Bridgeway Funds N-CSR Certified annual shareholder report (management investment company)

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)

20 Greenway Plaza, Suite 450

                             Houston, Texas 77046                            

(Address of principal executive offices) (Zip code)

Michael D. Mulcahy, President

Bridgeway Funds, Inc.

20 Greenway Plaza, Suite 450

                            Houston, Texas 77046                            

(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: July 1, 2011 through June 30, 2012

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

A no-load mutual fund family of domestic funds
Annual Report
June 30, 2012
AGGRESSIVE INVESTORS 1	BRAGX
ULTRA-SMALL COMPANY	BRUSX
(Open to Existing Investors — Direct Only)
ULTRA-SMALL COMPANY MARKET	BRSIX
SMALL-CAP MOMENTUM	BRSMX
SMALL-CAP GROWTH	BRSGX
SMALL-CAP VALUE	BRSVX
LARGE-CAP GROWTH	BRLGX
BLUE CHIP 35 INDEX	BRLIX
MANAGED VOLATILITY	BRBPX
www.bridgeway.com

TABLE OF CONTENTS

Letter from the Investment Management Team	1
AGGRESSIVE INVESTORS 1 FUND
Manager’s Commentary	8
Schedule of Investments	12
ULTRA-SMALL COMPANY FUND
Manager’s Commentary	15
Schedule of Investments	19
ULTRA-SMALL COMPANY MARKET FUND
Manager’s Commentary	25
Schedule of Investments	29
SMALL-CAP MOMENTUM FUND
Manager’s Commentary	40
Schedule of Investments	44
SMALL-CAP GROWTH FUND
Manager’s Commentary	51
Schedule of Investments	54
SMALL-CAP VALUE FUND
Manager’s Commentary	57
Schedule of Investments	61
LARGE-CAP GROWTH FUND
Manager’s Commentary	64
Schedule of Investments	68
BLUE CHIP 35 INDEX FUND
Manager’s Commentary	71
Schedule of Investments	75
MANAGED VOLATILITY FUND
Manager’s Commentary	77
Schedule of Investments	81
Schedule of Options Written	85
STATEMENTS OF ASSETS AND LIABILITIES	89
STATEMENTS OF OPERATIONS	91
STATEMENTS OF CHANGES IN NET ASSETS	93
FINANCIAL HIGHLIGHTS	97
Notes to Financial Statements	103
Report of Independent Registered Public Accounting Firm	118
Other Information	119
Disclosure of Fund Expenses	123
Results of Shareholder Meeting	125
Directors & Officers	126

Bridgeway Funds Standardized Returns as of June 30, 2012* (Unaudited)

			Annualized
Fund	Quarter	Six Months	1 Year	5 Years	10 Years	Inception      to Date	Inception       Date	Gross  Expense  Ratio2
Aggressive Investors 1	-4.80%	8.62%	-9.59%	-7.14%	3.74%	12.20%	8/5/1994	1.25%3
Ultra-Small Company	-6.55%	13.06%	-5.41%	-2.61%	9.93%	14.74%	8/5/1994	1.31%
Ultra-Small Co Market	-1.81%	13.90%	1.05%	-1.94%	8.53%	9.70%	7/31/1997	0.92%1
Small-Cap Momentum	-4.26%	7.35%	-1.40%	NA	NA	11.90%	5/28/2010	5.47%1
Small-Cap Growth	-7.40%	6.21%	-6.35%	-6.08%	NA	1.83%	10/31/2003	0.98%1
Small-Cap Value	-2.31%	8.89%	-0.59%	-3.95%	NA	5.04%	10/31/2003	0.87%
Large-Cap Growth	-3.96%	8.91%	0.37%	-0.54%	NA	3.77%	10/31/2003	0.86%1
Blue Chip 35 Index	-2.04%	9.97%	9.72%	1.23%	5.04%	4.80%	7/31/1997	0.27%1
Managed Volatility	0.00%	4.19%	3.74%	0.92%	4.04%	3.59%	6/30/2001	1.22%1

Bridgeway Funds Returns for Calendar Years 1998 through 2011* (Unaudited)

	1998	1999	2000	2001	2002	2003	2004	2005	2006	2007	2008	2009	2010	2011
Aggressive Investors 1	19.28%	120.62%	13.58%	-11.20%	-18.01%	53.97%	12.21%	14.93%	7.11%	25.80%	-56.16%	23.98%	17.82%		-10.31%
Ultra-Small Company	-13.11%	40.41%	4.75%	34.00%	3.98%	88.57%	23.33%	2.99%	21.55%	-2.77%	-46.24%	48.93%	23.55%		-14.64%
Ultra-Small Co Market	-1.81%	31.49%	0.67%	23.98%	4.90%	79.43%	20.12%	4.08%	11.48%	-5.40%	-39.49%	25.95%	24.86%		-7.86%
Small-Cap Momentum															-0.92%
Small-Cap Growth							11.59%	18.24%	5.31%	6.87%	-43.48%	15.04%	11.77%		-0.63%
Small-Cap Value							17.33%	18.92%	12.77%	6.93%	-45.57%	26.98%	16.55%		1.05%
Large-Cap Growth							6.77%	9.33%	4.99%	19.01%	-45.42%	36.66%	13.34%		-0.71%
Blue Chip 35 Index	39.11%	30.34%	-15.12%	-9.06%	-18.02%	28.87%	4.79%	0.05%	15.42%	6.07%	-33.30%	26.61%	10.60%		3.17%
Managed Volatility					-3.51%	17.82%	7.61%	6.96%	6.65%	6.58%	-19.38%	12.39%	5.41%		1.94%

Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than original cost. To obtain performance current to the most recent month-end, please visit our website at www.bridgeway.com or call 1-800-661-3550. Total return figures include the reinvestment of dividends and capital gains.

¹ Some of the Funds’ fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser has contractually agreed to waive fees and/or reimburse expenses. Any material change to this Fund policy would require a vote by shareholders.

² Expense ratios are as stated in the current prospectus. Please see financial highlights for expense ratios as of June 30, 2012.

³ The management fee included in the gross expense ratio for the Aggressive Investors 1 Fund has been restated to reflect only the base management fee payable under the Fund’s performance-based management fee structure. The total actual management fee for the fiscal year ended June 30, 2011 was -0.76%. The actual total management fee for the prior fiscal year was negative due to the negative performance adjustment of the investment management fee under the Fund’s performance-based management fee structure.

* Numbers highlighted in green indicate periods when the Fund outperformed its primary benchmark.

This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 1-800-661-3550 or visit the Funds’ website at www.bridgeway.com. Funds are available for purchase by residents of the United States, Puerto Rico, U.S. Virgin Islands and Guam only. Foreside Fund Services, LLC, Distributor.

The views expressed here are exclusively those of Fund management. These views, including those relating to the market, sectors or individual stocks are not meant as investment advice and should not be considered predictive in nature.

  i www.bridgeway.com

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM  

June 30, 2012

Dear Fellow Shareholders,

The “macro-driven market” environment discussed in the last several shareholder letters, as well as on page 3, continued in full force in the quarter ended June 30, 2012. In fact, this was the first time two high correlation spikes occurred in one year. Not surprisingly, the Bridgeway Funds that had the broadest market exposure (Blue Chip 35 Index, Ultra-Small Company Market, and Small-Cap Momentum Funds) plus our more value oriented Fund (Small-Cap Value Fund) were the ones that beat their market benchmarks in the fiscal year ending June 30, 2012. Those Funds with more exposure to our growth leaning models (Aggressive Investors 1, Ultra-Small Company, Small-Cap Growth and Large-Cap Growth Funds) did not. The quarter did give us our first test of how our Select models performed in a high correlation spike after adding data from the first three high correlation spikes and adjusting our models accordingly; overall, our growth leaning Funds performed in line with expectations: an improvement over the previous three spikes in 2008, 2010, and 2011. A discussion of the factors that affected the market environment, as well as their impact on the different market sectors, appears on page 2.

Each fiscal year we commit to reporting to shareholders what we think is the worst thing at Bridgeway during the year. This year it took a vote from our Partners to help us decide what the worst thing was. Details are on page 4.

Contrary to the advice of most financial advisers, investors below the age of 35 have become more risk averse than 35 to 64 year olds. Will this hurt their chances for a secure retirement? See page 4.

Last quarter we reviewed the case for equities and why it’s so important to have a long-term asset allocation plan and stick with it. This quarter, on page 5, we focus on bonds, the reasons why investors continue to move from stock mutual funds to bond mutual funds, and why we think bonds are unusually risky in the current environment, in spite of their appearance of safety.

One of the strongest parts of our culture is a commitment to community and world change. On page 7, Cindy Griffin and Michele Camp share their experiences on affecting world change by digging a water well during a service trip to El Salvador with five other Partners.

As always, we appreciate your feedback. We take your comments very seriously and regularly discuss them internally to help in managing our Funds and this company. Please keep your ideas coming — both favorable and critical. They provide us with a vital tool, helping us serve you better.

Sincerely,

Your Investment Management Team

John Montgomery

Elena Khoziaeva

Christine Liang

Dick Cancelmo

Michael Whipple

Rasool Shaik

  1 Annual Report | June 30, 2012  

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Market Review

The positive momentum that carried the market at the end of 2011 and through the first quarter of 2012 came to an end in the second quarter. Domestic and global fears crept into the market, causing equities to slide as investors retreated from risky, more volatile stocks. A shift to the perceived safety of government bonds sent the yield on the 10-year Treasury note down to 1.56%. The economically sensitive commodity prices declined, oil prices declined 18%, and volatility and high correlations returned to the Dow as investors focused attention on macroeconomic events. The Dow Jones Industrial Average stomached 22 days of triple digit moves, compared to 6 in the first quarter. Companies were not well rewarded for high earnings surprises and were severely beaten down for reporting lower than expected earnings. The “sweet spot” seemed to be large companies in the “middle of the pack.” In other words, investors were looking for stability.

The quarter started with fear in April and May when the European debt crisis reignited. Concern that Greece would exit the euro as a result of the “pro-bailout” New Democracy party failing to win an early election led to scrutiny of all sovereign debt holdings. Government bond yields in Italy and Spain spiked. The quarter ended June 30, 2012 followed the 2010 and 2011 pattern of a mid year correction. The New Democracy prevailed in the second Greek election and calmed fears of a rapid exit. Eurozone leaders relaxed conditions for emergency bank loans, and the potential for additional Fed intervention via quantitative easing (QE3) helped boost the market, but it was not enough to erase the losses from April and May. The S&P 500 Index ended down 2.75% for the quarter.

There was a huge disparity between the returns of large and mid-cap stocks. This is evident in the CRSP (Center for Research in Security Prices) Portfolio Index returns for the fiscal year. The CRSP 1 Index (ultra-large stocks) outperformed all other deciles of market cap, returning 7.66% for the fiscal year. The CRSP 5 Index (mid-cap stocks) was the worst performing decile, falling 6.10%. At the other end of the spectrum, the CRSP 10 Index (ultra-small stocks) declined 0.85%, reflecting higher risk associated with ultra-small stocks (a negative in the fiscal year) but also the advantage in this fiscal year of being “off the radar screen.”

Returns across all style boxes, as defined by Morningstar, were negative for the quarter. Value stocks outpaced growth stocks, and investors generally favored large stocks over small, with large value leading the way, returning -1.61%.

Four of the ten S&P 500 Index sectors posted positive returns, with defensive stocks outperforming cyclicals. The financial sector was hit the hardest amid credit rating agency downgrades of major U.S. and European banks, as well as financial market weakness and slowing global economic growth. Information technology, energy, materials, industrials and consumer discretionary also underperformed the market. Telecommunication services shone, returning 14.15%. Consumer staples, healthcare, and utilities were also positive for the quarter.

Following are the stock market “style box” returns from Morningstar for the quarter and year:

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Macro Driven Markets — An update

The Short Version: As highlighted in the last several shareholder letters, the primarily macro-driven markets of the last four years have been particularly unfavorable to some of our Select Funds, especially those with a strong growth component (Aggressive Investors 1, Ultra-Small Company, Large-Cap Growth, and Small-Cap Growth Funds). Last quarter we dissected the dynamics of these markets, why they have been less favorable to our growth leaning stock picking models, and why we do not expect our relative performance to be hit as hard should macro driven markets continue. The June quarter gave us our first test of this latter belief, and our performance was indeed in line with expectations for this group of four Funds.

High correlation markets are markets where individual stock prices tend to move proportionally in tandem — statistically, time periods when stock correlations exceed 0.5. We call these “macro-driven markets,” markets within which investors focus on macroeconomic events, such as the European debt crisis, rather than the economic health of individual companies. Thus, in a macro driven market, good news at Company XYZ is less likely to favorably impact its stock price than in most market environments. Macro-driven markets are unfavorable to our more growth leaning stock picking models in particular, since our models focus on data at the company rather than national or world level.

In our December 2011 semi-annual report we “dove deep” to consider the strongly negative effects of macro-driven markets on our Select Funds that use our more growth leaning models. In that report we stated:

Within the context of an unchanged investment process, the adviser has made incremental changes to its stock picking models that we believe would help relative performance in future macro-driven markets without any cost to our performance in micro-driven markets, which historically comprise the vast majority of markets.

The high stock correlations in the last half of calendar year 2011, which characterize market environments unfavorable to some of our stock picking models, dropped back to normal historical levels in January and February. This gave a performance tailwind to some of our Funds. Time will tell what the follow-through looks like and when we will see the next “macro-driven market,” which we hope is not for a few years (or decades).

The last sentence was prescient within the context of the June quarter: it only took a couple of months before we experienced another high correlation spike and had the opportunity to test our incremental stock picking model improvements and extended data that included a number of high correlation spikes. Overall, we passed the test for this quarter. Five of our 11 funds outperformed their primary market benchmark. Our more growth leaning funds (Aggressive Investors 1, Ultra-Small Company, Small-Cap Growth, and Large-Cap Growth Funds) did not beat their market benchmarks, as expected; but even half of these outperformed their peer benchmarks. For the six-month period through June, these four Funds as a group had “OK” performance — doing much better than in the previous three high correlation spikes in spite of being in an unfavorable market environment.

The following graph presents the long term view of macro-driven, high correlation markets, with two spikes in the last fiscal year and four in the last four fiscal years. We continue to believe strongly that the market will return to a micro-driven environment, one in which the market focuses on the economic health of individual companies — an environment that our growth leaning models and funds have historically favored.

  3 Annual Report | June 30, 2012  

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

The Worst Thing of the Fiscal Year

The Short Version: While half of our Funds had strong performance over the fiscal year, four really performed miserably: Aggressive Investors 1, Ultra-Small Company, Large-Cap Growth, and Small-Cap Growth Funds. As highlighted in the previous section, the market delivered two high correlation spikes in one year, the first time this has happened since 1946. This is a market environment generally unfavorable for these Funds, though we think high correlation spikes will not have such a deleterious affect going forward.

In each annual report for the last fourteen fiscal years, Bridgeway has revealed its “worst thing of the year.” This section has become an important Bridgeway tradition. As a shareholder, you are the owner and “boss,” and we think you have a right to know the negatives as well as the positives. In previous years we have discussed company turnover, trading errors, compliance issues, and specific periods of the performance of one or more of our Funds. Part of our firm’s culture is transparency (we’re the only Fund firm we know of that addresses this topic in an annual report), and we work hard to address problems and not repeat mistakes.

This year’s choice for “worst thing” was the performance of our four more growth leaning Select Funds. The dynamics of high correlation markets were discussed in the previous section. It’s easy enough to chalk up this year’s worst thing to factors beyond Bridgeway’s control, and one can make a strong case for it this year. However, by way of continual learning we should also ask, “Is there anything the adviser could have done within the scope of these Funds’ investment objectives, strategies, and investment process to anticipate or dampen the negative effects of these market spikes?” Our answer: we continue to believe that market timing is a loser’s game, so trying to time or anticipate high correlation spikes is not realistic and is likely counterproductive.

Are Young Investors Investing Too Conservatively?

The Short Version: Investors under the age of 35 are taking on less risk than older baby boomers. Most investment advisers recommend the opposite: more risk at a young age, less later in life.

The following graph with data from the Investment Company Institute demonstrates a phenomenon we hear about frequently: investors are more risk-averse than they were a decade ago. What is most surprising to us at Bridgeway, however, is the breakdown by age: elderly investors have not significantly changed their appetite for risk, while younger investors’ risk appetite has plummeted — to the point that it is slightly lower than that of the baby boomer generation. This seems upside down. Financial advisors typically preach that younger investors can afford to take on more risk and should do so. Something to ponder.

  www.bridgeway.com 4

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Sources: Investment Company Institute tabulations of Federal Reserve Board survey of consumer finances and

Investment Company Institute annual mutual fund shareholder tracking survey.                

What Recent Fund Flows and History Tell Us About the Risk of Bonds — from Bridgeway’s Chief Investment Officer

The Short Version: Last quarter we reviewed the case for equities and why it’s so important to have a long-term asset allocation plan and stick with it. This quarter we focus on bonds, the reasons why investors continue to move from stock mutual funds to bond mutual funds, and why we think bonds are unusually risky in the current environment.

Over the decade of the 2000’s, intermediate-term and long-term government bonds outperformed stocks. As presented in the table below, the S&P 500 Index returned 1.41% for the ten years through December 2010, while intermediate-term Treasuries returned 5.64%/year and long-term Treasuries returned 6.64%. Some people would conclude from this that since government bonds are relatively safe — they are backed by the U.S. Government — as well as less volatile (see the table below), they are a simply a better deal: less risk, more return.

Risk and Returns (the “lost decade,” December 2000 to December 2010)

	Total Returns/Year	Volatility
Long-term government bonds	6.64%	12.40
Intermediate-term government bonds	5.64%	5.20
S&P 500 (stocks)	1.41%	16.30

What investors don’t see in this equation is that bonds have received a tremendous “tailwind” from declining interest rates over the last decade, one that is very unlikely to be repeated. Why? Ten-year Treasury bonds recently hit an all-time low. Can they go lower? Yes, but while theoretically possible, it is very unlikely that they will go into negative territory. Had interest rates remained flat over the last decade, total returns would have been somewhat lower. But it gets more interesting looking forward. If bond yields only remain at current levels, total return drops to the current yield, 0.59% for intermediate-term government bonds, 2.48% for long-term government bonds. And as interest rates rise significantly, bond prices and total returns fall. So, for example, if interest rates were to rise to the long-term historical average in the next year, the one-year returns for intermediate bonds would be -12.41%, with long-term bonds at -23.60%. Scarier yet is if inflation kicked in. Since our national debt is at the highest level (as a percent of gross domestic product) since World War II, I believe this is a real and serious risk

  5 Annual Report | June 30, 2012  

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

over the two to five year time frame, though perhaps not over the next year, as the Federal Reserve seeks to keep interest rates low. If a drop in interest rates was coupled with inflation increasing to 10% per year (double digit inflation occurred in both 1979 and 1980), the one-year return for intermediate bonds after adjusting for inflation would drop to -20.38% with long-term bonds dropping to -30.55%.

This concept is referred to as interest rate risk related to inflation risk, a very real risk that I believe many investors are ignoring as they shift from stocks to bonds.

The following table shows the extent to which mutual fund investors have been shifting from stocks to bonds over the recent six year period:

Source: Investment Company Institute. Includes domestic equities only.

Unfortunately, the timing of these flows may be the next prime example of a phenomenon we have discussed previously, the behavior gap. Investors tend to pile into stocks after a bull market, as in the period of the late 1990s internet bubble. This was ill-timed, as 2000 to 2002 was the most extended bear market in the last seven decades. When stocks were relatively cheap during this current period, investors shifted to the perceived safety of bonds. Again, ill-timed in retrospect. What I worry about most now is the possibility that the recent move to bonds portends a “bond bubble.” Specifically, that inflation and rising interest rates could deliver a double whammy to bondholders. This isn’t to say that bonds aren’t an appropriate investment in a well diversified portfolio, just that an overreliance on them carries its own significant risks.

What’s an investor to do? We believe that creating, writing down, and implementing a disciplined asset allocation plan is the best antidote to the behavior gap problem. Right now that might be guarding against an overreliance on bonds, particularly because they’ve done so well over the last one and two decades.

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Throughout this section we have focused on Treasury bonds to demonstrate the risk to bonds of interest rates and a rise in inflation. Corporate and municipal bonds, especially lower rated ones, carry more default risk, but somewhat muted inflation and interest rate risk. This is perhaps a good reason to diversify, even within one’s bond holdings.

Transformative Change — authored by Cindy Griffin and Michele Camp

Last quarter, we talked about Bridgeway’s mission statement and how our partners were effecting extraordinary change at a local level to support our mission. This quarter, we share a service project with Living Water International (LWI) in El Salvador and highlight how Bridgeway partners are effecting extraordinary change outside of their local communities.

In May, seven Bridgeway partners left the comfort and safety of Houston, Texas for El Salvador. For the two of us, this was the first time on a service trip with our colleagues at Bridgeway; several of whom had completed similar trips in prior years. Our task? To work with LWI to drill a water well for a rural, impoverished community in El Salvador called El Mango. For five days, we were covered in mud, sweat and more mud as we took turns operating the hydraulic well drill, taking dirt samples, assembling PVC pipes, mixing and pouring concrete, and all other various tasks involved in completing a well. We labored side-by-side with the people of El Mango, who offered their own tools, strength, and determination to ensure the success of the project. It was hard work, especially in a tropical climate where it feels like it’s constantly 120 degrees with 100 percent humidity.

Five days flew by, and we were astounded by how much our team was able to accomplish in such a short amount of time. We struck water on the first day at 90 feet, which put us ahead of schedule. In fact, we were so far ahead of schedule in El Mango that we travelled to another community, where we helped complete a 220 foot well. Our final day at the drill site was spent putting the finishing touches on the El Mango well and participating in a dedication ceremony with the community. It was a joyous day of celebration and excitement. We were overwhelmed with happiness at seeing the locals pump fresh, clean water for the first time. They were so grateful and so thankful. When the festivities were over, we loaded up the truck, took a few more pictures, piled in the van and waved goodbye to our new friends one last time.

So why did we go? Why would a firm of only 29 people send seven away for a week to drill a water well? Part of Bridgeway’s vision statement states, “Partners effecting extraordinary community and world change.” It’s who we are and what we’re about – it’s engrained in our culture. For a week in May, a group of seven Bridgeway partners literally lived our vision statement and effected extraordinary community and world change in the little village of El Mango. But it took more than the seven of us to make this happen. We left behind our families and our fellow partners, who gladly and graciously gave of themselves so that we could be gone for a week. Even though they weren’t there physically, their love and support were equally important and such a necessary and vital component to our trip. It was unifying, not just for the people who went to El Salvador, but for everyone involved. As another partner, James McKissick (who has been involved with LWI for a long time), beautifully stated, “Stepping out of yourself brings out a whole new energy.” It does and it did, for everyone at Bridgeway. We came back with a renewed passion for our vision statement, realizing that the higher we performed at our job, the better our company would be, which would lead to more success and very importantly, greater giving. The small community of El Mango is a perfect example of the BIG difference 29 people can make.

  7 Annual Report | June 30, 2012  

Aggressive Investors 1 Fund MANAGER’S COMMENTARY (Unaudited)

June 30, 2012

Dear Fellow Aggressive Investors 1 Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 4.80%, trailing our primary market benchmark, the S&P 500 Index (-2.75%), and the Russell 2000 Index (-3.47%). We did outperform our peer benchmark, the Lipper Capital Appreciation Funds Index (-5.10%). It was the fourth high correlation spike — an historically rare, but unfriendly environment for our Fund. Our Fund navigated this one much better than the previous three, as discussed in detail below. It was a mixed quarter, but we are guardedly pleased in this market context.

For the fiscal year ended June 30, 2012, our Fund declined 9.59%, badly trailing our primary benchmark, the S&P 500 Index (+5.45%), our peer benchmark, the Lipper Capital Appreciation Funds Index (-1.67%) and the Russell 2000 Index (-2.08%). Two market phenomena created a tremendous headwind of performance we have not seen previously in the 17+ year history of our Fund: first, two correlation spikes occurred in the same fiscal year as discussed on page 3 and in the section on annual performance below. Second, there was a huge disparity between the returns of large and mid-cap stocks as discussed in the market overview on page 2; the “size effect” cost our Fund over five percentage points of returns for the fiscal year. We did receive a mild tailwind from one factor: our models’ tilt toward quality (e.g. low debt) stocks helped us to the tune of almost two percentage points.

You may recall that our prior fiscal year 2011 contained no high correlation peaks (what we refer to as “macro-driven markets”) and we outperformed the S&P 500 by just over 10%. This is in stark contrast to the current fiscal year 2012, the first time we have ever experienced two high correlation spikes in the same year (September and June quarters). In spite of two positive quarters (December 2011 and March 2012), the two high correlation spikes (September 2011 and June 2012) of the fiscal year put us strongly “in the red” for the fiscal year. For reasons outlined on page 3, proactive steps on our part make us more optimistic about negotiating high correlation spikes in the future, should they continue.

The table below presents our June quarter, one-year, five-year, ten-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

			Annualized
	Quarter	1 Year	5 Years	10 Years	Since Inception         (8/5/94)
Aggressive Investors 1 Fund	-4.80%	-9.59%	-7.14%	3.74%	12.20%
S&P 500 Index	-2.75%	5.45%	0.22%	5.33%	8.29%
Russell 2000 Index	-3.47%	-2.08%	0.54%	7.00%	8.29%
Lipper Capital Appreciation Funds Index	-5.10%	-1.67%	0.79%	6.01%	7.20%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

  www.bridgeway.com 8

Aggressive Investors 1 Fund MANAGER’S COMMENTARY (Unaudited) (continued)

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in the category of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Aggressive Investors 1 Fund ranked 262nd of 288 capital appreciation funds for the twelve months ending June 30, 2012, 230th of 231 over the last five years, 137th of 169 over the last ten years, and 3rd of 53 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.

Aggressive Investors 1 Fund vs. S&P 500 Index, Russell 2000 Index & Lipper Capital Appreciation Funds Index

from Inception 8/5/94 to 6/30/12

Detailed Explanation of Quarterly Performance

The Short Version: In a quarter that contained the fourth high correlation spike in the last four years, our newly optimized models handled the spike much better, though we still underperformed our primary market benchmark. Differences in company size between the Fund and our primary market benchmark fully explain our quarterly variance. Our models continued to pick stocks that are strong performers on a fundamental basis (as measured by following quarterly earnings report surprises), but were not rewarded with strong price increases — as expected in a macro-driven market.

We underperformed our primary market benchmark by just over two percent for the quarter ended June 30, 2012. It was a period that showed the fourth high correlation spike since 2008. It was the first spike since we completed the re-optimization of our models, including data from the previous three high correlation spikes. The results, while we still underperformed, were much improved over the last three high correlation spikes.

Our primary market benchmark, the S&P 500 Index is very heavily weighted in ultra-large stocks, those in the largest size decile of the NYSE, with over 75% of the Index in that decile. Since the Aggressive Investors 1 Fund chooses from among a broader range of stocks and does not weight them by size, the Fund has about 25% of net assets in the largest decile. This has given the Fund a slight tailwind over longer historical periods, but it cost the Fund over two and one-half percent of relative performance this quarter.

  9 Annual Report | June 30, 2012

Aggressive Investors 1 Fund MANAGER’S COMMENTARY (Unaudited) (continued)

On the bright side, our models continued to pick stocks that were strong performers on a fundamental basis (as measured by following quarter earnings report surprises), but were not rewarded with price increases. This is a pattern we have seen in each of the high correlation spikes.

Detailed Explanation of Fiscal Year Performance

The Short Version: The fiscal year contained two high correlation spikes, the first of which occurred before we completed our model re-optimization. The majority of our underperformance for the fiscal year occurred during the period of that first spike.

We underperformed the S&P 500 Index by 15.0% for the fiscal year ended June 30, 2012. It was a period that contained two high correlation spikes. The first spike occurred in the September quarter of 2011 while we were still in the process of re-optimizing our models to include the most recent data and add some model improvements. Almost 13% of our underperformance was attributable to that high correlation spike. The second spike happened in the June quarter of 2012 after the re-optimization and our underperformance was reduced to only two percent. While this is only one data point for our newly optimized models, we are pleased with the improvement, since high correlation spikes are still the historical exception and we believe we will better navigate them going forward, should they continue.

Similar to the June quarter, company size hurt in the fiscal year, costing the Fund more than fifteen percent of relative return. The Financials sector was the only sector that added significant positive relative return to the Fund, contributing over five percentage points. Information Technology was our worst performing sector, costing the Fund over four percentage points of return relative to the S&P 500 Index. The Fund’s large exposure to high beta stocks cost almost seven percent in relative return, while our “quality tilt” (low debt) helped to the tune of almost two percent.

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Apple, Inc.	Computers & Peripherals	3.0%
2	Seagate Technology PLC	Computers & Peripherals	2.9%
3	Dean Foods Co.	Food Products	2.2%
4	Discover Financial Services	Consumer Finance	2.0%
5	Dillard’s, Inc.	Multiline Retail	2.0%
6	Monster Beverage Corp.	Beverages	1.7%
7	United Rentals, Inc.	Trading Companies & Distributors	1.6%
8	NeuStar, Inc.	IT Services	1.6%
9	Cirrus Logic, Inc.	Semiconductors & Semiconductor Equipment	1.6%
10	Halliburton Co.	Energy Equipment & Services	1.4%
	Total		20.0%

  www.bridgeway.com 10

Aggressive Investors 1 Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of S&P 500 Index		Difference
Consumer Discretionary		22.1%		11.0%		11.1%
Consumer Staples		7.4%		11.3%		-3.9%
Energy		6.3%		10.8%		-4.5%
Financials		14.2%		14.4%		-0.2%
Health Care		9.9%		12.0%		-2.1%
Industrials		13.0%		10.5%		2.5%
Information Technology		18.0%		19.7%		-1.7%
Materials		4.6%		3.4%		1.2%
Telecommunication Services		3.9%		3.2%		0.7%
Utilities		0.0%		3.7%		-3.7%
Cash & Other Assets		0.6%		0.0%		0.6%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management.  These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature.  Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated.  Security positions can and do change thereafter.  Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which may add to Fund volatility through the possibility that a single company could significantly affect total return.  Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

Conclusion

Thank you for your continued investment in Aggressive Investors 1 Fund. We encourage your feedback; your reactions and concerns are extremely important to us.

Sincerely,

The Investment Management Team

  11 Annual Report | June 30, 2012  

Bridgeway Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 99.40%
Aerospace & Defense - 2.50%
Textron, Inc.		92,100		$2,290,527
Triumph Group, Inc.		50,673		2,851,370
				5,141,897
Auto Components - 0.99%
Delphi Automotive PLC*		80,300		2,047,650
Beverages - 4.09%
Coca-Cola Enterprises, Inc.#		89,200		2,501,168
Constellation Brands, Inc., Class A*		89,500		2,421,870
Monster Beverage Corp.*		49,300		3,510,160
				8,433,198
Biotechnology - 1.32%
Alexion Pharmaceuticals, Inc,*		27,400		2,720,820
Building Products - 1.28%
USG Corp.*+		138,200		2,632,710
Capital Markets - 2.11%
Bank of New York Mellon Corp. (The)		99,100		2,175,245
Northern Trust Corp.		47,200		2,172,144
				4,347,389
Chemicals - 2.15%
CF Industries Holdings, Inc.		12,800		2,479,872
H.B. Fuller Co.		63,800		1,958,660
				4,438,532
Commercial Banks - 1.96%
KeyCorp		198,600		1,537,164
US Bancorp		78,000		2,508,480
				4,045,644
Commercial Services & Supplies - 0.36%
Consolidated Graphics, Inc.*		17,400		505,470
Quad Graphics, Inc.		15,800		227,204
				732,674
Computers & Peripherals - 7.90%
Apple, Inc.*		10,600		6,190,400
Dell, Inc.*		165,700		2,074,564
Seagate Technology PLC		245,300		6,066,269

Industry Company	Shares		Value
Computers & Peripherals (continued)
Western Digital Corp.*		63,500		$   1,935,480
				16,266,713
Consumer Finance - 3.06%
Cash America International, Inc.		48,500		2,135,940
Discover Financial Services		120,400		4,163,432
				6,299,372
Diversified Financial Services - 1.25%
Interactive Brokers Group, Inc., Class A		174,700		2,571,584
Diversified Telecommunication Services - 1.93%
tw telecom, inc.*		80,800		2,073,328
Vonage Holdings Corp.*		948,381		1,906,246
				3,979,574
Electronic Equipment, Instruments & Components - 1.56%
Brightpoint, Inc.*		205,600		1,112,296
SYNNEX Corp.*		61,000		2,103,890
				3,216,186
Energy Equipment & Services - 1.62%
Halliburton Co.		104,700		2,972,433
Helix Energy Solutions Group, Inc.*		22,000		361,020
				3,333,453
Food Products - 3.33%
Bunge, Ltd.		35,800		2,246,092
Dean Foods Co.*		271,200		4,618,536
				6,864,628
Health Care Providers & Services - 8.25%
Aetna, Inc.		49,000		1,899,730
Cigna Corp.		45,900		2,019,600
Community Health Systems, Inc.*		80,400		2,253,612
DaVita, Inc.*		26,800		2,632,028
HCA Holdings, Inc.		76,800		2,337,024
Health Management Associates, Inc., Class A*		165,300		1,297,605
Humana, Inc.		26,600		2,059,904
McKesson Corp.		26,700		2,503,125
				17,002,628

  www.bridgeway.com 12

Bridgeway Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure - 1.69%
Darden Restaurants, Inc.		39,500		$  1,999,885
McDonald’s Corp.		16,800		1,487,304
				3,487,189
Household Durables - 1.03%
Ryland Group, Inc. (The)		83,200		2,128,256
Insurance - 2.35%
MetLife, Inc.		66,000		2,036,100
Torchmark Corp.		55,300		2,795,415
				4,831,515
Internet Software & Services - 1.31%
eBay, Inc.*		64,000		2,688,640
IT Services - 4.45%
Heartland Payment Systems, Inc.		41,400		1,245,312
NeuStar, Inc., Class A*		98,200		3,279,880
Visa, Inc., Class A		17,300		2,138,799
Western Union Co. (The)		148,500		2,500,740
				9,164,731
Machinery - 2.26%
Actuant Corp., Class A		95,800		2,601,928
Cummins, Inc.		21,200		2,054,492
				4,656,420
Marine - 0.81%
Kirby Corp.*		35,477		1,670,257
Media - 6.23%
CBS Corp., Class B Non-Voting		64,300		2,107,754
DIRECTV, Class A*		55,500		2,709,510
DISH Network Corp., Class A		46,000		1,313,300
Sinclair Broadcast Group, Inc., Class A		203,900		1,847,334
Time Warner Cable, Inc.		30,000		2,463,000
Viacom, Inc., Class B		50,700		2,383,914
				12,824,812
Metals & Mining - 1.66%
Noranda Aluminum Holding Corp.		127,500		1,014,900
Southern Copper Corp.		76,100		2,397,911
				3,412,811
Multiline Retail - 3.17%
Dillard’s, Inc., Class A		65,300		4,158,304

Industry Company	Shares		Value
Multiline Retail (continued)
Macy’s, Inc.		69,100		$ 2,373,585
				6,531,889
Oil, Gas & Consumable Fuels - 5.64%
Chevron Corp.		23,300		2,458,150
HollyFrontier Corp.		67,600		2,395,068	��
Stone Energy Corp.*		81,200		2,057,608
Valero Energy Corp.		32,500		784,875
Whiting Petroleum Corp.*		45,600		1,875,072
Williams Cos., Inc. (The)		71,300		2,054,866
				11,625,639
Paper & Forest Products - 1.30%
PH Glatfelter Co.		163,400		2,674,858
Pharmaceuticals - 0.35%
Warner Chilcot PLC, Class A*		40,400		723,968
Real Estate Investment Trusts (REITs) - 2.49%
BioMed Realty Trust, Inc.		130,600		2,439,608
Weingarten Realty Investors		101,700		2,678,778
				5,118,386
Road & Rail - 2.61%
Amerco, Inc.		8,800		791,736
CSX Corp.		110,500		2,470,780
RailAmerica, Inc.*		87,417		2,115,492
				5,378,008
Semiconductors & Semiconductor Equipment - 1.56%
Cirrus Logic, Inc.*		107,400		3,209,112
Software - 1.25%
Oracle Corp.		86,600		2,572,020
Specialty Retail - 7.74%
Advance Auto Parts, Inc.		33,200		2,264,904
Cabela’s, Inc.*		61,500		2,325,315
Genesco, Inc.*		40,400		2,430,060
GNC Holdings, Inc., Class A		54,100		2,120,720
Limited Brands, Inc.		47,300		2,011,669
O’Reilly Automotive, Inc.*		28,900		2,420,953
Rent-A-Center, Inc.		70,500		2,378,670
				15,952,291
Textiles, Apparel & Luxury Goods - 1.22%
VF Corp.		18,900		2,522,205

  13 Annual Report | June 30, 2012  

Bridgeway Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company		Shares	Value
Common Stocks (continued)
Trading Companies & Distributors - 2.69%
United Rentals, Inc.*		98,959	$	3,368,564
W.W. Grainger, Inc.		11,400		2,180,136
				5,548,700
Wireless Telecommunication Services - 1.93%
Crown Castle International Corp.*		34,400		2,017,904
SK Telecom Co., Ltd. - ADR		161,800		1,957,780
				3,975,684
TOTAL COMMON STOCKS - 99.40%				204,772,043
(Cost $196,013,698)
	Rate^	Shares	Value
MONEY MARKET FUND - 2.45%
BlackRock FedFund	0.01%	5,055,748		5,055,748
TOTAL MONEY MARKET FUND - 2.45%				5,055,748
(Cost $5,055,748)
TOTAL INVESTMENTS - 101.85% (Cost $201,069,446)			$	209,827,791
Liabilities in Excess of Other Assets - (1.85%)				(3,817,906	)
NET ASSETS - 100.00%			$	206,009,885
*     Non-income producing security. #    Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $560,800. ^    Rate disclosed as of June 30, 2012. +    This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $2,632,710 at June 30, 2012. ADR - American Depositary Receipt PLC - Public Limited Company

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	204,772,043	$	—	$	—	$	204,772,043
Money Market Fund		—		5,055,748		—		5,055,748
TOTAL	$	204,772,043	$	5,055,748	$	—	$	209,827,791

See Notes to Financial Statements.

  www.bridgeway.com 14

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

June 30, 2012

Dear Fellow Ultra-Small Company Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 6.55%, trailing our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-2.01%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-4.15%), the Russell Microcap Index (-1.98%) and the Russell 2000 Index (-3.47%). It was a quarter that contained the fourth high correlation spike since 2008 (see page 3 for a fuller explanation), an environment generally unfavorable to our Fund’s performance.

For the fiscal year ended June 30, 2012, our Fund declined 5.41%, trailing our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-0.85%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-2.53%), the Russell Microcap Index (-0.54%) and the Russell 2000 Index (-2.08%). In spite of two strong quarters (December 2011 and March 2012), the two high correlation spikes (September 2011 and June 2012) of the fiscal year put us strongly “in the red” for the period. For reasons outlined on page 3, proactive steps on our part make us more optimistic about negotiating high correlation spikes in the future, should they continue.

The table below presents our June quarter, one-year, five-year, ten-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

					Annualized
	Quarter		1 Year		5 Years		10 Years		Since Inception  (8/5/94)
Ultra-Small Company Fund		-6.55%		-5.41%		-2.61%		9.93%	14.74%
CRSP Cap-Based Portfolio 10 Index		-2.01%		-0.85%		0.97%		11.61%	11.86%
Russell Microcap Index		-1.98%		-0.54%		-2.19%		5.89%	N/A
Russell 2000 Index		-3.47%		-2.08%		0.54%		7.00%	8.29%
Lipper Micro-Cap Stock Funds Index		-4.15%		-2.53%		-0.78%		6.47%	N/A

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,131 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Ultra-Small Company Fund ranked 60th of 76 micro-cap funds for the twelve months ending June 30, 2012, 49th of 60 over the last five years, 2nd of 42 over the last ten years, and 1st of 9 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.

  15 Annual Report | June 30, 2012  

Ultra-Small Company Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Ultra-Small Company Fund vs. CRSP Cap-Based Portfolio 10 Index, Russell Microcap Index**, Russell 2000 Index & Lipper Micro-Cap Stock Funds Index* from Inception 8/5/94 to 6/30/12

* The Lipper Micro-Cap Stock Funds Index began on 12/31/1995, and the line graph for the Index begins at the same value as the Fund on that date.

** The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date.

Detailed Explanation of Quarterly Performance

The Short Version: Our Fund performed poorly in the fourth high correlation spike of the last four years. Note there have only been three other high correlation spikes in the six+ decades preceding.

The table below presents index performance numbers of stocks by size for different time periods. It indicates that even though the returns were negative in all deciles, we had a nice tailwind to ride in the quarter ended June 30, 2012 as the 10th decile outperformed all other size stocks.

CRSP Decile1	Quarter		1 Year		5 Years		10 Years		86.5 Years
1 (ultra-large)		-2.27%		7.66%		0.49%		4.81%		9.09%
2		-4.61%		-0.15%		0.68%		8.05%		10.39%
3		-6.33%		-4.40%		0.89%		8.12%		10.77%
4		-6.85%		-3.88%		2.02%		8.92%		10.73%
5		-5.81%		-6.10%		2.84%		9.84%		11.27%
6		-5.24%		-1.48%		1.77%		8.45%		11.25%
7		-4.02%		-1.88%		3.09%		9.34%		11.25%
8		-5.21%		-2.22%		2.93%		9.69%		11.45%
9		-4.13%		-2.88%		1.61%		8.31%		11.46%
10 (ultra-small)		-2.01%		-0.85%		0.97%		11.61%		13.02%

¹  Performance figures are as of the period ended June 30, 2012. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

Our June quarter underperformance was broad based across sector, model, size, and valuation. The high correlation spike unquestionably affected Fund returns. On an encouraging note, our models continued to pick companies that showed improving corporate level economic health. However, companies that surprised Wall Street to the upside were rewarded little, while those surprising analysts on the downside were relatively hammered. Since we now have four high correlation spikes in our

  www.bridgeway.com 16

Ultra-Small Company Fund MANAGER’S COMMENTARY (Unaudited) (continued)

calibration database, we believe our models will negotiate these better in the future, should they continue. Eventually, however, we believe investors will get back to focusing on individual company health as a driver of stock price, fostering an environment that has been historically much friendlier to our Fund’s returns.

Detailed Explanation of Fiscal Year Performance

The Short Version: Much like the quarter, two high correlation spikes took their toll, in spite of two other strong quarters (December 2011 and March 2012).

As in the latest quarter, poor performing stocks were represented in a broad based fashion across the Information Technology, Industrials, Financials and Energy sectors. Strong stock picking in the Consumer Discretionary sector was not enough to offset the other sectors, however. Generally speaking, our higher risk stocks predictably did the most damage.

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net  Assets
1	Smith & Wesson Holding Corp.	Leisure Equipment & Products		2.0	%
2	Homeowners Choice, Inc.	Insurance		1.3	%
3	Metropolitan Health Networks, Inc.	Health Care Providers & Services		1.3	%
4	Fiesta Restaurant Group, Inc.	Hotels, Restaurants & Leisure		1.3	%
5	Multimedia Games Holding Co., Inc.	Hotels, Restaurants & Leisure		1.2	%
6	TGC Industries, Inc.	Energy Equipment & Services		1.2	%
7	Cambrex Corp.	Life Sciences Tools & Services		1.2	%
8	Aceto Corp.	Trading Companies & Distributors		1.1	%
9	Carmike Cinemas, Inc.	Media		1.1	%
10	On Assignment, Inc.	Professional Services		1.1	%
	Total			12.8	%

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of CRSP 10 Index		Difference
Consumer Discretionary		24.0%		15.2%		8.8%
Consumer Staples		2.6%		3.0%		-0.4%
Energy		4.7%		5.7%		-1.0%
Financials		21.7%		25.1%		-3.4%
Health Care		8.8%		18.2%		-9.4%
Industrials		15.3%		11.8%		3.5%
Information Technology		11.7%		15.3%		-3.6%
Materials		4.9%		2.8%		2.1%
Telecommunication Services		2.0%		1.4%		0.6%
Utilities		0.0%		1.5%		-1.5%
Cash & Other Assets		4.3%		0.0%		4.3%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or

  17 Annual Report | June 30, 2012  

Ultra-Small Company Fund MANAGER’S COMMENTARY (Unaudited) (continued)

unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.

Conclusion

Ultra-Small Company Fund remains closed to new investors. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  www.bridgeway.com 18

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 95.78%
Aerospace & Defense - 1.56%
Astronics Corp.*		26,500	$	748,360
Astronics Corp., Class B*		2,650		70,278
EDAC Technologies Corp.*+		18,600		209,808
GenCorp, Inc.*		37,100		241,521
GeoEye, Inc.*		9,400		145,512
Sypris Solutions, Inc.		24,900		173,553
				1,589,032
Air Freight & Logistics - 1.95%
Air Transport Services Group, Inc.*		40,900		212,680
Echo Global Logistics, Inc.*+		5,800		110,548
Pacer International, Inc.*		135,800		736,036
Park-Ohio Holdings Corp.*		49,000		932,470
				1,991,734
Airlines - 0.74%
Hawaiian Holdings, Inc.*		19,900		129,549
Republic Airways Holdings, Inc.*		112,500		624,375
				753,924
Auto Components - 1.45%
American Axle & Manufacturing Holdings, Inc.*		17,600		184,624
Shiloh Industries, Inc.		9,300		106,950
Spartan Motors, Inc.		37,300		195,452
Stoneridge, Inc.*		103,900		707,559
Tower International, Inc.*		27,200		285,600
Williams Controls, Inc.		214		2,590
				1,482,775
Beverages - 0.07%
Reed’s, Inc.*		20,700		67,275
Biotechnology - 0.61%
China Biologic Products, Inc.*		6,900		64,653
Vanda Pharmaceuticals, Inc.*		126,500		556,600
				621,253
Building Products - 0.71%
Patrick Industries, Inc.*		55,752		710,838
PGT, Inc.*		6,000		18,180
				729,018
Capital Markets - 4.11%
Arlington Asset Investment Corp., Class A+		43,600		946,556

Industry Company	Shares		Value
Capital Markets (continued)
Calamos Asset
Management, Inc., Class A		80,100	$	917,145
Duff & Phelps Corp., Class A		7,300		105,850
Fidus Investment Corp.		34,300		520,331
Gladstone Capital Corp.		74,600		588,594
Gladstone Investment Corp.		52,500		387,975
Kohlberg Capital Corp.		100,000		726,000
				4,192,451
Chemicals - 3.13%
American Vanguard Corp.		11,000		292,490
Arabian American Development Co.*+		65,100		630,819
Core Molding Technologies, Inc.*		14,800		121,952
Innospec, Inc.*		9,400		278,334
Landec Corp.*		79,800		683,088
Material Sciences Corp.*		33,800		277,160
Penford Corp.*		6,900		61,755
Spartech Corp.*		146,000		754,820
TPC Group, Inc.*		2,700		99,765
				3,200,183
Commercial Banks - 6.40%
Access National Corp.+		9,800		128,380
American National Bankshares, Inc.		19,000		447,640
Ameris Bancorp*		58,800		740,880
BancFirst Corp.		4,900		205,359
Bancorp, Inc. (The)*		13,300		125,685
C&F Financial Corp.+		4,800		192,768
Enterprise Bancorp, Inc.+		5,900		96,701
Enterprise Financial Services Corp.		6,600		72,336
Farmers Capital Bank Corp.*		20,000		131,400
Fidelity Southern Corp.+		19,688		170,104
German American Bancorp, Inc.+		18,600		381,300
Guaranty Bancorp*		99,500		209,945
Heritage Financial Corp.		30,200		442,430
Horizon Bancorp+		8,700		228,810
MainSource Financial Group, Inc.		26,600		314,678
Mercantile Bank Corp.*		20,900		385,605
Metro Bancorp, Inc.*		38,700		465,561
MetroCorp Bancshares, Inc.*		16,000		170,720
OmniAmerican Bancorp, Inc.*		28,300		606,469

  19 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Pacific Mercantile Bancorp*+		25,000	$	172,750
Renasant Corp.		13,700		215,227
Taylor Capital Group, Inc.*+		17,500		286,825
Trico Bancshares		22,000		338,800
				6,530,373
Commercial Services & Supplies - 1.73%
Asset Acceptance Capital Corp.*+		40,800		277,440
Ceco Environmental Corp.		12,700		100,330
Cenveo, Inc.*+		142,900		275,797
Consolidated Graphics, Inc.*		4,700		136,535
Courier Corp.		42,700		565,775
Intersections, Inc.		11,700		185,445
TRC Cos., Inc.*		37,800		229,824
				1,771,146
Communications Equipment - 3.22%
CalAmp Corp.*		115,600		847,348
Globecomm Systems, Inc.*		7,500		76,050
Ituran Location & Control, Ltd.		14,500		159,065
Sierra Wireless, Inc.*		87,600		791,028
Tessco Technologies, Inc.		49,100		1,082,655
UTStarcom Holdings Corp.*		281,400		334,866
				3,291,012
Computers & Peripherals - 0.32%
Hutchinson Technology, Inc.*+		126,700		184,982
Smart Technologies, Inc., Class A*		76,200		138,684
				323,666
Construction & Engineering - 1.27%
Argan, Inc.		22,800		318,744
Dycom Industries, Inc.*		10,800		200,988
Goldfield Corp. (The)*		58,600		133,608
Michael Baker Corp.*		19,000		495,710
Pike Electric Corp.*		19,300		148,996
				1,298,046
Consumer Finance - 0.71%
CompuCredit Holdings Corp.*		200,000		724,000
Containers & Packaging - 0.14%
Myers Industries, Inc.		8,200		140,712
Distributors - 0.33%
Core-Mark Holding Co., Inc.		4,300		207,002

Industry Company	Shares		Value
Distributors (continued)
VOXX International Corp.*		13,500		$   125,820
				332,822
Diversified Consumer Services - 0.91%
Carriage Services, Inc.		36,100		300,352
Corinthian Colleges, Inc.*		196,200		567,018
Lincoln Educational Services Corp.		10,100		65,650
				933,020
Diversified Financial Services - 0.59%
Gain Capital Holdings, Inc.+		57,000		284,430
Interactive Brokers Group, Inc., Class A		10,900		160,448
MicroFinancial, Inc.		19,100		154,710
				599,588
Diversified Telecommunication Services - 1.98%
Fairpoint Communications, Inc.*+		175,000		1,076,250
Hawaiian Telcom Holdco, Inc.*+		32,200		628,222
IDT Corp., Class B		7,700		75,537
Nortel Inversora SA - ADR Preferred B		5,800		90,596
Vonage Holdings Corp.*		74,000		148,740
				2,019,345
Electrical Equipment - 0.35%
Allied Motion Technologies, Inc.		30,000		180,000
Magnetek, Inc.*		11,700		180,648
				360,648
Electronic Equipment, Instruments & Components - 2.83%
Brightpoint, Inc.*		29,500		159,595
Insight Enterprises, Inc.*		19,900		334,917
Key Tronic Corp.*		88,500		729,240
LoJack Corp.*		67,305		203,261
Netlist, Inc.*		225,700		510,082
PAR Technology Corp.*		18,400		90,712
PC Connection, Inc.		48,500		515,070
SMTC Corp.*		3,300		10,791
Viasystems Group, Inc.*		11,200		190,400
Zygo Corp.*		7,900		141,094
				2,885,162
Energy Equipment & Services - 1.91%
Forbes Energy Services, Ltd.*		46,700		219,490
Global Geophysical Services, Inc.*		24,000		146,880

  www.bridgeway.com 20

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Energy Equipment & Services (continued)
PHI, Inc.*		5,400		$  150,174
Pioneer Drilling Co.*		25,800		205,626
TGC Industries, Inc.*		126,780		1,231,034
				1,953,204
Food & Staples Retailing - 1.04%
Ingles Markets, Inc., Class A		6,200		99,386
Pantry, Inc. (The)*		7,000		102,900
Spartan Stores, Inc.		6,000		108,780
Susser Holdings Corp.*		20,100		747,117
				1,058,183
Food Products - 1.35%
Alico, Inc.		15,400		470,316
Inventure Foods, Inc.*		11,000		69,300
John B. Sanfilippo & Son, Inc.*		38,300		683,655
Smart Balance, Inc.*		17,000		159,630
				1,382,901
Health Care Equipment & Supplies - 1.71%
Fonar Corp.*+		46,600		191,526
IRIS International, Inc.*		50,300		568,390
Orthofix International NV*		2,700		111,375
PhotoMedex, Inc.*+		72,000		874,800
				1,746,091
Health Care Providers & Services - 4.61%
Advocat, Inc.		8,300		53,120
Ensign Group, Inc. (The)		13,400		378,818
Five Star Quality Care, Inc.*		205,400		630,578
Kindred Healthcare, Inc.*		17,400		171,042
LCA-Vision, Inc.*		195,200		839,360
Metropolitan Health Networks, Inc.*		139,600		1,335,972
Providence Service Corp. (The)*		62,700		859,617
Skilled Healthcare Group, Inc., Class A*		24,900		156,372
Sunrise Senior Living, Inc.*+		21,800		158,922
Triple-S Management Corp., Class B*		6,800		124,304
				4,708,105
Hotels, Restaurants & Leisure - 8.32%
Ameristar Casinos, Inc.		11,100		197,247
Caribou Coffee Co., Inc.*		55,800		720,378
Carrols Restaurant Group, Inc.*		104,040	��	617,998
CEC Entertainment, Inc.		3,300		120,021

