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)

John Montgomery, 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, 2014 through June 30, 2015

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, 2015

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	7
Schedule of Investments	11
ULTRA-SMALL COMPANY FUND
Manager’s Commentary	14
Schedule of Investments	18
ULTRA-SMALL COMPANY MARKET FUND
Manager’s Commentary	23
Schedule of Investments	27
SMALL-CAP MOMENTUM FUND
Manager’s Commentary	40
Schedule of Investments	43
SMALL-CAP GROWTH FUND
Manager’s Commentary	51
Schedule of Investments	54
SMALL-CAP VALUE FUND
Manager’s Commentary	57
Schedule of Investments	60
LARGE-CAP GROWTH FUND
Manager’s Commentary	63
Schedule of Investments	66
BLUE CHIP 35 INDEX FUND
Manager’s Commentary	69
Schedule of Investments	73
MANAGED VOLATILITY FUND
Manager’s Commentary	75
Schedule of Investments	78
Schedule of Options Written	82
STATEMENTS OF ASSETS AND LIABILITIES	87
STATEMENTS OF OPERATIONS	89
STATEMENTS OF CHANGES IN NET ASSETS	91
FINANCIAL HIGHLIGHTS	95
Notes to Financial Statements	104
Report of Independent Registered Public Accounting Firm	117
Other Information	118
Disclosure of Fund Expenses	124
Directors & Officers	126

Bridgeway Funds Standardized Returns as of June 30, 2015* (Unaudited)

					Annualized
Fund	Quarter		Six Months		1 Year		5 Years		10 Years		Inception   to Date		Inception   Date		Gross   Expense   Ratio2		Net Expense Ratio2
Aggressive Investors 1		-1.63%		-0.40%		4.57%		18.34%		5.44%		13.58%		8/5/1994		1.01%		1.01%
Ultra-Small Company		-6.12%		-4.26%		-7.60%		14.98%		6.97%		15.17%		8/5/1994		1.13%		1.13%
Ultra-Small Co Market		-0.06%		1.83%		3.72%		17.71%		6.86%		11.23%		7/31/1997		0.83%		0.83%
Small-Cap Momentum		1.07%		5.77%		4.54%		15.67%		NA		13.81%		5/28/2010		3.13%1		0.95%1
Small-Cap Growth		3.67%		10.95%		13.41%		18.45%		5.89%		6.74%		10/31/2003		1.07%1		0.94%1
Small-Cap Value		-1.02%		0.00%		-2.10%		15.60%		6.48%		7.78%		10/31/2003		1.06%1		1.03%1
Large-Cap Growth		-0.84%		4.87%		16.19%		19.32%		8.60%		8.21%		10/31/2003		0.87%1		0.84%1
Blue Chip 35 Index		1.11%		0.68%		5.77%		16.28%		7.72%		6.55%		7/31/1997		0.25%1		0.15%1
Managed Volatility		-1.27%		0.29%		0.92%		7.03%		3.55%		4.07%		6/30/2001		1.15%1		0.95%1

Bridgeway Funds Returns for Calendar Years 2001 through 2014* (Unaudited)

	2001		2002		2003		2004		2005		2006		2007		2008		2009		2010		2011		2012		2013		2014
Aggressive Investors 1		-11.20%		-18.01%		53.97%		12.21%		14.93%		7.11%		25.80%		-56.16%		23.98%		17.82%		-10.31%		21.58%		42.21%		14.99%
Ultra-Small Company		34.00%		3.98%		88.57%		23.33%		2.99%		21.55%		-2.77%		-46.24%		48.93%		23.55%		-14.64%		24.49%		55.77%		-0.56%
Ultra-Small Co Market		23.98%		4.90%		79.43%		20.12%		4.08%		11.48%		-5.40%		-39.49%		25.95%		24.86%		-7.86%		19.83%		50.91%		4.61%
Small-Cap Momentum																						-0.92%		14.18%		37.07%		-0.94%
Small-Cap Growth								11.59%		18.24%		5.31%		6.87%		-43.48%		15.04%		11.77%		-0.63%		11.05%		48.52%		6.13%
Small-Cap Value								17.33%		18.92%		12.77%		6.93%		-45.57%		26.98%		16.55%		1.05%		20.99%		39.72%		0.79%
Large-Cap Growth								6.77%		9.33%		4.99%		19.01%		-45.42%		36.66%		13.34%		-0.71%		16.21%		37.19%		18.66%
Blue Chip 35 Index		-9.06%		-18.02%		28.87%		4.79%		0.05%		15.42%		6.07%		-33.30%		26.61%		10.60%		3.17%		15.20%		31.67%		11.51%
Managed Volatility				-3.51%		17.82%		7.61%		6.96%		6.65%		6.58%		-19.38%		12.39%		5.41%		1.94%		6.46%		9.25%		5.95%

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 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, 2015.

* Numbers highlighted 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, 2015

Dear Fellow Shareholders,

Performance was mixed across domestic equity markets during the June quarter and the twelve months ended June 30, 2015. Market highlights appear on page 2. The Bridgeway Funds performed within design expectations, guided by our statistically driven, evidence-based investment approach. Please see the enclosed letters for a detailed explanation of each Fund’s performance during the quarter and fiscal year. We hope you find the letters helpful.

“Is Investing a Science?” On page 2, Dr. Andrew L. Berkin, Bridgeway’s Director of Research, and noted evidence-based investor Larry Swedroe answer that question and share the application of the scientific method to our investment process.

In our December 2014 semi-annual report, we kicked off a series on factors that drive the risk and returns of stocks. Continuing the series, this report examines an important individual factor. Turn to page 3 to read about “The Dangers of Data Mining and the Small-Cap Effect.”

Each fiscal year we commit to reporting to shareholders what we think is the worst thing that we experienced at Bridgeway during the year. As a shareholder, you are an owner, and we think we owe it to you to tell you not only the good stuff, but also when things do not go well. After a long period of consideration, we decided that discontinuing IRA fee waivers for direct accounts was the worst thing from the past year. Details are on page 5.

One of the strongest parts of our culture is a commitment to community and world change. On page 5, Bridgeway’s Chief Compliance Officer, Linda Giuffré, inspires you to recognize and live into your individual giftedness.

On May 31, 2015, Bridgeway announced the departure of Michael D. Mulcahy, President of Bridgeway Capital Management and Bridgeway Funds. See page 6 for more information on the transition.

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

Sincerely,

Your Investment Management Team

John Montgomery	Christine L. Wang	Michael Whipple
Elena Khoziaeva	Dick Cancelmo

1 Annual Report  |  June 30, 2015

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Market Review

Performance across the domestic equity markets was mixed for the June 2015 quarter, with smaller and more growth-oriented companies leading the way. The quarter ended with the S&P 500 up 0.28% and the Dow down 0.29%. For the fiscal year, the S&P and Dow were up 7.42% and 7.21%, respectively.

Returns across U.S. equity style boxes, as defined by Morningstar, were mixed for the quarter. Small-cap growth stocks led the way, up 1.98%, while small-cap value stocks lagged, down 1.20%. Growth outperformed value, and investors favored small-cap stocks over large-cap stocks.

Sector performance for the S&P 500 Index was positive in the second quarter. Information Technology led the way, gaining more than 19%, followed by Financials, up more than 16%, and Health Care, up more than 15%. The laggards, relatively speaking, were Materials, Utilities and Telecommunication Services (up 2%).

Following are the stock market style box returns from Morningstar for the quarter and fiscal year.

Is Investing a Science?

by Dr. Andrew L. Berkin, Director of Research, and Larry E. Swedroe, Director of Research, The BAM Alliance

You’re probably familiar with the phrase, “Past performance does not guarantee future results.” This statement, or one like it, is found on almost all mutual fund materials given out to individual investors. And for good reason: Returns of asset classes can vary dramatically from quarter to quarter and year to year. Yet, investors are tempted to read too much into past performance because they’re looking for greater certainty about the results of their investing strategy. Wouldn’t it be great if investing could be distilled into a set of laws that govern results in a predictable fashion, similar to what happens in the hard sciences such as chemistry or physics?

Unfortunately, investing is not a science — at least not in the sense of the natural or physical sciences. Scientific phenomena are governed by the rules of nature (think Newton’s Universal Law of Gravity), which don’t change. Investing is contaminated by the complicated interactions of investors. This is why science has laws, while investing has hypotheses and models.

However, even if investing isn’t a science, we can address some of its uncertainty by applying the scientific method to our investment approach. The scientific method is a system for answering questions about the world through careful observations and rigorous experiments. The basic steps of the scientific method include asking a question, doing background research, constructing a hypothesis, testing that hypothesis, analyzing the data and then sharing the results.

Scientists conduct research in this fashion in order to reach objective conclusions based on the evidence. While scientists may follow their intuition when first developing a hypothesis, the framework for testing those hypotheses is entirely objective. In a similar fashion, going by your gut instinct isn’t enough when analyzing investments; you need objective testing and analysis to gain confidence that your hypothesis is correct.

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

For instance, we might start our scientific investigation by asking which investment strategy has the highest odds of successfully achieving our goals with the least amount of risk. Our next step would be to research the current thinking around the question and develop a hypothesis about what helps drive investment results. That hypothesis then needs to be tested, which we can do through careful analysis of existing financial data. Ultimately, this research will generate a conclusion that we can communicate to our peers for review and criticism. If the result holds up to this scrutiny, we now have a model that can give us greater confidence in our investing decisions.

Value investing is a great example of how the scientific method influenced investment strategy. Investing legend Benjamin Graham touted the benefits of value investing as far back as the 1930s, but there was no evidence to explain the value effect. Even the development of the Capital Asset Pricing Model (CAPM) in the 1960s could not explain this effect. But in the early 1990s, economists Eugene Fama and Kenneth French used a systematic approach to show that the value effect existed in U.S. market data dating back to the 1960s. Further, they proposed that the higher returns offered by value stocks were a reward for bearing risk.

Their work received much interest — and much criticism. So the authors, together with Jim Davis, analyzed data going back even further and found that the same effect persisted all the way back to 1927. What’s more, the value effect held true even when they looked internationally across different stock markets. This rigorous and continued application of the scientific method has shown the value premium to be both persistent and pervasive, and the Fama-French model has continued to hold up more than 20 years after its initial publication.

Of course, there are no guarantees in investing. But applying the scientific method has helped us move investing away from the anecdotal and into the realm of evidence-based analysis. We may never be able to predict the future of financial markets, but we can continue to conduct research that increases our understanding of likely results and their potential variability. That, in turn, can give us the greatest possible confidence in the outcome of our investments.

Understanding Factors: The Dangers of Data Mining and the Small-Cap Effect

by John Montgomery, Founder and Chief Investment Officer

In our 2014 semi-annual report, we began a series of articles to explore the phenomenon of investment factors, the underlying characteristics or attributes that drive the returns of a group of stocks. Given Bridgeway’s commitment to evidence-based and statistically driven investing, factors are a key piece of our investing strategy.

In this article, we begin examining some of the most important individual factors. But before we do that, we want to explain how researchers identify a factor — and why we believe factors can play a key role when designing investment portfolios.

Researchers investigating factors perform sophisticated analysis of financial data to identify underlying causes of market behavior. Data is wonderful. It helps us take the subjective and — this is huge — the emotional component out of investing. But there’s also a risk in doing this research: If you have enough data with enough potential variables, you’ll always find something that seems to explain outcomes, no matter how spurious the connection.

Given the huge amounts of market data available, you can find some pretty wild examples of these bogus correlations. A famous study by financial researcher and quantitative money manager David Leinweber might be the most absurd: He was able to show how annual butter production in Bangladesh, cheese production in the United States, and the sheep population of both countries almost completely explained the returns of the S&P 500 over an historical period.

Is there really any relationship between those factors and the market’s returns? Of course not! That’s the risk of this kind of hyper-selective data analysis, which is called data mining. While the study was meant as a humorous example of the dangers of data mining (its title is “Stupid Data Miner Tricks: Overfitting the S&P 500”), it was nonetheless taken seriously by some.

One way we guard against data mining is by making sure there is an underlying economic reason that potentially explains the performance of a factor. In many cases, these reasons are related to the risk of the asset — as is the case with one of the most well-established factors, small size.

3 Annual Report  |  June 30, 2015

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

The small-size factor, also known as the small-cap effect, refers to the historically strong returns offered by shares of small companies. Since 1926, small-cap stocks have generated an average annual return of 12.2%, compared to a 10.1% average annual return for large-cap stocks.

What’s more, the small-cap effect becomes more pronounced as the size of the company decreases. The Center for Research in Security Prices (CRSP) divides all stocks traded on the New York Stock Exchange into 10 deciles based on company market capitalization. Decile 1 includes the largest of all companies, while decile 10 represents the smallest of small-cap stocks, known as ultra-small companies. Looking back to 1926 again, we find that the ultra-small stocks in CRSP decile 10 have delivered a 13.5% average annual return.

So, historical data shows that small-cap stocks outperform large cap stocks, and ultra-small stocks outperform both. But next we have to ask ourselves whether the data makes sense — or whether we happen to have stumbled into a spurious relationship that is unlikely to be repeated in the future.

In this case, we can find a good reason to explain performance. Small companies tend to be riskier than larger companies. They often are less established, with smaller product lines and fewer economic resources than larger companies. Their management teams may be untested. For investors to assume the risk of investing in these companies, they naturally would expect a higher potential return. After all, if I could get the same returns from a company like Apple or Procter & Gamble — one that is almost certainly not going out of business in the next 12 months — I’d have no reason to invest in these untested, riskier shares. Looking at it another way, a significantly higher percentage of smaller companies go bankrupt. Wouldn’t most investors demand a higher return for a company with a higher chance of going out of business and losing all of the capital invested?

I believe strongly that smaller companies are riskier and therefore, as a group, should give investors a higher potential return, which makes me much more confident in the data behind the small-cap effect. But this supposition is also another potential weakness: Once I’ve formed an opinion, I run the risk of paying attention only to data that supports what I already believe. This phenomenon is well documented in the book, The Honest Truth About Dishonesty by Dan Ariely. People tend to filter out information that contradicts their beliefs.

To protect against this natural and widespread kind of human bias, Bridgeway plays the skeptic in our own research efforts. When someone on our research team reaches a conclusion, the rest of us ask ourselves how we might have blown it by not looking hard enough for contradictory data. This question usually sends us deeper into the data in order to corroborate our findings. We apply the same research to market data from a different time period than the first sample, or to data from multiple countries, to confirm that the factor we’ve identified shows up in every case. We look at the consistency of the statistical relationship over time. We expend significant research resources to guard against the potential problems of data mining.

Besides building our confidence in the validity of a factor, this additional research gives us a deeper understanding of how that factor works and how it can fit in an investment strategy. For example, we know from researching the persistence of the small-cap effect that the premium doesn’t always show up over short-term cycles. In some years, larger stocks beat small caps, and small caps can even lag larger company stocks over the course of an entire decade, as shown in the table below. The highest return for each period is highlighted.

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

Average Annual Returns for Ultra-Large Stocks, Small-Cap Stocks and Ultra-Small Stocks

Decade	Ultra-Large (CRSP-1)	Small-Cap (CRSP 6-8)	Ultra-Small (CRSP-10)
1926-1930	17.50%	0.99%	-1.20%
1930-1939	-0.47%	3.57%	12.43%
1940-1949	7.98%	14.79%	24.17%
1950-1959	18.43%	18.17%	18.08%
1960-1969	7.08%	11.74%	15.32%
1970-1979	4.81%	10.44%	9.56%
1980-1989	16.82%	16.16%	10.68%
1990-1999	19.19%	15.88%	13.39%
2000-2009	-2.37%	4.88%	10.74%
2010-2015(June)	13.62%	16.60%	14.60%
Entire Period:1926-2015 (June)	9.33%	11.62%	13.50%

Source: The Center for Research in Security Prices

This data tells us two things. First, investors seeking the higher returns of small-cap stocks should have a long investing time horizon — preferably one lasting multiple decades. If they do, their probability of reaping the benefits of this single factor increases.

Second, to achieve even more consistency in an investment portfolio, we need to look for other factors that might work at different times. The process of constructing portfolios with strong factor exposure and diversification is where our research team spends a significant amount of its time and efforts.

We’ll examine this process in future articles in this series, while also looking at the characteristics of additional factors. The key to successful factor investing is not just identifying individual factors. You also must understand how different factors interact, so that you can combine them into an investment model that offers better odds of achieving your objectives.

Worst Thing of the Fiscal Year

Bridgeway is committed to transparency with our shareholders. That’s why we set aside a portion of each annual report to discuss the worst thing that happened during the fiscal year. In the past, these “worst things” have included problems with our Funds, market factors beyond our control, operational mistakes and even the loss of a partner.

Fortunately, we didn’t experience major setbacks like those during this fiscal year. However, we did have to make a difficult business decision that will impact our shareholders: Bridgeway Capital Management will no longer be absorbing an IRA account maintenance fee for direct shareholders who hold funds in their retirement accounts. Instead, our IRA account holders now will pay this annual $15 maintenance fee themselves. This increase in costs for some shareholders is the worst thing of the past year, because...we just don’t like the thought of any rising costs.

A little background: IRA account maintenance fees are standard in the industry. BNY Mellon, Bridgeway’s transfer agent and custodian for our Funds, charges this fee on all other IRA accounts. But when we launched Bridgeway Funds in 1994, our goal was to minimize the barriers that prevented people from investing toward their long-term goals. In that spirit, we decided to cover IRA account maintenance fees, rather than passing them along to our shareholders. Our change of plan is due to the following; we believe there are more powerful ways to devote adviser resources to keep costs lean: transaction costs (cost of buying and selling shares), selective Fund reimbursements, income to offset expenses (such as securities lending), and managing Fund operating expenses. We hope you understand and agree. As always, we appreciate your feedback and want to hear from you.

Transformative Change

Leading Through Your Genius, by Linda Giuffré

At Bridgeway we believe that providing ongoing training to improve our personal skills is essential to delivering quality service and becoming a stronger organization. Staying on top of the changes in our constantly evolving industry requires a commitment to continuing education and training. But change is not limited to the tools we use and the regulations we face.

5 Annual Report  |  June 30, 2015

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)  

During the annual Bridgeway retreat in November of last year, we participated in an all-day leadership session led by Ann McGee-Cooper and Associates, focused on their book titled “Leading Through Your Genius: The Amazing and Extraordinary Me.” The session was based on the idea that we all have natural gifts, such as the ability to lead or a particular aptitude for creativity. But harnessing these gifts and living up to our potential takes courage.

These gifts come naturally to us, as opposed to the skills that we must work hard to develop. And because they come naturally to us, we often don’t recognize them as gifts — they simply aren’t noteworthy to us. Yet, we owe it to ourselves and others to recognize and accept our gifts. Then we can find opportunities to use our gifts constructively.

If your gifts align with the job you’ve chosen, embracing them will probably make you happier and more effective — which will likely translate into more positive energy for the people around you. If your gifts fall outside of your workplace duties, then look for ways to incorporate those gifts into other activities in your life. This might be a personal pursuit, or it could involve volunteering with an organization whose needs align with your gifts.

As leaders we can provide a supportive environment that encourages others to embrace their gifts. It takes courage to recognize and accept your gifts, but doing so can help you achieve greater satisfaction in your life, while helping you improve the lives of those around you.

Leadership Transition

We consider it a privilege to serve our shareholders, and we seek to keep you abreast of changes at Bridgeway. Effective May 31, 2015, Michael D. Mulcahy left Bridgeway Capital Management and his role as president of Bridgeway Capital Management and Bridgeway Funds to pursue an entrepreneurial aspiration to serve families in wealth management and philanthropy at his newly created firm.

In 2008, the Board of each of Bridgeway Capital Management and Bridgeway Funds developed a succession plan that has since been reviewed. Per our succession plan, John Montgomery stepped back into the role of President of Bridgeway Capital Management and Bridgeway Funds effective, May 31. John and other members of our senior leadership team will be assuming Mike’s responsibilities in the short-term, while we take this opportunity to consider our long-term needs.

Bridgeway has a strong, experienced team, and business functions and client relationships will continue and thrive. We wish Mike the best in his new venture. We look forward to continuing to provide a high level of service for our clients, and to the great opportunities ahead for Bridgeway.

www.bridgeway.com 6

Aggressive Investors 1 Fund MANAGER’S COMMENTARY (Unaudited)

June 30, 2015

Dear Fellow Aggressive Investors 1 Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 1.63%, underperforming our primary market benchmark, the S&P 500 Index (+0.28%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+0.59%), and the Russell 2000 Index (+0.42%). It was a poor quarter.

For the fiscal year, our Fund returned 4.57%, underperforming our primary market benchmark, the S&P 500 Index (+7.42%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+7.47%), and the Russell 2000 Index (+6.49%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

				Annualized
	Quarter	1 Year			5 Years	10 Years	15 Years	Since Inception (8/5/94)
Aggressive Investors 1 Fund	-1.63%	4.57	%		18.34%	5.44%	4.99%	13.58%
S&P 500 Index	0.28%	7.42	%		17.34%	7.89%	4.36%	9.54%
Russell 2000 Index	0.42%	6.49	%		17.08%	8.40%	7.50%	9.61%
Lipper Capital Appreciation Funds Index	0.59%	7.47	%		15.57%	8.49%	4.20%	8.67%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell 2000 Index is an unmanaged, market value-weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 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, 2015, Aggressive Investors 1 Fund ranked 186^th of 263 capital appreciation funds for the 12 months ending June 30, 2015, 67^th of 226 over the last five years, 135^th of 158 over the last 10 years, and 2^nd of 46 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.

7 Annual Report  |  June 30, 2015

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

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

from Inception 8/5/94 to 6/30/15

Detailed Explanation of Quarterly Performance

In a quarter when ultra-large and small-cap stocks outperformed large- and mid-cap stocks, our Fund’s “all-cap” design was a primary factor impacting the relative performance versus its larger primary benchmark, the S&P 500 Index. Additionally, the company financial health category of models lagged the market, detracting from the Fund’s relative performance.

The Fund’s sector allocation, which is an outcome of statistical analysis of company-level fundamentals and not any macroeconomic or sector view, contributed slightly to our relative returns. Health Care sector holdings contributed the most to relative performance, while the holdings in the Industrials sector detracted from relative performance.

Detailed Explanation of Fiscal Year Performance

For the fiscal year, large-cap stocks outperformed small- and mid-cap stocks. As a result, our Fund’s “all-cap” design had a negative impact on our relative performance versus the larger S&P 500 Index. Additionally, holdings selected by our diversifying value metrics models lagged the index.

Overall, the Fund’s sector allocation versus its primary benchmark index slightly diminished relative performance. Overweighting in the lagging Energy, Industrials and Materials sectors detracted from performance. However, despite being underweighted in the best performing Health Care sector during a portion of the year, the Fund’s holdings in this sector outperformed the index, contributing to relative performance.

In the 2015 fiscal year, the Fund’s use of derivatives, options specifically, had an insignificant impact on Fund performance.

www.bridgeway.com 8

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

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Allergan PLC	Pharmaceuticals		2.5%
2	United Continental Holdings, Inc.	Airlines		2.3%
3	Skechers U.S.A., Inc., Class A	Textiles, Apparel & Luxury Goods		2.1%
4	Kroger Co. (The)	Food & Staples Retailing		2.0%
5	Rite Aid Corp.	Food & Staples Retailing		2.0%
6	Southwest Airlines Co.	Airlines		2.0%
7	Apple, Inc.	Computers & Peripherals		1.7%
8	Cigna Corp.	Health Care Providers & Services		1.6%
9	Edwards Lifesciences Corp.	Health Care Equipment & Supplies		1.6%
10	Delta Airlines Inc.	Airlines		1.5%
	Total			19.3%

Industry Sector Representation as of June 30, 2015

	% of Net Assets	% of S&P 500 Index	Difference
Consumer Discretionary	20.6%	12.8%	7.8%
Consumer Staples	6.9%	9.4%	-2.5%
Energy	9.9%	7.9%	2.0%
Financials	10.3%	16.6%	-6.3%
Health Care	18.1%	15.4%	2.7%
Industrials	18.1%	10.1%	8.0%
Information Technology	10.0%	19.6%	-9.6%
Materials	4.3%	3.1%	1.2%
Telecommunication Services	1.0%	2.3%	-1.3%
Utilities	0.0%	2.8%	-2.8%
Cash & Other Assets	0.8%	0.0%	0.8%
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, 2015, 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. 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.

9 Annual Report  |  June 30, 2015

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

Conclusion

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

Sincerely,

The Investment Management Team

www.bridgeway.com 10

Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.68%
Aerospace & Defense - 1.05%
Lockheed Martin Corp.		14,000		$  2,602,600
Airlines - 6.85%
Alaska Air Group, Inc.		40,200		2,590,086
Delta Air Lines, Inc.		89,300		3,668,444
Southwest Airlines Co.		151,300		5,006,517
United Continental Holdings, Inc.*		108,200		5,735,682
				17,000,729
Auto Components - 3.69%
Goodyear Tire & Rubber Co. (The)		83,600		2,520,540
Lear Corp.		24,200		2,716,692
Magna International, Inc.		50,800		2,849,372
Modine Manufacturing Co.*		100,200		1,075,146
				9,161,750
Automobiles - 0.96%
General Motors Co.		71,500		2,383,095
Beverages - 1.31%
Constellation Brands, Inc., Class A		28,100		3,260,162
Biotechnology - 2.42%
BioMarin Pharmaceutical, Inc.*		21,700		2,968,126
Gilead Sciences, Inc.		26,000		3,044,080
				6,012,206
Capital Markets - 1.65%
Affiliated Managers Group, Inc.*		13,000		2,841,800
Charles Schwab Corp. (The)		37,900		1,237,435
				4,079,235
Chemicals - 2.67%
Celanese Corp., Class A		29,700		2,134,836
LyondellBasell Industries NV, Class A		25,500		2,639,760
Stepan Co.		34,000		1,839,740
				6,614,336
Commercial Services & Supplies - 2.38%
ACCO Brands Corp.*		296,800		2,306,136
Multi-Color Corp.		19,600		1,252,048
Waste Management, Inc.		50,600		2,345,310
				5,903,494
Computers & Peripherals - 3.65%
Apple, Inc.		33,600		4,214,280

Industry Company	Shares		Value
Computers & Peripherals (continued)
Seagate Technology PLC		38,500		$  1,828,750
Super Micro Computer, Inc.*		50,700		1,499,706
Western Digital Corp.		19,100		1,497,822
				9,040,558
Consumer Finance - 2.91%
Capital One Financial Corp.		31,500		2,771,055
Cash America International, Inc.		50,000		1,309,500
Navient Corp.		96,000		1,748,160
Santander Consumer USA Holdings, Inc.*		53,900		1,378,223
				7,206,938
Containers & Packaging - 1.17%
Crown Holdings, Inc.*		54,800		2,899,468
Distributors - 0.94%
Core-Mark Holding Co., Inc.		39,300		2,328,525
Diversified Financial Services - 1.39%
Voya Financial, Inc.		73,900		3,434,133
Diversified Telecommunication Services - 1.02%
Verizon Communications, Inc.		54,500		2,540,245
Electronic Equipment, Instruments & Components - 0.59%
TTM Technologies, Inc.*		147,300		1,471,527
Energy Equipment & Services - 2.50%
Halliburton Co.		40,700		1,752,949
Matrix Service Co.*		56,000		1,023,680
Noble Corp. PLC+		78,500		1,208,115
Seadrill, Ltd.+		213,500		2,207,590
				6,192,334
Food & Staples Retailing - 4.83%
Ingles Markets, Inc., Class A		40,500		1,934,685
Kroger Co. (The)		69,300		5,024,943
Rite Aid Corp.*		600,100		5,010,835
				11,970,463
Food Products - 0.76%
Pilgrim’s Pride Corp.+		82,400		1,892,728
Health Care Equipment & Supplies - 2.75%
C.R. Bard, Inc.		17,000		2,901,900
Edwards Lifesciences Corp.*		27,500		3,916,825
				6,818,725

11 Annual Report  |  June 30, 2015

Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Health Care Providers & Services - 10.23%
Aetna, Inc.		24,000		$  3,059,040
AMN Healthcare Services, Inc.*		85,000		2,685,150
Centene Corp.*		39,000		3,135,600
Cigna Corp.		24,300		3,936,600
HCA Holdings, Inc.*		40,100		3,637,872
Molina Healthcare, Inc.*		42,900		3,015,870
UnitedHealth Group, Inc.		21,000		2,562,000
Universal Health Services, Inc., Class B		23,600		3,353,560
				25,385,692
Hotels, Restaurants & Leisure - 5.45%
BJ’s Restaurants, Inc.*		54,100		2,621,145
Cheesecake Factory, Inc. (The)		50,500		2,754,018
Isle of Capri Casinos, Inc.*		137,000		2,486,550
Penn National Gaming, Inc.*		160,000		2,936,000
Pinnacle Entertainment, Inc.*		73,000		2,721,440
				13,519,153
Household Durables - 1.13%
Jarden Corp.*		54,000		2,794,500
Insurance - 3.90%
Aflac, Inc.		43,000		2,674,600
Allstate Corp. (The)		35,000		2,270,450
Employers Holdings, Inc.		63,800		1,453,364
Genworth Financial, Inc., Class A*		143,600		1,087,052
Infinity Property & Casualty Corp.		5,260		398,918
Maiden Holdings, Ltd.		113,200		1,786,296
				9,670,680
Internet & Catalog Retail - 0.68%
1-800-Flowers.com, Inc., Class A*		161,300		1,687,198
Internet Software & Services - 1.18%
Facebook, Inc., Class A*		34,000		2,916,010
Machinery - 2.27%
Greenbrier Companies., Inc. (The)+		39,500		1,850,575
John Bean Technologies Corp.		68,600		2,578,674
Wabash National Corp.*		96,000		1,203,840
				5,633,089

Industry Company	Shares		Value
Marine - 1.61%
DryShips, Inc.*		1,289,200		$    775,067
Matson, Inc.		76,800		3,228,672
				4,003,739
Metals & Mining - 0.49%
Century Aluminum Co.*		117,000		1,220,310
Multiline Retail - 0.92%
Burlington Stores, Inc.*		44,500		2,278,400
Oil, Gas & Consumable Fuels - 7.77%
Encana Corp.		195,000		2,148,900
Green Plains, Inc.		87,900		2,421,645
Hess Corp.		38,900		2,601,632
Marathon Petroleum Corp.		58,000		3,033,980
Range Resources Corp.+		48,600		2,399,868
SandRidge Energy, Inc.*+		886,100		777,110
Tesoro Corp.		35,900		3,030,319
Valero Energy Corp.		45,600		2,854,560
				19,268,014
Pharmaceuticals - 2.48%
Allergan PLC*		20,300		6,160,238
Real Estate Management & Development - 0.54%
Altisource Portfolio Solutions SA*+		43,400		1,336,286
Road & Rail - 0.80%
Avis Budget Group, Inc.*		45,000		1,983,600
Semiconductors & Semiconductor Equipment - 2.25%
Micron Technology, Inc.*		162,400		3,059,616
Skyworks Solutions, Inc.		24,300		2,529,630
				5,589,246
Software - 2.34%
Red Hat, Inc.*		38,400		2,915,712
ServiceNow, Inc.*		38,900		2,890,659
				5,806,371
Specialty Retail - 4.81%
CarMax, Inc.*		46,900		3,105,249
Gap, Inc. (The)		62,800		2,397,076
Murphy USA, Inc.*		38,600		2,154,652
Select Comfort Corp.*		104,000		3,127,280
TravelCenters of America LLC*		76,700		1,138,995
				11,923,252

www.bridgeway.com 12

Aggressive Investors 1 Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company		Shares	Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods - 2.13%
Skechers U.S.A., Inc., Class A*		48,200		$    5,291,878
Trading Companies & Distributors - 3.21%
Rush Enterprises, Inc., Class A*		75,700		1,984,097
United Rentals, Inc.*		38,700		3,390,894
Veritiv Corp.*		992		36,168
Watsco, Inc.		20,700		2,561,418
				7,972,577
TOTAL COMMON STOCKS - 99.68%				247,253,484
(Cost $216,359,795)
	Rate^	Shares	Value
MONEY MARKET FUND - 1.76%
Dreyfus Cash Management Fund	0.04%	4,373,125		4,373,125
TOTAL MONEY MARKET FUND - 1.76%				4,373,125
(Cost $4,373,125)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 4.07%
Dreyfus Cash Management Fund**	0.04%	10,088,121		10,088,121
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 4.07%				10,088,121
(Cost $10,088,121)

	Value
TOTAL INVESTMENTS - 105.51%		$261,714,730
(Cost $230,821,041)
Liabilities in Excess of Other Assets - (5.51%)		(13,668,663	)
NET ASSETS - 100.00%		$248,046,067

* Non-income producing security.

