan 06 at $30.00	2,500		0
	Goodyear Tire & Rubber Co expiring Jan 06 at $15.00	25,000		(1,875	)
	expiring Jan 06 at $17.50	20,000		(12,000	)
	expiring Feb 06 at $17.50	5,000		(4,500	)
	Guess? Inc expiring Jan 06 at $35.00	10,000		(10,500	)
	expiring Feb 06 at $35.00	5,000		(10,000	)
	JLG Industries Inc expiring Jan 06 at $40.00	5,000		(625	)
	McDermott Intl Inc expiring Jan 06 at $35.00	15,000		(375	)
	expiring Jan 06 at $40.00	11,000		(1,925	)
	Merck & Co expiring Jan 06 at $30.00	10,000		(1,000	)
	expiring Apr 06 at $27.50	20,000		(9,000	)
	Red Hat Inc expiring Jan 06 at $25.00	10,000		(2,250	)
	Sandisk Corp expiring Jan 06 at $55.00	5,000		(2,125	)
	expiring Feb 06 at $55.00	5,000		(9,750	)

151

Southwestern Energy Co expiring Jan 06 at $35.00	15,000	$	(14,625	)
United States Steel Corp expiring Apr 06 at $35.00	8,000		(3,600	)
US Bancorp expiring Jan 06 at $27.50	5,000		(250	)
expiring June 06 at $27.50	4,000		(2,200	)
Verizon Communications Inc expiring Jan 06 at $32.50	5,000		(14,500	)
expiring Apr 06 at $30.00	4,000		(5,700	)
Washington Mutual Inc expiring Jan 06 at $40.00	8,000		(1,400	)

TOTAL PUT OPTIONS WRITTEN (Premiums Received—$315,213)			(197,387	)

TOTAL OPTIONS WRITTEN (Total Premiums Received—$628,675)		$	(448,938	)

See Notes to Financial Statements

152

STATEMENT OF ASSETS AND LIABILITIES
December 31, 2005 (Unaudited)

		Aggressive Investors 1			Aggressive Investors 2			Ultra-Small Company			Ultra-Small Company Market
ASSETS
Investments at value		$	402,152,792		$	307,246,745		$	110,399,831		$	762,451,128
Cash			—			34,879			97			—
Receivable for portfolio securities sold			14,751,047			—			5,253,736			1,208,740
Receivable for fund shares sold			640,087			4,169,188			15,597			3,595,679
Dividends receivable			156,161			165,700			17,153			282,633
Interest receivable			2,956			76,585			61,773			113,080
Receivable from investment adviser			—			—			—			—
Prepaid and other assets			26,785			39,223			14,162			99,944
Variation margin receivable			—			—			—			491,368

	Total assets		417,729,828			311,732,320			115,762,349			768,242,572

LIABILITIES
Overdraft			5,633			—			—			35,657
Payable for fund shares redeemed			441,832			383,397			14,636			431,663
Payable for portfolio securities purchased			12,886,146			2,296,457			754,373			7,520,887
Interest on loan payable to bank			—			—			—			—
Accrued investment adviser fees			831,086			274,589			88,455			310,588
Accrued administration fees			20,394			20,095			8,743			34,641
Accrued directors fees			32,110			22,645			8,706			7,000
Other payables			266,741			53,752			15,025			94,066
Covered call options written at value			—			—			—			—
Put options written at value			—			—			—			—
Futures contracts			—			—			—			123,732
Variation margin payable			—			—			—			—

	Total liabilities		14,483,942			3,050,935			889,938			8,558,234

NET ASSETS		$	403,245,886		$	308,681,385		$	114,872,411		$	759,684,338

NET ASSETS REPRESENT
Paid-in capital		$	308,502,126		$	263,005,076		$	76,044,918		$	424,015,376
Accumulated net investment income (loss)			(1,624,119	)		(162,908	)		(109,809	)		205,350
Accumulated net realized gain (loss) on investments			23,622,481			3,087,210			6,273,209			11,250,063
Net unrealized appreciation of investments			72,745,398			42,752,007			32,664,093			324,337,281
Net unrealized depreciation on futures contracts			—			—			—			(123,732	)

NET ASSETS		$	403,245,886		$	308,681,385		$	114,872,411		$	759,684,338

Shares of common stock outstanding of $.001 par value*			7,158,107			18,824,874			3,195,258			42,346,236

Net asset value per share		$	56.33		$	16.40		$	35.95		$	17.94

Investments at cost		$	329,407,394		$	264,494,738		$	77,735,738		$	438,113,847

*: See Note 1—Organization in the Notes to Financial Statements for shares authorized for each Fund.
See Notes to Financial Statements

153

		Micro-Cap Limited			Small-Cap Growth			Small-Cap Value			Large-Cap Growth			Large-Cap Value			Blue Chip 35 Index			Balanced
ASSETS
Investments at value		$	73,651,887		$	127,917,583		$	219,569,231		$	57,622,886		$	42,119,674		$	47,840,078		$	60,763,224
Cash			533			—			—			—			—			—			—
Receivable for portfolio securities sold			2,670,819			—			495,182			—			—			—			1,328,955
Receivable for fund shares sold			27,777			7,296,360			2,072,800			549,682			251,509			80,367			84,185
Dividends receivable			11,862			49,429			75,428			50,892			46,000			45,195			31,871
Interest receivable			11,055			40,011			12,307			1,119			1,155			10			108,429
Receivable from investment adviser			—			—			—			—			—			18,957			—
Prepaid and other assets			12,058			39,345			30,422			34,709			37,199			29,325			17,179
Variation margin receivable			—			—			—			—			—			—			—

	Total assets		76,385,991			135,342,728			222,255,370			58,259,288			42,455,537			48,013,932			62,333,843

LIABILITIES
Overdraft			—			—			—			—			—			—			112,509
Payable for fund shares redeemed			1,155			89,266			94,495			26,251			15,924			55,444			75,897
Payable for portfolio securities purchased			424,083			7,947,924			3,691,056			431,991			225,555			—			3,108,572
Interest on loan payable to bank			—			—			—			—			—			1,833			—
Accrued investment adviser fees			157,881			55,336			110,920			28,300			17,463			47			27,181
Accrued administration fees			7,552			9,045			12,611			7,164			6,591			6,663			6,177
Accrued directors fees			6,172			3,627			906			1,000			65			14			4,332
Other payables			33,444			28,301			17,764			27,784			19,276			8,819			16,199
Covered call options written at value			—			—			—			—			—			—			251,551
Put options written at value			—			—			—			—			—			—			197,387
Futures contracts			—			—			—			—			—			—			—
Variation margin payable			—			—			—			—			—			—			16,816

	Total liabilities		630,287			8,133,499			3,927,752			522,490			284,874			72,820			3,816,621

NET ASSETS		$	75,755,704		$	127,209,229		$	218,327,618		$	57,736,798		$	42,170,663		$	47,941,112		$	58,517,222

NET ASSETS REPRESENT
Paid-in capital		$	50,529,489		$	112,251,595		$	196,955,660		$	52,018,809		$	36,405,162		$	46,370,381		$	54,476,651
Accumulated net investment income (loss)			(513,819	)		(25,457	)		33,876			(17,070	)		12,680			14,760			74,925
Accumulated net realized gain (loss) on investments			3,756,610			(4,641,932	)		(3,870,819	)		(4,511,230	)		(802,715	)		(2,433,305	)		(411,640	)
Net unrealized appreciation of investments			21,983,424			19,625,023			25,208,901			10,246,289			6,555,536			3,989,276			4,377,286
Net unrealized depreciation on futures contracts			—			—			—			—			—			—			—

NET ASSETS		$	75,755,704		$	127,209,229		$	218,327,618		$	57,736,798		$	42,170,663		$	47,941,112		$	58,517,222

Shares of common stock outstanding of $.001 par value*			6,905,985			9,388,287			15,241,425			4,784,787			3,113,190			6,775,402			4,812,964

Net asset value per share		$	10.97		$	13.55		$	14.32		$	12.07		$	13.55		$	7.08		$	12.16

Investments at cost		$	51,668,463		$	108,292,560		$	194,360,330		$	47,376,597		$	35,564,138		$	43,850,802		$	56,565,675

154

STATEMENT OF OPERATIONS
Six Months Ended December 31, 2005 (Unaudited)

			Aggressive Investors 1			Aggressive Investors 2			Ultra-Small Company			Ultra-Small Company Market
INVESTMENT INCOME:
	Dividends*		$	1,758,835		$	965,954		$	191,367		$	2,399,146
	Interest			87,117			163,125			62,392			391,627
	Securities Lending			13,391			89,472			265,427			263,654
	Other			—			—			—			797

	Total investment income			1,859,343			1,218,551			519,186			3,055,224

EXPENSES:
	Investment advisory fees—Base fees			1,777,011			1,001,963			525,250			1,692,871
	Investment advisory fees—
		Performance adjustment		1,029,065			104,349			—			—
	Administration fees			99,198			55,726			29,181			169,287
	Accounting fees			40,162			26,690			24,637			32,807
	Transfer agent fees			176,328			74,037			13,487			93,261
	Professional expenses			183,716			45,299			13,796			85,608
	Custody fees			30,166			6,389			8,636			52,865
	Blue sky fees			28,458			30,235			3,892			24,494
	Directors fees			41,736			25,767			9,693			19,029
	Registration fees			3,542			894			—			525
	Reports to shareholders			28,140			6,276			183			13,169
	Interest			—			—			—			—
	Miscellaneous			45,940			3,834			240			53,298

		Total expenses		3,483,462			1,381,459			628,995			2,237,214

	Less investment advisory fees waived			—			—			—			—
	Less expense reimbursed by investment adviser			—			—			—			—