Industry Company	Shares		Value
Hotels, Restaurants & Leisure (continued)
Einstein Noah Restaurant Group, Inc.		14,100	$	247,596
Fiesta Restaurant Group, Inc.*		100,000		1,323,000
Frisch’s Restaurants, Inc.		10,700		303,238
Isle of Capri Casinos, Inc.*		94,400		582,448
Kona Grill, Inc.*		20,000		180,400
Luby’s, Inc.*		35,700		239,190
Marcus Corp.		8,700		119,712
MTR Gaming Group, Inc.*		63,900		303,525
Multimedia Games Holding Co., Inc.*		88,800		1,243,200
Papa John’s International, Inc.*		3,300		156,981
Red Robin Gourmet Burgers, Inc.*		3,500		106,785
Ruth’s Hospitality Group, Inc.*		134,100		885,060
Sonic Corp.*		28,500		285,570
Town Sports International Holdings, Inc.*#		64,800		861,192
				8,493,541
Household Durables - 1.06%
Flexsteel Industries, Inc.		11,800		233,404
Libbey, Inc.*		10,600		162,922
Lifetime Brands, Inc.		22,900		285,563
Sealy Corp.*+		216,800		401,080
				1,082,969
Insurance - 2.87%
Eastern Insurance Holdings, Inc.+		10,300		175,100
Flagstone Reinsurance Holdings SA		15,000		120,150
Hallmark Financial Services, Inc.*		46,100		359,580
Homeowners Choice, Inc.		78,200		1,376,320
Independence Holding Co.		9,200		90,620
Maiden Holdings, Ltd.		16,400		142,352
United Fire Group, Inc.		10,700		228,231
Universal Insurance Holdings, Inc.		130,000		443,300
				2,935,653
Internet & Catalog Retail - 0.74%
1-800-Flowers.com, Inc., Class A*		183,500		640,415
Nutrisystem, Inc.		9,600		110,976
				751,391

  21 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Internet Software & Services - 0.51%
Internet Initiative Japan, Inc. - Sponsored ADR		9,100		$      95,095
Ipass, Inc.*		180,200		428,876
				523,971
IT Services - 2.36%
Computer Task Group, Inc.*		43,300		649,067
Hackett Group, Inc. (The)*		145,700		811,549
Heartland Payment Systems, Inc.		7,500		225,600
Innodata, Inc.*+		22,300		152,532
LML Payment Systems, Inc.*		56,000		106,960
NCI, Inc., Class A*		10,900		44,145
Pfsweb, Inc.*		60,200		170,968
Unisys Corp.*		12,500		244,375
				2,405,196
Leisure Equipment & Products - 3.37%
Arctic Cat, Inc.*		3,900		142,584
LeapFrog Enterprises, Inc.*		29,600		303,696
Nautilus, Inc.*		188,800		624,928
Smith & Wesson Holding Corp.*		250,800		2,084,148
Sturm Ruger & Co., Inc.+		7,200		289,080
				3,444,436
Life Sciences Tools & Services - 1.18%
Cambrex Corp.*		128,000		1,204,480
Machinery - 1.18%
Alamo Group, Inc.		10,400		326,248
Briggs & Stratton Corp.		8,300		145,167
Manitex International, Inc.*		63,200		530,880
Trimas Corp.*		9,500		190,950
Xerium Technologies, Inc.*		4,200		12,180
				1,205,425
Marine - 0.09%
Seanergy Maritime Holdings Corp.*		40,000		88,400
Media - 4.66%
Ballantyne Strong, Inc.*		67,300		401,781
Beasley Broadcasting Group, Inc., Class A*		5,100		30,039
Carmike Cinemas, Inc.*		74,600		1,092,890
Dex One Corp.*		670,000		626,450
Entercom Communications Corp., Class A*		85,100		512,302
Lee Enterprises, Inc.*		354,800		574,776
LIN TV Corp., Class A*		117,400		354,548

Industry Company	Shares		Value
Media (continued)
Saga Communications, Inc., Class A*		5,100	$	189,261
Salem Communications Corp., Class A		78,700		430,489
Sinclair Broadcast Group, Inc., Class A		18,800		170,328
Spanish Broadcasting System, Inc., Class A*		27,500		111,650
SuperMedia, Inc.*+		105,000		262,500
				4,757,014
Metals & Mining - 0.96%
Friedman Industries, Inc.		23,700		241,029
Handy & Harman, Ltd.*		55,000		741,400
				982,429
Multiline Retail - 0.18%
Bon-Ton Stores, Inc. (The)		24,200		189,002
Oil, Gas & Consumable Fuels - 2.97%
Adams Resources & Energy, Inc.		25,400		1,064,768
Alon USA Energy, Inc.		20,000		169,200
ATP Oil & Gas Corp.*+		16,000		54,080
BioFuel Energy Corp.*		1,100		3,916
Double Eagle Petroleum Co.*		28,142		123,262
Green Plains Renewable Energy, Inc.*+		87,059		543,248
Patriot Coal Corp.*		401,000		489,220
REX American Resources Corp.*		7,100		138,592
Verenium Corp.*		57,600		180,288
Westmoreland Coal Co.*		32,600		262,430
				3,029,004
Paper & Forest Products - 0.46%
Mercer International, Inc.*		18,000		102,780
Neenah Paper, Inc.		7,900		210,851
Orient Paper, Inc.		60,400		158,248
				471,879
Personal Products - 0.15%
Cyanotech Corp.*		4,737		32,780
Nature’s Sunshine Products, Inc.+		8,100		122,310
				155,090
Pharmaceuticals - 0.69%
Pozen, Inc.*		112,600		702,624

  www.bridgeway.com 22

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Professional Services - 2.23%
Barrett Business Services, Inc.		29,300		$  619,402
CDI Corp.		11,400		186,960
ICF International, Inc.*		8,600		205,024
Insperity, Inc.		6,700		181,235
On Assignment, Inc.*		68,000		1,085,280
				2,277,901
Real Estate Investment Trusts (REITs) - 4.38%
Agree Realty Corp.		26,160		578,921
ARMOUR Residential REIT, Inc.+		31,300		222,543
Capital Trust, Inc., Class A*		110,300		317,664
Gramercy Capital Corp.*		268,600		671,500
MPG Office Trust, Inc.*+		283,700		570,237
One Liberty Properties, Inc.		41,700		785,211
RAIT Financial Trust+		26,633		123,044
Retail Opportunity Investments Corp.+		21,700		261,702
Sabra Health Care REIT, Inc.		6,700		114,637
Winthrop Realty Trust		67,900		825,664
				4,471,123
Real Estate Management & Development - 0.46%
AV Homes, Inc.*		25,800		376,164
IRSA Inversiones y Representaciones SA - Sponsored ADR		12,800		90,752
				466,916
Road & Rail - 1.62%
Celadon Group, Inc.		15,200		248,976
Quality Distribution, Inc.*		52,800		585,552
Saia, Inc.*		37,300		816,497
				1,651,025
Semiconductors & Semiconductor Equipment - 1.05%
Actions Semiconductor Co., Ltd. - ADR*		58,000		98,600
FSI International, Inc.*		28,041		100,667
Mattson Technology, Inc.*		394,600		690,550
Photronics, Inc.*		29,900		182,390
				1,072,207
Software - 1.43%
Cinedigm Digital Cinema Corp., Class A*		50,700		76,050
ePlus, Inc.*		15,700		507,895
QAD, Inc., Class A		13,400		190,548
QAD, Inc., Class B		15,000		204,150

Industry Company	Shares		Value
Software (continued)
Top Image Systems, Ltd.*+		110,000		$      485,100
				1,463,743
Specialty Retail - 2.38%
America’s Car-Mart, Inc.*		3,200		124,320
Conn’s, Inc.*+		62,000		917,600
Haverty Furniture Cos., Inc.		17,400		194,358
hhgregg, Inc.*+		6,700		75,777
Lithia Motors, Inc., Class A		5,900		135,995
TravelCenters of America LLC*		150,200		761,514
West Marine, Inc.*		19,100		224,425
				2,433,989
Textiles, Apparel & Luxury Goods - 0.62%
Culp, Inc.		10,400		106,600
DGSE Cos., Inc.*D		14,900		65,173
Movado Group, Inc.		8,300		207,666
Oxford Industries, Inc.		5,600		250,320
				629,759
Thrifts & Mortgage Finance - 2.59%
BofI Holding, Inc.*		29,300		578,968
Doral Financial Corp.*		529,000		793,500
First Defiance Financial Corp.		11,600		198,592
First Financial Holdings, Inc.		52,800		566,016
Meta Financial Group, Inc.		4,200		83,706
Provident Financial Holdings, Inc.		16,400		189,092
United Community Financial Corp.*		9,344		27,845
ViewPoint Financial Group, Inc.		13,400		209,576
				2,647,295
Trading Companies & Distributors - 1.54%
Aceto Corp.		122,000		1,101,660
DXP Enterprises, Inc.*		11,400		472,986
				1,574,646
TOTAL COMMON STOCKS - 95.78% (Cost $87,672,632)				97,796,777

  23 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

		Rate^	Shares	Value
MONEY MARKET FUND - 5.94%
BlackRock FedFund		0.01%	6,064,304		$6,064,304
TOTAL MONEY MARKET FUND - 5.94%					6,064,304
(Cost $6,064,304)
TOTAL INVESTMENTS - 101.72%					$103,861,081
(Cost $93,736,936)
Liabilities in Excess of Other Assets - (1.72%)					(1,751,470	)
NET ASSETS - 100.00%					$102,109,611
*        Non-income producing security.
#       Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $398,700.
^       Rate disclosed as of June 30, 2012.
D      Security was fair valued under procedures adopted by the Board of Directors (see Note 2).
+      This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $9,775,783 at June 30, 2012.
ADR - American Depositary Receipt
LLC - Limited Liability Company
Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices	Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs	Total
Common Stocks	$97,731,604	$             —	$    65,173		$  97,796,777
Money Market Fund	—	6,064,304	—		6,064,304
TOTAL	$97,731,604	$6,064,304	$    65,173		$103,861,081

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Investment in Securities (Value)
	Common Stocks		Total
Balance as of 06/30/2011		$  124,650		$  124,650
Purchases		102,841		102,841
Sales		(25,506)		(25,506)
Realized gain/(loss)1		(254,813)		(254,813)
Change in unrealized appreciation/ (depreciation)2		109,445		109,445
Transfers in3,4		8,556		8,556
Transfers out		—		—
Balance as of 06/30/2012		$    65,173		$    65,173
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/20122		$  (46,194)		$  (46,194)

¹Realized gain/(loss) from Level 3 securities is included on the Statement of Operations in the Realized Gain (Loss) on Investments.

²Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statement of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.

³Transfers in represent the value as of the beginning of the reporting period, for any investment security where significant transfers in the pricing level occurred during the period. The purchase value is used in situations where the investment was not held as of the beginning of the period.

⁴Transfers in took place as a result of trading halts.

The security in the table above was considered a Level 3 security because it was fair valued under procedures adopted by the Board of Directors at June 30, 2012. Such valuation is based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.

See Notes to Financial Statements.

  www.bridgeway.com 24

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

June 30, 2012

Dear Fellow Ultra-Small Company Market Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 1.81%, outperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-2.01%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-4.15%), the Russell Microcap Index (-1.98%), and the Russell 2000 Index (-3.47%). It was a clean sweep, and we were pleased to provide some “cushion” in a down market.

For the fiscal year ended June 30, 2012, our Fund appreciated 1.05%, outperforming each of our performance benchmarks, none of which had a positive return: our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (-0.85%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (-2.53%), the Russell Microcap Index (-0.54%), and the Russell 2000 Index (-2.08%). Due largely to a single year’s performance in the “junk rally” and penny stock explosion of 2009, we still trail our primary market benchmark for the longer five- and ten-year periods. We trail the “CRSP 10” index since inception by an amount smaller than our expense ratio, which means that we have reasonably captured our asset class return over the nearly fifteen-year life of our Fund, but with less risk.

The table below presents our June quarter, one-year, five-year, ten-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

					Annualized
	Quarter		1 Year		5 Years		10 Years		Since Inception  (7/31/97)
Ultra-Small Company Market Fund		-1.81%		1.05%		-1.94%		8.53%	9.70%
CRSP Cap-Based Portfolio 10 Index		-2.01%		-0.85%		0.97%		11.61%	10.27%
Russell Microcap Index		-1.98%		-0.54%		-2.19%		5.89%	N/A
Russell 2000 Index		-3.47%		-2.08%		0.54%		7.00%	5.85%
Lipper Micro-Cap Stock Funds Index		-4.15%		-2.53%		-0.78%		6.47%	6.34%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above and the graph below include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,131 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Ultra-Small Company Market Fund ranked 18th of 76 micro-cap funds for the twelve months ending June 30, 2012, 41st of 60 over the last five years, 9th of 42 over the last ten years, and 7th of 22 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.

  25 Annual Report | June 30, 2012  

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

Ultra-Small Company Market Fund vs. CRSP Cap-Based Portfolio 10 Index, Russell Microcap Index*,

Russell 2000 Index & Lipper Micro-Cap Stock Funds Index      from Inception 7/31/97 to 6/30/12

*   The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date.

Detailed Explanation of Quarterly Performance:

The Short Version:    Ultra-small stocks performed better than any other size stocks for the quarter, with Consumer Staples and Financial stocks leading the way.

Since we are committed to investing long term in smaller stocks than the vast majority of small-cap mutual funds, a primary determinant of our performance relative to most other funds is the size of the companies in which we invest. Our investment strategy is to approximate the long-term returns of the CRSP Cap-Based Portfolio 10 Index of ultra-small companies by investing in a representative sample of ultra-small stocks. As shown in the table below, even though the returns were negative in all deciles, we had a nice tailwind to ride in the quarter ended June 30, 2012 as the 10th decile outperformed all other size stocks. As would be true in a majority of market declines, and indeed in all six calendar year bear markets for ultra-small stocks since the Fund’s inception, our sidestepping models helped provide some “cushion.”

CRSP Decile1	Quarter		1 Year		5 Years		10 Years		86.5 Years
1 (ultra-large)		-2.27%		7.66%		0.49%		4.81%		9.09%
2		-4.61%		-0.15%		0.68%		8.05%		10.39%
3		-6.33%		-4.40%		0.89%		8.12%		10.77%
4		-6.85%		-3.88%		2.02%		8.92%		10.73%
5		-5.81%		-6.10%		2.84%		9.84%		11.27%
6		-5.24%		-1.48%		1.77%		8.45%		11.25%
7		-4.02%		-1.88%		3.09%		9.34%		11.25%
8		-5.21%		-2.22%		2.93%		9.96%		11.45%
9		-4.13%		-2.88%		1.61%		8.31%		11.46%
10 (ultra-small)		-2.01%		-0.85%		0.97%		11.61%		13.02%

¹  Performance figures are as of the period ended June 30, 2012. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

  www.bridgeway.com 26

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

The Fund’s sector allocation was very much in line with the Index for the period, with only two sectors differing as much as one percent. Consumer Staples and Financials were the only sectors that produced positive overall returns in the ultra-small universe for the quarter.

Detailed Explanation of Fiscal Year Performance

The Short Version:  Ultra-small stocks showed off their diversifying advantages in the recent fiscal year. The Financials sector comprised 26% of Fund net assets at fiscal year end and added the most to Fund performance for the fiscal year.

For the fiscal year ended June 30, 2012, ultra-small stocks outperformed all deciles, with the exception of the 1st and 2nd deciles — demonstrating some of the nice diversifying characteristics of ultra-small stocks. It’s interesting to think about the dynamics of this. Investors flocked to the perceived safety of ultra-large stocks — no surprise. But why did ultra-small stocks not experience the relative pounding of mid- and small-cap stocks? We believe they are generally “off the radar screen” of large institutions that make big shifts in asset allocation, such as happened significantly during our fiscal year. Generally, ultra-small stocks are more — not less — risky than small- and mid-cap stocks. Yet sometimes they are “left alone” in downturns (declining less), adding significant diversification to a multi-asset class portfolio. This we know well from history. The exact reason for this statistical diversification is harder to pinpoint. In fairness, our diversifying aspects work both ways, sometimes helping, sometimes hurting absolute Fund performance. But our conservative “side-stepping models” have done a great job of providing some cushion for our asset class in downturns.

This size effect in the fiscal year helped our performance a great deal in comparison to other small-cap and mid-cap funds. Much like the quarter, the Fund’s sector allocation was right on target with the index; no sector differed by even one percent. The Financials sector was the strongest performing sector for the fiscal year, adding three percent to the Fund’s return, even though no financial stocks were among our best performers for the year.

Top Ten Holdings as of June 30, 2012

Rank Description		Industry	% of Net   Assets
1	Federal Agricultural Mortgage Corp.	Thrifts & Mortgage Finance		0.9%
2	AEP Industries, Inc.	Containers & Packaging		0.8%
3	Susser Holdings Corp.	Food & Staples Retailing		0.6%
4	Mitcham Industries, Inc.	Energy Equipment & Services		0.6%
5	Famous Dave’s of America, Inc.	Hotels, Restaurants & Leisure		0.6%
6	Spartan Motors, Inc.	Auto Components		0.6%
7	Metropolitan Health Networks, Inc.	Health Care Providers & Services		0.6%
8	AuthenTec, Inc.	Semiconductors & Semiconductor Equipment		0.6%
9	Intersections, Inc.	Commercial Services & Supplies		0.6%
10	Lifeway Foods, Inc.	Food Products		0.5%
	Total			6.4%

  27 Annual Report | June 30, 2012  

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

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of CRSP 10 Index		Difference
Consumer Discretionary		15.9%		15.2%		0.7%
Consumer Staples		3.7%		3.0%		0.7%
Energy		5.5%		5.7%		-0.2%
Financials		26.0%		25.1%		0.9%
Health Care		17.6%		18.2%		-0.6%
Industrials		11.7%		11.8%		-0.1%
Information Technology		14.6%		15.3%		-0.7%
Materials		2.9%		2.8%		0.1%
Telecommunication Services		1.0%		1.4%		-0.4%
Utilities		1.0%		1.5%		-0.5%
Cash & Other Assets		0.1%		0.0%		0.1%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management.  These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature.  Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated.  Security positions can and do change thereafter.  Discussions of historical performance do not guarantee and may not be indicative of future performance.

The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.

Conclusion

Thank you for your continued investment in Ultra-Small Company Market Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  www.bridgeway.com 28

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 99.34%
Aerospace & Defense - 1.03%
Astronics Corp.*		22,700		$   641,048
Astronics Corp., Class B*+		2,270		60,200
Ducommun, Inc.*		25,300		248,193
GenCorp, Inc.*		66,700		434,217
Innovative Solutions & Support, Inc.*		63,454		208,764
KEYW Holding Corp. (The)*+		90,100		904,604
Sparton Corp.*		63,300		626,670
				3,123,696
Air Freight & Logistics - 0.54%
Park-Ohio Holdings Corp.*		46,000		875,380
XPO Logistics, Inc.*		44,800		752,640
				1,628,020
Airlines - 0.11%
Republic Airways Holdings, Inc.*		62,204		345,232
Auto Components - 0.99%
Shiloh Industries, Inc.		39,600		455,400
SORL Auto Parts, Inc.*+		109,900		264,859
Spartan Motors, Inc.		334,600		1,753,304
Strattec Security Corp.		24,100		507,064
				2,980,627
Automobiles - 0.11%
Kandi Technolgies Corp.*+		103,000		318,270
Beverages - 0.24%
Craft Brew Alliance, Inc.*		89,100		728,838
Biotechnology - 6.42%
ACADIA Pharmaceuticals, Inc.*		188,000		330,880
ADVENTRX Pharmaceuticals, Inc.*		25,000		12,750
Affymax, Inc.*		15,140		195,003
Amicus Therapeutics, Inc.*+		115,991		637,951
Anacor Pharmaceuticals, Inc.*+		85,300		553,597
ArQule, Inc.*		131,300		778,609
Array BioPharma, Inc.*		152,400		528,828
Astex Pharmaceuticals*		274,600		573,914
BioCryst Pharmaceuticals, Inc.*		155,700		619,686
Biosante Pharmaceuticals, Inc.*		20,200		51,510
BioSpecifics Technologies Corp.*+		22,500		422,550
Biotime, Inc.*+		121,100		557,060

Industry Company	Shares		Value
Biotechnology (continued)
Celldex Therapeutics, Inc.*		71,400		$     370,566
Codexis, Inc.*		140,100		523,974
Curis, Inc.*+		247,600		1,337,040
Cytokinetics, Inc.*		321,800		206,113
Cytori Therapeutics, Inc.*+		183,300		494,910
Dusa Pharmaceuticals, Inc.*		181,000		944,820
Dyax Corp.*		194,000		413,220
Geron Corp.*		298,900		514,108
Infinity Pharmaceuticals, Inc.*+		56,200		762,072
Maxygen, Inc.*		49,850		297,106
Myrexis, Inc.*		98,700		257,607
Nabi Biopharmaceuticals*		107,400		169,692
Nanosphere, Inc.*		113,300		249,260
Novavax, Inc.*+		315,900		492,804
Oncothyreon, Inc.*+		124,300		581,724
Orexigen Therapeutics, Inc.*		75,000		415,500
Osiris Therapeutics, Inc.*+		80,200		879,794
PharmAthene, Inc.*+		153,826		213,818
Progenics Pharmaceuticals, Inc.*		72,400		708,072
Repligen Corp.*		99,100		426,130
Sangamo Biosciences, Inc.*+		89,158		492,152
Sciclone Pharmaceuticals, Inc.*		124,307		871,392
SIGA Technologies, Inc.*+		139,700		400,939
Synta Pharmaceuticals Corp.*+		142,500		779,475
Targacept, Inc.*		8,401		36,124
Trius Therapeutics, Inc.*+		46,700		268,992
Vanda Pharmaceuticals, Inc.*		70,000		308,000
XOMA Corp.*		120,000		360,000
Zalicus, Inc.*+		313,021		375,625
				19,413,367
Building Products - 0.56%
American Woodmark Corp.*		26,100		446,310
Builders FirstSource, Inc.*		173,300		821,442
Insteel Industries, Inc.		25,700		286,555
NCI Building Systems, Inc.*		3,608		39,074
US Home Systems, Inc.		10,025		101,754
				1,695,135
Capital Markets - 3.59%
Arlington Asset Investment Corp., Class A+		19,800		429,858
Calamos Asset Management, Inc., Class A		21,400		245,030

  29 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Capital Markets (continued)
Diamond Hill Investment Group, Inc.		5,600	$	438,424
Edelman Financial Group, Inc.		51,000		443,700
FBR & Co.*		123,300		341,541
Firstcity Financial Corp.*		18,842		162,983
Gladstone Capital Corp.+		76,600		604,374
Gladstone Investment Corp.		56,400		416,796
Gleacher & Co., Inc.*		98,392		78,714
Harris & Harris Group, Inc.*		96,800		367,840
HFF, Inc., Class A*		46,300		645,422
JMP Group, Inc.		81,100		501,198
Kohlberg Capital Corp.+		93,900		681,714
Ladenburg Thalmann Financial Services, Inc.*		493,000		759,220
Medallion Financial Corp.		86,711		920,871
Medley Capital Corp.		56,800		683,872
NGP Capital Resources Co.		70,400		498,432
Oppenheimer Holdings, Inc., Class A		19,300		303,396
Pzena Investment Management, Inc., Class A		52,800		233,904
SWS Group, Inc.*		83,000		442,390
TICC Capital Corp.		82,300		798,310
Westwood Holdings Group, Inc.		23,025		857,911
				10,855,900
Chemicals - 0.86%
Chase Corp.+		27,800		366,960
Core Molding Technologies, Inc.*		18,600		153,264
KMG Chemicals, Inc.		58,800		1,133,664
Landec Corp.*		109,200		934,752
				2,588,640
Commercial Banks - 12.03%
1st United Bancorp, Inc.*		58,900		365,769
Alliance Financial Corp.		25,000		858,500
American National Bankshares, Inc.		29,700		699,732
American River Bankshares*		37,800		275,184
Ameris Bancorp*		82,853		1,043,948
Arrow Financial Corp.+		16,686		403,301
Bancorp, Inc. (The)*		36,600		345,870
Bank of Commerce Holdings		41,100		167,688
Bank of Kentucky Financial Corp.		9,000		239,760
Bar Harbor Bankshares		6,000		216,000

Industry Company	Shares		Value
Commercial Banks (continued)
Berkshire Bancorp, Inc.*		34,000		$299,200
Bridge Bancorp, Inc.		25,400		599,186
Bryn Mawr Bank Corp.		41,724		879,125
C&F Financial Corp.+		6,300		253,008
Camden National Corp.		11,800		432,116
Capital City Bank Group, Inc.+		33,490		246,821
Center Bancorp, Inc.+		72,217		812,441
Centerstate Banks, Inc.		40,866		292,192
Century Bancorp, Inc., Class A		23,272		691,876
Citizens Holding Co.		20,670		387,976
CNB Financial Corp.		40,800		665,448
CoBiz Financial, Inc.		155,800		975,308
Enterprise Financial Services Corp.		85,700		939,272
Farmers Capital Bank Corp.*		67,149		441,169
Financial Institutions, Inc.		17,600		297,088
First Bancorp		30,000		266,700
First Bancorp, Inc.		33,300		566,100
First California Financial Group, Inc.*		98,100		674,928
First Community Bancshares, Inc.		35,000		505,050
First Connecticut Bancorp, Inc.+		36,400		491,400
First Merchants Corp.		36,711		457,419
First South Bancorp, Inc.*		14,300		57,915
German American Bancorp, Inc.+		39,500		809,750
Great Southern Bancorp, Inc.		17,161		473,300
Guaranty Bancorp*		204,200		430,862
Hampton Roads Bankshares, Inc.*+		85,300		92,977
Heritage Commerce Corp.*+		70,000		455,000
Heritage Financial Corp.		39,260		575,159
Intervest Bancshares Corp., Class A*		78,212		299,552
Lakeland Bancorp, Inc.		86,115		905,930
LNB Bancorp, Inc.		20,000		131,600
Macatawa Bank Corp.*		51,500		175,615
MainSource Financial Group, Inc.		40,500		479,115
Mercantile Bank Corp.*		25,000		461,250
Merchants Bancshares, Inc.		27,800		765,890
Metro Bancorp, Inc.*		40,600		488,418
MetroCorp Bancshares, Inc.*		16,607		177,197

  www.bridgeway.com 30

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company		Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
MidSouth Bancorp, Inc.			35,900		$    505,472
MidWestOne Financial Group, Inc.+			69,500		1,494,250
National Bankshares, Inc.+			14,300		430,716
NewBridge Bancorp*			28,287		123,897
Northrim BanCorp, Inc.			33,300		715,617
Ohio Valley Banc Corp.			19,500		381,225
OmniAmerican Bancorp, Inc.*			26,300		563,609
Pacific Continental Corp.			51,611		457,790
Park Sterling Corp.*			116,900		550,599
Peapack Gladstone Financial Corp.+			39,130		606,906
Penns Woods Bancorp, Inc.+			16,400		652,884
Peoples Bancorp, Inc.			28,400		624,232
Preferred Bank*+			33,120		442,483
QCR Holdings, Inc.			13,200		172,920
Republic First Bancorp, Inc.*			60,000		125,400
Seacoast Banking Corp. of Florida*			194,064		293,037
Shore Bancshares, Inc.			42,600		253,044
Sierra Bancorp			42,900		424,710
Southwest Bancorp, Inc.*			70,900		667,169
Sterling Bancorp			10,000		99,800
Suffolk Bancorp*			27,000		350,190
Taylor Capital Group, Inc.*+			25,908		424,632
Trico Bancshares			21,200		326,480
Univest Corp. of Pennsylvania			24,300		401,679
Virginia Commerce Bancorp, Inc.*			153,159		1,291,130
Washington Banking Co.			71,900		999,410
West Bancorporation, Inc.			27,100		257,721
Yadkin Valley Financial Corp.*			64,200		170,130
					36,376,237
Commercial Services & Supplies - 2.21%
A.T. Cross Co., Class A*			26,000		256,620
Acorn Energy, Inc.+			16,600		138,112
American Reprographics Co.*			73,300		368,699
Asset Acceptance Capital Corp.*			100,000		680,000
Asta Funding, Inc.			142,300		1,333,351
Casella Waste Systems, Inc., Class A*	��		115,700		676,845
Ceco Environmental Corp.			42,600		336,540
Courier Corp.			25,000		331,250

Industry Company	Shares		Value
Commercial Services & Supplies (continued)
Intersections, Inc.		106,184		$1,683,016
Kimball International, Inc., Class B		56,100		431,970
Metalico, Inc.*		110,800		243,760
TRC Cos., Inc.*		35,000		212,800
				6,692,963
Communications Equipment - 2.63%
Aviat Networks, Inc.*		221,000		618,800
Bel Fuse, Inc., Class B		25,100		442,011
CalAmp Corp.*		101,200		741,796
Communications Systems, Inc.		51,000		569,670
Emcore Corp.*+		97,127		429,301
Globecomm Systems, Inc.*		137,400		1,393,236
KVH Industries, Inc.*		60,410		755,125
Meru Networks, Inc.*		4,950		8,663
Network Engines, Inc.*		55,500		78,255
Numerex Corp., Class A*+		30,000		279,000
Opnext, Inc.*		60,000		75,600
PC-Tel, Inc.		85,600		553,832
Symmetricom, Inc.*		56,300		337,237
Telestone Technologies Corp.*+		94,100		160,911
Telular Corp.		57,900		534,996
Tessco Technologies, Inc.		23,500		518,175
Westell Technologies, Inc., Class A*		198,000		471,240
				7,967,848
Computers & Peripherals - 0.85%
Concurrent Computer Corp.*		105,300		436,995
Datalink Corp.*		54,800		523,340
Dot Hill Systems Corp.*		263,300		300,162
Immersion Corp.*		87,400		492,062
Novatel Wireless, Inc.*		146,800		365,532
Rimage Corp.		5,000		40,000
Transact Technologies, Inc.*		32,821		253,050
USA Technologies, Inc.*+		111,400		160,416
				2,571,557
Construction & Engineering - 0.94%
Argan, Inc.		44,700		624,906
Furmanite Corp.*		75,400		366,444
Michael Baker Corp.*		24,900		649,641
Orion Marine Group, Inc.*		63,300		440,568

  31 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Construction & Engineering (continued)
Sterling Construction Co., Inc.*		73,300		$   749,126
				2,830,685
Construction Materials - 0.08%
United States Lime & Minerals, Inc.*		5,300		247,351
Consumer Finance - 0.18%
CompuCredit Holdings Corp.*		65,000		235,300
First Marblehead Corp. (The)*		125,600		146,952
White River Capital, Inc.		7,000		157,710
				539,962
Containers & Packaging - 0.85%
AEP Industries, Inc.*		58,800		2,560,740
Distributors - 0.08%
Amcon Distributing Co.+		1,000		55,390
VOXX International Corp.*		20,001		186,409
				241,799
Diversified Consumer Services - 0.79%
Cambium Learning Group, Inc.*		58,715		55,779
Carriage Services, Inc.		81,100		674,752
Collectors Universe		69,460		1,019,673
Learning Tree International, Inc.*		38,500		168,245
Mac-Gray Corp.		33,300		469,197
				2,387,646
Diversified Financial Services - 0.47%
Gain Capital Holdings, Inc.+		61,700		307,883
Life Partners Holdings, Inc.		8,000		17,040
Marlin Business Services Corp.		28,300		463,837
Resource America, Inc., Class A		100,700		642,466
				1,431,226
Diversified Telecommunication Services - 0.96%
Hawaiian Telcom Holdco, Inc.*+		23,686		462,114
HickoryTech Corp.		43,495		483,230
IDT Corp., Class B		48,667		477,423
ORBCOMM, Inc.*		101,000		329,260
Otelco, Inc.+		28,600		206,206

Industry Company	Shares		Value
Diversified Telecommunication Services (continued)
Primus Telecommunications Group, Inc.+		35,000		$   544,950
Warwick Valley Telephone Co.		30,200		398,036
				2,901,219
Electrical Equipment - 0.53%
Coleman Cable, Inc.		77,000		669,130
LSI Industries, Inc.		70,500		501,960
Magnetek, Inc.*		10,000		154,400
Ocean Power Technologies, Inc.*+		38,000		79,040
PowerSecure International, Inc.*		7,100		35,358
SL Industries, Inc.*		13,200		174,108
				1,613,996
Electronic Equipment, Instruments & Components - 2.55%
Agilysys, Inc.*		60,100		521,067
Clearfield, Inc.*		57,000		274,170
Document Security Systems, Inc.*+		51,700		207,317
Echelon Corp.*		64,000		222,720
eMagin Corp.*		56,300		173,967
ID Systems, Inc.*		45,000		197,100
Identive Group, Inc.*		366,197		342,907
IEC Electronics Corp.*+		64,500		392,160
Iteris, Inc.*		126,700		169,778
Key Tronic Corp.*		24,200		199,408
LeCroy Corp.*		56,000		798,560
LoJack Corp.*		44,100		133,182
Mesa Laboratories, Inc.+		6,200		288,238
Netlist, Inc.*		63,100		142,606
PAR Technology Corp.*		17,800		87,754
PC Connection, Inc.		30,000		318,600
PC Mall, Inc.*		74,200		401,422
Pulse Electronics Corp.		109,800		216,306
RadiSys Corp.*		72,200		453,416
Richardson Electronics, Ltd.		52,011		641,295
SMTC Corp.*+		154,300		504,561
Vishay Precision Group, Inc.*		23,567		328,760
Zygo Corp.*		39,200		700,112
				7,715,406
Energy Equipment & Services - 2.11%
Bolt Technology Corp.		63,763		957,083
Dawson Geophysical Co.*		30,000		714,600
ENGlobal Corp.*		118,761		178,142

  www.bridgeway.com 32

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Energy Equipment & Services (continued)
Forbes Energy Services, Ltd.*		99,000		$    465,300
GreenHunter Energy, Inc.*+		74,000		150,960
Mitcham Industries, Inc.*		104,700		1,776,759
Natural Gas Services Group, Inc.*		36,400		539,448
TGC Industries, Inc.*		122,850		1,192,873
Union Drilling, Inc.*		88,300		395,584
				6,370,749
Food & Staples Retailing - 1.14%
Arden Group, Inc., Class A		5,500		479,655
Ingles Markets, Inc., Class A		21,200		339,836
Susser Holdings Corp.*		48,900		1,817,613
Village Super Market, Inc.,
Class A		24,600		801,468
				3,438,572
Food Products - 1.54%
Alico, Inc.		21,000		641,340
Griffin Land & Nurseries, Inc.		19,300		540,207
John B. Sanfilippo & Son, Inc.*		33,900		605,115
Lifeway Foods, Inc.+		156,302		1,620,852
Limoneira Co.+		18,900		306,558
Omega Protein Corp.*		72,900		536,544
Overhill Farms, Inc.*		102,100		400,232
				4,650,848
Gas Utilities - 0.16%
Chesapeake Utilities Corp.		7,600		332,272
Gas Natural, Inc.		15,900		160,590
				492,862
Health Care Equipment & Supplies - 4.10%
Alphatec Holdings, Inc.*		164,740		303,122
Anika Therapeutics, Inc.*		98,639		1,340,504
Antares Pharma, Inc.*+		197,000		717,080
AtriCure, Inc.*		133,200		1,280,052
Bacterin International Holdings, Inc.*		5,601		7,505
Cardica, Inc.*		30,000		56,400
Cardiovascular Systems, Inc.*+		33,900		331,881
Cerus Corp.*+		193,304		641,769
CryoLife, Inc.*		107,270		561,022
Cutera, Inc.*		43,000		309,385
DynaVox, Inc., Class A*		28,330		31,730
Hansen Medical, Inc.*+		170,000		385,900
IRIS International, Inc.*		44,100		498,330

Industry Company	Shares		Value
Health Care Equipment & Supplies (continued)
LeMaitre Vascular, Inc.		50,000		$    300,000
Medical Action Industries, Inc.*		47,700		165,996
Palomar Medical Technologies, Inc.*		40,600		345,100
Rockwell Medical Technologies, Inc.*+		72,100		671,251
RTI Biologics, Inc.*		125,000		470,000
Solta Medical, Inc.*		158,400		464,112
Spectranetics Corp.*		29,948		342,006
Theragenics Corp.*		211,800		425,718
TranS1, Inc.*		129,500		321,160
Utah Medical Products, Inc.		44,900		1,505,497
Vascular Solutions, Inc.*		49,300		619,208
Young Innovations, Inc.		9,000		310,410
				12,405,138
Health Care Providers & Services - 3.56%
Almost Family, Inc.*		11,600		259,144
AMN Healthcare Services, Inc.*		72,300		428,739
Capital Senior Living Corp.*		96,000		1,017,600
CardioNet, Inc.*		131,100		266,133
Chindex International, Inc.*		71,200		697,760
Cross Country Healthcare, Inc.*		58,700		256,519
Five Star Quality Care, Inc.*		121,600		373,312
Medcath Corp.*		43,400		324,198
Metropolitan Health Networks, Inc.*		179,272		1,715,633
National Research Corp.		13,500		706,725
PDI, Inc.*		70,200		578,448
Providence Service Corp. (The)*		115,200		1,579,392
RadNet, Inc.*		246,800		656,488
Skilled Healthcare Group, Inc., Class A*		75,300		472,884
Sun Healthcare Group, Inc.*		63,400		530,658
U.S. Physical Therapy, Inc.		35,483		902,333
				10,765,966
Hotels, Restaurants & Leisure - 3.80%
Benihana, Inc.		26,200		422,082
Bluegreen Corp.*+		57,203		283,727
Caribou Coffee Co., Inc.*		33,600		433,776
Carrols Restaurant Group, Inc.*		43,100		256,014
Dover Downs Gaming & Entertainment, Inc.		154,617		465,397
Einstein Noah Restaurant Group, Inc.		31,550		554,018

  33 Annual Report | June 30, 2012

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Famous Dave’s of America, Inc.*		158,800		$    1,754,740
Fiesta Restaurant Group, Inc.*		43,100		570,213
Frisch’s Restaurants, Inc.		16,000		453,440
Full House Resorts, Inc.*		60,700		174,209
Gaming Partners International Corp.		56,300		345,119
Isle of Capri Casinos, Inc.*		62,500		385,625
Jamba, Inc.*		153,314		300,496
Kona Grill, Inc.*		67,500		608,850
Lakes Entertainment, Inc.*		80,000		232,000
Luby’s, Inc.*		73,600		493,120
Monarch Casino & Resort, Inc.*		48,685		444,981
Morgans Hotel Group Co.*		84,300		396,210
MTR Gaming Group, Inc.*		90,700		430,825
Multimedia Games Holding Co., Inc.*		57,700		807,800
Nathan’s Famous, Inc.*+		12,000		354,000
Nevada Gold & Casinos, Inc.*		120,000		138,000
Premier Exhibitions, Inc.*+		142,500		384,750
Town Sports International Holdings, Inc.*		61,087		811,846
				11,501,238
Household Durables - 1.63%
Bassett Furniture Industries, Inc.		74,200		765,002
CSS Industries, Inc.		15,700		322,635
Emerson Radio Corp.*		114,300		232,029
Furniture Brands International, Inc.*		284,100		352,284
Hooker Furniture Corp.		51,900		611,901
Kid Brands, Inc.*		80,300		160,600
Lifetime Brands, Inc.		63,300		789,351
Sealy Corp.*+		242,600		448,810
Zagg, Inc.*+		114,300		1,247,013
				4,929,625
Household Products - 0.14%
Oil-Dri Corp. of America		19,800		433,620
Independent Power Producers & Energy Traders - 0.31%
American DG Energy, Inc.*+		105,800		240,166
Genie Energy, Ltd., Class B		48,667		378,142
Synthesis Energy Systems, Inc.*		272,471		332,415
				950,723

Industry Company	Shares		Value
Insurance - 1.56%
Crawford & Co., Class B		84,600		$    346,014
First Acceptance Corp.*		111,700		149,678
Hallmark Financial Services, Inc.*		51,800		404,040
Homeowners Choice, Inc.		12,000		211,200
Independence Holding Co.+		65,670		646,849
Investors Title Co.+		3,500		199,255
Meadowbrook Insurance Group, Inc.		95,200		836,808
SeaBright Holdings, Inc.		69,100		614,299
Stewart Information Services Corp.		39,594		607,768
Universal Insurance Holdings, Inc.		205,200		699,732
				4,715,643
Internet & Catalog Retail - 0.56%
1-800-Flowers.com, Inc., Class A*		170,000		593,300
Gaiam, Inc., Class A*		38,200		148,980
Geeknet, Inc.*		7,408		146,826
US Auto Parts Network, Inc.*		100,900		421,762
ValueVision Media, Inc., Class A*		176,286		366,675
				1,677,543
Internet Software & Services - 1.54%
Globalscape, Inc.*		59,700		119,400
Ipass, Inc.*		155,000		368,900
Keynote Systems, Inc.		44,400		659,340
Marchex, Inc., Class B		140,400		506,844
MeetMe, Inc.*+		33,989		79,874
Spark Networks, Inc.*+		64,800		334,368
Support.com, Inc.*		336,745		1,074,217
TechTarget, Inc.*		96,350		485,604
TheStreet, Inc.		149,700		224,550
Unwired Planet, Inc.*		223,900		514,970
Zix Corp.*		112,782		293,233
				4,661,300
IT Services - 1.56%
Analysts International Corp.*		18,500		78,070
Computer Task Group, Inc.*		92,400		1,385,076
Dynamics Research Corp.*		39,458		229,251
Edgewater Technology, Inc.*		39,200		152,488
Hackett Group, Inc. (The)*		138,789		773,055
Information Services Group, Inc.*		96,600		124,614

  www.bridgeway.com 34

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
IT Services (continued)
Innodata, Inc.*+		50,000		$    342,000
Lionbridge Technologies, Inc.*		116,595		367,274
Mattersight Corp.*+		30,000		239,400
ModusLink Global Solutions, Inc.*		105,800		316,342
NCI, Inc., Class A*		2,630		10,652
Online Resources Corp.*		127,028		308,678
PRGX Global, Inc.*		50,000		397,500
				4,724,400
Leisure Equipment & Products - 1.05%
Arctic Cat, Inc.*		28,900		1,056,584
Johnson Outdoors, Inc., Class A*		34,800		716,880
LeapFrog Enterprises, Inc.*		97,000		995,220
Marine Products Corp.+		66,400		403,712
				3,172,396
Life Sciences Tools & Services - 1.45%
Albany Molecular Research, Inc.*		103,100		262,905
BioClinica, Inc.*		77,100		372,393
Cambrex Corp.*		104,100		979,581
Complete Genomics, Inc.*+		80,381		149,509
Enzo Biochem, Inc.*		191,700		320,139
Furiex Pharmaceuticals, Inc.*		21,200		444,140
Harvard Bioscience, Inc.*		162,817		613,820
Medtox Scientific, Inc.*		29,000		781,840
Pacific Biosciences of
California, Inc.*		213,800		463,946
				4,388,273
Machinery - 3.13%
Alamo Group, Inc.		19,875		623,479
Ampco-Pittsburgh Corp.		26,600		487,578
Energy Recovery, Inc.*		66,700		160,080
Flow International Corp.*		185,551		584,485
Graham Corp.		59,500		1,107,890
Greenbrier Cos., Inc.*		43,600		766,488
Hardinge, Inc.		31,300		284,830
Hurco Cos., Inc.*		60,234		1,234,195
Key Technology, Inc.*		17,600		176,000
L.S. Starrett Co., Class A (The)		29,200		337,844
Lydall, Inc.*		74,200		1,003,184
Met-Pro Corp.		40,200		370,242
Miller Industries, Inc.		28,400		452,412
NN, Inc.*		83,800		855,598
PMFG, Inc.*+		30,000		234,300

Industry Company	Shares		Value
Machinery (continued)
Tecumseh Products Co., Class A*		7,600	$	38,380
Twin Disc, Inc.+		29,600		547,304
Xerium Technologies, Inc.*+		73,500		213,150
				9,477,439
Marine - 0.07%
International Shipholding Corp.		11,103		209,403
Media - 2.56%
AH Belo Corp., Class A		47,100		189,342
Ballantyne Strong, Inc.*		45,500		271,635
Carmike Cinemas, Inc.*		51,800		758,870
Dex One Corp.*+		222,700		208,224
Entercom Communications Corp., Class A*		10,200		61,404
Entravision Communications Corp., Class A		297,200		359,612
Fisher Communications, Inc.*		25,200		753,732
Gray Television, Inc.*		163,600		240,492
Journal Communications, Inc., Class A*		127,200		656,352
LIN TV Corp., Class A*		103,495		312,555
Martha Stewart Living Omnimedia, Class A		90,200		306,680
McClatchy Co., Class A (The)*		173,000		380,600
Media General, Inc., Class A*+		130,611		602,117
Navarre Corp.*		271,200		431,208
Nexstar Broadcasting Group, Inc., Class A*		41,400		279,036
Outdoor Channel Holdings, Inc.		67,100		490,501
Radio One, Inc., Class D*		100,000		93,800
ReachLocal, Inc.*		34,069		374,759
Rentrak Corp.*		11,809		243,856
Saga Communications, Inc., Class A*		14,604		541,954
SuperMedia, Inc.*+		79,300		198,250
				7,754,979
Metals & Mining - 0.64%
Friedman Industries, Inc.		67,000		681,390
Great Northern Iron Ore Properties+		7,700		581,889
Mines Management, Inc.*		6,200		8,370
Paramount Gold & Silver Corp.*+		55,840		134,016
Synalloy Corp.		19,400		221,160

  35 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Metals & Mining (continued)
Universal Stainless & Alloy*		7,428		$    305,291
				1,932,116
Multiline Retail - 0.43%
Bon-Ton Stores, Inc. (The)+		45,950		358,870
Duckwall-ALCO Stores, Inc.*		7,000		61,180
Tuesday Morning Corp.*		205,500		881,595
				1,301,645
Oil, Gas & Consumable Fuels - 3.40%
Adams Resources & Energy, Inc.		22,300		934,816
Callon Petroleum Co.*		179,700		765,522
CREDO Petroleum Corp.*		13,300		192,451
Crimson Exploration, Inc.*		185,300		850,527
Double Eagle Petroleum Co.*		77,200		338,136
Gevo, Inc.*+		32,859		163,309
Halcon Resources Corp.*+		94,067		887,992
HKN, Inc.*		44,134		104,598
Miller Energy Resources, Inc.*+		193,800		969,000
Panhandle Oil & Gas, Inc., Class A		13,797		415,842
PostRock Energy Corp.*		73,500		116,865
Pyramid Oil Co.*		69,800		318,986
REX American Resources Corp.*		66,249		1,293,180
Saratoga Resources, Inc.*+		80,100		470,988
Synergy Resources Corp.*		80,000		246,400
Uranerz Energy Corp.*+		74,000		107,300
USEC, Inc.*+		400,000		396,000
Verenium Corp.*+		78,800		246,644
Voyager Oil & Gas, Inc.*		141,100		248,336
Warren Resources, Inc.*		118,700		284,880
Westmoreland Coal Co.*+		59,675		480,384
ZaZa Energy Corp.*+		71,900		324,988
Zion Oil & Gas, Inc.*+		81,200		127,484
				10,284,628
Paper & Forest Products - 0.43%
Mercer International, Inc.*		64,400		367,724
Neenah Paper, Inc.		30,000		800,700
Orient Paper, Inc.+		50,500		132,310
				1,300,734
Personal Products - 0.62%
CCA Industries, Inc.		14,100		54,990
Female Health Co. (The)+		43,200		253,584

Industry Company	Shares		Value
Personal Products (continued)
Natural Alternatives International, Inc.*		17,500		$    134,575
Nutraceutical International Corp.*		35,800		545,950
Physicians Formula Holdings, Inc.*		93,000		324,570
Schiff Nutrition International, Inc.*		31,658		568,261
				1,881,930
Pharmaceuticals - 2.01%
Cumberland Pharmaceuticals, Inc.*		81,900		529,074
Depomed, Inc.*		93,300		530,877
Lannett Co., Inc.*		83,020		352,005
Novabay Pharmaceuticals, Inc.*+		121,500		153,090
Obagi Medical Products, Inc.*		56,000		855,120
Omeros Corp.*+		77,400		774,000
Pain Therapeutics, Inc.*		120,299		564,202
Pernix Therapeutics Holdings*		4,086		29,787
Pozen, Inc.*		76,400		476,736
Sucampo Pharmaceuticals, Inc., Class A*		104,000		731,120
Transcept Pharmaceuticals, Inc.*+		44,100		273,420
XenoPort, Inc.*+		65,100		393,204
Zogenix, Inc.*+		161,300		400,024
				6,062,659
Professional Services - 1.50%
Barrett Business Services, Inc.		31,600		668,024
CDI Corp.		41,701		683,896
CRA International, Inc.*		27,200		399,568
GP Strategies Corp.*		76,500		1,412,955
Hill International, Inc.*		94,400		302,080
Hudson Global, Inc.*		59,700		248,949
On Assignment, Inc.*		34,036		543,215
VSE Corp.		11,100		264,069
				4,522,756
Real Estate Management & Development - 1.01%
AV Homes, Inc.*		52,800		769,824
Consolidated-Tomoka Land Co.+		30,649		882,078
Stratus Properties, Inc.*		32,500		292,500

  www.bridgeway.com 36

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Real Estate Management & Development (continued)
Thomas Properties Group, Inc.		203,400		$1,106,496
				3,050,898
Road & Rail - 0.30%
Universal Truckload Services, Inc.		30,700		464,338
USA Truck, Inc.*		40,061		188,687
YRC Worldwide, Inc.*+		36,800		259,072
				912,097
Semiconductors & Semiconductor Equipment - 3.24%
Amtech Systems, Inc.*+		57,500		216,200
AuthenTec, Inc.*+		394,200		1,706,886
AXT, Inc.*		80,000		316,000
DSP Group, Inc.*		81,300		515,442
FSI International, Inc.*		125,400		450,186
GSI Technology, Inc.*		201,417		954,716
Integrated Silicon Solution, Inc.*		77,641		783,398
Mattson Technology, Inc.*		125,900		220,325
MaxLinear, Inc., Class A*		65,100		322,896
PDF Solutions, Inc.*		103,400		1,020,558
Pericom Semiconductor Corp.*		50,772		456,948
Photronics, Inc.*		81,070		494,527
Pixelworks, Inc.*		58,900		142,538
PLX Technology, Inc.*		78,900		501,015
QuickLogic Corp.*+		127,100		319,021
Ramtron International Corp.*		98,900		298,678
Rudolph Technologies, Inc.*		52,600		458,672
SemiLEDs Corp.*		90,000		278,100
Ultra Clean Holdings*		53,500		344,005
				9,800,111
Software - 2.13%
American Software, Inc., Class A		60,700		482,565
Callidus Software, Inc.*+		109,200		543,816
Cinedigm Digital Cinema Corp., Class A*		100,000		150,000
Digimarc Corp.		23,100		592,746
ePlus, Inc.*		19,559		632,733
FalconStor Software, Inc.*		132,700		346,347
Glu Mobile, Inc.*#		140,500		779,775
Guidance Software, Inc.*		63,000		599,130
Pervasive Software, Inc.*		40,000		299,600
PROS Holdings, Inc.*		26,900		452,458
QAD, Inc., Class A		30,800		437,976
QAD, Inc., Class B		7,700		104,797
Rosetta Stone, Inc.*+		41,400		572,976

Industry Company	Shares		Value
Software (continued)
Smith Micro Software, Inc.*		64,300		$  118,312
TeleCommunication Systems, Inc., Class A*		271,434		333,864
				6,447,095
Specialty Retail - 2.45%
America’s Car-Mart, Inc.*		22,500		874,125
Big 5 Sporting Goods Corp.		43,400		328,104
Build-A-Bear Workshop, Inc.*		59,500		284,410
Casual Male Retail Group, Inc.*		163,100		592,053
Cost Plus, Inc.*		44,800		985,600
Haverty Furniture Cos., Inc.		53,219		594,456
MarineMax, Inc.*		68,200		648,582
New York & Co., Inc.*		156,100		543,228
Pacific Sunwear of California, Inc.*		118,249		216,396
TravelCenters of America LLC*		76,200		386,334
West Marine, Inc.*		72,200		848,350
Winmark Corp.+		10,200		597,210
Zale Corp.*		190,200		511,638
				7,410,486
Textiles, Apparel & Luxury Goods - 1.33%
Alpha PRO Tech, Ltd.*		97,600		136,640
Charles & Colvard, Ltd.*		60,900		229,593
Cherokee, Inc.		20,100		279,993
Culp, Inc.		51,016		522,914
Delta Apparel, Inc.*		21,900		299,154
DGSE Cos., Inc.*D+		28,800		125,971
K-Swiss, Inc., Class A*+		108,700		334,796
Lacrosse Footwear, Inc.		13,729		149,509
Lakeland Industries, Inc.*		10,000		70,700
R.G. Barry Corp.		27,600		375,084
Rocky Brands, Inc.*		52,200		688,518
Unifi, Inc.*		71,000		804,430
				4,017,302
Thrifts & Mortgage Finance - 6.94%
Bank Mutual Corp.		99,000		436,590
BankFinancial Corp.		36,079		271,675
Beacon Federal Bancorp, Inc.		17,800		352,974
BofI Holding, Inc.*		36,200		715,312
Cape Bancorp, Inc.*		42,100		349,851
Chicopee Bancorp, Inc.*		26,500		383,720
Clifton Savings Bancorp, Inc.+		64,300		669,363
ESB Financial Corp.+		69,000		910,800

  37 Annual Report | June 30, 2012  

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Thrifts & Mortgage Finance (continued)
ESSA Bancorp, Inc.		36,000		$    388,800
Federal Agricultural Mortgage Corp., Class C		104,800		2,748,904
First Defiance Financial Corp.		58,400		999,808
First Financial Holdings, Inc.		53,800		576,736
First Financial Northwest, Inc.*+		61,600		500,192
First Pactrust Bancorp, Inc.+		57,100		677,206
Fox Chase Bancorp, Inc.		57,932		836,538
Franklin Financial Corp.*		32,800		539,560
Guaranty Federal Bancshares, Inc.*		20,856		166,848
Hampden Bancorp, Inc.		33,000		427,020
Heritage Financial Group, Inc.+		17,100		220,077
Home Bancorp, Inc.*+		41,600		712,608
Home Federal Bancorp, Inc.		32,200		338,100
Kaiser Federal Financial Group, Inc.		55,114		814,585
Louisiana Bancorp, Inc.*		18,000		288,000
Meridian Interstate Bancorp, Inc.*		52,100		725,232
Meta Financial Group, Inc.		12,100		241,153
New Hampshire Thrift Bancshares, Inc.		18,100		224,440
Ocean Shore Holding Co.		32,100		406,065
OceanFirst Financial Corp.		29,200		419,312
Provident Financial Holdings, Inc.+		101,300		1,167,989
Pulaski Financial Corp.+		43,500		322,335
Riverview Bancorp, Inc.*		17,406		21,757
SI Financial Group, Inc.+		17,276		198,674
Territorial Bancorp, Inc.		42,300		963,171
Timberland Bancorp, Inc.*		24,222		120,141
Tree.com, Inc.*		20,100		229,944
United Community Financial Corp.*		130,000		387,400
United Financial Bancorp, Inc.		46,641		670,698
Waterstone Financial, Inc.*		43,355		164,749
Westfield Financial, Inc.		56,179		410,107
				20,998,434
Trading Companies & Distributors - 0.78%
Aceto Corp.		58,500		528,255
BlueLinx Holdings, Inc.*		16,378		38,488
DXP Enterprises, Inc.*		22,200		921,078
Lawson Products, Inc.		60,700		561,475
Willis Lease Finance Corp.*		24,400		300,608
				2,349,904

Industry Company	Shares		Value
Water Utilities - 0.56%
Artesian Resources Corp., Class A		10,500	$	226,170
Cadiz, Inc.*+		31,400		226,394
York Water Co.		68,550		1,226,360
				1,678,924
TOTAL COMMON STOCKS - 99.34% (Cost $222,018,137)				300,428,796
EXCHANGE TRADED FUND - 0.55%
iShares Russell Microcap Index Fund+		33,525		1,677,591
TOTAL EXCHANGE TRADED FUND - 0.55% (Cost $920,990)				1,677,591
RIGHTS - 0.02%
Hampton Roads Bankshares, Inc.*D		85,300		61,843
TOTAL RIGHTS - 0.02% (Cost $132,736)				61,843

	Rate^	Shares		Value
MONEY MARKET FUND - 0.28%
BlackRock FedFund	0.01%		850,013		850,013
TOTAL MONEY MARKET FUND - 0.28% (Cost $850,013)					850,013
TOTAL INVESTMENTS - 100.19% (Cost $223,921,876)				$	303,018,243
Liabilities in Excess of Other Assets - (0.19%)					(586,205	)
NET ASSETS - 100.00%				$	302,432,038

* Non-income producing security.

# Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $779,775.

^ Rate disclosed as of June 30, 2012.

D Security was fair valued under procedures adopted by the Board of Directors (see Note 2).

+ This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $40,200,979 at June 30, 2012.

LLC - Limited Liability Company

  www.bridgeway.com 38

Bridgeway Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS (continued)

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	300,302,825		$          —		$125,971	$300,428,796
Exchange-Traded Fund		1,677,591		—		—	1,677,591
Rights		—		—		61,843	61,843
Money Market Fund		—		850,013		—	850,013
TOTAL	$	301,980,416		$850,013		$187,814	$303,018,243
Other Finan- cial Instru- ments**
Swaps	$	—		$  11,563		$          —	$         11,563
TOTAL	$	—		$  11,563		$          —	$         11,563
**   Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
	Investment in Securities (Value)
	Common Stocks		Rights		Total
Balance as of 06/30/2011		$  234,354		$         —		$ 234,354
Purchases		226,250		132,736		358,986
Sales		(21,122)		—		(21,122)
Realized gain/(loss)1		(385,489)		—		(385,489)
Change in unrealized appreciation/ (depreciation)2		71,978		(70,893)		1,085
Transfers in		—		—		—
Transfers out		—		—		—
Balance as of 06/30/2012		$  125,971		$ 61,843		$ 187,814
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/20122		$(100,279)		$ (70,893)		$(171,172)

¹Realized gain/(loss) from Level 3 securities is included on the Statement of Operations in the Realized Gain (Loss) on Investments.

²Change in unrealized appreciation/(depreciation) for Level 3 securities is included on Statement of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.

The securities in the table above were considered Level 3 securities because they were fair valued under procedures adopted by the Board of Directors at June 30, 2012. Such valuations are based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.

See Notes to Financial Statements.

  39 Annual Report | June 30, 2012  

Small-Cap Momentum Fund
MANAGER’S COMMENTARY (Unaudited)

June 30, 2012

Dear Fellow Small-Cap Momentum Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 4.26%, underperforming our primary market benchmark, the Russell 2000 Index (-3.47%). Although our risk adjustment feature helped, it was not enough to overcome the negative impact of a price momentum strategy in this “choppy” market. It was a poor quarter overall.

For the fiscal year ended June 30, 2012, our Fund declined 1.40%, beating our primary market benchmark, the Russell 2000 Index (-2.08%). We are happier with the “cushion” we provided in the fiscal year. We continue to lead the Index over the life of the Fund.

The table below presents our June quarter, one-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

			Annualized
				Since Inception
	Quarter	1 Year		(5/28/10)
Small-Cap Momentum Fund	-4.26%	-1.40%		11.90%
Russell 2000 Index	-3.47%	-2.08%		10.88%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above and the graph below include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Small-Cap Momentum Fund ranked 184th of 682 small-cap core funds for the twelve-month period ended June 30, 2012 and 171st of 650 such funds since inception in May, 2010. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

  www.bridgeway.com 40

Small-Cap Momentum Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Small-Cap Momentum Fund vs. Russell 2000 Index from Inception 5/28/10 to 6/30/12

Detailed Explanation of Quarterly Performance

The Short Version: Our price momentum exposure hurt returns in the June quarter.

The Fund performed in line with its design objective for the quarter ended June 30, 2012. Our exposure to price momentum hurt in the “zigzag” market of the January through June 2012 time period. Even though the risk-adjustment overlay did cushion the underperformance somewhat, we weren’t able to overcome the downdraft from price momentum exposure. Lower weighting and strong stock picking in the poor performing Energy sector helped our relative return. Poor stock selection in the Consumer Discretionary and Information Technology sectors hurt the Fund’s relative performance.

Detailed Explanation of Fiscal Year Performance

The Short Version: The Fund’s risk-adjustment overlay did overcome our exposure to price momentum, which allowed the Fund to outperform the index for the full fiscal year.

The Fund performed according to its design during the full fiscal year. Our exposure to price momentum, as expected, hurt the Fund in a choppy market. However, the risk-adjustment overlay helped cushion the fall, resulting in some outperformance versus its Russell 2000 Index benchmark for the fiscal year. Our relative overweighting of smaller companies also added some cushion. Strong stock selection in the Energy sector helped our relative performance, while poor stock selection in the Financials and Information Technology sectors hurt relative performance.

  41 Annual Report | June 30, 2012  

Small-Cap Momentum Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Standard Pacific Corp.	Household Durables		0.8%
2	USG Corp.	Building Products		0.7%
3	Lancaster Colony Corp.	Food Products		0.7%
4	Cirrus Logic, Inc.	Semiconductors & Semiconductor Equipment		0.7%
5	Susquehanna Bancshares, Inc.	Commercial Banks		0.7%
6	Pool Corp.	Distributors		0.7%
7	LifePoint Hospitals, Inc.	Health Care Providers & Services		0.7%
8	Huntington Ingalls Industries, Inc.	Aerospace & Defense		0.7%
9	Life Time Fitness, Inc.	Hotels, Restaurants & Leisure		0.7%
10	Ironwood Pharmaceuticals, Inc.	Biotechnology		0.7%
	Total			7.1%

Industry Sector Representation as of June 30, 2012

	% of Net Assets	% of Russell 2000 Index	Difference
Consumer Discretionary	16.6%	13.8%	2.8%
Consumer Staples	2.9%	3.7%	-0.8%
Energy	1.6%	6.1%	-4.5%
Financials	25.5%	21.3%	4.2%
Health Care	9.8%	13.5%	-3.7%
Industrials	16.5%	14.9%	1.6%
Information Technology	21.1%	17.5%	3.6%
Materials	4.1%	4.7%	-0.6%
Telecommunication Services	0.1%	0.9%	-0.8%
Utilities	1.5%	3.6%	-2.1%
Cash & Other Assets	0.3%	0.0%	0.3%
Total	100.0%	100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies, and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

  www.bridgeway.com 42

Small-Cap Momentum Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Conclusion

Thank you for your continued investment in Small-Cap Momentum Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  43 Annual Report | June 30, 2012  

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 99.48%
Aerospace & Defense - 1.21%
Curtiss-Wright Corp.		350		$10,868
Huntington Ingalls Industries, Inc.*		350		14,084
				24,952
Air Freight & Logistics - 0.31%
Forward Air Corp.		200		6,454
Airlines - 1.10%
Allegiant Travel Co.*		150		10,452
Hawaiian Holdings, Inc.*		400		2,604
Spirit Airlines, Inc.*		500		9,730
				22,786
Auto Components - 0.81%
American Axle & Manufacturing Holdings, Inc.*		600		6,294
Dorman Products, Inc.*		250		6,272
Drew Industries, Inc.*		150		4,178
				16,744
Automobiles - 0.50%
Thor Industries, Inc.		375		10,279
Biotechnology - 2.02%
Affymax, Inc.*		250		3,220
Array BioPharma, Inc.*		650		2,255
Curis, Inc.*+		700		3,780
Ironwood Pharmaceuticals, Inc.*		1,000		13,780
Opko Health, Inc.*+		2,250		10,350
Progenics Pharmaceuticals, Inc.*		250		2,445
Synageva BioPharma Corp.*		150		6,084
				41,914
Building Products - 1.19%
Apogee Enterprises, Inc.		200		3,214
Builders FirstSource, Inc.*		800		3,792
Insteel Industries, Inc.		150		1,672
Patrick Industries, Inc.*		100		1,275
USG Corp.*+		775		14,764
				24,717
Capital Markets - 2.56%
Duff & Phelps Corp., Class A		300		4,350
Fidus Investment Corp.		50		759
GFI Group, Inc.		900		3,204
Gladstone Capital Corp.		150		1,184

Industry Company	Shares		Value
Capital Markets (continued)
Gladstone Investment Corp.		150		$  1,108
Greenhill & Co., Inc.		200		7,130
Knight Capital Group, Inc., Class A*		750		8,955
Main Street Capital Corp.+		200		4,840
Medallion Financial Corp.		150		1,593
Medley Capital Corp.		150		1,806
New Mountain Finance Corp.		100		1,419
Prospect Capital Corp.+		900		10,251
Triangle Capital Corp.		200		4,556
Westwood Holdings Group, Inc.		50		1,863
				53,018
Chemicals - 2.02%
American Vanguard Corp.		200		5,318
Calgon Carbon Corp.*		450		6,399
Flotek Industries, Inc.*		325		3,036
H.B. Fuller Co.		375		11,512
Olin Corp.		550		11,489
Schulman (A.), Inc.		200		3,970
				41,724
Commercial Banks - 8.65%
American National Bankshares, Inc.		50		1,178
Ames National Corp.		50		1,150
Arrow Financial Corp.		100		2,417
Banco Latinoamericano de Comercio Exterior SA		250		5,358
Banner Corp.		150		3,286
BBCN Bancorp, Inc.*		600		6,534
C&F Financial Corp.		25		1,004
Camden National Corp.		50		1,831
Cathay General Bancorp		600		9,906
Centerstate Banks, Inc.		250		1,788
Chemical Financial Corp.		200		4,300
Citizens & Northern Corp.		100		1,905
Citizens Republic Bancorp, Inc.*		300		5,139
City Holding Co.		100		3,369
CNB Financial Corp.		100		1,631
Columbia Banking System, Inc.		300		5,646
Community Trust Bancorp, Inc.		100		3,349
Eagle Bancorp, Inc.*		150		2,362
First Bancorp, Inc.		50		850

  www.bridgeway.com 44

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
First Connecticut Bancorp, Inc.		150		$    2,025
First Interstate Bancsystem, Inc.		350		4,984
First Merchants Corp.		200		2,492
FNB Corp.		1,025		11,142
German American Bancorp, Inc.		100		2,050
Great Southern Bancorp, Inc.		100		2,758
Heritage Financial Corp.		100		1,465
International Bancshares Corp.		475		9,272
MainSource Financial Group, Inc.		150		1,774
Mercantile Bank Corp.*		50		922
MetroCorp Bancshares, Inc.*		150		1,600
MidWestOne Financial Group, Inc.		50		1,075
National Bankshares, Inc.+		50		1,506
Northrim BanCorp, Inc.		50		1,074
Old National Bancorp		675		8,107
OmniAmerican Bancorp, Inc.*		100		2,143
Pacific Premier Bancorp, Inc.*		100		840
Park National Corp.+		100		6,975
Peoples Bancorp, Inc.		100		2,198
Pinnacle Financial Partners, Inc.*		250		4,878
PrivateBancorp, Inc.		500		7,380
Republic Bancorp, Inc., Class A		175		3,894
S&T Bancorp, Inc.		225		4,156
Simmons First National Corp., Class A		150		3,488
Southwest Bancorp, Inc.*		150		1,412
Susquehanna Bancshares, Inc.		1,375		14,162
Taylor Capital Group, Inc.*		200		3,278
Virginia Commerce Bancorp, Inc.*		250		2,107
Washington Banking Co.		100		1,390
Western Alliance Bancorp*		600		5,616
				179,166
Commercial Services & Supplies - 1.49%
Acorn Energy, Inc.		150		1,248
Deluxe Corp.		400		9,976
Healthcare Services Group, Inc.		500		9,690

Industry Company	Shares		Value
Commercial Services & Supplies (continued)
InnerWorkings, Inc.*		350		$  4,736
McGrath RentCorp		200		5,300
				30,950
Communications Equipment - 2.14%
Bel Fuse, Inc., Class B		100		1,761
Black Box Corp.		150		4,305
CalAmp Corp.*		200		1,466
Ciena Corp.*		725		11,868
Comtech Telecommunications Corp.		125		3,573
Harmonic, Inc.*		900		3,834
NETGEAR, Inc.*		300		10,353
Numerex Corp., Class A*+		100		930
Oplink Communications, Inc.*		150		2,030
PC-Tel, Inc.		150		970
Symmetricom, Inc.*		300		1,797
Telular Corp.		150		1,386
				44,273
Computers & Peripherals - 1.38%
Cray, Inc.*		300		3,624
Electronics for Imaging, Inc.*		350		5,687
QLogic Corp.*		700		9,583
STEC, Inc.*		350		2,730
Super Micro Computer, Inc.*		300		4,758
Xyratex, Ltd.		200		2,262
				28,644
Construction & Engineering - 0.67%
Argan, Inc.		100		1,398
Comfort Systems USA, Inc.		300		3,006
Dycom Industries, Inc.*		250		4,652
Primoris Services Corp.		400		4,800
				13,856
Construction Materials - 0.63%
Eagle Materials, Inc.		350		13,069
Consumer Finance - 0.70%
DFC Global Corp.*		350		6,450
Nelnet, Inc., Class A		350		8,050
				14,500
Containers & Packaging - 0.57%
AEP Industries, Inc.*		50		2,178
Boise, Inc.		800		5,264
Myers Industries, Inc.		250		4,290
				11,732

  45 Annual Report | June 30, 2012  

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Distributors - 0.75%
Pool Corp.		350		$14,161
VOXX International Corp.*		150		1,398
				15,559
Diversified Consumer Services - 0.87%
Capella Education Co.*		100		3,476
Grand Canyon Education, Inc.*		350		7,329
Regis Corp.		400		7,184
				17,989
Diversified Financial Services - 0.47%
Gain Capital Holdings, Inc.		250		1,247
MarketAxess Holdings, Inc.		275		7,326
MicroFinancial, Inc.		150		1,215
				9,788
Diversified Telecommunication Services - 0.05%
HickoryTech Corp.		100		1,111
Electric Utilities - 0.57%
PNM Resources, Inc.		600		11,724
Electrical Equipment - 2.21%
Belden, Inc.		350		11,672
Brady Corp., Class A		400		11,004
Encore Wire Corp.		175		4,687
Generac Holdings, Inc.		475		11,428
Preformed Line Products Co.		50		2,896
Thermon Group Holdings, Inc.*		200		4,142
				45,829
Electronic Equipment, Instruments & Components - 5.01%
Benchmark Electronics, Inc.*		450		6,278
Brightpoint, Inc.*		600		3,246
Cognex Corp.		325		10,286
Coherent, Inc.*		175		7,577
CTS Corp.		250		2,355
Daktronics, Inc.		350		2,418
FARO Technologies, Inc.*		125		5,260
FEI Co.*		275		13,156
Key Tronic Corp.*		100		824
Mesa Laboratories, Inc.		25		1,162
Multi-Fineline Electronix, Inc.*		175		4,312
Newport Corp.*		275		3,306
OSI Systems, Inc.*		155		9,818
PAR Technology Corp.*		150		739
Park Electrochemical Corp.		150		3,882

Industry Company	Shares		Value
Electronic Equipment, Instruments & Components (continued)
Plexus Corp.*		275		$    7,755
Rofin-Sinar Technologies, Inc.*		200		3,786
Sanmina-SCI Corp.*		650		5,324
SYNNEX Corp.*		275		9,485
Zygo Corp.*		150		2,679
				103,648
Energy Equipment & Services - 0.13%
PHI, Inc.*		100		2,781
Food & Staples Retailing - 0.58%
Ingles Markets, Inc., Class A		200		3,206
Susser Holdings Corp.*		150		5,576
Village Super Market, Inc., Class A		100		3,258
				12,040
Food Products - 2.04%
Calavo Growers, Inc.		100		2,558
Cal-Maine Foods, Inc.		175		6,842
John B. Sanfilippo & Son, Inc.*		100		1,785
Lancaster Colony Corp.		200		14,242
Smart Balance, Inc.*		450		4,226
Snyders-Lance, Inc.		500		12,615
				42,268
Gas Utilities - 0.39%
Chesapeake Utilities Corp.		50		2,186
Laclede Group, Inc. (The)		150		5,972
				8,158
Health Care Equipment & Supplies - 2.11%
Anika Therapeutics, Inc.*		100		1,359
Atrion Corp.		15		3,075
Cantel Medical Corp.		200		5,450
Conceptus, Inc.*		250		4,955
CONMED Corp.		200		5,534
Cyberonics, Inc.*		200		8,988
Cynosure, Inc., Class A*		100		2,115
Endologix, Inc.*		450		6,948
SurModics, Inc.*		150		2,595
Utah Medical Products, Inc.		25		838
Young Innovations, Inc.		50		1,724
				43,581
Health Care Providers & Services - 2.76%
Air Methods Corp.*		100		9,825
Centene Corp.*		370		11,159

  www.bridgeway.com 46

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Health Care Providers & Services (continued)
Landauer, Inc.		75		$  4,300
LifePoint Hospitals, Inc.*		345		14,138
National Research Corp.		50		2,617
Providence Service Corp. (The)*		100		1,371
VCA Antech, Inc.*		625		13,738
				57,148
Health Care Technology - 0.81%
HealthStream, Inc.*		200		5,200
Quality Systems, Inc.		420		11,554
				16,754
Hotels, Restaurants & Leisure - 3.20%
BJ’s Restaurants, Inc.*		200		7,600
Boyd Gaming Corp.*+		700		5,040
Churchill Downs, Inc.		135		7,937
Denny’s Corp.*		850		3,774
Life Time Fitness, Inc.*		300		13,953
Marcus Corp.		200		2,752
Multimedia Games Holding Co., Inc.*		200		2,800
Nathan’s Famous, Inc.*		50		1,475
Papa John’s International, Inc.*		175		8,325
Shuffle Master, Inc.*		425		5,865
Speedway Motorsports, Inc.		300		5,073
Town Sports International Holdings, Inc.*		125		1,661
				66,255
Household Durables - 2.06%
Beazer Homes USA, Inc.*		850		2,762
Cavco Industries, Inc.*		50		2,564
Hooker Furniture Corp.		100		1,179
iRobot Corp.*		200		4,430
La-Z-Boy, Inc.*		375		4,609
Libbey, Inc.*		150		2,306
Ryland Group, Inc. (The)		350		8,953
Standard Pacific Corp.*		2,550		15,784
				42,587
Industrial Conglomerates - 0.63%
Raven Industries, Inc.		125		8,699
Standex International Corp.		100		4,257
				12,956
Insurance - 4.25%
AMERISAFE, Inc.*		150		3,892
Citizens, Inc.*		350		3,412
Donegal Group, Inc., Class A		200		2,656

Industry Company	Shares		Value
Insurance (continued)
eHealth, Inc.*		150		$  2,417
EMC Insurance Group, Inc.		100		2,020
Flagstone Reinsurance Holdings SA		550		4,406
Homeowners Choice, Inc.		50		880
Horace Mann Educators Corp.		300		5,244
Infinity Property & Casualty Corp.		100		5,767
Kansas City Life Insurance Co.		100		3,519
National Financial Partners Corp.*		300		4,020
National Interstate Corp.		150		3,988
OneBeacon Insurance Group, Ltd., Class A		700		9,114
Primerica, Inc.		450		12,029
RLI Corp.		150		10,230
StanCorp Financial Group, Inc.		325		12,077
Stewart Information Services Corp.		150		2,303
				87,974
Internet & Catalog Retail - 0.16%
PetMed Express, Inc.		150		1,824
Vitacost.com, Inc.*		250		1,475
				3,299
Internet Software & Services - 2.02%
Bankrate, Inc.*		725		13,333
Constant Contact, Inc.*		250		4,470
Internap Network Services Corp.*		450		2,929
Perficient, Inc.*		250		2,808
SPS Commerce, Inc.*		100		3,038
VistaPrint NV*+		275		8,882
Web.com Group, Inc.*		350		6,412
				41,872
IT Services - 2.17%
Acxiom Corp.*		575		8,688
Cass Information Systems, Inc.		75		3,019
Computer Task Group, Inc.*		150		2,248
Forrester Research, Inc.		150		5,079
Global Cash Access Holdings, Inc.*		500		3,605
iGATE Corp.*		450		7,659
Innodata, Inc.*+		250		1,710
MAXIMUS, Inc.		250		12,938
				44,946

  47 Annual Report | June 30, 2012  

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Leisure Equipment & Products - 1.09%
Arctic Cat, Inc.*		100		$  3,656
Callaway Golf Co.		500		2,955
LeapFrog Enterprises, Inc.*		475		4,874
Nautilus, Inc.*		250		828
Smith & Wesson Holding Corp.*		500		4,155
Sturm Ruger & Co., Inc.+		150		6,022
				22,490
Life Sciences Tools & Services - 0.73%
Cambrex Corp.*		250		2,352
PAREXEL International Corp.*		450		12,704
				15,056
Machinery - 1.28%
Alamo Group, Inc.		100		3,137
Cascade Corp.		75		3,529
Columbus McKinnon Corp.*		150		2,263
Eastern Co. (The)+		50		808
Manitex International, Inc.*		100		840
NACCO Industries, Inc., Class A		65		7,556
PMFG, Inc.*		150		1,172
RBC Bearings, Inc.*		150		7,095
				26,400
Marine - 0.05%
International Shipholding Corp.		50		943
Media - 1.30%
AH Belo Corp., Class A		200		804
Belo Corp., Class A		800		5,152
Entercom Communications Corp., Class A*		400		2,408
Harte-Hanks, Inc.		450		4,113
Live Nation Entertainment, Inc.*		1,375		12,622
Saga Communications, Inc., Class A*		50		1,856
				26,955
Multi-Utilities - 0.50%
Black Hills Corp.		325		10,455
Oil, Gas & Consumable Fuels - 1.50%
Adams Resources & Energy, Inc.		50		2,096
Enbridge Energy Management LLC*		300		9,591
Evolution Petroleum Corp.*		200		1,668
Rentech, Inc.*		1,850		3,811

Industry Company	Shares		Value
Oil, Gas & Consumable Fuels (continued)
REX American Resources Corp.*		50		$     976
Targa Resources Corp.		300		12,810
				30,952
Paper & Forest Products - 0.90%
Buckeye Technologies, Inc.		300		8,547
Deltic Timber Corp.		100		6,098
Wausau Paper Corp.		400		3,892
				18,537
Personal Products - 0.30%
Female Health Co. (The)		200		1,174
United-Guardian, Inc.		50		926
USANA Health Sciences, Inc.*+		100		4,112
				6,212
Pharmaceuticals - 1.41%
Akorn, Inc.*		725		11,433
Lannett Co., Inc.*		250		1,060
Medicines Co. (The)*		400		9,176
Omeros Corp.*+		150		1,500
Santarus, Inc.*		500		3,545
Sucampo Pharmaceuticals, Inc., Class A*		350		2,461
				29,175
Professional Services - 2.71%
Advisory Board Co. (The)*		240		11,902
Barrett Business Services, Inc.		50		1,057
CDI Corp.		150		2,460
Exponent, Inc.*		100		5,283
FTI Consulting, Inc.*		325		9,344
Huron Consulting Group, Inc.*		150		4,747
ICF International, Inc.*		150		3,576
Navigant Consulting, Inc.*		400		5,056
Odyssey Marine Exploration, Inc.*		550		2,057
On Assignment, Inc.*		400		6,384
TrueBlue, Inc.*		275		4,257
				56,123
Real Estate Investment Trusts (REITs) - 7.39%
Agree Realty Corp.		100		2,213
CommonWealth REIT		600		11,472
Coresite Realty Corp.		150		3,873
DCT Industrial Trust, Inc.		1,825		11,497
EastGroup Properties, Inc.		200		10,660
Education Realty Trust, Inc.		675		7,479

  www.bridgeway.com 48

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Real Estate Investment Trusts (REITs) (continued)
Excel Trust, Inc.		250		$    2,990
First Potomac Realty Trust		400		4,708
Healthcare Realty Trust, Inc.		575		13,708
Kite Realty Group Trust		500		2,495
Lexington Realty Trust+		1,200		10,164
LTC Properties, Inc.		225		8,163
Mission West Properties, Inc.		200		1,724
Monmouth Real Estate Investment Corp., Class A		300		3,516
National Health Investors, Inc.		200		10,184
One Liberty Properties, Inc.		100		1,883
Pebblebrook Hotel Trust		400		9,324
PS Business Parks, Inc.		170		11,512
Sovran Self Storage, Inc.		195		9,768
STAG Industrial, Inc.		200		2,916
Sun Communities, Inc.		175		7,742
UMH Properties, Inc.		100		1,073
Urstadt Biddle Properties, Inc., Class A		200		3,954
				153,018
Real Estate Management & Development - 0.27%
Kennedy-Wilson Holdings, Inc.		400		5,604
Road & Rail - 1.79%
Celadon Group, Inc.		150		2,457
Knight Transportation, Inc.		575		9,194
Saia, Inc.*		100		2,189
Swift Transportation Co.*		1,075		10,159
Werner Enterprises, Inc.		550		13,139
				37,138
Semiconductors & Semiconductor Equipment - 5.21%
ATMI, Inc.*		225		4,628
AuthenTec, Inc.*		350		1,516
Axcelis Technologies, Inc.*		1,000		1,200
Brooks Automation, Inc.		500		4,720
Cabot Microelectronics Corp.		150		4,382
Cirrus Logic, Inc.*		475		14,193
Cohu, Inc.		200		2,032
Cymer, Inc.*		225		13,264
Diodes, Inc.*		350		6,569
Entropic Communications, Inc.*		700		3,948
FSI International, Inc.*		300		1,077
Kulicke & Soffa Industries, Inc.*		525		4,683
Micrel, Inc.		450		4,288

Industry Company	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
MKS Instruments, Inc.		400		$  11,572
Monolithic Power Systems, Inc.*		250		4,968
Nanometrics, Inc.*		200		3,072
Semtech Corp.*		475		11,552
Ultratech, Inc.*		175		5,512
Volterra Semiconductor Corp.*		200		4,690
				107,866
Software - 3.17%
Blackbaud, Inc.		350		8,984
Bottomline Technologies, Inc.*		275		4,964
Callidus Software, Inc.*		250		1,245
Deltek, Inc.*		500		5,795
Netscout Systems, Inc.*		300		6,477
RealPage, Inc.*		550		12,738
Synchronoss Technologies, Inc.*		300		5,541
Take-Two Interactive Software, Inc.*		625		5,912
Tangoe, Inc.*		250		5,328
Tyler Technologies, Inc.*		200		8,070
Wave Systems Corp., Class A*+		700		483
				65,537
Specialty Retail - 4.45%
bebe stores, inc.		650		3,816
Body Central Corp.*		100		900
Buckle, Inc. (The)+		345		13,652
Conn’s, Inc.*		250		3,700
Destination Maternity Corp.		100		2,160
Hibbett Sports, Inc.*		200		11,542
Kirkland’s, Inc.*		150		1,687
Lumber Liquidators Holdings, Inc.*+		200		6,758
Men’s Wearhouse, Inc. (The)		375		10,552
Pep Boys-Manny, Moe & Jack (The)		400		3,960
Pier 1 Imports, Inc.		800		13,144
Select Comfort Corp.*		400		8,368
Winmark Corp.		50		2,928
Zumiez, Inc.*+		225		8,910
				92,077
Textiles, Apparel & Luxury Goods - 1.39%
Fifth & Pacific Cos., Inc.*		800		8,584
Movado Group, Inc.		175		4,378

  49 Annual Report | June 30, 2012  

Bridgeway Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (continued)
Oxford Industries, Inc.		125	$	5,588
Steven Madden, Ltd.*		325		10,319
				28,869
Thrifts & Mortgage Finance - 0.90%
Bank Mutual Corp.		350		1,544
BofI Holding, Inc.*		100		1,976
Brookline Bancorp, Inc.		500		4,425
Federal Agricultural Mortgage Corp., Class C		100		2,623
MutualFirst Financial, Inc.		50		525
Provident Financial Holdings, Inc.		100		1,153
Provident New York Bancorp		350		2,656
TrustCo Bank Corp		700		3,822
				18,724
Trading Companies & Distributors - 1.88%
Aceto Corp.		200		1,806
Applied Industrial Technologies, Inc.		325		11,976
H&E Equipment Services, Inc.*		250		3,758
TAL International Group, Inc.		250		8,372
Textainer Group Holdings, Ltd.		350		12,915
				38,827
Water Utilities - 0.07%
Connecticut Water Service, Inc.		50		1,449
TOTAL COMMON STOCKS - 99.48%				2,059,452
(Cost $1,902,605)
EXCHANGE TRADED FUND - 0.34%
iShares Russell 2000 Index Fund+		88		7,009
TOTAL EXCHANGE TRADED FUND - 0.34%				7,009
(Cost $6,807)

Industry Company	Shares		Value
WARRANTS - 0.00%
Magnum Hunter Resources Corp. Warrants*D		115		$—
TOTAL WARRANTS - 0.00%				—
(Cost $ — )
TOTAL INVESTMENTS - 99.82%				$2,066,461
(Cost $1,909,412)
Other Assets in Excess of Liabilities - 0.18%				3,733
NET ASSETS - 100.00%				$2,070,194

* Non-income producing security.

D Security was fair valued under procedures adopted by the Board of Directors (see Note 2).

+ This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $115,744 at June 30, 2012.

LLC - Limited Liability Company

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	2,059,452	$	—	$	—	$	2,059,452
Exchange Traded Fund		7,009		—		—		7,009
Warrants		—		—		—		—
TOTAL	$	2,066,461	$	—	$	—	$	2,066,461

See Notes to Financial Statements.

  www.bridgeway.com 50

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

June 30, 2012

Dear Fellow Small-Cap Growth Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 7.40%, trailing our primary market benchmark, the Russell 2000 Growth Index (-3.94%) and our peer benchmark, the Lipper Small-Cap Growth Funds Index (-4.56%). The June quarter poor performance corresponds to the fourth high correlation spike since 2008, a market environment unfavorable to our Fund as outlined in the section “Macro-driven Market Update” on page 3.

For the fiscal year ended June 30, 2012, our Fund declined 6.35%, trailing our primary market benchmark, the Russell 2000 Growth Index (-2.71%) and our peer benchmark, the Lipper Small-Cap Growth Funds Index (-3.50%). In spite of two strong quarters (December 2011 and March 2012), the two high correlation spikes (September 2011 and June 2012) of the fiscal year put us strongly “in the red” for the fiscal year. For reasons outlined on page 3, proactive steps on our part make us more optimistic about negotiating high correlation spikes in the future, should they continue.

The table below presents our June quarter, one-year, five-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

			Annualized
	Quarter	1 Year	5 Years	Since Inception  (10/31/03)
Small-Cap Growth Fund	-7.40%	-6.35%	-6.08%	1.83%
Russell 2000 Growth Index	-3.94%	-2.71%	1.99%	6.23%
Lipper Small-Cap Growth Funds Index	-4.56%	-3.50%	0.76%	5.03%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2000 Growth Index is an unmanaged index that consists of stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Small-Cap Growth Funds Index is an index of small-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Small-Cap Growth Fund ranked 339th of 513 small-cap growth funds for the twelve-month period ended June 30, 2012, 391st of 394 over the last five years and 282nd of 287 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

  51 Annual Report | June 30, 2012

Small-Cap Growth Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Small-Cap Growth Fund vs. Russell 2000 Growth Index & Lipper Small-Cap Growth Funds Index

from Inception 10/31/03 to 6/30/12

Detailed Explanation of Quarterly and Fiscal Year Performance

The Short Version: The Fund’s poor quarterly performance was broad-based across companies and model styles (e.g. growth and GARP or growth at a reasonable price). The same thing is true for the fiscal year. Looking forward, we now have four high correlation spikes in our model calibration database, which we believe will help our relative performance, should macro-driven market spikes continue. We don’t believe that correlation spikes can continue indefinitely — historically, investors have always returned eventually to focus on company level economic health — but the macro environment could still continue over the coming fiscal year.

While our small-cap growth models continued successfully to identify stocks that show improvement in company economics, this has not translated into market beating performance. This is characteristic of macro-driven markets, as explained in the section by the same name on page 3.

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Metropolitan Health Networks, Inc.	Health Care Providers & Services		2.9%
2	Sinclair Broadcast Group, Inc.	Media		2.1%
3	Cirrus Logic, Inc.	Semiconductors & Semiconductor Equipment		2.1%
4	OSI Systems, Inc.	Electronic Equipment, Instruments & Components		2.1%
5	Trimas Corp.	Machinery		1.9%
6	DXP Enterprises, Inc.	Trading Companies & Distributors		1.9%
7	Alaska Air Group, Inc.	Airlines		1.8%
8	WellCare Health Plans, Inc.	Health Care Providers & Services		1.7%
9	Credit Acceptance Corp.	Consumer Finance		1.7%
10	Sturm Ruger & Co., Inc.	Leisure Equipment & Products		1.7%
	Total			19.9%

  www.bridgeway.com 52

Small-Cap Growth Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Industry Sector Representation as of June 30, 2012

	% of Net Assets	% of Russell 2000 Growth Index	Difference
Consumer Discretionary	24.2%	16.2%	8.0%
Consumer Staples	3.8%	4.8%	-1.0%
Energy	5.8%	5.6%	0.2%
Financials	5.1%	6.8%	-1.7%
Health Care	13.4%	22.1%	-8.7%
Industrials	23.9%	16.8%	7.1%
Information Technology	19.7%	22.1%	-2.4%
Materials	3.4%	4.2%	-0.8%
Telecommunication Services	0.5%	1.1%	-0.6%
Utilities	0.0%	0.3%	-0.3%
Cash & Other Assets	0.2%	0.0%	0.2%
Total	100.0%	100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

Conclusion

Thank you for your continued investment in Small-Cap Growth Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  53 Annual Report | June 30, 2012

Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 99.85%
Aerospace & Defense - 2.00%
Astronics Corp.*		9,800		$   276,752
Triumph Group, Inc.		6,400		360,128
				636,880
Air Freight & Logistics - 2.66%
Echo Global Logistics, Inc.*+		19,700		375,482
Park-Ohio Holdings Corp.*		24,600		468,138
				843,620
Airlines - 1.81%
Alaska Air Group, Inc.*		16,000		574,400
Auto Components - 1.56%
American Axle & Manufacturing Holdings, Inc.*		47,100		494,079
Chemicals - 2.37%
Innospec, Inc.*		14,100		417,501
TPC Group, Inc.*		9,100		336,245
				753,746
Commercial Banks - 1.14%
Taylor Capital Group, Inc.*+		22,100		362,219
Commercial Services & Supplies - 2.68%
Consolidated Graphics, Inc.*		14,500		421,225
InnerWorkings, Inc.*+		31,700		428,901
				850,126
Communications Equipment - 0.81%
Globecomm Systems, Inc.*		25,300		256,542
Construction & Engineering - 0.92%
Dycom Industries, Inc.*		15,700		292,177
Consumer Finance - 3.95%
Cash America International, Inc.		3,200		140,928
Credit Acceptance Corp.*		6,400		540,352
DFC Global Corp.*		10,500		193,515
World Acceptance Corp.*		5,800		381,640
				1,256,435
Diversified Consumer Services - 2.28%
Coinstar, Inc.*+		5,600		384,496
Grand Canyon Education, Inc.*		16,300		341,322
				725,818

Industry Company	Shares		Value
Diversified Telecommunication Services - 0.54%
Vonage Holdings Corp.*		85,300		$   171,453
Electronic Equipment, Instruments & Components - 4.75%
Brightpoint, Inc.*		31,600		170,956
Insight Enterprises, Inc.*		23,600		397,188
OSI Systems, Inc.*		10,600		671,404
Viasystems Group, Inc.*		15,900		270,300
				1,509,848
Energy Equipment & Services - 1.76%
Global Geophysical
Services, Inc.*		41,900		256,428
Pioneer Drilling Co.*		38,100		303,657
				560,085
Food & Staples Retailing - 1.36%
Casey’s General Stores, Inc.		7,300		430,627
Food Products - 1.26%
Smart Balance, Inc.*		42,700		400,953
Health Care Equipment & Supplies - 2.18%
Align Technology, Inc.*		7,100		237,566
Orthofix International NV*		11,000		453,750
				691,316
Health Care Providers & Services - 10.18%
AMERIGROUP Corp.*		5,300		349,323
Bio-Reference Labs, Inc.*		6,600		173,448
Ensign Group, Inc. (The)		14,300		404,261
Metropolitan Health Networks, Inc.*		96,100		919,677
MWI Veterinary Supply, Inc.*		4,800		493,296
RadNet, Inc.*		33,499		89,107
U.S. Physical Therapy, Inc.		10,200		259,386
WellCare Health Plans, Inc.*		10,300		545,900
				3,234,398
Health Care Technology - 1.08%
HealthStream, Inc.*		13,200		343,200
Hotels, Restaurants & Leisure - 4.71%
Caribou Coffee Co., Inc.*		13,300		171,703
CEC Entertainment, Inc.#		7,800		283,686
Cheesecake Factory, Inc. (The)*		12,600		402,696
Krispy Kreme Doughnuts, Inc.*		38,100		243,459
Papa John’s International, Inc.*		700		33,299

  www.bridgeway.com 54

Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Town Sports International Holdings, Inc.*		27,300		$  362,817
				1,497,660
Industrial Conglomerates - 1.15%
Standex International Corp.		8,600		366,102
Internet Software & Services - 1.09%
j2 Global, Inc.+		13,100		346,102
IT Services - 8.09%
CACI International, Inc.,
Class A*		7,700		423,654
Cardtronics, Inc.*		14,800		447,108
Computer Task Group, Inc.*		34,600		518,654
Hackett Group, Inc. (The)*		66,100		368,177
Heartland Payment Systems, Inc.		14,600		439,168
Unisys Corp.*		19,200		375,360
				2,572,121
Leisure Equipment & Products - 3.65%
LeapFrog Enterprises, Inc.*		22,000		225,720
Smith & Wesson Holding Corp.*		49,100		408,021
Sturm Ruger & Co., Inc.+		13,100		525,965
				1,159,706
Machinery - 3.94%
Flow International Corp.*		100,816		317,571
Sauer-Danfoss, Inc.		9,000		314,370
Trimas Corp.*		30,800		619,080
				1,251,021
Media - 2.13%
Sinclair Broadcast Group, Inc., Class A		74,800		677,688
Oil, Gas & Consumable Fuels - 4.00%
Adams Resources & Energy, Inc.		9,800		410,816
Berry Petroleum Co., Class A		7,800		309,348
Clayton Williams Energy, Inc.*		3,500		169,330
Contango Oil & Gas Co.*		4,500		266,400
Westmoreland Coal Co.*		14,400		115,920
				1,271,814

Industry Company	Shares		Value
Paper & Forest Products - 1.08%
Neenah Paper, Inc.		12,800		$  341,632
Personal Products - 1.06%
USANA Health Sciences, Inc.*+		8,200		337,184
Professional Services - 3.77%
GP Strategies Corp.*		20,800		384,176
Insperity, Inc.		17,500		473,375
On Assignment, Inc.*		21,400		341,544
				1,199,095
Road & Rail - 0.54%
Quality Distribution, Inc.*		15,600		173,004
Semiconductors & Semiconductor Equipment - 3.32%
Cirrus Logic, Inc.*		22,600		675,288
GT Advanced Technologies, Inc.*		71,700		378,576
				1,053,864
Software - 1.65%
ePlus, Inc.*		8,900		287,915
QAD, Inc., Class A		16,600		236,052
				523,967
Specialty Retail - 9.92%
America’s Car-Mart, Inc.*		6,900		268,065
Destination Maternity Corp.		10,800		233,280
Express, Inc.*		16,500		299,805
Genesco, Inc.*		6,200		372,930
Lumber Liquidators Holdings, Inc.*+		11,000		371,690
Pier 1 Imports, Inc.		19,200		315,456
Sally Beauty Holdings, Inc.*		18,000		463,320
Select Comfort Corp.*		22,600		472,792
Zumiez, Inc.*+		9,000		356,400
				3,153,738
Trading Companies & Distributors - 4.46%
DXP Enterprises, Inc.*		14,900		618,201
H&E Equipment Services, Inc.*		18,300		275,049
United Rentals, Inc.*		15,400		524,216
				1,417,466
TOTAL COMMON STOCKS - 99.85% (Cost $28,930,980)				31,730,086

  55 Annual Report | June 30, 2012  

Bridgeway Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Rate^	Shares		Value
MONEY MARKET FUND - 0.06%
BlackRock FedFund              0.01%		17,992		$17,992
TOTAL MONEY MARKET FUND - 0.06%				17,992
(Cost $17,992)
TOTAL INVESTMENTS - 99.91%			$	31,748,078
(Cost $28,948,972)
Other Assets in Excess of Liabilities - 0.09%				30,183
NET ASSETS - 100.00%			$	31,778,261
*     Non-income producing security. #    Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $283,686. ^    Rate disclosed as of June 30, 2012. +    This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $3,103,705 at June 30, 2012.

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	31,730,086	$	—	$	—	$	31,730,086
Money Market Fund		—		17,992		—		17,992
TOTAL	$	31,730,086	$	17,992	$	—	$	31,748,078
See Notes to Financial Statements.

  www.bridgeway.com 56

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

June 30, 2012

Dear Fellow Small-Cap Value Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 2.31%, outperforming our primary market benchmark, the Russell 2000 Value Index (-3.01%) and our peer benchmark, the Lipper Small-Cap Value Funds Index (-5.37%). We are pleased to have provided some “cushion” in a declining market.

For the fiscal year ended June 30, 2012, our Fund declined 0.59%, outperforming our primary market benchmark, the Russell 2000 Value Index (-1.44%) and our peer benchmark, the Lipper Small-Cap Value Funds Index (-3.37%). We still have more ground to make up for the longer five-year and inception-to-date periods.

The table below presents our June quarter, one-year, five-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

			Annualized
	Quarter	1 Year	5 Years	Since Inception (10/31/03)
Small-Cap Value Fund	-2.31%	-0.59%	-3.95%	5.04%
Russell 2000 Value Index	-3.01%	-1.44%	-1.05%	6.13%
Lipper Small-Cap Value Funds Index	-5.37%	-3.37%	-0.06%	6.87%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. The Lipper Small-Cap Value Funds Index is an index of small-company, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Small-Cap Value Fund ranked 78th of 328 small-cap value funds for the twelve-month period ended June 30, 2012, 223rd of 234 over the last five years and 142nd of 163 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

  57 Annual Report | June 30, 2012  

Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Small-Cap Value Fund vs. Russell 2000 Value Index & Lipper Small-Cap Value Funds Index

from Inception 10/31/03 to 6/30/12

Detailed Explanation of Quarterly Performance

The Short Version: Consumer Staples and Materials stocks helped, while Financials stocks hurt our relative performance.

The largest sector discrepancy between our Fund and the Russell 2000 Value Index was in the Financials sector, which made up a whopping 38% of the Index on average for the quarter. Our underweighting and stock selection in this sector cost us almost three-fourths of a percent in relative return. Fortunately, our strong stock picks in the Consumer Staples and Materials sectors more than made up the difference, adding nearly two percent to our relative return.

Detailed Explanation of Fiscal Year Performance

The Short Version: Stock picking in the Consumer Discretionary and Materials sectors carried the Fund for the fiscal year.

The Fund’s sector allocation was very much in line with the Russell 2000 Value Index for the fiscal year. Solid stock picking in the Consumer Discretionary and Materials sectors helped our relative performance by almost four percent. On the other end of the spectrum, weak stock picks in the heavily weighted Finance sector (35.5% of Fund net assets on average for the fiscal year) cost us about one-half percent in relative returns.

  www.bridgeway.com 58

Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Amerco, Inc.	Road & Rail		2.1%
2	PH Glatfelter Co.	Paper & Forest Products		2.1%
3	Sinclair Broadcast Group, Inc.	Media		2.0%
4	Town Sports International Holdings, Inc.	Hotels, Restaurants & Leisure		1.8%
5	Insight Enterprises, Inc.	Electronic Equipment, Instruments & Components		1.7%
6	Genesco, Inc.	Specialty Retail		1.7%
7	First Industrial Realty Trust, Inc.	Real Estate Investment Trusts (REITs)		1.7%
8	Retail Opportunity Investments Corp.	Real Estate Investment Trusts (REITs)		1.6%
9	Dillard’s, Inc.	Multiline Retail		1.6%
10	El Paso Electric Co.	Electric Utilities		1.5%
	Total			17.8%

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of Russell 2000 Value Index		Difference
Consumer Discretionary		12.3%		11.4%	0.9%
Consumer Staples		5.3%		2.7%	2.6%
Energy		4.7%		6.7%	-2.0%
Financials		30.7%		35.8%	-5.1%
Health Care		5.6%		4.8%	0.8%
Industrials		17.6%		12.9%	4.7%
Information Technology		8.2%		13.0%	-4.8%
Materials		7.2%		5.1%	2.1%
Telecommunication Services		1.2%		0.6%	0.6%
Utilities		5.2%		7.0%	-1.8%
Cash & Other Assets		2.0%		0.0%	2.0%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn.

Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

  59 Annual Report | June 30, 2012  

Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Conclusion

Thank you for your continued investment in Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  www.bridgeway.com 60

Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 97.95%
Aerospace & Defense - 1.87%
GenCorp, Inc.*		85,900	$	559,209
Triumph Group, Inc.		12,500		703,375
				1,262,584
Airlines - 4.39%
Alaska Air Group, Inc.*		27,500		987,250
Hawaiian Holdings, Inc.*		122,000		794,220
Republic Airways Holdings, Inc.*		93,200		517,260
US Airways Group, Inc.*		50,200		669,166
				2,967,896
Auto Components - 0.38%
Standard Motor Products, Inc.		18,200		256,256
Biotechnology - 0.40%
Maxygen, Inc.*		8,000		47,680
Vanda Pharmaceuticals, Inc.*		51,000		224,400
				272,080
Building Products - 0.80%
NCI Building Systems, Inc.*		50,000		541,500
Capital Markets - 1.63%
Arlington Asset Investment Corp., Class A		32,700		709,917
Calamos Asset Management, Inc., Class A		34,100		390,445
				1,100,362
Chemicals - 2.14%
American Vanguard Corp.		37,100		986,489
Quaker Chemical Corp.		9,900		457,479
				1,443,968
Commercial Banks - 5.76%
Bancfirst Corp.		11,000		461,010
Bancorp, Inc. (The)*		47,200		446,040
City Holding Co.+		16,900		569,361
FNB Corp.		33,300		361,971
Merchants Bancshares, Inc.		11,500		316,825
Renasant Corp.		20,300		318,913
Taylor Capital Group, Inc.*+		30,000		491,700
United Community Banks, Inc.*		55,640		476,835
Wintrust Financial Corp.		12,800		454,400
				3,897,055

Industry Company	Shares		Value
Commercial Services & Supplies - 0.47%
Cenveo, Inc.*+		163,400	$	315,362
Communications Equipment - 0.41%
Globecomm Systems, Inc.*		27,000		273,780
Construction & Engineering - 0.87%
Dycom Industries, Inc.*		31,500		586,215
Consumer Finance - 1.11%
Nelnet, Inc., Class A		15,900		365,700
World Acceptance Corp.*		5,800		381,640
				747,340
Containers & Packaging - 1.09%
Myers Industries, Inc.		43,000		737,880
Diversified Financial Services - 0.79%
Interactive Brokers Group, Inc., Class A		36,400		535,808
Diversified Telecommunication Services - 1.16%
IDT Corp., Class B		22,800		223,668
Vonage Holdings Corp.*		277,700		558,177
				781,845
Electric Utilities - 3.41%
Cleco Corp.		21,300		890,979
El Paso Electric Co.		31,500		1,044,540
Unitil Corp.		13,900		368,350
				2,303,869
Electronic Equipment, Instruments & Components - 3.60%
Brightpoint, Inc.*		69,600		376,536
Insight Enterprises, Inc.*		67,400		1,134,342
OSI Systems, Inc.*		14,600		924,764
				2,435,642
Energy Equipment & Services - 1.93%
Helix Energy Solutions
Group, Inc.*		42,900		703,989
Pioneer Drilling Co.*		75,100		598,547
				1,302,536
Food & Staples Retailing - 2.62%
Pantry, Inc. (The)*		31,900		468,930
Susser Holdings Corp.*		16,300		605,871
Weis Markets, Inc.		15,600		694,512
				1,769,313
Food Products - 1.34%
Smart Balance, Inc.*		96,300		904,257

  61 Annual Report | June 30, 2012  

Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Gas Utilities - 1.01%
Laclede Group, Inc. (The)		17,100	$	680,751
Health Care Providers & Services - 3.31%
Kindred Healthcare, Inc.*		67,100		659,593
Skilled Healthcare Group, Inc., Class A*		90,300		567,084
Triple-S Management Corp., Class B*		26,100		477,108
U.S. Physical Therapy, Inc.		21,000		534,030
				2,237,815
Hotels, Restaurants & Leisure - 2.44%
Caribou Coffee Co., Inc.*		33,700		435,067
Town Sports International Holdings, Inc.*		91,500		1,216,035
				1,651,102
Household Durables - 1.88%
Blyth, Inc.		17,000		587,520
Hovnanian Enterprises, Inc., Class A*		235,700		683,530
				1,271,050
Industrial Conglomerates - 0.74%
Standex International Corp.		11,800		502,326
Insurance - 7.84%
Argo Group International Holdings, Ltd.		14,900		436,123
CNO Financial Group, Inc.		100,600		784,680
Employers Holdings, Inc.		21,600		389,664
Primerica, Inc.		30,100		804,573
ProAssurance Corp.		7,600		677,084
RLI Corp.		10,300		702,460
Symetra Financial Corp.		61,800		779,916
United Fire Group, Inc.		20,200		430,866
Universal Insurance
Holdings, Inc.		87,491		298,344
				5,303,710
IT Services - 2.12%
CACI International, Inc., Class A*		15,800		869,316
Unisys Corp.*		29,000		566,950
				1,436,266
Leisure Equipment & Products - 0.69%
Arctic Cat, Inc.*		12,800		467,968
Machinery - 1.17%
Lydall, Inc.*		58,500		790,920

Industry Company	Shares		Value
Media - 2.02%
Sinclair Broadcast Group, Inc., Class A#		151,100	$	1,368,966
Metals & Mining - 1.13%
Kaiser Aluminum Corp.		14,700		762,048
Multiline Retail - 1.61%
Dillard’s, Inc., Class A		17,100		1,088,928
Oil, Gas & Consumable Fuels - 2.74%
Cloud Peak Energy, Inc.*		45,100		762,641
Swift Energy Co.*		13,500		251,235
Western Refining, Inc.		27,000		601,290
Westmoreland Coal Co.*		29,300		235,865
				1,851,031
Paper & Forest Products - 2.81%
Neenah Paper, Inc.		18,800		501,772
PH Glatfelter Co.		85,600		1,401,272
				1,903,044
Personal Products - 1.38%
Elizabeth Arden, Inc.*		24,100		935,321
Pharmaceuticals - 1.40%
Medicines Co. (The)*		41,400		949,716
Professional Services - 0.05%
CBIZ, Inc.*		5,700		33,858
Real Estate Investment Trusts (REITs) - 10.79%
Agree Realty Corp.		1,703		37,687
ARMOUR Residential REIT, Inc.+		59,300		421,623
BioMed Realty Trust, Inc.		53,900		1,006,852
First Industrial Realty Trust, Inc.*		89,100		1,124,442
Gramercy Capital Corp.*		225,300		563,250
iStar Financial, Inc.*+		81,300		524,385
MPG Office Trust, Inc.*		172,700		347,127
National Retail Properties, Inc.		25,600		724,224
One Liberty Properties, Inc.		11,800		222,194
Retail Opportunity Investments Corp.+		91,000		1,097,460
Sabra Health Care REIT, Inc.		27,400		468,814
Weingarten Realty Investors		28,840		759,646
				7,297,704
Road & Rail - 5.17%
Amerco, Inc.		15,700		1,412,529

  www.bridgeway.com 62

Bridgeway Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Road & Rail (continued)
Arkansas Best Corp.		19,800	$249,480
Quality Distribution, Inc.*		29,400	326,046
RailAmerica, Inc.*		37,700	912,340
Saia, Inc.*		27,200	595,408
			3,495,803
Semiconductors & Semiconductor Equipment - 2.10%
Amkor Technology, Inc.*		143,000	697,840
Photronics, Inc.*		118,800	724,680
			1,422,520
Specialty Retail - 4.24%
Cabela’s, Inc.*		19,600	741,076
Conn’s, Inc.*+		27,600	408,480
Genesco, Inc.*		18,800	1,130,820
Penske Automotive Group, Inc.+		27,500	584,100
			2,864,476
Thrifts & Mortgage Finance - 3.21%
Doral Financial Corp.*		243,800	365,700
Northwest Bancshares, Inc.		58,200	681,522
Ocwen Financial Corp.*		51,100	959,658
Oritani Financial Corp.		11,346	163,269
			2,170,149
Trading Companies & Distributors - 1.12%
United Rentals, Inc.*		22,200	755,688
Water Utilities - 0.81%
American States Water Co.		13,800	546,204
TOTAL COMMON STOCKS - 97.95%			66,222,912
(Cost $59,880,766)

	Rate^	Shares		Value
MONEY MARKET FUND - 1.90%
BlackRock FedFund	0.01%		1,282,952		$1,282,952
TOTAL MONEY MARKET FUND - 1.90%					1,282,952
(Cost $1,282,952)
Total Investments - 99.85%					$67,505,864
(Cost $61,163,718)
Other Assets in Excess of Liabilities - 0.15%					103,982
NET ASSETS - 100.00%					$67,609,846

* Non-income producing security.

# Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $271,800.

^ Rate disclosed as of June 30, 2012.

+ This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $4,232,950 at June 30, 2012.

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

Valuation Inputs
Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	66,222,912	$	—	$	—	$	66,222,912
Money Market Fund		—		1,282,952		—		1,282,952
TOTAL	$	66,222,912	$	1,282,952	$	—	$	67,505,864
Other Financial Instruments**
Swaps	$	—	$	33,837	$	—	$	33,837
TOTAL	$	—	$	33,837	$	—	$	33,837

** Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.

See Notes to Financial Statements

  63 Annual Report | June 30, 2012  

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

June 30, 2012

Dear Fellow Large-Cap Growth Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 3.96%, slightly outperforming our primary market benchmark, the Russell 1000 Growth Index (-4.02%) and beating our peer benchmark, the Lipper Large-Cap Growth Funds Index (-6.32%). In a quarter containing the fourth high correlation spike since 2008 (see page 3), we are pleased with these results.

For the fiscal year ended June 30, 2012, our Fund appreciated 0.37%, trailing our primary market benchmark, the Russell 1000 Growth Index (+5.76%), and our peer benchmark, the Lipper Large-Cap Growth Funds Index (+1.26%). The fiscal year contained two high correlation spikes, conditions in which our growth leaning Funds have generally not fared well. Additionally, compared to our primary benchmark, our more reasonable but still strong weighting of Apple Inc. (3.0% versus 6.4%) cost the Fund 1.6% of relative performance in the fiscal year.

The table below presents our June quarter, one-year, five-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

					Annualized
	Quarter		1 Year		5 Years		Since Inception (10/31/03)
Large-Cap Growth Fund		-3.96%		0.37%		-0.54%		3.77%
Russell 1000 Growth Index		-4.02%		5.76%		2.87%		5.49%
Lipper Large-Cap Growth Funds Index		-6.32%		1.26%		1.24%		4.28%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 1000 Growth Index is an unmanaged index that consists of stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Large-Cap Growth Funds Index is an index of large-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Large-Cap Growth Fund ranked 204th of 504 large-cap growth funds for the twelve-month period ended June 30, 2012, 251st of 362 over the last five years and 231st of 270 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

  www.bridgeway.com 64

Large-Cap Growth Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Large-Cap Growth Fund vs. Russell 1000 Growth Index & Lipper Large-Cap Growth Funds Index

from Inception 10/31/03 to 6/30/12

Detailed Explanation of Quarterly Performance

The Short Version: In spite of a company size disadvantage costing the Fund about 0.8% of returns relative to our primary market benchmark, and in spite of the fourth high correlation spike of a macro driven economy, our Fund eked out a slight market-beating return. The Energy sector added the most (about one half percent) to relative returns for the quarter.

In any era where investors move to the largest, most stable stocks, our non-market cap weighting strategy puts our Fund at some disadvantage relative to our market benchmark, which is market cap weighted. A market cap weighted strategy means owning companies in proportion to their size. Over the long haul, our strategy has historically given us a slight tailwind. Not so in this quarter (where we had a 0.8% disadvantage in relative performance) and especially in the fiscal year, as highlighted below. Recent large cap dominance is not unrelated to the macro-driven market environment discussed on page 3.

Strong stock picking combined with our underweighting in the poorly performing Energy sector added over one half percent to our relative returns for the quarter.

Detailed Explanation of Fiscal Year Performance

The Short Version: In the unfavorable market environment of two high correlation spikes (see page 3), investors flocked to the safety of the market’s largest stocks. This cost our Fund 4.4% of returns relative to our primary market benchmark, accounting for most of our fiscal year underperformance.

Company size was the biggest factor in our Fund’s fiscal year underperformance relative to our primary market benchmark. Apple Inc. soared 74% and accounted for over two percentage points of our relative underperformance, since the company comprised approximately 6.4% of the Russell 1000 Growth Index and 3.4% of the Fund during the fiscal year. The Fund’s adviser believes that the index’s 6.4% weighting leads to company specific risk that is not commensurately rewarded with returns over the long haul. This phenomenon was just as true with Microsoft in the late 1990’s. It’s an approach that is great on the way up, but very painful on the way down; at any rate, it does not line up with Bridgeway’s careful management of company, industry, and sector specific risk. Overall, this company size difference between the Fund and the Index accounted for a whopping 4.4% fiscal year performance difference.

  65 Annual Report | June 30, 2012  

Large-Cap Growth Fund MANAGER’S COMMENTARY (Unaudited) (continued)

From a sector viewpoint, Information Technology and Consumer Discretionary stocks hurt performance the most. Consumer Staples and Industrials helped some, but not nearly enough to make up the difference.

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Apple, Inc.	Computers & Peripherals		3.4%
2	International Business Machines Corp.	IT Services		2.5%
3	Viacom, Inc.	Media		1.7%
4	Mastercard, Inc.	IT Services		1.7%
5	Colgate-Palmolive Co.	Household Products		1.6%
6	Biogen Idec, Inc.	Biotechnology		1.6%
7	Union Pacific Corp.	Road & Rail		1.5%
8	AutoZone, Inc.	Specialty Retail		1.5%
9	Sherwin-Williams Co. (The)	Chemicals		1.5%
10	Google, Inc.	Internet Software & Services		1.4%
	Total			18.4%

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of Russell 1000 Growth Index		Difference
Consumer Discretionary		22.9%		16.2%		6.7%
Consumer Staples		12.2%		13.2%		-1.0%
Energy		8.1%		3.7%		4.4%
Financials		3.2%		4.5%		-1.3%
Health Care		9.0%		11.9%		-2.9%
Industrials		12.1%		12.4%		-0.3%
Information Technology		20.2%		31.7%		-11.5%
Materials		8.4%		3.9%		4.5%
Telecommunication Services		2.5%		2.3%		0.2%
Utilities		0.0%		0.2%		-0.2%
Cash & Other Assets		1.4%		0.0%		1.4%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

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

  www.bridgeway.com 66

Large-Cap Growth Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Conclusion

Thank you for your continued investment in Large-Cap Growth Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  67 Annual Report | June 30, 2012  

Bridgeway Large-Cap Growth Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 98.55%
Aerospace & Defense - 4.16%
Boeing Co. (The)		5,900	$	438,370
Lockheed Martin Corp.		5,800		505,064
Precision Castparts Corp.		2,300		378,327
Textron, Inc.		27,800		691,386
				2,013,147
Airlines - 1.12%
United Continental Holdings, Inc.*		22,300		542,559
Automobiles - 0.83%
Ford Motor Co.		42,100		403,739
Beverages - 3.94%
Brown-Forman Corp., Class B		3,000		290,550
Coca-Cola Co. (The)		6,600		516,054
Coca-Cola Enterprises, Inc.		20,200		566,408
Monster Beverage Corp.*		7,500		534,000
				1,907,012
Biotechnology - 2.46%
Biogen Idec, Inc.*		5,400		779,652
Celgene Corp.*		6,400		410,624
				1,190,276
Chemicals - 4.67%
CF Industries Holdings, Inc.		3,300		639,342
Rockwood Holdings, Inc.		10,200		452,370
Sherwin-Williams Co. (The)		5,400		714,690
Valspar Corp.		8,700		456,663
				2,263,065
Commercial Banks - 1.05%
Huntington Bancshares, Inc.		79,900		511,360
Communications Equipment - 0.44%
Cisco Systems, Inc.		12,300		211,191
Computers & Peripherals - 5.07%
Apple, Inc.*#		2,800		1,635,200
Dell, Inc.*		36,700		459,484
Western Digital Corp.*		11,900		362,712
				2,457,396
Consumer Finance - 1.03%
Discover Financial Services		14,400		497,952
Containers & Packaging - 1.00%
Crown Holdings, Inc.*		14,100		486,309
Diversified Consumer Services - 0.53%
H&R Block, Inc.		16,100		257,278

Industry Company	Shares		Value
Diversified Financial Services - 1.10%
Moody’s Corp.		14,600	$	533,630
Diversified Telecommunication Services - 2.46%
tw telecom, inc.*		23,500		603,010
Verizon Communications, Inc.		13,200		586,608
				1,189,618
Energy Equipment & Services - 1.79%
Diamond Offshore Drilling, Inc.		6,300		372,519
Halliburton Co.		17,400		493,986
				866,505
Food & Staples Retailing - 2.53%
Costco Wholesale Corp.		4,700		446,500
Wal-Mart Stores, Inc.		4,900		341,628
Whole Foods Market, Inc.		4,600		438,472
				1,226,600
Food Products - 0.78%
General Mills, Inc.		9,800		377,692
Health Care Providers & Services - 3.75%
DaVita, Inc.*		6,800		667,828
HCA Holdings, Inc.		14,300		435,149
Humana, Inc.		2,800		216,832
McKesson Corp.		5,300		496,875
				1,816,684
Hotels, Restaurants & Leisure - 3.52%
Chipotle Mexican Grill, Inc.*		1,200		455,940
McDonald’s Corp.		5,000		442,650
Starbucks Corp.		8,900		474,548
Wynn Resorts, Ltd.		3,200		331,904
				1,705,042
Household Durables - 0.21%
Tempur-Pedic International, Inc.*		4,400		102,916
Household Products - 3.45%
Colgate-Palmolive Co.		7,500		780,750
Kimberly-Clark Corp.		5,300		443,981
Procter & Gamble Co. (The)		7,300		447,125
				1,671,856
Internet Software & Services - 1.44%
Google, Inc., Class A*		1,200		696,084
IT Services - 9.18%
Accenture PLC, Class A		8,800		528,792

  www.bridgeway.com 68

Bridgeway Large-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
IT Services (continued)
Alliance Data Systems Corp.*		3,800	$	513,000
International Business Machines Corp.		6,300		1,232,154
Mastercard, Inc., Class A		1,900		817,209
NeuStar, Inc., Class A*		10,300		344,020
Visa, Inc., Class A		4,100		506,883
Western Union Co. (The)		29,900		503,516
				4,445,574
Leisure Equipment & Products - 0.65%
Polaris Industries, Inc.		4,400		314,512
Life Sciences Tools & Services - 0.86%
Agilent Technologies, Inc.		10,600		415,944
Machinery - 0.92%
Cummins, Inc.		4,600		445,786
Marine - 1.41%
Kirby Corp.*		14,500		682,660
Media - 3.89%
Comcast Corp., Class A		20,000		639,400
DIRECTV, Class A*		8,600		419,852
Viacom, Inc., Class B		17,600		827,552
				1,886,804
Metals & Mining - 2.71%
Cliffs Natural Resources, Inc.		5,100		251,379
Freeport-McMoRan Copper & Gold, Inc.		16,400		558,748
Southern Copper Corp.		15,900		501,009
				1,311,136
Multiline Retail - 2.78%
Dollar General Corp.*		8,300		451,437
Dollar Tree, Inc.*		6,400		344,320
Macy’s, Inc.		16,000		549,600
				1,345,357
Oil, Gas & Consumable Fuels - 6.34%
Chevron Corp.		3,400		358,700
ConocoPhillips		5,900		329,692
Denbury Resources, Inc.*		24,300		367,173
HollyFrontier Corp.		10,600		375,558
Marathon Petroleum Corp.		13,200		592,944
Occidental Petroleum Corp.		5,500		471,735
Phillips 66*		2,950		98,058
Pioneer Natural Resources Co.		5,400		476,334
				3,070,194

Industry Company	Shares		Value
Personal Products - 1.49%
Estee Lauder Cos., Inc., Class A (The)		8,500	$	460,020
Herbalife, Ltd.		5,400		260,982
				721,002
Pharmaceuticals - 1.91%
Abbott Laboratories		6,900		444,843
Allergan, Inc.		5,200		481,364
				926,207
Road & Rail - 2.55%
CSX Corp.		22,200		496,392
Union Pacific Corp.		6,200		739,722
				1,236,114
Semiconductors & Semiconductor Equipment - 2.23%
Intel Corp.		9,100		242,515
Lam Research Corp.*		9,000		339,660
Xilinx, Inc.		14,900		500,193
				1,082,368
Software - 1.87%
Microsoft Corp.		7,700		235,543
Oracle Corp.		22,600		671,220
				906,763
Specialty Retail - 9.74%
Advance Auto Parts, Inc.		7,100		484,362
AutoZone, Inc.*		2,000		734,340
Bed Bath & Beyond, Inc.*		3,900		241,020
Home Depot, Inc. (The)		11,000		582,890
Limited Brands, Inc.		6,900		293,457
PetSmart, Inc.		3,700		252,266
Ross Stores, Inc.		7,800		487,266
Sally Beauty Holdings, Inc.*		15,900		409,266
TJX Cos., Inc.		11,400		489,402
Tractor Supply Co.		3,800		315,628
Ulta Salon Cosmetics & Fragrance, Inc.		4,600		429,548
				4,719,445
Textiles, Apparel & Luxury Goods - 0.71%
PVH Corp.		4,400		342,276
Trading Companies & Distributors - 1.98%
Fastenal Co.		7,200		290,232
W.W. Grainger, Inc.		3,500		669,340
				959,572
TOTAL COMMON STOCKS - 98.55% (Cost $42,589,867)				47,739,625

  69 Annual Report | June 30, 2012  

Bridgeway Large-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

	Rate^			Shares		Value
MONEY MARKET FUND - 0.71%
BlackRock FedFund		0.01	%		346,004		$346,004
TOTAL MONEY MARKET FUND - 0.71%							346,004
(Cost $346,004)
TOTAL INVESTMENTS - 99.26%							$48,085,629
(Cost $42,935,871)
Other Assets in Excess of Liabilities - 0.74%							357,886
NET ASSETS - 100.00%							$48,443,515

*     Non-income producing security.

#    Securities, or a portion thereof, segregated to cover the Fund’s potential obligation under swap agreements. The total value of segregated assets is $467,200.

^    Rate disclosed as of June 30, 2012.

PLC - Public Limited Company

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	47,739,625	$	—	$	—	$	47,739,625
Money Market Fund		—		346,004		—		346,004
TOTAL	$	47,739,625	$	346,004	$	—	$	48,085,629
Other Financial Instru- ments**
Swaps	$	—	$	17,951	$	—	$	17,951
TOTAL	$	—	$	17,951	$	—	$	17,951

**   Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.

See Notes to Financial Statements.

  www.bridgeway.com 70

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

June 30, 2012

Dear Fellow Blue Chip 35 Index Fund Shareholder,

For the quarter ended June 30, 2012, our Fund declined 2.04%, outperforming our primary market benchmark, the S&P 500 Index (-2.75%), our peer benchmark, the Lipper Large-Cap Core Funds Index (-3.39%), but trailing the Russell Top 50 Index (-1.93%). We performed as expected in a period where the very largest caps had the highest returns.

For the fiscal year ending June 30, 2012, the Fund appreciated 9.72%, outperforming our primary market benchmark, the S&P 500 Index (+5.45%) and our peer benchmark, the Lipper Large-Cap Core Funds Index (+2.65%), but trailing the Russell Top 50 Index (+11.44%). In line with our Fund’s design, we outperformed our primary market benchmark in a period where large companies dominated performance. Apple Inc.’s whopping 7.4% representation in the Russell Top 50 Index, almost twice Apple’s (still large) representation in our Fund, caused a “headwind” of approximately 1.4%. This accounts for most of our underperformance relative to the more concentrated and riskier Russell Top 50 Index.

The table below presents our June quarter, one-year, five-year, ten-year and inception-to-date financial results. See the next page for a graph of performance from inception.

Standardized Returns as of June 30, 2012

					Annualized
	Quarter		1 Year		5 Years		10 Years		Since Inception   (7/31/97)
Blue Chip 35 Index Fund		-2.04%		9.72%		1.23%		5.04%	4.80%
S&P 500 Index		-2.75%		5.45%		0.22%		5.33%	4.26%
Russell Top 50 Index		-1.93%		11.44%		0.44%		4.39%	3.22%
Bridgeway Ultra-Large 35 Index		-1.99%		10.26%		1.53%		5.27%	4.98%
Lipper Large-Cap Core Funds Index		-3.39%		2.65%		-0.47%		4.32%	3.47%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell Top 50 Index measures the performance of the largest companies in the Russell 3000 Index. It includes 50 of the largest securities, based on a combination of their market cap and current index membership, and represents approximately 40% of the total market capitalization of the Russell 3000 Index. The Bridgeway Ultra-Large 35 Index is an index comprised of very large, “blue chip” U.S. stocks, excluding tobacco; it is compiled by the adviser of the Fund. The Lipper Large-Cap Core Funds Index reflects the aggregate record of domestic large-cap core mutual funds as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, Blue-Chip 35 Index Fund ranked 23rd of 1,042 large-cap core funds for the twelve months ending June 30, 2012, 105th of 807 over the last five years, 185th of 550 over the last ten years, and 59th of 259 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.

  71 Annual Report | June 30, 2012  

Blue Chip 35 Index Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Blue Chip 35 Index Fund vs. S&P 500 Index, Russell Top 50 Index*, Bridgeway Ultra-Large 35 Index & Lipper Large-Cap Core Funds Index from Inception 7/31/97 to 6/30/12

* The Russell Top 50 Index began on12/31/2001, and the line graph for the Index begins at the same value as the Fund on that date.

Quarterly and Fiscal Year Performance by Company Size:

The Short Version: Ultra-large stocks were the place to be for the quarter and the year as they dominated nearly all other size stocks. Relative to our primary market benchmark, the S&P 500 Index, our Fund’s advantages over the last year included both its ultra-large size and our less risky “roughly equal” strategy of weighting stocks. The latter tends to help in choppy markets such as the last year.

As demonstrated in the table below, ultra-large or CRSP 1 decile stocks outperformed all other market cap stocks, with the exception of ultra-small or CRSP 10 stocks, for the quarter. This gave us a sizeable edge over the S&P 500 Index; almost 22% of its holdings fell outside the ultra-large stock category.

For the fiscal year ended June 30, 2012, ultra-large stocks outperformed all other deciles of market caps by at least seven and three-fourths percent. This market condition allowed us to rank as high as we did in the Lipper Large-Cap Core Funds category for the year as shown above. However, it is also one of the conditions where our equal weighting philosophy hinders performance, as demonstrated by our underperformance versus the market-cap weighted Russell Top 50 Index.

Standardized Returns as of June 30, 2012

					Annualized
CRSP Decile1	Quarter		1 Year		5 Years		10 Years		86.5 Years
1 (ultra-large)		-2.27%		7.66%		0.49%		4.81%		9.09%
2		-4.61%		-0.15%		0.68%		8.05%		10.39%
3		-6.33%		-4.40%		0.89%		8.12%		10.77%
4		-6.85%		-3.88%		2.02%		8.92%		10.73%
5		-5.81%		-6.10%		2.84%		9.84%		11.27%
6		-5.24%		-1.48%		1.77%		8.45%		11.25%
7		-4.02%		-1.88%		3.09%		9.34%		11.25%
8		-5.21%		-2.22%		2.93%		9.69%		11.45%
9		-4.13%		-2.88%		1.61%		8.31%		11.46%
10 (ultra-small)		-2.01%		-0.85%		0.97%		11.61%		13.02%

  www.bridgeway.com 72

Blue Chip 35 Index Fund MANAGER’S COMMENTARY (Unaudited) (continued)

1 Performance figures are as of the period ended June 30, 2012. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of the publicly traded U.S. stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

Apart from a size advantage, our quarterly rebalancing of company weights, what we call a “roughly equal weighting strategy,” gave us a performance boost in the fiscal year. This strategy has a “buy low, sell high” feel to it. Historically, over the nearly 15 year history of our Fund — and not in every quarter or year — it has allowed our Fund to keep up with, or slightly exceed, the returns of the S&P 500 with less risk.

The poster child for this strategy in fiscal year 2012 is Occidental Petroleum. Occidental declined a whopping 30.90% in the September quarter, much worse than the 10.79% decline of the Fund overall. Following our roughly equal weighting strategy, we added to this position, bringing it back up near the Fund average weight in the downturn. If it weren’t for the disciplined and mechanical nature of this Fund rebalancing, it might take a lot of “guts” to do so. But the discipline of our investment process ensures that we take this kind of emotion out of the process. It worked particularly well in the December quarter, as Occidental was our single best performer, up 31.67%. However, after this nice run-up, our conservative process had us trimming Occidental back toward our roughly equal weighting strategy. Our trim was not too badly timed, as Occidental followed energy prices downward over the next quarter. Had we held Occidental without adding and trimming because of our equal weighting philosophy (what most index funds do), the stock, which declined 15.73% for the fiscal year, would have contributed a negative 0.98% to the Fund. Occidental’s actual contribution to return was a negative 0.27%. This 0.71% difference may not seem like a lot, but it is more than four times the entire operating expenses of our Fund.

Here’s the full list of our companies’ contribution to returns for the fiscal year:

Rank	Company	Industry	% Contribution to Return
1	Apple, Inc.	Computers & Peripherals	2.3%
2	Visa, Inc.	IT Services	1.5%
3	Wal-Mart Stores, Inc.	Food & Staples Retailing	0.9%
4	Intel Corp.	Semiconductors & Semiconductor Equipment	0.8%
5	Verizon Communications, Inc.	Diversified Telecommunication Services	0.7%
6	CVS Caremark Corp.	Food & Staples Retailing	0.7%
7	Abbott Laboratories	Pharmaceuticals	0.7%
8	Merck & Co., Inc.	Pharmaceuticals	0.6%
9	Monsanto Co.	Chemicals	0.6%
10	Wells Fargo & Co.	Commercial Banks	0.6%
11	Microsoft Corp.	Software	0.5%
12	AT&T, Inc.	Diversified Telecommunication Services	0.5%
13	Pfizer, Inc.	Pharmaceuticals	0.5%
14	International Business Machines Corp.	IT Services	0.5%
15	Cisco Systems, Inc.	Communications Equipment	0.5%
16	Coca-Cola Co. (The)	Beverages	0.5%
17	Google, Inc.	Internet Software & Services	0.4%
18	General Electric Co.	Industrial Conglomerates	0.4%
19	McDonald’s Corp.	Hotels, Restaurants & Leisure	0.4%
20	United Parcel Service, Inc.	Air Freight & Logistics	0.3%
21	Exxon Mobil Corp.	Oil, Gas & Consumable Fuels	0.3%
22	Berkshire Hathaway, Inc.	Insurance	0.2%
23	Chevron Corp.	Oil, Gas & Consumable Fuels	0.2%

  73 Annual Report | June 30, 2012  

Blue Chip 35 Index Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Rank	Company	Industry	% Contribution  to Return
24	Johnson & Johnson	Pharmaceuticals	0.2%
25	ConocoPhillips	Oil, Gas & Consumable Fuels	0.1%
26	PepsiCo, Inc.	Beverages	0.1%
27	Procter & Gamble Co. (The)	Household Products	0.1%
28	Phillips 66	Oil, Gas & Consumable Fuels	0.0%
29	3M Co.	Industrial Conglomerates	-0.1%
30	Oracle Corp.	Software	-0.2%
31	Occidental Petroleum Corp.	Oil, Gas & Consumable Fuels	-0.3%
32	United Technologies Corp.	Aerospace & Defense	-0.3%
33	JPMorgan Chase & Co.	Diversified Financial Services	-0.4%
34	Bank of America Corp.	Diversified Financial Services	-0.5%
35	Schlumberger, Ltd.	Energy Equipment & Services	-0.7%
36	Goldman Sachs Group, Inc. (The)	Capital Markets	-0.8%
37	Hewlett-Packard Co.	Computers & Peripherals	-1.5%

* Returns are actual company returns for the period during which the Fund held shares.

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of S&P 500 Index		Difference
Consumer Discretionary		3.0%		11.0%		-8.0%
Consumer Staples		13.6%		11.3%		2.3%
Energy		13.5%		10.8%		2.7%
Financials		12.9%		14.4%		-1.5%
Health Care		10.3%		12.0%		-1.7%
Industrials		10.4%		10.5%		-0.1%
Information Technology		27.8%		19.7%		8.1%
Materials		2.6%		3.4%		-0.8%
Telecommunication Services		5.8%		3.2%		2.6%
Utilities		0.0%		3.7%		-3.7%
Cash & Other Assets		0.1%		0.0%		0.1%
Total		100.0%		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those of market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.

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

Conclusion

Thank you for your continued investment in Blue Chip 35 Index Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  www.bridgeway.com 74

Bridgeway Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 100.08%
Aerospace & Defense - 2.54%
United Technologies Corp.		88,680	$	6,698,000
Air Freight & Logistics - 2.61%
United Parcel Service, Inc., Class B		87,463		6,888,586
Beverages - 5.45%
Coca-Cola Co. (The)		97,857		7,651,439
PepsiCo, Inc.		95,450		6,744,497
				14,395,936
Capital Markets - 2.55%
Goldman Sachs Group, Inc. (The)		70,200		6,729,372
Chemicals - 2.60%
Monsanto Co.		82,850		6,858,323
Commercial Banks - 2.60%
Wells Fargo & Co.		205,359		6,867,205
Communications Equipment - 2.52%
Cisco Systems, Inc.		387,708		6,656,946
Computers & Peripherals - 6.47%
Apple, Inc.*		17,800		10,395,200
Hewlett-Packard Co.		332,700		6,690,597
				17,085,797
Diversified Financial Services - 5.18%
Bank of America Corp.		865,008		7,075,766
JPMorgan Chase & Co.		185,295		6,620,590
				13,696,356
Diversified Telecommunication Services - 5.84%
AT&T, Inc.		218,325		7,785,470
Verizon Communications, Inc.		171,889		7,638,747
				15,424,217
Energy Equipment & Services - 2.50%
Schlumberger, Ltd.		101,600		6,594,856
Food & Staples Retailing - 5.59%
CVS Caremark Corp.		146,100		6,827,253
Wal-Mart Stores, Inc.		113,719		7,928,489
				14,755,742
Hotels, Restaurants & Leisure - 3.03%
McDonald’s Corp.		90,500		8,011,965

Industry Company	Shares		Value
Household Products - 2.53%
Procter & Gamble Co. (The)		109,326	$	6,696,218
Industrial Conglomerates - 5.25%
3M Co.		77,050		6,903,680
General Electric Co.		333,843		6,957,288
				13,860,968
Insurance - 2.58%
Berkshire Hathaway, Inc., Class B*		81,950		6,828,893
Internet Software & Services - 2.59%
Google, Inc., Class A*		11,780		6,833,225
IT Services - 7.09%
International Business Machines Corp.		43,567		8,520,834
Visa, Inc., Class A		82,650		10,218,019
				18,738,853
Oil, Gas & Consumable Fuels - 11.02%
Chevron Corp.		65,195		6,878,072
ConocoPhillips		118,115		6,600,266
Exxon Mobil Corp.		80,687		6,904,387
Occidental Petroleum Corp.		82,050		7,037,428
Phillips 66*		50,957		1,693,811
				29,113,964
Pharmaceuticals - 10.35%
Abbott Laboratories		106,700		6,878,949
Johnson & Johnson		99,252		6,705,465
Merck & Co., Inc.		165,635		6,915,261
Pfizer, Inc.		297,244		6,836,612
				27,336,287
Semiconductors & Semiconductor Equipment - 3.47%
Intel Corp.		343,743		9,160,751
Software - 5.72%
Microsoft Corp.		262,745		8,037,370
Oracle Corp.		238,513		7,083,836
				15,121,206
TOTAL COMMON STOCKS - 100.08%				264,353,666
(Cost $187,537,346)

  75 Annual Report | June 30, 2012  

Bridgeway Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

	Rate^	Shares	Value
MONEY MARKET FUND - 0.00%
BlackRock FedFund	0.01%	5,950		$5,950
TOTAL MONEY MARKET FUND - 0.00%				5,950
(Cost $5,950)
TOTAL INVESTMENTS - 100.08%				$264,359,616
(Cost $187,543,296)
Liabilities in Excess of Other Assets - (0.08%)				(199,010	)
NET ASSETS - 100.00%				$264,160,606
*     Non-income producing security. ^    Rate disclosed as of June 30, 2012.

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs	Level 3 Significant Unobservable Inputs	Total
Common Stocks	$	264,353,666	$     —	$      —	$	264,353,666
Money Market Fund		—	5,950	—		5,950
TOTAL	$	264,353,666	$5,950	$      —	$	264,359,616

See Notes to Financial Statements.

  www.bridgeway.com 76

Managed Volatility Fund MANAGER’S COMMENTARY (Unaudited)

June 30, 2012

Dear Fellow Managed Volatility Fund Shareholder:

For the quarter ended June 30, 2012, Managed Volatility Fund returned 0.00%, outperforming our primary market benchmark, the S&P 500 Index (-2.75%), our peer benchmark, the Lipper Balanced Funds Index (-1.98%), but trailing the fixed income only Bloomberg/ EFFAS U.S. Government 1-3 Year Total Return Bond Index (+0.21%). It was a down quarter for the broad stock market, and we are pleased to have created a sizable cushion in a choppy, declining market.

For the full fiscal year ended June 30, 2012, the Fund appreciated 3.74%, trailing our primary market benchmark, the S&P 500 Index (+5.45%), but capturing 69% of the Index return — a favorable result. Our goal is to capture 40% or more of the market’s upside over the long term. Our short-term risk this quarter — a very short timeframe to measure it — was just over 50% (as measured by the standard deviation of monthly returns), compared to our goal of 40%.

Our hybrid Fund invests in both equity and fixed-income securities, while incorporating an options strategy designed to produce a conservative, lower-volatility Fund. During very favorable equity market conditions, the Fund often under-performs many of the more aggressive benchmarks. On the other hand, when stocks struggle and investors seek the safe haven of more conservative bonds, Managed Volatility Fund tends to perform better than the equity-only indexes. Thus, our Fund has generally performed according to our design over the last year.

The table below presents our June quarter, one-year, five-year, ten-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2012

					Annualized
	Quarter		1 Year		5 Years		10 Years		Since Inception (6/30/01)
Managed Volatility Fund		0.00%		3.74%		0.92%		4.04%	3.59%
S&P 500 Index		-2.75%		5.45%		0.22%		5.33%	2.96%
Bloomberg/EFFAS U.S. Government 1-3 Year Total Return Bond Index		0.21%		0.84%		3.35%		3.07%	3.40%
Lipper Balanced Funds Index		-1.98%		1.77%		1.81%		5.37%	4.12%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Bloomberg/ EFFAS U.S. Government 1-3 year Total Return Bond Index is a transparent benchmark for the total return of the 1-3 year U.S. Government bond market. The Lipper Balanced Funds Index is an index of balanced funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of June 30, 2012, the Managed Volatility Fund ranked 81st of 494 mixed-asset target allocation moderate funds for the fiscal year ended June 30, 2012, 297th of 402 over the past five years, 180th of 199 over the past ten years and 118th of 171 funds since inception on June 30, 2001. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

  77 Annual Report | June 30, 2012  

Managed Volatility Fund MANAGER’S COMMENTARY (Unaudited) (continued)

According to data from Morningstar as of June 30, 2012, the Managed Volatility Fund ranked 21st of 179 long-short funds for the fiscal year ended June 30, 2012, 15th out of 55 funds over the past five years and 9th of 19 funds over the last ten years. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

Managed Volatility Fund vs. S&P 500 Index, Bloomberg/EFFAS Bond Index & Lipper Balanced Funds Index

from Inception 6/30/01 to 6/30/12

Detailed Explanation of Quarterly Performance

The Short Version: The stock portion of our Fund hurt our relative returns, but the options premiums and fixed income portions of our Fund helped us beat the returns of the S&P 500 Index.

Our three most heavily weighted sectors, Energy, Information Technology and Industrials all performed poorly and, combined with our slight overweighting versus the Index in each one, they cost us some relative performance. We were helped by having a little higher percentage of stock holdings in the best performing ultra-large, or decile 1 stocks in the Fund versus the S&P 500 Index. As is generally inherent in a relatively flat market, few options were exercised, and the premiums we received from our covered call and put options boosted our returns. The fixed income portion of our Fund is mainly invested in U.S. Treasuries, which always cushions negative returns in a down market such as this quarter.

Detailed Explanation of Fiscal Year Performance

The Short Version: The Information Technology sector helped the most for the fiscal year, and the fixed income portion of the Fund reduced volatility.

For the fiscal year, Information Technology, Consumer Staples and Health Care stocks helped our performance the most. Energy and Consumer Discretionary stocks cost us some returns. The fixed income portion of our Fund performed in line with our strategy, which is to keep our returns less volatile than the Index.

  www.bridgeway.com 78

Managed Volatility Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net Assets
1	Exxon Mobil Corp.	Oil, Gas & Consumable Fuels	1.8%
2	Seagate Technology PLC	Computers & Peripherals	1.7%
3	Chevron Corp.	Oil, Gas & Consumable Fuels	1.5%
4	Apple, Inc.	Computers & Peripherals	1.5%
5	United Rentals, Inc.	Trading Companies & Distributors	1.4%
6	AutoZone, Inc.	Specialty Retail	1.4%
7	Travelers Cos., Inc. (The)	Insurance	1.2%
8	Brown-Forman Corp.	Beverages	1.2%
9	Cabela’s, Inc.	Specialty Retail	1.2%
10	L-3 Communications Holdings, Inc.	Aerospace & Defense	1.1%
			14.0%

Industry Sector Representation as of June 30, 2012

Asset Type	% of Net Assets
Common Stock		60.9%
Consumer Discretionary		7.6%
Consumer Staples		5.7%
Energy		8.9%
Financials		6.7%
Health Care		5.5%
Industrials		8.6%
Information Technology		12.3%
Materials		1.4%
Telecommunication Services		0.9%
Utilities		3.3%
U.S. Government Obligations		37.3%
Covered Call Options Written		-1.1%
Put Options Written		-0.4%
Money Market Funds		3.1%
Other Assets in Excess of Liabilities		0.2%
Total		100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies and investments in foreign companies within this multi-cap fund generally carry greater risk than are customarily associated with larger, domestic companies. In addition, the stock of small companies and investments in foreign securities tend to be more volatile than the stock of large, domestic companies. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. The Fund uses an option writing strategy in which the Fund may sell covered calls or secured put options. Up to 75% of Fund assets may be invested in options. Options are subject to special risks and

  79 Annual Report | June 30, 2012  

Managed Volatility Fund MANAGER’S COMMENTARY (Unaudited) (continued)

may not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potential normally associated with stocks. The Fund’s fixed-income holdings are subject to three types of risk. Interest rate risk is the chance that bond prices overall will decline as interest rates rise. Credit risk is the chance a bond issuer will fail to pay interest and principal. Prepayment risk is the chance a mortgage-backed bond issuer will repay a higher yielding bond, resulting in a lower paying yield.

Conclusion

Thank you for your continued investment in Managed Volatility Fund. We encourage your feedback; your reactions and concerns are extremely important to us.

Sincerely,

The Investment Management Team

  www.bridgeway.com 80

Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
COMMON STOCKS - 60.95%
Aerospace & Defense - 3.10%
Honeywell International, Inc.#		2,100	$	117,264
L-3 Communications Holdings, Inc.#		3,500		259,035
Lockheed Martin Corp.		870		75,760
Northrop Grumman Corp.#		400		25,516
Textron, Inc.#		7,500		186,525
United Technologies Corp.		940		70,998
				735,098
Air Freight & Logistics - 0.46%
FedEx Corp.		1,200		109,932
Beverages - 2.03%
Brown-Forman Corp., Class B		2,950		285,707
Coca-Cola Co. (The)		2,500		195,475
				481,182
Biotechnology - 0.30%
Gilead Sciences, Inc.*#		1,400		71,792
Capital Markets - 0.82%
Ameriprise Financial, Inc.#		1,080		56,441
Bank of New York Mellon Corp. (The)		1,032		22,652
Charles Schwab Corp. (The)		3,500		45,255
Morgan Stanley		800		11,672
State Street Corp.#		1,300		58,032
				194,052
Chemicals - 1.11%
Dow Chemical Co. (The)#		2,900		91,350
Monsanto Co.		500		41,390
Sherwin-Williams Co. (The)		600		79,410
Sigma-Aldrich Corp.		700		51,751
				263,901
Commercial Banks - 1.27%
Comerica, Inc.		1,600		49,136
KeyCorp		3,700		28,638
US Bancorp#		2,200		70,752
Wells Fargo & Co.#		4,571		152,854
				301,380
Communications Equipment - 0.89%
Cisco Systems, Inc.#		11,600		199,172
Juniper Networks, Inc.*#		700		11,417
				210,589

Industry Company	Shares		Value
Computers & Peripherals - 4.46%
Apple, Inc.*#		600	$	350,400
Hewlett-Packard Co.#		9,000		180,990
Lexmark International, Inc., Class A#		1,800		47,844
SanDisk Corp.*#		1,900		69,312
Seagate Technology PLC#		16,500		408,045
				1,056,591
Construction & Engineering - 0.16%
Dycom Industries, Inc.*#		2,000		37,220
Consumer Finance - 0.83%
American Express Co.		1,500		87,315
Capital One Financial Corp.		2,000		109,320
				196,635
Diversified Financial Services - 1.10%
Bank of America Corp.#		9,100		74,438
Citigroup, Inc.		510		13,979
JPMorgan Chase & Co.#		4,800		171,504
				259,921
Diversified Telecommunication Services - 0.78%
AT&T, Inc.		3,400		121,244
Frontier Communications Corp.+		672		2,574
Verizon Communications, Inc.		1,400		62,216
				186,034
Electric Utilities - 0.67%
American Electric Power Co., Inc.		1,600		63,840
Exelon Corp.		1,100		41,382
Progress Energy, Inc.		900		54,153
				159,375
Electrical Equipment - 0.22%
Emerson Electric Co.#		1,100		51,238
Electronic Equipment, Instruments & Components - 0.10%
FLIR Systems, Inc.#		1,200		23,400
Energy Equipment & Services - 1.30%
Halliburton Co.#		9,000		255,510
National Oilwell Varco, Inc.		800		51,552
				307,062
Food & Staples Retailing - 1.15%
CVS Caremark Corp.		1,400		65,422

  81 Annual Report | June 30, 2012  

Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Food & Staples Retailing (continued)
Kroger Co. (The)#		1,000	$  23,190
Safeway, Inc.#		4,400	79,860
Wal-Mart Stores, Inc.		1,500	104,580
			273,052
Food Products - 1.09%
Archer-Daniels-Midland Co.		1,500	44,280
General Mills, Inc.#		2,400	92,496
Mead Johnson Nutrition Co.#		1,516	122,053
			258,829
Gas Utilities - 1.07%
ONEOK, Inc.#		6,000	253,860
Health Care Equipment & Supplies - 0.88%
Baxter International, Inc.		1,300	69,095
Becton Dickinson & Co.		220	16,445
CR Bard, Inc.		500	53,720
Stryker Corp.#		1,260	69,426
			208,686
Health Care Providers & Services - 2.12%
Express Scripts Holding Co.*#		2,134	119,141
Laboratory Corp. of America Holdings*		300	27,783
Quest Diagnostics, Inc.		400	23,960
UnitedHealth Group, Inc.		1,300	76,050
WellPoint, Inc.#		4,000	255,160
			502,094
Hotels, Restaurants & Leisure - 0.34%
McDonald’s Corp.		900	79,677
Household Products - 1.45%
Colgate-Palmolive Co.		1,500	156,150
Kimberly-Clark Corp.		1,000	83,770
Procter & Gamble Co. (The)#		1,700	104,125
			344,045
Independent Power Producers & Energy Traders - 0.22%
AES Corp. (The)*		4,100	52,603
Industrial Conglomerates - 1.21%
3M Co.#		1,000	89,600
Danaher Corp.#		2,000	104,160
General Electric Co.#		4,500	93,780
			287,540
Insurance - 2.32%
Aflac, Inc.#		800	34,072

Industry Company	Shares		Value
Insurance (continued)
Aon PLC#		1,700	$  79,526
Chubb Corp. (The)#		1,800	131,076
Progressive Corp. (The)		820	17,081
Travelers Cos., Inc. (The)#		4,500	287,280
			549,035
Internet & Catalog Retail - 0.48%
Amazon.com, Inc.*		500	114,175
Internet Software & Services - 1.02%
eBay, Inc.*#		3,000	126,030
Google, Inc., Class A*		200	116,014
			242,044
IT Services - 2.75%
International Business Machines Corp.#		1,200	234,696
Teradata Corp.*#		3,200	230,432
Visa, Inc., Class A#		1,300	160,719
Western Union Co. (The)		1,500	25,260
			651,107
Leisure Equipment & Products - 0.21%
Hasbro, Inc.#		1,500	50,805
Life Sciences Tools & Services - 0.26%
Thermo Fisher Scientific, Inc.		1,200	62,292
Machinery - 0.80%
Eaton Corp.#		4,800	190,224
Media - 1.39%
Comcast Corp., Class A#		3,950	126,282
News Corp., Class A#		4,600	102,534
Omnicom Group, Inc.		1,000	48,600
Time Warner, Inc.#		1,333	51,320
			328,736
Metals & Mining - 0.07%
United States Steel Corp.+		800	16,480
Multiline Retail - 1.22%
Big Lots, Inc.*#		2,100	85,659
Kohl’s Corp.#		4,500	204,705
			290,364
Multi-Utilities - 1.35%
Dominion Resources, Inc.		1,920	103,680
Public Service Enterprise Group, Inc.		2,600	84,500
Sempra Energy		1,900	130,872
			319,052

  www.bridgeway.com 82

Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry Company	Shares		Value
Common Stocks (continued)
Oil, Gas & Consumable Fuels - 7.61%
Anadarko Petroleum Corp.		1,000	$      66,200
Apache Corp.		500	43,945
Chesapeake Energy Corp.#		500	9,300
Chevron Corp.		3,378	356,379
ConocoPhillips#		1,687	94,270
Devon Energy Corp.#		3,000	173,970
EOG Resources, Inc.#		1,500	135,165
Exxon Mobil Corp.#		5,000	427,850
Occidental Petroleum Corp.		1,200	102,924
Peabody Energy Corp.#		8,200	201,064
Phillips 66*		843	28,021
Whiting Petroleum Corp.*#		4,000	164,480
			1,803,568
Paper & Forest Products - 0.24%
International Paper Co.#		2,000	57,820
Pharmaceuticals - 1.95%
Allergan, Inc.#		1,200	111,084
Bristol-Myers Squibb Co.		3,079	110,690
Merck & Co., Inc.		1,600	66,800
Pfizer, Inc.#		7,600	174,800
			463,374
Real Estate Investment Trusts (REITs) - 0.24%
American Tower Corp.		800	55,928
Road & Rail - 0.75%
Union Pacific Corp.#		1,500	178,965
Semiconductors & Semiconductor Equipment - 1.27%
Broadcom Corp., Class A*#		2,000	67,600
Intel Corp.#		6,500	173,225
Texas Instruments, Inc.#		2,070	59,388
			300,213
Software - 1.85%
BMC Software, Inc.*		520	22,194
Citrix Systems, Inc.*		1,400	117,516
Intuit, Inc.#		1,400	83,090
Microsoft Corp.		2,300	70,357
Oracle Corp.#		4,860	144,342
			437,499
Specialty Retail - 3.43%
Ascena Retail Group, Inc.*#		10,000	186,200
AutoZone, Inc.*		900	330,453
Cabela’s, Inc.*#		7,400	279,794

Industry Company	Shares		Value
Specialty Retail (continued)
Staples, Inc.		1,250	$      16,313
			812,760
Textiles, Apparel & Luxury Goods - 0.56%
NIKE, Inc., Class B#		1,500	131,670
Thrifts & Mortgage Finance - 0.13%
Hudson City Bancorp, Inc.		4,800	30,576
Trading Companies & Distributors - 1.84%
United Rentals, Inc.*#		10,000	340,400
W.W. Grainger, Inc.		500	95,620
			436,020
Wireless Telecommunication Services - 0.08%
Sprint Nextel Corp.*#		6,000	19,560
TOTAL COMMON STOCKS - 60.95%			14,448,055
(Cost $10,878,612)

Due Date	Discount Rate or Coupon Rate		Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 37.29%
U.S. Treasury Bills - 30.37%
07/12/2012		0.085%(a)	$	1,200,000	1,199,974
08/02/2012		0.095%(a)		1,000,000	999,947
08/30/2012		0.086%(a)		3,000,000	2,999,754
09/27/2012		0.095%(a)		2,000,000	1,999,590
					7,199,265
U.S. Treasury Notes - 6.92%
07/15/2012		1.500%		200,000	200,094
08/15/2012		1.750%		300,000	300,598
11/30/2012		3.375%		300,000	303,961
12/31/2012		3.625%		200,000	203,398
01/31/2013		0.625%		100,000	100,254
11/15/2013		4.250%		200,000	210,789
03/15/2014		1.250%		100,000	101,574
02/15/2015		4.000%		200,000	218,734
					1,639,402
TOTAL U.S. GOVERNMENT OBLIGATIONS - 37.29%					8,838,667
(Cost $8,798,361)

  83 Annual Report | June 30, 2012  

Bridgeway Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

	Rate^	Shares	Value
MONEY MARKET FUND - 3.09%
BlackRock FedFund	0.01%	733,662	$733,662
TOTAL MONEY MARKET FUND – 3.09%			733,662
(Cost $733,662)
TOTAL INVESTMENTS - 101.33%			$24,020,384
(Cost $20,410,635)
Liabilities in Excess of Other Assets - (1.33%)			(315,139)
NET ASSETS - 100.00%			$23,705,245
*     Non-income producing security. #     Security subject to call or put option written by the Fund. ^     Rate disclosed as of June 30, 2012. +    This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $19,054 at June 30, 2012. (a)  Rate represents the effective yield at purchase. PLC - Public Limited Company See Notes to Financial Statements.

  www.bridgeway.com 84

Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN

Showing percentage of net assets as of June 30, 2012

Company	Number     of Contracts	Value
CALL OPTIONS WRITTEN - (1.11%)
3M Co.
Expiring July, 2012 at $90.00	5	$	(480	)
Aflac, Inc.
Expiring August, 2012 at $46.00	5		(200	)
Allergan, Inc.
Expiring July, 2012 at $100.00	6		(90	)
Aon PLC
Expiring July, 2012 at $50.00	7		(105	)
Apple, Inc.
Expiring July, 2012 at $620.00	2		(378	)
Ascena Retail Group, Inc.
Expiring September, 2012 at $20.00	100		(7,000	)
Bank of America Corp.
Expiring July, 2012 at $9.00	30		(210	)
Big Lots, Inc.
Expiring July, 2012 at $37.50	7		(2,828	)
Broadcom Corp., Class A
Expiring August, 2012 at $40.00	7		(77	)
Cabela’s, Inc.
Expiring September, 2012 at $35.00	74		(34,040	)
Chesapeake Energy Corp.
Expiring July, 2012 at $18.00	5		(620	)
Chubb Corp. (The)
Expiring July, 2012 at $70.00	7		(1,827	)
Cisco Systems, Inc.
Expiring July, 2012 at $20.00	25		(25	)
Comcast Corp., Class A
Expiring July, 2012 at $31.00	10		(1,130	)
ConocoPhillips
Expiring August, 2012 at $72.50	5		(1,015	)
Danaher Corp.
Expiring September, 2012 at $52.50	5		(700	)
Devon Energy Corp.
Expiring July, 2012 at $67.50	30		(150	)
Dow Chemical Co. (The)
Expiring September, 2012 at $33.00	8		(800	)
Dycom Industries, Inc.
Expiring September, 2012 at $20.00	20		(1,900	)
Eaton Corp.
Expiring October, 2012 at $42.00	12		(1,440	)
eBay, Inc.
Expiring July, 2012 at $38.00	10		(4,400	)
Emerson Electric Co.
Expiring September, 2012 at $47.00	5		(675	)

Company	Number     of Contracts	Value
EOG Resources, Inc.
Expiring July, 2012 at $110.00	5		$      (45	)
Express Scripts Holding Co.
Expiring August, 2012 at $55.00	5		(1,180	)
Exxon Mobil Corp.
Expiring July, 2012 at $87.50	10		(480	)
Expiring October, 2012 at $82.50	10		(4,900	)
			(5,380	)
FLIR Systems, Inc.
Expiring October, 2012 at $22.00	6		(300	)
General Electric Co.
Expiring July, 2012 at $20.00	15		(1,485	)
General Mills, Inc.
Expiring October, 2012 at $38.00	10		(1,110	)
Gilead Sciences, Inc.
Expiring August, 2012 at $52.50	5		(770	)
Halliburton Co.
Expiring July, 2012 at $34.00	67		(134	)
Expiring October, 2012 at $30.00	10		(1,420	)
			(1,554	)
Hasbro, Inc.
Expiring July, 2012 at $37.50	6		(30	)
Hewlett-Packard Co.
Expiring August, 2012 at $23.00	90		(1,080	)
Honeywell International, Inc.
Expiring September, 2012 at $57.50	5		(735	)
Intel Corp.
Expiring July, 2012 at $29.00	15		(90	)
International Business Machines Corp.
Expiring July, 2012 at $205.00	6		(324	)
International Paper Co.
Expiring July, 2012 at $34.00	10		(30	)
Intuit, Inc.
Expiring July, 2012 at $60.00	7		(525	)
JPMorgan Chase & Co.
Expiring July, 2012 at $46.00	15		(30	)
Expiring September, 2012 at $34.00	15		(4,725	)
			(4,755	)
Juniper Networks, Inc.
Expiring July, 2012 at $22.00	4		(8	)
Kohl’s Corp.
Expiring July, 2012 at $52.50	45		(225	)

  85 Annual Report | June 30, 2012  

Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)

Showing percentage of net assets as of June 30, 2012

Company	Number     of Contracts	Value
Call Options Written (continued)
Kroger Co. (The)
Expiring October, 2012 at $22.00	5	$	(815	)
L-3 Communications Holdings, Inc.
Expiring July, 2012 at $70.00	35		(14,000	)
Lexmark International, Inc., Class A
Expiring July, 2012 at $31.00	5		(25	)
Mead Johnson Nutrition Co.
Expiring August, 2012 at $85.00	5		(790	)
News Corp., Class A
Expiring July, 2012 at $20.00	12		(2,700	)
NIKE, Inc., Class B
Expiring July, 2012 at $115.00	5		(5	)
ONEOK, Inc.
Expiring July, 2012 at $40.00	60		(23,400	)
Oracle Corp.
Expiring September, 2012 at $28.00	15		(3,705	)
Peabody Energy Corp.
Expiring September, 2012 at $25.00	70		(14,770	)
Pfizer, Inc.
Expiring September, 2012 at $22.00	20		(2,520	)
Procter & Gamble Co. (The)
Expiring October, 2012 at $65.00	6		(312	)
Safeway, Inc.
Expiring September, 2012 at $18.00	25		(2,875	)
SanDisk Corp.
Expiring July, 2012 at $38.00	10		(940	)
Seagate Technology PLC
Expiring September, 2012 at $24.00	165		(37,620	)
Sprint Nextel Corp.
Expiring August, 2012 at $3.00	20		(780	)
State Street Corp.
Expiring August, 2012 at $48.00	5		(180	)
Stryker Corp.
Expiring September, 2012 at $57.50	5		(550	)
Teradata Corp.
Expiring July, 2012 at $70.00	10		(3,060	)
Texas Instruments, Inc.
Expiring July, 2012 at $32.00	5		(15	)
Textron, Inc.
Expiring September, 2012 at $25.00	75		(13,050	)

Company	Number     of Contracts	Value
Travelers Cos., Inc. (The)
Expiring July, 2012 at $65.00	20		$    (1,200	)
Union Pacific Corp.
Expiring August, 2012 at $115.00	5		(3,275	)
United Rentals, Inc.
Expiring September, 2012 at $33.00	50		(22,500	)
Expiring September, 2012 at $35.00	50		(16,000	)
			(38,500	)
US Bancorp
Expiring September, 2012 at $31.00	7		(1,428	)
Visa, Inc., Class A
Expiring September, 2012 at $130.00	5		(1,550	)
WellPoint, Inc.
Expiring September, 2012 at $67.50	40		(6,400	)
Wells Fargo & Co.
Expiring July, 2012 at $34.00	10		(480	)
Expiring October, 2012 at $32.00	10		(2,700	)
			(3,180	)
Whiting Petroleum Corp.
Expiring July, 2012 at $42.50	24		(2,160	)
Expiring September, 2012 at $42.50	16		(4,400	)
			(6,560	)
TOTAL CALL OPTIONS WRITTEN — (1.11%)			(263,921	)
(Premiums received $(322,393))
PUT OPTIONS WRITTEN - (0.41%)
Ameriprise Financial, Inc.
Expiring September, 2012 at $45.00	35		(2,975	)
Amgen, Inc.
Expiring July, 2012 at $70.00	35		(1,050	)
Apple, Inc.
Expiring August, 2012 at $500.00	5		(1,750	)
Expiring September, 2012 at $500.00	5		(3,675	)
			(5,425	)

  www.bridgeway.com 86

Bridgeway Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)

Showing percentage of net assets as of June 30, 2012

Company	Number   of Contracts	Value
Put Options Written (continued)
CF Industries Holdings, Inc.
Expiring August, 2012 at $150.00	10	$	(930	)
Expiring November, 2012 at $150.00	10		(5,000	)
			(5,930	)
Comcast Corp., Class A
Expiring October, 2012 at $30.00	60		(5,700	)
ConocoPhillips
Expiring August, 2012 at $50.00	50		(2,350	)
Expiring November, 2012 at $50.00	20		(3,240	)
			(5,590	)
Cracker Barrel Old Country Store, Inc.
Expiring September, 2012 at $55.00	30		(3,150	)
Dean Food Co.
Expiring September, 2012 at $15.00	105		(5,775	)
Devon Energy Corp.
Expiring October, 2012 at $52.50	20		(3,860	)
Dillards, Inc., Class A
Expiring August, 2012 at $65.00	25		(12,000	)
Motorola Solutions, Inc.
Expiring July, 2012 at $48.00	40		(3,840	)
Norfolk Southern Corp.
Expiring September, 2012 at $67.50	35		(6,650	)
Northrop Grumman Corp.
Expiring August, 2012 at $57.50	40		(1,400	)
PartnerRe, Ltd.
Expiring August, 2012 at $70.00	10		(650	)
Safeway, Inc.
Expiring September, 2012 at $17.00	50		(3,250	)
Expiring September, 2012 at $18.00	30		(3,150	)
			(6,400	)
Time Warner, Inc.
Expiring July, 2012 at $36.00	70		(1,330	)
Torchmark Corp.
Expiring August, 2012 at $45.00	10		(400	)
Travelers Cos., Inc. (The)
Expiring July, 2012 at $60.00	20		(700	)
US Airways Group, Inc.
Expiring September, 2012 at $10.00	30		(1,680	)

Company	Number   of Contracts	Value
Expiring September, 2012 at $11.00	275	$	(22,275	)
			(23,955	)
TOTAL PUT OPTIONS WRITTEN — (0.41%)			(96,780	)
(Premiums received $(190,504))
TOTAL OPTIONS WRITTEN — (1.52%)		$	(360,701	)
(Premiums received $(512,897))

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Assets Table
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	14,448,055	$	—	$	—	$	14,448,055
U.S. Government Obligations		—		8,838,667		—		8,838,667
Money Market Fund		—		733,662		—		733,662
TOTAL	$	14,448,055	$	9,572,329	$	—	$	24,020,384

	Liabilities Table
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices			Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Written Options	$	(360,701	)	$	—	$	—	$	(360,701	)
TOTAL	$	(360,701	)	$	—	$	—	$	(360,701	)

See Notes to Financial Statements.