** This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.

^ Rate disclosed as of June 30, 2015.

+ This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $9,752,348 as of June 30, 2015.

PLC - Public Limited Company

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	247,253,484	$	—	$	—	$	247,253,484
Money Market Fund		—		4,373,125		—		4,373,125
Investments Purchased with Cash Proceeds from Securities Lending		—		10,088,121		—		10,088,121
TOTAL	$	247,253,484	$	14,461,246	$	—	$	261,714,730

See Notes to Financial Statements.

13 Annual Report  |  June 30, 2015

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

June 30, 2015

Dear Fellow Ultra-Small Company Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 6.12%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+0.51%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+1.36%), the Russell 2000 Index (+0.42%) and the Russell Microcap Index (+2.80%). It was a poor quarter.

For the fiscal year, our Fund declined 7.60%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+1.45%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+4.73%), the Russell 2000 Index (+6.49%) and the Russell Microcap Index (+8.21%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

					Annualized
	Quarter			1 Year		5 Years	10 Years	15 Years	Since Inception (8/5/94)
Ultra-Small Company Fund		-6.12%	��	-7.60%		14.98%	6.97%	12.88%	15.17%
CRSP Cap-Based Portfolio 10 Index		0.51%		1.45%		15.43%	9.19%	11.99%	12.74%
Russell 2000 Index		0.42%		6.49%		17.08%	8.40%	7.50%	9.61%
Russell Microcap Index		2.80%		8.21%		17.48%	7.07%	7.79%	N/A
Lipper Micro-Cap Stock Funds Index		1.36%		4.73%		16.39%	7.64%	6.44%	N/A

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 848 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, 2015, Ultra-Small Company Fund ranked 67^th of 68 micro-cap funds for the 12 months ending June 30, 2015, 37^th of 53 over the last five years, 24^th of 36 over the last 10 years, and 1^st of 8 since inception in August 1994. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

www.bridgeway.com 14

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 6/30/15

* 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

Our Fund underperformed the CRSP Cap-Based Portfolio 10 Index for the quarter. Higher relative exposure to stocks that have outgrown the CRSP 10 size cutoff — ones that we don’t sell immediately in order to keep Fund turnover low — detracted from the Fund’s relative performance, as these holdings did not perform as well as the overall market for such market caps.

Our company financial health and value metrics categories of models underperformed versus the benchmark, which hurt our performance. With regard to sectors, holdings within the Energy and Industrials sectors detracted the most from our relative performance.

The table below presents index performance numbers of stocks in the different deciles for various time periods.

CRSP Decile1	Quarter		1 Year		5 Years		10 Years		89.5 Years
1 (ultra-large)		0.79%		7.21%		16.89%		7.66%		9.33%
2		-1.61%		7.54%		18.68%		9.45%		10.60%
3		-0.77%		8.75%		18.76%		9.49%		11.12%
4		0.09%		4.06%		18.90%		10.13%		11.00%
5		-0.38%		4.62%		18.71%		11.46%		11.65%
6		1.33%		3.47%		18.67%		9.45%		11.50%
7		0.92%		5.86%		18.84%		10.25%		11.64%
8		1.79%		5.13%		17.89%		10.40%		11.68%
9		0.95%		2.31%		16.85%		8.97%		11.59%
10 (ultra-small)		0.51%		1.45%		15.43%		9.19%		13.49%

¹  Performance figures are as of the period ended June 30, 2015. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of 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.

15 Annual Report  |  June 30, 2015

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

Detailed Explanation of Fiscal Year Performance

For the fiscal year, the Fund underperformed the CRSP Cap-Based Portfolio 10 Index, the Fund’s primary benchmark. While the Fund had strong exposure to some of the smallest stocks in the CRSP 10 universe of stocks, Fund holdings that have outgrown the CRSP 10 size cutoff — ones that we don’t sell immediately in order to keep Fund turnover low — contributed to underperformance. Additionally, ultra-small stocks with highest liquidity hurt the Fund’s relative returns for the year.

Our diversifying value metrics models lagged the benchmark the most, while company financial health and momentum categories also underperformed. With regard to sectors, holdings within the Energy, Health Care and Industrials sectors contributed the most to the Fund’s underperformance.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Sigma Designs, Inc.	Semiconductors & Semiconductor Equipment		2.0%
2	NeoPhotonics Corp.	Semiconductors & Semiconductor Equipment		1.9%
3	ZAGG, Inc.	Household Durables		1.9%
4	Isle of Capri Casinos, Inc.	Hotels, Restaurants & Leisure		1.8%
5	Mattson Technology, Inc.	Semiconductors & Semiconductor Equipment		1.7%
6	P.A.M. Transportation Services, Inc.	Road & Rail		1.7%
7	RadNet, Inc.	Health Care Providers & Services		1.7%
8	Core Molding Technologies, Inc.	Chemicals		1.7%
9	Allied Motion Technologies, Inc.	Electrical Equipment		1.7%
10	Hooker Furniture Corp.	Household Durables		1.6%
	Total			17.7%

Industry Sector Representation as of June 30, 2015

	% of Net Assets	% of CRSP 10 Index	Difference
Consumer Discretionary	18.3%	12.2%	6.1%
Consumer Staples	1.7%	2.8%	-1.1%
Energy	6.7%	8.9%	-2.2%
Financials	14.4%	21.8%	-7.4%
Health Care	6.7%	17.3%	-10.6%
Industrials	17.9%	11.6%	6.3%
Information Technology	27.5%	19.8%	7.7%
Materials	3.6%	3.8%	-0.2%
Telecommunication Services	0.7%	0.9%	-0.2%
Utilities	1.6%	1.0%	0.6%
Cash & Other Assets	0.9%	0.0%	0.9%
Total	100.0%	100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2015, 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.

www.bridgeway.com 16

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

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

17 Annual Report  |  June 30, 2015

Ultra-Small Company Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.10%
Aerospace & Defense - 0.55%
Vectrus, Inc.*		28,200		$    701,334
Air Freight & Logistics - 1.04%
Air T, Inc.*		20,400		427,584
Radiant Logistics, Inc.*		122,900		898,399
				1,325,983
Auto Components - 2.08%
China XD Plastics Co., Ltd.*+		69,700		420,291
Jason Industries, Inc.*		80,000		544,800
SORL Auto Parts, Inc.*+		56,700		184,842
Strattec Security Corp.		22,000		1,511,400
				2,661,333
Beverages - 1.22%
MGP Ingredients, Inc.		72,000		1,211,040
Primo Water Corp.*		60,000		343,200
				1,554,240
Biotechnology - 0.92%
Biota Pharmaceuticals, Inc.*		65,000		134,550
Celladon Corp.*		157,300		198,198
MEI Pharma, Inc.*		197,300		337,383
OncoGenex Pharmaceutical, Inc.*+		215,500		502,115
				1,172,246
Capital Markets - 0.76%
Capitala Finance Corp.+		46,400		723,840
Pzena Investment Management, Inc., Class A+		22,000		243,100
				966,940
Chemicals - 2.92%
Chase Corp.+		17,400		691,650
China Green Agriculture, Inc.		158,500		336,020
Core Molding Technologies, Inc.*		95,000		2,169,800
Gulf Resources, Inc.*+		259,000		534,835
				3,732,305
Commercial Banks - 5.30%
Bar Harbor Bankshares		22,000		779,460
Century Bancorp, Inc., Class A		3,600		146,376
Citizens & Northern Corp.		33,500		688,425
Community Bank Shares of Indiana, Inc.		4,900		134,113

Industry Company	Shares		Value
Commercial Banks (continued)
CU Bancorp*		14,600		$   323,536
Farmers Capital Bank Corp.*		42,800		1,216,804
First Bancorp, Inc.		15,500		301,320
Heritage Commerce Corp.		26,950		258,990
Heritage Oaks Bancorp		38,800		305,356
Independent Bank Corp., MI		112,400		1,524,144
Monarch Financial Holdings, Inc.		11,300		141,815
Old Second Bancorp, Inc.*		53,400		352,440
Pacific Mercantile Bancorp*		40,000		303,600
Unity Bancorp, Inc.		15,000		146,850
Westbury Bancorp, Inc.*+		8,300		143,839
				6,767,068
Commercial Services & Supplies - 1.25%
ARC Document Solutions, Inc.*		166,600		1,267,826
RR Donnelley & Sons Co.		9,814		171,058
Versar, Inc.*		40,400		159,176
				1,598,060
Communications Equipment - 4.03%
Bel Fuse, Inc., Class B		65,000		1,333,800
Ceragon Networks Ltd.*+		169,600		195,040
Digi International, Inc.*		60,650		579,207
EMCORE Corp.*		315,000		1,896,300
Infosonics Corp.*+		217,500		578,550
Oclaro, Inc.*		248,000		560,480
				5,143,377
Computers & Peripherals - 3.16%
Concurrent Computer Corp.		75,700		469,340
Dot Hill Systems Corp.*		199,900		1,223,388
Hutchinson Technology, Inc.*+		157,500		269,325
Novatel Wireless, Inc.*+		579,000		1,881,750
Smart Technologies, Inc., Class A*		194,300		185,770
				4,029,573
Construction & Engineering - 0.77%
Willdan Group, Inc.*		87,800		981,604
Distributors - 0.48%
AMCON Distributing Co.		2,700		210,087
VOXX International Corp.*		48,900		404,892
				614,979

www.bridgeway.com 18

Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Diversified Consumer Services - 0.50%
Cambium Learning Group, Inc.*		130,000		$    555,100
Lincoln Educational Services Corp.		42,700		86,254
				641,354
Diversified Financial Services - 0.30%
Resource America, Inc., Class A+		46,300		389,383
Diversified Telecommunication Services - 0.69%
Alaska Communications
Systems Group, Inc.*		368,213		883,711
Electrical Equipment - 3.42%
Allied Motion Technologies, Inc.		96,509		2,167,592
Highpower International, Inc.*+		183,200		701,656
LSI Industries, Inc.		74,600		696,764
Magnetek, Inc.*		18,500		636,585
Ultralife Corp.*		38,500		161,315
				4,363,912
Electronic Equipment, Instruments & Components - 2.96%
IntriCon Corp.*		21,500		157,380
Nam Tai Property, Inc.+		113,100		545,142
PCM, Inc.*		33,700		338,011
Perceptron, Inc.*+		111,700		1,179,552
Planar Systems, Inc.*		183,900		801,804
Wayside Technology Group, Inc.		38,200		757,124
				3,779,013
Energy Equipment & Services - 3.32%
Key Energy Services, Inc.*		743,400		1,338,120
North American Energy Partners, Inc.		73,900		179,577
Paragon Offshore PLC+		648,700		707,083
Pioneer Energy Services Corp.*		100,500		637,170
Seventy Seven Energy, Inc.*		322,100		1,381,809
				4,243,759
Health Care Equipment & Supplies - 0.81%
RTI Surgical, Inc.*		161,000		1,040,060
Health Care Providers & Services - 4.72%
Almost Family, Inc.*		41,600		1,660,256
Chembio Diagnostics, Inc.*+		107,500		527,825
Diversicare Healthcare Services, Inc.		22,400		288,960

Industry Company	Shares		Value
Health Care Providers & Services (continued)
Five Star Quality Care, Inc.*		286,200		$    1,373,760
RadNet, Inc.*		326,400		2,183,616
				6,034,417
Hotels, Restaurants & Leisure - 4.06%
Bravo Brio Restaurant Group, Inc.*		109,700		1,486,435
Frisch’s Restaurants, Inc.		5,900		198,063
Isle of Capri Casinos, Inc.*		128,700		2,335,905
Luby’s, Inc.*		49,700		241,045
Red Lion Hotels Corp.*		51,700		396,022
Town Sports International Holdings, Inc.*		180,000		522,000
				5,179,470
Household Durables - 5.98%
Bassett Furniture Industries, Inc.		41,000		1,164,810
CSS Industries, Inc.		19,200		580,800
Flexsteel Industries, Inc.		7,374		317,746
Hooker Furniture Corp.		81,400		2,043,954
Skullcandy, Inc.*		145,500		1,115,985
ZAGG, Inc.*		304,100		2,408,472
				7,631,767
Household Products - 0.16%
Oil-Dri Corp. of America+		6,700		203,546
Independent Power Producers & Energy Traders - 1.56%
Atlantic Power Corp.+		645,300		1,987,524
Insurance - 2.44%
Blue Capital Reinsurance Holdings Ltd.		15,500		278,535
CNinsure, Inc. - ADR*		162,800		1,437,524
First Acceptance Corp.*		43,500		139,200
Hallmark Financial Services, Inc.*		99,500		1,132,310
Kingstone Cos., Inc.		17,400		132,240
				3,119,809
Internet & Catalog Retail - 0.08%
CafePress, Inc.*		23,665		106,492
Internet Software & Services - 4.37%
Autobytel, Inc.*		115,400		1,845,246
BroadVision, Inc.*+		72,749		437,221
Inuvo, Inc.*+		105,000		321,300
Tucows, Inc., Class A*+		47,000		1,308,950
United Online, Inc.*		106,400		1,667,288
				5,580,005

19 Annual Report  |  June 30, 2015

Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
IT Services - 4.29%
Edgewater Technology, Inc.*		38,300		$    279,590
Hackett Group, Inc. (The)		51,400		690,302
Information Services Group, Inc.		30,238		144,538
Mattersight Corp.*+		74,600		440,140
NCI, Inc., Class A		85,000		878,050
Newtek Business Services Corp.+		61,800		1,095,096
PFSweb, Inc.*		140,500		1,947,330
				5,475,046
Leisure Equipment & Products - 0.85%
Escalade, Inc.+		46,800		860,652
JAKKS Pacific, Inc.*		22,229		219,845
				1,080,497
Machinery - 4.16%
Accuride Corp.*		304,300		1,171,555
Commercial Vehicle Group, Inc.*		94,300		679,903
Hurco Companies, Inc.		29,200		1,010,904
L.S. Starrett Co., Class A (The)		18,200		273,000
Miller Industries, Inc.		32,700		652,365
Twin Disc, Inc.		38,800		723,232
Xerium Technologies, Inc.*		43,800		797,160
				5,308,119
Marine - 0.16%
Diana Containerships, Inc.		100,000		210,500
Media - 1.15%
Reading International, Inc., Class A*		106,500		1,475,025
Metals & Mining - 0.69%
Richmont Mines, Inc.*		230,000		729,100
Synalloy Corp.		11,497		157,509
				886,609
Multiline Retail - 0.84%
Gordmans Stores, Inc.*+		175,900		1,078,267
Oil, Gas & Consumable Fuels - 3.40%
Adams Resources & Energy, Inc.		4,900		218,540
Energy XXI, Ltd.+		472,600		1,242,938
Geopark Ltd*+		43,900		207,208
Green Brick Partners, Inc.*		60,400		661,380
Pacific Ethanol, Inc.*+		170,700		1,761,624
PrimeEnergy Corp.*		4,300		244,670
				4,336,360

Industry Company	Shares		Value
Personal Products - 0.28%
Synutra International, Inc.*+		50,000		$    357,500
Pharmaceuticals - 0.25%
Dipexium Pharmaceuticals, Inc.*		24,600		312,912
Professional Services - 1.69%
CRA International, Inc.*		48,300		1,346,121
VSE Corp.		15,200		813,352
				2,159,473
Real Estate Investment Trusts (REITs) - 0.94%
Armada Hoffler Properties, Inc.		90,000		899,100
Gyrodyne Special Distribution, LLCD		5,100		15,300
Sotherly Hotels, Inc.		40,800		288,456
				1,202,856
Road & Rail - 4.46%
Covenant Transportation Group, Inc., Class A*		74,700		1,871,982
P.A.M. Transportation Services, Inc.*		37,700		2,188,485
USA Truck, Inc.*		77,000		1,634,710
				5,695,177
Semiconductors & Semiconductor Equipment - 7.12%
Alpha & Omega Semiconductor, Ltd.*		50,000		437,000
ANADIGICS, Inc.*		207,300		151,329
AXT, Inc.*		98,000		246,960
Cascade Microtech, Inc.*		54,203		825,241
CyberOptics Corp.*		18,600		188,046
Mattson Technology, Inc.*		658,000		2,204,300
NeoPhotonics Corp.*+		270,200		2,466,926
Sigma Designs, Inc.*		216,000		2,576,880
				9,096,682
Software - 1.46%
Bsquare Corp.*		108,000		732,240
Envivio, Inc.*		80,000		152,000
Evolving Systems, Inc.		23,300		208,768
TeleCommunication Systems, Inc., Class A*		234,200		775,202
				1,868,210
Specialty Retail - 0.44%
Build-A-Bear Workshop, Inc.*		35,000		559,650

www.bridgeway.com 20

Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods - 1.87%
Lakeland Industries, Inc.*		16,700		$    191,048
Rocky Brands, Inc.		65,900		1,232,330
Superior Uniform Group, Inc.		58,100		960,974
				2,384,352
Thrifts & Mortgage Finance - 4.71%
BankFinancial Corp.		42,700		503,006
Charter Financial Corp.		101,000		1,253,410
Citizens Community Bancorp, Inc.		15,600		142,896
ESSA Bancorp, Inc.		12,400		159,464
Home Bancorp, Inc.+		35,000		883,400
Impac Mortgage Holdings, Inc.*+		65,000		1,244,100
Malvern Bancorp, Inc.*		11,200		166,208
Ocean Shore Holding Co.		19,600		290,766
Provident Financial Holdings, Inc.		12,100		202,554
Pulaski Financial Corp.		11,500		148,580
Riverview Bancorp, Inc.+		70,600		302,168
Security National Financial Corp., Class A*		19,600		131,908
Southern Missouri Bancorp, Inc.+		5,700		107,445
Territorial Bancorp, Inc.		19,700		477,922
				6,013,827
Trading Companies & Distributors - 0.49%
Lawson Products, Inc.*		26,900		631,612
TOTAL COMMON STOCKS - 99.10%				126,565,938
(Cost $109,557,468)
DIVIDEND NOTE - 0.01%
Gyrodyne Dividend Notes, 5%*D		5,100		8,007
TOTAL DIVIDEND NOTE - 0.01%				8,007
(Cost $ — )
Rate^	Shares		Value
MONEY MARKET FUND - 0.01%
Dreyfus Cash Management Fund 0.04%		19,779		19,779
TOTAL MONEY MARKET FUND - 0.01%				19,779
(Cost $19,779)

	Rate^		Shares		Value
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 8.85%
Dreyfus Cash Management Fund**		0.04%		11,304,787		$  11,304,787
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 8.85%						11,304,787
(Cost $11,304,787)
TOTAL INVESTMENTS - 107.97%						137,898,511
(Cost $120,882,034)
Liabilities in Excess of Other Assets - (7.97%)						(10,181,846	)
NET ASSETS - 100.00%						$127,716,665

* Non-income producing security.

** This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.

^ Rate disclosed as of June 30, 2015.

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 as of June 30, 2015. Total loaned securities had a value of $ 10,970,434 as of June 30, 2015.

ADR - American Depositary Receipt

PLC - Public Limited Company

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	126,550,638	$	—	$	15,300	$	126,565,938
Dividend Note		—		—		8,007		8,007
Money Market Fund		—		19,779		—		19,779
Investments Purchased with Cash Proceeds from Securities Lending		—		11,304,787		—		11,304,787
TOTAL	$	126,550,638	$	11,324,566	$	23,307	$	137,898,511

21 Annual Report  |  June 30, 2015

Ultra-Small Company Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

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		Dividend Note		Total
Balance as of 06/30/2014		$ 272,250		$      —		$ 272,250
Purchases		—		—		—
Sales		—		—		—
Realized gain/(loss)		—		—		—
Change in unrealized appreciation/ (depreciation)1		—		8,007		8,007
Transfers in		—		—		—
Transfers out2,3		(256,950)		—		(256,950)
Balance as of 06/30/2015		$   15,300		$8,007		$   23,307
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/2015		$           —		$8,007		$     8,007
1  Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statements of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments. 2  Transfers out 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 security transferred from level 3 to level 1. 3  Transfer took place as a result of the availability of a quoted price in active market. See Notes to Financial Statements.

www.bridgeway.com 22

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

June 30, 2015

Dear Fellow Ultra-Small Company Market Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 0.06%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+0.51%), our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+1.36%), the Russell Microcap Index (+2.80%) and the Russell 2000 Index (+0.42%). It was a poor quarter.

For the fiscal year, our Fund returned 3.72%, outperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+1.45%). However, the Fund trailed our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+4.73%), the Russell Microcap Index (+8.21%) and the Russell 2000 Index (+6.49%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

			Annualized
	Quarter	1 Year	5 Years	10 Years	15 Years	Since Inception (7/31/97)
Ultra-Small Company Market Fund	-0.06%	3.72%	17.71%	6.86%	11.45%	11.23%
CRSP Cap-Based Portfolio 10 Index	0.51%	1.45%	15.43%	9.19%	11.99%	11.55%
Russell 2000 Index	0.42%	6.49%	17.08%	8.40%	7.50%	7.77%
Russell Microcap Index	2.80%	8.21%	17.48%	7.07%	7.79%	N/A
Lipper Micro-Cap Stock Funds Index	1.36%	4.73%	16.39%	7.64%	6.44%	8.12%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 848 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 1,000^th and 3,000^th 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, 2015, Ultra-Small Company Market Fund ranked 46^th of 68 micro-cap funds for the 12 months ending June 30, 2015, 17^th of 53 over the last five years, 25^th of 36 over the last 10 years, and 3^rd of 17 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.

23 Annual Report  |  June 30, 2015

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 6/30/15

* 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

Our Fund lagged its primary benchmark, the CRSP Cap-Based Portfolio 10 Index, for the quarter. 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 company stocks. In order to keep the Fund’s turnover low, the Fund’s adviser does not sell a stock immediately when it outgrows the CRSP 10 (ultra-small) size threshold. While a majority of the Fund’s assets are ultra-small, holdings in slightly larger-cap stocks detracted from the Fund’s relative performance, as these holdings did not perform as well as the overall market for such market caps.

On a positive note, our sidestepping models, which seek to avoid up to ten percent of the universe of ultra-small stocks that may go bankrupt or plummet precipitously, performed favorably this quarter. Additionally, an underweighted position in the lagging Energy sector compared to our benchmark helped the Fund’s relative performance.

The table below presents index performance numbers of stocks in the different deciles for various time periods.

CRSP Decile1	Quarter		1 Year		5 Years		10 Years		89.5 Years
1 (ultra-large)		0.79%		7.21%		16.89%		7.66%		9.33%
2		-1.61%		7.54%		18.68%		9.45%		10.60%
3		-0.77%		8.75%		18.76%		9.49%		11.12%
4		0.09%		4.06%		18.90%		10.13%		11.00%
5		-0.38%		4.62%		18.71%		11.46%		11.65%
6		1.33%		3.47%		18.67%		9.45%		11.50%
7		0.92%		5.86%		18.84%		10.25%		11.64%
8		1.79%		5.13%		17.89%		10.40%		11.68%
9		0.95%		2.31%		16.85%		8.97%		11.59%
10 (ultra-small)		0.51%		1.45%		15.43%		9.19%		13.49%

¹  Performance figures are as of the period ended June 30, 2015. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of 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 24

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

Detailed Explanation of Fiscal Year Performance

Our Fund outperformed its primary benchmark, the CRSP Cap-Based Portfolio 10 Index, for the fiscal year. Our strategy of avoiding a relatively small percentage of stocks that can be very damaging in downturns, as well as our strategy of not immediately selling stocks that outgrow the CRSP 10 size of ultra-small stocks, added to our relative performance for the fiscal year. Additionally, the Fund benefited from an underweighted position in the Energy sector, one of the worst performing sectors. We are pleased with the Fund’s performance in line with Fund design.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Eagle Pharmaceuticals, Inc.	Biotechnology		0.6%
2	Utah Medical Products, Inc.	Health Care Equipment & Supplies		0.5%
3	Bassett Furniture Industries, Inc.	Household Durables		0.5%
4	Isle of Capri Casinos, Inc.	Hotels, Restaurants & Leisure		0.5%
5	Tucows, Inc., Class A	Internet Software & Services		0.5%
6	Nautilus, Inc.	Leisure Equipment & Products		0.5%
7	Retrophin, Inc.	Biotechnology		0.5%
8	HomeStreet, Inc.	Thrifts & Mortgage Finance		0.4%
9	Hurco Companies, Inc.	Machinery		0.4%
10	Lifeway Foods, Inc.	Food Products		0.4%
	Total			4.8%

Industry Sector Representation as of June 30, 2015

	% of Net Assets	% of CRSP 10 Index	Difference
Consumer Discretionary	13.1%	12.2%	0.9%
Consumer Staples	3.4%	2.8%	0.6%
Energy	7.3%	8.9%	-1.6%
Financials	20.8%	21.8%	-1.0%
Health Care	17.3%	17.3%	0.0%
Industrials	11.2%	11.6%	-0.4%
Information Technology	20.3%	19.8%	0.5%
Materials	3.4%	3.8%	-0.4%
Telecommunication Services	1.4%	0.9%	0.5%
Utilities	0.9%	0.9%	0.0%
Cash & Other Assets	0.9%	0.0%	0.9%
Total	100.0%	100.0%

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2015, 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.

25 Annual Report  |  June 30, 2015

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

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 26

Ultra-Small Company Market Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.09%
Aerospace & Defense - 0.98%
Air Industries Group+		1,500		$     15,225
Arotech Corp.*+		82,163		198,013
Breeze-Eastern Corp.*		4,000		46,000
CPI Aerostructures, Inc.*		31,479		315,105
Ducommun, Inc.*		25,300		649,451
Erickson, Inc.*		31,443		136,463
Innovative Solutions & Support, Inc.*		132,354		436,768
LMI Aerospace, Inc.*+		44,558		446,026
SIFCO Industries, Inc.		19,222		286,408
Sparton Corp.*		48,300		1,319,556
Sypris Solutions, Inc.		25,000		36,250
Tel-Instrument Electronics Corp.*+		15,000		73,500
				3,958,765
Air Freight & Logistics - 0.23%
Radiant Logistics, Inc.*		125,000		913,750
Auto Components - 1.03%
China XD Plastics Co., Ltd.*		91,000		548,730
Fuel Systems Solutions, Inc.*		18,000		134,640
Shiloh Industries, Inc.*+		53,350		690,882
SORL Auto Parts, Inc.*+		109,900		358,274
Spartan Motors, Inc.		169,800		777,684
Stoneridge, Inc.*		28,547		334,285
Strattec Security Corp.		19,100		1,312,170
				4,156,665
Beverages - 0.78%
Castle Brands, Inc.*		149,187		207,370
Craft Brew Alliance, Inc.*		92,200		1,019,732
MGP Ingredients, Inc.		75,862		1,275,999
Primo Water Corp.*		112,930		645,960
				3,149,061
Biotechnology - 7.87%
Achillion Pharmaceuticals, Inc.*		100,000		886,000
Actinium Pharmaceuticals, Inc.*		114,043		302,214
Akebia Therapeutics, Inc.*+		85,250		877,223
Applied Genetic Technologies Corp.*		655		10,048
Aquinox Pharmaceuticals, Inc.*+		15,000		104,100
Ardelyx, Inc.*+		30,000		479,100
Argos Therapeutics, Inc.*+		40,000		274,000
Arqule, Inc.*		191,493		306,389

Industry Company	Shares		Value
Biotechnology (continued)
Asterias Biotherapeutics, Inc.*+		13,125		$     60,375
AVEO Pharmaceuticals, Inc.*		180,000		313,200
BIND Therapeutics, Inc.*+		35,000		195,650
BioSpecifics Technologies Corp.*		22,314		1,151,402
Biota Pharmaceuticals, Inc.*		48,234		99,844
Cara Therapeutics, Inc.*		58,867		715,234
CareDx, Inc.*+		10,000		65,000
Celladon Corp.*+		55,900		70,434
Cerulean Pharma, Inc.*		86,200		396,520
ChemoCentryx, Inc.*+		50,000		411,500
Codexis, Inc.*		150,500		585,445
Conatus Pharmaceuticals, Inc.*+		65,000		334,750
Concert Pharmaceuticals, Inc.*+		43,500		647,715
CorMedix, Inc.*+		55,000		213,400
Curis, Inc.*		220,000		728,200
Dicerna Pharmaceuticals, Inc.*		45,000		627,750
Eagle Pharmaceuticals, Inc.*		31,968		2,584,932
Eleven Biotherapeutics, Inc.*+		50,000		141,000
Fate Therapeutics, Inc.*+		37,000		239,390
Five Prime Therapeutics, Inc.*		35,000		869,400
Flexion Therapeutics, Inc.*		30,000		656,700
Genocea Biosciences, Inc.*+		25,000		343,250
Geron Corp.*+		315,000		1,348,200
GlycoMimetics, Inc.*		60,264		479,099
Harvard Apparatus Regenerative Technology, Inc.*		20,000		28,600
Immunomedics, Inc.*+		222,900		904,974
IsoRay, Inc.*+		155,000		229,400
Loxo Oncology, Inc.*+		30,000		540,900
Medgenics, Inc.*		100,000		613,000
MediciNova, Inc.*+		63,792		251,978
Minerva Neurosciences, Inc.*		20,000		116,000
NanoViricides, Inc.*		137,163		237,292
Neuralstem, Inc.*+		133,983		259,927
Ocata Therapeutics, Inc.*+		71,282		375,656
Oncothyreon, Inc.*		424,988		1,589,455
OvaScience, Inc.*+		25,000		723,250
Pfenex, Inc.*+		2,000		38,800
PharmAthene, Inc.*+		188,826		339,887