		Net expenses		3,483,462			1,381,459			628,995			2,237,214

NET INVESTMENT INCOME (LOSS)				(1,624,119	)		(162,908	)		(109,809	)		818,010

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
	Net realized gain (loss) on investment securities			40,945,889			10,565,032			9,229,928			18,428,834
	Net realized gain (loss) on options			(835,327	)		(436,028	)		—			—
	Net realized gain (loss) on futures contract			—			—			—			291,368
	Net change in unrealized appreciation/depreciation on investments			1,588,916			15,314,876			(2,067,625	)		37,281,889
	Net change in unrealized appreciation/depreciation on futures contracts			—			—			—			(115,528	)

	Net realized and unrealized gain on investments			41,699,478			25,443,880			7,162,303			55,886,563

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS			$	40,075,359		$	25,280,972		$	7,052,494		$	56,704,573

*: Net of foreign withholding taxes of $5,877, $2,642, and $677 for Aggressive Investors 1, Aggressive Investors 2, and Ultra Small Company Market Funds, respectively.
See Notes to Financial Statements

155

			Micro-Cap Limited			Small-Cap Growth			Small-Cap Value			Large-Cap Growth			Large-Cap Value			Blue Chip 35 Index			Balanced
INVESTMENT INCOME:
	Dividends*		$	78,646		$	151,112		$	515,599		$	180,695		$	399,970		$	413,305		$	201,721
	Interest			20,186			23,651			82,300			4,862			5,918			4,066			374,761
	Securities Lending			32,318			134,548			17,182			—			—			—			—
	Other			—			—			—			—			—			—			—

	Total investment income			131,150			309,311			615,081			185,557			405,888			417,371			576,482

EXPENSES:
	Investment advisory fees—Base fees			549,746			223,636			427,606			120,770			84,046			16,819			151,322
	Investment advisory fees—
		Performance adjustment		—			8,231			3,654			2,643			891			—			—
	Administration fees			18,639			18,636			35,634			12,077			8,405			10,512			12,610
	Accounting fees			24,339			24,997			24,371			26,304			25,082			23,790			24,248
	Transfer agent fees			14,983			32,085			23,658			24,457			13,593			8,367			16,575
	Professional expenses			25,505			5,482			12,845			1,279			2,353			3,234			14,373
	Custody fees			2,997			6,972			15,270			2,868			3,640			1,215			16,874
	Blue sky fees			1,060			3,465			29,547			3,297			1,127			2,856			18,953
	Directors fees			5,794			4,400			2,963			3,992			744			557			5,494
	Registration fees			528			—			—			42			—			21			162
	Reports to shareholders			637			1,825			504			378			309			441			2,509
	Interest			—			—			—			—			—			3,954			—
	Miscellaneous			741			1,567			1,681			1,132			826			336			1,145

		Total expenses		644,969			331,296			577,733			199,239			141,016			72,102			264,265

	Less investment advisory fees waived			—			—			—			—			—			(16,819	)		—
	Less expense reimbursed by investment adviser			—			—			—			—			—			(23,748	)		(26,874	)

		Net expenses		644,969			331,296			577,733			199,239			141,016			31,535			237,391

NET INVESTMENT INCOME (LOSS)				(513,819	)		(21,985	)		37,348			(13,682	)		264,872			385,836			339,091

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
	Net realized gain (loss) on investment securities			10,669,623			(334,577	)		(538,576	)		467,606			(209,478	)		74,732			(456,734	)
	Net realized gain (loss) on options			—			—			—			—			—			—			587,687
	Net realized gain (loss) on futures contract			—			—			—			—			—			—			(518,641	)
	Net change in unrealized appreciation/depreciation on investments			(1,255,260	)		7,563,201			13,348,329			3,705,217			2,354,259			1,689,459			1,616,510
	Net change in unrealized appreciation/depreciation on futures contracts			—			—			—			—			—			—			—

	Net realized and unrealized gain on investments			9,414,363			7,228,624			12,809,753			4,172,823			2,144,781			1,764,191			1,228,822

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS			$	8,900,544		$	7,206,639		$	12,847,101		$	4,159,141		$	2,409,653		$	2,150,027		$	1,567,913

156

STATEMENT OF CHANGES IN NET ASSETS

		Aggressive Investors I						Aggressive Investors 2
		Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005
OPERATIONS:
Net investment income (loss)		$	(1,624,119	)	$	(1,735,143	)	$	(162,908	)	$	(396,036	)
Net realized gain on investment securities			40,945,889			47,718,083			10,565,032			1,449,196
Net realized gain (loss) on options			(835,327	)		218,611			(436,028	)		34,395
Net realized gain on futures contracts			—			548,257			—			251,402
Net change in unrealized appreciation/depreciation on investments			1,588,916			(796,784	)		15,314,876			15,155,019
Net change in unrealized appreciation/depreciation on futures contracts			—			—			—			—

	Net increase in net assets from operations		40,075,359			45,953,024			25,280,972			16,493,976

DISTRIBUTIONS:
From net investment income			—			—			—			—
From net realized gains			(42,619,826	)		—			(5,974,761	)		—

	Net decrease in net assets from distributions		(42,619,826	)		—			(5,974,761	)		—

SHARE TRANSACTIONS:
Proceeds from sale of shares			22,636,442			35,958,371			154,260,786			78,881,920
Reinvestment of distributions			36,610,444			—			5,717,329			—
Cost of shares redeemed			(22,342,903	)		(66,709,206	)		(26,656,325	)		(49,717,584	)

	Net increase (decrease) in net assets from share transactions		36,903,983			(30,750,835	)		133,321,790			29,164,336

Net increase (decrease) in net assets			34,359,516			15,202,189			152,628,001			45,658,312
NET ASSETS:
Beginning of period			368,886,370			353,684,181			156,053,384			110,395,072

End of period*		$	403,245,886		$	368,886,370		$	308,681,385		$	156,053,384

SHARES ISSUED & REDEEMED:
Issued			375,495			684,470			9,572,709			5,847,003
Distributions reinvested			638,591			—			342,765			—
Redeemed			(373,243	)		(1,323,130	)		(1,689,930	)		(3,905,883	)

	Net increase (decrease)		640,843			(638,660	)		8,225,544			1,941,120
Outstanding at beginning of period			6,517,264			7,155,924			10,599,330			8,658,210

Outstanding at end of period			7,158,107			6,517,264			18,824,874			10,599,330

* Including accumulated net investment income (loss) of:

(1,624,119

)

—

(162,908

)

—

**: Unaudited
***: Net of redemption fees of $104,442 and $276,563 for the six months ended December 31, 2005 and year ended June 30, 2005, respectively.

See Notes to Financial Statements

157

		Ultra-Small Company						Ultra-Small Company Market						Micro-Cap Limited
		Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005
OPERATIONS:
Net investment income (loss)		$	(109,809	)	$	(258,388	)	$	818,010		$	998,532		$	(513,819	)	$	(746,350	)
Net realized gain on investment securities			9,229,928			17,529,494			18,428,834			14,263,596			10,669,623			4,089,990
Net realized gain (loss) on options			—			—			—			—			—			—
Net realized gain on futures contracts			—			—			291,368			—			—			—
Net change in unrealized appreciation/depreciation on investments			(2,067,625	)		(2,097,422	)		37,281,889			15,160,942			(1,255,260	)		9,180,886
Net change in unrealized appreciation/depreciation on futures contracts			—			—			(115,528	)		(8,204	)		—			—

	Net increase in net assets from operations		7,052,494			15,173,684			56,704,573			30,414,866			8,900,544			12,524,526

DISTRIBUTIONS:
From net investment income			—			—			(1,180,000	)		(1,224,997	)		—			—
From net realized gains			(14,389,660	)		(22,051,675	)		(21,617,927	)		(6,669,718	)		(10,105,298	)		(10,119,755	)

	Net decrease in net assets from distributions		(14,389,660	)		(22,051,675	)		(22,797,927	)		(7,894,715	)		(10,105,298	)		(10,119,755	)

SHARE TRANSACTIONS:
Proceeds from sale of shares			879,440			1,767,134			185,182,778			149,035,161			3,419,718			2,660,102
Reinvestment of distributions			14,107,999			21,605,229			21,198,600			7,133,407			10,001,345			9,802,070
Cost of shares redeemed			(3,411,402	)		(7,093,824	)		(74,486,808	)***		(401,553,889	)***		(3,098,045	)		(5,979,806	)

	Net increase (decrease) in net assets from share transactions		11,576,037			16,278,539			131,894,570			(245,385,321	)		10,323,018			6,482,366

Net increase (decrease) in net assets			4,238,871			9,400,548			165,801,216			(222,865,170	)		9,118,264			8,887,137
NET ASSETS:
Beginning of period			110,633,540			101,232,992			593,883,122			816,748,292			66,637,440			57,750,303

End of period*		$	114,872,411		$	110,633,540		$	759,684,338		$	593,883,122		$	75,755,704		$	66,637,440

SHARES ISSUED & REDEEMED:
Issued			21,803			45,885			10,333,790			9,247,195			278,886			255,813
Distributions reinvested			381,400			543,939			1,168,611			403,018			875,775			947,976
Redeemed			(85,832	)		(183,051	)		(4,172,939	)		(25,229,480	)		(257,487	)		(567,086	)

	Net increase (decrease)		317,371			406,773			7,329,462			(15,579,267	)		897,174			636,703
Outstanding at beginning of period			2,877,887			2,471,114			35,016,774			50,596,041			6,008,811			5,372,108

Outstanding at end of period			3,195,258			2,877,887			42,346,236			35,016,774			6,905,985			6,008,811