  87 Annual Report | June 30, 2012  

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  www.bridgewayomni.com 88

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2012
ASSETS	Aggressive Investors 1				Ultra-Small Company				Ultra-Small Company Market				Small-Cap Momentum
Investments at value		$	209,827,791			$	103,861,081			$	303,018,243			$	2,066,461
Receivables:
Portfolio securities sold			4,838,381				1,468,315				346,566				7,195
Fund shares sold			73,347				46,200				19,349				-
Dividends and interest			132,975				118,256				316,286				1,564
Receivable from investment adviser			-				-				-				13,373
Deposits with brokers			-				-				-				-
Total return swap			-				-				11,563				-
Prepaid expenses			40,799				18,491				52,140				9,599
Total assets			214,913,293				105,512,343				303,764,147				2,098,192
LIABILITIES
Payables:
Portfolio securities purchased			8,551,886				3,266,917				898,096				-
Fund shares redeemed			146,045				12,559				163,739				-
Due to custodian			-				-				-				7,197
Loan payable			-				-				-				-
Accrued Liabilities:
Investment adviser fees			50,181				71,780				84,097				-
Administration fees			6,850				3,301				9,831				68
Directors’ fees			385				343				1,368				11
Other			148,061				47,832				174,978				20,722
Call options written at value			-				-				-				-
Put options written at value			-				-				-				-
Total liabilities			8,903,408				3,402,732				1,332,109				27,998
NET ASSETS		$	206,009,885			$	102,109,611			$	302,432,038			$	2,070,194
NET ASSETS REPRESENT
Paid-in capital		$	407,554,675			$	98,740,429			$	194,331,649			$	1,827,153
Undistributed (distributions in excess of) net investment income			155,065				70,401				2,339,297				10,077
Accumulated net realized gain (loss) on investments			(210,458,200	)			(6,825,364	)			26,653,162				75,915
Net unrealized appreciation on investments			8,758,345				10,124,145				79,107,930				157,049
NET ASSETS		$	206,009,885			$	102,109,611			$	302,432,038			$	2,070,194
Shares of common stock outstanding of $.001 par value*			6,219,104				3,703,361				20,614,633				184,005
Net asset value, offering price and redemption price per share		$	33.13			$	27.57			$	14.67(a	)		$	11.25(a	)
Total investments at cost		$	201,069,446			$	93,736,936			$	223,921,876			$	1,909,412
Premiums received on call options written		$	-			$	-			$	-			$	-
Premiums received on put options written		$	-			$	-			$	-			$	-

* See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund.

(a) Redemption of shares held less than six months may be charged a 2% redemption fee. See Note 8.

See Notes to Financial Statements.

  89 Annual Report | June 30, 2012  

Small-Cap          Growth			Small-Cap Value				Large-Cap Growth				Blue Chip 35 Index				Managed Volatility
	$ 31,748,078			$	67,505,864			$	48,085,629			$	264,359,616			$	24,020,384
	481,012				1,159,819				937,464				11,221,422				31,578
	2,253				43,669				474				31,600				8,162
	10,891				109,834				44,218				320,481				27,795
	-				-				-				-				3,027
	-				-				-				-				100
	832				33,837				17,951				-				-
	9,449				15,309				12,659				43,224				13,189
	32,252,515				68,868,332				49,098,395				275,976,343				24,104,235
	432,680				1,122,216				597,694				1,795,732				-
	-				58,672				5,928				251,728				-
	-				-				-				-				-
	-				-				-				9,665,000				-
	5,297				22,833				9,430				5,629				-
	1,033				2,211				1,612				9,242				803
	156				321				210				1,360				109
	35,088				52,233				40,006				87,046				37,377
	-				-				-				-				263,921
	-				-				-				-				96,780
	474,254				1,258,486				654,880				11,815,737				398,990
	$ 31,778,261			$	67,609,846			$	48,443,515			$	264,160,606			$	23,705,245
	$ 58,505,446			$	116,415,571			$	76,620,624			$	243,458,488			$	25,959,905
	(55,726	)			597,918				149,800				3,580,113				99,873
	(29,470,565	)			(55,779,626	)			(33,494,618	)			(59,694,315	)			(6,116,478	)
	2,799,106				6,375,983				5,167,709				76,816,320				3,761,945
	$ 31,778,261			$	67,609,846			$	48,443,515			$	264,160,606			$	23,705,245
	2,732,824				4,560,561				3,635,169				32,356,609				1,985,764
	$          11.63			$	14.82			$	13.33			$	8.16			$	11.94
	$ 28,948,972			$	61,163,718			$	42,935,871			$	187,543,296			$	20,410,635
	$                  -			$	-			$	-			$	-			$	322,393
	$                  -			$	-			$	-			$	-			$	190,504

  www.bridgeway.com 90

STATEMENTS OF OPERATIONS

Year Ended June 30, 2012
	Aggressive Investors 1				Ultra-Small Company				Ultra-Small Company Market				Small-Cap         Momentum
INVESTMENT INCOME
Dividends		$	1,652,633			$	1,129,233			$	3,852,217			$	30,085
Less: foreign taxes withheld			(7,974	)			(979	)			-				(33	)
Interest			-				-				13,942				-
Securities lending			109,675				268,086				1,290,437				3,614
Total Investment Income			1,754,334				1,396,340				5,156,596				33,666
EXPENSES
Investment advisory fees - Base fees			866,307				735,095				1,602,764				14,475
Investment advisory fees - Performance adjustment			(1,321,371	)			-				-				-
Administration fees			38,145				32,181				126,185				1,036
Accounting fees			56,721				58,762				109,314				57,086
Transfer agent fees			86,705				52,956				157,154				31,978
Professional fees			38,385				34,622				121,392				8,034
Custody fees			8,044				10,210				29,601				15,217
Blue sky fees			20,533				10,072				23,857				19,608
Directors’ and officers’ fees			15,845				15,534				62,374				515
Shareholder servicing fees			86,182				12,537				253,613				280
Reports to shareholders			34,926				9,677				61,004				1,122
Miscellaneous expenses			33,974				27,678				116,181				1,381
Total Expenses			(35,604	)			999,324				2,663,439				150,732
Less investment advisory fees waived.			-				-				(252,574	)			(14,475	)
Less expense reimbursed by investment adviser			-				-				-				(112,570	)
Net Expenses			(35,604	)			999,324				2,410,865				23,687
NET INVESTMENT INCOME (LOSS)			1,789,938				397,016				2,745,731				9,979
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized Gain (Loss) on:
Investments			(743,876	)			(101,267	)			33,844,050				78,352
Written options			-				-				-				-
Futures contracts			-				-				-				-
Swaps			(49,052	)			24,309				(23,983	)			-
Net Realized Gain (Loss)			(792,928	)			(76,958	)			33,820,067				78,352
Change in Unrealized Appreciation (Depreciation) on:
Investments			(2,846,754	)			(3,856,826	)			(38,786,906	)			(135,060	)
Written options			-				-				-				-
Swaps			(3,655	)			(26,702	)			3,570				-
Net Change in Unrealized Appreciation (Depreciation)			(2,850,409	)			(3,883,528	)			(38,783,336	)			(135,060	)
Net Realized and Unrealized Gain (Loss) on Investments			(3,643,337	)			(3,960,486	)			(4,963,269	)			(56,708	)
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$	(1,853,399	)		$	(3,563,470	)		$	(2,217,538	)		$	(46,729	)

See Notes to Financial Statements.

  91 Annual Report | June 30, 2012  

Small-Cap          Growth			Small-Cap Value				Large-Cap Growth				Blue Chip 35 Index				Managed Volatility
	$     212,810			$	1,415,991			$	774,979			$	7,731,876			$	272,576
	-				-				-				-				-
	-				-				-				-				65,169
	79,943				118,154				4,729				-				2,508
	292,753				1,534,145				779,708				7,731,876				340,253
	217,783				449,641				246,708				254,031				153,426
	(45,353	)			(41,025	)			(46,569	)			-				-
	14,295				29,517				19,451				125,154				10,088
	48,550				54,189				50,340				84,085				54,772
	54,970				76,838				58,150				50,906				38,651
	19,161				31,881				24,145				125,702				48,112
	3,100				4,263				2,713				7,688				6,946
	21,078				22,041				21,618				25,056				20,958
	7,064				14,604				9,637				62,999				5,109
	28,172				52,631				37,294				43,062				13,961
	11,041				20,217				13,512				25,743				4,519
	14,008				28,590				17,171				116,283				8,974
	393,869				743,387				454,170				920,709				365,516
	(51,402	)			(36,268	)			(38,927	)			(254,031	)			(125,149	)
	-				-				-				(176,844	)			-
	342,467				707,119				415,243				489,834				240,367
	(49,714	)			827,026				364,465				7,242,042				99,886
	4,006,452				9,520,464				4,570,307				12,676,449				(80,774	)
	-				-				-				-				1,063,395
	-				-				-				-				(35,478	)
	(102,453	)			21,513				6,197				-				-
	3,903,999				9,541,977				4,576,504				12,676,449				947,143
	(7,033,389	)			(12,264,099	)			(5,378,857	)			11,937,364				(568,080	)
	-				-				-				-				309,415
	(7,720	)			23,943				12,767				-				-
	(7,041,109	)			(12,240,156	)			(5,366,090	)			11,937,364				(258,665	)
	(3,137,110	)			(2,698,179	)			(789,586	)			24,613,813				688,478
	$(3,186,824	)		$	(1,871,153	)		$	(425,121	)		$	31,855,855			$	788,364

  www.bridgeway.com 92

STATEMENTS OF CHANGES IN NET ASSETS

	Aggressive Investors 1								Ultra-Small Company
	Year Ended June 30,								Year Ended June 30,
	2012				2011				2012				2011
OPERATIONS
Net investment income		$	1,789,938			$	1,573,138			$	397,016			$	242,227
Net realized gain (loss) on investments			(792,928	)			15,409,159				(76,958	)			13,651,385
Net change in unrealized appreciation (depreciation) on investments			(2,850,409	)			18,296,823				(3,883,528	)			9,058,287
Net increase (decrease) in net assets resulting from operations			(1,853,399	)			35,279,120				(3,563,470	)			22,951,899
DISTRIBUTIONS:
From net investment income			(3,284,990	)			(2,167,451	)			(1,269,925	)			(632,748	)
From net realized gains			-				-				-				-
Net decrease in net assets from distributions			(3,284,990	)			(2,167,451	)			(1,269,925	)			(632,748	)
SHARE TRANSACTIONS:
Proceeds from sale of shares			3,496,461				4,009,344				1,268,349				1,235,133
Proceeds from conversion of shares*			118,655,804				-				18,444,305				-
Reinvestment of distributions			3,097,726				2,051,684				1,200,763				608,040
Cost of shares redeemed			(20,858,925	)			(25,423,129	)			(8,403,947	)			(11,310,433	)
Redemption fees			-				-				-				-
Net increase (decrease) in net assets resulting from share transactions			104,391,066				(19,362,101	)			12,509,470				(9,467,260	)
Net increase (decrease) in net assets			99,252,677				13,749,568				7,676,075				12,851,891
NET ASSETS:
Beginning of year			106,757,208				93,007,640				94,433,536				81,581,645
End of year**		$	206,009,885			$	106,757,208			$	102,109,611			$	94,433,536
SHARES ISSUED & REDEEMED
Issued			106,700				111,901				47,559				42,347
Share conversions			3,846,030				-				734,641				-
Distributions reinvested			99,645				58,220				49,214				21,208
Redeemed			(628,812	)			(735,719	)			(312,634	)			(435,555	)
Net increase (decrease)			3,423,563				(565,598	)			518,780				(372,000	)
Outstanding at beginning of year			2,795,541				3,361,139				3,184,581				3,556,581
Outstanding at end of year			6,219,104				2,795,541				3,703,361				3,184,581
** Including undistributed net investment income of:		$	155,065			$	1,673,564			$	70,401			$	918,104

* See Note 1 - Organization in the Notes to Financial Statements.

See Notes to Financial Statements.

  93 Annual Report | June 30, 2012  

Ultra-Small Company Market							Small-Cap Momentum
			Year Ended June 30,							Year Ended June 30,
2012				2011			2012				2011
$	2,745,731			$	3,205,225		$	9,979			$	19,560
	33,820,067				24,835,564			78,352				283,835
	(38,783,336	)			79,001,816			(135,060	)			427,560
	(2,217,538	)			107,042,605			(46,729	)			730,955
	(3,451,142	)			(4,111,396	)		(1,843	)			(16,889	)
	(13,433,187	)			-			(287,704	)			-
	(16,884,329	)			(4,111,396	)		(289,547	)			(16,889	)
	33,789,669				54,560,870			358,332				420,997
	-				-			-				-
	15,234,587				3,618,063			289,325				16,889
	(121,461,084	)			(110,930,484	)		(1,245,596	)			(38,172	)
	87,977				34,909			2,022				498
	(72,348,851	)			(52,716,642	)		(595,917	)			400,212
	(91,450,718	)			50,214,567			(932,193	)			1,114,278
	393,882,756				343,668,189			3,002,387				1,888,109
$	302,432,038			$	393,882,756		$	2,070,194			$	3,002,387
	2,508,563				3,926,854			32,696				34,852
	-				-			-				-
	1,217,793				251,429			28,505				1,449
	(8,780,831	)			(7,841,213	)		(112,849	)			(3,022	)
	(5,054,475	)			(3,662,930	)		(51,648	)			33,279
	25,669,108				29,332,038			235,653				202,374
	20,614,633				25,669,108			184,005				235,653
$	2,339,297			$	3,445,648		$	10,077			$	2,340

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STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Small-Cap Growth						Small-Cap Value
	Year Ended June 30,						Year Ended June 30,
	2012			2011			2012			2011
OPERATIONS
Net investment income (loss)	$	(49,714	)	$	(59,437	)	$	827,026		$	1,079,251
Net realized gain (loss) on investments		3,903,999			7,059,093			9,541,977			20,467,377
Net change in unrealized appreciation (depreciation) on investments		(7,041,109	)		8,701,251			(12,240,156	)		8,606,512
Net increase (decrease) in net assets resulting from operations		(3,186,824	)		15,700,907			(1,871,153	)		30,153,140
DISTRIBUTIONS:
From net investment income.		(3,204	)		(107,719	)		(989,896	)		(557,827	)
Net decrease in net assets from distributions		(3,204	)		(107,719	)		(989,896	)		(557,827	)
SHARE TRANSACTIONS:
Proceeds from sale of shares		1,921,059			3,223,456			5,706,702			5,959,606
Reinvestment of distributions		3,057			103,847			932,539			518,027
Cost of shares redeemed		(13,672,329	)		(29,215,374	)		(29,882,098	)		(51,060,064	)
Net increase (decrease) in net assets resulting from share transactions		(11,748,213	)		(25,888,071	)		(23,242,857	)		(44,582,431	)
Net increase (decrease) in net assets		(14,938,241	)		(10,294,883	)		(26,103,906	)		(14,987,118	)
NET ASSETS:
Beginning of year		46,716,502			57,011,385			93,713,752			108,700,870
End of year*	$	31,778,261		$	46,716,502		$	67,609,846		$	93,713,752
SHARES ISSUED & REDEEMED
Issued		167,955			298,349			411,311			436,595
Distributions reinvested		289			9,466			71,404			38,515
Redeemed		(1,198,273	)		(2,779,197	)		(2,121,083	)		(3,769,962	)
Net increase (decrease)		(1,030,029	)		(2,471,382	)		(1,638,368	)		(3,294,852	)
Outstanding at beginning of year		3,762,853			6,234,235			6,198,929			9,493,781
Outstanding at end of year		2,732,824			3,762,853			4,560,561			6,198,929
* Including undistributed (distributions in excess of) net investment income of:	$	(55,726	)	$	(4,548	)	$	597,918		$	760,775

See Notes to Financial Statements.

  95 Annual Report | June 30, 2012  

Large-Cap Growth						Blue Chip 35 Index						Managed Volatility
Year Ended June 30,						Year Ended June 30,						Year Ended June 30,
2012			2011			2012			2011			2012			2011
$	364,465		$	275,540		$	7,242,042		$	6,126,678		$	99,886		$	200,467
	4,576,504			8,850,037			12,676,449			(2,697,030	)		947,143			989,923
	(5,366,090	)		7,456,725			11,937,364			54,984,311			(258,665	)		3,193,736
	(425,121	)		16,582,302			31,855,855			58,413,959			788,364			4,384,126
	(342,838	)		(342,087	)		(7,110,502	)		(4,877,457	)		(151,314	)		(266,935	)
	(342,838	)		(342,087	)		(7,110,502	)		(4,877,457	)		(151,314	)		(266,935	)
	2,710,341			5,691,636			115,003,984			111,420,242			4,643,420			3,094,011
	323,763			317,943			6,478,915			4,439,505			147,905			261,827
	(12,300,164	)		(22,181,617	)		(213,632,698	)		(60,417,342	)		(10,969,395	)		(11,910,284	)
	(9,266,060	)		(16,172,038	)		(92,149,799	)		55,442,405			(6,178,070	)		(8,554,446	)
	(10,034,019	)		68,177			(67,404,446	)		108,978,907			(5,541,020	)		(4,437,255	)
	58,477,534			58,409,357			331,565,052			222,586,145			29,246,265			33,683,520
$	48,443,515		$	58,477,534		$	264,160,606		$	331,565,052		$	23,705,245		$	29,246,265
	211,030			440,651			15,067,275			15,453,229			408,226			271,787
	27,230			25,703			902,356			613,191			13,229			23,315
	(972,552	)		(1,838,186	)		(27,262,476	)		(8,423,862	)		(960,731	)		(1,063,914	)
	(734,292	)		(1,371,832	)		(11,292,845	)		7,642,558			(539,276	)		(768,812	)
	4,369,461			5,741,293			43,649,454			36,006,896			2,525,040			3,293,852
	3,635,169			4,369,461			32,356,609			43,649,454			1,985,764			2,525,040
$	149,800		$	121,976		$	3,580,113		$	3,448,573		$	99,873		$	151,301

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FINANCIAL HIGHLIGHTS

(for a share outstanding throughout the period indicated)

			Income from Investment Operations
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gain\(Loss)		Total from Investment Operations
AGGRESSIVE INVESTORS 1
Year Ended June 30, 2012	$	38.19	$	0.62	$	(4.37)	$	(3.75	)
Year Ended June 30, 2011		27.67		0.51		10.72		11.23
Year Ended June 30, 2010		25.93		0.58		1.40		1.98
Year Ended June 30, 2009		53.96		0.30		(28.00)		(27.70	)
Year Ended June 30, 2008		61.90		(0.59)		3.14		2.55
ULTRA-SMALL COMPANY
Year Ended June 30, 2012		29.65		0.13		(1.79)		(1.66	)
Year Ended June 30, 2011		22.94		0.07		6.83		6.90
Year Ended June 30, 2010		19.76		0.19		3.22		3.41
Year Ended June 30, 2009		24.59		0.23		(5.03)		(4.80	)
Year Ended June 30, 2008		37.65		0.03		(8.67)		(8.64	)
ULTRA-SMALL COMPANY MARKET
Year Ended June 30, 2012		15.34		0.12		(0.09)		0.03
Year Ended June 30, 2011		11.72		0.12		3.65		3.77
Year Ended June 30, 2010		10.50		0.14		1.25		1.39
Year Ended June 30, 2009		15.33		0.14		(3.88)		(3.74	)
Year Ended June 30, 2008		20.36		0.14		(4.49)		(4.35	)
SMALL-CAP MOMENTUM
Year Ended June 30, 2012		12.74		0.04		(0.35)		(0.31	)
Year Ended June 30, 2011		9.33		0.09		3.40		3.49
Period Ended June 30, 2010(f)		10.00		-(e)		(0.67)		(0.67	)

(a) Per share amounts calculated based on the average daily shares outstanding during the period.

(b) Annualized for periods less than one year.

(c) For the years ended June 30, 2009, June 30, 2010, June 30, 2011 and June 30, 2012, the expense ratio was significantly lower than past years due to a negative performance adjustment to the investment advisory fee. Please refer to the Statements of Operations and Note 3 of the Notes to Financial Statements for further information. The rate shown may not be indicative of the rate going forward.

(d) Total return may have been lower had various fees not been waived during the period.

(e) Amount represents less than $0.005.

(f) Commenced operations on May 28, 2010.

See Notes to Financial Statements.

  97 Annual Report | June 30, 2012  

Less Distributions to Shareholders from:													Ratios & Supplemental Data
Net Realized Gain		Net Investment Income		Total Distributions		Paid in Capital from Redemption Fees(a)		Net Asset Value, End of Period		Total Return			Net Assets End of Period (000’s)		Expenses Before Waivers and Reimburs- ements(b)		Expenses After Waivers and Reimburs- ements(b)		Net Investment Income (Loss) After Waivers and Reimburs- ement(b)		Portfolio Turnover Rate
$	-		$(1.31)		$  (1.31)		$      -	$	33.13		(9.57	%)		$206,010		(0.04%)(c)		(0.04%)		1.86%		125%
	-		(0.71)		(0.71)		-		38.19		40.81	%		106,757		(0.41%)(c)		(0.41%)		1.49%		107%
	-		(0.24)		(0.24)		-		27.67		7.56	%		93,008		(0.51%)(c)		(0.51%)		1.94%		118%
	(0.33)		-		(0.33)		-		25.93		(51.31	%)		115,835		0.34%(c)		0.34%		0.97%		134%
	(10.49)		-		(10.49)		-		53.96		3.54	%(d)		338,715		1.78%		1.78%		(1.03%)		142%
	-		(0.42)		(0.42)		-		27.57		(5.41	%)		102,110		1.22%		1.22%		0.49%		93%
	-		(0.19)		(0.19)		-		29.65		30.12	%		94,434		1.18%		1.18%		0.27%		110%
	-		(0.23)		(0.23)		-		22.94		17.26	%		81,582		1.17%		1.17%		0.83%		133%
	-		(0.03)		(0.03)		-		19.76		(19.48	%)		73,708		1.16%		1.16%		1.23%		90%
	(4.31)		(0.11)		(4.42)		-		24.59		(24.59	%)(d)		94,933		1.07%		1.07%		0.10%		102%
	(0.56)		(0.14)		(0.70)		-(e)		14.67		1.05	%(d)		302,432		0.83%		0.75%		0.86%		31%
	-		(0.15)		(0.15)		-(e)		15.34		32.22	%(d)		393,883		0.79%		0.75%		0.82%		42%
	-		(0.17)		(0.17)		-(e)		11.72		13.30	%(d)		343,668		0.77%		0.75%		1.18%		48%
	(0.89)		(0.21)		(1.10)		0.01		10.50		(23.47	%)(d)		342,923		0.79%		0.75%		1.27%		42%
	(0.65)		(0.04)		(0.69)		0.01		15.33		(21.72	%)(d)		721,412		0.66%		0.66%		0.79%		29%
	(1.18)		(0.01)		(1.19)		0.01		11.25		(1.40	%)(d)		2,070		5.73%		0.90%		0.38%		230%
	-		(0.08)		(0.08)		-(e)		12.74		37.49	%(d)		3,002		5.43%		0.90%		0.79%		272%
	-		-		-		-		9.33		(6.70	%)(d)		1,888		11.24%		0.90%		0.50%		3%

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FINANCIAL HIGHLIGHTS (continued)

(for a share outstanding throughout the year indicated)

			Income from Investment Operations
	Net Asset Value, Beginning of Year		Net Investment Income (Loss)(a)		Net Realized and Unrealized Gain\(Loss)		Total from Investment Operations
SMALL-CAP GROWTH
Year Ended June 30, 2012	$	12.42	$	(0.02)	$	(0.77)	$	(0.79)
Year Ended June 30, 2011		9.14		(0.01)		3.31		3.30
Year Ended June 30, 2010		8.46		0.02		0.70		0.72
Year Ended June 30, 2009		13.95		0.03		(5.52)		(5.49)
Year Ended June 30, 2008		16.01		(0.03)		(2.03)		(2.06)
SMALL-CAP VALUE
Year Ended June 30, 2012		15.12		0.15		(0.26)		(0.11)
Year Ended June 30, 2011		11.45		0.14		3.60		3.74
Year Ended June 30, 2010		9.73		0.07		1.72		1.79
Year Ended June 30, 2009		15.86		0.08		(6.14)		(6.06)
Year Ended June 30, 2008		18.74		0.03		(2.91)		(2.88)
LARGE-CAP GROWTH
Year Ended June 30, 2012		13.38		0.09		(0.05)		0.04
Year Ended June 30, 2011		10.17		0.06		3.22		3.28
Year Ended June 30, 2010		9.06		0.06		1.11		1.17
Year Ended June 30, 2009		13.73		0.06		(4.66)		(4.60)
Year Ended June 30, 2008		14.12		0.06		(0.41)		(0.35)
BLUE CHIP 35 INDEX
Year Ended June 30, 2012		7.60		0.17		0.55		0.72
Year Ended June 30, 2011		6.18		0.15		1.39		1.54
Year Ended June 30, 2010		5.66		0.13		0.52		0.65
Year Ended June 30, 2009		7.21		0.15		(1.51)		(1.36)
Year Ended June 30, 2008		8.52		0.19		(1.39)		(1.20)

(a) Per share amounts calculated based on the average daily shares outstanding during the period.

(b) Amount represents less than $0.005.

(c) Total return may have been lower had various fees not been waived during the period.

(d) Total return includes the effect of a reimbursement by the Adviser and the accounting agent due to a trading error.

See Notes to Financial Statements.

  99 Annual Report | June 30, 2012  

Less Distributions to Shareholders from:											Ratios & Supplemental Data
Net Realized Gain		Net Investment Income		Total Distributions		Net Asset Value, End of Year		Total Return			Net Assets End of Year (000’s)		Expenses Before Waivers and Reimbursements		Expenses After Waivers and Reimbursements		Net Investment Income (Loss) After Waivers and Reimbursements		Portfolio Turnover Rate
	$-	$	-(b)	$	-	$	11.63		(6.35	%) (c)	$	31,778		1.08%		0.94%		(0.14%)		63%
	-		(0.02)		(0.02)		12.42		36.17	%(c)		46,717		0.98%		0.94%		(0.12%)		87%
	-		(0.04)		(0.04)		9.14		8.44	%		57,011		0.93%		0.93%		0.21%		87%
	-		-		-		8.46		(39.35	%)		71,697		0.94%		0.94%		0.29%		75%
	-		-		-		13.95		(12.87	%) (c)		144,668		0.87%		0.87%		(0.20%)		63%
	-		(0.19)		(0.19)		14.82		(0.59	%) (c)		67,610		0.99%		0.94%		1.10%		49%
	-		(0.07)		(0.07)		15.12		32.73	%		93,714		0.87%		0.87%		1.03%		84%
	-		(0.07)		(0.07)		11.45		18.35	%		108,701		0.91%		0.91%		0.64%		81%
	-		(0.07)		(0.07)		9.73		(38.15	%)		132,229		0.92%		0.92%		0.75%		83%
	-		-		-		15.86		(15.37	%) (c)		331,648		0.83%		0.83%		0.18%		73%
	-		(0.09)		(0.09)		13.33		0.37	%(c)		48,444		0.92%		0.84%		0.74%		55%
	-		(0.07)		(0.07)		13.38		32.31	%(c)		58,478		0.86%		0.84%		0.47%		65%
	-		(0.06)		(0.06)		10.17		12.89	%(c)		58,409		0.86%		0.84%		0.55%		40%
	-		(0.07)		(0.07)		9.06		(33.43	%)		70,534		0.82%		0.82%		0.63%		49%
	-		(0.04)		(0.04)		13.73		(2.50	%) (c)		174,813		0.71%		0.71%		0.39%		37%
	-		(0.16)		(0.16)		8.16		9.72	%(c)		264,161		0.29%		0.15%		2.28%		33%
	-		(0.12)		(0.12)		7.60		25.10	%(c)		331,565		0.27%		0.15%		2.09%		19%
	-		(0.13)		(0.13)		6.18		11.25	%(c) (d)		222,586		0.27%		0.15%		1.99%		28%
	-		(0.19)		(0.19)		5.66		(18.77	%) (c)		188,012		0.25%		0.15%		2.58%		86%
	-		(0.11)		(0.11)		7.21		(14.28	%) (c)		250,988		0.22%		0.15%		2.35%		12%

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FINANCIAL HIGHLIGHTS (continued)

(for a share outstanding throughout the year indicated)

			Income from Investment Operations
	Net Asset Value, Beginning of Year		Net Investment Income(a)		Net Realized and Unrealized Gain\(Loss)			Total from Investment Operations
MANAGED VOLATILITY
Year Ended June 30, 2012		$11.58		$0.04		$ 0.39			$ 0.43
Year Ended June 30, 2011		10.23		0.07		1.37			1.44
Year Ended June 30, 2010		10.19		0.10		0.08			0.18
Year Ended June 30, 2009		12.58		0.18		(1.69	)		(1.51	)
Year Ended June 30, 2008		12.95		0.29		(0.49	)		(0.20	)

(a) Per share amounts calculated based on the average daily shares outstanding during the period.

(b) Total return may have been lower had various fees not been waived during the period.

See Notes to Financial Statements.

  101 Annual Report | June 30, 2012  

Less Distributions to Shareholders from																	Ratios & Supplemental Data
Net Realized Gain			Net Investment Income				Total Distributions				Net Asset Value, End of Year			Total Return			Net Assets End of Year (000’s)			Expenses Before Waivers and Reimbursements			Expenses After Waivers and Reimbursements			Net Investment Income After Waivers and Reimbursements			Portfolio Turnover Rate
	$        -			$	(0.07	)		$	(0.07	)		$	11.94		3.74	%(b)		$	23,705		1.43	%		0.94	%		0.39	%		41	%
	-				(0.09	)			(0.09	)			11.58		14.15	%(b)			29,246		1.22	%		0.94	%		0.63	%		34	%
	-				(0.14	)			(0.14	)			10.23		1.67	%(b)			33,684		1.05	%		0.94	%		0.91	%		33	%
	(0.52	)			(0.36	)			(0.88	)			10.19		(11.66	%) (b)			47,299		1.01	%		0.94	%		1.72	%		51	%
	-				(0.17	)			(0.17	)			12.58		(1.57	%) (b)			75,417		0.88	%		0.88	%		2.23	%		44	%

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NOTES TO FINANCIAL STATEMENTS  

June 30, 2012

1. Organization:

Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

Bridgeway is organized as a series fund, with 11 investment funds as of June 30, 2012 (each, a “Fund” and collectively, the “Funds”): Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Blue Chip 35 Index and Managed Volatility Funds are presented in this report. The Omni Tax-Managed Small-Cap Value Fund and the Omni Small-Cap Value Fund are included in a separate report.

Bridgeway is authorized to issue 1,987,343,706 shares of common stock at $0.001 per share. As of June 30, 2012, 100,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares have been classified into the Blue Chip 35 Index Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Tax-Managed Small-Cap Value, Omni Small-Cap Value, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value and Large-Cap Growth Funds. 50,000,000 shares have been classified into the Managed Volatility Fund. All shares outstanding currently represent Class N shares.

The Ultra-Small Company Fund is open to existing investors (direct only).

All of the Funds are no-load, diversified funds.

The Aggressive Investors 1 Fund seeks 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, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value and Large-Cap Growth Funds seek to provide a long-term total return of capital, primarily through capital appreciation.

The Blue Chip 35 Index Fund seeks to provide long-term total return of capital, primarily through capital appreciation but also some income.

The Managed Volatility Fund seeks to provide a high current return with short-term risk less than or equal to 40% of the stock market.

Bridgeway Capital Management, Inc. (the “Adviser”) is the investment adviser for all of the Funds.

On May 30, 2012, the shareholders of the Aggressive Investors 2 Fund and the Micro-Cap Limited Fund (the “Merged Funds”) approved an Agreement and Plan of Reorganization (the “Plan”) which provided for the transfer of all of the assets of the Merged Funds, listed in the table below, for shares of the respective acquiring funds, listed in the table below, and assumption of the liabilities of the Merged Funds. The acquisition was accomplished by a tax-free exchange of shares on June 4, 2012. For financial reporting purposes, assets received and shares issued by the Aggressive Investors 1 Fund and the Ultra-Small Company Fund were recorded at fair value; however, the cost basis of the investments received from the Aggressive Investors 2 Fund and the Micro-Cap Limited Fund was carried forward to align ongoing reporting of the Aggressive Investors 1 Fund’s and the Ultra-Small Company Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

Merged Fund	Shares		Acquiring Fund	Shares		Value
Aggressive Investors 2		9,545,121	Aggressive Investors 1		3,846,030		$118,655,804
Micro-Cap Limited		3,111,172	Ultra-Small Company		734,641		18,444,305

The Board of Directors approved a reduction in the maximum expense ratio for the Aggressive Investors 1 Fund from 1.80% to 1.75% to match that of the Aggressive Investors 2 Fund. The Board also approved a reduction in the maximum expense ratio for the Ultra-Small Company Fund from 2.00% to 1.85% to match that of the Micro-Cap Limited Fund.

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The net assets and net unrealized appreciation (depreciation) immediately before the acquisitions were as follows:

Merged Fund	Net Assets		Unrealized Appreciation (Depreciation)		Acquiring Fund	Net Assets
Aggressive Investors 2		$118,655,804		$(5,321,648)	Aggressive Investors 1		$75,836,524
Micro-Cap Limited		18,444,305		(815,401)	Ultra-Small Company		74,783,377

Assuming the acquisition had been completed on July 1, 2011, the Aggressive Investor 1 Fund’s results of operations for the fiscal year ended June 30, 2012 would have been as follows:

Net Investment Income	$	2,784,372		(a)
Net Realized and Unrealized Gain (Loss) on Investments		(6,084,694	)	(b)
Net Decrease in Net Assets Resulting from Operations	$	(3,300,322	)

(a)   $1,789,938 as reported in the Statement of Operations, plus $2,074,093 Net Investment Income from Aggressive Investors 2 Fund pre-merger, less $1,079,659 for pro-forma elimination of a portion of the performance fee adjustment and other expenses.

(b)   $(3,643,337) as reported in the Statement of Operations, plus $(2,441,357) Net Realized and Unrealized Gain (Loss) on Investments from Aggressive Investors 2 Fund pre-merger.

Assuming the acquisition had been completed on July 1, 2011, the Ultra-Small Company Fund’s results of operations for the fiscal year ended June 30, 2012 would have been as follows:

Net Investment Income	$	402,629		(a)
Net Realized and Unrealized Gain (Loss) on Investments		(4,692,661	)	(b)
Net Decrease in Net Assets Resulting from Operations	$	(4,290,032	)

(a)   $397,016 as reported in the Statement of Operations, plus $217,970 Net Investment Income from Micro-Cap Limited Fund pre-merger, less $212,357 for pro-forma elimination of the performance fee adjustment and other expenses.

(b)   $(3,960,486) as reported in the Statement of Operations, plus $(732,175) Net Realized and Unrealized Gain (Loss) on Investments from Micro-Cap Limited Fund pre-merger.

Because both the Merged Funds, Aggressive Investors 2 Fund and Micro-Cap Limited Fund, and the acquiring funds, Aggressive Investors 1 Fund and Ultra-Small Company Fund, sold and redeemed shares throughout the period, it is not practicable to provide pro-forma information on a per-share basis.

2. Significant Accounting Policies:

The following summary of significant accounting policies, followed in the preparation of the financial statements of the Funds, are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Securities, Options, Futures and Other Investments ValuationOther than options, portfolio securities that are principally traded on a national securities exchange are valued at their last sale price on the principal exchange on which they are traded prior to the close of the New York Stock Exchange (“NYSE”), on each day the NYSE is open for business. If there is no closing price on the NYSE, the portfolio security will be valued using a composite price, which is defined as the last price for the security on any exchange. Portfolio securities other than options that are principally traded on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) are valued at the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their home exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions.

Short-term fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Options are valued at the close if there is trading volume and if there is no trading volume, the bid on long positions and ask on the short positions. Other investments for which no sales are reported are valued at the latest bid price in accordance with the pricing policy established by the Board of Directors.

Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.

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Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.

When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued at fair value as determined in good faith by or under the direction of the Board of Directors. The valuation assigned to fair valued securities for purposes of calculating the Funds’ NAVs may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.

The inputs and valuation techniques used to determine the value of a Fund’s investments are summarized into three levels as described in the hierarchy below:

— Level 1 — quoted prices in active markets for identical assets

Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.

— Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Money market fund investments consist of mutual funds which invest primarily in securities that are valued at amortized cost, a Level 2 investment. Therefore, the money market funds are classified as Level 2 investments. The Funds’ total return swap values are derived by applying observable inputs to the outstanding notional values and are therefore classified as Level 2 investments also.

— Level 3 — significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Funds’ investments as of June 30, 2012 is included with each Fund’s Schedule of Investments.

Effective January 1, 2012, the Funds adopted Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRSs”).” ASU No. 2011-04 is intended to result in common fair value and measurement requirements in U.S. GAAP and IFRS. ASU No. 2011-04 requires reporting entities to disclose quantitative information about the significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU No. 2011-04 requires reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. Level 3 securities are not significant to the Funds. The adoption of ASU 2011-04 had no impact on net assets of the Funds.

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The Funds’ policy is to recognize transfers into, and transfers out of, each level of hierarchy as of the beginning of the reporting period. For the fiscal year ended June 30, 2012, there were no transfers between Level 1 and Level 2 in any of the Funds. Details regarding transfers into, and transfers out of, Level 3 can be found at the end of each Schedule of Investments for Funds that hold Level 3 securities.

Securities LendingUpon lending its securities to third parties, each Fund receives compensation in the form of fees. A Fund also continues to receive dividends on the securities loaned. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. Gain or loss in the fair value of the securities loaned that may occur during the term of the loan will be for the account of a Fund. Each Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, a Fund does not have the right to sell or re-pledge collateral received in the form of securities unless the borrower goes into default. The risks to a Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due.

As of June 30, 2012, the Funds had securities on loan and related collateral with values shown below:

Bridgeway Fund	Securities on Loan Value		Value of Collateral
Aggressive Investors 1		$  2,632,710		$  2,621,800
Ultra-Small Company		9,775,783		9,989,323
Ultra-Small Company Market		40,200,979		40,676,066
Small-Cap Momentum		115,744		116,362
Small-Cap Growth		3,103,705		3,056,037
Small-Cap Value		4,232,950		4,313,486
Managed Volatility		19,054		19,688

It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. Aggressive Investors 1 and Small-Cap Growth Funds obtained additional collateral on the following business day after fiscal year end to ensure the securities on loan were adequately collateralized. As of June 30, 2012 the collateral consisted of an institutional money market fund.

Use of Estimates in Financial StatementsIn preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Risks and UncertaintiesThe Funds provide for various investment options, including stocks and call and put options. Such investments are exposed to various risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.

Security Transactions, Investment Income and ExpensesSecurity transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date. Particularly related to the Managed Volatility Fund, discounts and premiums are accreted/amortized on the effective interest method.

Fund expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Funds’ total net assets or other appropriate basis.

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Distributions to ShareholdersThe Funds pay dividends from net investment income and distribute realized capital gains annually, usually in December.

Derivatives

The Funds’ use of derivatives for the fiscal year ended June 30, 2012 was limited to futures contracts, total return swaps, purchased options and written options. The following is a summary of how these derivatives are treated in the financial statements and their impact on the Funds.

		Asset Derivatives			Liability Derivatives
Fund/Financial Instrument Type	Type of Derivative	Location on Statement of Assets and Liabilities	Value		Location on Statement of Assets and Liabilities	Value
Ultra-Small Company Market
Other	Swap	Receivable, Total Return Swap		$11,563			$            -
Small-Cap Value
Other	Swap	Receivable, Total Return Swap		33,837			-
Large-Cap Growth
Other	Swap	Receivable, Total Return Swap		17,951			-
Managed Volatility
Equity Contracts	Written Option			-	Call Options Written at value Put Options Written at value		263,921 96,780

Fund/Financial    Instrument Type	Type of Derivative	Location of Gain (Loss) on Derivatives Recognized in Income	Amount of Realized Gain (Loss)		Amount of Unrealized Gain (Loss)
Aggressive Investors 1
Other	Swap	Realized Gain (Loss) on Swaps		$  (49,052)
		Change in Unrealized Appreciation (Depreciation) on Swaps				$  (3,655)
Equity Contracts	Purchased
	Option	Realized Gain (Loss) on Investments		(119,097)
		Change in Unrealized Appreciation (Depreciation) on Investments				25,097
Ultra-Small Company
Other	Swap	Realized Gain (Loss) on Swaps		24,309
		Change in Unrealized Appreciation (Depreciation) on Swaps				(26,702)
Ultra-Small Company Market
Other	Swap	Realized Gain (Loss) on Swaps		(23,983)
		Change in Unrealized Appreciation (Depreciation) on Swaps				3,570

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June 30, 2012

Fund/Financial Instrument Type	Type of Derivative	Location of Gain (Loss) on Derivatives Recognized in Income	Amount of Realized Gain (Loss)		Amount of Unrealized Gain (Loss)
Small-Cap Growth
Other	Swap	Realized Gain (Loss) on Swaps		$  (102,453)
		Change in Unrealized Appreciation (Depreciation) on Swaps				$  (7,720)
Small-Cap Value
Other	Swap	Realized Gain (Loss) on Swaps		21,513
		Change in Unrealized Appreciation (Depreciation) on Swaps				23,943
Large-Cap Growth
Other	Swap	Realized Gain (Loss) on Swaps		6,197
		Change in Unrealized Appreciation (Depreciation) on Swaps				12,767
Managed Volatility
Equity Contracts	Written
	Option	Realized Gain (Loss) on Written Options		1,063,395
		Change in Unrealized Appreciation (Depreciation) on Written Options				309,415
	Futures
	Contract	Realized Gain (Loss) on Futures Contracts		(35,478)
	Purchased
	Option	Realized Gain (Loss) on Investments		14,953
		Change in Unrealized Appreciation (Depreciation) on Investments				8,494

The derivative instruments outstanding as of June 30, 2012, as disclosed in the Notes to the Financial Statements, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period, as disclosed in the Statement of Operations, serve as indicators of the volume of derivative activity for the Funds.

Futures ContractsThe Funds may purchase or sell financial futures contracts to hedge cash positions, manage market risk, and to dampen volatility in line with investment objectives. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash or U.S. government securities equal to the minimum “initial margin” requirements of the exchange on which the futures contract is traded. The contract amount reflects the extent of a Fund’s exposure in these financial instruments. A Fund’s participation in the futures markets involves certain risks, including imperfect correlation between movements in the price of futures contracts and movements in the price of the securities hedged or used for cover. Pursuant to a contract, such Fund agrees to receive from, or pay to, the broker an amount of cash equal to the fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized appreciation or depreciation. When a contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. With futures, there is minimal counterparty risk to the Funds since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. As of June 30, 2012, the Funds had no open futures contracts.

Options  The Aggressive Investors 1 Fund may buy and sell calls and puts to increase or decrease the Fund’s exposure to stock market risk or for purposes of diversification of risk. The Managed Volatility Fund may buy and sell calls and puts to reduce the Fund’s volatility and provide some cash flow. An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. The premium paid by a Fund for the purchase of a call or a put option is included in such Fund’s Schedule of Investments as an investment and subsequently marked-to-market to reflect the

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current market value of the option. When a Fund writes a call or a put option, an amount equal to the premium received by such Fund is included in its Statement of Assets and Liabilities as a liability and is subsequently marked-to-market to reflect the current market value of the option written. If an option which a Fund has written either expires on its stipulated expiration date, or if such Fund enters into a closing purchase transaction, that Fund realizes a gain (or a loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option that a Fund has written is assigned, such Fund realizes a gain or loss from the sale of the underlying security and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written is assigned, the amount of the premium originally received reduces the cost of the security that such Fund purchased upon exercise of the option. Buying calls increases a Fund’s exposure to the underlying security to the extent of any premium paid. Buying puts on a stock market index tends to limit a Fund’s exposure to a stock market decline. All options purchased by the Funds were listed on exchanges and considered liquid positions with readily available market quotes.

Covered Call Options and Secured Puts  The Aggressive Investors 1 and Managed Volatility Funds may write call options on a covered basis, that is, a Fund will own the underlying security, or a Fund may write secured puts. The principal reason for writing covered calls and secured puts on a security is to attempt to realize income through the receipt of premiums. The option writer has, in return for the premium, given up the opportunity for profit from a substantial price increase in the underlying security so long as the obligation as a writer continues, but has retained the risk of loss should the price of the security decline. All options were listed on exchanges and considered liquid positions with readily available market quotes. Transactions in options written during the fiscal year ended June 30, 2012 are as follows:

	Managed Volatility Fund Written Call Options				Managed Volatility Fund Written Put Options
	Contracts		Premiums		Contracts		Premiums
Outstanding, June 30, 2011		2,535	$	378,986		1,735	$	251,738
Positions Opened		6,977		1,230,648		5,134		1,012,648
Exercised		(2,891)		(519,347)		(2,469)		(443,457)
Splits		30		-		70		-
Expired		(4,492)		(642,601)		(2,982)		(498,756)
Closed		(618)		(125,293)		(468)		(131,669)
Outstanding, June 30, 2012		1,541	$	322,393		1,020	$	190,504
Market Value, June 30, 2012			$	263,921			$	96,780

The Aggressive Investors 1 Fund had no transactions in written options during the fiscal year ended June 30, 2012.

Swaps.  Each Fund may enter into total return swaps. Total return swaps are agreements that provide a Fund with a return based on the performance of an underlying asset, in exchange for fee payments to a counterparty based on a specified rate. The difference in the value of these income streams is recorded daily by the Funds and is settled in cash monthly.

The fee paid by a Fund will typically be determined by multiplying the face value of the swap agreement by an agreed upon interest rate. In addition, if the underlying asset declines in value over the term of the swap, a Fund would also be required to pay the dollar value of that decline to the counterparty. Total return swaps could result in losses if the underlying asset does not perform as anticipated by the Adviser. A Fund may use its own NAV as the underlying asset in a total return swap. This strategy serves to reduce cash drag (the impact of cash on a Fund’s overall return) by replacing it with the impact of market exposure based upon a Fund’s own investment holdings. The following total return swaps were open as of June 30, 2012:

Bridgeway Fund	Swap Counterparty	Description	Notional Principal		Maturity Date	Net Unrealized Gain\(Loss)
Ultra-Small Company Market	ReFlow Management Co.	Fund receives the total return of the reference entity, which is this Fund’s NAV. Fund pays a floating rate of 1-month LIBOR plus 2.39%.	$	343,657	July 2, 2012	$11,563
Small-Cap Value	ReFlow Management Co.	Fund receives the total return of the reference entity, which is this Fund’s NAV. Fund pays a floating rate of 1-month LIBOR plus 2.39%.		1,298,293	July 2, 2012	33,837
Large-Cap Growth	ReFlow Management Co.	Fund receives the total return of the reference entity, which is this Fund’s NAV. Fund pays a floating rate of 1-month LIBOR plus 1.25%.		710,051	July 2, 2012	17,951

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Indemnification  Under the Company’s organizational documents, the Funds’ officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

3. Management Fees, Other Related Party Transactions and Contingencies:

The Funds have entered into management agreements with the Adviser. As compensation for the advisory services rendered, facilities furnished, and expenses borne by the Adviser, the Funds pay the Adviser a fee pursuant to each Fund’s management agreement, as described below.

Aggressive Investors 1: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million, 0.85% of the next $500 million and 0.80% of any excess over $1 billion.

The Performance Adjustment equals 4.67% times the difference in cumulative total return between the Fund and the Standard and Poor’s 500 Composite Stock Price Index with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of –0.70% to a maximum of +0.70%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.

Ultra-Small Company: The Fund pays management fees based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million and 0.85% of any excess over $500 million. The management fees are computed daily and are payable monthly. However, during any period that the Fund’s net assets range from $27,500,000 to $55,000,000, the advisory fee will be determined as if the Fund had $55,000,000 under management. This is limited to a maximum annualized expense ratio of 1.49% of average net assets.

Ultra-Small Company Market: The Fund’s management fee is a flat 0.50% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

Small-Cap Momentum: The Fund’s management fee is a flat 0.55% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

Small-Cap Growth and Small-Cap Value: A total advisory fee is paid by each Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the annual rate of 0.60% of the value of the Fund’s average daily net assets.

The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 2000 Growth Index for Small-Cap Growth Fund and the Russell 2000 Value Index for Small-Cap Value Fund, with dividends

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reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.

Large-Cap Growth: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the 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. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.

Blue Chip 35 Index: The Fund’s management fee is a flat 0.08% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

Managed Volatility: The Fund’s management fee is a flat 0.60% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

Expense limitations:The Adviser has agreed to reimburse the Funds for operating expenses and management fees above the expense limitations shown in the table below, which are shown as a ratio of net expenses to average net assets, for each Fund, for the fiscal year ended June 30, 2012. Any material change to the expense limitation would require a vote by shareholders of the applicable Fund.

Bridgeway Fund	Expense Limitation		Total Waivers and     Reimbursements     for Period Ending     06/30/12
Aggressive Investors 1		1.75%		$           -
Ultra-Small Company		1.85%		-
Ultra-Small Company Market		0.75%		252,574
Small-Cap Momentum*		0.90%		127,045
Small-Cap Growth		0.94%		51,402
Small-Cap Value		0.94%		36,268
Large-Cap Growth		0.84%		38,927
Blue Chip 35 Index		0.15%		430,875
Managed Volatility		0.94%		125,149

*The Fund is authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser, provided, however, that any reimbursements must be paid at a date not more than three years after the fiscal year in which the Adviser waived the fees or reimbursed the expenses and the reimbursements do not cause the Fund to exceed the expense limitation in the agreement. The Fund has recoupable expenses of $11,221, $101,196 and $127,045, which expire June 30, 2013, June 30, 2014 and June 30, 2015, respectively.

  111 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

Other Related Party Transactions:On occasion, the Funds will engage in inter-portfolio trades when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. Inter-portfolio purchases and sales during the fiscal year ended June 30, 2012 were as follows:

Bridgeway Fund	Inter-portfolio Purchases		Inter-portfolio Sales
Aggressive Investors 1		$               -		$     44,160
Ultra-Small Company		90,206		2,791,658
Ultra-Small Company Market		1,083,006		7,803,343
Small-Cap Momentum		4,558		268,867
Small-Cap Growth		1,246,463		470,794
Small-Cap Value		4,151,491		344,610
Large-Cap Growth		392,196		423,624
Blue Chip 35 Index		423,624		-

The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Funds including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Funds, the Adviser is paid an aggregate annual fee of $535,000 payable in equal monthly installments.

One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Another director of Bridgeway, Michael Mulcahy, is an executive and director of the Adviser. Under the 1940 Act definitions, each is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery and Mr. Mulcahy is borne by the Adviser rather than the Funds.

Board of Directors CompensationIndependent Directors are paid an annual retainer of $14,000 with an additional retainer of $2,500 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. Beginning in 2012 the retainer is paid in quarterly installments. Independent Directors are paid $6,000 per meeting for meeting fees. Such compensation is the total compensation from all Funds and is allocated among the Funds.