27 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Biotechnology (continued)
Protalix BioTherapeutics, Inc.*		296,428		$      578,035
Proteon Therapeutics, Inc.*+		11,835		211,373
Regulus Therapeutics, Inc.*+		50,000		548,000
Repligen Corp.*		30,000		1,238,100
Retrophin, Inc.*		54,900		1,819,935
Rexahn Pharmaceuticals, Inc.*		180,000		109,386
Rigel Pharmaceuticals, Inc.*		150,000		481,500
Synergy Pharmaceuticals, Inc.*+		61,674		511,894
Synthetic Biologics, Inc.*		50,000		142,500
TetraLogic Pharmaceuticals Corp.*+		10,050		23,517
Tetraphase Pharmaceuticals, Inc.*		25,000		1,186,000
Tokai Pharmaceuticals, Inc.*+		10,000		133,000
Trevena, Inc.*		37,337		233,730
Vanda Pharmaceuticals, Inc.*+		59,300		752,517
Verastem, Inc.*+		75,000		565,500
Vical, Inc.*		200,000		140,000
Vitae Pharmaceuticals, Inc.*		10,100		145,440
XOMA Corp.*+		29,000		112,520
				31,699,530
Building Products - 0.11%
Alpha Pro Tech, Ltd.*		106,700		239,008
Ameresco, Inc., Class A*		24,548		187,792
				426,800
Capital Markets - 1.69%
Calamos Asset Management, Inc., Class A		53,500		655,375
FBR & Co.*		43,575		1,008,326
Institutional Financial Markets, Inc.		30,000		42,000
JMP Group LLC		96,851		755,438
KCAP Financial, Inc.+		93,900		561,522
Manning & Napier, Inc.		61,100		609,167
Medallion Financial Corp.+		86,711		724,037
OFS Capital Corp.+		39,700		476,400
Oppenheimer Holdings, Inc., Class A		31,550		829,134
Pzena Investment Management, Inc., Class A		52,800		583,440

Industry Company	Shares		Value
Capital Markets (continued)
Silvercrest Asset Management Group LLC, Class A+		39,258		$     551,967
				6,796,806
Chemicals - 1.66%
BioAmber, Inc.*+		11,480		98,728
Chase Corp.		27,800		1,105,050
Core Molding Technologies, Inc.*		45,100		1,030,084
Flexible Solutions International, Inc.*		1,200		2,460
Gulf Resources, Inc.*		212,900		439,638
KMG Chemicals, Inc.		40,100		1,020,144
Landec Corp.*		69,200		998,556
Marrone Bio Innovations, Inc.*		80,600		159,588
Northern Technologies International Corp.*		13,950		224,595
OMNOVA Solutions, Inc.*		66,000		494,340
Trecora Resources*		74,649		1,127,200
				6,700,383
Commercial Banks - 10.55%
1st Constitution Bancorp*+		12,127		139,339
Access National Corp.		33,500		651,240
American National Bankshares, Inc.		22,100		526,201
American River Bankshares*		56,000		521,920
AmeriServ Financial, Inc.		155,671		518,384
Anchor Bancorp, Inc.*+		10,000		224,900
Bank of Commerce Holdings		87,441		501,037
Bar Harbor Bankshares		18,000		637,740
BB&T Corp.		16,302		657,134
BCB Bancorp, Inc.		23,500		287,170
C&F Financial Corp.		6,300		233,415
Camden National Corp.		11,800		456,660
Capital City Bank Group, Inc.		50,390		769,455
Carolina Bank Holdings, Inc.*		27,000		327,105
Century Bancorp, Inc., Class A		23,272		946,240
Citizens Holding Co.+		20,670		429,523
CNB Financial Corp.		42,200		776,480
Codorus Valley Bancorp, Inc.		13,230		267,643
Colony Bankcorp, Inc.*		16,668		150,012

www.bridgeway.com 28

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Community West Bancshares		19,266		$     127,156
Eastern Virginia Bankshares, Inc.		48,536		306,262
Enterprise Bancorp, Inc.		9,502		222,727
Evans Bancorp, Inc.		16,701		404,999
Farmers Capital Bank Corp.*		57,149		1,624,746
Fidelity Southern Corp.		36,074		629,131
Financial Institutions, Inc.		31,900		792,396
First Bancorp		33,200		553,776
First Bancorp, Inc.		33,300		647,352
First Bancshares, Inc.+		12,794		213,020
First Business Financial Services, Inc.		18,354		860,436
First Community Bancshares, Inc.		15,000		273,300
First South Bancorp, Inc.+		33,322		263,244
First United Corp.*		9,200		79,672
First West Virginia Bancorp+		8,100		178,767
German American Bancorp, Inc.		17,500		515,375
Guaranty Bancorp		61,440		1,014,374
Heritage Commerce Corp.		74,300		714,023
Horizon Bancorp		23,500		586,560
Independent Bank Corp., MI		70,000		949,200
Landmark Bancorp, Inc.		11,035		267,709
LNB Bancorp, Inc.		36,700		678,950
Macatawa Bank Corp.+		51,500		272,950
MBT Financial Corp.*		57,485		329,964
Mercantile Bank Corp.		29,892		639,988
Merchants Bancshares, Inc.		28,700		949,109
Metro Bancorp, Inc.		40,600		1,061,284
MidSouth Bancorp, Inc.		35,900		547,834
MidWestOne Financial Group, Inc.		31,300		1,030,396
MutualFirst Financial, Inc.+		9,849		228,792
NewBridge Bancorp		86,806		775,178
Northeast Bancorp		35,000		348,250
Northrim BanCorp, Inc.		34,700		889,361
Ohio Valley Banc Corp.		19,500		441,285
Old Second Bancorp, Inc.*		95,000		627,000
Pacific Continental Corp.		53,611		725,357
Pacific Mercantile Bancorp*		48,521		368,274
Pacific Premier Bancorp, Inc.*		23,500		398,560
Park Sterling Corp.		120,700		869,040
Peapack Gladstone Financial Corp.		39,777		883,845
Penns Woods Bancorp, Inc.		16,400		723,076
Peoples Bancorp of North Carolina, Inc.		34,901		640,084

Industry Company	Shares		Value
Commercial Banks (continued)
Preferred Bank		33,680		$  1,012,084
Premier Financial Bancorp, Inc.		43,837		677,282
QCR Holdings, Inc.		33,900		737,664
Republic First Bancorp, Inc.*+		23,000		79,810
Royal Bancshares of Pennsylvania, Inc., Class A*		78,195		156,390
SB Financial Group, Inc.+		9,641		102,098
Select Bancorp, Inc.*		10,076		71,540
Shore Bancshares, Inc.*		25,000		235,750
Sierra Bancorp		42,900		742,599
Southcoast Financial Corp.*+		49,500		399,960
Southern First Bancshares, Inc.*+		32,215		576,648
Southern National Bancorp of Virginia, Inc.+		70,892		785,483
Southwest Bancorp, Inc.		73,100		1,360,391
Suffolk Bancorp		37,000		949,420
West Bancorporation, Inc.		48,200		956,288
Yadkin Financial Corp.*		1		21
				42,517,828
Commercial Services & Supplies - 0.96%
Acme United Corp.		3,000		54,300
AMREP Corp.*+		17,000		86,700
Casella Waste Systems, Inc., Class A*		167,656		940,550
Cenveo, Inc.*+		282,098		598,048
CompX International, Inc.		3,200		36,480
Ecology & Environment, Inc., Class A		3,000		31,260
Fuel Tech, Inc.*		69,400		151,986
Heritage-Crystal Clean, Inc.*		23,000		338,100
Intersections, Inc.*+		85,300		261,871
Performant Financial Corp.*		81,000		262,440
TRC Cos., Inc.*		94,275		956,891
Versar, Inc.*		33,000		130,020
				3,848,646
Communications Equipment - 2.42%
Alliance Fiber Optic Products, Inc.+		45,000		834,750
Applied Optoelectronics, Inc.*+		30,000		520,800
Aviat Networks, Inc.*		350,239		441,301
Bel Fuse, Inc., Class B		44,700		917,244
Clearfield, Inc.*+		48,300		768,453
Communications Systems, Inc.		36,000		378,360

29 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares			Value
Common Stocks (continued)
Communications Equipment (continued)
Digi International, Inc.*		70,000			$     668,500
EMCORE Corp.*		118,580			713,852
KVH Industries, Inc.*		60,410			812,514
Numerex Corp., Class A*+		70,408			601,284
Oclaro, Inc.*		66,103			149,393
PC-Tel, Inc.		87,800			630,404
RELM Wireless Corp.*		78,900			388,977
ShoreTel, Inc.*		137,000			928,860
Tessco Technologies, Inc.		39,500			782,495
Westell Technologies, Inc., Class A*		195,000			193,050
					9,730,237
Computers & Peripherals - 1.73%
Astro-Med, Inc.		32,800			469,368
Concurrent Computer Corp.		55,600			344,720
Datalink Corp.*		57,700			515,838
Dot Hill Systems Corp.*		269,400			1,648,728
Hutchinson Technology, Inc.*		131,350			224,608
Imation Corp.*+		195,100			792,106
Immersion Corp.*		62,900			796,943
Intevac, Inc.*		42,933			251,158
Novatel Wireless, Inc.*+		78,800			256,100
Quantum Corp.*		350,100			588,168
Qumu Corp.*		36,400			299,936
Transact Technologies, Inc.		70,000			467,600
USA Technologies, Inc.*+		111,400			300,780
					6,956,053
Construction & Engineering - 1.05%
Furmanite Corp.*		125,500			1,019,060
Goldfield Corp. (The)*		63,480			105,377
Integrated Electrical Services, Inc.*		109,312			776,115
Layne Christensen Co.*+		6,430			57,548
Northwest Pipe Co.*		41,500			845,355
Orion Marine Group, Inc.*		119,044			859,498
Sterling Construction Co., Inc.*+		81,712			326,848
Willdan Group, Inc.*		20,000	��		223,600
					4,213,401
Construction Materials - 0.26%
United States Lime & Minerals, Inc.		17,663			1,026,574
Consumer Finance - 0.74%
Asta Funding, Inc.*		122,300			1,024,874
Atlanticus Holdings Corp.*		58,961			208,132

Industry Company	Shares		Value
Consumer Finance (continued)
Consumer Portfolio Services, Inc.*		110,000		$     687,500
QC Holdings, Inc.		56,600		105,842
Regional Management Corp.*		52,600		939,436
				2,965,784
Containers & Packaging - 0.15%
AEP Industries, Inc.*		10,900		601,680
Distributors - 0.32%
AMCON Distributing Co.		2,300		178,963
VOXX International Corp.*		94,001		778,328
Weyco Group, Inc.		10,883		324,531
				1,281,822
Diversified Consumer Services - 0.53%
Cambium Learning Group, Inc.*		37,250		159,058
Career Education Corp.*		92,550		305,415
Collectors Universe, Inc.		26,360		525,618
Learning Tree International, Inc.*		25,400		32,766
Lincoln Educational Services Corp.		78,400		158,368
National American University Holdings, Inc.+		70,988		206,575
Universal Technical Institute, Inc.		88,400		760,240
				2,148,040
Diversified Financial Services - 0.83%
California First National Bancorp		54,257		731,927
Gain Capital Holdings, Inc.		94,400		902,464
JG Wentworth Co.*+		17,652		162,398
Marlin Business Services Corp.		49,500		835,560
Resource America, Inc., Class A		83,600		703,076
				3,335,425
Diversified Telecommunication Services - 1.01%
Alaska Communications
Systems Group, Inc.*		243,000		583,200
Hawaiian Telcom Holdco, Inc.*		24,686		644,305
IDT Corp., Class B		50,567		914,251
Lumos Networks Corp.		35,000		517,650

www.bridgeway.com 30

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Diversified Telecommunication Services (continued)
Straight Path Communications, Inc., Class B*+		42,470		$1,392,591
				4,051,997
Electrical Equipment - 1.60%
Allied Motion Technologies, Inc.		53,650		1,204,979
Espey Manufacturing & Electronics Corp.		10,700		278,200
Global Power Equipment Group, Inc.		67,272		522,031
Highpower International, Inc.*+		50,000		191,500
LSI Industries, Inc.		84,000		784,560
Magnetek, Inc.*		13,000		447,330
Orion Energy Systems, Inc.*		35,000		87,850
PowerSecure International, Inc.*		88,500		1,306,260
Preformed Line Products Co.		8,489		320,205
SL Industries, Inc.*		20,250		781,852
Ultralife Corp.*		112,400		470,956
Vicor Corp.*		3,600		43,884
				6,439,607
Electronic Equipment, Instruments & Components - 2.90%
Agilysys, Inc.*		82,700		759,186
Echelon Corp.*		95,062		76,050
Electro Rent Corp.		33,100		359,466
Electro Scientific Industries, Inc.		38,500		202,895
Frequency Electronics, Inc.*		41,000		462,480
ID Systems, Inc.*+		83,000		506,300
IEC Electronics Corp.*+		73,450		330,525
Iteris, Inc.*		272,520		482,360
Kemet Corp.*		130,858		376,871
Key Tronic Corp.*		37,200		404,364
LoJack Corp.*		77,150		266,168
Maxwell Technologies, Inc.*+		61,500		367,155
Mesa Laboratories, Inc.+		9,830		873,887
MOCON, Inc.		12,800		204,160
Multi-Fineline Electronix, Inc.*		55,300		1,208,858
NAPCO Security Technologies, Inc.*		51,576		295,530
PAR Technology Corp.*		104,750		514,322
PCM, Inc.*		74,200		744,226
Perceptron, Inc.*		23,000		242,880
Planar Systems, Inc.*		75,000		327,000
Radisys Corp.*		195,300		499,968

Industry Company	Shares		Value
Electronic Equipment, Instruments & Components (continued)
RF Industries, Ltd.+		35,000		$     148,750
Richardson Electronics, Ltd.		52,011		420,249
SMTC Corp.*		149,000		247,340
Vicon Industries, Inc.		29,900		39,767
Vishay Precision Group, Inc.*		71,900		1,082,814
Wayside Technology Group, Inc.		12,198		241,764
				11,685,335
Energy Equipment & Services - 2.44%
Dawson Geophysical Co.*		150,139		705,653
Enservco Corp.*+		241,298		361,947
Forbes Energy Services, Ltd.*		152,000		209,760
Geospace Technologies Corp.*		46,663		1,075,582
GreenHunter Resources, Inc.*+		199,000		137,111
Gulf Island Fabrication, Inc.		117,800		1,315,826
Key Energy Services, Inc.*		557,200		1,002,960
Mitcham Industries, Inc.*		173,400		726,546
Natural Gas Services Group, Inc.*		68,600		1,565,452
Nuverra Environmental Solutions, Inc.*+		195,000		1,222,650
SAExploration Holdings, Inc.*+		10,815		36,230
Seventy Seven Energy, Inc.*		200,000		858,000
Superior Drilling Products, Inc.*+		22,187		61,236
Willbros Group, Inc.*		425,000		544,000
				9,822,953
Food & Staples Retailing - 0.32%
Ingles Markets, Inc., Class A		10,000		477,700
Roundy’s, Inc.*+		246,478		798,589
				1,276,289
Food Products - 1.52%
Griffin Industrial Realty, Inc.		13,300		426,132
Inventure Foods, Inc.*		44,000		446,600
John B. Sanfilippo & Son, Inc.		25,900		1,344,210
Liberator Medical Holdings, Inc.		233,200		529,364
Lifeway Foods, Inc.*+		90,152		1,730,017
Omega Protein Corp.*		69,800		959,750

31 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Food Products (continued)
Seneca Foods Corp., Class A*		25,000		$    694,250
				6,130,323
Gas Utilities - 0.25%
Delta Natural Gas Co., Inc.		20,000		402,000
Gas Natural, Inc.		58,000		597,400
				999,400
Health Care Equipment & Supplies - 2.77%
AdCare Health Systems, Inc.+		25,000		86,500
Alphatec Holdings, Inc.*		614,731		848,329
CryoLife, Inc.		107,270		1,210,006
Cutera, Inc.*		60,200		931,896
Digirad Corp.		100,000		434,000
ERBA Diagnostics, Inc.*+		19,096		41,820
Hansen Medical, Inc.*		170,000		155,550
Kewaunee Scientific Corp.		14,000		230,160
LeMaitre Vascular, Inc.		50,000		603,000
Navidea Biopharmaceuticals, Inc.*+		548,580		883,214
PhotoMedex, Inc.*		94,000		127,840
Retractable Technologies, Inc.*		29,000		110,200
Roka Bioscience, Inc.*		30,000		78,000
RTI Surgical, Inc.*		148,600		959,956
SurModics, Inc.*		7,400		173,308
TransEnterix, Inc.*+		214,942		644,826
TriVascular Technologies, Inc.*+		67,200		359,520
Unilife Corp.*+		318,836		685,497
Utah Medical Products, Inc.		35,900		2,140,717
Veracyte, Inc.*+		41,000		456,740
				11,161,079
Health Care Providers & Services - 2.00%
Addus HomeCare Corp.*		48,600		1,353,996
Alliance HealthCare Services, Inc.*		40,900		764,421
Almost Family, Inc.*		24,400		973,804
BioTelemetry, Inc.*		137,700		1,298,511
Cross Country Healthcare, Inc.*		71,000		900,280
Five Star Quality Care, Inc.*		228,800		1,098,240
Genesis Healthcare, Inc.*		71,350		470,910
InfuSystems Holdings, Inc.*		100,000		319,000
PDI, Inc.*		25,000		35,750
RadNet, Inc.*		89,800		600,762
Trupanion, Inc.*+		30,000		247,200
				8,062,874

Industry Company	Shares		Value
Health Care Technology - 0.41%
Merge Healthcare, Inc.*		150,000		$    720,000
Vocera Communications, Inc.*		82,000		938,900
				1,658,900
Hotels, Restaurants & Leisure - 3.25%
Ark Restaurants Corp.		9,900		247,797
Bravo Brio Restaurant Group, Inc.*		64,429		873,013
Carrols Restaurant Group, Inc.*		94,100		978,640
Dover Downs Gaming & Entertainment, Inc.*		92,580		86,099
Empire Resorts, Inc.*+		50,000		254,500
Famous Dave’s of America, Inc.*+		45,200		906,260
Frisch’s Restaurants, Inc.		26,100		876,177
Gaming Partners International Corp.*		56,300		569,193
Ignite Restaurant Group, Inc.*+		81,300		399,996
Isle of Capri Casinos, Inc.*		114,000		2,069,100
Jamba, Inc.*+		30,662		474,954
Kona Grill, Inc.*		67,500		1,310,175
Lakes Entertainment, Inc.*		42,300		384,084
Luby’s, Inc.*		135,600		657,660
Monarch Casino & Resort, Inc.*		34,485		709,012
Morgans Hotel Group Co.*		84,300		568,182
Nathan’s Famous, Inc.		12,000		444,720
Nevada Gold & Casinos, Inc.*		120,000		198,000
Papa Murphy’s Holdings, Inc.*+		15,000		310,800
Red Lion Hotels Corp.*		74,900		573,734
Town Sports International Holdings, Inc.*		70,864		205,506
				13,097,602
Household Durables - 2.13%
Bassett Furniture Industries, Inc.		74,200		2,108,022
Blyth, Inc.*		15,200		96,520
CSS Industries, Inc.		32,700		989,175
Dixie Group, Inc. (The)*		30,000		315,000
Emerson Radio Corp.		198,100		229,796
Flexsteel Industries, Inc.		27,050		1,165,584
Hooker Furniture Corp.		53,300		1,338,363
Lifetime Brands, Inc.		65,000		960,050
P&F Industries, Inc., Class A*+		10,500		89,670

www.bridgeway.com 32

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Household Durables (continued)
Skullcandy, Inc.*		25,850		$  198,270
Stanley Furniture Co., Inc.*		67,783		201,316
Turtle Beach Corp.*		47,300		107,844
ZAGG, Inc.*		100,000		792,000
				8,591,610
Household Products - 0.28%
Oil-Dri Corp. of America		20,800		631,904
Orchids Paper Products Co.		20,000		481,400
				1,113,304
Independent Power Producers & Energy Traders - 0.13%
Genie Energy, Ltd., Class B		48,667		509,543
Synthesis Energy Systems, Inc.*		11,464		16,394
				525,937
Insurance - 1.07%
American Independence Corp.*+		7,500		70,650
Atlantic American Corp.		14,056		50,883
Federated National Holding Co.		38,000		919,600
First Acceptance Corp.*		266,700		853,440
Hallmark Financial Services, Inc.*		80,400		914,952
Health Insurance Innovations, Inc., Class A*+		14,116		70,157
Independence Holding Co.		69,190		912,616
Investors Title Co.		3,500		248,115
Phoenix Cos., Inc. (The)*+		14,200		259,008
				4,299,421
Internet & Catalog Retail - 0.59%
1-800-Flowers.com, Inc., Class A*		60,000		627,600
CafePress, Inc.*+		87,588		394,146
EVINE Live, Inc.*		121,286		326,259
Gaiam, Inc., Class A*+		45,300		296,262
Geeknet, Inc.*		1,870		37,288
PetMed Express, Inc.+		19,647		339,304
US Auto Parts Network, Inc.*		164,751		362,452
				2,383,311
Internet Software & Services - 3.96%
Aerohive Networks, Inc.*+		98,500		687,530
Amber Road, Inc.*+		40,000		280,800
Brightcove, Inc.*		39,387		270,195
Carbonite, Inc.*		58,060		685,689

Industry Company	Shares		Value
Internet Software & Services (continued)
Care.com, Inc.*+		25,831		$  152,920
Demand Media, Inc.*		54,500		346,620
Five9, Inc.*		98,500		515,155
Limelight Networks, Inc.*		359,837		1,417,758
Liquidity Services, Inc.*		52,000		500,760
Marchex, Inc., Class B		109,000		539,550
Millennial Media, Inc.*+		276,200		447,444
QuinStreet, Inc.*		111,547		719,478
RealNetworks, Inc.*+		123,600		668,676
Reis, Inc.		42,100		933,778
Rightside Group Ltd*+		37,056		250,869
Spark Networks, Inc.*+		64,800		198,936
Support.com, Inc.*		189,545		267,258
Synacor, Inc.*		50,000		80,500
TechTarget, Inc.*		145,900		1,302,887
TheStreet, Inc.		136,900		247,789
Travelzoo, Inc.*		32,500		366,600
Tremor Video, Inc.*+		121,400		353,274
Tucows, Inc., Class A*		71,150		1,981,528
United Online, Inc.*		46,900		734,923
XO Group, Inc.*		54,813		896,193
YuMe, Inc.*+		26,900		145,798
Zix Corp.*		187,582		969,799
				15,962,707
IT Services - 2.41%
CIBER, Inc.*		215,000		741,750
Computer Task Group, Inc.		64,830		500,488
CSP, Inc.+		38,700		268,772
Edgewater Technology, Inc.*		52,912		386,258
Hackett Group, Inc. (The)		119,928		1,610,633
Higher One Holdings, Inc.*		133,528		399,249
Information Services Group, Inc.		196,600		939,748
Innodata, Inc.*		148,955		391,752
Lionbridge Technologies, Inc.*		193,995		1,196,949
Mattersight Corp.*		77,877		459,474
ModusLink Global Solutions, Inc.*		93,455		317,747
NCI, Inc., Class A		38,430		396,982
PRGX Global, Inc.*		94,300		413,977
ServiceSource International, Inc.*		215,000		1,176,050
StarTek, Inc.*		65,000		383,500
WidePoint Corp.*		70,447		117,646
				9,700,975
Leisure Equipment & Products - 1.03%
Escalade, Inc.		39,780		731,554

33 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Leisure Equipment & Products (continued)
JAKKS Pacific, Inc.*+		61,000		$    603,290
Johnson Outdoors, Inc., Class A		37,400		880,770
Marine Products Corp.		2,400		14,976
Nautilus, Inc.*		89,986		1,935,599
				4,166,189
Life Sciences Tools & Services - 0.88%
Enzo Biochem, Inc.*		235,800		714,474
Harvard Bioscience, Inc.*		167,017		951,997
NanoString Technologies, Inc.*		63,700		982,254
pSivida Corp.*+		168,000		633,360
Sequenom, Inc.*+		90,000		273,600
				3,555,685
Machinery - 3.34%
Accuride Corp.*		159,312		613,351
Ampco-Pittsburgh Corp.		57,999		876,945
Chicago Rivet & Machine Co.		10,000		280,000
Commercial Vehicle Group, Inc.*		160,000		1,153,600
Dynamic Materials Corp.		42,500		467,500
Eastern Co. (The)		33,600		622,272
Energy Recovery, Inc.*+		66,700		182,758
FreightCar America, Inc.		24,675		515,214
Gencor Industries, Inc.*		23,500		227,245
Global Brass & Copper Holdings, Inc.		50,000		850,500
Graham Corp.		35,900		735,591
Hardinge, Inc.		53,300		525,005
Hurco Companies, Inc.		51,334		1,777,183
Intelligent Systems Corp.*		35,362		105,025
Key Technology, Inc.*		23,900		315,480
L.S. Starrett Co., Class A (The)		26,136		392,040
MFRI, Inc.*		10,000		60,500
Miller Industries, Inc.		49,800		993,510
PMFG, Inc.*		41,600		267,488
Supreme Industries, Inc., Class A		58,993		505,570
Tecumseh Products Co.*		58,090		143,482
Twin Disc, Inc.		39,600		738,144
Xerium Technologies, Inc.*		59,550		1,083,810
				13,432,213
Marine - 0.07%
International Shipholding Corp.+		45,843		292,478

Industry Company	Shares		Value
Media - 1.39%
A.H. Belo Corp., Class A+		46,400		$   259,840
Ballantyne Strong, Inc.*		45,500		213,395
Beasley Broadcast Group, Inc., Class A		17,000		78,710
Emmis Communications Corp., Class A*		236,500		236,500
Entercom Communications Corp., Class A*		80,000		913,600
Entravision Communications Corp., Class A		108,800		895,424
Lee Enterprises, Inc.*+		246,860		822,044
Martha Stewart Living Omnimedia, Inc., Class A*		90,200		562,848
McClatchy Co. (The), Class A*		308,650		333,342
ReachLocal, Inc.*		43,900		138,285
Saga Communications, Inc., Class A		13,005		492,239
Salem Media Group, Inc.		59,500		376,635
Sizmek, Inc.*		40,210		285,491
				5,608,353
Metals & Mining - 1.30%
A.M. Castle & Co.*		37,601		231,998
Comstock Mining, Inc.*		155,376		90,895
Energy Fuels, Inc.*+		131,274		584,169
Friedman Industries, Inc.		68,300		426,875
Gold Resource Corp.		233,600		644,736
Noranda Aluminum Holding Corp.		211,650		179,902
Olympic Steel, Inc.		69,300		1,208,592
Ryerson Holding Corp.*+		25,000		227,500
Synalloy Corp.		35,400		484,980
United States Antimony Corp.*		269,221		183,070
Universal Stainless & Alloy Products, Inc.*		49,928		981,085
				5,243,802
Multiline Retail - 0.17%
Bon-Ton Stores, Inc. (The)+		45,439		209,928
Gordmans Stores, Inc.*		80,000		490,400
				700,328
Oil, Gas & Consumable Fuels - 4.84%
Adams Resources & Energy, Inc.		22,300		994,580
Aemetis, Inc.*+		153,239		551,660
Amyris, Inc.*+		270,000		526,500
Approach Resources, Inc.*+		151,500		1,037,775

www.bridgeway.com 34

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Oil, Gas & Consumable Fuels (continued)
Arch Coal, Inc.*		118,488		$      40,286
Aspen Aerogels, Inc.*		124,172		822,019
Callon Petroleum Co.*		182,800		1,520,896
Comstock Resources, Inc.+		157,175		523,393
Dakota Plains Holdings, Inc.*		298,900		355,691
Earthstone Energy, Inc.*		8,000		156,240
Emerald Oil, Inc.*+		13,475		57,269
Escalera Resources Co.*		97,100		26,722
Evolution Petroleum Corp.+		135,123		890,461
FieldPoint Petroleum Corp.*		30,000		33,900
FX Energy, Inc.*+		534,001		469,974
Gastar Exploration, Inc.*		145,200		448,668
Goodrich Petroleum Corp.*+		230,000		427,800
Harvest Natural Resources, Inc.*+		369,500		646,625
Independence Contract Drilling, Inc.*+		115,000		1,020,050
Jones Energy, Inc., Class A*+		81,742		739,765
Midstates Petroleum Co., Inc.*+		200,000		186,000
Miller Energy Resources, Inc.*+		261,418		95,418
Panhandle Oil & Gas, Inc., Class A		23,594		488,160
Penn Virginia Corp.*+		91,000		398,580
PetroQuest Energy, Inc.*		593,300		1,174,734
PostRock Energy Corp.*+		4,360		11,990
Resolute Energy Corp.*		219,300		211,953
REX American Resources Corp.*		20,249		1,288,646
Rex Energy Corp.*+		225,000		1,257,750
Ring Energy, Inc.*+		95,353		1,067,000
Swift Energy Co.*+		288,400		585,452
VAALCO Energy, Inc.*		400,000		856,000
Warren Resources, Inc.*		698,600		321,356
Yuma Energy, Inc.*		144,800		73,848
Zion Oil & Gas, Inc.*		101,200		193,292
				19,500,453
Paper & Forest Products - 0.08%
Orient Paper, Inc.*		87,811		141,376
Verso Corp.*		251,926		166,271
				307,647
Personal Products - 0.54%
CCA Industries, Inc.*+		15,752		49,619
IGI Laboratories, Inc.*+		88,211		555,729
Mannatech, Inc.*		13,600		243,440

Industry Company	Shares		Value
Personal Products (continued)
Natural Alternatives International, Inc.*		19,910		$    112,790
Nutraceutical International Corp.*		37,000		915,380
Synutra International, Inc.*+		13,100		93,665
United-Guardian, Inc.		10,000		191,000
				2,161,623
Pharmaceuticals - 3.33%
AcelRx Pharmaceuticals, Inc.*+		98,000		415,520
Achaogen, Inc.*+		88,029		530,815
Agile Therapeutics, Inc.*+		48,966		420,618
Alimera Sciences, Inc.*+		121,600		560,576
Ampio Pharmaceuticals, Inc.*+		100,750		238,778
Cempra, Inc.*		17,500		601,300
Corium International, Inc.*		30,000		410,700
Cumberland Pharmaceuticals, Inc.*		67,500		482,625
Durect Corp.*		283,600		677,804
Egalet Corp.*+		74,700		1,077,921
Endocyte, Inc.*+		155,000		804,450
Marinus Pharmaceuticals, Inc.*+		30,000		348,000
Ocera Therapeutics, Inc.*		59,800		227,240
Omeros Corp.*+		16,095		289,549
Pain Therapeutics, Inc.*		213,953		370,139
Pernix Therapeutics Holdings, Inc.*+		26,056		154,252
Pozen, Inc.*+		93,200		960,892
Sciclone Pharmaceuticals, Inc.*		161,750		1,588,385
Sucampo Pharmaceuticals, Inc., Class A*		40,000		657,200
Tonix Pharmaceuticals Holding Corp.*+		64,401		577,677
VIVUS, Inc.*+		155,000		365,800
XenoPort, Inc.*		135,600		831,228
Zogenix, Inc.*		486,630		817,538
				13,409,007
Professional Services - 1.58%
CDI Corp.		27,000		351,000
CRA International, Inc.*		54,500		1,518,915
CTPartners Executive Search, Inc.*D		27,400		2,740
Franklin Covey Co.*		33,334		676,347
Heidrick & Struggles International, Inc.		50,000		1,304,000
Hill International, Inc.*		131,971		694,167