* Including accumulated net investment income (loss) of:

(109,809

)

—

205,350

567,340

(513,819

)

—

158

STATEMENT OF CHANGES IN NET ASSETS

		Small-Cap Growth						Small-Cap Value
		Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005
OPERATIONS:
Net investment income (loss)		$	(21,985	)	$	(358,783	)	$	37,348		$	(153,914	)
Net realized gain (loss) on investment securities			(334,577	)		(3,815,358	)		(538,576	)		(2,331,261	)
Net realized gain on options			—			—			—			—
Net realized gain (loss) on futures contracts			—			—			—			—
Net change in unrealized appreciation/depreciation on investments			7,563,201			9,884,953			13,348,329			10,843,378

	Net increase (decrease) in net assets from operations		7,206,639			5,710,812			12,847,101			8,358,203

DISTRIBUTIONS:
From net investment income
	Class N		—			—			—			—
	Class R§		—			—			—			—
From net realized gains			—			—			—			—

	Net decrease in net assets from distributions		—			—			—			—

SHARE TRANSACTIONS:
Proceeds from sale of shares
	Class N		70,587,812			28,489,283			156,202,966			46,980,701
	Class R§		—			2,010,488			—			1,615,958
Reinvestment of distributions
	Class N		—			—			—			—
	Class R§		—			—			—			—
Cost of shares redeemed
	Class N		(6,289,622	)		(15,712,548	)		(19,267,025	)		(14,154,816	)
	Class R§		—			(13,173,420	)		—			(7,149,130	)

	Net increase (decrease) in net assets from share transactions		64,298,190			1,613,803			136,935,941			27,292,713

Net increase (decrease) in net assets			71,504,829			7,324,615			149,783,042			35,650,916
NET ASSETS:
Beginning of period			55,704,400			48,379,785			68,544,576			32,893,660

End of period*		$	127,209,229		$	55,704,400		$	218,327,618		$	68,544,576

SHARES ISSUED & REDEEMED:
Issued
	Class N		5,262,171			2,583,636			11,282,088			3,889,211
	Class R§		—			187,851			—			140,369
Distributions reinvested
	Class N		—			—			—			—
	Class R§		—			—			—			—
Redeemed
	Class N		(486,484	)		(1,472,557	)		(1,402,406	)		(1,223,036	)
	Class R§		—			(1,149,048	)		—			(590,810	)

	Net increase (decrease)		4,775,687			149,882			9,879,682			2,215,734
Outstanding at beginning of period			4,612,600			4,462,718			5,361,743			3,146,009

Outstanding at end of period			9,388,287			4,612,600			15,241,425			5,361,743

* Including accumulated net investment income (loss) of:

(25,457

)

(3,472

)

33,876

(3,472

)

**: Unaudited
§: Effective June 27, 2005, Class R shares of the Fund converted to Class N shares.

See Notes to Financial Statements

159

		Large-Cap Growth						Large-Cap Value						Blue Chip 35 Index						Balanced
		Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005			Six Months Ended December 31, 2005**			Year Ended June 30, 2005
OPERATIONS:
Net investment income (loss)		$	(13,682	)	$	(42,069	)	$	264,872		$	301,975		$	385,836		$	763,026		$	339,091		$	344,923
Net realized gain (loss) on investment securities			467,606			(4,425,461	)		(209,478	)		(569,611	)		74,732			(960,307	)		(456,734	)		(685,205	)
Net realized gain on options			—			—			—			—			—			—			587,687			932,043
Net realized gain (loss) on futures contracts			—			—			—			—			—			—			(518,641	)		304,201
Net change in unrealized appreciation/depreciation on investments			3,705,217			5,692,548			2,354,259			3,701,172			1,689,459			155,378			1,616,510			1,251,827

	Net increase (decrease) in net assets from operations		4,159,141			1,225,018			2,409,653			3,433,536			2,150,027			(41,903	)		1,567,913			2,147,789

DISTRIBUTIONS:
From net investment income
	Class N		—			—			(445,034	)		(178,134	)		(720,379	)		(674,999	)		(500,000	)		(179,176	)
	Class R§		—			—			—			(16,866	)		—			—			—			—
From net realized gains			—			—			—			—			—			—			(498,752	)		(243,673	)

	Net decrease in net assets from distributions		—			—			(445,034	)		(195,000	)		(720,379	)		(674,999	)		(998,752	)		(422,849	)

SHARE TRANSACTIONS:
Proceeds from sale of shares
	Class N		16,152,373			16,123,492			15,743,062			11,032,282			19,571,243			13,017,125			22,697,396			26,406,530
	Class R§		—			677,327			—			365,369			—			—			—			—
Reinvestment of distributions
	Class N		—			—			438,970			176,053			693,137			650,124			968,380			414,200
	Class R§		—			—			—			16,866			—			—			—			—
Cost of shares redeemed
	Class N		(5,562,936	)		(13,771,576	)		(3,452,135	)		(7,191,337	)		(8,364,483	)		(14,298,479	)		(7,981,389	)		(9,493,747	)
	Class R§		—			(13,293,605	)		—			(3,989,586	)		—			—			—			—

	Net increase (decrease) in net assets from share transactions		10,589,437			(10,264,362	)		12,729,897			409,647			11,899,897			(631,230	)		15,684,387			17,326,983

Net increase (decrease) in net assets			14,748,578			(9,039,344	)		14,694,516			3,648,183			13,329,545			(1,348,132	)		16,253,548			19,051,923
NET ASSETS:
Beginning of period			42,988,220			52,027,564			27,476,147			23,827,964			34,611,567			35,959,699			42,263,674			23,211,751

End of period*		$	57,736,798		$	42,988,220		$	42,170,663		$	27,476,147		$	47,941,112		$	34,611,567		$	58,517,222		$	42,263,674

SHARES ISSUED & REDEEMED:
Issued
	Class N		1,352,715			1,511,948			1,178,735			3,102,238			2,819,397			1,888,073			1,848,531			2,286,141
	Class R§		—			65,728			—			30,950			—			—			—			—
Distributions reinvested
	Class N		—			—			31,902			14,337			96,136			90,295			79,310			35,799
	Class R§		—			—			—			1,374			—			—			—			—
Redeemed
	Class N		(476,549	)		(1,320,994	)		(261,372	)		(2,806,760	)		(1,187,332	)		(2,051,789	)		(659,023	)		(831,504	)
	Class R§		—			(1,242,365	)		—			(323,547	)		—			—			—			—

	Net increase (decrease)		876,166			(985,683	)		949,265			18,592			1,728,201			(73,421	)		1,268,818			1,490,436
Outstanding at beginning of period			3,908,621			4,894,304			2,163,925			2,145,333			5,047,201			5,120,622			3,544,146			2,053,710

Outstanding at end of period			4,784,787			3,908,621			3,113,190			2,163,925			6,775,402			5,047,201			4,812,964			3,544,146

* Including accumulated net investment income (loss) of:

(17,070

)

(3,388

)

12,680

192,842

14,760

349,303

74,925

235,833

160

FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period indicated)

			Income from Investment Operations
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)^			Net Realized and Unrealized Gain (Loss)			Total from Investment Operations
AGGRESSIVE INVESTORS 1
Six Months Ended December 31, 2005**	$	56.60	$	(0.25	)	$	6.49		$	6.24
Year Ended June 30, 2005		49.43		(0.26	)		7.43			7.17
Year Ended June 30, 2004		39.94		(0.58	)		10.07			9.49
Year Ended June 30, 2003		36.51		(0.27	)		3.70			3.43
Year Ended June 30, 2002		41.94		(0.34	)		(5.09	)		(5.43	)
Year Ended June 30, 2001		48.99		(0.42	)		(4.21	)		(4.63	)
AGGRESSIVE INVESTORS 2
Six Months Ended December 31, 2005**		14.72		(0.01	)		2.03			2.02
Year Ended June 30, 2005		12.75		(0.04	)		2.01			1.97
Year Ended June 30, 2004		10.28		(0.09	)		2.56			2.47
Year Ended June 30, 2003		10.25		(0.09	)		0.12			0.03
Period from October 31, 2001 to June 30, 2002 ***		10.00		(0.08	)		0.33			0.25
ULTRA-SMALL COMPANY
Six Months Ended December 31, 2005**		38.44		(0.04	)		2.65			2.61
Year Ended June 30, 2005		40.97		(0.10	)		6.69			6.59
Year Ended June 30, 2004		32.93		(0.33	)		13.66			13.33
Year Ended June 30, 2003		28.83		(0.21	)		7.99			7.78
Year Ended June 30, 2002		26.99		(0.14	)		4.43			4.29
Year Ended June 30, 2001		21.59		(0.22	)		5.62			5.40
ULTRA-SMALL COMPANY MARKET
Six Months Ended December 31, 2005**		16.96		0.02			1.52			1.54
Year Ended June 30, 2005		16.14		0.02			0.97			0.99
Year Ended June 30, 2004		10.98		0.02			5.16			5.18
Year Ended June 30, 2003		8.70		(0.03	)		2.31			2.28	��
Year Ended June 30, 2002		7.22		0.00			1.49			1.49
Year Ended June 30, 2001		6.62		0.05			0.59			0.64

*: Annualized
**: Unaudited
***: Fund commenced operations on October 31, 2001.
#: Total returns for periods less than one year are not annualized.
^: Per share amounts calculated based on the average daily shares outstanding during the period.
+: Total return would have been lower had various fees not been waived during the period.
~: Total redemption fees of $104,442 for the six months ended December 31, 2005, are less than 0.005 of average daily shares outstanding during the period.