The Independent Directors receive this compensation in the form of shares of the Funds, credited to his or her account. Such Directors are reimbursed for any expenses incurred in attending meetings and conferences and expenses for subscriptions or printed materials. The amount of directors’ fees attributable to each Fund is disclosed in the Statements of Operations.

4. Distribution and Shareholder Servicing Fees:

Foreside Fund Services, LLC acts as distributor of the Funds’ shares pursuant to a Distribution Agreement dated November 12, 2010. The Adviser pays all costs and expenses associated with distribution of the Funds’ shares pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.

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NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

5. Purchases and Sales of Investment Securities:

Purchases and sales of investments, other than short-term securities, for each Fund for the fiscal year ended June 30, 2012 were as follows:

	Purchases				Sales
Bridgeway Fund	U.S. Government		Other		U.S. Government		Other
Aggressive Investors 1		$      -		$121,140,385		$           -		$136,660,879
Ultra-Small Company		-		76,255,169		-		85,277,636
Ultra-Small Company Market		-		99,623,108				185,697,212
Small-Cap Momentum		-		6,140,783		-		7,017,900
Small-Cap Growth		-		22,950,363		-		34,819,777
Small-Cap Value		-		37,355,102		-		61,488,270
Large-Cap Growth		-		27,321,102		-		36,997,101
Blue Chip 35 Index		-		104,693,975		-		196,882,689
Managed Volatility		-		7,166,942		800,000		9,691,301

6. Federal Income Taxes

It is the Funds’ policy to continue to comply with the provisions of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and distribute income to the extent necessary so that the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.

Unrealized Appreciation and Depreciation on Investments (Tax Basis)The amount of net unrealized appreciation/ depreciation and the cost of investment securities for tax purposes, including short-term securities at June 30, 2012, were as follows:

	Aggressive Investors 1		Ultra-Small Company		Ultra-Small Company Market
Gross appreciation (excess of value over tax cost)		$  22,475,566		$17,687,324		$  91,548,824
Gross depreciation (excess of tax cost over value)		(13,662,893)		(7,555,617)		(12,480,889)
Net unrealized appreciation (depreciation)		$    8,812,673		$10,131,707		$  79,067,935
Cost of investments for income tax purposes		$201,015,118		$93,729,374		$223,950,308
	Small-Cap Momentum		Small-Cap Growth		Small-Cap Value
Gross appreciation (excess of value over tax cost)		$   215,517		$  5,264,505		$10,941,079
Gross depreciation (excess of tax cost over value)		(59,959)		(2,465,399)		(4,573,691)
Net unrealized appreciation (depreciation)		$   155,558		$  2,799,106		$  6,367,388
Cost of investments for income tax purposes		$1,910,903		$28,948,972		$61,138,476
	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Gross appreciation (excess of value over tax cost)		$  8,318,212		$  81,820,184		$  4,722,048
Gross depreciation (excess of tax cost over value)		(3,168,454)		(9,295,040)		(975,505)
Net unrealized appreciation (depreciation)		$  5,149,758		$  72,525,144		$  3,746,543
Cost of investments for income tax purposes		$42,935,871		$191,834,472		$19,913,140

The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale loss deferrals, and adjustments to basis from investments in real estate investment trusts, business development companies, grantor trusts and partnerships.

Classifications of DistributionsNet 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.

  113 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2012 and June 30, 2011, respectively, are as follows:

	Aggressive Investors 1				Ultra-Small Company
	Year Ended June 30, 2012		Year Ended June 30, 2011		Year Ended June 30, 2012		Year Ended June 30, 2011
Distributions paid from:
Ordinary income		$3,284,990		$2,167,451		$1,269,925		$632,748
Total		$3,284,990		$2,167,451		$1,269,925		$632,748
	Ultra-Small Company Market				Small-Cap Momentum
	Year Ended June 30, 2012		Year Ended June 30, 2011		Year Ended June 30, 2012		Year Ended June 30, 2011
Distributions paid from:
Ordinary income		$  3,451,142		$4,111,396		$   280,424		$     16,889
Long Term Capital Gain		13,433,187		-		9,123		-
Total		$16,884,329		$4,111,396		$   289,547		$     16,889
	Small-Cap Growth				Small-Cap Value
	Year Ended June 30, 2012		Year Ended June 30, 2011		Year Ended June 30, 2012		Year Ended June 30, 2011
Distributions paid from:
Ordinary income		$         3,204		$   107,719		$   989,896		$   557,827
Total		$         3,204		$   107,719		$   989,896		$   557,827
	Large-Cap Growth				Blue Chip 35 Index
	Year Ended June 30, 2012		Year Ended June 30, 2011		Year Ended June 30, 2012		Year Ended June 30, 2011
Distributions paid from:
Ordinary income		$     342,838		$   342,087		$7,110,502		$4,877,457
Total		$     342,838		$   342,087		$7,110,502		$4,877,457
	Managed Volatility
	Year Ended June 30, 2012		Year Ended   June 30, 2011
Distributions paid from:
Ordinary income		$     151,314		$   266,935
Total		$     151,314		$   266,935

At June 30, 2012, the Funds had available for tax purposes, capital loss carryovers as follows:

		Aggressive Investor 1		Ultra-Small Company
Expiring	6/30/2016		$    9,342,674		$1,346,595
	6/30/2017		177,345,455		1,662,540
	6/30/2018		16,094,317		-

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NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

		Small-Cap Growth	Small-Cap Value
Expiring	6/30/2017	$  6,410,906	$  4,037,798
	6/30/2018	22,793,119	50,552,993

		Large-Cap Growth	Blue Chip 35 Index	Managed Volatility
Expiring	6/30/2017	$                 -	$17,847,189	$                -
	6/30/2018	33,176,486	34,451,339	6,090,159
	6/30/2019	-	2,656,190	-

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by these Funds after June 30, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses. In addition, such losses must be utilized prior to the losses incurred in the years preceding enactment. As a result of the mergers described in Note 1, pre-merger capital loss carryovers are subject to limitations under Internal Revenue Code Sections 381-384. As of the date of the merger the Aggressive Investors 1 Fund had accumulated capital losses of $62,647,229 which are subject to limitation and the Micro-Cap Limited Fund had accumulated losses of $8,287,942 which are subject to limitation.

There are no capital loss carryovers for Ultra-Small Company Market Fund and Small-Cap Momentum Fund as of June 30, 2012.

Capital loss carryovers utilized during the fiscal year June 30, 2012 were as follows:

Bridgeway Fund	Capital Loss Carryover   Utilized
Aggressive Investors 1	$  6,940,180
Ultra-Small Company	3,714,932
Small-Cap Growth	4,272,992
Small-Cap Value	10,710,699
Large-Cap Growth	4,888,439
Blue Chip 35 Index	12,220,024
Managed Volatility	953,714

Components of Accumulated Earnings (Deficit)  As of June 30, 2012, the components of accumulated earnings (deficit) on a tax basis were:

	Aggressive Investors 1	Ultra-Small Company	Ultra-Small       Company Market
Accumulated Net Investment Income (Loss)	$        100,737	$       62,838	$    2,314,302
Accumulated Net Realized Gain (Loss) on Investments*	(210,458,200)	(6,825,363)	26,718,152
Net Unrealized Appreciation/Depreciation of Investments	8,812,673	10,131,707	79,067,935
Total	$(201,544,790)	$  3,369,182	$108,100,389
	Small-Cap Momentum	Small-Cap Growth	Small-Cap Value
Accumulated Net Investment Income (Loss)	$  10,077	$                   -	$      606,513
Accumulated Net Realized Gain (Loss) on Investments*	77,406	(29,526,291)	(55,779,626)
Net Unrealized Appreciation/Depreciation of Investments	155,558	2,799,106	6,367,388
Total	$243,041	$(26,727,185)	$(48,805,725)

  115 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Accumulated Net Investment Income (Loss)		$      167,751		$   3,580,113		$      99,873
Accumulated Net Realized Gain (Loss) on Investments*		(33,494,618)		(55,403,139)		(6,101,076)
Net Unrealized Appreciation/Depreciation of Investments		5,149,758		72,525,144		3,746,543
Total		$(28,177,109)		$ 20,702,118		$(2,254,660)

* Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2013. The Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Blue Chip 35 Index and Managed Volatility Funds have deferred qualified late-year losses of $7,675,754, $3,816,228, $1,992,931, $322,266, $1,188,835, $318,132, $448,421 and $10,917, respectively.

For the fiscal year June 30, 2012, the Funds recorded the following reclassifications to the accounts listed below:

	Increase (Decrease)
	Aggressive Investors 1		Ultra-Small Company		Ultra-Small Company Market
Paid-in-Capital		$ 139,586,414		$ 3,055,953		$ 6,510,635
Undistributed Net Investment Income		(23,447)		25,206		(400,940)
Accumulated Net Realized (Gain) Loss		(139,562,967)		(3,081,159)		(6,109,695)
	Small-Cap Momentum		Small-Cap Growth		Small-Cap Value
Paid-in-Capital		$                   -		$   (104,193)		$               -
Undistributed Net Investment Income		(399)		1,740		13
Accumulated Net Realized Loss		399		102,453		(13)
	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Paid-in-Capital		$                   -		$               -		$               -
Undistributed Net Investment Income		6,197		-		-
Accumulated Net Realized Loss		(6,197)		-		-

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 the deduction of equalization debits for tax purposes and investments in swaps, partnerships, real estate investment trusts, business development companies, grantor trusts, passive foreign investment companies (PFICs) and adjustments resulting from fund mergers.

Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Fund’s tax positions and has concluded that no provision for income tax is required in each Fund’s financial statements. The Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

7. Line of Credit

Bridgeway established a line of credit agreement (“Facility”) with The Bank of New York Mellon effective November 5, 2010. The Facility is for temporary or emergency purposes, such as to provide liquidity for shareholder redemptions, and is cancellable by either party. Unless cancelled earlier, the Facility shall be held available until November 2, 2012. Advances under the Facility are limited to $10,000,000 in total for all Funds and advances to each Fund shall not exceed certain limits set forth in the credit agreement, including but not limited to, the maximum amount a Fund is permitted to borrow under the 1940 Act.

The Funds incur a commitment fee of 0.05% per annum on the unused portion of the Facility and interest expense to the extent of amounts borrowed under the Facility. Interest is based on the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-month Eurodollar Rate, plus 1.25%. The commitment fees are payable quarterly in arrears and are allocated to all participating Funds. Interest expense is charged directly to a Fund based upon actual amounts borrowed by such Fund.

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NOTES TO FINANCIAL STATEMENTS (continued)    

June 30, 2012

For the fiscal year ended June 30, 2012, borrowings by the Funds under this line of credit were as follows:

Bridgeway Fund	Weighted Average Interest Rate			Weighted Average Loan Balance			Number of Days Outstanding		Interest Expense Incurred1			Maximum Amount Borrowed During the Period
Aggressive Investors 1		1.50	%		$	401,427		75		$	1,238		$	1,504,000
Ultra-Small Company		1.49	%			404,222		36			593			1,100,000
Ultra-Small Company Market		1.50	%			1,489,018		111			6,773			6,069,000
Small-Cap Growth		1.49	%			263,297		74			818			1,399,000
Small-Cap Value		1.49	%			377,168		137			2,095			1,877,000
Large-Cap Growth		1.48	%			172,611		90			512			630,000
Blue Chip 35 Index		1.52	%			2,094,296		159			13,525			10,000,000

¹Interest expense is included on the Statements of Operations in Miscellaneous expenses.

At June 30, 2012, Blue Chip 35 Index Fund had a loan outstanding in the amount of $9,665,000.

8. Redemption Fees

In Ultra-Small Company Market and Small-Cap Momentum Funds, a 2% redemption fee may be charged on shares held less than six months. The fee is charged for the benefit of the remaining shareholders and will be paid to the appropriate Fund to help offset transaction costs. The fee is accounted for as an addition to paid-in capital.

9. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

  117 Annual Report | June 30, 2012  

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of Bridgeway Funds, Inc.

We have audited the accompanying statements of assets and liabilities of Aggressive Investors 1 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Small-Cap Momentum Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Blue Chip 35 Index Fund and Managed Volatility Fund, each a series of Bridgeway Funds, Inc. (the “Funds”), including the schedules of investments, as of June 30, 2012, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the financial highlights for each of the years and periods presented in the five year period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2012 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Aggressive Investors 1 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Small-Cap Momentum Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Blue Chip 35 Index Fund and Managed Volatility Fund as of June 30, 2012, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two year period then ended, and financial highlights for each of the years and periods in the five year period then ended, in conformity with accounting principles generally accepted in the United States of America.

BBD, LLP

Philadelphia, Pennsylvania

August 24, 2012

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OTHER INFORMATION    

June 30, 2012 (Unaudited)

1. Shareholder Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended June 30, 2012. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2011.

The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2012. All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to report the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations there under.

	Aggressive   Investor 1		Ultra-Small   Company		Ultra-Small Company Market
Corporate Dividends Received Deduction		57.98%		63.51%		76.85%
Qualified Dividend Income		62.13%		67.42%		77.70%
Qualified Interest Related Dividends		0.00%		0.02%		0.20%
Qualified Short Term Capital Gain Dividends		0.00%		0.00%		0.00%
U.S. Government Income		0.00%		0.00%		0.00%
	Small-Cap   Momentum		Small-Cap   Growth		Small-Cap Value
Corporate Dividends Received Deduction		7.69%		100.00%		99.20%
Qualified Dividend Income		8.42%		100.00%		100.00%
Qualified Interest Related Dividends		0.05%		0.00%		0.00%
Qualified Short Term Capital Gain Dividends		100.00%		0.00%		0.00%
U.S. Government Income		0.00%		0.00%		0.00%
	Large-Cap   Growth		Blue Chip   35 Index		Managed Volatility
Corporate Dividends Received Deduction		100.00%		100.00%		100.00%
Qualified Dividend Income		100.00%		100.00%		100.00%
Qualified Interest Related Dividends		0.00%		0.00%		37.33%
Qualified Short Term Capital Gain Dividends		0.00%		0.00%		0.00%
U.S. Government Income		0.00%		0.00%		28.65%

U.S. Government Income represents the amount of interest that was derived from direct U.S. Government obligations. Generally, such interest is exempt from state income tax. However, for residents of California, New York and Connecticut the statutory threshold requirements were not satisfied. Due to the diversity in state and local tax law, it is recommended you consult a tax adviser as to the applicability of the information provided for your specific situation.

During the fiscal year ended June 30, 2012, the Funds paid distributions from ordinary income and long-term capital gain which included equalization debits summarized below:

	Aggressive  Investors 1		Ultra-Small Company		Ultra-Small Company Market		Small-Cap  Momentum
Ordinary Income Distributions	$	3,284,990	$	1,269,925	$	3,451,142	$	280,424
Equalization Debits Included in Ordinary Income Distributions		-		-		257,148		-
Equalization Debits Included in Long-Term Capital Gain Distributions		-		-		6,253,487		-
Long-Term Capital Gain Distributions		-		-		13,433,187		9,123
	Small-Cap Growth		Small-Cap Value		Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Ordinary Income Distributions	$	3,204	$	989,896	$	342,838	$	7,110,502	$151,314

  119 Annual Report | June 30, 2012  

OTHER INFORMATION (continued)    

June 30, 2012 (Unaudited)

2. Proxy Voting

Fund policies and procedures used in determining how to vote proxies relating to the Funds’ securities and a summary of proxies voted by the Funds for the period ended June 30, 2012 are available without a charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov.

3. Fund Holdings

The complete schedules of the Funds’ holdings for the second and fourth quarters of each fiscal year are contained in the Funds’ Semi-Annual and Annual shareholder reports, respectively.

The Bridgeway Funds file complete schedules of the Funds’ holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days after the end of the period. Copies of the Funds’ Form N-Q are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy Form N-Q at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 1-800-SEC-0330.

4. Approval of Investment Management Agreement

The Bridgeway Funds, Inc.’s (the “Company”) management agreement (the “Management Agreement”) with its investment adviser, Bridgeway Capital Management, Inc. (the “Adviser”), on behalf of each of the Company’s funds (each a “Fund” and collectively, the “Funds”) must be approved for an initial term no greater than two years and renewed at least annually thereafter (i) by the vote of the Directors or by a vote of the shareholders of each Fund and (ii) by the vote of a majority of the Directors who are not parties to the Management Agreement or “interested persons” of any party thereto (the “Independent Directors”), cast in person at a meeting called specifically for the purpose of voting on such approval.

The Board of Directors (the “Board”) has five regularly scheduled meetings each year and takes into account throughout the year matters bearing on the Management Agreement. The Board and its standing committees also consider at each meeting factors that are relevant to the annual renewal of each Fund’s Management Agreement, including the services and support provided to each Fund and its shareholders.

On June 1, 2012, the Board, including a majority of the Independent Directors, met in person (the “Meeting”) with the Adviser, Company counsel, independent legal counsel (“Independent Legal Counsel”) to the Independent Directors and others to give consideration to information bearing on the continuation of the Management Agreement with respect to the following Funds: Aggressive Investors 1 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund. In preparation for the Meeting, the Independent Directors requested that the Adviser provide specific information relevant to their consideration of the renewal of each Fund’s Management Agreement. In response to that request, the Independent Directors were furnished with a wide variety of information with respect to each Fund, including:

—  investment performance over various time periods and the fees and expenses of each Fund as compared to a comparable group of funds (the “peer funds”);

—  the nature, extent and quality of services provided by the Adviser to each Fund, including investment advisory and administrative services;

—  actual management fees paid by each Fund to the Adviser;

—  the Adviser’s costs of providing services to each Fund and the profitability of the Adviser derived from its relationship with each Fund;

—  the extent to which economies of scale may be present and if so, the degree to which they would be shared with the Fund’s shareholders;

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OTHER INFORMATION (continued)    

June 30, 2012 (Unaudited)

—  any “fall out” or ancillary benefits accruing to the Adviser as a result of its relationship with each Fund; and

—  information regarding the structure of the advisory fees, the method of computing fees and the frequency of payment of fees and any expense limitation or fee waiver arrangements for each Fund.

The Independent Directors also met telephonically with Independent Legal Counsel prior to the Meeting to review and discuss the information provided by the Adviser and, as a result of the telephonic meeting, requested certain additional information from the Adviser. Moreover, the Independent Directors also met in executive session with Independent Legal Counsel to consider the continuation of the Management Agreement outside the presence of management during the Meeting.

In considering the aforementioned information, the Independent Directors took into account management style, investment strategies and prevailing market conditions. Furthermore, in evaluating the Management Agreement, the Directors also reviewed information provided by the Adviser concerning the following:

—  the terms of the Management Agreement, including the services performed by the Adviser in managing each Fund in accordance with each Fund’s investment objectives, policies and restrictions and how those services and fees differ from the Adviser’s services to non-mutual fund accounts, to the extent applicable;

—  the services provided by the Adviser under a separate Administrative Services Agreement and the fact that those services were provided at approximately cost to the Funds;

—  the Adviser’s specialized skills and experience in statistical analysis and investment management and trading;

—  the Adviser’s personnel, staffing levels and the time and attention the Adviser’s personnel devote to the management of the Funds as compared to other Adviser clients;

—  the Adviser’s risk assessment and risk management capabilities;

—  the fact that the Adviser continues to use no soft dollars; and

—  the financial condition and stability of the Adviser, including supplemental financial information provided upon the request of the Independent Directors and the fact that at the current time, the Adviser is operating each Fund at a loss.

After extensive discussion and consideration among themselves, and with the Adviser, Company counsel and Independent Legal Counsel, including during an executive session with Independent Legal Counsel, the Independent Directors concluded the following:

—  the nature, extent and quality of the Adviser’s services were appropriate and consistent with the terms of the Management Agreement and mutual fund industry norms;

—  the investment performance of each Fund was either acceptable or better or subject to reasonable steps by the Adviser to monitor or address underperformance;

—  the management fees and overall expense levels, after taking into account any applicable management fee and expense waivers, were reasonable;

—  the costs of services provided by the Adviser to each Fund were fair and reasonable in relation to the services and benefits provided to each Fund; and

—  the shareholders of each Fund have appropriately benefitted from economies of scale, either directly through expense caps, fee waivers and/or breakpoints, or were not missing the opportunity to benefit from economies of scale in view of asset sizes and fee structures.

  121 Annual Report | June 30, 2012  

OTHER INFORMATION (continued)    

June 30, 2012 (Unaudited)

In summary, the Independent Directors renewed the Management Agreement with respect to each Fund. The Independent Directors valued access by the Funds to the Adviser’s proprietary statistically driven investment management services and favorable fee levels, considered the steps the Adviser was taking to address underperformance of certain Funds and concluded that renewal of the Management Agreement was in the best interests of each Fund and its shareholders. Based on all of the information presented, the Board, including a majority of its Independent Directors, determined on a Fund-by-Fund basis that the fees charged under the Management Agreement are reasonable in relation to the services that are provided under the Management Agreement. In view of the broad scope and variety of factors and information, the Directors did not identify any single factor as being of paramount importance in reaching their conclusions and determinations to approve the continuance of the Management Agreement for each Fund. Rather, the approval determinations were made on the basis of each Director’s business judgment after consideration of all of the factors taken in their entirety.

  www.bridgeway.com 122

DISCLOSURE OF FUND EXPENSES
June 30, 2012 (Unaudited)

As a shareholder of a Fund, you will incur no transaction costs from such Fund, including sales charges (loads) on purchases, on reinvested dividends or on other distributions. There are no exchange fees. Shareholders are subject to redemption fees on the Ultra-Small Company Market and Small-Cap Momentum Funds under certain circumstances. However, as a shareholder of a Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on January 1, 2012 and held until June 30, 2012.

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

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

The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.

	Beginning Account Value at 1/1/12	Ending Account Value at 6/30/12	Expense Ratio	Expenses Paid  During Period*  1/1/12 - 6/30/12
Bridgeway Aggressive Investors 1
Actual Fund Return	$1,000.00	$1,086.20	0.20%	$1.04
Hypothetical Fund Return	$1,000.00	$1,024.00	0.20%	$1.01
Bridgeway Ultra-Small Company Fund
Actual Fund Return	$1,000.00	$1,130.60	1.22%	$6.50
Hypothetical Fund Return	$1,000.00	$1,018.90	1.22%	$6.16
Bridgeway Ultra-Small Company Market Fund
Actual Fund Return	$1,000.00	$1,139.00	0.75%	$4.01
Hypothetical Fund Return	$1,000.00	$1,021.25	0.75%	$3.79
Bridgeway Small-Cap Momentum Fund
Actual Fund Return	$1,000.00	$1,073.50	0.90%	$4.67
Hypothetical Fund Return	$1,000.00	$1,020.50	0.90%	$4.55
Bridgeway Small-Cap Growth Fund
Actual Fund Return	$1,000.00	$1,062.10	0.94%	$4.85
Hypothetical Fund Return	$1,000.00	$1,020.30	0.94%	$4.75
Bridgeway Small-Cap Value Fund
Actual Fund Return	$1,000.00	$1,088.90	0.94%	$4.91
Hypothetical Fund Return	$1,000.00	$1,020.30	0.94%	$4.75

  123 Annual Report | June 30, 2012  

DISCLOSURE OF FUND EXPENSES (continued)    

June 30, 2012 (Unaudited)

	Beginning Account Value at 1/1/12			Ending Account Value at 6/30/12			Expense Ratio			Expenses Paid  During Period*  1/1/12 - 6/30/12
Bridgeway Large-Cap Growth Fund
Actual Fund Return		$	1,000.00		$	1,089.10		0.84	%		$	4.39
Hypothetical Fund Return		$	1,000.00		$	1,020.80		0.84	%		$	4.24
Bridgeway Blue Chip 35 Index Fund
Actual Fund Return		$	1,000.00		$	1,099.70		0.16	%		$	0.84
Hypothetical Fund Return		$	1,000.00		$	1,024.20		0.16	%		$	0.81
Bridgeway Managed Volatility
Actual Fund Return		$	1,000.00		$	1,041.90		0.94	%		$	4.80
Hypothetical Fund Return		$	1,000.00		$	1,020.30		0.94	%		$	4.75

* Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent half-year divided by the number of days in the fiscal year.

  www.bridgeway.com 124

RESULTS OF SHAREHOLDER MEETING
June 30, 2012 (Unaudited)

On May 30, 2012, a Special Meeting of Shareholders for the Aggressive Investors 2 Fund (“AI2 Fund”) was held to consider the approval of the Plan of Reorganization between the AI2 Fund and the Aggressive Investors 1 Fund (“AI1 Fund”) which provides for (1) the conversion of the shares of the AI2 Fund into shares of the AI1 Fund and (2) the resulting transfer to the AI1 Fund of all of the property, assets and goodwill of the AI2 Fund. The following votes were recorded during the meeting (percentages are reflective of total shares voted at the meeting).

	Shares Voted		Percentage of Voted Shares
Votes For		5,786,022.503		94.41%
Votes Against		221,560.981		3.61%
Votes Abstained		121,143.107		1.98%

On May 30, 2012, a Special Meeting of Shareholders for the Micro-Cap Limited Fund (“MCL Fund”) was held to consider the approval of the Plan of Reorganization between MCL Fund and the Ultra-Small Company Fund (“USC Fund”) which provides for (1) the conversion of the shares of the MCL Fund into shares of the USC Fund and (2) the resulting transfer to the USC Fund of all of the property, assets and goodwill of the MCL Fund. The following votes were recorded during the meeting (percentages are reflective of total shares voted at the meeting).

	Shares Voted		Percentage of Voted Shares
Votes For		1,708,427.845		95.62%
Votes Against		58,142.586		3.25%
Votes Abstained		20,136.313		1.13%

  125 Annual Report | June 30, 2012 (Unaudited)

DIRECTORS & OFFICERS
June 30, 2012

Independent Directors

Name, Address and Age1	Position Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Director	Other Directorships Held by Director
Kirbyjon Caldwell Age 59	Director	Term: 1 Year Length: 2001 to Present.	Senior Pastor of Windsor Village United Methodist Church, since 1982.	Eleven	American Church Mortgage Company, NRG Energy, Inc., Amegy Bancshares Advisory Board
Karen S. Gerstner Age 57	Director	Term: 1 Year Length: 1994 to Present.	Principal, Karen S. Gerstner & Associates, P.C., since 2004.	Eleven	None
Miles Douglas Harper, III* Age 49	Director	Term: 1 Year Length: 1994 to Present.	Partner, Gainer, Donnelly, Desroches, LLP, since 1998.	Eleven	Calvert Social Investment Fund (8 Portfolios), Calvert Social Index Series, Inc. (1 Portfolio), Calvert Impact Fund (4 Portfolios), Calvert World Values Fund (3 Portfolios)
Evan Harrel Age 51	Director	Term: 1 Year Length: 2006 to Present.	Executive Director, Small Steps Nurturing Center, 2004 through May 2012.	Eleven	None

  www.bridgeway.com 126

DIRECTORS & OFFICERS (continued)  

June 30, 2012

“Interested” or Affiliated Directors and Officers

Name, Address and Age1	Position(s) Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Director	Other Directorships Held by Director
Michael D. Mulcahy2 Age 48	President and Director	Term: 1 Year Length: 2003 to Present.	President and Chief Operating Officer, Bridgeway Capital Management, Inc., 10/2010 - present, President, Bridgeway Funds, 6/2005 - present. Director, Secretary and Vice President, Bridgeway Capital Management, Inc., 12/2002 - 10/2010.	Eleven	None
John N. R. Montgomery3 Age 56	Vice President and Director	Term: 1 Year Length: 1993 to Present.	Chairman, Bridgeway Capital Management, Inc., 10/2010 - present, Vice President, Bridgeway Funds, 6/2005 - present, President, Bridgeway Capital Management, Inc., 11/1993 - 10/2010.	Eleven	None

  127 Annual Report | June 30, 2012

DIRECTORS & OFFICERS (continued)  

June 30, 2012

Other Officers

Name, Address and Age1	Position Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Officer	Other Directorships Held by Officer
Richard P. Cancelmo, Jr. Age 54	Vice President	Term: 1 Year Length: 2004 to Present.	Vice President, Bridgeway Funds, 11/2004 - present, Staff member, Bridgeway Capital Management, Inc., since 2000.	N/A	None
Linda G. Giuffré Age 50	Treasurer and Chief Compliance Officer	Term: 1 Year Length: 2004 to Present.	Chief Compliance Officer, Bridgeway Capital Management, Inc., 12/2004 - present, Staff member, Bridgeway Capital Management, Inc., 5/2004 - present.	N/A	None
Deborah L. Hanna Age 47	Secretary	Term: 1 Year Length: 2007 to Present.	Self-employed, accounting and related projects for various organizations, 2001 - present.	N/A	None
Sharon Lester Age 57	Vice President	Term: 1 Year Length: 2011 to Present.	Staff member, Bridgeway Capital Management, Inc., 12/2010 - present. Prior to 12/2010, Director of Portfolio Operations, Invesco.	N/A	None

* Independent Chairman

¹  The address of all of the Directors and Officers of Bridgeway Funds is 20 Greenway Plaza, Suite 450, Houston, Texas, 77046.

²  Michael Mulcahy is a director and officer of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

³  John Montgomery is chairman, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

The overall management of the business and affairs of Bridgeway Funds is vested with its Board of Directors (the “Board”). The Board approves all significant agreements between Bridgeway Funds and persons or companies furnishing services to it, including agreements with its Adviser and Custodian. The day-to-day operations of Bridgeway Funds are delegated to its officers, subject to its investment objectives and policies and general supervision by the Board.

The Funds’ Statement of Additional Information includes additional information about the Board and is available, without charge, upon request by calling 1-800-661-3550.

  www.bridgeway.com 128

THIS PAGE INTENTIONALLY LEFT BLANK

BRIDGEWAY FUNDS, INC.

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

DISTRIBUTOR

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

Portland, ME 04101

You can review and copy information about our Funds (including the SAIs) at the SEC’s  Public Reference Room in Washington, D.C. To find out more about this public service, call  the SEC at 800-SEC-0330. 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. 20549-1520 or by sending an electronic request to the  following email address: publicinfo@sec.gov.

A no-load mutual fund family of domestic funds
Annual Report
June 30, 2012
OMNI SMALL-CAP VALUE	BOSVX
OMNI TAX-MANAGED SMALL-CAP     VALUE	BOTSX

www.bridgewayomni.com

TABLE OF CONTENTS    

Letter from the Investment Management Team	1
OMNI SMALL-CAP VALUE FUND
Manager’s Commentary	2
Schedule of Investments	5
OMNI TAX-MANAGED SMALL-CAP VALUE FUND
Manager’s Commentary	16
Schedule of Investments	19
STATEMENTS OF ASSETS AND LIABILITIES	31
STATEMENTS OF OPERATIONS	32
STATEMENTS OF CHANGES IN NET ASSETS	33
FINANCIAL HIGHLIGHTS	34
Notes to Financial Statements	36
Report of Independent Registered Public Accounting Firm	43
Other Information	44
Disclosure of Fund Expenses	47
Directors & Officers	48

Bridgeway Funds Standardized Returns as of June 30, 2012 (Unaudited)

Annualized

Fund

Quarter

Six Months

1 Year

5 Years

10 Years

Inception to Date

Inception Date

Gross Expense Ratio2

Net Expense Ratio

Omni Small-Cap Value

-6.32%

7.24%

NA

NA

NA

11.41%*

8/31/2011

1.00%1

0.60%1

Omni Tax-Managed Small-Cap Value

-6.42%

6.80%

-5.41%

NA

NA

0.69%

12/31/2010

1.56%1

0.60%1

¹ Some of the Funds’ fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser has contractually agreed to waive fees and/or reimburse expenses. Any material change to this Fund policy would require a vote by shareholders.

² Expense ratios are as stated in the current prospectus. Please see financial highlights for expense ratios as of June 30, 2012.

* Not annualized.

Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than original cost. To obtain performance current to the most recent month-end, please visit our website at www.bridgeway.com or call 1-800-661-3550. Total return figures include the reinvestment of dividends and capital gains.

This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 1-800-661-3550 or visit the Funds’ website at www.bridgeway.com. Funds are available for purchase by residents of the United States, Puerto Rico, U.S. Virgin Islands and Guam only. Foreside Fund Services, LLC, Distributor.

The views expressed here are exclusively those of Fund management. These views, including those relating to the market, sectors or individual stocks are not meant as investment advice and should not be considered predictive in nature.

  i www.bridgewayomni.com

LETTER FROM THE INVESTMENT MANAGEMENT TEAM

June 30, 2012

Dear Fellow Shareholders,

At Bridgeway, we have a shared passion for applying logic, data, and evidence to develop investment solutions. Our Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are constructed based on fundamental academic research that relies on market efficiency to better capture risk premiums. We manage these Funds to provide broad diversification within the small-cap value universe and to keep transaction fees and expenses low. Bridgeway offers the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds through a select group of advisers. We are committed to advisers and their clients who take a long-term perspective and whose investment goals fit our unique expertise: delivering investment solutions that are statistically driven and grounded in academic theory.

Thank you for your investment in Bridgeway’s Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds.

Sincerely,

Your Investment Management Team

John Montgomery	Rasool Shaik	Christine Liang

Market Review

The positive momentum that carried the market at the end of 2011 and through the first quarter of 2012 came to an end in the second quarter. U.S. stocks were volatile during the quarter with most of the losses coming in May. Broad market returns for the quarter were down 3.15% as represented by the Russell 3000 Index. Value stocks generally outperformed growth stocks with large-cap value stocks leading the way as represented by the Russell 1000 Value index, down 2.20%.

For the fiscal year period ended June 30, 2012, broad market stocks were up 3.84% as represented by the Russell 3000 Index. Returns were mixed among value and growth stocks and across the market cap spectrum. Large-cap growth stocks, as represented by the Russell 1000 Growth Index, led the way, up 5.76%.

The following table presents returns for broad market, small-cap, mid-cap, and large-cap stocks as represented by various style-based Russell Indexes. Size (market capitalization) and style (value/growth) are among the key factors that drive differences in returns among U.S. stocks.

Russell Style-Based Indexes Ranked by Performance for the Quarter and Fiscal Year Ended June 30, 2012

	2q12	12-Months
Best     Performing	Russell 1000 Value Index -2.20%	Russell 1000 Growth Index +5.76%
	Russell 3000 Value Index -2.26%	Russell 3000 Growth Index +5.05%
	Russell 2000 Value Index -3.01%	Russell 1000 Value Index +3.01%
	Russell Mid-Cap Value Index -3.26%	Russell 3000 Value Index +2.64%
	Russell 2000 Growth Index -3.94%	Russell Mid-Cap Value Index -0.37%
	Russell 3000 Growth Index -4.02%	Russell 2000 Value Index -1.44%
	Russell 1000 Growth Index -4.02%	Russell 2000 Growth Index -2.71%
Worst     Performing	Russell Mid-Cap Growth Index -5.60%	Russell Mid-Cap Growth Index -2.99%

The Bridgeway Omni Funds in this annual report are asset class exposure strategies that seek broad diversification and risk premium exposure. These Funds are designed to capture the size and style benefits within a specific asset class.

  www.bridgewayomni.com 1

Omni Small-Cap Value Fund
MANAGER’S COMMENTARY (Unaudited)

June 30, 2012

Dear Fellow Omni Small-Cap Value Fund Shareholder,

For the quarter ended June 30, 2012, total returns were -6.32% for the Fund and -3.01% for the Russell 2000 Value Index. For the partial fiscal year ended June 30, 2012, total returns were 11.41% for the Fund and 11.81% for the Russell 2000 Value Index.

The table below presents our June quarter and inception-to-date financial results. See below for a graph of performance since inception.

Standardized Returns as of June 30, 2012

	Quarter		Since Inception    (8/31/11)
Omni Small-Cap Value Fund		-6.32%	11.41%
Russell 2000 Value Index		-3.01%	11.81%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. It is not possible to invest directly in an index.

Omni Small-Cap Value Fund vs. Russell 2000 Value Index from Inception 8/31/11 to 6/30/12

  2 Annual Report | June 30, 2012  

Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Detailed Explanation of Quarterly Performance

The Omni Small-Cap Value Fund is designed to capture the returns of the small-cap value asset class through broad diversification of small company and value stocks. This approach is sometimes referred to as “passive, asset class investing.” As of June 30, 2012, we held 625 such stocks in a market cap weighted style. We make no attempt to track any public index in either performance or statistics.

The Fund returns were driven by the fact that returns for small stocks were negative across the board. Declines were broadly spread across almost all sectors. The design tilt towards smaller and deeper value stocks resulted in heavy underweighting in the strong performing Financials sector, which hurt the Fund’s performance for the quarter relative to the Russell 2000 Value Index.

Detailed Explanation of Fiscal Period Performance (8/31/11 - 6/30/12)

Our smaller-cap dominance and deeper value bent helped the performance for the fiscal year. The design tilt towards smaller and deeper value stocks resulted in heavy underweighting in the Financials sector, the best performing sector, which hurt the Fund’s return relative to the Russell 2000 Value Index.

Top Ten Holdings as of June 30, 2012

Rank Description		Industry	% of Net  Assets
1	Worthington Industries, Inc.	Metals & Mining	0.9%
2	ANN, Inc.	Specialty Retail	0.8%
3	Cloud Peak Energy, Inc.	Oil, Gas & Consumable Fuels	0.8%
4	Group 1 Automotive, Inc.	Specialty Retail	0.8%
5	SUPERVALU, Inc.	Food & Staples Retailing	0.8%
6	US Airways Group, Inc.	Airlines	0.7%
7	Cracker Barrel Old Country Store, Inc.	Hotels, Restaurants & Leisure	0.7%
8	SYNNEX Corp.	Electronic Equipment, Instruments & Components	0.7%
9	Cooper Tire & Rubber Co.	Auto Components	0.7%
10	Select Medical Holdings Corp.	Health Care Providers & Services	0.7%
	Total		7.6%

Industry Sector Representation as of June 30, 2012

	% of Net Assets		% of Russell 2000 Value Index		Difference
Consumer Discretionary		25.6%		11.4%		14.2%
Consumer Staples		6.0%		2.7%		3.3%
Energy		8.8%		6.7%		2.1%
Financials		12.3%		35.8%		-23.5%
Health Care		5.5%		4.8%		0.7%
Industrials		18.4%		12.9%		5.5%
Information Technology		11.4%		13.0%		-1.6%
Materials		9.5%		5.1%		4.4%
Telecommunication Services		1.9%		0.6%		1.3%
Utilities		0.2%		7.0%		-6.8%
Cash & Other Assets		0.4%		0.0%		0.4%
Total		100.0%		100.0%

  www.bridgewayomni.com 3

Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

Conclusion

Thank you for your continued investment in Omni Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  4 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
COMMON STOCKS - 99.55%
Aerospace & Defense - 0.85%
AAR Corp.		32,000		$    431,360
Astrotech Corp.*		30,000		32,400
Ducommun, Inc.*		16,300		159,903
EDAC Technologies Corp.*		6,900		77,832
GeoEye, Inc.*		16,200		250,776
Orbital Sciences Corp.*		28,150		363,698
Sparton Corp.*		2,500		24,750
Sypris Solutions, Inc.		26,100		181,917
				1,522,636
Air Freight & Logistics - 0.49%
Air Transport Services Group, Inc.*		64,600		335,920
Atlas Air Worldwide Holdings, Inc.*		5,300		230,603
Pacer International, Inc.*		28,400		153,928
Park-Ohio Holdings Corp.*		8,700		165,561
				886,012
Airlines - 1.65%
Hawaiian Holdings, Inc.*		41,334		269,084
JetBlue Airways Corp.*		184,950		980,235
Republic Airways Holdings, Inc.*		34,000		188,700
SkyWest, Inc.		33,800		220,714
US Airways Group, Inc.*+		97,900		1,305,007
				2,963,740
Auto Components - 2.21%
China Automotive Systems, Inc.*+		22,400		91,616
China XD Plastics Co., Ltd.*+		50,900		233,122
Cooper Tire & Rubber Co.		70,100		1,229,554
Exide Technologies*		35,000		117,600
Federal-Mogul Corp.*		54,000		594,000
Modine Manufacturing Co.*		24,300		168,399
Shiloh Industries, Inc.		4,700		54,050
SORL Auto Parts, Inc.*+		29,900		72,059
Spartan Motors, Inc.		14,950		78,338
Standard Motor Products, Inc.		38,000		535,040
Stoneridge, Inc.*		38,900		264,909
Strattec Security Corp.		1,300		27,352
Superior Industries International, Inc.		12,200		199,714
Tower International, Inc.*		28,900		303,450
				3,969,203
Beverages - 0.26%
Coca-Cola Bottling Co. Consolidated		7,200		462,816

Industry    Company	Shares		Value
Building Products - 0.73%
Ameresco, Inc., Class A*		27,000		$    322,110
Gibraltar Industries, Inc.*		11,250		116,775
Griffon Corp.		28,800		247,104
Nortek, Inc.*		4,800		240,192
Patrick Industries, Inc.*		10,300		131,325
Universal Forest Products, Inc.		5,800		226,084
US Home Systems, Inc.		2,800		28,420
				1,312,010
Capital Markets - 1.27%
Calamos Asset Management, Inc., Class A		13,000		148,850
Cowen Group, Inc., Class A*		40,200		106,932
FBR & Co.*		86,400		239,328
GFI Group, Inc.		54,350		193,486
Gleacher & Co., Inc.*		57,300		45,840
Hanover Capital Mortgage Holdings, Inc.*		17,200		403,168
INTL FCStone, Inc.*		12,500		241,875
Investment Technology Group, Inc.*		18,350		168,820
Oppenheimer Holdings, Inc., Class A		15,300		240,516
Piper Jaffray Cos.*		11,400		267,102
SWS Group, Inc.*		41,200		219,596
				2,275,513
Chemicals - 3.36%
American Pacific Corp.*		2,900		30,566
China Green Agriculture, Inc.*+		36,800		131,744
Core Molding Technologies, Inc.*		6,200		51,088
Ferro Corp.*		27,700		132,960
Georgia Gulf Corp.		31,950		820,156
Gulf Resources, Inc.*		42,400		51,728
Koppers Holdings, Inc.		10,700		363,800
Kraton Performance Polymers, Inc.*		48,350		1,059,349
Material Sciences Corp.*		5,200		42,640
OM Group, Inc.*		33,700		640,300
Omnova Solutions, Inc.*		45,650		344,201
Penford Corp.*		18,400		164,680
Schulman (A.), Inc.		30,900		613,365
Spartech Corp.*		24,700		127,699
TPC Group, Inc.*		15,550		574,572
Tredegar Corp.		28,800		419,328
Yongye International, Inc.*+		62,400		192,816

  www.bridgewayomni.com 5

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Chemicals (continued)
Zep, Inc.		19,400		$    266,362
				6,027,354
Commercial Banks - 3.84%
Access National Corp.+		2,700		35,370
BancorpSouth, Inc.		43,650		633,798
Bank of Commerce Holdings		7,600		31,008
Banner Corp.		7,550		165,421
C&F Financial Corp.+		1,200		48,192
Capital City Bank Group, Inc.		7,650		56,380
Citizens Republic Bancorp, Inc.*		18,000		308,340
CoBiz Financial, Inc.		16,600		103,916
Fidelity Southern Corp.+		16,800		145,152
First Bancorp		7,600		67,564
First BanCorp. (Puerto Rico)*+		87,300		345,708
First Business Financial Services, Inc.		1,200		27,240
First Merchants Corp.		11,500		143,290
First United Corp.*		9,200		39,652
Firstbank Corp.		14,800		148,000
Great Southern Bancorp, Inc.		6,000		165,480
Guaranty Bancorp*		24,000		50,640
Hampton Roads Bankshares, Inc.*+		22,300		24,307
Hanmi Financial Corp.*		150		1,572
Heartland Financial USA, Inc.		7,350		176,400
Horizon Bancorp+		2,100		55,230
Independent Bank Corp.*		3,800		9,538
Intervest Bancshares Corp., Class A*		32,800		125,624
Macatawa Bank Corp.*		13,200		45,012
MainSource Financial Group, Inc.		9,050		107,062
MBT Financial Corp.*		24,300		66,825
Mercantile Bank Corp.*		3,300		60,885
Metro Bancorp, Inc.*		6,300		75,789
NewBridge Bancorp*		7,000		30,660
Old Second Bancorp, Inc.*		6,500		8,450
Orrstown Financial Services, Inc.		5,600		44,968
Peoples Bancorp, Inc.		4,800		105,504
PrivateBancorp, Inc.		32,250		476,010
Republic Bancorp, Inc., Class A		9,350		208,038
Savannah Bancorp, Inc. (The)*		3,200		15,520

Industry    Company	Shares		Value
Commercial Banks (continued)
Southwest Bancorp, Inc.*		23,600		$    222,076
Susquehanna Bancshares, Inc.		68,450		705,035
Synovus Financial Corp.		328,750		650,925
Taylor Capital Group, Inc.*+		641		10,506
Union First Market Bankshares Corp.		11,700		169,065
United Community Banks, Inc.*		35,650		305,520
Virginia Commerce Bancorp, Inc.*		13,350		112,540
VIST Financial Corp.		3,000		34,860
Wintrust Financial Corp.		12,800		454,400
Yadkin Valley Financial Corp.*		28,600		75,790
				6,893,262
Commercial Services & Supplies - 6.25%
ABM Industries, Inc.		38,700		756,972
American Reprographics Co.*		38,350		192,900
AMREP Corp.*		9,700		58,685
Asset Acceptance Capital Corp.*+		31,500		214,200
Brink’s Co. (The)		49,150		1,139,297
Casella Waste Systems, Inc., Class A*		20,650		120,803
Consolidated Graphics, Inc.*		18,675		542,509
Courier Corp.		9,200		121,900
Deluxe Corp.		40,600		1,012,564
EnergySolutions, Inc.*		212,600		359,294
Geo Group, Inc. (The)*		41,800		949,696
Herman Miller, Inc.		29,300		542,636
HNI Corp.		31,500		811,125
Industrial Services of America, Inc.*+		6,000		29,760
Intersections, Inc.		31,300		496,105
Kimball International, Inc., Class B		31,800		244,860
Metalico, Inc.*		63,000		138,600
Multi-Color Corp.		22,400		498,176
Perma-Fix Environmental Services*		41,000		47,970
Schawk, Inc.		14,200		180,340
Standard Parking Corp.*		13,750		295,900
Standard Register Co. (The)		11,450		6,870
Sykes Enterprises, Inc.*		37,600		600,096
TMS International Corp., Class A*		42,100		419,737
TRC Cos., Inc.*		31,650		192,432
United Stationers, Inc.		32,600		878,570

  6 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Commercial Services & Supplies (continued)
Versar, Inc.*		8,900		$    26,789
Viad Corp.		17,400		348,000
				11,226,786
Communications Equipment - 0.73%
Bel Fuse, Inc., Class B		13,500		237,735
Black Box Corp.		18,250		523,775
Communications Systems, Inc.		1,000		11,170
Globecomm Systems, Inc.*		31,200		316,368
Network Engines, Inc.*		19,200		27,072
Technical Communications Corp.		900		7,101
Tessco Technologies, Inc.		6,650		146,633
Zoom Technologies, Inc.*		43,200		44,928
				1,314,782
Computers & Peripherals - 0.53%
Cray, Inc.*		16,300		196,904
Dot Hill Systems Corp.*		35,800		40,812
Hutchinson Technology, Inc.*		62,900		91,834
Imation Corp.*		17,300		102,243
Novatel Wireless, Inc.*		71,100		177,039
Xyratex, Ltd.		30,200		341,562
				950,394
Construction & Engineering - 0.83%
Argan, Inc.		18,600		260,028
EMCOR Group, Inc.		2,800		77,896
Great Lakes Dredge & Dock Corp.		20,850		148,452
Layne Christensen Co.*		5,050		104,485
Michael Baker Corp.*		3,400		88,706
Northwest Pipe Co.*		13,400		325,084
Orion Marine Group, Inc.*		10,800		75,168
Primoris Services Corp.		18,800		225,600
Sterling Construction Co., Inc.*		18,250		186,515
				1,491,934
Construction Materials - 0.24%
Headwaters, Inc.*		84,800		436,720
Consumer Finance - 1.01%
Cash America International, Inc.		10,200		449,208
CompuCredit Holdings Corp.*		32,600		118,012
DFC Global Corp.*		19,600		361,228
First Marblehead Corp. (The)*		159,100		186,147

Industry    Company	Shares		Value
Consumer Finance (continued)
Nelnet, Inc., Class A		25,800		$    593,400
QC Holdings, Inc.		27,300		114,387
				1,822,382
Containers & Packaging - 0.75%
AEP Industries, Inc.*		5,550		241,703
Boise, Inc.		127,050		835,989
Mod-Pac Corp.*		1,500		7,740
Myers Industries, Inc.		15,600		267,696
				1,353,128
Distributors - 0.26%
Amcon Distributing Co.		600		33,234
Core-Mark Holding Co., Inc.		5,600		269,584
VOXX International Corp.*		18,200		169,624
				472,442
Diversified Consumer Services - 1.60%
Cambium Learning Group, Inc.*		18,950		18,002
Capella Education Co.*		9,700		337,172
Career Education Corp.*		38,800		259,572
Carriage Services, Inc.		13,950		116,064
Coinstar, Inc.*		250		17,165
Corinthian Colleges, Inc.*		108,650		313,999
Learning Tree International, Inc.*		11,700		51,129
Lincoln Educational Services Corp.		37,025		240,662
Mac-Gray Corp.		11,100		156,399
Regis Corp.		60,450		1,085,682
School Specialty, Inc.*+		8,550		27,873
Universal Technical Institute, Inc.		18,500		249,935
				2,873,654
Diversified Financial Services - 0.76%
Gain Capital Holdings, Inc.		26,899		134,226
Interactive Brokers Group, Inc., Class A		21,150		311,328
PHH Corp.*		45,050		787,474
Primus Guaranty, Ltd.*		16,700		125,250
				1,358,278
Diversified Telecommunication Services - 1.44%
Atlantic Tele-Network, Inc.		14,200		478,966
Cbeyond, Inc.*		26,550		179,744
Consolidated Communications Holdings, Inc.		22,300		330,040

  www.bridgewayomni.com 7

Bridgeway Omni Small-Cap Value Fund
SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Diversified Telecommunication Services (continued)
General Communication, Inc., Class A*		59,550		$    494,860
Hawaiian Telcom Holdco, Inc.*+		10,200		199,002
HickoryTech Corp.		6,000		66,660
IDT Corp., Class B		25,275		247,948
Iridium Communications, Inc.*		29,800		267,008
Multiband Corp.*		9,700		23,086
Premiere Global Services, Inc.*		9,500		79,705
Primus Telecommunications Group, Inc.+		13,700		213,309
				2,580,328
Electrical Equipment - 0.84%
Allied Motion Technologies, Inc.		17,400		104,400
China BAK Battery, Inc.*		1,800		1,044
Coleman Cable, Inc.		18,400		159,896
Fushi Copperweld, Inc.*+		32,800		285,032
General Cable Corp.*		3,900		101,166
Global Power Equipment Group, Inc.		13,972		305,148
Lihua International, Inc.		31,250		171,250
LSI Industries, Inc.		36,100		257,032
Orion Energy Systems, Inc.*		35,000		77,000
SL Industries, Inc.*		1,650		21,764
Ultralife Corp.*		7,350		28,371
				1,512,103
Electronic Equipment, Instruments & Components - 4.04%
Agilysys, Inc.*		14,400		124,848
Brightpoint, Inc.*		22,200		120,102
IEC Electronics Corp.*		800		4,864
Insight Enterprises, Inc.*		29,800		501,534
Itron, Inc.*		13,100		540,244
Kemet Corp.*		58,850		353,688
LGL Group, Inc. (The)*		100		652
LoJack Corp.*		8,000		24,160
Multi-Fineline Electronix, Inc.*		7,600		187,264
Newport Corp.*		26,000		312,520
PAR Technology Corp.*		29,000		142,970
PC Connection, Inc.		12,000		127,440
PC Mall, Inc.*		5,600		30,296
Plexus Corp.*		40,200		1,133,640
Power-One, Inc.*		8,800		39,776
Pulse Electronics Corp.		18,650		36,741
Sanmina-SCI Corp.*		102,150		836,608
SMTC Corp.*+		10,700		34,989
SYNNEX Corp.*		35,900		1,238,191

Industry    Company	Shares		Value
Electronic Equipment, Instruments & Components (continued)
TTM Technologies, Inc.*		106,650		$    1,003,577
Viasystems Group, Inc.*		26,700		453,900
				7,248,004
Energy Equipment & Services - 3.09%
Basic Energy Services, Inc.*		49,000		505,680
Cal Dive International, Inc.*		2,750		7,975
Dawson Geophysical Co.*		26,000		619,320
ENGlobal Corp.*		71,200		106,800
Exterran Holdings, Inc.*		79,800		1,017,450
Global Geophysical Services, Inc.*		41,500		253,980
Hercules Offshore, Inc.*		47,300		167,442
Key Energy Services, Inc.*		102,600		779,760
Matrix Service Co.*		6,600		74,910
Parker Drilling Co.*		104,450		471,070
PHI, Inc.*		6,900		191,889
Pioneer Drilling Co.*		63,000		502,110
TETRA Technologies, Inc.*		30,600		218,178
TGC Industries, Inc.*		11,655		113,170
Union Drilling, Inc.*		27,800		124,544
Willbros Group, Inc.*		60,300		389,538
				5,543,816
Food & Staples Retailing - 3.28%
Andersons, Inc. (The)		25,400		1,083,564
Ingles Markets, Inc., Class A		22,400		359,072
Nash Finch Co.		11,400		244,872
Pantry, Inc. (The)*		20,800		305,760
Spartan Stores, Inc.		16,700		302,771
SUPERVALU, Inc.+		268,100		1,388,758
Susser Holdings Corp.*		18,850		700,655
Village Super Market, Inc., Class A		13,000		423,540
Weis Markets, Inc.		24,300		1,081,836
				5,890,828
Food Products - 1.44%
American Lorain Corp.*		13,300		14,630
Chiquita Brands International, Inc.*		18,800		94,000
Diamond Foods, Inc.+		15,300		272,952
Dole Food Co., Inc.*		40,700		357,346
Farmer Bros. Co.*		12,700		101,092
Feihe International, Inc.*+		13,800		94,392
Fresh Del Monte Produce, Inc.		33,800		793,286
John B. Sanfilippo & Son, Inc.*		9,200		164,220
Omega Protein Corp.*		23,650		174,064