35 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Professional Services (continued)
Hudson Global, Inc.*		89,346		$    204,602
Mastech Holdings, Inc.*		6,250		55,688
RCM Technologies, Inc.		32,700		185,082
Volt Information Sciences, Inc.*		31,676		307,574
VSE Corp.		20,200		1,080,902
				6,381,017
Real Estate Management & Development - 0.67%
AV Homes, Inc.*		54,600		784,602
Consolidated-Tomoka Land Co.		21,249		1,224,792
Maui Land & Pineapple Co., Inc.*+		30,000		170,400
Stratus Properties, Inc.*		37,150		531,988
				2,711,782
Road & Rail - 0.47%
Covenant Transportation Group, Inc., Class A*		30,700		769,342
Providence & Worcester Railroad Co.		5,000		86,700
Quality Distribution, Inc.*		20,000		309,200
USA Truck, Inc.*		35,000		743,050
				1,908,292
Semiconductors & Semiconductor Equipment - 3.76%
Amtech Systems, Inc.*		57,500		597,425
Axcelis Technologies, Inc.*		225,000		666,000
Cascade Microtech, Inc.*		69,700		1,061,182
CEVA, Inc.*		29,000		563,470
Cohu, Inc.		81,850		1,082,876
CyberOptics Corp.*		26,400		266,904
DSP Group, Inc.*		131,300		1,356,329
GigOptix, Inc.*		100,000		170,000
GSI Technology, Inc.*		161,417		840,983
Integrated Silicon Solution, Inc.		22,641		501,272
Intermolecular, Inc.*		140,000		275,800
inTEST Corp.*+		49,500		215,820
Kopin Corp.*		90,000		310,500
Mattson Technology, Inc.*		191,300		640,855
MaxLinear, Inc., Class A*		93,700		1,133,770
NeoPhotonics Corp.*+		125,000		1,141,250
Pericom Semiconductor Corp.		75,000		986,250
Pixelworks, Inc.*+		122,500		720,300
Rudolph Technologies, Inc.*		35,929		431,507
Sigma Designs, Inc.*		122,313		1,459,194
Ultra Clean Holdings, Inc.*		118,377		737,489
				15,159,176

Industry Company	Shares		Value
Software - 3.08%
American Software, Inc., Class A		72,400		$    687,800
Bsquare Corp.*		79,500		539,010
Callidus Software, Inc.*		63,100		983,098
Cinedigm Corp., Class A*		354,897		250,167
Covisint Corp.*+		90,600		296,262
Cyan, Inc.*		60,100		314,924
Digimarc Corp.*+		23,100		1,042,734
Envivio, Inc.*		90,626		172,189
Exa Corp.*		54,000		602,100
FalconStor Software, Inc.*		135,000		214,650
Globalscape, Inc.		81,700		268,793
Glu Mobile, Inc.*		150,000		931,500
GSE Systems, Inc.*		109,525		169,764
Guidance Software, Inc.*+		102,857		871,199
Model N, Inc.*		50,252		598,501
QAD, Inc., Class A+		33,000		872,190
QAD, Inc., Class B+		8,250		177,952
Rally Software Development Corp.*		20,000		389,000
Rosetta Stone, Inc.*+		73,600		587,328
Seachange International, Inc.*		55,500		389,055
Smith Micro Software, Inc.*		75,400		86,710
TeleCommunication Systems, Inc., Class A*		180,834		598,561
Telenav, Inc.*		153,000		1,231,650
Upland Software, Inc.*+		15,000		138,300
				12,413,437
Specialty Retail - 1.67%
Aeropostale, Inc.*+		158,600		256,932
America’s Car-Mart, Inc.*		963		47,495
bebe stores, inc.		100,000		200,000
Big 5 Sporting Goods Corp.		49,200		699,132
Books-A-Million, Inc.*		40,000		114,400
Build-A-Bear Workshop, Inc.*		29,500		471,705
Christopher & Banks Corp.*		33,300		133,533
Destination Maternity Corp.		31,000		361,460
Destination XL Group, Inc.*		174,100		872,241
hhgregg, Inc.*+		111,700		373,078
Kirkland’s, Inc.		19,500		543,465
New York & Co., Inc.*		142,100		380,828
Pacific Sunwear of California, Inc.*+		238,549		271,946
Sportsman’s Warehouse Holdings, Inc.*		55,000		625,350
Tandy Leather Factory, Inc.*+		10,000		86,000
Tilly’s, Inc., Class A*		55,000		531,850

www.bridgeway.com 36

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Specialty Retail (continued)
Trans World Entertainment Corp.*		98,403		$  360,155
West Marine, Inc.*		42,200		406,808
				6,736,378
Textiles, Apparel & Luxury Goods - 0.95%
Charles & Colvard, Ltd.*		50,521		76,287
Cherokee, Inc.		1,100		30,998
Culp, Inc.		36,016		1,116,496
Delta Apparel, Inc.*+		29,988		428,828
Ever-Glory International Group, Inc.*		10,000		51,000
Lakeland Industries, Inc.*+		13,300		152,152
Perry Ellis International, Inc.*		35,000		831,950
Rocky Brands, Inc.		52,200		976,140
Superior Uniform Group, Inc.		10,000		165,400
				3,829,251
Thrifts & Mortgage Finance - 5.25%
Alliance Bancorp, Inc. of Pennsylvania		22,000		501,380
ASB Bancorp, Inc.*+		21,000		454,860
Bank Mutual Corp.		129,000		989,430
BankFinancial Corp.		76,279		898,567
Cape Bancorp, Inc.		42,102		398,285
Chicopee Bancorp, Inc.		26,500		436,985
Citizens Community Bancorp, Inc.		20,000		183,200
Eagle Bancorp Montana, Inc.		6,289		67,795
ESSA Bancorp, Inc.		37,400		480,964
Federal Agricultural Mortgage Corp., Class C		24,200		703,252
First Defiance Financial Corp.		44,900		1,685,097
First Financial Northwest, Inc.		61,600		767,536
Fox Chase Bancorp, Inc.		14,133		239,130
Guaranty Federal Bancshares, Inc.		20,856		307,000
Heritage Financial Group, Inc.		21,900		660,942
HF Financial Corp.		12,000		182,040
Hingham Institution for Savings		2,500		287,775
HMN Financial, Inc.*		25,000		294,750
Home Bancorp, Inc.		48,000		1,211,520
HomeStreet, Inc.*		78,555		1,792,625

Industry Company	Shares		Value
Thrifts & Mortgage Finance (continued)
HopFed Bancorp, Inc.		13,088		$    154,831
Lake Shore Bancorp, Inc.+		22,150		297,474
Lake Sunapee Bank Group		18,250		263,348
Meta Financial Group, Inc.		17,155		736,293
Northeast Community Bancorp, Inc.		55,658		415,209
Ocean Shore Holding Co.		51,837		769,002
OceanFirst Financial Corp.		29,200		544,580
Oneida Financial Corp.+		20,000		409,000
Provident Financial Holdings, Inc.		63,617		1,064,949
Pulaski Financial Corp.		43,500		562,020
Riverview Bancorp, Inc.		67,406		288,498
Security National Financial Corp., Class A*		38,588		259,697
SI Financial Group, Inc.		34,276		398,973
Southern Missouri Bancorp, Inc.		100		1,885
Territorial Bancorp, Inc.		22,300		540,998
Timberland Bancorp, Inc.		24,222		242,704
United Community Bancorp+		26,200		361,822
United Community Financial Corp.		137,800		737,230
Wayne Savings Bancshares, Inc.+		7,800		104,442
Westfield Financial, Inc.		64,100		468,571
				21,164,659
Trading Companies & Distributors - 0.84%
AeroCentury Corp.*+		10,900		89,489
BlueLinx Holdings, Inc.*		97,724		93,815
EnviroStar, Inc.+		35,000		156,450
General Finance Corp.*+		100,600		525,132
Houston Wire & Cable Co.		86,934		862,385
Lawson Products, Inc.*		32,400		760,752
Titan Machinery, Inc.*+		18,000		265,140
Transcat, Inc.*+		5,000		47,250
Willis Lease Finance Corp.*		31,000		569,470
				3,369,883
Water Utilities - 0.55%
Artesian Resources Corp., Class A		21,500		453,435
Cadiz, Inc.*+		36,700		318,923
York Water Co., (The)+		69,850		1,457,071
				2,229,429

37 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company		Shares	Value
Common Stocks (continued)
Wireless Telecommunication Services - 0.37%
Boingo Wireless, Inc.*		120,000	$	991,200
Spok Holdings, Inc.		30,000		505,200
				1,496,400
TOTAL COMMON STOCKS - 99.09%				399,168,356
(Cost $284,922,040)
EXCHANGE TRADED FUND - 0.33%
iShares Micro-Cap ETF+		16,525		1,347,283
TOTAL EXCHANGE TRADED FUND - 0.33%				1,347,283
(Cost $442,002)
WARRANTS - 0.00%
Biotime, Inc., expire 10/01/18+		16,058		17,824
TOTAL WARRANTS - 0.00%				17,824
(Cost $15,589)
	Rate^	Shares	Value
MONEY MARKET FUND - 1.18%
Dreyfus Cash Management Fund	0.04%	4,736,924		4,736,924
TOTAL MONEY MARKET FUND - 1.18%				4,736,924
(Cost $4,736,924)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 10.98%
Dreyfus Cash Management Fund**	0.04%	44,237,825		44,237,825
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 10.98%				44,237,825
(Cost $44,237,825)
TOTAL INVESTMENTS - 111.58%				449,508,212
(Cost $334,354,380)
Liabilities in Excess of Other Assets - (11.58%)				(46,655,208	)
NET ASSETS - 100.00%			$	402,853,004

*	Non-income producing security.
**	This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^	Rate disclosed as of June 30, 2015.
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 as of June 30, 2015. Total loaned securities had a value of $43,006,223 as of June 30, 2015.
LLC - Limited Liability Company

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	398,728,631	$	436,985	$	2,740	$	399,168,356
Exchange Traded
Fund		1,347,283		—		—		1,347,283
Warrants		17,824		—		—		17,824
Money Market Fund		—		4,736,924		—		4,736,924
Investments Purchased with Cash Proceeds from Securities Lending		—		44,237,825		—		44,237,825
TOTAL	$	400,093,738	$	49,411,734	$	2,740	$	449,508,212

www.bridgeway.com 38

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

Showing percentage of net assets as of June 30, 2015

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 06/30/2014	$	—		$	—
Purchases		—	��		—
Sales		—			—
Realized gain/(loss)		—			—
Change in unrealized appreciation/ (depreciation)1		(253,450	)		(253,450	)
Transfers in2,3		256,190			256,190
Transfers out		—			—
Balance as of 06/30/2015	$	2,740		$	2,740
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/20152	$	(253,450	)	$	(253,450	)
1  Change in unrealized appreciation/(depreciation) for Level 3 securities is included on the Statements of Operations in the Change in Unrealized Appreciation (Depreciation) on Investments.
2  Transfers in represent the value as of the beginning of the 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. The security transferred from level 1 to level 3.
3  Transfer took place as a result of a trading halt.
See Notes to Financial Statements.

39 Annual Report  |  June 30, 2015

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

June 30, 2015

Dear Fellow Small-Cap Momentum Fund Shareholder,

For the quarter ended June 30, 2015, our Fund appreciated 1.07%, outperforming our primary market benchmark, the Russell 2000 Index (+0.42%). It was a good quarter.

For the fiscal year, our Fund appreciated 4.54%, underperforming the Russell 2000 Index (+6.49%).

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, 2015

					Annualized		Annualized
	Quarter		1 Year		5 Year		Since Inception (5/28/10)
Small-Cap Momentum Fund		1.07%		4.54%		15.67%		13.81%
Russell 2000 Index		0.42%		6.49%		17.08%		14.91%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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 1,000^th and 3,000^th 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, 2015, Small-Cap Momentum Fund ranked 442^nd of 792 small-cap core funds for the 12 months ending June 30, 2015, 354^th of 616 over the last five years, and 344^th of 609 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 6/30/15

Detailed Explanation of Quarterly Performance

Our Fund outperformed its primary benchmark, the Russell 2000 Index. Price momentum was a favorable factor for the quarter, contributing positively to our Fund. Additionally, the Fund’s risk-adjustment overlay feature worked well this quarter. We are pleased with the Fund’s performance in line with Fund design.

Detailed Explanation of Fiscal Year Performance

For the fiscal year, the momentum factor did not perform well for small-cap stocks, and momentum holdings lagged the Russell 2000 Index. Additionally, the risk-adjustment overlay feature further diminished our performance.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net   Assets
1	LifePoint Health, Inc.	Health Care Providers & Services		0.8%
2	Bright Horizons Family Solutions, Inc.	Diversified Consumer Services		0.8%
3	First Horizon National Corp.	Commercial Banks		0.8%
4	Radian Group, Inc.	Thrifts & Mortgage Finance		0.8%
5	EPAM Systems, Inc.	IT Services		0.8%
6	Anacor Pharmaceuticals, Inc.	Biotechnology		0.8%
7	Amsurg Corp.	Health Care Providers & Services		0.8%
8	MarketAxess Holdings, Inc.	Diversified Financial Services		0.7%
9	j2 Global, Inc.	Internet Software & Services		0.7%
10	Sun Communities, Inc.	Real Estate Investment Trusts (REITs)		0.7%
	Total			7.7%

41 Annual Report  |  June 30, 2015

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

Industry Sector Representation as of June 30, 2015

	% of Net Assets		% of Russell 2000 Index		Difference
Consumer Discretionary		14.6%		14.6%		0.0%
Consumer Staples		3.2%		3.1%		0.1%
Energy		0.4%		3.9%		-3.5%
Financials		28.6%		24.3%		4.3%
Health Care		19.0%		16.0%		3.0%
Industrials		9.7%		12.8%		-3.1%
Information Technology		16.8%		17.2%		-0.4%
Materials		1.7%		4.0%		-2.3%
Telecommunication Services		1.7%		0.8%		0.9%
Utilities		4.2%		3.3%		0.9%
Cash & Other Assets		0.0%		0.0%		0.0%
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, 2015, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance.

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

Conclusion

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

Sincerely,

The Investment Management Team

www.bridgeway.com 42

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.96%
Aerospace & Defense - 1.63%
AAR Corp.		450		$14,342
Astronics Corp.*		200		14,178
Elbit Systems, Ltd.+		450		35,217
Taser International, Inc.*		600		19,986
				83,723
Air Freight & Logistics - 0.25%
Echo Global Logistics, Inc.*		300		9,798
Radiant Logistics, Inc.*		450		3,290
				13,088
Airlines - 0.62%
Allegiant Travel Co.		180		32,018
Auto Components - 0.88%
American Axle & Manufacturing Holdings, Inc.*		850		17,774
Cooper Tire & Rubber Co.		615		20,805
Fox Factory Holding Corp.*		400		6,432
				45,011
Beverages - 0.71%
Boston Beer Co., Inc., Class A (The)*+		105		24,359
Coca-Cola Bottling Co. Consolidated		80		12,086
				36,445
Biotechnology - 6.91%
Advaxis, Inc.*		350		7,116
Agenus, Inc.*+		800		6,904
AMAG Pharmaceuticals, Inc.*		350		24,171
Amicus Therapeutics, Inc.*		1,000		14,150
Anacor Pharmaceuticals, Inc.*		500		38,715
BioSpecifics Technologies Corp.*		50		2,580
BioTime, Inc.*+		900		3,267
Chimerix, Inc.*		440		20,328
China Biologic Products, Inc.*		275		31,669
CorMedix, Inc.*+		350		1,358
Dynavax Technologies Corp.*		300		7,028
Eagle Pharmaceuticals, Inc.*		150		12,129
Emergent BioSolutions, Inc.*		400		13,180
Esperion Therapeutics, Inc.*+		250		20,440
Insys Therapeutics, Inc.*+		800		28,736

Industry Company	Shares		Value
Biotechnology (continued)
Momenta Pharmaceuticals, Inc.*		650		$  14,826
NewLink Genetics Corp.*		300		13,281
Portola Pharmaceuticals, Inc.*		550		25,052
PTC Therapeutics, Inc.*		350		16,846
TESARO, Inc.*		450		26,456
Tetraphase Pharmaceuticals, Inc.*		400		18,976
uniQure NV*		250		6,750
				353,958
Building Products - 1.51%
AAON, Inc.		600		13,512
American Woodmark Corp.*		150		8,228
Apogee Enterprises, Inc.		300		15,792
Gibraltar Industries, Inc.*		350		7,130
Griffon Corp.		550		8,756
New Home Co. Inc., (The)*+		150		2,584
Patrick Industries, Inc.*		100		3,805
PGT, Inc.*		500		7,255
Universal Forest Products, Inc.		200		10,406
				77,468
Capital Markets - 2.14%
BGC Partners, Inc., Class A		2,300		20,125
Cowen Group, Inc., Class A*		1,200		7,680
Diamond Hill Investment Group, Inc.		35		6,988
HFF, Inc., Class A		400		16,692
INTL FCStone, Inc.*		200		6,648
Marcus & Millichap, Inc.*		400		18,456
WisdomTree Investments, Inc.+		1,500		32,948
				109,537
Chemicals - 0.64%
Core Molding Technologies, Inc.*		100		2,284
Innophos Holdings, Inc.		250		13,160
KMG Chemicals, Inc.		150		3,816
Quaker Chemical Corp.		150		13,326
				32,586
Commercial Banks - 9.19%
Access National Corp.		100		1,944
Ames National Corp.		100		2,510
Banner Corp.		250		11,982

43 Annual Report  |  June 30, 2015

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Bar Harbor Bankshares		50		$    1,772
Bridge Capital Holdings		150		4,470
BSB Bancorp, Inc.*		100		2,211
Camden National Corp.		100		3,870
Cardinal Financial Corp.		350		7,626
Cathay General Bancorp		850		27,582
CenterState Banks, Inc.		500		6,755
Central Pacific Financial Corp.		350		8,312
Citizens & Northern Corp.		150		3,082
CoBiz Financial, Inc.		450		5,882
Columbia Banking System, Inc.		650		21,151
CU Bancorp*		200		4,432
Customers Bancorp, Inc.*		284		7,637
Enterprise Financial Services Corp.		200		4,554
Farmers Capital Bank Corp.*		100		2,843
Fidelity Southern Corp.		250		4,360
First Community Bancshares, Inc.		200		3,644
First Horizon National Corp.		2,530		39,645
First Merchants Corp.		400		9,880
Great Southern Bancorp, Inc.		150		6,321
Hampton Roads Bankshares, Inc.*+		1,850		3,848
Hanmi Financial Corp.		350		8,694
Heartland Financial USA, Inc.		200		7,444
Heritage Commerce Corp.		300		2,883
Heritage Oaks Bancorp		350		2,754
Horizon Bancorp		100		2,496
Independent Bank Corp., MA		300		14,067
International Bancshares Corp.		700		18,809
MainSource Financial Group, Inc.		250		5,488
Metro Bancorp, Inc.		150		3,921
MidWestOne Financial Group, Inc.		100		3,292
NewBridge Bancorp		350		3,126
Old Second Bancorp, Inc.*		300		1,980
Palmetto Bancshares, Inc.+		150		2,966
Pinnacle Financial Partners, Inc.		375		20,389
Preferred Bank		150		4,508
PrivateBancorp, Inc.		875		34,842
Republic Bancorp, Inc., Class A		200		5,140

Industry Company	Shares		Value
Commercial Banks (continued)
Sandy Spring Bancorp, Inc.		250		$    6,995
Seacoast Banking Corp. of Florida*		350		5,530
Square 1 Financial, Inc., Class A*		300		8,205
Stock Yards Bancorp, Inc.		150		5,668
Suffolk Bancorp		150		3,849
Tompkins Financial Corp.		150		8,058
TowneBank+		350		5,702
United Bankshares, Inc.		775		31,178
United Community Banks, Inc.		650		13,566
Washington Trust Bancorp, Inc.		200		7,896
West Bancorporation, Inc.		150		2,976
Western Alliance Bancorp*		950		32,072
				470,807
Commercial Services & Supplies - 2.10%
ABM Industries, Inc.		600		19,722
Ennis, Inc.		300		5,577
G&K Services, Inc., Class A		200		13,828
HNI Corp.		500		25,575
Knoll, Inc.		550		13,766
Multi-Color Corp.		200		12,776
Sykes Enterprises, Inc.*		450		10,912
Viad Corp.		200		5,422
				107,578
Communications Equipment - 1.26%
Infinera Corp.*		1,400		29,372
InterDigital, Inc.		400		22,756
Radware, Ltd.*		550		12,210
				64,338
Computers & Peripherals - 0.39%
Novatel Wireless, Inc.*+		550		1,788
QLogic Corp.*		950		13,480
Quantum Corp.*		2,750		4,620
				19,888
Construction & Engineering - 0.33%
Comfort Systems USA, Inc.		400		9,180
MYR Group, Inc.*		250		7,740
				16,920
Construction Materials - 0.11%
U.S. Concrete, Inc.*		150		5,684
Distributors - 0.04%
VOXX International Corp.*		250		2,070

www.bridgeway.com 44

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Diversified Consumer Services - 2.22%
2U, Inc.*		450		$  14,486
Bright Horizons Family Solutions, Inc.*		700		40,460
Carriage Services, Inc.		200		4,776
Matthews International Corp., Class A		350		18,599
Nord Anglia Education, Inc.*		1,050		25,746
Regis Corp.*		600		9,456
				113,523
Diversified Financial Services - 1.88%
Capitol Acquisition Corp. II*		250		2,638
Janus Capital Group, Inc.		2,050		35,096
Levy Acquisition Corp.*		200		3,044
MarketAxess Holdings, Inc.		410		38,036
PennyMac Financial Services, Inc., Class A*		200		3,624
Sterling Bancorp		950		13,965
				96,403
Diversified Telecommunication Services - 0.86%
8X8, Inc.*		1,000		8,960
Atlantic Tele-Network, Inc.		175		12,089
FairPoint Communications, Inc.*		300		5,466
General Communication, Inc., Class A*		400		6,804
Vonage Holdings Corp.*		2,200		10,802
				44,121
Electric Utilities - 1.15%
IDACORP, Inc.		560		31,438
UIL Holdings Corp.		600		27,492
				58,930
Electrical Equipment - 0.57%
II-VI, Inc.*		650		12,337
Orbotech, Ltd.*		450		9,360
PowerSecure International, Inc.*		250		3,690
Vicor Corp.*		300		3,657
				29,044
Electronic Equipment, Instruments & Components - 1.69%
Badger Meter, Inc.		150		9,524
DTS, Inc.*		200		6,098
GSI Group, Inc.*		350		5,260
IMAX Corp.*		750		30,202
Multi-Fineline Electronix, Inc.*		250		5,465

Industry Company	Shares		Value
Electronic Equipment, Instruments & Components (continued)
WGL Holdings, Inc.		550		$29,860
				86,409
Food & Staples Retailing - 0.20%
Ingles Markets, Inc., Class A		150		7,166
Village Super Market, Inc., Class A		100		3,169
				10,335
Food Products - 1.28%
Calavo Growers, Inc.		200		10,386
Cal-Maine Foods, Inc.		500		26,100
Fresh Del Monte Produce, Inc.		550		21,263
John B. Sanfilippo & Son, Inc.		100		5,190
Lifeway Foods, Inc.*		150		2,878
				65,817
Gas Utilities - 1.16%
Chesapeake Utilities Corp.		187		10,070
Laclede Group, Inc. (The)		450		23,427
New Jersey Resources Corp.		950		26,172
				59,669
Health Care Equipment & Supplies - 5.60%
Abaxis, Inc.		260		13,385
ABIOMED, Inc.*		425		27,935
Analogic Corp.		125		9,862
AtriCure, Inc.*		300		7,392
CryoLife, Inc.		300		3,384
Cutera, Inc.*		150		2,322
Cynosure, Inc., Class A*		250		9,645
Greatbatch, Inc.*		300		16,176
Hill-Rom Holdings, Inc.		600		32,598
Inogen, Inc.*		200		8,920
Integra LifeSciences Holdings Corp.*		350		23,580
Invacare Corp.		350		7,570
LDR Holding Corp.*		300		12,975
LeMaitre Vascular, Inc.		200		2,412
Masimo Corp.*		550		21,307
Merit Medical Systems, Inc.*		500		10,770
Natus Medical, Inc.*		350		14,896
NuVasive, Inc.*		550		26,059
NxStage Medical, Inc.*		650		9,285
RTI Surgical, Inc.*		650		4,199

45 Annual Report  |  June 30, 2015

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Health Care Equipment & Supplies (continued)
SurModics, Inc.*		150		$    3,513
Vascular Solutions, Inc.*		200		6,944
Zeltiq Aesthetics, Inc.*		400		11,788
				286,917
Health Care Providers & Services - 4.20%
Almost Family, Inc.*		100		3,991
Amedisys, Inc.*		350		13,906
AMN Healthcare Services, Inc.*		500		15,795
Amsurg Corp.*		550		38,473
Bio-Reference Laboratories, Inc.*		300		12,375
Cross Country Healthcare, Inc.*		350		4,438
Ensign Group, Inc. (The)		275		14,042
ExamWorks Group, Inc.*+		450		17,595
LHC Group, Inc.*		200		7,650
LifePoint Health, Inc.*		500		43,475
National Healthcare Corp.		140		9,099
Surgical Care Affiliates, Inc.*		450		17,271
U.S. Physical Therapy, Inc.		150		8,214
Universal American Corp.*		850		8,602
				214,926
Health Care Technology - 1.01%
Medidata Solutions, Inc.*		600		32,592
Merge Healthcare, Inc.*		1,000		4,800
Omnicell, Inc.*		380		14,330
				51,722
Hotels, Restaurants & Leisure - 5.03%
Carrols Restaurant Group, Inc.*		350		3,640
Churchill Downs, Inc.		200		25,010
ClubCorp Holdings, Inc.		700		16,716
Denny’s Corp.*		850		9,868
Diamond Resorts
International, Inc.*		775		24,451
Isle of Capri Casinos, Inc.*		450		8,168
Jack in the Box, Inc.		400		35,264
La Quinta Holdings, Inc.*		1,450		33,132
Marcus Corp. (The)		200		3,836
Marriott Vacations
Worldwide Corp.		350		32,112
Papa John’s International, Inc.		445		33,646
Ruth’s Hospitality Group, Inc.		350		5,642
Sonic Corp.		550		15,840
Speedway Motorsports, Inc.		450		10,192
				257,517

Industry Company	Shares		Value
Household Durables - 0.91%
Bassett Furniture Industries, Inc.		100		$  2,841
Helen of Troy, Ltd.*		300		29,247
Hooker Furniture Corp.		100		2,511
Libbey, Inc.		225		9,299
ZAGG, Inc.*		350		2,772
				46,670
Household Products - 0.37%
Central Garden & Pet Co., Class A*		500		5,705
WD-40 Co.		150		13,074
				18,779
Insurance - 3.99%
AMERISAFE, Inc.		200		9,412
Atlas Financial Holdings, Inc.*		150		2,975
EMC Insurance Group, Inc.		225		5,641
FBL Financial Group, Inc., Class A		250		14,430
Heritage Insurance Holdings, Inc.*		350		8,046
Horace Mann Educators Corp.		450		16,371
Mercury General Corp.		600		33,390
Montpelier Re Holdings, Ltd.		500		19,750
RLI Corp.		450		23,126
Safety Insurance Group, Inc.		150		8,656
StanCorp Financial Group, Inc.		450		34,024
State Auto Financial Corp.		450		10,778
United Fire Group, Inc.		250		8,190
Universal Insurance Holdings, Inc.		400		9,680
				204,469
Internet & Catalog Retail - 0.37%
EVINE Live, Inc.*		600		1,614
Orbitz Worldwide, Inc.*+		1,200		13,704
PetMed Express, Inc.		200		3,454
				18,772
Internet Software & Services - 2.78%
Cimpress NV*		375		31,560
comScore, Inc.*		450		23,967
GTT Communications, Inc.*		400		9,548
Internap Corp.*		600		5,550
j2 Global, Inc.		550		37,367
LogMeIn, Inc.*		250		16,122
Stamps.com, Inc.*		200		14,714

www.bridgeway.com 46

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Internet Software & Services (continued)
Zix Corp.*		650		$    3,360
				142,188
IT Services - 2.02%
Blackhawk Network Holdings, Inc.*		600		24,720
EPAM Systems, Inc.*		550		39,176
Hackett Group, Inc. (The)		300		4,029
Heartland Payment Systems, Inc.		400		21,620
Luxoft Holding, Inc.*		200		11,310
PFSweb, Inc.*		200		2,772
				103,627
Leisure Equipment & Products - 0.29%
Callaway Golf Co.		850		7,599
Nautilus, Inc.*		350		7,528
				15,127
Life Sciences Tools & Services - 0.43%
Affymetrix, Inc.*+		850		9,282
Fluidigm Corp.*		300		7,260
Harvard Bioscience, Inc.*		350		1,995
Sequenom, Inc.*+		1,200		3,648
				22,185
Machinery - 0.52%
Blue Bird Corp.*+		250		3,248
Hurco Companies, Inc.		75		2,596
John Bean Technologies Corp.		300		11,277
Kadant, Inc.		100		4,720
Miller Industries, Inc.+		100		1,995
Xerium Technologies, Inc.*		150		2,730
				26,566
Marine - 0.43%
Global Ship Lease, Inc., Class A*		500		2,895
Matson, Inc.		450		18,918
				21,813
Media - 0.58%
Hemisphere Media Group, Inc.*+		150		1,785
New Media Investment Group, Inc.		500		8,965
Reading International, Inc., Class A*+		250		3,462
Scholastic Corp.		350		15,446
				29,658

Industry Company	Shares		Value
Metals & Mining - 0.40%
Dominion Diamond Corp.		950		$13,310
Materion Corp.		200		7,050
				20,360
Multi-Utilities - 0.49%
NorthWestern Corp.+		515		25,106
Oil, Gas & Consumable Fuels - 0.87%
Nordic American Tankers, Ltd.+		900		12,807
ONE Gas, Inc.		550		23,408
Teekay Tankers, Ltd., Class A		1,250		8,263
				44,478
Paper & Forest Products - 0.73%
Boise Cascade Co.*		425		15,589
Mercer International, Inc.*		700		9,576
Neenah Paper, Inc.		205		12,087
				37,252
Personal Products - 0.39%
Revlon, Inc., Class A*		550		20,190
Pharmaceuticals - 1.61%
Assembly Biosciences, Inc.*		200		3,852
Cempra, Inc.*		500		17,180
Corcept Therapeutics, Inc.*		1,200		7,212
Heska Corp.*		50		1,484
Impax Laboratories, Inc.*		800		36,736
Phibro Animal Health Corp., Class A		200		7,788
Sucampo Pharmaceuticals, Inc., Class A*		500		8,215
				82,467
Professional Services - 1.42%
CRA International, Inc.*		100		2,787
Exponent, Inc.		250		11,195
FTI Consulting, Inc.*		450		18,558
Heidrick & Struggles International, Inc.		200		5,216
Insperity, Inc.		300		15,270
Resources Connection, Inc.		400		6,436
TrueBlue, Inc.*		450		13,455
				72,917
Real Estate Investment Trusts (REITs) - 7.33%
Alexander’s, Inc.		60		24,600
American Assets Trust, Inc.		500		19,605
Cedar Realty Trust, Inc.		850		5,440