161

	Less Distributions to Shareholders from:
	Net Realized Gain			Net Investment Income			Total Distributions			Paid-in- Capital from Redemption Fees^		Net Asset Value, End of Period		Total Return#
AGGRESSIVE INVESTORS 1
Six Months Ended December 31, 2005**	$	(6.51	)	$	—		$	(6.51	)	$	—	$	56.33	10.83	%
Year Ended June 30, 2005		—			—			—			—		56.60	14.51	%
Year Ended June 30, 2004		—			—			—			—		49.43	23.76	%
Year Ended June 30, 2003		—			—			—			—		39.94	9.40	%
Year Ended June 30, 2002		—			—			—			—		36.51	(12.95	)%
Year Ended June 30, 2001		(2.42	)		—			(2.42	)		—		41.94	(9.40	)%
AGGRESSIVE INVESTORS 2
Six Months Ended December 31, 2005**		(0.34	)		—			(0.34	)		—		16.40	13.68	%
Year Ended June 30, 2005		—			—			—			—		14.72	15.45	%
Year Ended June 30, 2004		—			—			—			—		12.75	24.03	%
Year Ended June 30, 2003		—			—			—			—		10.28	0.29	%
Period from October 31, 2001 to June 30, 2002 ***		—			—			—			—		10.25	2.50	%+
ULTRA-SMALL COMPANY
Six Months Ended December 31, 2005**		(5.10	)		—			(5.10	)		—		35.95	6.42	%
Year Ended June 30, 2005		(9.12	)		—			(9.12	)		—		38.44	15.37	%
Year Ended June 30, 2004		(5.29	)		—			(5.29	)		—		40.97	40.88	%
Year Ended June 30, 2003		(3.68	)		—			(3.68	)		—		32.93	32.00	%
Year Ended June 30, 2002		(2.45	)		—			(2.45	)		—		28.83	17.04	%
Year Ended June 30, 2001		(0.00	)		—			(0.00	)		—		26.99	25.01	%
ULTRA-SMALL COMPANY MARKET
Six Months Ended December 31, 2005**		(0.53	)		(0.03	)		(0.56	)		0.00~		17.94	9.05	%
Year Ended June 30, 2005		(0.15	)		(0.03	)		(0.18	)		0.01		16.96	6.12	%
Year Ended June 30, 2004		(0.04	)		(0.00	)		(0.04	)		0.02		16.14	47.41	%
Year Ended June 30, 2003		(0.00	)		(0.00	)		(0.00	)		—		10.98	26.21	%+
Year Ended June 30, 2002		(0.00	)		(0.01	)		(0.01	)		—		8.70	20.70	%+
Year Ended June 30, 2001		(0.00	)		(0.04	)		(0.04	)		—		7.22	9.80	%+

See Notes to Financial Statements

162

	Ratios & Supplemental Data:
	Net Assets End of Period ("000"s)		Expenses After Waivers and Reimbursements		Expenses Before Waivers and Reimbursements		Net Investment Income After Waivers and Reimbursements		Portfolio Turnover Rate
AGGRESSIVE INVESTORS 1
Six Months Ended December 31, 2005**	$	403,246	1.74	%*	1.74	%*	(0.81	)%*	75.9	%
Year Ended June 30, 2005		368,886	1.58	%	1.58	%	(0.51	)%	155.0	%
Year Ended June 30, 2004		353,684	1.74	%	1.74	%	(1.24	)%	150.7	%
Year Ended June 30, 2003		281,375	1.90	%	1.90	%	(0.81	)%	138.0	%
Year Ended June 30, 2002		276,876	1.81	%	1.81	%	(0.89	)%	154.0	%
Year Ended June 30, 2001		257,396	1.80	%	1.80	%	(0.95	)%	109.6	%
AGGRESSIVE INVESTORS 2
Six Months Ended December 31, 2005**		308,681	1.23	%*	1.23	%*	(0.14	)%*	58.2	%
Year Ended June 30, 2005		156,053	1.37	%	1.37	%	(0.33	)%	148.4	%
Year Ended June 30, 2004		110,395	1.58	%	1.58	%	(1.13	)%	151.5	%
Year Ended June 30, 2003		22,107	1.90	%	1.90	%	(1.05	)%	143.2	%
Period from October 31, 2001 to June 30, 2002 ***		11,448	1.90	%*	1.98	%*	(1.24	)%*	68.0	%*
ULTRA-SMALL COMPANY
Six Months Ended December 31, 2005**		114,872	1.07	%*	1.07	%*	(0.17	)%*	52.7	%
Year Ended June 30, 2005		110,634	1.12	%	1.12	%	(0.25	)%	85.9	%
Year Ended June 30, 2004		101,233	1.15	%	1.15	%	(0.84	)%	71.1	%
Year Ended June 30, 2003		77,450	1.29	%	1.29	%	(0.82	)%	56.1	%
Year Ended June 30, 2002		60,809	1.26	%	1.26	%	(0.53	)%	120.6	%
Year Ended June 30, 2001		51,764	1.61	%	1.61	%	(0.93	)%	57.0	%
ULTRA-SMALL COMPANY MARKET
Six Months Ended December 31, 2005**		759,684	0.66	%*	0.66	%*	0.24	%*	8.4	%
Year Ended June 30, 2005		593,883	0.73	%	0.73	%	0.15	%	13.0	%
Year Ended June 30, 2004		816,748	0.67	%	0.67	%	0.11	%	19.4	%
Year Ended June 30, 2003		312,041	0.75	%	0.85	%	(0.14	)%	17.7	%
Year Ended June 30, 2002		68,824	0.75	%	1.01	%	(0.05	)%	55.8	%
Year Ended June 30, 2001		9,078	0.75	%	1.61	%	0.77	%	215.0	%

See Notes to Financial Statements

163

			Income from Investment Operations
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)^			Net Realized and Unrealized Gain (Loss)		Total from Investment Operations
MICRO-CAP LIMITED
Six Months Ended December 31, 2005**	$	11.09	$	(0.08	)	$	1.63	$	1.55
Year Ended June 30, 2005		10.75		(0.13	)		2.45		2.32
Year Ended June 30, 2004		9.36		(0.17	)		2.49		2.32
Year Ended June 30, 2003		10.19		(0.11	)		0.01		(0.10	)
Year Ended June 30, 2002		9.92		(0.12	)		0.87		0.75
Year Ended June 30, 2001		7.86		(0.05	)		2.53		2.48

SMALL-CAP GROWTH§
Six Months Ended December 31, 2005**		12.08		(0.00	)		1.47		1.47
Year Ended June 30, 2005		10.84		(0.07	)		1.31		1.24
Period from October 31, 2003 to June 30, 2004 Ç		10.00		(0.05	)		0.89		0.84

SMALL-CAP VALUE§
Six Months Ended
December 31, 2005**		12.78		0.00			1.54		1.54
Year Ended June 30, 2005		10.46		(0.02	)		2.34		2.32
Period from October 31, 2003 to June 30, 2004 Ç		10.00		(0.03	)		0.49		0.46

LARGE-CAP GROWTH*
Six Months Ended December 31, 2005**		11.00		(0.00	)		1.07		1.07
Year Ended June 30, 2005		10.63		0.00			0.37		0.37
Period from October 31, 2003 to June 30, 2004 Ç		10.00		(0.01	)		0.64		0.63

*: Annualized
**: Unaudited
#: Total returns for periods less than one year are not annualized.
^: Per share amounts calculated based on the average daily shares outstanding during the period.
+: Total return would have been lower had various fees not been waived during the period.
Ç: Fund commenced operations on October 31, 2003.
§: Effective June 27, 2005, Class R shares of the Fund converted into Class N shares.

164

	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 Period ("000"s)		Expenses After Waivers and Reimbursements		Expenses Before Waivers and Reimbursements		Net Investment Income After Waivers and Reimbursements		Portfolio Turnover Rate
MICRO-CAP LIMITED
Six Months Ended December 31, 2005**	$	(1.67	)	$	—	$	(1.67	)	$	10.97	13.38	%	$	75,756	1.72	%*	1.72	%*	(1.37	)%*	51.0	%
Year Ended June 30, 2005		(1.98	)		—		(1.98	)		11.09	22.94	%		66,637	1.75	%	1.75	%	(1.27	)%	87.1	%
Year Ended June 30, 2004		(0.93	)		—		(0.93	)		10.75	24.30	%		57,750	1.79	%	1.79	%	(1.50	)%	98.2	%
Year Ended June 30, 2003		(0.73	)		—		(0.73	)		9.36	0.93	%+		56,422	1.90	%	2.13	%	(1.35	)%	99.1	%
Year Ended June 30, 2002		(0.48	)		—		(0.48	)		10.19	8.09	%+		57,885	1.90	%	1.94	%	(1.22	)%	124.0	%
Year Ended June 30, 2001		(0.42	)		—		(0.42	)		9.92	33.64	%+		51,451	1.90	%	2.09	%	(0.62	)%	74.3	%

SMALL-CAP GROWTH§
Six Months Ended December 31, 2005**		—			—		—			13.55	12.17	%		127,209	0.88	%*	0.88	%*	(0.06	)%*	23.9	%
Year Ended June 30, 2005		—			—		—			12.08	11.44	%+		55,704	0.94	%	1.08	%	(0.68	)%	51.3	%
Period from October 31, 2003 to June 30, 2004 Ç		—			—		—			10.84	8.40	%+		37,968	0.94	%*	1.25	%*	(0.74	)%*	16.6	%

SMALL-CAP VALUE§
Six Months Ended December 31, 2005**		—			—		—			14.32	12.13	%		218,328	0.80	%*	0.80	%*	0.05	%*	27.8	%
Year Ended June 30, 2005		—			—		—			12.78	22.18	%+		68,545	0.94	%	1.07	%	(0.32	)%	57.0	%
Period from October 31, 2003 to June 30, 2004 Ç		—			—		—			10.46	4.60	%+		28,193	0.94	%*	1.49	%*	(0.42	)%*	20.5	%