  8 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Food Products (continued)
Overhill Farms, Inc.*		9,000		$     35,280
Seneca Foods Corp., Class A*		5,200		139,880
SkyPeople Fruit Juice, Inc.*		62,900		100,640
Westway Group, Inc.		10,700		64,093
Zhongpin, Inc.*		18,700		172,227
				2,578,102
Health Care Equipment & Supplies - 0.28%
Dynatronics Corp.*		6,000		3,001
DynaVox, Inc., Class A*		66,300		74,256
Fonar Corp.*		17,700		72,747
Invacare Corp.		14,350		221,420
Medical Action Industries, Inc.*		26,000		90,480
RTI Biologics, Inc.*		1,600		6,016
Theragenics Corp.*		20,000		40,200
				508,120
Health Care Providers & Services - 5.16%
Addus HomeCare Corp.*		4,800		23,568
Advocat, Inc.		2,600		16,640
Almost Family, Inc.*		4,250		94,945
Amedisys, Inc.*		13,150		163,718
AMN Healthcare Services, Inc.*		44,134		261,715
Amsurg Corp.*		28,550		855,929
BioScrip, Inc.*		24,550		182,406
CardioNet, Inc.*		16,500		33,495
Chindex International, Inc.*		8,500		83,300
Cross Country Healthcare, Inc.*		24,050		105,098
Emeritus Corp.*		31,200		525,096
Ensign Group, Inc. (The)		9,450		267,152
Five Star Quality Care, Inc.*		21,300		65,391
Gentiva Health Services, Inc.*		950		6,584
Healthways, Inc.*		15,150		120,897
Kindred Healthcare, Inc.*		23,400		230,022
LHC Group, Inc.*		8,450		143,312
Molina Healthcare, Inc.*		41,650		977,109
National Healthcare Corp.		6,200		280,426
PharMerica Corp.*		44,350		484,302
Providence Service Corp. (The)*		16,000		219,360
PSS World Medical, Inc.*		40,100		841,699
Select Medical Holdings Corp.*		118,800		1,201,068
Skilled Healthcare Group, Inc., Class A*		46,748		293,577
Sun Healthcare Group, Inc.*		49,300		412,641

Industry    Company	Shares		Value
Health Care Providers & Services (continued)
Sunrise Senior Living, Inc.*+		36,950		$   269,365
Triple-S Management Corp., Class B*		39,900		729,372
Universal American Corp.*		35,100		369,603
				9,257,790
Hotels, Restaurants & Leisure - 6.26%
Ark Restaurants Corp.		1,600		23,104
Benihana, Inc.		9,950		160,294
Biglari Holdings, Inc.*		612		236,471
Bob Evans Farms, Inc.		21,275		855,255
Boyd Gaming Corp.*+		90,250		649,800
Caribou Coffee Co., Inc.*		13,300		171,703
Carrols Restaurant Group, Inc.*		18,025		107,069
CEC Entertainment, Inc.		21,650		787,410
Cracker Barrel Old Country Store, Inc.		20,600		1,293,680
DineEquity, Inc.*		10,300		459,792
Dover Downs Gaming & Entertainment, Inc.		12,500		37,625
Einstein Noah Restaurant Group, Inc.		19,225		337,591
Famous Dave’s of America, Inc.*		3,400		37,570
Fiesta Restaurant Group, Inc.*		18,025		238,471
Frisch’s Restaurants, Inc.		6,800		192,712
Full House Resorts, Inc.*		8,400		24,108
Isle of Capri Casinos, Inc.*		53,600		330,712
J. Alexander’s Corp.*		2,300		26,128
Jack in the Box, Inc.*		36,050		1,005,074
Kona Grill, Inc.*		4,100		36,982
Lakes Entertainment, Inc.*		22,700		65,830
Luby’s, Inc.*		12,600		84,420
Marcus Corp.		13,350		183,696
MTR Gaming Group, Inc.*		40,600		192,850
Multimedia Games Holding Co., Inc.*		11,900		166,600
Nevada Gold & Casinos, Inc.*		7,800		8,970
PF Chang’s China Bistro, Inc.		7,000		360,290
Pinnacle Entertainment, Inc.*		47,450		456,469
Red Robin Gourmet Burgers, Inc.*		16,200		494,262
Ruby Tuesday, Inc.*		69,100		470,571
Ruth’s Hospitality Group, Inc.*		44,000		290,400
Scientific Games Corp., Class A*		41,350		353,542

  www.bridgewayomni.com 9

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Sonic Corp.*		70,000		$    701,400
Town Sports International Holdings, Inc.*		30,000		398,700
				11,239,551
Household Durables - 1.13%
American Greetings Corp., Class A+		31,000		453,220
CSS Industries, Inc.		11,800		242,490
Emerson Radio Corp.*		10,500		21,315
Ethan Allen Interiors, Inc.		11,700		233,181
Flexsteel Industries, Inc.		4,900		96,922
Hooker Furniture Corp.		10,900		128,511
La-Z-Boy, Inc.*		21,800		267,922
Libbey, Inc.*		30,649		471,075
Lifetime Brands, Inc.		9,700		120,959
				2,035,595
Household Products - 0.73%
Central Garden & Pet Co., Class A*		31,750		345,757
Harbinger Group, Inc.*+		115,200		897,408
Oil-Dri Corp. of America		3,150		68,985
				1,312,150
Independent Power Producers & Energy Traders - 0.04%
Genie Energy, Ltd., Class B		10,275		79,837
Industrial Conglomerates - 0.08%
Standex International Corp.		3,400		144,738
Insurance - 4.66%
American Equity Investment Life Holding Co.		53,850		592,888
American Safety Insurance Holdings, Ltd.*		12,600		236,250
Crawford & Co., Class B		56,150		229,654
Eastern Insurance Holdings, Inc.		7,400		125,800
EMC Insurance Group, Inc.		5,800		117,160
FBL Financial Group, Inc., Class A		13,950		390,740
First American Financial Corp.		28,875		489,720
Flagstone Reinsurance Holdings SA		39,450		315,994
Hallmark Financial Services, Inc.*		19,100		148,980
Homeowners Choice, Inc.		9,900		174,240
Horace Mann Educators Corp.		17,900		312,892
Independence Holding Co.		19,326		190,361

Industry    Company	Shares		Value
Insurance (continued)
Maiden Holdings, Ltd.		57,600		$   499,968
Meadowbrook Insurance Group, Inc.		23,700		208,323
National Financial Partners Corp.*		19,150		256,610
National Western Life Insurance Co., Class A		1,625		230,620
Navigators Group, Inc. (The)*		2,900		145,145
Protective Life Corp.		3,600		105,876
SeaBright Holdings, Inc.		29,300		260,477
Selective Insurance Group, Inc.		24,250		422,192
StanCorp Financial Group, Inc.		19,950		741,342
State Auto Financial Corp.		18,100		254,305
Stewart Information Services Corp.		8,650		132,778
Symetra Financial Corp.		75,950		958,489
Tower Group, Inc.		18,450		385,051
United Fire Group, Inc.		11,600		247,428
Universal Insurance Holdings, Inc.		56,816		193,743
				8,367,026
Internet & Catalog Retail - 0.56%
1-800-Flowers.com, Inc., Class A*		74,150		258,783
dELiA*s, Inc.*		13,300		20,615
Nutrisystem, Inc.+		29,800		344,488
Orbitz Worldwide, Inc.*		85,200		310,980
Overstock.com, Inc.*+		9,800		67,718
				1,002,584
Internet Software & Services - 0.71%
EarthLink, Inc.		88,700		659,928
Tucows, Inc.*		76,800		84,480
United Online, Inc.		126,900		535,518
				1,279,926
IT Services - 3.49%
Acxiom Corp.*		56,050		846,916
Analysts International Corp.*		2,800		11,816
CACI International, Inc. , Class A*		21,400		1,177,428
CIBER, Inc.*		90,550		390,270
Convergys Corp.		61,650		910,570
CSG Systems International, Inc.*		27,450		474,336
Dynamics Research Corp.*		10,300		59,843
Edgewater Technology, Inc.*		5,600		21,784

  10 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
IT Services (continued)
Global Cash Access Holdings, Inc.*		51,500	$	371,315
Hackett Group, Inc. (The)*		22,300		124,211
Lender Processing Services, Inc.		10,700		270,496
Mantech International Corp., Class A+		44,200		1,037,374
Mattersight Corp.*		7,000		55,860
NCI, Inc., Class A*		6,100		24,705
Online Resources Corp.*		53,250		129,398
Pfsweb, Inc.*		10,300		29,252
StarTek, Inc.*		6,900		20,010
TNS, Inc.*		17,200		308,568
				6,264,152
Leisure Equipment & Products - 1.13%
Arctic Cat, Inc.*		8,400		307,104
Brunswick Corp.		37,100		824,362
Cybex International, Inc.*		39,400		63,828
Johnson Outdoors, Inc., Class A*		15,700		323,420
Nautilus, Inc.*		53,900		178,409
Smith & Wesson Holding Corp.*		26,500		220,215
Summer Infant, Inc.*		34,100		111,848
				2,029,186
Life Sciences Tools & Services - 0.07%
Cambrex Corp.*		13,150		123,742
Machinery - 2.07%
Accuride Corp.*		61,900		371,400
Albany International Corp., Class A		11,350		212,358
Ampco-Pittsburgh Corp.		3,800		69,654
Briggs & Stratton Corp.		24,300		425,007
China Valves Technology, Inc.*+		56,500		60,455
Cleantech Solutions International, Inc.*		11,500		28,635
Columbus McKinnon Corp.*		18,500		279,165
Commercial Vehicle Group, Inc.*		39,100		337,042
Federal Signal Corp.*		23,200		135,488
FreightCar America, Inc.		14,200		326,174
Key Technology, Inc.*		2,100		21,000
L.S. Starrett Co., Class A (The)		2,350		27,190
LB Foster Co., Class A		3,900		111,579
Lydall, Inc.*		8,200		110,864
Miller Industries, Inc.		10,400		165,672

Industry    Company	Shares		Value
Machinery (continued)
Mueller Water Products, Inc., Class A		92,000	$	318,320
NACCO Industries, Inc., Class A		3,050		354,562
NF Energy Saving Corp.*		29,200		30,660
NN, Inc.*		17,950		183,270
Supreme Industries, Inc. Class A*		34,100		133,331
Xerium Technologies, Inc.*		5,400		15,660
				3,717,486
Marine - 0.22%
Eagle Bulk Shipping, Inc.*+		19,000		60,040
Excel Maritime Carriers, Ltd.*		99,400		55,167
Genco Shipping & Trading, Ltd.*		45,200		137,860
International Shipholding Corp.		8,050		151,823
				404,890
Media - 2.51%
AH Belo Corp., Class A		41,700		167,634
Ballantyne Strong, Inc.*		14,000		83,580
Belo Corp., Class A		28,550		183,862
Cumulus Media, Inc., Class A*		25,200		75,852
Dex One Corp.*		48,800		45,628
E.W. Scripps Co., Class A (The)*		26,500		254,665
Entercom Communications Corp., Class A*		37,500		225,750
Entravision Communications Corp., Class A		38,300		46,343
Gray Television, Inc.*		99,550		146,338
Journal Communications, Inc., Class A*		57,100		294,636
Lee Enterprises, Inc.*		43,200		69,984
Media General, Inc., Class A*+		15,300		70,533
Meredith Corp.+		20,950		669,143
Navarre Corp.*		16,500		26,235
New York Times Co., Class A (The)*		93,850		732,030
Radio One, Inc., Class D*+		23,100		21,668
Reading International, Inc., Class A*+		10,700		57,887
Saga Communications, Inc., Class A*		1,900		70,509
Salem Communications Corp., Class A		24,800		135,656

  www.bridgewayomni.com 11

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Media (continued)
Scholastic Corp.		18,250	$	513,920
Valassis Communications, Inc.*+		28,100		611,175
				4,503,028
Metals & Mining - 2.41%
Friedman Industries, Inc.		3,000		30,510
Golden Star Resources, Ltd.*		343,000		397,880
Handy & Harman, Ltd.*		12,500		168,500
Horsehead Holding Corp.*		7,800		77,688
Jaguar Mining, Inc.*+		168,800		195,808
Materion Corp.		16,600		382,298
Noranda Aluminum Holding Corp.		89,850		715,206
Schnitzer Steel Industries, Inc., Class A		28,800		806,976
Worthington Industries, Inc.		76,200		1,559,814
				4,334,680
Multiline Retail - 0.59%
Bon-Ton Stores, Inc. (The)+		25,950		202,670
Fred’s, Inc., Class A		46,200		706,398
Tuesday Morning Corp.*		34,600		148,434
				1,057,502
Oil, Gas & Consumable Fuels - 5.70%
Adams Resources & Energy, Inc.		5,900		247,328
Alon USA Energy, Inc.		83,100		703,026
Andatee China Marine Fuel Services Corp.*+		7,800		14,664
Bill Barrett Corp.*		11,200		239,904
BioFuel Energy Corp.*+		10,900		38,804
Callon Petroleum Co.*		57,300		244,098
Clayton Williams Energy, Inc.*		14,800		716,024
Cloud Peak Energy, Inc.*		82,800		1,400,148
Crimson Exploration, Inc.*		20,250		92,948
Crosstex Energy, Inc.		59,450		832,300
Delek US Holdings, Inc.		46,600		819,694
Double Eagle Petroleum Co.*		17,600		77,088
GMX Resources, Inc.*+		33,100		26,844
Green Plains Renewable Energy, Inc.*		58,200		363,168
Halcon Resources Corp.*+		16,667		157,336
James River Coal Co.*+		22,400		60,704
Longwei Petroleum Investment Holding, Ltd.*		100,300		127,381

Industry    Company	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Patriot Coal Corp.*+		20,550	$	25,071
PostRock Energy Corp.*		12,000		19,080
REX American Resources Corp.*		18,100		353,312
Sino Clean Energy, Inc.*D+		50,300		40,240
Stone Energy Corp.*		42,100		1,066,814
Swift Energy Co.*		45,400		844,894
W&T Offshore, Inc.		74,600		1,141,380
Western Refining, Inc.		25,800		574,566
				10,226,816
Paper & Forest Products - 2.75%
Clearwater Paper Corp.*		7,600		259,312
KapStone Paper & Packaging Corp.*		68,650		1,088,102
Mercer International, Inc.*		77,250		441,098
Neenah Paper, Inc.		20,200		539,138
Orient Paper, Inc.		37,000		96,940
PH Glatfelter Co.		53,450		874,976
Resolute Forest Products*+		77,000		891,660
Wausau Paper Corp.		76,200		741,426
				4,932,652
Personal Products - 0.26%
Medifast, Inc.*		5,000		98,400
Nutraceutical International Corp.*		7,700		117,425
Physicians Formula Holdings, Inc.*		23,700		82,713
USANA Health Sciences, Inc.*+		3,900		160,368
				458,906
Professional Services - 1.42%
Barrett Business Services, Inc.		10,100		213,514
CBIZ, Inc.*		42,775		254,084
CDI Corp.		15,400		252,560
CRA International, Inc.*		13,800		202,722
Dolan Co. (The)*		11,100		74,703
Heidrick & Struggles International, Inc.		3,600		63,000
Hudson Global, Inc.*		32,300		134,691
ICF International, Inc.*		7,150		170,456
Insperity, Inc.		15,400		416,570
Kelly Services, Inc., Class A		13,600		175,576
Kforce, Inc.*		19,150		257,759
Navigant Consulting, Inc.*		11,000		139,040
RCM Technologies, Inc.*		6,100		33,794

  12 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Professional Services (continued)
VSE Corp.		6,700	$	159,393
				2,547,862
Road & Rail - 2.06%
Amerco, Inc.		7,200		647,784
Arkansas Best Corp.		25,000		315,000
Avis Budget Group, Inc.*		70,750		1,075,400
Celadon Group, Inc.		8,400		137,592
Con-way, Inc.		21,000		758,310
Covenant Transportation Group, Inc., Class A*		5,300		19,716
Marten Transport, Ltd.		8,150		173,269
P.A.M. Transportation Services, Inc.		3,500		33,775
Saia, Inc.*		15,750		344,768
Swift Transportation Co.*		8,800		83,160
Universal Truckload Services, Inc.		7,809		118,111
USA Truck, Inc.*		300		1,413
				3,708,298
Semiconductors & Semiconductor Equipment - 1.78%
Advanced Energy Industries, Inc.*		11,800		158,356
Amkor Technology, Inc.*		157,550		768,844
Amtech Systems, Inc.*		4,300		16,168
DSP Group, Inc.*		700		4,438
GT Advanced Technologies, Inc.*		96,700		510,576
inTEST Corp.*		8,000		27,120
Kulicke & Soffa Industries, Inc.*		45,000		401,400
LTX-Credence Corp.*		15,000		100,500
Magnachip Semiconductor Corp.*		38,400		365,952
OmniVision Technologies, Inc.*		19,400		259,184
Photronics, Inc.*		62,950		383,995
Ultra Clean Holdings*		30,800		198,044
				3,194,577
Software - 0.14%
Bsquare Corp.*		4,800		14,016
Cinedigm Digital Cinema Corp., Class A*		29,100		43,650
Majesco Entertainment Co.*		58,800		117,600
Net 1 UEPS Technologies, Inc.*		3,400		28,458
TeleCommunication Systems, Inc., Class A*		32,600		40,098
				243,822

Industry    Company	Shares		Value
Specialty Retail - 7.88%
Aeropostale, Inc.*		29,100	$	518,853
ANN, Inc.*		57,600		1,468,224
Appliance Recycling Centers of America, Inc.*		5,300		22,154
Asbury Automotive Group, Inc.*		13,125		310,931
Barnes & Noble, Inc.*+		59,400		977,724
Body Central Corp.*		26,100		234,900
Books-A-Million, Inc.*		31,600		101,120
Brown Shoe Co., Inc.+		51,400		663,574
Build-A-Bear Workshop, Inc.*		8,050		38,479
Casual Male Retail Group, Inc.*		20,500		74,415
Children’s Place Retail Stores, Inc. (The)*		22,100		1,101,243
Citi Trends, Inc.*		2,600		40,144
Conn’s, Inc.*+		13,450		199,060
Destination Maternity Corp.		10,400		224,640
Group 1 Automotive, Inc.		30,600		1,395,666
Haverty Furniture Cos., Inc.		11,300		126,221
hhgregg, Inc.*+		29,300		331,383
Hot Topic, Inc.		29,150		282,464
Kirkland’s, Inc.*		11,550		129,938
New York & Co., Inc.*		26,200		91,176
Office Depot, Inc.*		458,300		989,928
OfficeMax, Inc.*		130,700		661,342
Pep Boys-Manny, Moe & Jack (The)		52,000		514,800
Perfumania Holdings, Inc.*+		7,000		58,030
RadioShack Corp.+		41,804		160,527
rue21, inc.*		8,300		209,492
Shoe Carnival, Inc.		14,700		315,903
Sonic Automotive, Inc., Class A+		61,500		840,705
Stage Stores, Inc.		46,600		853,712
Stein Mart, Inc.*		33,750		268,312
Systemax, Inc.*		15,400		182,028
TravelCenters of America LLC*		35,400		179,478
West Marine, Inc.*		29,800		350,150
Wet Seal, Inc., Class A (The)*		72,200		228,152
				14,144,868
Textiles, Apparel & Luxury Goods - 1.41%
Alpha PRO Tech, Ltd.*		12,400		17,360
Crown Crafts, Inc.		24,500		135,730
Jones Group, Inc. (The)		87,800		839,368
Lakeland Industries, Inc.*		3,300		23,331
Movado Group, Inc.		5,900		147,618

  www.bridgewayomni.com 13

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (continued)
Perry Ellis International, Inc.*		25,500	$	529,125
Quiksilver, Inc.*		49,900		116,267
Rocky Brands, Inc.*		9,900		130,581
Skechers U.S.A., Inc., Class A*		14,800		301,476
Unifi, Inc.*		25,800		292,314
				2,533,170
Thrifts & Mortgage Finance - 0.77%
Astoria Financial Corp.		44,200		433,160
BankAtlantic Bancorp, Inc., Class A*		11,000		60,720
Doral Financial Corp.*		57,100		85,650
Federal Agricultural Mortgage Corp., Class C		6,500		170,495
First Defiance Financial Corp.		4,400		75,328
First Financial Holdings, Inc.		11,900		127,568
Meta Financial Group, Inc.		1,400		27,902
MutualFirst Financial, Inc.		10,900		114,341
NASB Financial, Inc.*+		1,800		35,730
Provident Financial Holdings, Inc.		4,800		55,344
Pulaski Financial Corp.+		4,900		36,309
United Community Financial Corp.*		52,300		155,854
				1,378,401
Trading Companies & Distributors - 1.06%
Aceto Corp.		13,300		120,099
Aircastle, Ltd.		24,600		296,430
Interline Brands, Inc.*		12,350		309,614
KSW, Inc.		2,300		8,993
United Rentals, Inc.*		30,100		1,024,604
Willis Lease Finance Corp.*		12,100		149,072
				1,908,812
Wireless Telecommunication Services - 0.47%
Leap Wireless International, Inc.*		68,100		437,883
NTELOS Holdings Corp.		11,800		222,430
Shenandoah Telecommunications Co.		5,600		76,216
USA Mobility, Inc.		8,400		108,024
				844,553
TOTAL COMMON STOCKS - 99.55%				178,750,947
(Cost $168,036,273)

Industry    Company				Shares		Value
RIGHTS - 0.01%
Hampton Roads Bankshares, Inc.*D					22,300		$16,167
TOTAL RIGHTS - 0.01%							16,167
(Cost $51,923)
	Rate^			Shares		Value
MONEY MARKET FUND - 1.87%
BlackRock FedFund		0.01	%		3,353,429		3,353,429
TOTAL MONEY MARKET FUND - 1.87%							3,353,429
(Cost $3,353,429)
TOTAL INVESTMENTS - 101.43%						$	182,120,543
(Cost $171,441,625)
Liabilities in Excess of Other Assets - (1.43%)							(2,567,836	)
NET ASSETS - 100.00%						$	179,552,707

* Non-income producing security.

^ Rate disclosed as of June 30, 2012.

D Security was fair valued under procedures adopted by the Board of Directors (see Note 2).

+ This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $13,371,957 at June 30, 2012.

LLC - Limited Liability Company

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs		Total
Common Stocks	$	178,710,707	$	—		$40,240	$	178,750,947
Rights		—		—		16,167		16,167
Money Market Fund		—		3,353,429		—		3,353,429
TOTAL	$	178,710,707	$	3,353,429		$56,407	$	182,120,543

  14 Annual Report | June 30, 2012  

Bridgeway Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
	Investment in Securities (Value)
	Common Stocks		Rights		Total
Balance as of 08/31/2011		$           —	$	—	$	—
Purchases		140,431		51,923		192,354
Sales		—		—		—
Realized gain/(loss)		—		—		—
Change in unrealized appreciation/ (depreciation)1		(100,191)		(35,756)		(135,947)
Transfers in		—		—		—
Transfers out		—		—		—
Balance as of 06/30/2012		$   40,240	$	16,167	$	56,407
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/20121		$(100,191)	$	(35,756)	$	(135,947)

¹ Change in unrealized appreciation/(depreciation) for Level 3 securities is included on Statement of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.

The securities in the table above were considered Level 3 securities because they were fair valued under procedures adopted by the Board of Directors at June 30, 2012. Such valuations are based on a review of inputs such as, but not limited to, similar securities, company specific financial information and company specific news.

See Notes to Financial Statements.

  www.bridgewayomni.com 15

Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited)

June 30, 2012

Dear Fellow Omni Tax-Managed Small-Cap Value Fund Shareholder,

For the quarter ended June 30, 2012, total returns were -6.42% for the Fund and -3.01% for the Russell 2000 Value Index. For the fiscal year ended June 30, 2012, total returns were -5.41% for the Fund and -1.44% for the Russell 2000 Value Index.

The table below presents our June quarter, one-year and inception-to-date financial results. See below for a graph of performance since inception.

Standardized Returns as of June 30, 2012

			Annualized
			Since Inception
	Quarter	1 Year	(12/31/10)
Omni Tax-Managed Small-Cap Value Fund	-6.42%	-5.41%	0.69%
Russell 2000 Value Index	-3.01%	-1.44%	1.51%

Performance figures quoted in the table above and graph below represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph below do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.

Omni Tax-Managed Small-Cap Value Fund vs. Russell 2000 Value Index from Inception 12/31/10 to 6/30/12

  16 Annual Report | June 30, 2012  

Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Detailed Explanation of Quarterly Performance

The Omni Tax-Managed Small-Cap Value Fund is designed to capture the returns of the small-cap value asset class through broad diversification of small company and value stocks. We also seek to minimize the distribution of capital gains within the constraints of the investment objective. This approach is sometimes referred to as “passive, asset class investing.” As of June 30, 2012, we held 724 such stocks in a market cap weighted style. We make no attempt to track any public index in either performance or statistics.

The Fund returns were driven by the fact that returns for small stocks were negative across the board. Declines were broadly spread across almost all sectors. The design tilt towards smaller and deeper value stocks resulted in heavy underweighting in the strong performing Financials sector, which hurt the Fund’s performance for the quarter relative to the Russell 2000 Value Index.

Detailed Explanation of Fiscal Year Performance

Our smaller-cap dominance and deeper value bent helped the performance for the fiscal year. The design tilt towards smaller and deeper value stocks resulted in heavy underweighting in the Financials sector, the best performing sector, which hurt the Fund’s return relative to the Russell 2000 Value Index.

Top Ten Holdings as of June 30, 2012

Rank	Description	Industry	% of Net   Assets
1	Cracker Barrel Old Country Store, Inc.	Hotels, Restaurants & Leisure	0.8%
2	Brink’s Co. (The)	Commercial Services & Supplies	0.8%
3	Western Refining, Inc.	Oil, Gas & Consumable Fuels	0.7%
4	US Airways Group, Inc.	Airlines	0.7%
5	Symetra Financial Corp.	Insurance	0.7%
6	Brunswick Corp.	Leisure Equipment & Products	0.7%
7	Deluxe Corp.	Commercial Services & Supplies	0.7%
8	Weis Markets, Inc.	Food & Staples Retailing	0.6%
9	Geo Group, Inc. (The)	Commercial Services & Supplies	0.6%
10	SUPERVALU, Inc.	Food & Staples Retailing	0.6%
	Total		6.9%

Industry Sector Representation as of June 30, 2012

	% of Net Assets			% of Russell 2000 Value Index			Difference
Consumer Discretionary		25.3	%		11.4	%		13.9	%
Consumer Staples		6.7	%		2.7	%		4.0	%
Energy		7.9	%		6.7	%		1.2	%
Financials		14.0	%		35.8	%		-21.8	%
Health Care		4.9	%		4.8	%		0.1	%
Industrials		19.0	%		12.9	%		6.1	%
Information Technology		10.7	%		13.0	%		-2.3	%
Materials		8.9	%		5.1	%		3.8	%
Telecommunication Services		2.3	%		0.6	%		1.7	%
Utilities		0.2	%		7.0	%		-6.8	%
Cash & Other Assets		0.1	%		0.0	%		0.1	%
Total		100.0	%		100.0	%

  www.bridgewayomni.com 17

Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2012, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

Conclusion

Thank you for your continued investment in Omni Tax-Managed Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

  18 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
COMMON STOCKS - 99.14%
Aerospace & Defense - 0.75%
AAR Corp.		10,150	$	136,822
Astrotech Corp.*		32,600		35,208
Ducommun, Inc.*		12,950		127,039
GeoEye, Inc.*		17,900		277,092
Orbital Sciences Corp.*		12,900		166,668
Sparton Corp.*		950		9,405
Sypris Solutions, Inc.		28,400		197,948
				950,182
Air Freight & Logistics - 0.77%
Air Transport Services Group, Inc.*		25,250		131,300
Atlas Air Worldwide Holdings, Inc.*		12,200		530,822
Pacer International, Inc.*		36,000		195,120
Park-Ohio Holdings Corp.*		6,154		117,111
				974,353
Airlines - 1.94%
Alaska Air Group, Inc.*		200		7,180
Allegiant Travel Co.*		1,400		97,552
Hawaiian Holdings, Inc.*		46,200		300,762
JetBlue Airways Corp.*		119,050		630,965
Republic Airways Holdings, Inc.*		39,200		217,560
SkyWest, Inc.		45,600		297,768
US Airways Group, Inc.*+		68,950		919,103
				2,470,890
Auto Components - 1.79%
China Automotive Systems, Inc.*		22,700		92,843
China XD Plastics Co., Ltd.*+		16,000		73,280
Cooper Tire & Rubber Co.		24,550		430,607
Drew Industries, Inc.*		700		19,495
Exide Technologies*		33,500		112,560
Federal-Mogul Corp.*		32,200		354,200
Modine Manufacturing Co.*		14,600		101,178
Shiloh Industries, Inc.		6,950		79,925
SORL Auto Parts, Inc.*		25,000		60,250
Spartan Motors, Inc.		12,150		63,666
Standard Motor Products, Inc.		23,300		328,064
Stoneridge, Inc.*		28,900		196,809
Strattec Security Corp.		4,380		92,155
Superior Industries International, Inc.		6,600		108,042
Tower International, Inc.*		15,600		163,800
				2,276,874

Industry    Company	Shares		Value
Beverages - 0.22%
Coca-Cola Bottling Co. Consolidated		3,950	$	253,906
National Beverage Corp.*		2,150		32,121
				286,027
Building Products - 0.74%
Ameresco, Inc., Class A*		20,000		238,600
Gibraltar Industries, Inc.*		10,100		104,838
Griffon Corp.		2,950		25,311
Nortek, Inc.*		4,900		245,196
Patrick Industries, Inc.*		11,800		150,450
Universal Forest Products, Inc.		1,200		46,776
US Home Systems, Inc.		12,400		125,860
				937,031
Capital Markets - 1.11%
Calamos Asset Management, Inc., Class A		700		8,015
Cowen Group, Inc., Class A*		95,100		252,966
Direct Markets Holdings Corp.*		46,900		17,775
GFI Group, Inc.		63,600		226,416
Gleacher & Co., Inc.*		49,500		39,600
INTL FCStone, Inc.*		5,650		109,328
Investment Technology Group, Inc.*		15,850		145,820
Oppenheimer Holdings, Inc., Class A		16,250		255,450
Piper Jaffray Cos.*		6,100		142,923
SWS Group, Inc.*		39,600		211,068
				1,409,361
Chemicals - 3.64%
American Pacific Corp.*		3,900		41,106
American Vanguard Corp.		900		23,931
China Green Agriculture, Inc.*+		39,800		142,484
Core Molding Technologies, Inc.*		18,300		150,792
Ferro Corp.*		29,100		139,680
Georgia Gulf Corp.		20,300		521,101
Gulf Resources, Inc.*+		45,000		54,900
Innospec, Inc.*		800		23,688
Koppers Holdings, Inc.		14,400		489,600
Kraton Performance Polymers, Inc.*		16,075		352,203
Material Sciences Corp.*		14,900		122,180

  www.bridgewayomni.com 19

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Chemicals (continued)
OM Group, Inc.*		19,100	$	362,900
Omnova Solutions, Inc.*		32,500		245,050
Penford Corp.*		4,850		43,408
Schulman (A.), Inc.		30,900		613,365
Spartech Corp.*		46,300		239,371
Stepan Co.		350		32,963
TOR Minerals International, Inc.*		200		3,346
TPC Group, Inc.*		13,175		486,816
Tredegar Corp.		16,300		237,328
Yongye International, Inc.*+		9,900		30,591
Zep, Inc.		19,900		273,227
				4,630,030
Commercial Banks - 4.60%
1st Source Corp.		2,000		45,200
Access National Corp.+		600		7,860
Ameris Bancorp*		1,400		17,640
BancFirst Corp.		1,300		54,483
BancorpSouth, Inc.		41,300		599,676
Bank of Commerce Holdings		200		816
Banner Corp.		2,057		45,069
BBCN Bancorp, Inc.*		2,950		32,125
Boston Private Financial Holdings, Inc.		4,850		43,310
C&F Financial Corp.+		2,400		96,384
Capital City Bank Group, Inc.		1,950		14,371
Citizens Republic Bancorp, Inc.*		19,400		332,322
CoBiz Financial, Inc.		2,200		13,772
Fidelity Southern Corp.+		13,000		112,320
First Bancorp		1,600		14,224
First BanCorp. (Puerto Rico)*+		69,300		274,428
First Commonwealth Financial Corp.		5,200		34,996
First Interstate Bancsystem, Inc.		2,900		41,296
First Merchants Corp.		3,500		43,610
FNB Corp.		653		7,098
Great Southern Bancorp, Inc.		5,550		153,069
Guaranty Bancorp*		2,900		6,119
Hanmi Financial Corp.*		2,363		24,764
Heartland Financial USA, Inc.		1,750		42,000
Horizon Bancorp+		909		23,907
Independent Bank Corp.*		500		1,255

Industry    Company	Shares		Value
Commercial Banks (continued)
International Bancshares Corp.		5,900	$	115,168
Intervest Bancshares Corp., Class A*		29,200		111,836
Macatawa Bank Corp.*		12,550		42,796
MainSource Financial Group, Inc.		2,300		27,209
Mercantile Bank Corp.*		500		9,225
Metro Bancorp, Inc.*		1,250		15,038
MetroCorp Bancshares, Inc.*		450		4,802
Middleburg Financial Corp.		400		6,800
NewBridge Bancorp*		800		3,504
Old Second Bancorp, Inc.*		5,800		7,540
PacWest Bancorp		2,400		56,808
Peapack Gladstone Financial Corp.		250		3,877
Peoples Bancorp, Inc.		4,850		106,603
Pinnacle Financial Partners, Inc.*		2,650		51,702
PrivateBancorp, Inc.		29,200		430,992
Republic Bancorp, Inc., Class A		3,400		75,650
Savannah Bancorp, Inc. (The)*		200		970
SCBT Financial Corp.		1,300		45,825
Shore Bancshares, Inc.		50		297
Southwest Bancorp, Inc.*		1,200		11,292
StellarOne Corp.		2,000		24,960
Susquehanna Bancshares, Inc.		57,100		588,130
Synovus Financial Corp.		347,700		688,446
Taylor Capital Group, Inc.*+		11,087		181,716
Trico Bancshares		1,200		18,480
Union First Market Bankshares Corp.		3,200		46,240
United Community Banks, Inc.*		32,770		280,839
Virginia Commerce Bancorp, Inc.*		4,000		33,720
VIST Financial Corp.		3,200		37,184
West Bancorporation, Inc.		1,100		10,461
Western Alliance Bancorp*		7,300		68,328
Wintrust Financial Corp.		17,000		603,500
Yadkin Valley Financial Corp.*		23,100		61,215
				5,853,267
Commercial Services & Supplies - 5.86%
ABM Industries, Inc.		32,300		631,788

  20 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Commercial Services & Supplies (continued)
American Reprographics Co.*		47,500	$	238,925
AMREP Corp.*		10,300		62,315
Asset Acceptance Capital Corp.*+		29,500		200,600
Asta Funding, Inc.		350		3,280
Brink’s Co. (The)		40,900		948,062
Casella Waste Systems, Inc., Class A*		21,350		124,898
Consolidated Graphics, Inc.*		7,950		230,948
Corrections Corp. of America		2,300		67,735
Courier Corp.		9,350		123,888
Deluxe Corp.		33,000		823,020
EnergySolutions, Inc.*		75,400		127,426
G&K Services, Inc., Class A		1,350		42,106
Geo Group, Inc. (The)*		35,400		804,288
Herman Miller, Inc.		14,800		274,096
HNI Corp.		17,900		460,925
Intersections, Inc.		20,650		327,302
Kimball International, Inc., Class B		33,100		254,870
Metalico, Inc.*		32,600		71,720
Multi-Color Corp.		5,750		127,880
Perma-Fix Environmental Services*		71,300		83,421
Schawk, Inc.		1,500		19,050
Standard Parking Corp.*		2,250		48,420
Standard Register Co. (The)		19,200		11,520
Sykes Enterprises, Inc.*		17,850		284,886
TMS International Corp., Class A*		18,800		187,436
TRC Cos., Inc.*		9,950		60,496
UniFirst Corp.		1,550		98,812
United Stationers, Inc.		23,500		633,325
Versar, Inc.*		11,400		34,314
Viad Corp.		2,200		44,000
				7,451,752
Communications Equipment - 1.03%
Bel Fuse, Inc., Class B		3,600		63,396
Black Box Corp.		16,700		479,290
Communications Systems, Inc.		6,600		73,722
Comtech Telecommuni-cations Corp.		9,300		265,794
Globecomm Systems, Inc.*		23,500		238,290
Network Engines, Inc.*		200		282
Technical Communications Corp.		200		1,578

Industry    Company	Shares		Value
Communications Equipment (continued)
Tessco Technologies, Inc.		7,100	$	156,555
Zoom Technologies, Inc.*		31,400		32,656
				1,311,563
Computers & Peripherals - 0.54%
Cray, Inc.*		10,300		124,424
Datalink Corp.*		350		3,343
Dot Hill Systems Corp.*		36,900		42,066
Hutchinson Technology, Inc.*		51,000		74,460
Imation Corp.*		13,800		81,558
Novatel Wireless, Inc.*		57,700		143,673
Xyratex, Ltd.		18,900		213,759
				683,283
Construction & Engineering - 0.99%
Argan, Inc.		150		2,097
Dycom Industries, Inc.*		6,850		127,478
EMCOR Group, Inc.		6,500		180,830
Great Lakes Dredge & Dock Corp.		11,800		84,016
Layne Christensen Co.*		7,800		161,382
Michael Baker Corp.*		350		9,132
Northwest Pipe Co.*		9,000		218,340
Orion Marine Group, Inc.*		17,300		120,408
Pike Electric Corp.*		6,551		50,574
Primoris Services Corp.		21,300		255,600
Sterling Construction Co., Inc.*		5,050		51,611
				1,261,468
Construction Materials - 0.25%
Headwaters, Inc.*		60,900		313,635
Consumer Finance - 0.65%
Cash America International, Inc.		1,900		83,676
CompuCredit Holdings Corp.*		2,950		10,679
First Marblehead Corp. (The)*		4,650		5,441
Nelnet, Inc., Class A		25,900		595,700
QC Holdings, Inc.		29,300		122,767
White River Capital, Inc.		100		2,253
				820,516
Containers & Packaging - 0.88%
AEP Industries, Inc.*		6,100		265,655
Boise, Inc.		90,825		597,628
Graphic Packaging Holding Co.*		800		4,400

  www.bridgewayomni.com 21

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Containers & Packaging (continued)
Mod-Pac Corp.*		598	$	3,086
Myers Industries, Inc.		14,750		253,110
				1,123,879
Distributors - 0.35%
Amcon Distributing Co.		400		22,156
Core-Mark Holding Co., Inc.		8,150		392,341
VOXX International Corp.*		3,014		28,090
				442,587
Diversified Consumer Services - 1.96%
Bridgepoint Education, Inc.*+		3,400		74,120
Cambium Learning Group, Inc.*		10,400		9,880
Capella Education Co.*		12,600		437,976
Career Education Corp.*		59,850		400,397
Carriage Services, Inc.		6,550		54,496
Coinstar, Inc.*		4,900		336,434
Corinthian Colleges, Inc.*		59,850		172,966
Education Management Corp.*+		8,550		59,422
Learning Tree International, Inc.*		12,200		53,314
Lincoln Educational Services Corp.		18,625		121,062
Mac-Gray Corp.		5,950		83,836
Regis Corp.		34,050		611,538
School Specialty, Inc.*		1,150		3,749
Universal Technical Institute, Inc.		5,200		70,252
				2,489,442
Diversified Financial Services - 1.06%
Gain Capital Holdings, Inc.		41,900		209,081
Interactive Brokers Group, Inc., Class A		31,050		457,056
PHH Corp.*		31,000		541,880
Primus Guaranty, Ltd.*+		18,400		138,000
				1,346,017
Diversified Telecommunication Services - 1.51%
Atlantic Tele-Network, Inc.		9,150		308,630
Cbeyond, Inc.*		25,450		172,296
Consolidated Communications Holdings, Inc.		2,300		34,040
General Communication, Inc., Class A*		21,400		177,834
Hawaiian Telcom Holdco, Inc.*+		9,000		175,590
HickoryTech Corp.		2,650		29,441

Industry    Company	Shares		Value
Diversified Telecommunication Services (continued)
IDT Corp., Class B		9,100	$	89,271
Iridium Communications, Inc.*		5,200		46,592
Lumos Networks Corp.		1,325		12,521
Multiband Corp.*		1,200		2,856
Premiere Global Services, Inc.*		6,000		50,340
Primus Telecommunications Group, Inc.+		14,800		230,436
SureWest Communications		3,630		76,484
Vonage Holdings Corp.*		125,100		251,451
Windstream Corp.+		27,807		268,616
				1,926,398
Electrical Equipment - 0.62%
Allied Motion Technologies, Inc.		250		1,500
China BAK Battery, Inc.*		750		435
Coleman Cable, Inc.		17,600		152,944
Fushi Copperweld, Inc.*		36,300		315,447
General Cable Corp.*		2,000		51,880
Lihua International, Inc.		4,300		23,564
LSI Industries, Inc.		29,000		206,480
SL Industries, Inc.*		400		5,276
Ultralife Corp.*		7,150		27,599
				785,125
Electronic Equipment, Instruments & Components - 3.52%
Agilysys, Inc.*		13,800		119,646
Brightpoint, Inc.*		30,750		166,358
IEC Electronics Corp.*		8,150		49,552
Insight Enterprises, Inc.*		29,880		502,880
Itron, Inc.*		8,400		346,416
Kemet Corp.*		20,900		125,609
LoJack Corp.*		3,650		11,023
Multi-Fineline Electronix, Inc.*		7,300		179,872
Newport Corp.*		12,600		151,452
PAR Technology Corp.*		18,750		92,438
PC Connection, Inc.		13,000		138,060
PC Mall, Inc.*		6,450		34,894
Plexus Corp.*		21,800		614,760
Power-One, Inc.*		4,950		22,374
Pulse Electronics Corp.		8,300		16,351
Sanmina-SCI Corp.*		67,400		552,006
SMTC Corp.*		4,750		15,532
SYNNEX Corp.*		19,700		679,453
TTM Technologies, Inc.*		45,075		424,156
Viasystems Group, Inc.*		13,984		237,728

  22 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Electronic Equipment, Instruments & Components (continued)
Wayside Technology Group, Inc.		100	$	1,235
				4,481,795
Energy Equipment & Services - 2.62%
Basic Energy Services, Inc.*		25,400		262,128
Cal Dive International, Inc.*		1,450		4,205
Dawson Geophysical Co.*		19,000		452,580
ENGlobal Corp.*		500		750
Exterran Holdings, Inc.*		25,500		325,125
Global Geophysical Services, Inc.*		38,700		236,844
Helix Energy Solutions Group, Inc.*		7,000		114,870
Hercules Offshore, Inc.*		32,950		116,643
Hornbeck Offshore Services, Inc.*		900		34,902
Key Energy Services, Inc.*		34,800		264,480
Matrix Service Co.*		13,300		150,955
Mitcham Industries, Inc.*		350		5,939
Parker Drilling Co.*		55,400		249,854
PHI, Inc.*		3,750		104,288
Pioneer Drilling Co.*		56,500		450,305
TETRA Technologies, Inc.*		22,100		157,573
TGC Industries, Inc.*		472		4,583
Union Drilling, Inc.*		22,700		101,696
Willbros Group, Inc.*		45,100		291,346
				3,329,066
Food & Staples Retailing - 3.63%
Andersons, Inc. (The)		15,600		665,496
Arden Group, Inc., Class A		956		83,373
Casey’s General Stores, Inc.		2,450		144,526
Ingles Markets, Inc., Class A		20,200		323,806
Nash Finch Co.		11,550		248,094
Pantry, Inc. (The)*		24,900		366,030
Spartan Stores, Inc.		20,300		368,039
SUPERVALU, Inc.+		147,550		764,309
Susser Holdings Corp.*		16,850		626,314
Village Super Market, Inc., Class A		6,850		223,173
Weis Markets, Inc.		18,200		810,264
				4,623,424
Food Products - 1.85%
B&G Foods, Inc.		2,400		63,840
Cal-Maine Foods, Inc.		1,400		54,740
Chiquita Brands International, Inc.*		9,800		49,000
Diamond Foods, Inc.+		8,900		158,776

Industry    Company	Shares		Value
Food Products (continued)
Dole Food Co., Inc.*		41,550	$	364,809
Farmer Bros. Co.*		18,700		148,852
Feihe International, Inc.*+		300		2,052
Fresh Del Monte Produce, Inc.		16,450		386,081
Inventure Foods, Inc.*		650		4,095
John B. Sanfilippo & Son, Inc.*		8,750		156,188
Omega Protein Corp.*		24,850		182,896
Overhill Farms, Inc.*		5,650		22,148
Sanderson Farms, Inc.		7,100		325,322
Seneca Foods Corp., Class A*		1,350		36,315
SkyPeople Fruit Juice, Inc.*		51,000		81,600
Westway Group, Inc.		3,841		23,008
Zhongpin, Inc.*		32,100		295,641
				2,355,363
Health Care Equipment & Supplies - 0.47%
Fonar Corp.*+		13,600		55,896
Invacare Corp.		25,550		394,236
Medical Action Industries, Inc.*		10,350		36,018
RTI Biologics, Inc.*		10,000		37,600
Theragenics Corp.*		18,250		36,683
Wright Medical Group, Inc.*		1,800		38,430
				598,863
Health Care Providers & Services - 4.34%
Addus HomeCare Corp.*		700		3,437
Advocat, Inc.		2,700		17,280
Alliance HealthCare Services, Inc.*		19,400		19,361
Almost Family, Inc.*		2,050		45,797
Amedisys, Inc.*		12,250		152,512
AMN Healthcare Services, Inc.*		32,800		194,504
Amsurg Corp.*		11,100		332,778
BioScrip, Inc.*		9,500		70,585
CardioNet, Inc.*		14,700		29,841
Chindex International, Inc.*		8,000		78,400
Cross Country Healthcare, Inc.*		7,200		31,464
Emeritus Corp.*		16,600		279,378
Ensign Group, Inc. (The)		10,200		288,354
Five Star Quality Care, Inc.*		9,700		29,779
Gentiva Health Services, Inc.*		10,900		75,537
Healthways, Inc.*		29,321		233,982
Hooper Holmes, Inc.*		4,200		2,401
InfuSystems Holdings, Inc.*		700		1,323
Kindred Healthcare, Inc.*		21,750		213,802

  www.bridgewayomni.com 23

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Health Care Providers & Services (continued)
LHC Group, Inc.*		9,250	$	156,880
Metropolitan Health Networks, Inc.*		1,916		18,336
Molina Healthcare, Inc.*		28,600		670,956
National Healthcare Corp.		850		38,446
PDI, Inc.*		5,200		42,848
PharMerica Corp.*		5,300		57,876
Providence Service Corp. (The)*		16,150		221,416
PSS World Medical, Inc.*		18,300		384,117
Select Medical Holdings Corp.*		68,250		690,008
Skilled Healthcare Group, Inc., Class A*		14,650		92,002
Sun Healthcare Group, Inc.*		24,400		204,228
Sunrise Senior Living, Inc.*+		34,900		254,421
Triple-S Management Corp., Class B*		9,500		173,660
U.S. Physical Therapy, Inc.		350		8,901
Universal American Corp.*		22,525		237,188
WellCare Health Plans, Inc.*		3,100		164,300
				5,516,098
Hotels, Restaurants & Leisure - 6.47%
Ameristar Casinos, Inc.		11,500		204,355
Ark Restaurants Corp.		200		2,888
Benihana, Inc.		12,545		202,100
Biglari Holdings, Inc.*		399		154,170
Bluegreen Corp.*		10,500		52,080
Bob Evans Farms, Inc.		17,225		692,445
Boyd Gaming Corp.*+		68,550		493,560
Caribou Coffee Co., Inc.*		11,300		145,883
Carrols Restaurant Group, Inc.*		7,825		46,480
CEC Entertainment, Inc.		8,500		309,145
Cracker Barrel Old Country Store, Inc.		15,200		954,560
DineEquity, Inc.*		12,475		556,884
Dover Downs Gaming & Entertainment, Inc.		14,000		42,140
Einstein Noah Restaurant Group, Inc.		6,050		106,238
Famous Dave’s of America, Inc.*		1,650		18,232
Fiesta Restaurant Group, Inc.*		7,825		103,525
Frisch’s Restaurants, Inc.		2,400		68,016
Full House Resorts, Inc.*		1,550		4,449
Isle of Capri Casinos, Inc.*		32,150		198,366
J. Alexander’s Corp.*		7,600		86,336
Jack in the Box, Inc.*		24,550		684,454

Industry    Company	Shares		Value
Hotels, Restaurants & Leisure (continued)
Kona Grill, Inc.*		300	$	2,706
Lakes Entertainment, Inc.*		23,900		69,310
Luby’s, Inc.*		5,500		36,850
Marcus Corp.		8,800		121,088
MTR Gaming Group, Inc.*		9,900		47,025
Multimedia Games Holding Co., Inc.*		6,575		92,050
Nevada Gold & Casinos, Inc.*		7,000		8,050
Papa John’s International, Inc.*		1,600		76,112
PF Chang’s China Bistro, Inc.		12,400		638,228
Pinnacle Entertainment, Inc.*		46,100		443,482
Red Lion Hotels Corp.*		650		5,622
Red Robin Gourmet Burgers, Inc.*		5,250		160,178
Ruby Tuesday, Inc.*		46,500		316,665
Ruth’s Hospitality Group, Inc.*		29,250		193,050
Scientific Games Corp., Class A*		42,150		360,382
Sonic Corp.*		19,850		198,897
Speedway Motorsports, Inc.		1,950		32,974
Town Sports International Holdings, Inc.*		23,000		305,670
				8,234,645
Household Durables - 0.90%
American Greetings Corp., Class A+		12,950		189,329
Bassett Furniture Industries, Inc.		400		4,124
Blyth, Inc.		500		17,280
Comstock Holding Cos., Inc.*		700		917
CSS Industries, Inc.		8,058		165,592
Emerson Radio Corp.*		700		1,421
Ethan Allen Interiors, Inc.		5,800		115,594
Flexsteel Industries, Inc.		150		2,967
Hooker Furniture Corp.		9,300		109,647
La-Z-Boy, Inc.*		4,300		52,847
Libbey, Inc.*		22,805		350,513
Lifetime Brands, Inc.		10,199		127,181
Universal Electronics, Inc.*		600		7,902
				1,145,314
Household Products - 0.57%
Central Garden & Pet Co., Class A*		33,200		361,548
Harbinger Group, Inc.*		44,700		348,213

  24 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Household Products (continued)
Oil-Dri Corp. of America		450		$    9,855
Orchids Paper Products Co.+		50		884
				720,500
Independent Power Producers & Energy Traders - 0.06%
Genie Energy, Ltd., Class B		9,100		70,707
Insurance - 5.37%
American Equity Investment Life Holding Co.		24,850		273,598
American Safety Insurance Holdings, Ltd.*		12,350		231,562
Citizens, Inc.*		3,900		38,025
Crawford & Co., Class B		20,350		83,232
Eastern Insurance Holdings, Inc.		7,800		132,600
EMC Insurance Group, Inc.		2,850		57,570
Endurance Specialty Holdings, Ltd.		5,800		222,256
FBL Financial Group, Inc., Class A		19,666		550,845
First American Financial Corp.		9,575		162,392
Flagstone Reinsurance Holdings SA		28,500		228,285
Hallmark Financial Services, Inc.*		4,000		31,200
Homeowners Choice, Inc.		4,000		70,400
Horace Mann Educators Corp.		23,050		402,914
Independence Holding Co.		7,810		76,928
Infinity Property & Casualty Corp.		3,600		207,612
Maiden Holdings, Ltd.		37,550		325,934
Meadowbrook Insurance Group, Inc.		34,150		300,178
Montpelier Re Holdings, Ltd.		4,450		94,740
National Financial Partners Corp.*		28,110		376,674
National Interstate Corp.		1,200		31,908
National Western Life Insurance Co., Class A		1,050		149,016
Navigators Group, Inc. (The)*		1,250		62,562
Protective Life Corp.		6,100		179,401
SeaBright Holdings, Inc.		5,200		46,228
Selective Insurance Group, Inc.		26,300		457,883
StanCorp Financial Group, Inc.		1,600		59,456
State Auto Financial Corp.		18,350		257,818