47 Annual Report  |  June 30, 2015

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Real Estate Investment Trusts (REITs) (continued)
CoreSite Realty Corp.		260		$  11,814
CyrusOne, Inc.		600		17,670
DuPont Fabros Technology, Inc.		875		25,769
FelCor Lodging Trust, Inc.		1,550		15,314
Gramercy Property Trust, Inc.		637		14,887
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		350		7,018
Healthcare Trust of America, Inc., Class A		1,350		32,332
Hudson Pacific Properties, Inc.		950		26,952
LTC Properties, Inc.		375		15,600
Post Properties, Inc.		600		32,622
Preferred Apartment Communities, Inc., Class A		200		1,990
QTS Realty Trust, Inc., Class A		400		14,580
Retail Opportunity Investments Corp.		950		14,839
Rouse Properties, Inc.+		650		10,628
Sovran Self Storage, Inc.		395		34,329
Summit Hotel Properties, Inc.		950		12,360
Sun Communities, Inc.		600		37,098
				375,447
Real Estate Management & Development - 0.68%
Colliers International Group, Inc.		400		15,392
FirstService Corp.		400		11,108
FRP Holdings, Inc.*		100		3,243
RE/MAX Holdings, Inc., Class A		150		5,326
				35,069
Road & Rail - 0.19%
Covenant Transportation Group, Inc., Class A*		150		3,759
P.A.M. Transportation Services, Inc.*		100		5,805
				9,564
Semiconductors & Semiconductor Equipment - 3.30%
Ambarella, Inc.*+		350		35,942
Axcelis Technologies, Inc.*		1,250		3,700
Brooks Automation, Inc.		700		8,015
CEVA, Inc.*		200		3,886
DSP Group, Inc.*		200		2,066

Industry Company	Shares		Value
Semiconductors & Semiconductor Equipment (continued)
Inphi Corp.*		400		$    9,144
Integrated Silicon Solution, Inc.		365		8,081
M/A-COM Technology Solutions Holdings, Inc.*		550		21,038
Mellanox Technologies, Ltd.*		500		24,295
MKS Instruments, Inc.		600		22,764
NVE Corp.+		50		3,920
Rudolph Technologies, Inc.*		350		4,204
Tessera Technologies, Inc.		575		21,838
				168,893
Software - 6.43%
ACI Worldwide, Inc.*		1,250		30,713
Blackbaud, Inc.		500		28,475
BroadSoft, Inc.*		300		10,371
Ellie Mae, Inc.*		300		20,937
Epiq Systems, Inc.		400		6,752
ePlus, Inc.*		100		7,665
Fair Isaac Corp.		325		29,504
Fleetmatics Group PLC*		400		18,732
Imperva, Inc.*		350		23,695
Infoblox, Inc.*		600		15,726
Monotype Imaging Holdings, Inc.		450		10,850
Progress Software Corp.*		550		15,125
Proofpoint, Inc.*		450		28,652
Qlik Technologies, Inc.*		1,000		34,960
Qualys, Inc.*		350		14,122
Synchronoss Technologies, Inc.*		450		20,578
VASCO Data Security International, Inc.*+		415		12,529
				329,386
Specialty Retail - 2.17%
America’s Car-Mart, Inc.*		100		4,932
Asbury Automotive Group, Inc.*		300		27,186
Children’s Place, Inc. (The)		250		16,352
Lithia Motors, Inc., Class A		250		28,290
MarineMax, Inc.*		300		7,053
Select Comfort Corp.*		550		16,538
TravelCenters of America LLC*		400		5,940
Winmark Corp.		50		4,925
				111,216
Textiles, Apparel & Luxury Goods - 1.31%
Cherokee, Inc.		100		2,818
Culp, Inc.		150		4,650

www.bridgeway.com 48

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2015

Industry Company	Shares	Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods (continued)
G-III Apparel Group, Ltd.*	510		$     35,878
Superior Uniform Group, Inc.	100		1,654
Tumi Holdings, Inc.*	750		15,390
Unifi, Inc.*	200		6,700
			67,090
Thrifts & Mortgage Finance - 3.17%
Banc of California, Inc.	400		5,500
BankFinancial Corp.	250		2,945
Berkshire Hills Bancorp, Inc.	300		8,544
Brookline Bancorp, Inc.	700		7,903
Clifton Bancorp, Inc.	300		4,197
Essent Group, Ltd.*	1,000		27,350
First Defiance Financial Corp.	100		3,753
Flagstar Bancorp, Inc.*	600		11,088
Hingham Institution for Savings	20		2,302
HomeStreet, Inc.*	250		5,705
Impac Mortgage Holdings, Inc.*+	100		1,914
LendingTree, Inc.*	130		10,219
Meridian Bancorp, Inc.*	606		8,126
Meta Financial Group, Inc.	100		4,292
Radian Group, Inc.	2,100		39,396
Territorial Bancorp, Inc.	100		2,426
United Community Financial Corp.	550		2,942
Walker & Dunlop, Inc.*	350		9,359
Waterstone Financial, Inc.	350		4,620
			162,581
Trading Companies & Distributors - 0.40%
Aircastle, Ltd.	900		20,403
Water Utilities - 0.35%
American States Water Co.	400		14,956
York Water Co., (The)	150		3,129
			18,085
Wireless Telecommunication Services - 0.47%
RingCentral, Inc., Class A*+	600		11,094
Shenandoah Telecommunications Co.	250		8,558
Spok Holdings, Inc.	250		4,210
			23,862
TOTAL COMMON STOCKS - 99.96%			5,120,672
(Cost $4,683,935)

Industry Company		Shares	Value
EXCHANGE TRADED FUND - 0.25%
iShares Russell 2000 ETF+		100		$12,486
TOTAL EXCHANGE TRADED FUND - 0.25%				12,486
(Cost $12,380)
	Rate^	Shares	Value
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 6.00%
Dreyfus Cash Management Fund**	0.04%	307,286		307,286
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 6.00%				307,286
(Cost $307,286)
TOTAL INVESTMENTS - 106.21%				$5,440,444
(Cost $5,003,601)
Liabilities in Excess of Other Assets - (6.21%)				(317,891	)
NET ASSETS - 100.00%				$5,122,553

*	Non-income producing security.
**	This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^	Rate disclosed as of June 30, 2015.
+	This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $303,096 as of June 30, 2015.

LLC - Limited Liability Company

PLC - Public Limited Company

49 Annual Report  |  June 30, 2015

Small-Cap Momentum Fund SCHEDULE OF INVESTMENTS (continued)

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$5,120,672	$	—	$	—	$5,120,672
Exchange Traded Fund	12,486		—		—	12,486
Investments Purchased with Cash Proceeds from Securities Lending	—		307,286		—	307,286
TOTAL	$5,133,158	$	307,286	$	—	$5,440,444
See Notes to Financial Statements.

www.bridgeway.com 50

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

June 30, 2015

Dear Fellow Small-Cap Growth Fund Shareholder,

For the quarter ended June 30, 2015, our Fund appreciated 3.67%, outperforming our primary market benchmark, the Russell 2000 Growth Index (+1.98%), and our peer benchmark, the Lipper Small-Cap Growth Funds Index (+1.71%). It was a good quarter.

For the fiscal year, our Fund appreciated 13.41%, beating the Russell 2000 Growth Index (+12.34%), and the Lipper Small-Cap Growth Funds Index (+9.63%). It was a good year for the Fund, but we are still lagging in the longer five-year, 10-year, and inception-to-date periods.

The table below presents our June quarter, one-year, five-year, 10-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

					Annualized
	Quarter		1 Year		5 Years		10 Years		Since Inception  (10/31/03)
Small-Cap Growth Fund		3.67%		13.41%		18.45%		5.89%		6.74%
Russell 2000 Growth Index		1.98%		12.34%		19.33%		9.86%		9.64%
Lipper Small-Cap Growth Funds Index		1.71%		9.63%		17.44%		8.30%		8.16%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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, 2015, Small-Cap Growth Fund ranked 122nd of 544 small-cap growth funds for the 12 months ending June 30, 2015, 198th of 416 over the last five years, 289th of 300 over the last 10 years, and 228th of 250 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, 2015

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 6/30/15

Detailed Explanation of Quarterly Performance

Our Fund outperformed its primary benchmark for the quarter. Positioning toward smaller market cap stocks helped our Fund, as did our diversifying value metrics and momentum models. Holdings in the Consumer Discretionary and Consumer Staples sectors contributed nicely to our relative performance.

Detailed Explanation of Fiscal Year Performance

Our core company financial health models performed quite well relative to our primary index, while our diversifying value metrics and momentum models lagged the index.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Altisource Portfolio Solutions SA	Real Estate Management & Development		1.6%
2	Papa John’s International, Inc.	Hotels, Restaurants & Leisure		1.6%
3	Insys Therapeutics, Inc.	Biotechnology		1.6%
4	Cambrex Corp.	Life Sciences Tools & Services		1.6%
5	AMN Healthcare Services, Inc.	Health Care Providers & Services		1.6%
6	Kaiser Aluminum Corp.	Metals & Mining		1.6%
7	Texas Roadhouse, Inc.	Hotels, Restaurants & Leisure		1.5%
8	Universal Insurance Holdings, Inc.	Insurance		1.5%
9	Molina Healthcare, Inc.	Health Care Providers & Services		1.5%
10	Luxoft Holding, Inc.	IT Services		1.5%
	Total			15.6%

www.bridgeway.com 52

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

Industry Sector Representation as of June 30, 2015

	% of Net Assets		% of Russell 2000 Growth Index		Difference
Consumer Discretionary		18.1%		18.3%		-0.2%
Consumer Staples		4.3%		3.3%		1.0%
Energy		2.1%		1.5%		0.6%
Financials		7.5%		7.1%		0.4%
Health Care		24.9%		27.5%		-2.6%
Industrials		14.0%		13.2%		0.8%
Information Technology		21.8%		23.9%		-2.1%
Materials		4.2%		4.2%		0.0%
Telecommunication Services		1.1%		0.8%		0.3%
Utilities		0.0%		0.1%		-0.1%
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, 2015, 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, 2015

Small-Cap Growth Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 98.15%
Air Freight & Logistics - 0.30%
Park-Ohio Holdings Corp.		2,300		$   111,458
Airlines - 1.47%
Hawaiian Holdings, Inc.*		22,800		541,500
Auto Components - 3.68%
Drew Industries, Inc.		7,700		446,754
Tenneco, Inc.*		9,200		528,448
Tower International, Inc.*		14,600		380,330
				1,355,532
Biotechnology - 4.83%
CTI BioPharma Corp.*+		73,500		143,325
Dynavax Technologies Corp.*		7,870		184,355
Insys Therapeutics, Inc.*+		16,200		581,904
MiMedx Group, Inc.*+		36,000		417,240
PDL BioPharma, Inc.+		69,900		449,457
				1,776,281
Building Products - 0.69%
NCI Building Systems, Inc.*		16,900		254,683
Communications Equipment - 1.47%
InterDigital, Inc.		9,500		540,455
Computers & Peripherals - 2.31%
Dot Hill Systems Corp.*		78,100		477,972
Quantum Corp.*		220,800		370,944
				848,916
Containers & Packaging - 1.24%
Graphic Packaging Holding Co.		32,800		456,904
Diversified Consumer Services - 1.51%
Grand Canyon Education, Inc.*		10,100		428,240
K12, Inc.*		10,000		126,500
				554,740
Diversified Financial Services - 1.44%
MarketAxess Holdings, Inc.		5,700		528,789
Diversified Telecommunication Services - 1.06%
Inteliquent, Inc.		21,300		391,920
Electronic Equipment, Instruments & Components - 1.10%
Methode Electronics, Inc.		11,800		323,910
MTS Systems Corp.		1,200		82,740
				406,650
Food Products - 2.84%
Cal-Maine Foods, Inc.		9,800		511,560

Industry Company	Shares		Value
Food Products (continued)
Fresh Del Monte Produce, Inc.		13,800		$   533,508
				1,045,068
Health Care Equipment & Supplies - 5.90%
ABIOMED, Inc.*		8,100		532,413
LDR Holding Corp.*		2,300		99,475
Masimo Corp.*		13,800		534,612
Thoratec Corp.*		12,300		548,211
Vascular Solutions, Inc.*		3,300		114,576
Zeltiq Aesthetics, Inc.*		11,600		341,852
				2,171,139
Health Care Providers & Services - 10.46%
Air Methods Corp.*+		12,400		512,616
AMN Healthcare Services, Inc.*		18,300		578,097
Chemed Corp.		4,100		537,510
Five Star Quality Care, Inc.*		43,600		209,280
Genesis Healthcare, Inc.*		19,200		126,720
HealthSouth Corp.		5,700		262,542
Molina Healthcare, Inc.*		7,900		555,370
RadNet, Inc.*		82,400		551,256
Triple-S Management Corp., Class B*		20,100		515,766
				3,849,157
Hotels, Restaurants & Leisure - 5.49%
Fiesta Restaurant Group, Inc.*		6,800		340,000
Papa John’s International, Inc.		7,700		582,197
Red Robin Gourmet Burgers, Inc.*		6,200		532,084
Texas Roadhouse, Inc.		15,100		565,193
				2,019,474
Insurance - 1.51%
Universal Insurance Holdings, Inc.		23,000		556,600
Internet & Catalog Retail - 1.34%
1-800-Flowers.com, Inc., Class A*		47,000		491,620
Internet Software & Services - 4.20%
Cimpress NV*+		6,100		513,376
Constant Contact, Inc.*		9,400		270,344
EarthLink Holdings Corp.		10,700		80,143
Envestnet, Inc.*		2,300		92,989
Marchex, Inc., Class B		26,500		131,175

www.bridgeway.com 54

Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Internet Software & Services (continued)
RetailMeNot, Inc.*		25,700		$   458,231
				1,546,258
IT Services - 5.30%
Hackett Group, Inc. (The)		10,602		142,385
Lionbridge Technologies, Inc.*		45,300		279,501
Luxoft Holding, Inc.*		9,800		554,190
MAXIMUS, Inc.		8,400		552,132
Science Applications International Corp.		8,000		422,800
				1,951,008
Leisure Equipment & Products - 0.91%
Smith & Wesson Holding Corp.*+		20,200		335,118
Life Sciences Tools & Services - 2.97%
Cambrex Corp.*		13,200		580,008
PAREXEL International Corp.*		8,000		514,480
				1,094,488
Machinery - 4.52%
Greenbrier Companies., Inc. (The)		8,600		402,910
John Bean Technologies Corp.		14,600		548,814
Wabash National Corp.*		15,300		191,862
Xerium Technologies, Inc.*		28,600		520,520
				1,664,106
Metals & Mining - 3.65%
Commercial Metals Co.		32,500		522,600
Kaiser Aluminum Corp.		6,900		573,252
U.S. Silica Holdings, Inc.+		8,400		246,624
				1,342,476
Oil, Gas & Consumable Fuels - 1.43%
Western Refining, Inc.		12,100		527,802
Personal Products - 1.49%
USANA Health Sciences, Inc.*+		4,000		546,640
Pharmaceuticals - 0.78%
Lannett Co., Inc.*+		4,800		285,312
Professional Services - 2.95%
Barrett Business Services, Inc.+		15,100		548,432
TrueBlue, Inc.*		18,000		538,200
				1,086,632

Industry Company	Shares		Value
Real Estate Investment Trusts (REITs) - 0.39%
Saul Centers, Inc.+		2,900		$   142,651
Real Estate Management & Development - 1.61%
Altisource Portfolio Solutions SA*+		19,200		591,168
Road & Rail - 2.65%
Knight Transportation, Inc.		13,700		366,338
P.A.M. Transportation Services, Inc.*		4,402		255,536
Saia, Inc.*		8,950		351,645
				973,519
Semiconductors & Semiconductor Equipment - 1.44%
Cascade Microtech, Inc.*		34,800		529,830
Software - 6.00%
ACI Worldwide, Inc.*		4,300		105,651
Aspen Technology, Inc.*		4,700		214,085
ePlus, Inc.*		5,500		421,575
Fair Isaac Corp.		6,100		553,758
Manhattan Associates, Inc.*		9,200		548,780
Pegasystems, Inc.		5,200		119,028
Take-Two Interactive Software, Inc.*		8,900		245,373
				2,208,250
Specialty Retail - 3.75%
Lithia Motors, Inc., Class A		4,700		531,852
Outerwall, Inc.+		3,900		296,829
Pier 1 Imports, Inc.+		4,200		53,046
Select Comfort Corp.*		16,600		499,162
				1,380,889
Textiles, Apparel & Luxury Goods - 1.43%
G-III Apparel Group, Ltd.*		7,500		527,625
Thrifts & Mortgage Finance - 2.56%
BofI Holding, Inc.*		5,200		549,692
Meridian Bancorp, Inc.*		29,200		391,572
				941,264
Trading Companies & Distributors - 1.48%
Watsco, Inc.		4,400		544,456
TOTAL COMMON STOCKS - 98.15%				36,120,378
(Cost $30,374,590)

55 Annual Report  |  June 30, 2015

Small-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

	Rate^	Shares	Value
MONEY MARKET FUND - 0.53%
Dreyfus Cash Management Fund	0.04%	195,266		$195,266
TOTAL MONEY MARKET FUND - 0.53%				195,266
(Cost $195,266)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 14.74%
Dreyfus Cash Management Fund**	0.04%	5,424,205		5,424,205
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 14.74%				5,424,205
(Cost $5,424,205)
TOTAL INVESTMENTS - 113.42%				$41,739,849
(Cost $35,994,061)
Liabilities in Excess of Other Assets - (13.42%)				(4,938,554	)
NET ASSETS - 100.00%				$36,801,295
*      Non-income producing security.
**     This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^      Rate disclosed as of June 30, 2015.
+     This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $5,333,433 as of June 30, 2015.

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	36,120,378	$	—	$	—	$	36,120,378
Money Market Fund		—		195,266		—		195,266
Investments Purchased with Cash Proceeds from Securities Lending		—		5,424,205		—		5,424,205
TOTAL	$	36,120,378	$	5,619,471	$	—	$	41,739,849

See Notes to Financial Statements.

www.bridgeway.com 56

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

June 30, 2015

Dear Fellow Small-Cap Value Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 1.02%, outperforming our primary market benchmark, the Russell 2000 Value Index (-1.20%), but underperforming our peer benchmark, the Lipper Small-Cap Value Funds Index (-0.46%). This was a mixed quarter on a relative basis.

For the fiscal year, our Fund declined 2.10%, trailing both of our benchmarks. We are leading our primary market benchmark and peer benchmark in the longer five-year period, but we are still lagging our primary and peer benchmarks in the 10-year and inception-to-date periods.

The table below presents our June quarter, one-year, five-year, 10-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

			Annualized
	Quarter	1 Year	5 Years	10 Years	Since Inception     (10/31/03)
Small-Cap Value Fund	-1.02%	-2.10%	15.60%	6.48%	7.78%
Russell 2000 Value Index	-1.20%	0.78%	14.81%	6.87%	8.46%
Lipper Small-Cap Value Funds Index	-0.46%	-0.22%	14.64%	7.55%	9.02%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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, 2015, Small-Cap Value Fund ranked 249th of 312 small-cap value funds for the 12 months ending June 30, 2015, 94th of 217 over the last five years, 120th of 150 over the last 10 years, and 95th of 111 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, 2015

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 6/30/15

Detailed Explanation of Quarterly Performance

The Fund’s exposure to smaller market cap stocks and investment in deeper value stocks across multiple value metrics worked well this quarter, adding to relative performance versus our benchmark. Our company financial health models also performed well, while our overall value metrics and momentum models lagged. The Consumer Discretionary sector had the best relative performance.

Detailed Explanation of Fiscal Year Performance

The Fund’s exposure to deeper value and more volatile stocks contributed to the Fund’s underperformance for the fiscal year. Our company financial health models significantly lagged the primary benchmark performance, while our diversifying momentum models did well versus the benchmark. Our Energy sector holdings were hit hard during the year and detracted the most from our Fund’s absolute return. Overweighting in the Energy sector during a portion of the year and holdings in the Energy and Health Care sectors hurt the Fund’s relative performance.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net  Assets
1	Skechers U.S.A., Inc., Class A	Textiles, Apparel & Luxury Goods		2.7%
2	JetBlue Airways Corp.	Airlines		1.9%
3	Magellan Health, Inc.	Health Care Providers & Services		1.7%
4	Sanmina Corp.	Electronic Equipment, Instruments & Components		1.6%
5	Isle of Capri Casinos, Inc.	Hotels, Restaurants & Leisure		1.6%
6	Symetra Financial Corp.	Insurance		1.5%
7	Maiden Holdings, Ltd.	Insurance		1.5%
8	Multi-Color Corp.	Commercial Services & Supplies		1.4%
9	TTM Technologies, Inc.	Electronic Equipment, Instruments & Components		1.4%
10	EarthLink Holdings Corp.	Internet Software & Services		1.3%
	Total			16.6%

www.bridgeway.com 58

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

Industry Sector Representation as of June 30, 2015

	% of Net Assets		% of Russell 2000 Value Index		Difference
Consumer Discretionary		17.5%		10.8%		6.7%
Consumer Staples		2.6%		3.0%		-0.4%
Energy		5.6%		6.3%		-0.7%
Financials		32.7%		41.7%		-9.0%
Health Care		6.8%		4.2%		2.6%
Industrials		18.6%		12.4%		6.2%
Information Technology		9.1%		10.3%		-1.2%
Materials		4.0%		3.9%		0.1%
Telecommunication Services		0.6%		0.9%		-0.3%
Utilities		3.5%		6.5%		-3.0%
Cash & Other Assets		-1.0%		0.0%		-1.0%
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, 2015, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

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

Conclusion

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

Sincerely,

The Investment Management Team

59 Annual Report  |  June 30, 2015

Small-Cap Value Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 101.01%
Air Freight & Logistics - 2.48%
Atlas Air Worldwide Holdings, Inc.*		16,200		$    890,352
XPO Logistics, Inc.*+		20,500		926,190
				1,816,542
Airlines - 4.66%
Hawaiian Holdings, Inc.*		41,100		976,125
JetBlue Airways Corp.*		67,400		1,399,224
Republic Airways Holdings, Inc.*		60,900		559,062
SkyWest, Inc.		31,700		476,768
				3,411,179
Auto Components - 0.92%
Strattec Security Corp.		9,800		673,260
Biotechnology - 0.83%
PDL BioPharma, Inc.+		94,400		606,992
Building Products - 1.07%
Advanced Drainage Systems, Inc.		26,700		783,111
Capital Markets - 2.12%
Calamos Asset Management, Inc., Class A		56,500		692,125
INTL FCStone, Inc.*		25,800		857,592
				1,549,717
Commercial Banks - 6.13%
First BanCorp.*		118,000		568,760
FNB Corp.		53,100		760,392
Independent Bank Corp., MA		17,200		806,508
Talmer Bancorp, Inc., Class A		54,900		919,575
Valley National Bancorp		58,000		597,980
Wilshire Bancorp, Inc.		66,100		834,843
				4,488,058
Commercial Services & Supplies - 3.13%
ABM Industries, Inc.		18,500		608,095
ACCO Brands Corp.*		85,600		665,112
Multi-Color Corp.		15,900		1,015,692
				2,288,899
Consumer Finance - 1.70%
Cash America International, Inc.		22,200		581,418
Nelnet, Inc., Class A		15,400		666,974
				1,248,392

Industry Company	Shares		Value
Containers & Packaging - 0.95%
Graphic Packaging Holding Co.		50,100		$   697,893
Distributors - 1.30%
Core-Mark Holding Co., Inc.		16,100		953,925
Diversified Consumer Services - 1.09%
Matthews International Corp., Class A		15,000		797,100
Diversified Financial Services - 1.50%
Enova International, Inc.*		20,313		379,447
Ladder Capital Corp.		41,500		720,025
				1,099,472
Diversified Telecommunication Services - 0.59%
Intelsat SA*+		43,200		428,544
Electric Utilities - 0.62%
Empire District Electric Co. (The)+		21,000		457,800
Electrical Equipment - 1.09%
General Cable Corp.		40,600		801,038
Electronic Equipment, Instruments & Components - 3.00%
Sanmina Corp.*		58,700		1,183,392
TTM Technologies, Inc.*		101,500		1,013,985
				2,197,377
Food & Staples Retailing - 1.12%
Ingles Markets, Inc., Class A		17,100		816,867
Food Products - 1.48%
Cal-Maine Foods, Inc.		10,300		537,660
Sanderson Farms, Inc.+		7,300		548,668
				1,086,328
Gas Utilities - 0.87%
Chesapeake Utilities Corp.		11,900		640,815
Health Care Providers & Services - 5.98%
AMN Healthcare Services, Inc.*		23,600		745,524
Bio-Reference Laboratories, Inc.*+		23,500		969,375
Magellan Health, Inc.*		18,200		1,275,274
Owens & Minor, Inc.		23,500		799,000
RadNet, Inc.*		88,500		592,065
				4,381,238
Hotels, Restaurants & Leisure - 5.98%
BJ’s Restaurants, Inc.*		15,000		726,750

www.bridgeway.com 60

Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Cracker Barrel Old Country Store, Inc.+		5,400		$   805,464
Isle of Capri Casinos, Inc.*		62,700		1,138,005
Marriott Vacations Worldwide Corp.		8,800		807,400
Penn National Gaming, Inc.*		49,100		900,985
				4,378,604
Insurance - 9.31%
American Equity Investment Life Holding Co.		28,600		771,628
AmTrust Financial Services, Inc.+		13,600		890,936
Fidelity & Guaranty Life		34,000		803,420
Maiden Holdings, Ltd.		67,500		1,065,150
Navigators Group, Inc. (The)*		6,700		519,652
OneBeacon Insurance Group, Ltd., Class A		60,220		873,792
Selective Insurance Group, Inc.		27,500		771,375
Symetra Financial Corp.		46,500		1,123,905
				6,819,858
Internet & Catalog Retail - 1.72%
1-800-Flowers.com, Inc., Class A*		78,900		825,294
Lands’ End, Inc.*+		17,600		437,008
				1,262,302
Internet Software & Services - 1.35%
EarthLink Holdings Corp.		132,000		988,680
IT Services - 2.27%
Convergys Corp.+		31,700		808,033
Unisys Corp.*		42,900		857,571
				1,665,604
Machinery - 4.08%
Global Brass & Copper Holdings, Inc.		38,200		649,782
Greenbrier Companies., Inc. (The)		11,700		548,145
Lydall, Inc.*		31,000		916,360
Meritor, Inc.*		66,400		871,168
				2,985,455
Marine - 1.31%
Matson, Inc.		22,800		958,512
Metals & Mining - 1.97%
Century Aluminum Co.*		69,600		725,928

Industry Company	Shares		Value
Metals & Mining (continued)
Kaiser Aluminum Corp.		8,600		$   714,488
				1,440,416
Multi-Utilities - 0.96%
Black Hills Corp.		16,100		702,765
Oil, Gas & Consumable Fuels - 5.55%
Alon USA Energy, Inc.		48,600		918,540
Energy XXI, Ltd.+		31,100		81,793
Green Plains, Inc.		23,500		647,425
Pacific Ethanol, Inc.*+		36,800		379,776
Renewable Energy Group, Inc.*		77,000		890,120
Ship Finance International, Ltd.+		44,900		732,768
Stone Energy Corp.*		32,966		415,042
				4,065,464
Paper & Forest Products - 1.10%
Neenah Paper, Inc.		13,700		807,752
Real Estate Investment Trusts (REITs) - 10.23%
Chambers Street Properties		103,000		818,850
Education Realty Trust, Inc.		26,233		822,667
EPR Properties		15,700		860,046
FelCor Lodging Trust, Inc.		81,000		800,280
Geo Group, Inc. (The)		17,400		594,384
Government Properties Income Trust+		34,300		636,265
Hudson Pacific Properties, Inc.		32,300		916,351
Inland Real Estate Corp.		75,500		711,210
Ramco-Gershenson Properties Trust		45,400		740,928
Summit Hotel Properties, Inc.		45,400		590,654
				7,491,635
Semiconductors & Semiconductor Equipment - 1.21%
Amkor Technology, Inc.*		148,000		885,040
Software - 1.26%
Mentor Graphics Corp.		35,000		925,050
Specialty Retail - 2.82%
Build-A-Bear Workshop, Inc.*		29,750		475,702
Outerwall, Inc.+		12,600		958,986
Stage Stores, Inc.		35,800		627,574
				2,062,262

61 Annual Report  |  June 30, 2015

Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares	Value
Common Stocks (continued)
Textiles, Apparel & Luxury Goods - 3.71%
Perry Ellis International, Inc.*	29,800	$	708,346
Skechers U.S.A., Inc., Class A*	18,300		2,009,157
			2,717,503
Thrifts & Mortgage Finance - 1.73%
Capitol Federal Financial, Inc.	71,900		865,676
Clifton Bancorp, Inc.	28,900		404,311
			1,269,987
Trading Companies & Distributors - 0.79%
Rush Enterprises, Inc., Class A*	22,100		579,241
Water Utilities - 1.03%
California Water Service Group	33,000		754,050
TOTAL COMMON STOCKS - 101.01%			73,984,727
(Cost $71,094,094)

	Rate^	Shares	Value
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 11.10%
Dreyfus Cash Management Fund**	0.04%	8,128,231		8,128,231
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 11.10%				8,128,231
(Cost $8,128,231)
Total Investments - 112.11%			$	82,112,958
(Cost $79,222,325)
Liabilities in Excess of Other Assets - (12.11%)				(8,871,720	)
NET ASSETS - 100.00%			$	73,241,238

*      Non-income producing security.

**     This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.

^      Rate disclosed as of June 30, 2015.

+     This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $8,060,854 as of June 30, 2015.

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	73,984,727	$	—	$	—	$	73,984,727
Investments Purchased with Cash Proceeds from Securities Lending		—		8,128,231		—		8,128,231
TOTAL	$	73,984,727	$	8,128,231	$	—	$	82,112,958

See Notes to Financial Statements

www.bridgeway.com 62

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

June 30, 2015

Dear Fellow Large-Cap Growth Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 0.84%, underperforming our primary market benchmark, the Russell 1000 Growth Index (+0.12%), and our peer benchmark, the Lipper Large-Cap Growth Funds Index (+0.94%). It was a poor quarter.

For the fiscal year, our Fund was up 16.19%, beating our primary market benchmark, the Russell 1000 Growth Index (+10.56%), and our peer benchmark, the Lipper Large-Cap Growth Funds Index (+10.56%). It was a good year for the Fund on an absolute and relative basis. We are now leading our benchmarks in the five-year period but, we are slightly lagging our primary benchmark in the longer 10-year and inception-to-date periods.

The table below presents our June quarter, one-year, five-year, 10-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

			Annualized
	Quarter	1 Year	5 Years	10 Years	Since Inception (10/31/03)
Large-Cap Growth Fund	-0.84%	16.19%	19.32%	8.60%	8.21%
Russell 1000 Growth Index	0.12%	10.56%	18.59%	9.10%	8.57%
Lipper Large-Cap Growth Funds Index	0.94%	10.56%	17.23%	7.97%	7.68%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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, 2015, Large-Cap Growth Fund ranked 21st of 566 multi-cap growth funds for the 12 months ending June 30, 2015, 58th of 409 over the last five years, 142nd of 276 over the last 10 years, and 151st of 251 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.

63 Annual Report  |  June 30, 2015

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 6/30/15

Detailed Explanation of Quarterly Performance

Stocks at the very largest end of the size spectrum performed the best within the large-cap universe for the quarter. The Fund’s non-market-cap weighted design, which gives us more exposure to smaller companies within the large-cap universe of stocks, hurt relative returns versus the Russell 1000 Growth Index. With respect to our models, our company financial health models performance was mixed, our diversifying value metrics models generally lagged for the quarter, while our diversifying momentum models performed well.