LARGE-CAP GROWTH*
Six Months Ended December 31, 2005**		—			—		—			12.07	9.73	%		57,737	0.82	%*	0.82	%*	(0.06	)%*	17.7	%
Year Ended June 30, 2005		—			—		—			11.00	3.48	%+		42,988	0.84	%	1.03	%	(0.04	)%	20.2	%
Period from October 31, 2003 to June 30, 2004 Ç		—			—		—			10.63	6.30	%+		39,532	0.84	%*	1.13	%*	(0.09	)%*	6.7	%

See Notes to Financial Statements

165

			Income from Investment Operations
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)^		Net Realized and Unrealized Gain (Loss)			Total from Investment Operations
LARGE-CAP VALUE§
Six Months Ended December 31, 2005**	$	12.70	$	0.11	$	0.89		$	1.00
Year Ended June 30, 2005		11.11		0.14		1.55			1.69
For the Period October 31, 2003 to June 30, 2004 Ç		10.00		0.03		1.08			1.11

BLUE CHIP 35 INDEX
Six Months Ended December 31, 2005**		6.86		0.07		0.26			0.33
Year Ended June 30, 2005		7.02		0.14		(0.18	)		(0.04	)
Year Ended June 30, 2004		6.14		0.10		0.83			0.93
Year Ended June 30, 2003		5.93		0.09		0.21			0.30
Year Ended June 30, 2002		7.23		0.09		(1.31	)		(1.22	)
Year Ended June 30, 2001		8.77		0.09		(1.54	)		(1.45	)

BALANCED
Six Months Ended December 31, 2005**		11.92		0.09		0.37			0.46
Year Ended June 30, 2005		11.30		0.14		0.66			0.80
Year Ended June 30, 2004		10.05		0.06		1.24			1.30
Year Ended June 30, 2003		9.87		0.10		0.15			0.25
Year Ended June 30, 2002		10.00		0.04		(0.12	)		(0.08	)
For the Period Ended June 30, 2001ß		10.00		0.00		0.00			0.00

*: Annualized
**: Unaudited
Ç: Fund commenced operations on October 31, 2003.
#: Total returns for periods less than one year are not annualized.
^: Per share amounts calculated based on the average daily shares outstanding during the period.
+: Total return would have been lower had various fees not been waived during the period.
§: Effective June 27, 2005, Class R shares of the Fund converted into Class N shares.
ß: Fund commenced operations on June 30, 2001.

166

	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 Period ("000"s)		Expenses After Waivers and Reimbursements		Expenses Before Waivers and Reimbursements		Net Investment Income After Waivers and Reimbursements		Portfolio Turnover Rate
LARGE-CAP VALUE§
Six Months Ended December 31, 2005**	$	—		$	(0.15	)	$	(0.15	)	$	13.55	7.84	%	$	42,171	0.83	%*	0.83	%*	1.56	%*	18.6	%
Year Ended June 30, 2005		—			(0.10	)		(0.10	)		12.70	15.22	%+		27,476	0.84	%	1.10	%	1.24	%	30.0	%
For the Period October 31, 2003 to June 30, 2004 Ç		(0.00	)		—			(0.00	)		11.11	11.10	%+		20,598	0.84	%*	1.52	%*	0.86	%*	11.3	%

BLUE CHIP 35 INDEX
Six Months Ended December 31, 2005**		—			(0.11	)		(0.11	)		7.08	4.72	%+		47,941	0.15	%*	0.34	%*	1.82	%*	25.9	%
Year Ended June 30, 2005		—			(0.12	)		(0.12	)		6.86	(0.59	)%+		34,612	0.15	%	0.56	%	2.07	%	20.3	%
Year Ended June 30, 2004		—			(0.05	)		(0.05	)		7.02	15.20	%+		35,960	0.15	%	0.58	%	1.64	%	5.3	%
Year Ended June 30, 2003		—			(0.09	)		(0.09	)		6.14	5.13	%+		7,763	0.15	%	1.07	%	1.65	%	24.9	%
Year Ended June 30, 2002		—			(0.08	)		(0.08	)		5.93	(17.01	)%+		5,532	0.15	%	0.93	%	1.35	%	40.8	%
Year Ended June 30, 2001		—			(0.09	)		(0.09	)		7.23	(16.61	)%#		5,975	0.15	%	0.68	%	1.15	%	24.0	%

BALANCED
Six Months Ended December 31, 2005**		(0.11	)		(0.11	)		(0.22	)		12.16	3.83	%+		58,517	0.93	%*	1.04	%*	1.33	%*	21.6	%
Year Ended June 30, 2005		(0.10	)		(0.08	)		(0.18	)		11.92	7.15	%+		42,264	0.94	%	1.19	%	1.20	%	125.5	%
Year Ended June 30, 2004		(0.00	)		(0.05	)		(0.05	)		11.30	12.94	%+		23,212	0.94	%	1.51	%	0.60	%	123.7	%
Year Ended June 30, 2003		(0.01	)		(0.06	)		(0.07	)		10.05	2.57	%+		8,344	0.94	%	1.66	%	1.06	%	98.2	%
Year Ended June 30, 2002		(0.00	)		(0.05	)		(0.05	)		9.87	(0.80	)%+		4,960	0.94	%	2.07	%	0.49	%	112.5	%
For the Period Ended June 30, 2001ß		(0.00	)		(0.00	)		(0.00	)		10.00	0.00	%		370	0.00	%*	0.00	%*	0.00	%*	0.0	%

See Notes to Financial Statements

167

NOTES to FINANCIAL STATEMENTS
December 31, 2005 (Unaudited)

1. Organization:

Bridgeway Funds, Inc. ("Bridgeway") was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

Bridgeway is organized as a series fund which currently has 11 investment funds (collectively, the "Funds"): Aggressive Investors 1, Aggressive Investors 2, Ultra-Small Company, Ultra-Small Company Market, Micro-Cap Limited, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Large-Cap Value, Blue Chip 35 Index, and Balanced Funds.

Bridgeway is authorized to issue 1,000,000,000 shares of common stock at $0.001 per share for each Fund. 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. 100,000,000 shares have been classified in the Ultra Small Company Market Fund. 10,000,000 shares have been classified in the Micro Cap Limited Fund. 100,000,000 of class N shares each have been classified into the Small Cap Growth, Small Cap Value, Large Cap Growth, and Large Cap Value Funds. 50,000,000 shares have classified into the Balanced Fund.

Amounts disclosed above for each Fund that have been authorized do not include Class R shares, of which there are none currently issued.

The Aggressive Investors 1 Fund and the Micro-Cap Limited Fund are closed to new investors. The Ultra-Small Company Fund is closed to all investors.

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 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 Balanced 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 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.

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 on the principal exchange on which they are traded prior to the close of the New York Stock Exchange

168

("NYSE"), on each day the NYSE is open for business. 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 average of the best bid and best asked quotations. 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 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.

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 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 December 31, 2005, the Aggressive Investors I Fund had securities on loan valued at $9,835,488 and received U.S. Treasury securities with a value of $10,032,198 as collateral. The Aggressive Investors 2 Fund had securities on loan valued at $7,865,238 and received U.S. Treasury securities with a value of $8,093,380 as collateral. The Ultra Small Company Fund had securities on loan valued at $11,321,236 and received U.S. Treasury securities with a value of $11,632,071.The Ultra Small Company Market Fund had securities on loan valued at $4,683,612 and received U.S. Treasury securities with a value of $4,761,116. The Small Cap Growth Fund had securities on loan valued at $2,344,655 and received U.S. Treasury securities with a value of $2,498,471.

As of December 31, 2005, the Micro Cap Limited, Small Cap Value, Large Cap Growth, Large Cap Value, Blue Chip 35 Index, and Balanced Funds had no securities on loan.

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.

169

Therefore, the value of the collateral held may be temporarily less than the value of the securities on loan.

Federal Income Taxes It is the Funds' policy to continue to comply with the provisions of the Internal Revenue Code applicable to registered investment companies and to 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.

Use of Estimates in Financial Statements In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of income 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. 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 and financial highlights.

Security Transactions, Expenses, Gains and Losses and Allocations Bridgeway expenses that are not series fund specific are allocated to each series based upon its relative proportion of net assets to Bridgeway's total net assets.

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 income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date. Particularly related to the Balanced Fund, discounts and premiums are accreted/amortized on the interest method.

Futures Contracts 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. The 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. The Fund's activities in the futures contracts are conducted through regulated exchanges that do not result in counterparty credit risks on a periodic basis. Pursuant to a contract, the 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 the Fund as unrealized appreciation or depreciation. When a contract is closed, the 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. As of December 31, 2005 Ultra Small Company Market Fund held futures contracts in the amount of $5,697,720. No other Funds had futures contracts open as of December 31, 2005.

170

Options 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 the 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 the Fund is included in the Fund's 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 on its stipulated expiration date, or if the Fund enters into a closing purchase transaction, the 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, the 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 the 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. As of December 31, 2005 the Aggressive Investors 1, Aggressive Investors 2, and Balanced Funds held $382,375, $285,875, and $39,750 in purchased call options, respectively.

Covered Call Options and Secured Puts The Aggressive Investors 1, Aggressive Investors 2, and Balanced Funds may write call options on a covered basis, that is, the Fund will own the underlying security, or the 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. Only Balanced Fund had outstanding written options as of December 31, 2005.