Industry    Company	Shares		Value
Insurance (continued)
Stewart Information Services Corp.		1,450		$      22,258
Symetra Financial Corp.		69,750		880,245
Tower Group, Inc.		20,050		418,444
United Fire Group, Inc.		12,500		266,625
Universal Insurance Holdings, Inc.		40,650		138,617
				6,837,406
Internet & Catalog Retail - 0.51%
1-800-Flowers.com, Inc., Class A*		23,200		80,968
dELiA*s, Inc.*		14,700		22,785
Nutrisystem, Inc.		24,500		283,220
Orbitz Worldwide, Inc.*		38,450		140,342
Overstock.com, Inc.*+		18,100		125,071
				652,386
Internet Software & Services - 0.69%
Blucora, Inc.*		1,650		20,328
EarthLink, Inc.		49,000		364,560
EasyLink Services International Corp., Class A*		37,900		274,396
United Online, Inc.		50,800		214,376
				873,660
IT Services - 2.65%
Acxiom Corp.*		31,800		480,498
Analysts International Corp.*		4,300		18,146
CACI International, Inc., Class A*		13,400		737,268
CIBER, Inc.*		27,401		118,098
Convergys Corp.		22,575		333,433
CSG Systems International, Inc.*		1,600		27,648
DST Systems, Inc.		250		13,577
Dynamics Research Corp.*		11,350		65,943
Edgewater Technology, Inc.*		6,100		23,729
Global Cash Access Holdings, Inc.*		11,950		86,160
Hackett Group, Inc. (The)*		2,800		15,596
Heartland Payment Systems, Inc.		1,600		48,128
Lender Processing Services, Inc.		13,900		351,392
Mantech International Corp., Class A		20,100		471,747
NCI, Inc., Class A*		9,700		39,285
Online Resources Corp.*		40,974		99,567
Pfsweb, Inc.*		450		1,278

  www.bridgewayomni.com 25

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
IT Services (continued)
PRGX Global, Inc.*		800		$      6,360
StarTek, Inc.*		2,650		7,685
TNS, Inc.*		23,700		425,178
				3,370,716
Leisure Equipment & Products - 1.00%
Arctic Cat, Inc.*		450		16,452
Brunswick Corp.		38,400		853,248
Cybex International, Inc.*		35,700		57,834
JAKKS Pacific, Inc.+		5,500		88,055
Johnson Outdoors, Inc., Class A*		3,950		81,370
Nautilus, Inc.*		10,786		35,702
Smith & Wesson Holding Corp.*		4,117		34,212
Steinway Musical Instruments, Inc.*		450		11,025
Summer Infant, Inc.*		27,700		90,856
				1,268,754
Life Sciences Tools & Services - 0.04%
Cambrex Corp.*		5,800		54,578
Machinery - 1.65%
Accuride Corp.*		49,800		298,800
Alamo Group, Inc.		550		17,254
Albany International Corp., Class A		9,200		172,132
Ampco-Pittsburgh Corp.		3,700		67,821
Briggs & Stratton Corp.		21,450		375,160
China Valves Technology, Inc.*		52,700		56,389
Columbus McKinnon Corp.*		19,700		297,273
Commercial Vehicle Group, Inc.*		22,100		190,502
Federal Signal Corp.*		2,900		16,936
FreightCar America, Inc.		6,100		140,117
Hardinge, Inc.		400		3,640
John Bean Technologies Corp.		1,820		24,697
Key Technology, Inc.*		300		3,000
L.S. Starrett Co., Class A (The)		2,650		30,660
LB Foster Co., Class A		1,750		50,068
Lydall, Inc.*		550		7,436
Miller Industries, Inc.		150		2,389
Mueller Water Products, Inc., Class A		7,200		24,912
NACCO Industries, Inc., Class A		1,350		156,938
NF Energy Saving Corp.*		16,900		17,745

Industry    Company	Shares		Value
Machinery (continued)
NN, Inc.*		3,100		$      31,651
Supreme Industries, Inc. Class A*		29,000		113,390
Xerium Technologies, Inc.*		150		435
				2,099,345
Marine - 0.28%
Eagle Bulk Shipping, Inc.*		187		591
Excel Maritime Carriers, Ltd.*		101,600		56,388
Genco Shipping & Trading, Ltd.*		48,750		148,688
Horizon Lines, Inc., Class A*		248		466
International Shipholding Corp.		7,850		148,051
Ultrapetrol Bahamas, Ltd.*+		6,000		7,080
				361,264
Media - 2.91%
AH Belo Corp., Class A		33,800		135,876
Ballantyne Strong, Inc.*		14,300		85,371
Beasley Broadcasting Group, Inc., Class A*		8,129		47,880
Belo Corp., Class A		4,750		30,590
Carmike Cinemas, Inc.*		450		6,592
Cinemark Holdings, Inc.		1,650		37,702
Cumulus Media, Inc., Class A*		69,865		210,294
Dex One Corp.*+		49,800		46,563
E.W. Scripps Co., Class A (The)*		14,600		140,306
Entercom Communications Corp., Class A*		33,050		198,961
Entravision Communications Corp., Class A		36,350		43,983
Fisher Communications, Inc.*		50		1,496
Gray Television, Inc.*		19,450		28,592
Harte-Hanks, Inc.		18,550		169,547
Journal Communications, Inc., Class A*		47,450		244,842
Lee Enterprises, Inc.*		4,050		6,561
McClatchy Co., Class A (The)*		32,950		72,490
Media General, Inc., Class A*+		800		3,688
Meredith Corp.+		20,000		638,800
Navarre Corp.*		17,900		28,461
New York Times Co., Class A (The)*		60,550		472,290
Radio One, Inc., Class D*+		20,350		19,088

  26 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Media (continued)
Reading International, Inc., Class A*+		9,900		$    53,559
Saga Communications, Inc., Class A*		1,752		65,017
Salem Communications Corp., Class A		25,700		140,579
Scholastic Corp.		13,800		388,608
Valassis Communications, Inc.*		17,700		384,975
				3,702,711
Metals & Mining - 2.16%
A.M. Castle & Co.*		4,500		47,790
Friedman Industries, Inc.		3,500		35,595
Golden Star Resources, Ltd.*		287,500		333,500
Handy & Harman, Ltd.*		13,300		179,284
Horsehead Holding Corp.*		8,900		88,644
Jaguar Mining, Inc.*+		80,400		93,264
Materion Corp.		19,400		446,782
Noranda Aluminum Holding Corp.		73,400		584,264
Schnitzer Steel Industries, Inc., Class A		12,400		347,448
Sutor Technology Group, Ltd.*		450		428
Worthington Industries, Inc.		29,100		595,677
				2,752,676
Multiline Retail - 0.36%
Bon-Ton Stores, Inc. (The)+		9,050		70,680
Fred’s, Inc., Class A		16,250		248,463
Tuesday Morning Corp.*		32,950		141,356
				460,499
Oil, Gas & Consumable Fuels - 5.47%
Adams Resources & Energy, Inc.		4,000		167,680
Alon USA Energy, Inc.		50,700		428,922
Bill Barrett Corp.*		10,700		229,194
BioFuel Energy Corp.*		10,000		35,600
Callon Petroleum Co.*		56,300		239,838
Clayton Williams Energy, Inc.*		5,600		270,928
Cloud Peak Energy, Inc.*		44,300		749,113
Comstock Resources, Inc.*		21,000		344,820
Crimson Exploration, Inc.*		11,200		51,408
Crosstex Energy, Inc.		13,700		191,800
Delek US Holdings, Inc.		22,900		402,811
Double Eagle Petroleum Co.*		12,050		52,779
GMX Resources, Inc.*+		15,700		12,733

Industry    Company	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Green Plains Renewable Energy, Inc.*		26,450		$   165,048
Halcon Resources Corp.*+		1,217		11,488
James River Coal Co.*+		20,900		56,639
Longwei Petroleum Investment Holding, Ltd.*		113,000		143,510
Patriot Coal Corp.*+		38,300		46,726
PostRock Energy Corp.*		12,000		19,080
REX American Resources Corp.*		5,250		102,480
SemGroup Corp., Class A*		18,700		597,091
Stone Energy Corp.*		25,100		636,034
Swift Energy Co.*		18,800		349,868
W&T Offshore, Inc.		47,800		731,340
Western Refining, Inc.		41,500		924,205
				6,961,135
Paper & Forest Products - 1.89%
Clearwater Paper Corp.*		9,500		324,140
KapStone Paper & Packaging Corp.*		20,575		326,114
Mercer International, Inc.*		46,850		267,513
Neenah Paper, Inc.		3,100		82,739
Orient Paper, Inc.		34,250		89,735
PH Glatfelter Co.		29,500		482,915
Resolute Forest Products*+		29,700		343,926
Wausau Paper Corp.		49,550		482,122
				2,399,204
Personal Products - 0.36%
Elizabeth Arden, Inc.*		1,700		65,977
Natural Alternatives International, Inc.*		50		384
Nutraceutical International Corp.*		8,950		136,488
Physicians Formula Holdings, Inc.*		17,200		60,028
USANA Health Sciences, Inc.*		4,700		193,264
				456,141
Pharmaceuticals - 0.05%
Cornerstone Therapeutics, Inc.*		900		5,697
Par Pharmaceutical Cos., Inc.*		1,700		61,438
				67,135
Professional Services - 1.92%
Barrett Business Services, Inc.		10,800		228,312
CBIZ, Inc.*		5,275		31,333

  www.bridgewayomni.com 27

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Professional Services (continued)
CDI Corp.		13,500		$   221,400
CRA International, Inc.*		10,700		157,183
Dolan Co. (The)*		3,000		20,190
GP Strategies Corp.*		650		12,006
Heidrick & Struggles International, Inc.		10,350		181,125
Hudson Global, Inc.*		34,300		143,031
Huron Consulting Group, Inc.*		1,700		53,805
ICF International, Inc.*		10,400		247,936
Insperity, Inc.		17,300		467,965
Kelly Services, Inc., Class A		8,800		113,608
Kforce, Inc.*		8,200		110,372
Navigant Consulting, Inc.*		14,600		184,544
On Assignment, Inc.*		2,800		44,688
RCM Technologies, Inc.*		400		2,216
TrueBlue, Inc.*		3,400		52,632
VSE Corp.		7,130		169,623
				2,441,969
Road & Rail - 1.97%
Amerco, Inc.		6,700		602,799
Arkansas Best Corp.		8,500		107,100
Avis Budget Group, Inc.*		49,700		755,440
Celadon Group, Inc.		4,400		72,072
Con-way, Inc.		7,100		256,381
Covenant Transportation Group, Inc., Class A*		2,550		9,486
Marten Transport, Ltd.		8,644		183,771
P.A.M. Transportation Services, Inc.		250		2,412
RailAmerica, Inc.*		4,600		111,320
Saia, Inc.*		3,150		68,954
Swift Transportation Co.*		24,000		226,800
Universal Truckload Services, Inc.		7,503		113,483
USA Truck, Inc.*		450		2,120
				2,512,138
Semiconductors & Semiconductor Equipment - 1.92%
Advanced Energy Industries, Inc.*		11,800		158,356
Amkor Technology, Inc.*		86,600		422,608
Amtech Systems, Inc.*		500		1,880
DSP Group, Inc.*		5,200		32,968
GT Advanced Technologies, Inc.*		50,800		268,224
inTEST Corp.*		10,150		34,409
Kulicke & Soffa Industries, Inc.*		41,600		371,072

Industry    Company	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
LTX-Credence Corp.*		3,400		$     22,780
Magnachip Semiconductor Corp.*		33,100		315,443
OmniVision Technologies, Inc.*		25,600		342,016
Photronics, Inc.*		47,100		287,310
Ultra Clean Holdings*		28,900		185,827
				2,442,893
Software - 0.23%
Bsquare Corp.*		4,700		13,724
Cinedigm Digital Cinema Corp., Class A*		2,200		3,300
Majesco Entertainment Co.*+		33,500		67,000
Net 1 UEPS Technologies, Inc.*		15,700		131,409
TeleCommunication Systems, Inc., Class A*		61,500		75,645
				291,078
Specialty Retail - 7.41%
Aeropostale, Inc.*		40,750		726,572
ANN, Inc.*		27,100		690,779
Appliance Recycling Centers of America, Inc.*		4,300		17,974
Asbury Automotive Group, Inc.*		16,075		380,817
Barnes & Noble, Inc.*+		43,800		720,948
Body Central Corp.*		18,000		162,000
Books-A-Million, Inc.*		350		1,120
Brown Shoe Co., Inc.		25,150		324,686
Build-A-Bear Workshop, Inc.*		3,800		18,164
Casual Male Retail Group, Inc.*		31,500		114,345
Cato Corp., Class A (The)		1,000		30,460
Children’s Place Retail Stores, Inc. (The)*		10,800		538,164
Citi Trends, Inc.*		10,450		161,348
Conn’s, Inc.*		23,400		346,320
Destination Maternity Corp.		2,028		43,805
Finish Line, Inc., Class A (The)		2,450		51,230
Genesco, Inc.*		1,800		108,270
Group 1 Automotive, Inc.		15,100		688,711
Haverty Furniture Cos., Inc.		5,000		55,850
hhgregg, Inc.*+		26,250		296,888
Hot Topic, Inc.		28,050		271,804
Kirkland’s, Inc.*		3,900		43,875

  28 Annual Report | June 30, 2012  

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

Industry    Company	Shares		Value
Common Stocks (continued)
Specialty Retail (continued)
MarineMax, Inc.*		800		$       7,608
Men’s Wearhouse, Inc. (The)		2,450		68,943
New York & Co., Inc.*		26,300		91,524
Office Depot, Inc.*		148,600		320,976
OfficeMax, Inc.*		1,450		7,337
Pep Boys-Manny, Moe & Jack (The)		12,250		121,275
Perfumania Holdings, Inc.*		7,300		60,517
Pier 1 Imports, Inc.		5,450		89,544
RadioShack Corp.+		61,150		234,816
rue21, inc.*		8,400		212,016
Shoe Carnival, Inc.		15,525		333,632
Sonic Automotive, Inc., Class A		24,650		336,966
Stage Stores, Inc.		24,700		452,504
Stein Mart, Inc.*		32,400		257,580
Systemax, Inc.*		29,300		346,326
TravelCenters of America LLC*		34,150		173,140
West Marine, Inc.*		22,679		266,478
Wet Seal, Inc., Class A (The)*		79,350		250,746
				9,426,058
Textiles, Apparel & Luxury Goods - 1.42%
Crown Crafts, Inc.		21,000		116,340
Culp, Inc.		5,650		57,912
Delta Apparel, Inc.*		250		3,415
Jones Group, Inc. (The)		36,400		347,984
Movado Group, Inc.		2,300		57,546
Oxford Industries, Inc.		550		24,585
Perry Ellis International, Inc.*		19,800		410,850
Quiksilver, Inc.*		43,100		100,423
R.G. Barry Corp.		400		5,436
Rocky Brands, Inc.*		3,150		41,549
Skechers U.S.A., Inc., Class A*		20,900		425,733
Unifi, Inc.*		19,100		216,403
				1,808,176
Thrifts & Mortgage Finance - 0.89%
Astoria Financial Corp.		49,600		486,080
Bank Mutual Corp.		32,000		141,120
BankAtlantic Bancorp, Inc., Class A*		590		3,257
Doral Financial Corp.*		56,100		84,150
First Defiance Financial Corp.		1,250		21,400
First Federal Bancshares of Arkansas, Inc.*+		1,200		9,720
First Financial Holdings, Inc.		1,450		15,544

Industry    Company	Shares		Value
Thrifts & Mortgage Finance (continued)
First Financial Northwest, Inc.*+		200		$       1,624
Flushing Financial Corp.		2,700		36,801
Meta Financial Group, Inc.		300		5,979
MutualFirst Financial, Inc.		8,700		91,263
NASB Financial, Inc.*+		500		9,925
Provident Financial Holdings, Inc.		5,400		62,262
Pulaski Financial Corp.+		800		5,928
Tree.com, Inc.*		4,900		56,056
United Community Financial Corp.*		33,400		99,532
				1,130,641
Trading Companies & Distributors - 1.55%
Aceto Corp.		13,900		125,517
Aircastle, Ltd.		32,700		394,035
Beacon Roofing Supply, Inc.*		9,200		232,024
DXP Enterprises, Inc.*		450		18,671
Interline Brands, Inc.*		6,750		169,222
KSW, Inc.		2,800		10,948
Rush Enterprises, Inc., Class A*		10,700		174,945
United Rentals, Inc.*		20,875		710,585
Willis Lease Finance Corp.*		10,750		132,440
				1,968,387
Wireless Telecommunication Services - 0.75%
Leap Wireless International, Inc.*		76,500		491,895
NTELOS Holdings Corp.		12,625		237,981
Shenandoah Telecommunications Co.		15,700		213,677
USA Mobility, Inc.		1,300		16,718
				960,271
TOTAL COMMON STOCKS - 99.14%				126,118,676
(Cost $122,500,675)

  www.bridgewayomni.com 29

Bridgeway Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2012

	Rate^		Shares		Value
MONEY MARKET FUND - 0.74%
BlackRock FedFund		0.01%		946,271		$946,271
TOTAL MONEY MARKET FUND - 0.74%						946,271
(Cost $946,271)
TOTAL INVESTMENTS - 99.88%						$127,064,947
(Cost $123,446,946)
Other Assets in Excess of Liabilities - 0.12%						151,369
NET ASSETS - 100.00%						$127,216,316

*     Non-income producing security.

^    Rate disclosed as of June 30, 2012.

+   This security or a portion of the security is out on loan at June 30, 2012. Total loaned securities had a value of $7,008,491 at June 30, 2012.

LLC - Limited Liability Company

Summary of inputs used to value the Fund’s investments as of 06/30/2012 is as follows (See Note 2 in Notes to Financial Statements):

	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices	Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs	Total
Common Stocks	$126,118,676		$         —	$—	$	126,118,676
Money Market Fund	—		946,271	—		946,271
TOTAL	$126,118,676		$946,271	$—	$	127,064,947

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

	Investment in Securities  (Value)
	Common Stocks			Total
Balance as of 06/30/2011		$	10,070		$	10,070
Purchases			—			—
Sales			(3,484)			(3,484)
Realized gain/(loss)1			(21,846)			(21,846)
Change in unrealized appreciation/ (depreciation)2			15,260			15,260
Transfers in			—			—
Transfers out			—			—
Balance as of 06/30/2012		$	—		$	—
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/20122		$	—		$	—

¹Realized gain/(loss) from Level 3 securities is included on the Statement of Operations in the Realized Gain (Loss) on Investments.

²Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statement of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.

See Notes to Financial Statements.

  30 Annual Report | June 30, 2012  

STATEMENTS OF ASSETS AND LIABILITIES  

June 30, 2012 ASSETS	Omni Small-Cap Value				Omni Tax-Managed         Small-Cap Value
Investments at value		$	182,120,543			$	127,064,947
Receivables:
Portfolio securities sold			485,480				-
Fund shares sold			456,288				1,016,580
Dividends and interest			128,031				106,959
Prepaid expenses			29,383				24,918
Total assets			183,219,725				128,213,404
LIABILITIES
Payables:
Portfolio securities purchased			3,374,402				922,426
Fund shares redeemed			192,502				-
Accrued Liabilities:
Investment advisory fees			37,190				10,169
Administration fees			5,579				4,048
Directors’ fees			396				341
Other			56,949				60,104
Total liabilities			3,667,018				997,088
NET ASSETS		$	179,552,707			$	127,216,316
NET ASSETS REPRESENT
Paid-in capital		$	168,511,448			$	123,998,466
Undistributed net investment income			508,134				455,097
Accumulated net realized loss on investments			(145,793	)			(855,248)
Net unrealized appreciation on investments			10,678,918				3,618,001
NET ASSETS		$	179,552,707			$	127,216,316
Shares of common stock outstanding of $.001 par value*			16,154,422				12,660,601
Net asset value, offering price and redemption price per share		$	11.11			$	10.05
Total investments at cost		$	171,441,625			$	123,446,946

* See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund.

See Notes to Financial Statements.

  www.bridgewayomni.com 31

STATEMENTS OF OPERATIONS  

Period Ended June 30, 2012	Omni Small-Cap Value1				Omni Tax-Managed         Small-Cap Value
INVESTMENT INCOME
Dividends		$	1,067,656			$	1,079,554
Securities lending			167,114				199,546
Total Investment Income			1,234,770				1,279,100
EXPENSES
Investment advisory fees			406,173				411,607
Administration fees			32,142				32,470
Accounting fees			58,570				87,507
Transfer agent fees			7,376				12,558
Professional fees			33,040				36,747
Custody fees			30,846				20,486
Blue sky fees			9,125				30,691
Directors’ and officers’ fees			15,652				15,809
Shareholder servicing fees			62,158				54,922
Reports to shareholders			16,812				16,852
Miscellaneous expenses			12,642				17,411
Total Expenses			684,536				737,060
Less investment advisory fees waived			(184,328	)			(243,003)
Less other fees waived			(12,766	)			-
Net Expenses			487,442				494,057
NET INVESTMENT INCOME			747,328				785,043
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized Gain (Loss) on:
Investments			(145,793	)			(827,085)
Change in Unrealized Appreciation (Depreciation) on:
Investments			10,678,918				3,181,198
Net Realized and Unrealized Gain on Investments			10,533,125				2,354,113
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	11,280,453			$	3,139,156

¹ For the period August 31, 2011 (commencement of operations) through June 30, 2012.

See Notes to Financial Statements.

  32 Annual Report | June 30, 2012  

STATEMENTS OF CHANGES IN NET ASSETS  

	Omni			Omni Tax-Managed
	Small-Cap Value			Small-Cap Value
	For the Period       August 31, 20111       through       June 30, 2012			Year Ended       June 30, 2012			For the Period             December 31, 20101            through             June 30, 2011
OPERATIONS
Net investment income		$       747,328			$       785,043			$       57,746
Net realized loss on investments		(145,793	)		(827,085	)		(28,163)
Net change in unrealized appreciation (depreciation) on investments		10,678,918			3,181,198			436,803
Net increase in net assets resulting from operations		11,280,453			3,139,156			466,386
DISTRIBUTIONS:
From net investment income		(218,329	)		(379,007	)		-
Net decrease in net assets resulting from distributions		(218,329	)		(379,007	)		-
SHARE TRANSACTIONS:
Proceeds from sale of shares		178,590,444			112,796,648			39,874,315
Reinvestment of distributions		218,329			379,007			-
Cost of shares redeemed		(10,318,190	)		(26,664,208	)		(2,395,981)
Net increase in net assets resulting from share transactions		168,490,583			86,511,447			37,478,334
Net increase in net assets		179,552,707			89,271,596			37,944,720
NET ASSETS:
Beginning of period		-			37,944,720			-
End of period*		$179,552,707			$127,216,316			$37,944,720
SHARES ISSUED & REDEEMED
Issued		17,113,203			11,927,426			3,784,388
Distributions reinvested		21,942			41,833			-
Redeemed		(980,723	)		(2,861,204	)		(231,842)
Net increase in shares		16,154,422			9,108,055			3,552,546
Outstanding at beginning of period		-			3,552,546			-
Outstanding at end of period		16,154,422			12,660,601			3,552,546
* Including undistributed net investment income of:		$       508,134			$       455,097			$       54,379

¹Commencement of operations.

See Notes to Financial Statements.

  www.bridgewayomni.com 33

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout the period indicated)

				Income from Investment Operations
	Net Asset Value, Beginning of Period			Net Investment Income(a)			Net Realized and Unrealized Gain\(Loss)				Total from Investment Operations
OMNI SMALL-CAP VALUE
Period Ended June 30, 2012(c)		$	10.00		$	0.08		$	1.06			$	1.14
OMNI TAX-MANAGED SMALL-CAP VALUE
Year Ended June 30, 2012			10.68			0.09			(0.67	)(e)			(0.58)
Period Ended June 30, 2011(f)			10.00			0.03			0.65				0.68

(a) Per share amounts calculated based on the average daily shares outstanding during the period.

(b) Annualized for periods less than one year.

(c) Commenced operations on August 31, 2011.

(d) Total return may have been lower had various fees not been waived during the period.

(e) Realized and unrealized gain (loss) per share do not correlate to the aggregate of the net unrealized gain in the Statements of Operations for the year ended June 30, 2012, primarily due to the timing of the sales and repurchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(f) Commenced operations on December 31, 2010.

See Notes to Financial Statements.

  34 Annual Report | June 30, 2012  

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 Before Waivers and Reimbursements(b)			Expenses After Waivers and Reimbursements(b)			Net Investment Income After Waivers and Reimbursements(b)			Portfolio Turnover Rate
	$   -		$	(0.03	)		$	(0.03	)		$	11.11		11.41	%(d)		$	179,553		0.84	%		0.60	%		0.92	%		8	%
	-			(0.05	)			(0.05	)			10.05		(5.41	%)(d)			127,216		0.90	%		0.60	%		0.95	%		26	%
	-			-				-				10.68		6.80	%(d)			37,945		1.56	%		0.60	%		0.57	%		7	%

  www.bridgewayomni.com 35

NOTES TO FINANCIAL STATEMENTS  

June 30, 2012

1. Organization:

Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

Bridgeway is organized as a series fund, with 11 investment funds as of June 30, 2012 (each, a “Bridgeway Fund” and collectively, the “Bridgeway Funds”). Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Blue Chip 35 Index and Managed Volatility Funds are presented in a separate report. The Omni Small-Cap Value Fund and the Omni Tax-Managed Small-Cap Value Fund (each a “Fund” and together, the “Funds”) commenced operations on August 31, 2011 and December 31, 2010, respectively, and are presented in this report.

Bridgeway is authorized to issue 1,987,343,706 shares of common stock at $0.001 per share. 100,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares have been classified into the Blue Chip 35 Index Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Small-Cap Value, Omni Tax-Managed Small-Cap Value, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value and Large-Cap Growth Funds. 50,000,000 shares have been classified into the Managed Volatility Fund. All shares outstanding currently represent Class N shares.

All of the Bridgeway Funds are no-load, diversified funds.

The Funds seek to provide long-term total return on capital, primarily through capital appreciation.

Bridgeway Capital Management, Inc. (the “Adviser”) is the investment adviser for all of the Bridgeway Funds.

2. Significant Accounting Policies:

The following summary of significant accounting policies, followed in the preparation of the financial statements of the Funds, are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Securities, Options and Other Investments ValuationOther than options, portfolio securities that are principally traded on a national securities exchange are valued at their last sale price on the principal exchange on which they are traded prior to the close of the New York Stock Exchange (“NYSE”), on each day the NYSE is open for business. If there is no closing price on the NYSE, the portfolio security will be valued using a composite price, which is defined as the last price for the security on any exchange. Portfolio securities other than options that are principally traded on the National Association of Securities Dealers Automated Quotation System (“NASDAQ”) are valued at the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their home exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions. Other investments for which no sales are reported are valued at the latest bid price in accordance with the pricing policy established by the Board of Directors.

Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.

Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.

When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the 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’ NAV may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.

  36 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

The inputs and valuation techniques used to determine the value of a Fund’s investments are summarized into three levels as described in the hierarchy below:

— Level 1 — quoted prices in active markets for identical assets

Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.

— Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Money market fund investments consist of mutual funds which invest primarily in securities that are valued at amortized cost, a Level 2 investment. Therefore, the money market funds are classified as Level 2 investments.

— Level 3 — significant unobservable inputs (including a Fund’s own assumptions in determining the fair value of investments)

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Funds’ investments as of June 30, 2012 is included with each Fund’s Schedule of Investments.

Effective January 1, 2012, the Funds adopted Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRSs”).” ASU No. 2011-04 is intended to result in common fair value and measurement requirements in U.S. GAAP and IFRSs. ASU No. 2011-04 requires reporting entities to disclose quantitative information about the significant unobservable inputs used in the fair value measurements categorized within Level 3 of the fair value hierarchy. In addition, ASU No. 2011-04 requires reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. Level 3 securities are not significant to the Funds. The adoption of ASU 2011-04 had no impact on net assets of the Funds.

The Funds’ policy is to recognize transfers into, and transfers out of, each level of hierarchy as of the beginning of the reporting period. For the fiscal year ended June 30, 2012, there were no transfers between Level 1 and Level 2 in any of the Funds. Details regarding transfers into, and transfers out of, Level 3 can be found at the end of each Schedule of Investments for Funds that hold Level 3 securities.

Securities LendingUpon lending its securities to third parties, each Fund receives compensation in the form of fees. A Fund also continues to receive dividends on the securities loaned. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. Gain or loss in the fair value of the securities loaned that may occur during the

  www.bridgewayomni.com 37

NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

term of the loan will be for the account of a Fund. Each Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, a Fund does not have the right to sell or repledge collateral received in the form of securities unless the borrower goes into default. The risks to a Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due.

As of June 30, 2012, the Funds had securities on loan and related collateral with values shown below:

Bridgeway Fund	Securities on Loan Value			Value of Collateral
Omni Small-Cap Value		$	13,371,957		$	13,429,177
Omni Tax-Managed Small-Cap Value			7,008,491			7,152,453

It is each Fund’s policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day, following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. As of June 30, 2012, the collateral consisted of an institutional money market fund.

Use of Estimates in Financial StatementsIn preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the disclosure of contingent assets and liabilities at the date of the financial statements as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

Risks and UncertaintiesThe Funds provide for various investment options, including stocks. Such investments are exposed to various risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.

Security Transactions, Investment Income and ExpensesSecurity transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date.

Bridgeway Funds’ expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Bridgeway Funds’ total net assets or other appropriate basis.

Distributions to ShareholdersThe Funds pay dividends from net investment income and distribute realized capital gains annually, usually in December.

IndemnificationUnder the Company’s organizational documents, the Funds’ officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

3. Management Fees, Other Related Party Transactions and Contingencies:

The Funds have entered into a management agreement 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 of 0.50% of the value of each Fund’s average daily net assets, computed daily and payable monthly.

  38 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

Expense limitations:  The Adviser has agreed to reimburse the Funds for operating expenses and management fees above the expense limitations shown in the table below, which are shown as a ratio of net expenses to average net assets, for each Fund, for the fiscal year ended June 30, 2012. Any material change to the expense limitation would require a vote by shareholders of the applicable Fund.

Bridgeway Fund	Expense Limitation		Total Waivers and       Reimbursements       for Period Ending       6/30/12
Omni Small-Cap Value*		0.60%	$184,328
Omni Tax-Managed Small-Cap Value*		0.60%	243,003

*The Funds are authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser, provided, however, that any reimbursements must be paid at a date not more than three years after the fiscal year in which the Adviser waived the fees or reimbursed the expenses and the reimbursements do not cause the Funds to exceed the expense limitation in the agreement. The Omni Small-Cap Value Fund has recoupable expenses of $184,328, which expire on June 30, 2015. The Omni Tax-Managed Small-Cap Value Fund has recoupable expenses of $85,793 and $243,003, which expire June 30, 2014 and June 30, 2015, respectively.

Other Waivers and Reimbursements:  BNY Mellon Asset Servicing, the Funds’ accounting agent and transfer agent, at its discretion, voluntarily waived a portion of its accounting and transfer agent fees for the Omni Small-Cap Value Fund. For the fiscal period ended June 30, 2012, BNY Mellon Asset Servicing waived $9,766 in accounting fees and $3,000 in transfer agent fees for the Omni Small-Cap Value Fund.

Other Related Party Transactions:  On occasion, the Bridgeway Funds will engage in inter-portfolio trades between funds when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. Inter-portfolio purchases and sales for the Funds during the fiscal year ended June 30, 2012 were as follows:

Bridgeway Fund	Inter-portfolio Purchases			Inter-portfolio  Sales
Omni Small-Cap Value		$	2,504,801	$    -
Omni Tax-Managed Small-Cap Value			1,815,929	-

The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Funds including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an aggregate annual fee of $535,000 payable in equal monthly installments. During the fiscal year ended June 30, 2012, the allocation of this expense to the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds was $32,142 and $32,470, respectively.

One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Another director of Bridgeway, Michael Mulcahy, is an executive and director of the Adviser. Under the 1940 Act definitions, each is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery and Mr. Mulcahy is borne by the Adviser rather than the Bridgeway Funds.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

Board of Directors CompensationIndependent Directors are paid an annual retainer of $14,000 with an additional retainer of $2,500 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. Beginning in 2012 the retainer is paid in quarterly installments. Independent Directors are paid $6,000 per meeting for meeting fees. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.

The Independent Directors receive this compensation in the form of shares of the Bridgeway Funds, credited to his or her account. Such Directors are reimbursed for any expenses incurred in attending meetings and conferences and expenses for subscriptions or printed materials. The amount of Directors’ fees attributable to each Fund is disclosed in the Statement of Operations.

4. Distribution and Shareholder Servicing Fees:

Foreside Fund Services, LLC acts as distributor of the Funds’ shares pursuant to a Distribution Agreement dated November 12, 2010. The Adviser pays all costs and expenses associated with distribution of the Funds’ shares pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.

5. Purchases and Sales of Investment Securities:

Purchases and sales of investments, other than short-term securities, for each Fund for the fiscal year ended June 30, 2012 were as follows:

	Purchases				Sales
	U.S. Government		Other		U.S. Government		Other
Omni Small-Cap Value		$    -		$175,589,175		$    -		$  7,355,186
Omni Tax-Managed Small-Cap Value		-		107,576,027		-		21,761,225

6. Federal Income Taxes

It is the Funds’ policy to continue to comply with the provisions of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), applicable to regulated investment companies and distribute income to the extent necessary so that such Fund is not subject to federal income tax. Therefore, no federal income tax provision is required.

Unrealized Appreciation and Depreciation on Investments (Tax Basis)The amount of net unrealized appreciation/ depreciation and the cost of investment securities for tax purposes, including short-term securities at June 30, 2012, were as follows:

	Omni Small-Cap Value	Omni Tax-Managed  Small-Cap Value
Gross appreciation (excess of value over tax cost)	$  20,626,623	$  14,541,081
Gross depreciation (excess of tax cost over value)	(9,947,722)	(10,993,865)
Net unrealized appreciation (depreciation)	$  10,678,901	$    3,547,216
Cost of investments for income tax purposes	$171,441,642	$123,517,731

The differences between book and tax net unrealized appreciation (depreciation) are due to wash sale loss deferrals and passive foreign investment company (PFIC) adjustments.

Classifications of DistributionsNet 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 Omni Small-Cap Value Fund commenced operations on August 31, 2011 and the Omni Tax-Managed Small-Cap Value Fund commenced operations on December 31, 2010. There were no cash distributions paid during the period ended June 30, 2011. The tax character of the distributions paid by the Funds during the fiscal year ended June 30, 2012, are as follows:

  40 Annual Report | June 30, 2012  

NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

	Omni Small-Cap Value	Omni Tax-Managed  Small-Cap Value
	Year Ended June 30, 2012	Year  Ended  June 30, 2012
Distributions paid from:
Ordinary Income	$218,329	$379,007
Total	$218,329	$379,007

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds will not be subject to expiration and will retain their character as either short-term or long-term capital losses. At June 30, 2012, the Omni Tax-Managed Small-Cap Value Fund had $691,466 of short-term capital loss carryforwards available for tax purposes with an indefinite expiration date. There are no capital loss carryovers for Omni Small-Cap Value Fund as of June 30, 2012.

Components of Accumulated Earnings (Deficit)As of June 30, 2012, the components of accumulated earnings (deficit) on a tax basis were:

	Omni Small-Cap Value	Omni Tax-Managed  Small-Cap Value
Undistributed Net Investment Income	$     508,151	$   455,114
Accumulated Net Realized Loss on Investments*	(145,793)	(784,480)
Net Unrealized Appreciation of Investments	10,678,901	3,547,216
Total	$11,041,259	$3,217,850

* Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2013. The Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund have deferred post October losses of $145,793 and $93,014, respectively.

For the fiscal year June 30, 2012, the Funds recorded the following reclassifications to the accounts listed below:

	Increase (Decrease)
	Omni Small-Cap Value	Omni Tax-Managed  Small-Cap Value
Paid-in-Capital	$ 20,865	$ 5,318
Undistributed Net Investment Income	(20,865)	(5,318)
Accumulated Net Realized Loss	-	-

The difference between book and tax components of net assets and the resulting reclassifications were primarily a result of the deduction of equalization debits for tax purposes and disallowed expenses.

Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Fund’s tax positions and has concluded that no provision for income tax is required in each Fund’s financial statements. The Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

7. Line of Credit

Bridgeway established a line of credit agreement (“Facility”) with The Bank of New York Mellon effective November 5, 2010. The Facility is for temporary or emergency purposes, such as to provide liquidity for shareholder redemptions, and is cancellable by either party. Unless cancelled earlier, the Facility shall be held available until November 2, 2012. Advances under the Facility are limited to $10,000,000 in total for all Bridgeway Funds and advances to each Bridgeway Fund shall not exceed certain limits set forth in the credit agreement, including but not limited to, the maximum amount a Bridgeway Fund is permitted to borrow under the 1940 Act.

  www.bridgewayomni.com 41

NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2012

The Bridgeway Funds incur a commitment fee of 0.05% per annum on the unused portion of the Facility and interest expense to the extent of amounts borrowed under the Facility. Interest is based on the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-month Eurodollar Rate, plus 1.25%. The commitment fees are payable quarterly in arrears and are allocated to all participating Bridgeway Funds. Interest expense is charged directly to a Bridgeway Fund based upon actual amounts borrowed by such Bridgeway Fund.

For the fiscal year ended June 30, 2012, borrowings by the Funds under this line of credit were as follows:

Bridgeway Fund	Weighted Average Interest Rate			Weighted Average Loan Balance		Number of Days Outstanding		Interest Expense Incurred1		Maximum Amount  Borrowed During  the Period
Omni Small-Cap Value		1.55	%		$182,000		2		$  35		$247,000
Omni Tax-Managed Small-Cap Value		1.51	%		350,500		12		128		627,000

¹Interest expense is included on the Statements of Operations in Miscellaneous expenses.

There were no outstanding borrowings by the Funds under this line of credit as of June 30, 2012.

8. Subsequent Events

Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

  42 Annual Report | June 30, 2012  

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM  

To the Shareholders and Board of Directors of Bridgeway Funds, Inc.

We have audited the accompanying statements of assets and liabilities of the Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund, each a series of Bridgeway Funds, Inc. (the “Funds”), including the schedules of investments, as of June 30, 2012, and the related statements of operations, the statements of changes in net assets and financial highlights for each of the years or periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2012 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund as of June 30, 2012, the results of their operations, changes in their net assets and financial highlights for each of the years or periods presented, in conformity with accounting principles generally accepted in the United States of America.

BBD, LLP

Philadelphia, Pennsylvania

August 24, 2012

  www.bridgewayomni.com 43

OTHER INFORMATION  

June 30, 2012 (unaudited)

1. Shareholder Tax Information

Certain tax information regarding the Funds is required to be provided to shareholders based upon each Fund’s income and distributions for the taxable year ended June 30, 2012. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2011.

The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2012. All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of each Fund to report the maximum amount permitted under the Internal Revenue Code of 1986, as amended, and the regulations thereunder.

	Omni Small-Cap Value			Omni Tax-Managed       Small Cap Value
Corporate Dividends Received Deduction		100.00	%		100.00	%
Qualified Dividend Income		100.00	%		100.00	%
Qualified Interest Related Dividends		0.01	%		0.01	%
Qualified Short Term Capital Gain Dividends		0.00	%		0.00	%

During the fiscal year ended June 30, 2012, the Funds paid distributions from ordinary income and long-term capital gain which included equalization debits summarized below:

	Omni Small-Cap Value		Omni Tax-Managed  Small-Cap Value
Ordinary Income Distributions		$218,329		$379,007
Equalization Debits Included in Ordinary Income Distributions		21,162		5,318

2. Proxy Voting

Fund policies and procedures used in determining how to vote proxies relating to the Funds’ securities and a summary of proxies voted by the Funds for the period ended June 30, 2012 are available without a charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov.

3. Fund Holdings

The complete schedule of the Funds’ holdings for the second and fourth quarters of each fiscal year are contained in the Funds’ Semi-Annual and Annual shareholder reports, respectively.

The Bridgeway Funds file complete schedules of the Funds’ holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q within 60 days after the end of the period. Copies of the Funds’ Form N-Q are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy Form N-Q at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 1-800-SEC-0330.

4. Approval of Investment Management Agreement For Omni Tax-Managed Small-Cap Value Fund

The Bridgeway Funds, Inc.’s (the “Company”) management agreement (the “Management Agreement”) with its investment adviser, Bridgeway Capital Management, Inc. (the “Adviser”), on behalf of each of the Company’s funds must be approved for an initial term no greater than two years and renewed at least annually thereafter (i) by the vote of the Directors or by a vote of the shareholders of each fund and (ii) by the vote of a majority of the Directors who are not parties to the Management Agreement or “interested persons” of any party thereto (the “Independent Directors”), cast in person at a meeting called specifically for the purpose of voting on such approval.

The Board of Directors (the “Board”) has five regularly scheduled meetings each year and takes into account throughout the year matters bearing on the Management Agreement. The Board and its standing committees also consider at each meeting

  44 Annual Report | June 30, 2012  

OTHER INFORMATION (continued)  

June 30, 2012 (unaudited)

factors that are relevant to the annual renewal of each fund’s Management Agreement, including the services and support provided to each fund and its shareholders.

On June 1, 2012, the Board, including a majority of the Independent Directors, met in person (the “Meeting”) with the Adviser, Company counsel, independent legal counsel (“Independent Legal Counsel”) to the Independent Directors and others to give consideration to information bearing on the continuation of the Management Agreement with respect to the Omni Tax-Managed Small-Cap Value Fund (the “Fund”).¹ In preparation for the Meeting, the Independent Directors requested that the Adviser provide specific information relevant to their consideration of the renewal of the Fund’s Management Agreement. In response to that request, the Independent Directors were furnished with a wide variety of information with respect to the Fund, including:

—  investment performance over various time periods and the fees and expenses of the Fund as compared to a comparable group of funds (the “peer funds”);

—  the nature, extent and quality of services provided by the Adviser to the Fund, including investment advisory and administrative services;

—  actual management fees paid by the Fund to the Adviser;

—  the Adviser’s costs of providing services to the Fund and the profitability of the Adviser derived from its relationship with the Fund;

—  the extent to which economies of scale may be present and if so, the degree to which they would be shared with the Fund’s shareholders;

—  any “fall out” or ancillary benefits accruing to the Adviser as a result of its relationship with the Fund; and

—  information regarding the structure of the advisory fees, the method of computing fees and the frequency of payment of fees and any expense limitation or fee waiver arrangements for the Fund.

The Independent Directors also met telephonically with Independent Legal Counsel prior to the Meeting to review and discuss the information provided by the Adviser and, as a result of the telephonic meeting, requested certain additional information from the Adviser. Moreover, the Independent Directors also met in executive session with Independent Legal Counsel to consider the continuation of the Management Agreement outside the presence of management during the Meeting.

In considering the aforementioned information, the Independent Directors took into account management style, investment strategies and prevailing market conditions. Furthermore, in evaluating the Management Agreement, the Directors also reviewed information provided by the Adviser concerning the following:

—  the terms of the Management Agreement, including the services performed by the Adviser in managing the Fund in accordance with the Fund’s investment objectives, policies and restrictions and how those services and fees differ from the Adviser’s services to non-mutual fund accounts;

—  the services provided by the Adviser under a separate Administrative Services Agreement and the fact that those services were provided at approximately cost to the Fund;

¹ The Management Agreement with respect to the Omni Small-Cap Value Fund was initially approved by the Board of Directors (and Independent Directors) for an initial period of two years beginning on the date of commencement of operation of the Fund at the Board’s meeting held on May 13, 2011 and therefore the Fund’s Management Agreement is not required to be renewed until 2013.

  www.bridgewayomni.com 45

OTHER INFORMATION (continued)  

June 30, 2012 (unaudited)

—  the Adviser’s specialized skills and experience in statistical analysis and investment management and trading;

—  the Adviser’s personnel, staffing levels and the time and attention the Adviser’s personnel devote to the management of all of the Bridgeway Funds as compared to other Adviser clients;

—  the Adviser’s risk assessment and risk management capabilities;

—  the fact that the Adviser continues to use no soft dollars; and

—  the financial condition and stability of the Adviser, including supplemental financial information provided upon the request of the Independent Directors and the fact that at the current time, the Adviser is operating the Fund at a loss.

After extensive discussion and consideration among themselves, and with the Adviser, Company counsel and Independent Legal Counsel, including during an executive session with Independent Legal Counsel, the Independent Directors concluded the following:

—  the nature, extent and quality of the Adviser’s services were appropriate and consistent with the terms of the Management Agreement and mutual fund industry norms;

—  the investment performance of the Fund was acceptable over the short operating history of the Fund;

—  the management fees and overall expense levels, after taking into account any applicable management fee and expense waivers, were significantly lower than peer funds;

—  the costs of services provided by the Adviser to the Fund were fair and reasonable in relation to the services and benefits provided to the Fund; and

—  although there were no breakpoints in the Fund’s fee schedule, shareholders of the Fund were not missing the opportunity to benefit from economies of scale in view of the fact that the Fund was priced low in anticipation of future growth.

In summary, the Independent Directors renewed the Management Agreement with respect to the Fund. The Independent Directors valued access by the Fund to the Adviser’s proprietary statistically driven investment management services and favorable fee levels, considered the favorable short term performance of the Fund and concluded that renewal of the Management Agreement was in the best interests of the Fund and its shareholders. Based on all of the information presented, the Board, including a majority of its Independent Directors, determined that the fees charged under the Management Agreement are reasonable in relation to the services that are provided under the Management Agreement. In view of the broad scope and variety of factors and information, the Directors did not identify any single factor as being of paramount importance in reaching their conclusions and determinations to approve the continuance of the Management Agreement for the Fund. Rather, the approval determination was made on the basis of each Director’s business judgment after consideration of all of the factors taken in their entirety.

  46 Annual Report | June 30, 2012  

DISCLOSURE OF FUND EXPENSES  

June 30, 2012 (unaudited)

As a shareholder of a Fund, you will incur no transaction costs from such Fund, including sales charges (loads) on purchases, on reinvested dividends, or on other distributions. There are no exchange fees. However, as a shareholder of a Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on January 1, 2012 and held until June 30, 2012.

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

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

The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.

	Beginning Account Value at 1/1/12	Ending Account Value at 6/30/12	Expense Ratio		Expenses Paid  During Period*  1/1/12 - 6/30/12
Bridgeway Omni Small-Cap Value
Actual Fund Return	$1,000.00	$1,072.40		0.60%	$3.11
Hypothetical Fund Return	$1,000.00	$1,022.00		0.60%	$3.03
Bridgeway Omni Tax-Managed Small-Cap Value
Actual Fund Return	$1,000.00	$1,068.00		0.60%	$3.10
Hypothetical Fund Return	$1,000.00	$1,022.00		0.60%	$3.03

* Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent half-year divided by the number of days in the fiscal year.

  www.bridgewayomni.com 47

DIRECTORS & OFFICERS  

June 30, 2012

Independent Directors

Name, Address and Age1	Position Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Director	Other Directorships Held by Director
Kirbyjon Caldwell Age 59	Director	Term: 1 Year Length: 2001 to Present.	Senior Pastor of Windsor Village United Methodist Church, since 1982.	Eleven	American Church Mortgage Company, NRG Energy, Inc., Amegy Bancshares Advisory Board
Karen S. Gerstner Age 57	Director	Term: 1 Year Length: 1994 to Present.	Principal, Karen S. Gerstner & Associates, P.C., since 2004.	Eleven	None
Miles Douglas Harper, III* Age 49	Director	Term: 1 Year Length: 1994 to Present.	Partner, Gainer, Donnelly, Desroches, LLP, since 1998.	Eleven	Calvert Social Investment Fund (8 Portfolios), Calvert Social Index Series, Inc. (1 Portfolio), Calvert Impact Fund (4 Portfolios), Calvert World Values Fund (3 Portfolios)
Evan Harrel Age 51	Director	Term: 1 Year Length: 2006 to Present.	Executive Director, Small Steps Nurturing Center, 2004 through May 2012.	Eleven	None

  48 Annual Report | June 30, 2012

DIRECTORS & OFFICERS (continued)  

June 30, 2012

“Interested” or Affiliated Directors and Officers

Name, Address and Age1	Position(s) Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Director	Other Directorships Held by Director
Michael D. Mulcahy2 Age 48	President and Director	Term: 1 Year Length: 2003 to Present.	President and Chief Operating Officer, Bridgeway Capital Management, Inc., 10/2010 - present, President, Bridgeway Funds, 6/2005 - present. Director, Secretary and Vice President, Bridgeway Capital Management, Inc., 12/2002 - 10/2010.	Eleven	None
John N. R. Montgomery3 Age 56	Vice President and Director	Term: 1 Year Length: 1993 to Present.	Chairman, Bridgeway Capital Management, Inc., 10/2010 - present, Vice President, Bridgeway Funds, 6/2005 - present. President, Bridgeway Capital Management, Inc., 11/1993 - 10/2010.	Eleven	None

  www.bridgewayomni.com 49

DIRECTORS & OFFICERS (continued)  

June 30, 2012

Other Officers

Name, Address and Age1	Position Held with Bridgeway Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past Five Years	No. of Bridgeway Funds Overseen by Officer	Other Directorships Held by Officer
Richard P. Cancelmo, Jr. Age 54	Vice President	Term: 1 Year Length: 2004 to Present.	Vice President, Bridgeway Funds, 11/2004 - present, Staff member, Bridgeway Capital Management, Inc., since 2000.	N/A	None
Linda G. Giuffré Age 50	Treasurer and Chief Compliance Officer	Term: 1 Year Length: 2004 to Present.	Chief Compliance Officer, Bridgeway Capital Management, Inc., 11/2004 - present, Staff member, Bridgeway Capital Management, Inc., 5/2004 - present.	N/A	None
Deborah L. Hanna Age 47	Secretary	Term: 1 Year Length: 2007 to Present.	Self-employed, accounting and related projects for various organizations, 2001 - present.	N/A	None
Sharon Lester Age 57	Vice President	Term: 1 Year Length: 2011 to Present.	Staff member, Bridgeway Capital Management, Inc., 12/2010 - present. Prior to 12/2010, Director of Portfolio Operations, Invesco.	N/A	None

*  Independent Chairman

¹  The address of all of the Directors and Officers of Bridgeway Funds is 20 Greenway Plaza, Suite 450, Houston, Texas, 77046.

²  Michael Mulcahy is a director and officer of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

³  John Montgomery is chairman, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

The overall management of the business and affairs of Bridgeway Funds is vested with its Board of Directors (the “Board”). The Board approves all significant agreements between Bridgeway Funds and persons or companies furnishing services to it, including agreements with its Adviser and Custodian. The day-to-day operations of Bridgeway Funds are delegated to its officers, subject to its investment objectives and policies and general supervision by the Board.

The Fund’s Statement of Additional Information includes additional information about the Board and is available, without charge, upon request by calling 1-800-661-3550.

  50 Annual Report | June 30, 2012

BRIDGEWAY FUNDS, INC.

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

DISTRIBUTOR

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

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 800-SEC-0330. 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. 20549-1520 or by sending an electronic request to the following email address:  publicinfo@sec.gov.

Item 2. Code of Ethics.

(a)  The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

Item 3. Audit Committee Financial Expert.

3(a)(1) The Registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.

3(a)(2) The audit committee financial expert is Miles Douglas Harper III, who is “independent” for purposes of this Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a)  The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $227,000 for the fiscal year ended June 30, 2012 and $267,000 for the fiscal year ended June 30, 2011.

Audit-Related Fees

(b)  The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended June 30, 2012 and $0 for the fiscal year ended June 30, 2011.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $26,000 for the fiscal year ended June 30, 2012 and $26,000 for the fiscal year ended June 30, 2011. Tax services include the review of the Funds’ federal income tax returns, the review of the Funds’ federal excise tax returns and the review of required distributions by the Funds.

All Other Fees

	(d)	The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended June 30, 2012 and $0 for the fiscal year ended June 30, 2011.
(e)(1)		Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
		The Registrant’s Audit Committee has adopted an Audit Committee Charter that provides that the Audit Committee shall approve, prior to appointment, the engagement of the auditor to provide audit services to the Registrant and non-audit services to the Registrant, its investment advisor or any entity controlling, controlled by or under common control with the investment adviser that provides on-going services to the Registrant if the engagement relates directly to the operations and financial reporting of the Registrant.
(e)(2)		No services described in paragraphs (b) through (d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
	(f)	Not applicable.
	(g)	The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $0 for the fiscal year ended June 30, 2012 and $0 for the fiscal year ended June 30, 2011.
	(h)Not applicable.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

(b) The registrant has divested itself of securities in accordance with Section 13(c) of the Investment Company Act of 1940 and is in accordance with The Sudan Accountability and Divestment Act of 2007.

Client Name/#	Trade Date		Settle Date		Buy/Sell	CUSIP		Security     Symbol	Security Description	Quantity		Unit Price		Principal/ Proceeds/ Notional Value		Total Comm.		Total Fees		Net Proceeds		Broker
BRIDGEWAY AI2		4/5/2012		4/11/2012	Sell		149123101	CAT	CATERPILLAR INC.		15,100		106.72		1,611,449.35		75.5		36.1		1,611,337.75	DIRECT
BRIDGEWAY AI1		4/5/2012		4/11/2012	Sell		149123101	CAT	CATERPILLAR INC.		8,300		106.72		885,763.55		41.5		19.84		885,702.21	DIRECT
BRIDGEWAY LG		4/12/2012		4/17/2012	Sell		149123101	CAT	CATERPILLAR INC.		4,700		105.64		496,486.85		23.5		11.12		496,452.23	DIRECT
BRIDGEWAY AI2		3/30/2012		4/4/2012	Sell		149123101	CAT	CATERPILLAR INC.		4,400		106.63		469,162.32		22		10.51		469,129.81	ITG TRITON
BRIDGEWAY AI1		3/30/2012		4/4/2012	Sell		149123101	CAT	CATERPILLAR INC.		1,200		106.63		127,953.36		6		2.87		127,944.49	ITG TRITON
BRIDGEWAY LG		4/5/2012		4/11/2012	Sell		149123101	CAT	CATERPILLAR INC.		800		105.9		84,720.00		4		1.9		84,714.10	DIRECT

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 Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer, or persons performing similar functions, 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 (the “1940 Act”) (17 CFR 270.30a-3(c))) are effectively designed, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their

evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

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.

(registrant)                                 Bridgeway Funds, Inc.

By (Signature and Title)*	/s/ Michael D. Mulcahy
	Michael D. Mulcahy, President and Principal Executive Officer
	(principal executive officer)

Date                                           September 5, 2012

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 (Signature and Title)*	/s/ Michael D. Mulcahy
	Michael D. Mulcahy, President and Principal Executive Officer
	(principal executive officer)

Date                                           September 5, 2012

By (Signature and Title)*	/s/ Linda G. Giuffré
	Linda G. Giuffré, Treasurer and Principal Financial Officer
	(principal financial officer)

Date                                           September 5, 2012

^*     Print the name and title of each signing officer under his or her signature.