Detailed Explanation of Fiscal Year Performance

The Fund outperformed its primary benchmark, the Russell 1000 Growth Index, for the fiscal year. Although the Fund’s non-market-cap weighted design hurt relative returns, performance was boosted by strong performance by our company financial health and diversifying momentum models. Strong stock selection in the Health Care, Industrials and Information Technology sectors also contributed to the Fund’s outperformance.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	HCA Holdings, Inc.	Health Care Providers & Services		2.3%
2	Aetna, Inc.	Health Care Providers & Services		2.2%
3	Foot Locker, Inc.	Specialty Retail		2.1%
4	Kroger Co. (The)	Food & Staples Retailing		2.0%
5	Tesoro Corp.	Oil, Gas & Consumable Fuels		1.8%
6	Apple, Inc.	Computers & Peripherals		1.7%
7	Lear Corp.	Auto Components		1.7%
8	Under Armour, Inc., Class A	Textiles, Apparel & Luxury Goods		1.4%
9	United Continental Holdings, Inc.	Airlines		1.3%
10	BioMarin Pharmaceutical, Inc.	Biotechnology		1.3%
	Total			17.8%

www.bridgeway.com 64

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

Industry Sector Representation as of June 30, 2015

	% of Net Assets		% of Russell 1000 Growth Index		Difference
Consumer Discretionary		19.4%		21.0%		-1.6%
Consumer Staples		9.6%		10.5%		-0.9%
Energy		5.5%		1.0%		4.5%
Financials		8.6%		5.2%		3.4%
Health Care		16.8%		18.3%		-1.5%
Industrials		10.9%		11.1%		-0.2%
Information Technology		23.6%		27.1%		-3.5%
Materials		4.1%		3.9%		0.2%
Telecommunication Services		0.5%		1.8%		-1.3%
Utilities		0.0%		0.0%		0.0%
Cash & Other Assets		1.1%		0.0%		1.1%
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, 2015, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

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

Conclusion

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

Sincerely,

The Investment Management Team

65 Annual Report  |  June 30, 2015

Large-Cap Growth Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 98.66%
Aerospace & Defense - 3.03%
Honeywell International, Inc.		13,400		$1,366,398
Huntington Ingalls Industries, Inc.		15,100		1,700,109
Lockheed Martin Corp.		9,000		1,673,100
				4,739,607
Airlines - 4.12%
Alaska Air Group, Inc.		22,900		1,475,447
Delta Air Lines, Inc.		38,900		1,598,012
Southwest Airlines Co.		39,700		1,313,673
United Continental Holdings, Inc.*		38,800		2,056,788
				6,443,920
Auto Components - 1.68%
Lear Corp.		23,500		2,638,110
Beverages - 2.47%
Constellation Brands, Inc., Class A		6,700		777,334
Monster Beverage Corp.*		15,000		2,010,300
PepsiCo, Inc.		11,600		1,082,744
				3,870,378
Biotechnology - 5.89%
Amgen, Inc.		3,800		583,376
BioMarin Pharmaceutical, Inc.*		14,900		2,038,022
Gilead Sciences, Inc.		15,500		1,814,740
Incyte Corp. Ltd*		11,300		1,177,573
Regeneron Pharmaceuticals, Inc.*		3,700		1,887,481
United Therapeutics Corp.*		9,900		1,722,105
				9,223,297
Chemicals - 4.12%
Airgas, Inc.		9,400		994,332
Celanese Corp., Class A		10,500		754,740
Dow Chemical Co. (The)		18,500		946,645
LyondellBasell Industries NV, Class A		15,100		1,563,152
Praxair, Inc.		6,400		765,120
Sherwin-Williams Co. (The)		5,200		1,430,104
				6,454,093
Commercial Services & Supplies - 1.86%
Cintas Corp.		15,400		1,302,686
Waste Management, Inc.		34,700		1,608,345
				2,911,031
Communications Equipment - 0.39%
F5 Networks, Inc.*		5,100		613,785

Industry Company	Shares		Value
Computers & Peripherals - 1.74%
Apple, Inc.		21,700		$   2,721,723
Consumer Finance - 3.90%
Ally Financial, Inc.*		70,900		1,590,287
Navient Corp.		75,100		1,367,571
Santander Consumer USA Holdings, Inc.*		62,400		1,595,568
Synchrony Financial*		47,000		1,547,710
				6,101,136
Diversified Financial Services - 0.70%
Voya Financial, Inc.		23,600		1,096,692
Diversified Telecommunication Services - 0.53%
Verizon Communications, Inc.		17,900		834,319
Electronic Equipment, Instruments & Components - 1.07%
Amphenol Corp., Class A		28,800		1,669,536
Energy Equipment & Services - 0.59%
Halliburton Co.		21,300		917,391
Food & Staples Retailing - 6.48%
Costco Wholesale Corp.		11,500		1,553,190
CVS Health Corp.		15,400		1,615,152
Kroger Co. (The)		43,100		3,125,181
Rite Aid Corp.*		208,500		1,740,975
Sysco Corp.		35,500		1,281,550
Walgreens Boots Alliance, Inc.		9,700		819,068
				10,135,116
Food Products - 0.62%
Pilgrim’s Pride Corp.+		42,000		964,740
Gas Utilities - 0.22%
ONEOK, Inc.		8,700		343,476
Health Care Equipment & Supplies - 0.45%
C.R. Bard, Inc.		4,100		699,870
Health Care Providers & Services - 8.66%
Aetna, Inc.		27,500		3,505,150
Cardinal Health, Inc.		19,100		1,597,715
Centene Corp.*		24,400		1,961,760
Cigna Corp.		10,500		1,701,000
Envision Healthcare Holdings, Inc.*		31,300		1,235,724
HCA Holdings, Inc.*		39,100		3,547,152
				13,548,501
Hotels, Restaurants & Leisure - 1.64%
Chipotle Mexican Grill, Inc.*		1,000		604,990

www.bridgeway.com 66

Large-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Hilton Worldwide Holdings, Inc.*		48,000		$1,322,400
Marriott International, Inc., Class A		8,700		647,193
				2,574,583
Household Durables - 0.87%
Jarden Corp.*		26,300		1,361,025
Insurance - 3.53%
Arch Capital Group, Ltd.*		25,200		1,687,392
Marsh & McLennan Cos., Inc.		14,400		816,480
Reinsurance Group of America, Inc.		18,400		1,745,608
Travelers Cos., Inc. (The)		13,200		1,275,912
				5,525,392
Internet & Catalog Retail - 0.37%
Priceline Group, Inc. (The)*		500		575,685
Internet Software & Services - 2.94%
Facebook, Inc., Class A*		22,000		1,886,830
Google, Inc., Class C*		3,300		1,717,683
Rackspace Hosting, Inc.*		26,700		992,973
				4,597,486
IT Services - 5.67%
Accenture PLC, Class A		7,100		687,138
Automatic Data Processing, Inc.		7,000		561,610
Broadridge Financial Solutions, Inc.		32,300		1,615,323
Cognizant Technology Solutions Corp., Class A*		11,800		720,862
Fidelity National Information Services, Inc.		24,000		1,483,200
Fiserv, Inc.*		18,600		1,540,638
Paychex, Inc.		33,600		1,575,168
Visa, Inc., Class A		10,400		698,360
				8,882,299
Leisure Equipment & Products - 0.42%
Polaris Industries, Inc.		4,400		651,684
Life Sciences Tools & Services - 0.77%
Illumina, Inc.*		5,500		1,200,980
Media - 1.83%
Comcast Corp., Class A		15,800		950,212
FactSet Research Systems, Inc.		11,800		1,917,618
				2,867,830

Industry Company	Shares		Value
Oil, Gas & Consumable Fuels - 4.67%
Chesapeake Energy Corp.+		104,500		$1,167,265
Marathon Petroleum Corp.		33,400		1,747,154
Tesoro Corp.		33,000		2,785,530
Valero Energy Corp.		25,600		1,602,560
				7,302,509
Pharmaceuticals - 0.97%
Allergan PLC*		5,000		1,517,300
Professional Services - 0.74%
Robert Half International, Inc.		20,800		1,154,400
Real Estate Investment Trusts (REITs) - 0.41%
Federal Realty Investment Trust		5,000		640,450
Road & Rail - 1.10%
Avis Budget Group, Inc.*		10,000		440,800
Union Pacific Corp.		13,400		1,277,958
				1,718,758
Semiconductors & Semiconductor Equipment - 5.17%
Avago Technologies Ltd.		13,100		1,741,383
Freescale Semiconductor Ltd.*		28,200		1,127,154
Intel Corp.		17,200		523,138
Microchip Technology, Inc.+		11,800		559,615
Micron Technology, Inc.*		40,500		763,020
QUALCOMM, Inc.		24,400		1,528,172
Skyworks Solutions, Inc.		17,700		1,842,570
				8,085,052
Software - 6.43%
Electronic Arts, Inc.*		21,200		1,409,800
Fortinet, Inc.*		39,700		1,640,801
Intuit, Inc.		7,200		725,544
Microsoft Corp.		28,000		1,236,200
Oracle Corp.		14,700		592,410
Red Hat, Inc.*		25,400		1,928,622
salesforce.com, inc.*		10,300		717,189
ServiceNow, Inc.*		24,500		1,820,595
				10,071,161
Specialty Retail - 11.26%
Best Buy Co., Inc.		47,600		1,552,236
CarMax, Inc.*		26,900		1,781,049
Foot Locker, Inc.		49,300		3,303,593
Home Depot, Inc. (The)		13,600		1,511,368
L Brands, Inc.		17,200		1,474,556
Lowe’s Companies, Inc.		28,100		1,881,857
O’Reilly Automotive, Inc.*		8,800		1,988,624

67 Annual Report  |  June 30, 2015

Large-Cap Growth Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company		Shares		Value
Common Stocks (continued)
Specialty Retail (continued)
Ross Stores, Inc.			21,600		$1,049,976
Ulta Salon Cosmetics & Fragrance, Inc.*			13,000		2,007,850
Williams-Sonoma, Inc.			13,100		1,077,737
					17,628,846
Textiles, Apparel & Luxury Goods - 1.35%
Under Armour, Inc., Class A*+			25,300		2,111,032
TOTAL COMMON STOCKS - 98.66%					154,393,193
(Cost $139,336,461)
	Rate^	Shares		Value
MONEY MARKET FUND - 2.17%
Dreyfus Cash Management Fund	0.04%		3,392,947		3,392,947
TOTAL MONEY MARKET FUND - 2.17%					3,392,947
(Cost $3,392,947)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.14%
Dreyfus Cash Management Fund**	0.04%		4,920,115		4,920,115
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.14%					4,920,115
(Cost $4,920,115)
TOTAL INVESTMENTS - 103.97%					$162,706,255
(Cost $147,649,523)
Liabilities in Excess of Other Assets - (3.97%)					(6,212,950	)
NET ASSETS - 100.00%					$156,493,305

*	Non-income producing security.
**	This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^	Rate disclosed as of June 30, 2015.
+	This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $4,802,652 as of June 30, 2015.

PLC - Public Limited Company

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	154,393,193	$	—	$	—	$	154,393,193
Money Market Fund		—		3,392,947		—		3,392,947
Investments Purchased with Cash Proceeds from Securities Lending		—		4,920,115		—		4,920,115
TOTAL	$	154,393,193	$	8,313,062	$	—	$	162,706,255

See Notes to Financial Statements.

www.bridgeway.com 68

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

June 30, 2015

Dear Fellow Blue Chip 35 Index Fund Shareholder,

For the quarter ended June 30, 2015, our Fund appreciated 1.11%, outperforming our primary market benchmark, the S&P 500 Index (+0.28%), and our peer benchmark, the Lipper Large-Cap Core Funds Index (-0.07%), but trailing the Russell Top

50 Mega Cap Index (+1.47%). It was a good quarter on a relative basis.

For the fiscal year, our Fund was up 5.77%, trailing our primary benchmark, the S&P 500 Index (+7.42%), and the Russell Top 50 Mega Cap Index (+7.37%). Our Fund beat our peer benchmark, the Lipper Large-Cap Core Funds Index (+5.25%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

					Annualized
	Quarter		1 Year		5 Years		10 Years		15 Years		Since Inception   (7/31/97)
Blue Chip 35 Index Fund		1.11%		5.77%		16.28%		7.72%		3.81%	6.55%
S&P 500 Index		0.28%		7.42%		17.34%		7.89%		4.36%	6.34%
Russell Top 50 Mega Cap Index		1.47%		7.37%		16.19%		6.99%		2.21%	5.07%
Lipper Large-Cap Core Funds Index		-0.07%		5.25%		15.82%		7.20%		3.49%	5.54%
Bridgeway Ultra-Large 35 Index		1.22%		5.96%		16.50%		7.95%		4.10%	6.73%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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 Mega Cap 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 comprising very large, “blue chip” U.S. stocks, excluding tobacco companies; 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, 2015, Blue Chip 35 Index Fund ranked 484th of 845 large-cap core funds for the 12 months ending June 30, 2015, 300th of 690 over the last five years, 153rd of 492 over the last 10 years, and 47th of 175 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.

69 Annual Report  |  June 30, 2015

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

Blue Chip 35 Index Fund vs. S&P 500 Index, Russell Top 50 Mega Cap Index, Bridgeway Ultra-Large 35 Index & Lipper Large-Cap Core Funds Index from Inception 7/31/97 to 6/30/15

Quarterly and Fiscal Year Performance by Company Size:

As demonstrated in the table below, ultra-large stocks (decile 1), the substance of our Fund, performed better than other large-cap stocks for the quarter. This provided a considerable advantage over the S&P 500 Index, which includes smaller sized large-cap stocks.

Momentum was a strong factor for the fiscal year, which hurt our Fund’s performance relative to its market-cap weighted benchmark. By design, the Fund is “roughly equally weighted.” In order to achieve a roughly equal weighting, additional weight is given to the stocks with the greatest decline in price. By contrast, a market-cap weighted index gives more weight to stocks that have appreciated the most in price (i.e., experienced positive momentum). Thus, the market-cap weighted S&P 500 Index had an advantage in this fiscal year’s market environment.

While sector allocation was not a significant contributor to performance for the year, the Fund was overweighted in the lagging Energy sector and underweighted in the strongly performing Health Care sector.

The table below presents index performance numbers of stocks in the different deciles for various time periods.

CRSP Decile1	Quarter		1 Year		5 Years		10 Years		89.5 Years
1 (ultra-large)		0.79%		7.21%		16.89%		7.66%		9.33%
2		-1.61%		7.54%		18.68%		9.45%		10.60%
3		-0.77%		8.75%		18.76%		9.49%		11.12%
4		0.09%		4.06%		18.90%		10.13%		11.00%
5		-0.38%		4.62%		18.71%		11.46%		11.65%
6		1.33%		3.47%		18.67%		9.45%		11.50%
7		0.92%		5.86%		18.84%		10.25%		11.64%
8		1.79%		5.13%		17.89%		10.40%		11.68%
9		0.95%		2.31%		16.85%		8.97%		11.59%
10 (ultra-small)		0.51%		1.45%		15.43%		9.19%		13.49%

¹ Performance figures are as of the period ended June 30, 2015. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of 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 70

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

Contribution to Returns for Blue Chip 35 Index Fund stocks for the fiscal year June 30, 2015:

Rank	Company	Industry	% Contribution to Return
1	Apple Inc.	Information Technology		1.3%
2	CVS Health Corporation	Consumer Staples		1.2%
3	Gilead Sciences, Inc.	Health Care		1.1%
4	Amazon.com, Inc.	Consumer Discretionary		0.9%
5	Visa Inc. Class A	Information Technology		0.8%
6	Walt Disney Company	Consumer Discretionary		0.8%
7	JPMorgan Chase & Co.	Financials		0.5%
8	Pfizer Inc.	Health Care		0.4%
9	Cisco Systems, Inc.	Information Technology		0.4%
10	Comcast Corporation Class A	Consumer Discretionary		0.3%
11	3M Company	Industrials		0.3%
12	Bank of America Corporation	Financials		0.3%
13	Wells Fargo & Company	Financials		0.3%
14	Microsoft Corporation	Information Technology		0.2%
15	Berkshire Hathaway Inc. Class B	Financials		0.2%
16	PepsiCo, Inc.	Consumer Staples		0.2%
17	AT&T Inc.	Telecommunication Services		0.2%
18	General Electric Company	Industrials		0.1%
19	Procter & Gamble Company	Consumer Staples		0.1%
20	Intel Corporation	Information Technology		0.1%
21	Oracle Corporation	Information Technology		0.0%
22	Merck & Co., Inc.	Health Care		0.0%
23	Verizon Communications Inc.	Telecommunication Services		0.0%
24	United Technologies Corporation	Industrials		0.0%
25	United Parcel Service, Inc. Class B	Industrials		0.0%
26	Wal-Mart Stores, Inc.	Consumer Staples		-0.1%
27	McDonald’s Corporation	Consumer Discretionary		-0.1%
28	Johnson & Johnson	Health Care		-0.1%
29	Google Inc. Class A	Information Technology		-0.1%
30	Coca-Cola Company	Consumer Staples		-0.1%
31	Google Inc. Class C	Information Technology		-0.1%
32	International Business Machines Corporation	Information Technology		-0.2%
33	Exxon Mobil Corporation	Energy		-0.4%
34	QUALCOMM Incorporated	Information Technology		-0.5%
35	Chevron Corporation	Energy		-0.7%
36	ConocoPhillips	Energy		-0.8%
37	Schlumberger NV	Energy		-0.9%

71 Annual Report  |  June 30, 2015

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

Industry Sector Representation as of June 30, 2015

	% of Net Assets	% of S&P 500 Index	Difference
Consumer Discretionary	11.6%	12.8%	-1.2%
Consumer Staples	14.0%	9.4%	4.6%
Energy	10.3%	7.9%	2.4%
Financials	11.3%	16.6%	-5.3%
Health Care	11.3%	15.4%	-4.1%
Industrials	10.4%	10.1%	0.3%
Information Technology	25.8%	19.6%	6.2%
Materials	0.0%	3.1%	-3.1%
Telecommunication Services	5.4%	2.3%	3.1%
Utilities	0.0%	2.8%	-2.8%
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 concerning 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, 2015, 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 72

Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.87%
Aerospace & Defense - 2.55%
United Technologies Corp.		137,780		$15,283,935
Air Freight & Logistics - 2.56%
United Parcel Service, Inc., Class B		158,863		15,395,413
Beverages - 5.11%
Coca-Cola Co. (The)		391,014		15,339,479
PepsiCo, Inc.		164,505		15,354,897
				30,694,376
Biotechnology - 3.55%
Gilead Sciences, Inc.		182,300		21,343,684
Commercial Banks - 2.60%
Wells Fargo & Co.		277,659		15,615,542
Communications Equipment - 2.60%
Cisco Systems, Inc.		568,508		15,611,230
Computers & Peripherals - 3.93%
Apple, Inc.		188,350		23,623,799
Diversified Financial Services - 8.67%
Bank of America Corp.		1,064,708		18,121,330
Berkshire Hathaway, Inc., Class B*		112,250		15,278,348
JPMorgan Chase & Co.		275,995		18,701,421
				52,101,099
Diversified Telecommunication Services - 5.35%
AT&T, Inc.		471,725		16,755,672
Verizon Communications, Inc.		330,389		15,399,431
				32,155,103
Energy Equipment & Services - 2.60%
Schlumberger, Ltd.		181,500		15,643,485
Food & Staples Retailing - 6.29%
CVS Health Corp.		212,700		22,307,976
Wal-Mart Stores, Inc.		218,019		15,464,088
				37,772,064
Hotels, Restaurants & Leisure - 2.58%
McDonald’s Corp.		163,200		15,515,424
Household Products - 2.58%
Procter & Gamble Co. (The)		197,926		15,485,730
Industrial Conglomerates - 5.24%
3M Co.		99,350		15,329,705

Industry Company	Shares		Value
Industrial Conglomerates (continued)
General Electric Co.		608,143		$  16,158,360
				31,488,065
Internet & Catalog Retail - 3.23%
Amazon.com, Inc.*		44,700		19,403,823
Internet Software & Services - 2.51%
Google, Inc., Class A*		13,970		7,544,359
Google, Inc., Class C*		14,514		7,554,682
				15,099,041
IT Services - 6.07%
International Business Machines Corp.		94,167		15,317,204
Visa, Inc., Class A		314,500		21,118,675
				36,435,879
Media - 5.74%
Comcast Corp., Class A		255,200		15,347,728
Walt Disney Co. (The)		167,600		19,129,864
				34,477,592
Oil, Gas & Consumable Fuels - 7.73%
Chevron Corp.		158,795		15,318,954
ConocoPhillips		255,435		15,686,263
Exxon Mobil Corp.		185,787		15,457,478
				46,462,695
Pharmaceuticals - 7.70%
Johnson & Johnson		159,352		15,530,446
Merck & Co., Inc.		270,635		15,407,251
Pfizer, Inc.		457,244		15,331,391
				46,269,088
Semiconductors & Semiconductor Equipment - 5.17%
Intel Corp.		509,843		15,506,875
QUALCOMM, Inc.		248,400		15,557,292
				31,064,167
Software - 5.51%
Microsoft Corp.		401,245		17,714,967
Oracle Corp.		382,113		15,399,154
				33,114,121
TOTAL COMMON STOCKS - 99.87%				600,055,355
(Cost $405,201,281)

73 Annual Report  |  June 30, 2015

Blue Chip 35 Index Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

	Rate^	Shares	Value
MONEY MARKET FUND - 0.00%
Dreyfus Cash Management Fund	0.04%	618		$618
TOTAL MONEY MARKET FUND - 0.00%				618
(Cost $618)
TOTAL INVESTMENTS - 99.87%				$600,055,973
(Cost $405,201,899)
Other Assets in Excess of Liabilities - 0.13%				767,132
NET ASSETS - 100.00%				$600,823,105
*    Non-income producing security. ^    Rate disclosed as of June 30, 2015.

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	600,055,355	$	—	$	—	$	600,055,355
Money Market Fund		—		618		—		618
TOTAL	$	600,055,355	$	618	$	—	$	600,055,973

See Notes to Financial Statements.

www.bridgeway.com 74

Managed Volatility Fund MANAGER’S COMMENTARY (Unaudited)

June 30, 2015

Dear Fellow Managed Volatility Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 1.27%, lagging our primary market benchmark, the S&P 500 Index (+0.28%), our peer benchmark, the Lipper Balanced Funds Index (-0.41%), and the fixed income-only Bloomberg/EFFAS U.S. Government 1-3 Year Total Return Bond Index (+0.13%). Performance for the quarter was poor. This was only the third quarter in our 14-year history that the Fund’s performance was negative while the S&P 500 Index was positive. Fortunately, the decline was small, and as always, we caution against focusing on short-term performance – good or bad.

For the fiscal year, our Fund returned 0.92%, trailing the S&P 500 Index (+7.42%) and the Lipper Balanced Funds Index (+3.11%), but outperforming the fixed income-only Bloomberg/ EFFAS U.S. Government 1-3 Year Total Return Bond Index (+0.88%). The fiscal year return was also poor, relative to the S&P 500 Index. This was only the second time in our 14-year history that we captured so little (12.46%) of the S&P 500’s return in an up market; the other was the 2010 fiscal year, when we captured only 11.59% of the upside.

The table below presents our June quarter, one-year, five-year, 10-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2015

Annualized                   

	Quarter		1 Year		5 Years		10 Years		Since Inception     (6/30/01)
Managed Volatility Fund		-1.27%		0.92%		7.03%		3.55%		4.07%
S&P 500 Index		0.28%		7.42%		17.34%		7.89%		5.88%
Bloomberg/EFFAS U.S. Government 1-3 Year Total Return Bond Index		0.13%		0.88%		0.88%		2.56%		2.81%
Lipper Balanced Funds Index		-0.41%		3.11%		10.39%		6.10%		5.40%

Performance figures quoted in the table above 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 does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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, 2015, the Managed Volatility Fund ranked 174th of 289 Alternative Long/ Short equity funds for the 12-months ending June 30, 2015, 42nd of 89 over the last five years, 18th of 33 over the last ten years, and 5th of 15 funds since inception in June 2001. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

According to data from Morningstar as of June 30, 2015, the Managed Volatility Fund ranked 206th of 372 Long-Short funds for the 12-months ending June 30, 2015, 47th out of 96 funds over the last five years, and 22nd out of 33 funds over the last 10 years. Morningstar ranks funds in various fund categories by making comparative calculations using total returns.

75 Annual Report  |  June 30, 2015

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

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

from Inception 6/30/01 to 6/30/15

Detailed Explanation of Quarterly Performance

For the quarter, the Managed Volatility Fund had a negative return of 1.27%, underperforming the S&P 500 Index’s positive return of 0.28%. Each of the Fund’s components generated a negative return this quarter. The primary drivers of performance were the equities and futures components, contributing approximately -1.0% and -0.2%, respectively. The options and fixed-income components generated approximately -0.1% combined.

Detailed Explanation of Fiscal Year Performance

For the fiscal year, the Managed Volatility Fund had a positive return of 0.92%, underperforming the S&P 500 Index’s return of 7.42%. The primary drivers of performance were the equities, options and futures components, contributing approximately 2.15%, 1.6% and -2.89%, respectively. Fixed income generated approximately 0.05%. While short-term performance is out-side the desired 40% performance band (relative to the S&P 500), the Fund continues to perform as designed, particularly over longer time horizons. For 10 years and since inception, the Fund has captured 45% and 69%, respectively, of the S&P 500 Index’s return, with a standard deviation of approximately 55% less than that of the Index.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net  Assets
1	Marathon Petroleum Corp.	Oil, Gas & Consumable Fuels		1.2%
2	Micron Technology, Inc.	Semiconductors & Semiconductor Equipment		1.2%
3	Apple, Inc.	Computers & Peripherals		1.0%
4	United Continental Holdings, Inc.	Airlines		0.9%
5	Avis Budget Group, Inc.	Road & Rail		0.7%
6	Motorola Solutions, Inc.	Communications Equipment		0.7%
7	Exxon Mobil Corp.	Oil, Gas & Consumable Fuels		0.7%
8	Phillips 66	Oil, Gas & Consumable Fuels		0.7%
9	Northrop Grumman Corp.	Aerospace & Defense		0.7%
10	AutoZone, Inc.	Specialty Retail		0.7%
	Total			8.5%

www.bridgeway.com 76

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

Industry Sector Representation as of June 30, 2015

Asset Type	% of Net Assets
Common Stock		52.9%
Consumer Discretionary		10.8%
Consumer Staples		8.0%
Energy		12.0%
Financials		14.3%
Health Care		12.8%
Industrials		13.7%
Information Technology		19.3%
Materials		4.6%
Telecommunication Services		2.2%
Utilities		2.3%
U.S. Government Obligations		50.8%
Call Options Written		-0.8%
Put Options Written		-0.3%
Money Market Funds		4.9%
Liabilities in Excess of Other Assets		-7.5%
Total		100%

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, 2015, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. The Fund uses an option writing strategy in which the Fund may sell covered calls or secured put options. Options are subject to special risks and may not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potential normally associated with stocks. Finally, the Fund’s fixed-income holdings are subject to three types of risk. Interest rate risk is the chance that bond prices overall will decline as interest rates rise. Credit risk is the chance that a bond issuer will fail to pay interest and principal. Prepayment risk is the chance that 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 important to us.