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A summary of the options transactions written by the Balanced Fund follows:

	Written Call Options
	Contracts		Premiums
Outstanding, June 30, 2005	1,002		$	104,380
Positions Opened	5,968			804,108
Exercised	(318	)		(45,726	)
Expired	(1,974	)		(204,682	)
Closed	(2,068	)		(344,618	)
Split	10			—

Outstanding, December 31, 2005	2,620		$	313,462

Market Value, December 31, 2005			$	(251,551	)

	Written Put Options
	Contracts		Premiums
Outstanding, June 30, 2005	2,955		$	308,669
Positions Opened	9,356			1,043,873
Exercised	(2,492	)		(290,884	)
Expired	(6,032	)		(650,331	)
Closed	(732	)		(96,114	)
Split	200			—

Outstanding, December 31, 2005	3,255		$	315,213

Market Value, December 31, 2005			$	(197,387	)

Indemnification Under the Company's organizational documents, the Funds' officers, directors, employees and agents are indemnified against certain liabilities that may arise out of 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, each described below.

Aggressive Investors 1: A total advisory fee is paid by the Fund to the Adviser which 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.

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The Performance Adjustment equals 4.67% times the difference in cumulative total return between the Fund and the Standard and Poor's 500 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 which 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, 0.850% from $500 million to $1 billion, and 0.800% 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 Index with dividends reinvested (hereinafter "Index") over a rolling five-year performance period. Since the Fund does not have a five-year operating history, the Performance Adjustment Rate will be calculated as follows during the initial five-year period: (a) From inception through September 30, 2004, the Performance Adjustment Rate was inoperative thus the Advisory Fee was calculated based on the Base Advisory Fee Rate times the average daily net assets of the Fund only; (b) From September 30, 2004 through September 30, 2008, the Performance Adjustment Rate will be calculated based upon a comparison of the investment performance of the Fund and the Index over the number of quarters that have elapsed since the Fund's inception. Each time the Performance Adjustment Rate is calculated, it will cover a longer time span, until it can cover a running five-year period as intended. In the meantime, the early months of the transition period will have a disproportionate effect on the performance adjustment of the fee. 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. The fee is subject to a maximum rate of 1.49% and a maximum expense ratio of 2.00%.

Ultra Small Company Market: The Fund pays a flat 0.50% annual management fee, computed daily and payable monthly, subject to a maximum expense ratio of 0.75%.

Micro Cap Limited: A total advisory fee is paid by the Fund to the Adviser which 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. This is limited to a maximum annualized ratio of 1.49% of the assets in the quarter the Advisory Fee is determined.

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

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difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.

Small Cap Growth: A total advisory fee is paid by the Fund to the Adviser which 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 with dividends reinvested (hereinafter "Index") over a rolling five-year performance period. Since the Fund does not have a five-year operating history, the Performance Adjustment Rate will be calculated as follows during the initial five-year period: (a) From inception through September 30, 2004, the Performance Adjustment Rate was inoperative thus the Advisory Fee was calculated based on the Base Advisory Fee Rate times the average daily net assets of the Fund only; (b) From September 30, 2004 through September 30, 2008, the Performance Adjustment Rate will be calculated based upon a comparison of the investment performance of the Fund and the Index over the number of quarters that have elapsed since the Fund's inception. Each time the Performance Adjustment Rate is calculated, it will cover a longer time span, until it can cover a running five-year period as intended. In the meantime, the early months of the transition period will have a disproportionate effect on the performance adjustment of the fee. 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 performance and the Index performance is less than or equal to 2%.

Small Cap Value: A total advisory fee is paid by the Fund to the Adviser which 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 Value Index with dividends reinvested (hereinafter "Index") over a rolling five-year performance period. Since the Fund does not have a five-year operating history, the Performance Adjustment Rate will be calculated as follows during the initial five-year period: (a) From inception through September 30, 2004, the Performance Adjustment Rate was inoperative thus the Advisory Fee was calculated based on the Base Advisory Fee Rate times the average daily net assets of the Fund only; (b) From September 30, 2004 through September 30, 2008, the Performance Adjustment Rate will be calculated based upon a comparison of the investment performance of the Fund and the Index over the number of quarters that have elapsed since the Fund's inception. Each time the Performance Adjustment Rate is calculated, it will cover a longer time span, until it can cover a running five-year period as intended. In the meantime, the early months of the transition period will have a disproportionate effect on the performance adjustment of the fee. 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 performance and the Index performance is less than or equal to 2%.

Large Cap Growth: A total advisory fee is paid by the Fund to the Adviser which is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average

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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 with dividends reinvested (hereinafter "Index") over a rolling five-year performance period. Since the Fund does not have a five-year operating history, the Performance Adjustment Rate will be calculated as follows during the initial five-year period: (a) From inception through September 30, 2004, the Performance Adjustment Rate was inoperative thus the Advisory Fee was calculated based on the Base Advisory Fee Rate times the average daily net assets of the Fund only; b) From September 30, 2004 through September 30, 2008, the Performance Adjustment Rate will be calculated based upon a comparison of the investment performance of the Fund and the Index over the number of quarters that have elapsed since the Fund's inception. Each time the Performance Adjustment Rate is calculated, it will cover a longer time span, until it can cover a running five-year period as intended. In the meantime, the early months of the transition period will have a disproportionate effect on the performance adjustment of the fee. 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 performance and the Index performance is less than or equal to 2%.

Large Cap Value: A total advisory fee is paid by the Fund to the Adviser which 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 Value Index with dividends reinvested (hereinafter "Index") over a rolling five-year performance period. Since the Fund does not have a five-year operating history, the Performance Adjustment Rate will be calculated as follows during the initial five-year period: (a) From inception through September 30, 2004, the Performance Adjustment Rate was inoperative thus the Advisory Fee was calculated based on the Base Advisory Fee Rate times the average daily net assets of the Fund only; (b) From September 30, 2004 through September 30, 2008, the Performance Adjustment Rate will be calculated based upon a comparison of the investment performance of the Fund and the Index over the number of quarters that have elapsed since the Fund's inception. Each time the Performance Adjustment Rate is calculated, it will cover a longer time span, until it can cover a running five-year period as intended. In the meantime, the early months of the transition period will have a disproportionate effect on the performance adjustment of the fee. 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 performance and the Index performance is less than or equal to 2%.

Blue Chip 35 Index: The Fund pays a flat 0.08% annual management fee, computed daily and payable monthly, subject to a maximum expense ratio of 0.15%.

Balanced: The Fund pays a flat 0.60% annual management fee, computed daily and payable monthly, subject to a maximum expense ratio of 0.94%.

Expense limitations: At a special meeting on March 31, 2005, shareholders of the Funds approved amendments to the Management Agreements detailing expense limitations.

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Listed below are descriptions of these limitations for each fund.

Aggressive Investors 1: The Adviser agreed to reimburse the Fund for operating expenses and management fees above 1.80% of the value of its average net assets for the six months ended December 31, 2005.There were no reimbursements to the Fund for the six months ended December 31, 2005.

Aggressive Investors 2: The Adviser agreed to reimburse the Fund for operating expenses and management fees above 1.75% of the value of its average net assets for the six months ended December 31, 2005.There were no reimbursements to the Fund for the six months ended December 31, 2005.

Ultra Small Company: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 2.00% of the value of its average net assets for the six months ended December 31, 2005. There were no reimbursements to the Fund for the six months ended December 31, 2005.

Ultra Small Company Market: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.75% of the value of its average net assets six months ended December 31, 2005.There were no reimbursements to the Fund for the six months ended December 31, 2005.

Micro Cap Limited: The Adviser agreed to reimburse the Fund for operating expenses and management fees above 1.85% of the value of its average net assets for the six months ended December 31, 2005.There were no reimbursements to the Fund for the six months ended December 31, 2005.

Small Cap Growth: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.94% of the value of its average net assets for the six months ended December 31, 2005. There were no reimbursements to the Fund for the six months ended December 31, 2005.

Small Cap Value: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.94% of the value of its average net assets for the six months ended December 31, 2005. There were no reimbursements to the Fund for the six months ended December 31, 2005.

Large Cap Growth: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.84% of the value of its average net assets for the six months ended December 31, 2005. There were no reimbursements to the Fund for the six months ended December 31, 2005.

Large Cap Value: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.84% of the value of its average net assets for the six months ended December 31, 2005. There were no reimbursements to the Fund for the six months ended December 31, 2005.

Blue Chip 35 Index: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.15% of the value of its average net assets for the six months ended

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December 31, 2005. During the period, the Adviser reimbursed expenses of $23,748 and waived Advisory fees of $16,819.

Balanced: The Adviser has agreed to reimburse the Fund for operating expenses and management fees above 0.94% of the value of its average net assets for the six months ended December 31, 2005. During the six months ended December 31, 2005, the Adviser reimbursed expenses of $26,874.

Other Related Party Transactions: On occasion, the Funds will engage in inter-portfolio trades when it is to the benefit of both parties. These trades are reviewed quarterly by the Board of Directors. No inter-portfolio purchases or sales were entered into during the six months ended December 31, 2005 by any of the Funds.

On July 1, 2004, the Adviser entered into a Master Administrative Agreement with the Funds pursuant to which Bridgeway Capital Management acts as Administrator for the Funds. Under the terms of the agreement, Bridgeway Capital Management provides or arranges for the provision of certain accounting and other administrative services to the Funds that it is not required to provide under the terms of the management agreement. As compensation under the Master Administrative Agreement, Bridgeway Capital Management receives a monthly fee from each Fund calculated at the annual rate of 0.05% of average daily net assets.