Sincerely,

The Investment Management Team

77 Annual Report  |  June 30, 2015

Managed Volatility Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 52.94%
Aerospace & Defense - 1.77%
Honeywell International, Inc.		1,700		$  173,349
Lockheed Martin Corp.		870		161,733
Northrop Grumman Corp.#		2,600		412,438
Raytheon Co.#		1,800		172,224
United Technologies Corp.#		1,140		126,460
				1,046,204
Air Freight & Logistics - 0.35%
FedEx Corp.		1,200		204,480
Airlines - 1.13%
Southwest Airlines Co.#		4,200		138,978
United Continental Holdings, Inc.*#		10,000		530,100
				669,078
Auto Components - 0.45%
Delphi Automotive PLC#		900		76,581
Goodyear Tire & Rubber Co. (The)#		4,700		141,705
Johnson Controls, Inc.		900		44,577
				262,863
Automobiles - 0.39%
Ford Motor Co.#		9,900		148,599
General Motors Co.#		2,500		83,325
				231,924
Beverages - 1.26%
Brown-Forman Corp., Class B		2,425		242,937
Coca-Cola Co. (The)		2,500		98,075
Constellation Brands, Inc., Class A#		2,100		243,642
PepsiCo, Inc.#		1,700		158,678
				743,332
Biotechnology - 1.92%
Alexion Pharmaceuticals, Inc,*		500		90,385
Amgen, Inc.#		1,600		245,632
Biogen, Inc.*#		900		363,546
Celgene Corp.*		1,100		127,309
Gilead Sciences, Inc.#		2,600		304,408
				1,131,280
Capital Markets - 1.30%
Ameriprise Financial, Inc.		680		84,952
BlackRock, Inc.		200		69,196

Industry Company	Shares		Value
Capital Markets (continued)
Charles Schwab Corp. (The)		7,100		$    231,815
Goldman Sachs Group, Inc. (The)		700		146,153
Morgan Stanley		3,300		128,007
State Street Corp.		1,400		107,800
				767,923
Chemicals - 1.36%
Dow Chemical Co. (The)#		2,700		138,159
LyondellBasell Industries NV, Class A#		1,200		124,224
Monsanto Co.		900		95,931
PPG Industries, Inc.		800		91,776
Praxair, Inc.#		1,200		143,460
Sherwin-Williams Co. (The)		400		110,008
Sigma-Aldrich Corp.		700		97,545
				801,103
Commercial Banks - 1.64%
BB&T Corp.		1,500		60,465
Comerica, Inc.		1,100		56,452
Huntington Bancshares, Inc.		7,700		87,087
KeyCorp		4,800		72,096
PNC Financial Services Group, Inc. (The)#		2,100		200,865
U.S. Bancorp		4,100		177,940
Wells Fargo & Co.#		5,571		313,313
				968,218
Commercial Services & Supplies - 0.47%
Tyco International PLC#		4,400		169,312
Waste Management, Inc.		2,300		106,605
				275,917
Communications Equipment - 1.57%
Cisco Systems, Inc.		12,500		343,250
Juniper Networks, Inc.#		5,900		153,223
Motorola Solutions, Inc.#		7,500		430,050
				926,523
Computers & Peripherals - 1.88%
Apple, Inc.#		4,700		589,498
EMC Corp.#		6,600		174,174
Hewlett-Packard Co.#		5,900		177,059
SanDisk Corp.#		1,300		75,686
Western Digital Corp.#		1,200		94,104
				1,110,521

www.bridgeway.com 78

Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Consumer Finance - 0.47%
American Express Co.#		1,300		$  101,036
Capital One Financial Corp.#		2,000		175,940
				276,976
Containers & Packaging - 0.05%
Ball Corp.		400		28,060
Diversified Financial Services - 1.75%
Bank of America Corp.		7,800		132,756
Berkshire Hathaway, Inc., Class B*		1,600		217,776
Citigroup, Inc.#		5,110		282,276
JPMorgan Chase & Co.#		4,400		298,144
McGraw Hill Financial, Inc.#		1,000		100,450
				1,031,402
Diversified Telecommunication Services - 1.23%
AT&T, Inc.		6,700		237,984
CenturyLink, Inc.		6,000		176,280
Frontier Communications Corp.#+		11,272		55,796
Verizon Communications, Inc.#		5,500		256,355
				726,415
Electric Utilities - 0.56%
American Electric Power Co., Inc.		1,900		100,643
Duke Energy Corp. Exelon Corp.#		1,383 4,300		97,667 135,106
				333,416
Electrical Equipment - 0.26%
Eaton Corp. PLC		1,000		67,490
Emerson Electric Co.		1,500		83,145
				150,635
Energy Equipment & Services - 0.53%
Baker Hughes, Inc.#		2,100		129,570
Halliburton Co.#		1,700		73,219
Helmerich & Payne, Inc.+		1,000		70,420
National Oilwell Varco, Inc.#		800		38,624
				311,833
Food & Staples Retailing - 1.10%
CVS Health Corp.#		1,800		188,784
Kroger Co. (The)#		4,000		290,040
Wal-Mart Stores, Inc.		2,400		170,232
				649,056

Industry Company	Shares		Value
Food Products - 1.06%
Archer-Daniels-Midland Co.#		2,900		$139,838
General Mills, Inc.#		3,200		178,304
JM Smucker Co. (The)#		1,400		151,774
Keurig Green Mountain, Inc.#		1,300		99,619
Mead Johnson Nutrition Co.		616		55,576
				625,111
Health Care Equipment & Supplies - 1.05%
Abbott Laboratories#		1,800		88,344
Baxter International, Inc.		1,300		90,909
Becton Dickinson & Co.		920		130,318
C.R. Bard, Inc.		1,100		187,770
Stryker Corp.#		1,260		120,418
				617,759
Health Care Providers & Services - 1.15%
AmerisourceBergen Corp.		500		53,170
Express Scripts Holding Co.*#		1,934		172,010
Laboratory Corp. of America Holdings*		900		109,098
UnitedHealth Group, Inc.		2,800		341,600
				675,878
Hotels, Restaurants & Leisure - 0.73%
McDonald’s Corp.		900		85,563
Starbucks Corp.#		2,700		144,760
Wynn Resorts, Ltd.		500		49,335
Yum! Brands, Inc.#		1,700		153,136
				432,794
Household Products - 0.81%
Colgate-Palmolive Co.		2,500		163,525
Kimberly-Clark Corp.		1,400		148,358
Procter & Gamble Co. (The)		2,100		164,304
				476,187
Independent Power Producers & Energy Traders - 0.15%
AES Corp.#		6,800		90,168
Industrial Conglomerates - 0.92%
3M Co.		1,400		216,020
Danaher Corp.		2,400		205,416
General Electric Co.		4,600		122,222
				543,658
Insurance - 1.16%
Aon PLC#		1,700		169,456
Chubb Corp. (The)		1,100		104,654

79 Annual Report  |  June 30, 2015

Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Insurance (continued)
Progressive Corp. (The)		820		$     22,821
Travelers Cos., Inc. (The)#		4,000		386,640
				683,571
Internet & Catalog Retail - 0.49%
Amazon.com, Inc.*#		400		173,636
Priceline Group, Inc. (The)*		100		115,137
				288,773
Internet Software & Services - 1.08%
eBay, Inc.*#		1,300		78,312
Facebook, Inc., Class A*		3,300		283,024
Google, Inc., Class A*		260		140,410
Google, Inc., Class C*		260		135,333
				637,079
IT Services - 1.76%
Automatic Data Processing, Inc.		1,300		104,299
Cognizant Technology
Solutions Corp., Class A*#		4,100		250,469
International Business Machines Corp.		1,200		195,192
MasterCard, Inc., Class A		1,000		93,480
Teradata Corp.*+		400		14,800
Visa, Inc., Class A		5,200		349,180
Western Union Co. (The)#+		1,500		30,495
				1,037,915
Leisure Equipment & Products - 0.19%
Hasbro, Inc.#+		1,500		112,185
Life Sciences Tools & Services - 0.15%
Thermo Fisher Scientific, Inc.		700		90,832
Machinery - 0.44%
Deere & Co.+		2,700		262,035
Media - 1.61%
Comcast Corp., Class A#		3,850		231,539
News Corp., Class A*#		2,300		33,557
Omnicom Group, Inc.		1,000		69,490
Scripps Networks Interactive, Inc., Class A		1,200		78,444
Time Warner, Inc.#		1,333		116,518
Twenty-First Century Fox, Inc., Class A#		3,300		107,398
Viacom, Inc., Class B		1,000		64,640
Walt Disney Co. (The)#		2,200		251,108
				952,694

Industry Company	Shares		Value
Metals & Mining - 0.88%
Alcoa, Inc.#		25,000		$   278,750
Freeport-McMoRan, Inc.#		13,000		242,060
				520,810
Multiline Retail - 0.61%
Big Lots, Inc.		500		22,495
Dollar General Corp.#		2,100		163,254
Target Corp.#		2,100		171,423
				357,172
Multi-Utilities - 0.50%
Dominion Resources, Inc.		1,920		128,390
Public Service Enterprise Group, Inc.		1,800		70,704
Sempra Energy		1,000		98,940
				298,034
Oil, Gas & Consumable Fuels - 5.81%
Anadarko Petroleum Corp.#		1,000		78,060
Apache Corp.		500		28,815
California Resources Corp.		480		2,899
Chesapeake Energy Corp.#+		2,100		23,457
Chevron Corp.		2,078		200,465
ConocoPhillips#		1,787		109,740
EOG Resources, Inc.		1,000		87,550
Exxon Mobil Corp.#		5,100		424,320
Hess Corp.		5,000		334,400
Kinder Morgan, Inc.		2,000		76,780
Marathon Petroleum Corp.#		14,000		732,340
Murphy Oil Corp.#		4,300		178,751
Occidental Petroleum Corp.		1,200		93,324
Phillips 66#		5,193		418,348
Southwestern Energy Co.*#		13,000		295,490
Valero Energy Corp.#		4,100		256,660
Williams Cos., Inc. (The)#		1,500		86,085
				3,427,484
Paper & Forest Products - 0.17%
International Paper Co.#		2,100		99,939
Pharmaceuticals - 2.50%
AbbVie, Inc.#		4,000		268,760
Allergan PLC*		1,041		315,902
Bristol-Myers Squibb Co.		2,279		151,645
Johnson & Johnson#		3,300		321,618
Merck & Co., Inc.		3,400		193,562
Pfizer, Inc.		6,600		221,298
				1,472,785

www.bridgeway.com 80

Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued)

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Professional Services - 0.17%
Nielsen NV#		2,200		$     98,494
Real Estate Investment Trusts (REITs) - 1.05%
American Tower Corp.		1,200		111,948
Crown Castle International Corp.#		1,200		96,360
Public Storage		1,100		202,807
Simon Property Group, Inc.		1,200		207,624
				618,739
Road & Rail - 0.94%
Avis Budget Group, Inc.*#		10,000		440,800
Union Pacific Corp.		1,200		114,444
				555,244
Semiconductors & Semiconductor Equipment - 2.08%
Applied Materials, Inc.#		8,200		157,604
Broadcom Corp., Class A#		900		46,341
Intel Corp.		2,300		69,954
Micron Technology, Inc.*#		38,000		715,920
QUALCOMM, Inc.#		2,800		175,364
Texas Instruments, Inc.		1,170		60,267
				1,225,450
Software - 1.83%
Adobe Systems, Inc.*#		1,100		89,111
Citrix Systems, Inc.*#		1,000		70,160
Electronic Arts, Inc.*#		2,000		133,000
Intuit, Inc.#		1,300		131,001
Microsoft Corp.#		8,300		366,445
Oracle Corp.		5,460		220,038
salesforce.com, inc.*#		1,000		69,630
				1,079,385
Specialty Retail - 1.03%
AutoZone, Inc.*		600		400,140
Gap, Inc. (The)		2,700		103,059
Ross Stores, Inc.#		2,200		106,942
				610,141
Textiles, Apparel & Luxury Goods - 0.38%
NIKE, Inc., Class B#		2,100		226,842
Trading Companies & Distributors - 0.80%
NOW, Inc.*+		200		3,982
United Rentals, Inc.*#		4,000		350,480
Veritiv Corp.*		28		1,021
W.W. Grainger, Inc.		500		118,325
				473,808
TOTAL COMMON STOCKS - 52.94%				31,238,125
(Cost $24,436,209)

Due Date	Discount Rate or Coupon Rate			Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 50.84%
U.S. Treasury Bills - 50.84%
07/02/2015		0.035%(a)			$4,000,000		$  3,999,996
07/16/2015		0.015%(a)			3,000,000		2,999,969
08/06/2015		0.020%(a)			2,000,000		1,999,970
08/27/2015		0.015%(a)			5,000,000		4,999,880
09/03/2015		0.020%(a)			5,000,000		5,000,000
09/17/2015		0.010%(a)			2,000,000		2,000,000
09/24/2015		0.010%(a)			5,000,000		4,999,940
10/01/2015		0.015%(a)			4,000,000		3,999,820
							29,999,575
TOTAL U.S. GOVERNMENT OBLIGATIONS - 50.84%							29,999,575
(Cost $29,999,413)
	Rate^			Shares		Value
MONEY MARKET FUND - 4.92%
Dreyfus Cash Management Fund		0.04	%		2,905,476		2,905,476
TOTAL MONEY MARKET FUND - 4.92%							2,905,476
(Cost $2,905,476)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 0.42%
Dreyfus Cash Management Fund**		0.04	%		245,163		245,163
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 0.42%							245,163
(Cost $245,163)
TOTAL INVESTMENTS - 109.12%							$64,388,339
(Cost $57,586,261)
Liabilities in Excess of Other Assets - (9.12%)							(5,379,974	)
NET ASSETS - 100.00%							$59,008,365

* Non-income producing security.

** This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.

# Security subject to call or put option written by the Fund.

^ Rate disclosed as of June 30, 2015.

+ This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $230,804 as of June 30, 2015.

(a) Rate represents the effective yield at purchase.

PLC - Public Limited Company

See Notes to Financial Statements.

81 Annual Report  |  June 30, 2015

Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN

Showing percentage of net assets as of June 30, 2015

Company	Number of Contracts		Value
CALL OPTIONS WRITTEN - (0.32%)
Abbott Laboratories
Expiring August, 2015 at $48.00		5		$(1,015	)
AbbVie, Inc.
Expiring August, 2015 at $67.50		13		(2,730	)
Actavis PLC
Expiring August, 2015 at $310.00		3		(2,610	)
Adobe Systems, Inc.
Expiring July, 2015 at $80.00		3		(690	)
AES Corp.
Expiring August, 2015 at $14.00		20		(400	)
Alcoa, Inc.
Expiring July, 2015 at $14.00		250		(250	)
Amazon.com, Inc.
Expiring July, 2015 at $400.00		2		(7,340	)
American Express Co.
Expiring July, 2015 at $80.00		4		(180	)
Amgen, Inc.
Expiring July, 2015 at $170.00		4		(40	)
Anadarko Petroleum Corp.
Expiring August, 2015 at $85.00		3		(288	)
Aon PLC
Expiring July, 2015 at $100.00		5		(725	)
Apple, Inc.
Expiring July, 2015 at $130.00		13		(702	)
Applied Materials, Inc.
Expiring July, 2015 at $21.00		10		(70	)
Expiring July, 2015 at $23.00		20		(100	)
				(170	)
Archer-Daniels-Midland Co.
Expiring September, 2015 at $55.00		5		(85	)
Avis Budget Group, Inc.
Expiring August, 2015 at $50.00		40		(3,400	)
Expiring July, 2015 at $55.00		40		(400	)
				(3,800	)
Baker Hughes, Inc.
Expiring July, 2015 at $70.00		6		(150	)
Biogen, Inc.
Expiring July, 2015 at $440.00		3		(270	)
Broadcom Corp., Class A
Expiring August, 2015 at $48.00		3		(1,200	)
Capital One Financial Corp.
Expiring September, 2015 at $90.00		7		(1,400	)
Centurytel, Inc.
Expiring July, 2015 at $37.00		11		(55	)
Chesapeake Energy Corp.
Expiring July, 2015 at $15.00		6		(18	)

Company	Number of Contracts		Value
Citigroup, Inc.
Expiring September, 2015 at $57.50		11		$(1,276	)
Citrix Systems, Inc.
Expiring September, 2015 at $72.50		4		(1,076	)
Cognizant Technology Solutions Corp., Class A
Expiring July, 2015 at $65.00		14		(350	)
Comcast Corp., Class A
Expiring July, 2015 at $60.00		6		(624	)
ConocoPhillips
Expiring August, 2015 at $65.00		5		(235	)
Constellation Brands, Inc., Class A
Expiring July, 2015 at $120.00		6		(738	)
Crown Castle International Corp.
Expiring July, 2015 at $90.00		3		(75	)
CVS Health Corp.
Expiring August, 2015 at $105.00		5		(1,280	)
Delphi Automotive PLC
Expiring August, 2015 at $87.50		3		(540	)
Dollar General Corp.
Expiring August, 2015 at $77.50		5		(1,200	)
Dow Chemical Co. (The)
Expiring September, 2015 at $55.00		8		(536	)
eBay, Inc.
Expiring July, 2015 at $62.50		4		(284	)
Electronic Arts, Inc.
Expiring September, 2015 at $70.00		7		(1,610	)
EMC Corp.
Expiring July, 2015 at $27.00		15		(405	)
Exelon Corp.
Expiring July, 2015 at $35.00		11		(44	)
Express Scripts Holding Co.
Expiring July, 2015 at $90.00		6		(912	)
Exxon Mobil Corp.
Expiring July, 2015 at $90.00		17		(17	)
Ford Motor Co.
Expiring July, 2015 at $16.00		40		(120	)
Freeport-McMoRan, Inc.
Expiring August, 2015 at $20.00		70		(3,710	)
Expiring August, 2015 at $21.00		51		(1,581	)
				(5,291	)
Frontier Communications Corp.
Expiring August, 2015 at $8.00		10		(50	)
General Mills, Inc.
Expiring July, 2015 at $57.50		8		(256	)

www.bridgeway.com 82

Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)

Showing percentage of net assets as of June 30, 2015

Company	Number of Contracts		Value
Call Options Written (continued)
General Motors Co.
Expiring September, 2015 at $37.00		25		$  (600	)
Gilead Sciences, Inc.
Expiring August, 2015 at $115.00		8		(5,152	)
Goodyear Tire & Rubber Co. (The)
Expiring July, 2015 at $28.00		15		(3,600	)
Halliburton Co.
Expiring July, 2015 at $50.00		5		(10	)
Hasbro, Inc.
Expiring July, 2015 at $65.00		7		(6,580	)
Hertz Corp. (The)
Expiring August, 2015 at $70.00		50		(7,600	)
Hewlett-Packard Co.
Expiring July, 2015 at $36.00		15		(30	)
International Paper Co.
Expiring July, 2015 at $55.00		5		(10	)
Intuit, Inc.
Expiring July, 2015 at $100.00		4		(920	)
JM Smucker Co. (The)
Expiring July, 2015 at $120.00		4		(20	)
Johnson & Johnson
Expiring August, 2015 at $105.00		10		(240	)
JPMorgan Chase & Co.
Expiring September, 2015 at $70.00		15		(1,845	)
Juniper Networks, Inc.
Expiring July, 2015 at $27.00		12		(348	)
Keurig Green Mountain, Inc.
Expiring July, 2015 at $120.00		4		(4	)
Kroger Co. (The)
Expiring July, 2015 at $75.00		15		(450	)
LyondellBasell Industries NV, Class A
Expiring September, 2015 at $105.00		4		(1,760	)
Marathon Petroleum Corp.
Expiring July, 2015 at $52.50		124		(14,260	)
McGraw Hill Financial, Inc.
Expiring August, 2015 at $105.00		3		(510	)
Micron Technology, Inc.
Expiring July, 2015 at $25.00		100		(400	)
Expiring July, 2015 at $27.00		200		(200	)
Expiring July, 2015 at $30.00		20		(40	)
				(640	)
Microsoft Corp.
Expiring August, 2015 at $50.00		25		(350	)

Company	Number of Contracts		Value
Motorola Solutions, Inc.
Expiring October, 2015 at $60.00		55		$  (8,360	)
Murphy Oil Corp.
Expiring July, 2015 at $52.50		43		(215	)
National Oilwell Varco, Inc.
Expiring August, 2015 at $57.50		3		(42	)
News Corp., Class A
Expiring July, 2015 at $16.00		8		(200	)
Nielsen NV
Expiring August, 2015 at $46.00		6		(630	)
NIKE, Inc., Class B
Expiring July, 2015 at $105.00		5		(1,780	)
Northrop Grumman Corp.
Expiring August, 2015 at $160.00		15		(6,150	)
Expiring August, 2015 at $165.00		4		(944	)
				(7,094	)
PepsiCo, Inc.
Expiring July, 2015 at $100.00		5		(35	)
Phillips 66
Expiring August, 2015 at $82.50		35		(6,475	)
Expiring August, 2015 at $85.00		5		(510	)
				(6,985	)
PNC Financial Services Group, Inc. (The)
Expiring August, 2015 at $100.00		5		(400	)
Praxair, Inc.
Expiring July, 2015 at $125.00		4		(100	)
QUALCOMM, Inc.
Expiring July, 2015 at $70.00		6		(12	)
Raytheon Co.
Expiring August, 2015 at $115.00		4		(20	)
Ross Stores, Inc.
Expiring August, 2015 at $55.00		6		(120	)
Salesforce.com, inc.
Expiring August, 2015 at $75.00		3		(549	)
SanDisk Corp.
Expiring July, 2015 at $70.00		4		(20	)
Southwest Airlines Co.
Expiring July, 2015 at $39.00		7		(35	)
Southwestern Energy Co.
Expiring September, 2015 at $24.00		130		(13,780	)
Starbucks Corp.
Expiring July, 2015 at $50.00		7		(2,695	)

83 Annual Report  |  June 30, 2015

Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)

Showing percentage of net assets as of June 30, 2015

Company	Number of Contracts		Value
Call Options Written (continued)
Stryker Corp.
Expiring September, 2015 at $100.00		4		$       (680	)
Target Corp.
Expiring July, 2015 at $85.00		5		(140	)
Time Warner, Inc.
Expiring July, 2015 at $87.50		4		(604	)
Travelers Cos., Inc. (The)
Expiring July, 2015 at $105.00		10		(50	)
Twenty-First Century Fox, Inc., Class A
Expiring July, 2015 at $35.00		8		(40	)
Tyco International PLC
Expiring July, 2015 at $42.00		10		(50	)
United Continental Holdings, Inc.
Expiring September, 2015 at $52.50		25		(11,500	)
Expiring September, 2015 at $55.00		75		(23,625	)
				(35,125	)
United Rentals, Inc.
Expiring September, 2015 at $95.00		40		(10,160	)
United Technologies Corp.
Expiring August, 2015 at $120.00		3		(78	)
Valero Energy Corp.
Expiring September, 2015 at $60.00		10		(4,670	)
Verizon Communications, Inc.
Expiring August, 2015 at $50.00		5		(40	)
Expiring July, 2015 at $50.00		10		(30	)
				(70	)
Walt Disney Co. (The)
Expiring September, 2015 at $115.00		8		(2,568	)
Wells Fargo & Co.
Expiring July, 2015 at $55.00		10		(1,830	)
Western Digital Corp.
Expiring July, 2015 at $100.00		4		(12	)
Western Union Co. (The)
Expiring August, 2015 at $22.00		5		(125	)
Williams Cos., Inc. (The)
Expiring August, 2015 at $55.00		5		(2,250	)
Yum! Brands, Inc.
Expiring July, 2015 at $97.50		6		(204	)
TOTAL CALL OPTIONS WRITTEN - (0.32%)				(187,694	)
(Premiums received $(334,365))
PUT OPTIONS WRITTEN - (0.75%)
Aetna, Inc.
Expiring July, 2015 at $105.00		75		(3,675	)

Company	Number of Contracts		Value
Alaska Air Group, Inc.
Expiring July, 2015 at $65.00		50		$(10,250	)
American Airlines Group, Inc.
Expiring August, 2015 at $46.00		50		(32,750	)
American International Group, Inc.
Expiring August, 2015 at $60.00		60		(7,560	)
Apple, Inc.
Expiring July, 2015 at $125.00		45		(8,325	)
Ashland, Inc.
Expiring July, 2015 at $125.00		45		(17,100	)
Centurytel, Inc.
Expiring July, 2015 at $34.00		48		(22,560	)
CF Industries Holdings, Inc.
Expiring August, 2015 at $57.00		100		(5,200	)
Cit Group
Expiring July, 2015 at $45.00		100		(2,600	)
Delphi Automotive PLC
Expiring August, 2015 at $82.50		15		(3,225	)
Foot Locker, Inc.
Expiring August, 2015 at $60.00		110		(7,150	)
Gilead Sciences, Inc.
Expiring August, 2015 at $110.00		50		(11,900	)
Goodyear Tire & Rubber Co. (The)
Expiring October, 2015 at $30.00		150		(27,000	)
HCA Holdings, Inc.
Expiring September, 2015 at $80.00		30		(3,150	)
Expiring September, 2015 at $82.50		45		(6,300	)
				(9,450	)
Hertz Corp. (The)
Expiring August, 2015 at $80.00		68		(21,760	)
Expiring July, 2015 at $67.50		30		(5,310	)
				(27,070	)
Juniper Networks, Inc.
Expiring July, 2015 at $23.00		180		(900	)
Expiring October, 2015 at $27.00		70		(16,030	)
				(16,930	)
Kroger Co. (The)
Expiring July, 2015 at $70.00		70		(2,800	)
Expiring July, 2015 at $75.00		40		(10,600	)
				(13,400	)
Motorola Solutions, Inc.
Expiring July, 2015 at $57.50		25		(2,925	)
Murphy Oil Corp.
Expiring July, 2015 at $47.50		70		(44,100	)
National Oilwell Varco, Inc.
Expiring August, 2015 at $47.50		60		(11,400	)

www.bridgeway.com 84

Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)

Company	Number of Contracts		Value
Put Options Written (continued)
Northrop Grumman Corp.
Expiring August, 2015 at $150.00		20		$  (4,000	)
Reinsurance Group of America, Inc.
Expiring August, 2015 at $95.00		10		(3,100	)
Tesoro Corp.
Expiring August, 2015 at $85.00		60		(30,600	)
Travelers Cos., Inc. (The)
Expiring July, 2015 at $105.00		40		(34,160	)
Expiring October, 2015 at $97.50		20		(7,800	)
				(41,960	)
Tyco International PLC
Expiring July, 2015 at $43.00		120		(55,800	)
United Rentals, Inc.
Expiring September, 2015 at $90.00		30		(20,100	)
Universal Health Services, Inc., Class B
Expiring July, 2015 at $115.00		30		(150	)
Expiring July, 2015 at $125.00		40		(800	)
				(950	)
Voya Financial, Inc.
Expiring August, 2015 at $42.00		60		(3,000	)
TOTAL PUT OPTIONS WRITTEN - (0.75%)				(444,080	)
(Premiums received $(448,204))
TOTAL OPTIONS WRITTEN — (1.07%)				$(631,774	)
(Premiums received $(782,569))

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	31,238,125		$	—		$	—	$	31,238,125
U.S. Government Obligations		—			29,999,575			—		29,999,575
Money Market Fund		—			2,905,476			—		2,905,476
Investments Purchased with Cash Proceeds from Securities Lending		—			245,163			—		245,163
TOTAL	$	31,238,125		$	33,150,214		$	—	$	64,388,339
	Liabilities Table
	Valuation Inputs
	Investment in Securities (Value)
	Level 1 Quoted Prices			Level 2 Significant Observable Inputs			Level 3 Significant Unobservable Inputs		Total
Options Written	$	(393,290	)	$	(238,484	)	$	—	$	(631,774	)
TOTAL	$	(393,290	)	$	(238,484	)	$	—	$	(631,774	)
See Notes to Financial Statements.

85 Annual Report  |  June 30, 2015

THIS PAGE INTENTIONALLY LEFT BLANK

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2015

ASSETS		Aggressive Investors 1			Ultra-Small Company		Ultra-Small Company Market	Small-Cap Momentum
Investments at value	$	261,714,730		$	137,898,511		$449,508,212	$5,440,444
Receivables:
Portfolio securities sold		3,199,459			2,692,715		6,670,927	-
Fund shares sold		4,132			2,200		194,501	-
Dividends and interest		77,231			142,601		272,713	4,788
Receivable from investment adviser		-			-		-	8,190
Deposits with brokers		-			-		-	-
Prepaid expenses.		35,645			15,719		45,383	11,779
Total assets		265,031,197			140,751,746		456,691,736	5,465,201
LIABILITIES
Payables:
Portfolio securities purchased		5,222,740			1,441,720		9,199,434	-
Fund shares redeemed		1,177,807			12,696		75,492	-
Due to custodian		-			-		-	8,575
Loan payable		-			128,323		-	-
Payable upon return of securities loaned		10,088,121			11,304,787		44,237,825	307,286
Accrued Liabilities:
Investment adviser fees		391,964			98,368		167,460	-
Administration fees		4,169			2,175		6,688	84
Directors’ fees		386			209		596	8
Other		99,943			46,803		151,237	26,695
Call options written at value		-			-		-	-
Put options written at value		-			-		-	-
Total liabilities		16,985,130			13,035,081		53,838,732	342,648
NET ASSETS	$	248,046,067		$	127,716,665		$402,853,004	$5,122,553
NET ASSETS REPRESENT
Paid-in capital	$	316,820,618		$	113,609,454		$261,198,553	$4,560,980
Undistributed (distributions in excess of) net investment income		99,002			596,067		3	9,442
Accumulated net realized gain (loss) on investments		(99,767,242	)		(3,505,333	)	26,500,616	115,288
Net unrealized appreciation on investments		30,893,689			17,016,477		115,153,832	436,843
NET ASSETS	$	248,046,067		$	127,716,665		$402,853,004	$5,122,553
Shares of common stock outstanding of $.001 par value*		4,193,709			4,205,214		24,894,478	416,889
Net asset value, offering price and redemption price per share	$	59.15		$	30.37		$16.18(a)	$12.29(a)
Total investments at cost	$	230,821,041		$	120,882,034		$334,354,380	$5,003,601
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.

87 Annual Report  |  June 30, 2015

	Small-Cap Growth			Small-Cap Value			Large-Cap Growth			Blue Chip 35 Index			Managed Volatility
$	41,739,849		$	82,112,958		$	162,706,255		$	600,055,973		$	64,388,339
	2,949,655			-			-			4,940,020			3,193
	50			8,083			443,881			475,440			277,193
	19,062			93,509			66,489			606,813			25,711
	-			-			-			3,498			-
	-			-			-			-			50
	10,223			13,696			27,861			86,901			18,961
	44,718,839			82,228,246			163,244,486			606,168,645			64,713,447
	2,405,532			-			1,614,591			2,817,789			4,659,406
	41,519			32,853			96,760			184,363			101,917
	-			123,167			-			-			-
	-			613,221			-			2,189,520			-
	5,424,205			8,128,231			4,920,115			-			245,163
	12,768			42,330			68,343			-			23,873
	607			1,222			2,581			10,865			978
	51			116			125			915			74
	32,862			45,868			48,666			142,088			41,897
	-			-			-			-			187,694
	-			-			-			-			444,080
	7,917,544			8,987,008			6,751,181			5,345,540			5,705,082
$	36,801,295		$	73,241,238		$	156,493,305		$	600,823,105		$	59,008,365
$	44,222,895		$	90,326,420		$	153,663,309		$	418,660,637		$	56,209,776
	-			941,370			538,934			7,344,268			15,835
	(13,167,388	)		(20,917,185	)		(12,765,670	)		(20,035,874	)		(4,170,119	)
	5,745,788			2,890,633			15,056,732			194,854,074			6,952,873
$	36,801,295		$	73,241,238		$	156,493,305		$	600,823,105		$	59,008,365
	1,738,412			3,270,335			6,599,459			50,878,978			4,200,630
$	21.17		$	22.40		$	23.71		$	11.81		$	14.05
$	35,994,061		$	79,222,325		$	147,649,523		$	405,201,899		$	57,586,261
$	-		$	-		$	-		$	-		$	334,365
$	-		$	-		$	-		$	-		$	448,204

www.bridgeway.com 88

STATEMENTS OF OPERATIONS

Fiscal Year Ended June 30, 2015

		Aggressive Investors 1			Ultra-Small Company		Ultra-Small Company Market		Small-Cap Momentum
INVESTMENT INCOME
Dividends	$	3,242,202		$	1,317,323		$   4,151,745		$  78,565
Less: foreign taxes withheld		(16,449	)		(6,732	)	-		(346	)
Interest		-			-		-		-
Securities lending.		290,430			1,191,244		1,727,768		8,893
Total Investment Income		3,516,183			2,501,835		5,879,513		87,112
EXPENSES
Investment advisory fees - Base fees		2,324,578			1,258,150		2,001,780		28,684
Investment advisory fees - Performance adjustment		458,358			-		-		-
Administration fees.		54,683			29,582		84,656		1,104
Accounting fees		77,910			66,993		123,474		58,762
Transfer agent fees		155,115			56,195		111,221		32,981
Audit fees		24,366			16,877		31,887		9,339
Legal fees		24,900			13,771		38,902		513
Custody fees		8,483			15,937		26,525		12,052
Blue sky fees		23,543			10,916		26,470		22,030
Directors’ and officers’ fees		22,977			13,045		36,853		486
Shareholder servicing fees		165,019			39,090		317,235		4,130
Reports to shareholders		29,680			5,988		37,018		270
Miscellaneous expenses		47,565			30,286		75,092		4,699
Total Expenses		3,417,177			1,556,830		2,911,113		175,050
Less investment advisory fees waived		-			-		-		(28,684	)
Less expenses reimbursed by investment adviser		-			-		-		(99,426	)
Net Expenses		3,417,177			1,556,830		2,911,113		46,940
NET INVESTMENT INCOME (LOSS)		99,006			945,005		2,968,400		40,172
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized Gain (Loss) on:
Investments		25,307,168			(1,713,902	)	33,400,024		142,632
Written options		-			-		-		-
Futures contracts		-			-		-		-
Net Realized Gain (Loss)		25,307,168			(1,713,902	)	33,400,024		142,632
Change in Unrealized Appreciation (Depreciation) on:
Investments		(13,663,556	)		(10,407,890	)	(23,058,470	)	11,922
Written options		-			-		-		-
Net Change in Unrealized Appreciation (Depreciation)		(13,663,556	)		(10,407,890	)	(23,058,470	)	11,922
Net Realized and Unrealized Gain (Loss) on Investments		11,643,612			(12,121,792	)	10,341,554		154,554
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	11,742,618		$	(11,176,787	)	$ 13,309,954		$194,726

See Notes to Financial Statements.