One director of the Funds, John Montgomery, is an owner and director of the Adviser. Another director of the Fund, Michael Mulcahy, is an executive and director of the Adviser. Under the Investment Company Act of 1940 definitions, both are considered to be an "affiliated person" of the Adviser and an "interested person" of the Adviser and of the Funds. Compensation for Mr. Montgomery and Mr. Mulcahy is borne by the Adviser rather than the Funds.

Board of Directors Compensation: Bridgeway paid an annual retainer of $7,500 and fees of $2,500 per meeting to each Independent Director. The Independent Chairman of the Board received an annual retainer of $10,000 and fees of $3,000 per meeting. At the Board of Directors meeting on November 9, 2005, the compensation plan for the Board of Directors was amended as follows. Bridgeway pays an annual retainer of $8,000 and fees of $4,000 per meeting to each Independent Director. The Independent Chairman of the Board receives an annual retainer of $10,500 and fees of $5,000 per meeting.

The Independent Directors receive this compensation in the form of shares of 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. During the six months ended December 31, 2005, total reimbursements made, across all of the Funds, was $936. 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 January 2, 2004. 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 on October 15, 1996.

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5. Purchases and Sales of Investment Securities:

Purchases and sales of investments, other than short-term securities, for each Bridgeway Fund for the six month period ended December 31, 2005 were as follows:

Purchases
Bridgeway Fund	U.S. Government		Other
Aggressive Investors 1		—	$	297,775,638
Aggressive Investors 2		—	$	241,403,936
Ultra-Small Company		—	$	48,295,615
Ultra-Small Company Market		—	$	163,668,511
Micro-Cap Limited		—	$	37,112,469
Small-Cap Growth		—	$	74,771,287
Small-Cap Value		—	$	175,139,826
Large-Cap Growth		—	$	18,887,557
Large-Cap Value		—	$	18,389,198
Blue Chip 35 Index		—	$	22,523,691
Balanced	$	1,496,465	$	20,263,361

Sales
Bridgeway Fund	U.S. Government		Other
Aggressive Investors 1		—	$	308,460,179
Aggressive Investors 2		—	$	127,275,944
Ultra-Small Company		—	$	62,489,533
Ultra-Small Company Market		—	$	55,182,393
Micro-Cap Limited		—	$	40,995,723
Small-Cap Growth		—	$	18,298,891
Small-Cap Value		—	$	38,798,790
Large-Cap Growth		—	$	8,603,187
Large-Cap Value		—	$	6,215,472
Blue Chip 35 Index		—	$	11,063,952
Balanced	$	1,000,000	$	8,251,879

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6. Federal Income Taxes

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 December 31, 2005 were as follows:

	Aggressive Investors 1			Aggressive Investors 2			Ultra-Small Company
As of December 31, 2005
Gross appreciation (excess of value over tax cost)	$	75,783,969		$	45,172,442		$	34,999,823
Gross depreciation (excess of tax cost over value)		(3,217,649	)		(2,461,514	)		(2,444,833	)

Net unrealized appreciation/(depreciation)	$	72,566,320		$	42,710,928		$	32,554,990

Cost of investments for income tax purposes	$	329,586,472		$	264,535,817		$	77,844,841

	Ultra-Small Company Market			Micro-Cap Limited			Small-Cap Growth			Small-Cap Value
As of December 31, 2005
Gross appreciation (excess of value over tax cost)	$	339,446,277		$	23,292,132		$	22,754,695		$	29,909,785
Gross depreciation (excess of tax cost over value)		(15,338,031	)		(1,310,081	)		(3,129,673	)		(4,708,183	)

Net unrealized appreciation	$	324,108,246		$	21,982,051		$	19,625,022		$	25,201,602

Cost of investments for income tax purposes	$	438,342,882		$	51,669,836		$	108,292,561		$	194,367,629

	Large-Cap Growth			Large-Cap Value			Blue Chip 35 Index			Balanced*
As of December 31, 2005
Gross appreciation (excess of value over tax cost)	$	11,166,205		$	6,882,353		$	4,500,471		$	4,902,181
Gross depreciation (excess of tax cost over value)		(1,004,963	)		(329,647	)		(749,496	)		(746,398	)

Net unrealized appreciation	$	10,161,242		$	6,552,706		$	3,750,975		$	4,155,783

Cost of investments for income tax purposes	$	47,461,643		$	35,566,970		$	44,089,103		$	56,607,441

The differences between book and tax net unrealized appreciation are wash sale loss deferrals.

*: Does not include written options.

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 difference between book and tax components of net assets and the resulting reclassifications were primarily a result of the differing book/tax treatment of net operating losses and certain expenses.

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The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2005 and June 30, 2004, respectively, were as follows:

	Ultra-Small Company				Ultra-Small Company Market
	Year Ended June 30, 2005		Year Ended June 30, 2004		Year Ended June 30, 2005		Year Ended June 30, 2004
Distributions paid from:
Ordinary Income	$	2,401,271	$	1,778,425	$	1,224,997	$	—
Long-Term Capital Gain		19,650,404		11,659,278		6,669,718		710,875

Total		22,051,675		13,437,703		7,894,715		710,875

	Micro-Cap Limited				Large-Cap Value
	Year Ended June 30, 2005		Year Ended June 30, 2004		Year Ended June 30, 2005		Year Ended June 30, 2004
Distributions paid from:
Ordinary Income	$	4,576,049	$	1,375,981	$	195,000	$	—
Long-Term Capital Gain		5,543,706		5,054,263		—		—

Total		10,119,755		6,430,244		195,000		—

	Blue Chip 35 Index				Balanced
	Year Ended June 30, 2005		Year Ended June 30, 2004		Year Ended June 30, 2005		Year Ended June 30, 2004
Distributions paid from:
Ordinary Income	$	674,999	$	169,895	$	393,526	$	61,044
Long-Term Capital Gain		—		—		29,323		—

Total		674,999		169,895		422,849		61,044

Note the Aggressive Investors 1, Aggressive Investors 2, Small Cap Growth, Small Cap Value and Large Cap Growth Funds had no distributions for the fiscal years ended June 30, 2004 and June 30, 2005.

Components of Net Assets (Tax Basis) As of June 30, 2005, the components of net assets on a tax basis were:

	Aggressive Investors 1		Aggressive Investors 2			Ultra-Small Company
Accumulated net investment income	$	—	$	—		$	927,966
Accumulated net realized gain/(loss) on investments		26,515,437		(1,026,561	)		10,617,666
Net unrealized appreciation/(depreciation) of investments		70,772,790		27,396,659			34,619,027

Total	$	97,288,227	$	26,370,098		$	46,164,659

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	Ultra Small Company Market		Micro Cap Limited		Small-Cap Growth
Accumulated net investment income	$	567,340	$	—	$	—
Accumulated net realized gain/(loss) on investments		14,240,872		3,197,038		(4,307,355	)
Net unrealized appreciation/(depreciation) of investments		286,954,104		23,233,931		12,061,822
Cumulative effect of other differences		—		—		(3,472	)

Total	$	301,762,316	$	26,430,969	$	7,750,995

	Small-Cap Value			Large-Cap Growth			Large-Cap Value
Accumulated net investment income	$	—		$	—		$	196,230
Accumulated net realized gain/(loss) on investments		(3,332,243	)		(4,893,790	)		(593,237	)
Net unrealized appreciation/(depreciation) of investments		11,860,572			6,456,026			4,201,277
Cumulative effect of other differences		(3,472	)		(3,388	)		(3,388	)

Total	$	8,524,857		$	1,558,848		$	3,800,882

	Blue Chip 35			Balanced
Accumulated net investment income	$	349,303		$	439,260
Accumulated net realized gain/(loss) on investments		(2,372,091	)		364,079
Net unrealized appreciation/(depreciation) of investments		2,163,871			2,668,070
Cumulative effect of other differences		—			—

Total	$	141,083		$	3,471,409

7. Line of Credit

The Bridgeway Blue Chip 35 Index Fund and Ultra Small Company Market Fund established a line of credit agreement ("LOC") with U.S. Bank, N.A. (the "Bank" or "Lender") which matures on June 1, 2006 and is renewable annually at the Bank's option, to be used for temporary or emergency purposes, primarily for financing redemption payments. Any and all advances under this Facility would be for a maximum of fifteen (15) business days and are at the sole discretion of the Lender based on the merits of the specific transaction. Advances under the Facility are limited to the lesser of $1,650,000 for the Blue Chip 35 Index Fund and $36,750,000 for the Ultra Small Company Market Fund, or 33¹/3% of the Funds' net assets. Borrowings under the line of credit bear interest based on the Lender's Prime Rate. Principal is due fifteen days after each advance and at Maturity. Interest is payable monthly in arrears. The minimum advance is $1,000.

As of December 31, 2005 the Blue Chip 35 Index Fund had a zero balance with its secured line of credit. During the six months ended December 31, 2005, the average borrowing was $131,255 with an average rate on borrowings of 6.75%.

The Ultra Small Company Market Fund had no borrowings during the six months ended December 31, 2005.

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8. Redemption Fees:

In Ultra-Small Company Market Fund a 2.00% redemption fee may be charged on shares held less than six months and a 2.00% redemption fee may be charged in a down market. In Blue Chip 35 Index Fund a 1.00% redemption fee may be charged on redemptions in a down market.

9. Change in Independent Registered Public Accounting Firm:

On November 10, 2004, PricewaterhouseCoopers LLP was dismissed as the independent registered public accounting firm for Bridgeway Funds. PricewaterhouseCoopers LLP was previously engaged as the independent registered public accounting firm to audit the Funds' financial statements. PricewaterhouseCoopers LLP issued reports on the Funds' financial statements as of June 30, 2004 and 2003. Such reports did not contain an adverse opinion or a disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. The decision to remove PricewaterhouseCoopers LLP was approved by the Funds' Audit Committee and ratified by the Funds' Board of Directors. At no time during the period immediately preceding the dismissal of PricewaterhouseCoopers LLP through June 30, 2004, were there any disagreements with PricewaterhouseCoopers LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of PricewaterhouseCoopers LLP, would have caused it to make reference to the subject matter of the disagreements in connection with its report. At no time during the period immediately preceding the dismissal of PricewaterhouseCoopers LLP through June 30, 2004, did any of the events relating to management's representations, an expansion of the scope of audit work or discovery information impacting the fairness or reliability of Bridgeway Funds' financial statements enumerated in paragraphs (1)(v)(B) through (D) of Item 304(a) of Regulation S-K occur. With respect to internal control matters described in paragraph (1)(v)(A) PricewaterhouseCoopers LLP noted that during the years ended June 30, 2004 and 2003, daily cash reconciliations were not performed in accordance with the Fund's procedures. With respect to the Funds' Transfer Agent, PricewaterhouseCoopers LLP noted that during the year ended November 30, 2003 there was a lack of segregation of duties surrounding access to the Returned by Post Office ("RPO") function and over the monitoring of shareholder accounts placed on RPO status. These matters were considered to be a material weakness in control procedure and its operation. The audit committee of the Funds discussed these matters with PricewaterhouseCoopers LLP and PricewaterhouseCoopers LLP has been authorized to respond fully to inquiries of the successor independent registered public accounting firm. The Funds engaged Briggs Bunting & Dougherty, LLP as its new independent registered public accounting firm on November 10, 2004.

182

OTHER INFORMATION
(Unaudited)

1. Proxy Voting:

Fund policies and procedures used in determining how to vote proxies relating to fund securities and a summary of proxies voted by the Fund for the period ended June 30, 2005 are available without a charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the Securities Exchange Commission's ("SEC") website at http:/www.sec.gov.

2. 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 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 the SEC at 1-800-SEC-0330.

183

3. Other

Shareholders of record owning more than 5% of the outstanding shares of each Bridgeway Fund as of December 31, 2005, are listed in the table below, followed by the total percentage ownership of all Officers and Directors of Bridgeway Funds, Inc.

Name	Address	Aggressive Investors 1 Fund		Aggressive Investors 2 Fund		Ultra-Small Company Fund		Ultra-Small Company Market Fund		Blue Chip 35 Index Fund		Micro-Cap Limited Fund
Bridgeway Capital Management, Inc. Houston, TX 77005	5615 Kirby Drive, Ste 518
Charles Schwab & Co., Inc. Special Custody Account for the Benefit of Customers (incorporated in the state of Delaware)	101 Montgomery Street San Francisco, CA 94101	19.02	%	19.06	%			28.42	%	17.35	%
FTC & Co.	PO Box 173736 Denver, CO 80217-3736									6.96	%
Eternity LTD.	P O Box N-7776 Nassau, Bahamas											15.23	%
Letort Management Trust Company	3130 Morningside Camp Hill, PA 17011									35.52	%
National Financial Services, Corp.	PO Box 989030 New York, NY 10281	18.14	%	17.66	%	10.09	%	18.73	%	5.15	%	12.55	%
National Investors Services Inc.	55 Water Street 32nd Floor New York, NY 10041-3299	6.18	%	5.04	%			5.90	%	7.34	%	10.92	%
Prudential Investment Management Services	100 Mulberry St. 3 Gateway Center FL 11 Newark, NJ 07102			6.01	%			8.64	%
All Officers/Directors		0.386	%	0.117	%	1.089	%	0.000	%	0.835	%	0.403	%

184

Name	Address	Balanced Fund		Small-Cap Growth Fund		Small-Cap Value Fund		Large-Cap Growth Fund		Large-Cap Value Fund
Bridgeway Capital Management, Inc. Houston, TX 77005	5615 Kirby Drive, Ste 518	6.10	%
Charles Schwab & Co., Inc. Special Custody Account for the Benefit of Customers (incorporated in the state of Delaware)	101 Montgomery Street San Francisco, CA 94101	41.03	%	19.61	%	15.80	%	19.97	%	12.17	%
National Financial Services, Corp.	P O Box 989030 New York, NY 10281	9.59	%	21.06	%	25.81	%	13.61	%	17.08	%
National Investors Services Inc.	55 Water Street 32nd Floor New York, NY 10041-3299	9.33	%	8.35	%	13.08	%	5.45	%	8.18	%
Trust Company of America	P O Box 6503 Englewood, CO 80155									9.70	%
All Officers/Directors		0.652	%	0.011	%	0.007	%	0.021	%	0.031	%

4. Directors & Officers

Independent Directors

Name, Address(1), and Age	Positions(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 Directorship Held by Director
Kirbyjon Caldwell Age 52	Director	Term: 1 Year Length: 4 Years	Senior Pastor of Windsor Village United Methodist Church, since 1982	Eleven	Contintental Airlines, Inc., American Church Mortgage Company, Reliant Energy, Amegy Bancshares
Karen S. Gerstner Age 50	Director	Term: 1 Year Length: 11 Years	Principal, Karen S. Gerstner & Associates, P.C., 1/2004 to present, Attorney and Partner, Davis Ridout, Jones and Gerstner LLP, 1/1999 to 12/2003.	Eleven	None
Miles Douglas Harpers, III* Age 43	Director	Term: 1 Year Length: 11 Years	Partner, 10/1998 to present Gainer, Donnelly, Desroches, LLP	Eleven	Calvert Large-Cap Growth Fund(2) (1 Portfolio)

*: Independent Chairman

185

"Interested" or Affiliated Directors and Officers

Name, Address(1), and Age		Positions(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 Directorship Held by Director
Michael D. Mulcahy(3) Age 42		President and Director		Term: 1 Year Length: 10/01/2003 to present		President, Bridgeway Funds, 6/2005 to present. Director and Staff Member, Bridgeway Capital Management, Inc., 12/2002-6/2005. Vice President, Hewlett Packard, 1/2001-12/2002. Executive Vice President, Artios, Inc., 10/1998-1/2001.		Eleven		None
John N. R. Montgomery(4) Age 50		Vice-President and Director		Term: 1 Year Length: 12 Years		Vice-President, Bridgeway Funds, 6/2005 to present. President, Bridgeway Funds, 11/1993 - 6/2005. President, Bridgeway Capital Management, Inc., 7/1993 - present.		Eleven		None

186

"Interested" or Affiliated Directors and Officers

Name, Address(1), and Age	Positions(s) Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	Other Directorship Held by Director
Richard P. Cancelmo, Jr. Age 46	Vice-President	Term: 1 Year Length: 11/10/2004 to present	Vice-President, Bridgeway Funds, 11/2004 to present. Staff member, Bridgeway Capital Management, Inc., since 2000.	None
Joanna Barnhill Age 56	Secretary	Term: 1 Year Length: 11/22/1993 to present	Staff Member, Bridgeway Capital Management, Inc., since 1993.	None
Linda G. Giuffré Age 44	Treasurer and Chief Compliance Officer	Term: 1 Year Length: 5/14/2004 to present	Chief Compliance Officer, Bridgeway Capital Management, Inc., 5/2004 to present. Vice President—Compliance Capstone Asset Management Company, 1998 - 2004	None

(1): The address of all of the Directors and Officers of Bridgeway Funds is 5615 Kirby Drive, Suite 518, Houston, Texas, 77005-2448.
(2): The Calvert Large-Cap Growth Fund is sub-advised by Bridgeway Capital Management, Inc., the Adviser to Bridgeway Funds.
(3): Michael Mulcahy is a director and officer of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.
(4): John Montgomery is president, 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 Fund's Board and is available, without charge, upon request by calling 1-800-661-3550.

187

BRIDGEWAY FUNDS, INC.
c/o Forum Shareholder Services
P. O. Box 446
Portland, ME 04112
713-661-3500 800-661-3550

CUSTODIAN
US Bank N.A.
425 Walnut Street, 6TH Floor
Cincinnati, OH 45202

DISTRIBUTOR
Foreside Fund Services, LLC
2 Portland Square
Portland, ME 04101

You can review and copy information about our Funds (including the SAI) at the SEC's Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 202-942-8090. Reports and other information about the Funds is also available on the SEC's website at www.sec.gov. You can receive copies of this information, for a fee, by writing the Public Reference Section, Securities and Exchange Commission, Washington, D.C. 20549-0102 or by sending an electronic request to the following email address: publicinfo@sec.gov

Item 2. Code of Ethics.

Not applicable to semi-annual report.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual report.

Item 4. Principal Accounting Fees and Services.

Not applicable to semi-annual report.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated
Purchasers.

Not applicable.

Item 10. Submission of Matters to Vote of Security Holders.

There has been no material change to the procedures by which shareholders may recommend nominees to the registrant's Board of Directors.

Item 11. Controls and Procedures.

(a): The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b): There was no change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable to semi-annual report.

(a)(2) The certifications required by Rule 30a-2(a) of the Investment Company Act of 1940, as amended, and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto as Ex99.Cert.

(a)(3) Not applicable.

(b) Certification for the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Ex99.906Cert.

189

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

		BRIDGEWAY FUNDS, INC.
		By:		/s/ Michael D. Mulcahy Michael D. Mulcahy President and Principal Executive Officer
		Date:		March 9, 2006

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

		By:		/s/ Michael D. Mulcahy Michael D. Mulcahy President and Principal Executive Officer
		Date:		March 9, 2006
		By:		/s/ Linda Giuffre Linda Giuffre Treasurer and Principal Financial Officer
		Date:		March 9, 2006

190

Bridgeway Funds N-CSRSCertified semi-annual shareholder report (management investment company)