89 Annual Report  |  June 30, 2015

	Small-Cap Growth			Small-Cap Value			Large-Cap Growth		Blue Chip 35 Index			Managed Volatility
$	174,521		$	1,634,319		$	1,381,270	$	14,471,423		$	477,466
	-			-			-		-			(340	)
	-			-			-		-			10,946
	124,866			102,754			31,188		-			651
	299,387			1,737,073			1,412,458		14,471,423			488,723
	206,500			465,925			453,171		494,937			301,848
	(17,760	)		25,899			6,626		-			-
	7,262			16,447			18,772		130,584			10,609
	49,904			55,210			56,909		120,005			62,173
	49,639			65,054			57,004		55,582			42,125
	10,763			13,228			13,958		45,889			17,652
	3,184			7,678			6,722		57,529			4,715
	3,529			3,427			3,439		9,841			8,682
	21,013			21,241			22,586		37,822			23,253
	3,120			7,223			7,457		53,441			4,284
	21,102			52,747			68,086		197,717			33,867
	4,896			11,651			7,851		115,837			5,051
	6,926			17,496			11,647		105,593			8,929
	370,078			763,226			734,228		1,424,777			523,188
	(47,099	)		(32,524	)		-		(494,937	)		(50,322	)
	-			-			-		(1,900	)		-
	322,979			730,702			734,228		927,940			472,866
	(23,592	)		1,006,371			678,230		13,543,483			15,857
	4,000,306			5,855,994			7,237,893		4,936,744			2,152,234
	-			-			-		-			117,574
	-			-			-		-			(1,318,939	)
	4,000,306			5,855,994			7,237,893		4,936,744			950,869
	481,668			(8,924,705	)		1,817,428		16,801,251			(1,031,945	)
	-			-			-		-			315,098
	481,668			(8,924,705	)		1,817,428		16,801,251			(716,847	)
	4,481,974			(3,068,711	)		9,055,321		21,737,995			234,022
$	4,458,382		$	(2,062,340	)	$	9,733,551	$	35,281,478		$	249,879

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STATEMENTS OF CHANGES IN NET ASSETS

	Aggressive Investors 1						Ultra-Small Company
	Year Ended June 30,						Year Ended June 30,
	2015			2014			2015			2014
OPERATIONS
Net investment income	$	99,006		$	540,870		$	945,005		$	1,433,179
Net realized gain (loss) on investments		25,307,168			51,574,990			(1,713,902	)		36,865,808
Net change in unrealized appreciation (depreciation) on investments		(13,663,556	)		14,508,239			(10,407,890	)		(7,816,828	)
Net increase (decrease) in net assets resulting from operations		11,742,618			66,624,099			(11,176,787	)		30,482,159
DISTRIBUTIONS:
From net investment income.		(540,861	)		(1,735,698	)		(1,052,434	)		(2,464,929	)
From net realized gains		-			-			(27,750,353	)		(17,948,088	)
Net decrease in net assets from distributions		(540,861	)		(1,735,698	)		(28,802,787	)		(20,413,017	)
SHARE TRANSACTIONS:
Proceeds from sale of shares		9,973,079			10,038,899			1,395,869			1,662,726
Reinvestment of distributions		511,322			1,660,793			27,164,352			19,320,983
Cost of shares redeemed		(33,042,204	)		(38,522,785	)		(13,194,608	)		(10,786,724	)
Redemption fees		-			-			-			-
Net increase (decrease) in net assets resulting from share transactions		(22,557,803	)		(26,823,093	)		15,365,613			10,196,985
Net increase (decrease) in net assets		(11,356,046	)		38,065,308			(24,613,961	)		20,266,127
NET ASSETS:
Beginning of year		259,402,113			221,336,805			152,330,626			132,064,499
End of year**	$	248,046,067		$	259,402,113		$	127,716,665		$	152,330,626
SHARES ISSUED & REDEEMED
Issued		172,109			195,178			41,473			39,966
Distributions reinvested		9,139			33,024			906,990			505,785
Redeemed		(563,075	)		(775,190	)		(384,777	)		(259,111	)
Net increase (decrease)		(381,827	)		(546,988	)		563,686			286,640
Outstanding at beginning of year		4,575,536			5,122,524			3,641,528			3,354,888
Outstanding at end of year		4,193,709			4,575,536			4,205,214			3,641,528
** Including undistributed net investment income of:	$	99,002		$	540,857		$	596,067		$	717,553

See Notes to Financial Statements.

91 Annual Report  |  June 30, 2015

Ultra-Small Company Market						Small-Cap Momentum
Year Ended June 30,						Year Ended June 30,
2015			2014			2015			2014
$	2,968,400		$	2,924,214		$	40,172		$	3,930
	33,400,024			45,200,727			142,632			726,074
	(23,058,470	)		38,820,181			11,922			210,124
	13,309,954			86,945,122			194,726			940,128
	(3,294,374	)		(4,139,584	)		(27,463	)		(10,130	)
	(37,828,878	)		(35,854,743	)		(442,934	)		(611,659	)
	(41,123,252	)		(39,994,327	)		(470,397	)		(621,789	)
	46,724,160			88,398,227			181,242			1,714,550
	39,489,770			36,966,829			467,987			621,509
	(79,731,098	)		(90,103,055	)		(1,145,289	)		(1,197,763	)
	87,151			236,586			28			831
	6,569,983			35,498,587			(496,032	)		1,139,127
	(21,243,315	)		82,449,382			(771,703	)		1,457,466
	424,096,319			341,646,937			5,894,256			4,436,790
$	402,853,004		$	424,096,319		$	5,122,553		$	5,894,256
	2,862,947			5,175,660			14,977			133,880
	2,643,224			2,277,685			42,390			49,921
	(4,894,380	)		(5,302,510	)		(93,856	)		(94,408	)
	611,791			2,150,835			(36,489	)		89,393
	24,282,687			22,131,852			453,378			363,985
	24,894,478			24,282,687			416,889			453,378
$	3		$	103,540		$	9,442		$	-

www.bridgeway.com 92

STATEMENTS OF CHANGES IN NET ASSETS (continued)

	Small-Cap Growth						Small-Cap Value
	Year Ended June 30,						Year Ended June 30,
	2015			2014			2015			2014
OPERATIONS
Net investment income (loss)	$	(23,592	)	$	21,893		$	1,006,371		$	600,775
Net realized gain on investments		4,000,306			8,176,246			5,855,994			19,073,482
Net change in unrealized appreciation (depreciation) on investments		481,668			(944,872	)		(8,924,705	)		(4,096,067	)
Net increase (decrease) in net assets resulting from operations		4,458,382			7,253,267			(2,062,340	)		15,578,190
DISTRIBUTIONS:
From net investment income.		(21,907	)		(134,922	)		(581,377	)		(411,510	)
Net decrease in net assets from distributions		(21,907	)		(134,922	)		(581,377	)		(411,510	)
SHARE TRANSACTIONS:
Proceeds from sale of shares		4,488,921			4,396,650			5,477,606			8,350,818
Reinvestment of distributions		20,925			128,745			548,083			390,564
Cost of shares redeemed		(5,563,663	)		(8,829,944	)		(15,922,282	)		(17,374,484	)
Net increase (decrease) in net assets resulting from share transactions		(1,053,817	)		(4,304,549	)		(9,896,593	)		(8,633,102	)
Net increase (decrease) in net assets		3,382,658			2,813,796			(12,540,310	)		6,533,578
NET ASSETS:
Beginning of year		33,418,637			30,604,841			85,781,548			79,247,970
End of year*	$	36,801,295		$	33,418,637		$	73,241,238		$	85,781,548
SHARES ISSUED & REDEEMED
Issued		228,708			260,853			248,054			392,653
Distributions reinvested		1,168			7,459			26,087			18,174
Redeemed		(280,771	)		(504,578	)		(723,093	)		(816,636	)
Net increase (decrease)		(50,895	)		(236,266	)		(448,952	)		(405,809	)
Outstanding at beginning of year		1,789,307			2,025,573			3,719,287			4,125,096
Outstanding at end of year		1,738,412			1,789,307			3,270,335			3,719,287
* Including undistributed net investment income of:	$	-		$	21,889		$	941,370		$	510,944

See Notes to Financial Statements.

93 Annual Report  |  June 30, 2015

Large-Cap Growth						Blue Chip 35 Index						Managed Volatility
Year Ended June 30,						Year Ended June 30,						Year Ended June 30,
2015			2014			2015			2014			2015			2014
$	678,230		$	371,342		$	13,543,483		$	11,231,549		$	15,857		$	59,672
	7,237,893			10,053,322			4,936,744			25,571,189			950,869			289,994
��	1,817,428			2,238,082			16,801,251			61,288,676			(716,847	)		2,995,432
	9,733,551			12,662,746			35,281,478			98,091,414			249,879			3,345,098
	(330,018	)		(269,798	)		(11,713,217	)		(9,822,019	)		(59,691	)		(90,423	)
	(330,018	)		(269,798	)		(11,713,217	)		(9,822,019	)		(59,691	)		(90,423	)
	101,191,213			2,603,682			187,796,541			122,237,919			24,595,261			27,943,007
	316,957			257,823			11,360,966			9,492,007			55,735			84,811
	(10,761,992	)		(6,877,425	)		(178,887,373	)		(126,160,896	)		(12,740,758	)		(11,077,782	)
	90,746,178			(4,015,920	)		20,270,134			5,569,030			11,910,238			16,950,036
	100,149,711			8,377,028			43,838,395			93,838,425			12,100,426			20,204,711
	56,343,594			47,966,566			556,984,710			463,146,285			46,907,939			26,703,228
$	156,493,305		$	56,343,594		$	600,823,105		$	556,984,710		$	59,008,365		$	46,907,939
	4,302,332			136,923			16,033,306			11,688,219			1,745,954			2,098,652
	14,681			13,944			1,007,178			921,554			4,036			6,489
	(464,212	)		(368,472	)		(15,052,751	)		(12,014,968	)		(913,317	)		(835,656	)
	3,852,801			(217,605	)		1,987,733			594,805			836,673			1,269,485
	2,746,658			2,964,263			48,891,245			48,296,440			3,363,957			2,094,472
	6,599,459			2,746,658			50,878,978			48,891,245			4,200,630			3,363,957
$	538,934		$	190,722		$	7,344,268		$	5,514,002		$	15,835		$	59,669

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FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

AGGRESSIVE INVESTORS 1

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$56.69	$43.21	$33.13	$38.19	$27.67
Income from Investment Operations:
Net Investment Income(a)	0.02	0.11	0.65	0.62	0.51
Net Realized and Unrealized Gain (Loss)	2.56	13.73	9.84	(4.37)	10.72
Total from Investment Operations	2.58	13.84	10.49	(3.75)	11.23
Less Distributions to Shareholders from:
Net Investment Income	(0.12)	(0.36)	(0.41)	(1.31)	(0.71)
Total Distributions	(0.12)	(0.36)	(0.41)	(1.31)	(0.71)
Net Asset Value, End of Year	$59.15	$56.69	$43.21	$33.13	$38.19
Total Return	4.57%	32.14%	31.92%	(9.57%)	40.81%
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$248,046	$259,402	$221,337	$206,010	$106,757
Expenses Before Waivers and Reimbursements	1.32%	1.01%	0.74%(b)	(0.04%)(b)	(0.41%)(b)
Expenses After Waivers and Reimbursements	1.32%	1.01%	0.74%	(0.04%)	(0.41%)
Net Investment Income After Waivers and Reimbursements	0.04%	0.22%	1.69%	1.86%	1.49%
Portfolio Turnover Rate	107%	125%	149%	125%	107%

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

(b) For the years ended June 30, 2011, June 30, 2012 and June 30, 2013, the expense ratio was significantly lower than in past years, due to a negative performance adjustment to the investment advisory fee. Please refer to Note 3 of the Notes to Financial Statements for further information. The rate shown may not be indicative of the rate going forward.

See Notes to Financial Statements.

95 Annual Report  |  June 30, 2015

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

ULTRA-SMALL COMPANY

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$41.83	$39.36	$27.57	$29.65	$22.94
Income from Investment Operations:
Net Investment Income(a)	0.24	0.41	0.43	0.13	0.07
Net Realized and Unrealized Gain (Loss)	(3.53)	8.33	11.38	(1.79)	6.83
Total from Investment Operations	(3.29)	8.74	11.81	(1.66)	6.90
Less Distributions to Shareholders from:
Net Investment Income	(0.30)	(0.76)	(0.02)	(0.42)	(0.19)
Net Realized Gain	(7.87)	(5.51)	-	-	-
Total Distributions	(8.17)	(6.27)	(0.02)	(0.42)	(0.19)
Net Asset Value, End of Year	$30.37	$41.83	$39.36	$27.57	$29.65
Total Return	(7.60)%	23.72%	42.85%	(5.41%)	30.12%
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$127,717	$152,331	$132,064	$102,110	$94,434
Expenses Before Waivers and Reimbursements	1.11%	1.10%	1.17%	1.22%	1.18%
Expenses After Waivers and Reimbursements	1.11%	1.10%	1.17%	1.22%	1.18%
Net Investment Income After Waivers and Reimbursements	0.68%	0.98%	1.33%	0.49%	0.27%
Portfolio Turnover Rate	90%	99%	89%	93%	110%

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

See Notes to Financial Statements.

www.bridgeway.com 96

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

ULTRA-SMALL COMPANY MARKET

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$17.46	$15.44	$14.67	$15.34	$11.72
Income from Investment Operations:
Net Investment Income(a)	0.12	0.12	0.22	0.12	0.12
Net Realized and Unrealized Gain (Loss)	0.38	3.66	3.49	(0.09)	3.65
Total from Investment Operations	0.50	3.78	3.71	0.03	3.77
Less Distributions to Shareholders from:
Net Investment Income	(0.14)	(0.18)	(0.40)	(0.14)	(0.15)
Net Realized Gain	(1.64)	(1.59)	(2.54)	(0.56)	-
Total Distributions	(1.78)	(1.77)	(2.94)	(0.70)	(0.15)
Paid in Capital from Redemption Fees(a)	0.00(b)	0.01	0.00(b)	0.00(b)	0.00(b)
Net Asset Value, End of Year	$16.18	$17.46	$15.44	$14.67	$15.34
Total Return	3.72%	25.48%	29.95%(c)	1.05%(c)	32.22%(c)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$402,853	$424,096	$341,647	$302,432	$393,883
Expenses Before Waivers and Reimbursements	0.73%	0.72%	0.79%	0.83%	0.79%
Expenses After Waivers and Reimbursements	0.73%	0.72%	0.75%	0.75%	0.75%
Net Investment Income After Waivers and Reimbursements	0.74%	0.73%	1.52%	0.86%	0.82%
Portfolio Turnover Rate	32%	29%	41%	31%	42%

(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 would have been lower had various fees not been waived during the period.

See Notes to Financial Statements.

97 Annual Report  |  June 30, 2015

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

SMALL-CAP MOMENTUM

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$13.00	$12.19	$11.25	$12.74	$9.33
Income from Investment Operations:
Net Investment Income(a)	0.09	0.01	0.10	0.04	0.09
Net Realized and Unrealized Gain (Loss)	0.37	2.29	2.20	(0.35)	3.40
Total from Investment Operations	0.46	2.30	2.30	(0.31)	3.49
Less Distributions to Shareholders from:
Net Investment Income	(0.07)	(0.02)	(0.19)	(0.01)	(0.08)
Net Realized Gain	(1.10)	(1.47)	(1.17)	(1.18)	-
Total Distributions	(1.17)	(1.49)	(1.36)	(1.19)	(0.08)
Paid in Capital from Redemption Fees(a)	0.00(b)	0.00(b)	0.00(b)	0.01	0.00(b)
Net Asset Value, End of Year	$12.29	$13.00	$12.19	$11.25	$12.74
Total Return	4.54%(c)	19.46%(c)	22.31%(c)	(1.40%)(c)	37.49%(c)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$5,123	$5,894	$4,437	$2,070	$3,002
Expenses Before Waivers and Reimbursements	3.36%	3.08%	5.42%	5.73%	5.43%
Expenses After Waivers and Reimbursements	0.90%	0.90%	0.90%	0.90%	0.90%
Net Investment Income After Waivers and Reimbursements	0.77%	0.07%	0.89%	0.38%	0.79%
Portfolio Turnover Rate	198%	242%	264%	230%	272%

(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 would have been lower had various fees not been waived during the period.

See Notes to Financial Statements.

www.bridgeway.com 98

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

SMALL-CAP GROWTH

	Year Ended June 30
	2015		2014		2013		2012		2011
Net Asset Value, Beginning of Year	$	18.68	$	15.11	$	11.63	$	12.42	$	9.14
Income from Investment Operations:
Net Investment Income (Loss)(a)		(0.01)		0.01		0.08		(0.02)		(0.01)
Net Realized and Unrealized Gain (Loss)		2.51		3.63		3.40		(0.77)		3.31
Total from Investment Operations		2.50		3.64		3.48		(0.79)		3.30
Less Distributions to Shareholders from:
Net Investment Income		(0.01)		(0.07)		-		0.00(b)		(0.02)
Total Distributions		(0.01)		(0.07)		-		0.00(b)		(0.02)
Net Asset Value, End of Year		$21.17		$18.68		$15.11		$11.63		$12.42
Total Return		13.41%(c)		24.11%(c)		29.92%(c)		(6.35%)(c)		36.17%(c)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)		$36,801		$33,419		$30,605		$31,778		$46,717
Expenses Before Waivers and
Reimbursements		1.08%		1.07%		1.13%		1.08%		0.98%
Expenses After Waivers and Reimbursements		0.94%		0.94%		0.94%		0.94%		0.94%
Net Investment Income (Loss) After Waivers and Reimbursements		(0.07%)		0.06%		0.60%		(0.14%)		(0.12%)
Portfolio Turnover Rate		123%		121%		78%		63%		87%

(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 would have been lower had various fees not been waived during the period.

See Notes to Financial Statements.

99 Annual Report  |  June 30, 2015

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

SMALL-CAP VALUE

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$23.06	$19.21	$14.82	$15.12	$11.45
Income from Investment Operations:
Net Investment Income(a)	0.29	0.15	0.29	0.15	0.14
Net Realized and Unrealized Gain (Loss)	(0.78)	3.80	4.46	(0.26)	3.60
Total from Investment Operations	(0.49)	3.95	4.75	(0.11)	3.74
Less Distributions to Shareholders from:
Net Investment Income	(0.17)	(0.10)	(0.36)	(0.19)	(0.07)
Total Distributions	(0.17)	(0.10)	(0.36)	(0.19)	(0.07)
Net Asset Value, End of Year	$22.40	$23.06	$19.21	$14.82	$15.12
Total Return	(2.10%)(b)	20.63%(b)	32.49%	(0.59%)(b)	32.73%
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$73,241	$85,782	$79,248	$67,610	$93,714
Expenses Before Waivers and Reimbursements	0.98%	0.97%	0.91%	0.99%	0.87%
Expenses After Waivers and Reimbursements	0.94%	0.94%	0.91%	0.94%	0.87%
Net Investment Income After Waivers and Reimbursements	1.30%	0.71%	1.71%	1.10%	1.03%
Portfolio Turnover Rate	74%	83%	64%	49%	84%

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

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

See Notes to Financial Statements.

www.bridgeway.com 100

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

LARGE-CAP GROWTH

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$20.51	$16.18	$13.33	$13.38	$10.17
Income from Investment Operations:
Net Investment Income(a)	0.17	0.13	0.16	0.09	0.06
Net Realized and Unrealized Gain (Loss)	3.14	4.29	2.88	(0.05)	3.22
Total from Investment Operations	3.31	4.42	3.04	0.04	3.28
Less Distributions to Shareholders from:
Net Investment Income	(0.11)	(0.09)	(0.19)	(0.09)	(0.07)
Total Distributions	(0.11)	(0.09)	(0.19)	(0.09)	(0.07)
Net Asset Value, End of Year	$23.71	$20.51	$16.18	$13.33	$13.38
Total Return	16.19%	27.41%(b)	23.06%(b)	0.37%(b)	32.31%(b)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$156,493	$56,344	$47,967	$48,444	$58,478
Expenses Before Waivers and Reimbursements	0.81%	0.87%	0.90%	0.92%	0.86%
Expenses After Waivers and Reimbursements	0.81%	0.84%	0.84%	0.84%	0.84%
Net Investment Income After Waivers and Reimbursements	0.75%	0.70%	1.10%	0.74%	0.47%
Portfolio Turnover Rate	48%	74%	49%	55%	65%

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

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

See Notes to Financial Statements.

101 Annual Report  |  June 30, 2015

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

BLUE CHIP 35 INDEX

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$11.39	$9.59	$8.16	$7.60	$6.18
Income from Investment Operations:
Net Investment Income(a)	0.26	0.23	0.21	0.17	0.15
Net Realized and Unrealized Gain	0.39	1.77	1.46	0.55	1.39
Total from Investment Operations	0.65	2.00	1.67	0.72	1.54
Less Distributions to Shareholders from:
Net Investment Income	(0.23)	(0.20)	(0.24)	(0.16)	(0.12)
Total Distributions	(0.23)	(0.20)	(0.24)	(0.16)	(0.12)
Net Asset Value, End of Year	$11.81	$11.39	$9.59	$8.16	$7.60
Total Return	5.77%(b)	21.11%(b)	20.89%(b)	9.72%(b)	25.10%(b)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$600,823	$556,985	$463,146	$264,161	$331,565
Expenses Before Waivers and Reimbursements	0.23%	0.25%	0.27%	0.29%	0.27%
Expenses After Waivers and Reimbursements	0.15%	0.15%	0.15%	0.15%	0.15%
Net Investment Income After Waivers and Reimbursements	2.19%	2.20%	2.36%	2.28%	2.09%
Portfolio Turnover Rate	19%	28%	28%	33%	19%

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

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

See Notes to Financial Statements.

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FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each year indicated)

MANAGED VOLATILITY

	Year Ended June 30
	2015	2014	2013	2012	2011
Net Asset Value, Beginning of Year	$13.94	$12.75	$11.94	$11.58	$10.23
Income from Investment Operations:
Net Investment Income(a)	0.00(b)	0.02	0.05	0.04	0.07
Net Realized and Unrealized Gain	0.13	1.20	0.81	0.39	1.37
Total from Investment Operations	0.13	1.22	0.86	0.43	1.44
Less Distributions to Shareholders from:
Net Investment Income	(0.02)	(0.03)	(0.05)	(0.07)	(0.09)
Total Distributions	(0.02)	(0.03)	(0.05)	(0.07)	(0.09)
Net Asset Value, End of Year	$14.05	$13.94	$12.75	$11.94	$11.58
Total Return	0.92%(c)	9.61%(c)	7.23%(c)	3.74%(c)	14.15%(c)
Ratios and Supplemental Data:
Net Assets, End of Year (in 000’s)	$59,008	$46,908	$26,703	$23,705	$29,246
Expenses Before Waivers and Reimbursements	1.04%	1.14%	1.35%	1.43%	1.22%
Expenses After Waivers and Reimbursements	0.94%	0.94%	0.94%	0.94%	0.94%
Net Investment Income After Waivers and Reimbursements	0.03%	0.17%	0.37%	0.39%	0.63%
Portfolio Turnover Rate	38%	39%	45%	41%	34%

(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 would have been lower had various fees not been waived during the period.

See Notes to Financial Statements.

103 Annual Report  |  June 30, 2015

NOTES TO FINANCIAL STATEMENTS  

June 30, 2015

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, 2015 (each is referred to as a “Fund” and collectively, the “Funds”). The 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 Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are included in a separate report.

Bridgeway is authorized to issue 1,915,000,000 shares of common stock at $0.001 per share. As of June 30, 2015, 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.

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 year intervals 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 on capital, primarily through capital appreciation.

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

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

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

2. Significant Accounting Policies:

The following summary of significant accounting policies, followed in the preparation of the financial statements of the Funds, are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

Securities, Options, Futures and Other Investments Valuation Other than options, securities for which market quotations are readily available are valued at the last sale price on the national exchange on which such securities are primarily traded. In the case of securities reported on the National Association of Securities Dealers Automated Quotation (“NASDAQ”) system, the securities are valued based on the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their primary 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.

Fixed income securities are valued on the basis of current market quotations provided by a pricing service. Options are valued at the close if there is trading volume and, if there is no trading volume, the options are valued at the bid on long positions and the ask on the short positions.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

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 a fair valued security 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, prepayment 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.

The Dreyfus Cash Management Fund, which is held by each Fund, invests primarily in securities that are valued at cost or amortized cost. Therefore, these investments are classified as Level 2 investments.

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

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the 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 results of the Funds’ 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, 2015 is included with each Fund’s Schedule of Investments.

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 year ended June 30, 2015, the Ultra-Small Company Market Fund transferred a security with a value of $436,985 from Level 1 to Level 2 as of the end of the period due to the market becoming inactive. There were no transfers between Level 1 and Level 2 in any of the other 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 held Level 3 securities.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

Securities Lending Upon lending its securities to third parties, each Fund receives compensation in the form of fees. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. 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, resulting in a loss. Under the terms of the Securities Lending Agreement, the Funds are indemnified for such losses by the securities lending agent.

While securities are on loan, the Fund continues to receive dividends on the securities loaned and recognizes any gain or loss in the fair value of the securities loaned.

Securities lending transactions are entered into by a Fund under a Securities Lending Agreement which provides the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral or to offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a counterparty’s bankruptcy or insolvency.

The following table is a summary of the Funds’ securities loaned and related collateral which are subject to a netting agreement as of June 30, 2015:

						Gross Amount Not Offset in the Statement of Assets and Liabilities
Fund	Gross Amounts of Recognized Assets1		Gross Amounts Offset in the Statement of Assets and Liabilities	Net Amounts of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments	Cash Collateral Received2		Net Amount
Aggressive Investors 1
Securities lending	$	9,752,348	-	$	9,752,348	-	$	9,752,348		-
Ultra-Small Company
Securities lending	$	10,970,434	-	$	10,970,434	-	$	10,970,434		-
Ultra-Small Company Market
Securities lending	$	43,006,223	-	$	43,006,223	-	$	43,006,223		-
Small-Cap Momentum
Securities lending	$	303,096	-	$	303,096	-	$	303,096		-
Small-Cap Growth
Securities lending	$	5,333,433	-	$	5,333,433	-	$	5,333,433		-
Small-Cap Value
Securities lending	$	8,060,854	-	$	8,060,854	-	$	8,060,854		-
Large-Cap Growth
Securities lending	$	4,802,652	-	$	4,802,652	-	$	4,802,652		-
Managed Volatility
Securities lending	$	230,804	-	$	230,804	-	$	230,804		-

¹  Securities loaned with a value of $62,400 and $969,527 in Ultra-Small Company Market and Small-Cap Growth, respectively, have been sold and are pending settlement on July 1, 2015.

²  Collateral with a value of $10,088,121, $11,304,787, $44,237,825, $307,286, $5,424,205, $8,128,231, $4,920,115, and $245,163 has been received in connection with securities lending of Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, and Managed Volatility Funds, respectively. Excess of collateral received from an individual counterparty is not shown here for financial reporting purposes.

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June 30, 2015

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, 2015 the collateral consisted of an institutional money market fund.

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

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

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

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

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

Derivatives

The Funds’ use of derivatives for the year ended June 30, 2015 was limited to futures contracts, 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, categorized by primary underlying risk.

		Asset Derivatives			Liability Derivatives
Primary Underlying Risk/Fund	Type of         Derivative	Location on Statement of Assets and Liabilities	Value		Location on Statement of Assets and Liabilities	Value
Equity
Managed Volatility	Written Option		$	-	Call Options Written at Value	$	187,694
					Put Options Written at Value		444,080

Fund/Financial Instrument Type	Type of Derivative	Location of Gain (Loss) on Derivatives	Amount of Realized Gain (Loss)			Amount of Unrealized Gain (Loss)
Equity
Managed Volatility	Written Option	Realized Gain (Loss) on Written Options	$	117,574
		Change in Unrealized Appreciation (Depreciation) on Written Options				$	315,098
	Futures Contract	Realized Gain (Loss) on Futures Contracts	$	(1,318,939	)

The derivative instruments outstanding as of June 30, 2015, 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 Statements of Operations, serve as indicators of the volume of derivatives activity for the Funds.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

Futures Contracts The Funds may purchase or sell financial futures contracts to hedge cash positions, manage market risk, and to dampen volatility in line with investment objectives. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash or U.S. Government securities equal to the minimum “initial margin” requirements of the exchange on which the futures contract is traded. The contract amount reflects the extent of a Fund’s exposure in these financial instruments. A Fund’s participation in the futures markets involves certain risks, including imperfect correlation between movements in the price of futures contracts and movements in the price of the securities hedged or used for cover. Pursuant to a contract, such Fund agrees to receive from, or pay to, the broker an amount of cash equal to the fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized appreciation or depreciation. When a contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. With futures, there is minimal counterparty risk to the Funds, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. As of June 30, 2015, 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 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 that 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 year ended June 30, 2015 are as follows:

	Managed Volatility Fund Written Call Options				Managed Volatility Fund Written Put Options
	Contracts		Premiums		Contracts		Premiums
Outstanding, June 30, 2014		1,510		$   241,740		2,029		$   397,134
Positions Opened		9,592		1,739,800		7,511		1,595,204
Exercised		(2,119)		(375,290)		(2,537)		(458,894)
Splits		68		-		80		-
Expired		(4,597)		(771,373)		(4,800)		(1,004,434)
Closed		(2,392)		(500,512)		(267)		(80,806)
Outstanding, June 30, 2015		2,062		$   334,365		2,016		$   448,204
Value, June 30, 2015				$  (187,694)				$  (444,080)

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June 30, 2015

The Aggressive Investors 1 Fund had no transactions in written options during the year ended June 30, 2015.

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. Advisory 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 advisory 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 when 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 advisory 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 advisory fee is a flat 0.55% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

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

The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 2000 Growth Index for Small-Cap Growth Fund and the Russell 2000 Value Index for Small-Cap Value Fund, with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.

Large-Cap Growth: 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.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

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 advisory 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 advisory 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 year ended June 30, 2015. 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 Year Ending 06/30/15
Aggressive Investors 1		1.75%		$            -
Ultra-Small Company		1.85%		-
Ultra-Small Company Market		0.75%		-
Small-Cap Momentum*		0.90%		128,110
Small-Cap Growth		0.94%		47,099
Small-Cap Value		0.94%		32,524
Large-Cap Growth		0.84%		-
Blue Chip 35 Index		0.15%		496,837
Managed Volatility		0.94%		50,322
*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 $128,493, $121,419 and $128,110, which expire June 30, 2016, June 30, 2017 and June 30, 2018, respectively.

Other Related Party Transactions: 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 year ended June 30, 2015 were as follows:

Bridgeway Fund	Inter-Portfolio Purchases		Inter-Portfolio Sales
Aggressive Investors 1		$  2,260,311		$  9,296,127
Ultra-Small Company		992,246		18,541,930
Ultra-Small Company Market		19,340,422		8,602,903
Small-Cap Momentum		5,117		71,446
Small-Cap Growth		254,664		1,162,840
Small-Cap Value		1,116,270		6,293,412

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

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

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. Prior to July 1, 2015 for its services to all of the Bridgeway Funds, the Adviser was paid an aggregate annual fee of $535,000, payable in equal monthly installments. Effective July 1, 2015, the Adviser will be paid an aggregate annual fee of $590,000, payable in equal monthly installments.

Board of Directors Compensation Independent Directors are paid an annual retainer of $15,000, with an additional retainer of $5,000 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. The retainer is paid in quarterly installments. Independent Directors are paid $6,250 per meeting for meeting fees. Such compensation is the total compensation from all Funds and is allocated among the Funds.

The Independent Directors each 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, as well as expenses for subscriptions or printed materials. The amount of directors’ fees attributable to each Fund is disclosed in the Statements of Operations.

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

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 year ended June 30, 2015 were as follows:

	Purchases				Sales
Bridgeway Fund	U.S. Government		Other		U.S. Government		Other
Aggressive Investors 1	$	-	$	273,191,835	$	-	$	292,847,364
Ultra-Small Company		-		124,906,478		-		135,337,696
Ultra-Small Company Market		-		126,768,842		-		157,126,678
Small-Cap Momentum		-		10,363,278		-		11,276,324
Small-Cap Growth		-		42,212,376		-		44,105,150
Small-Cap Value		-		57,083,711		-		65,615,458
Large-Cap Growth		-		132,420,742		-		43,442,573
Blue Chip 35 Index		-		136,520,125		-		114,767,299
Managed Volatility		-		17,729,508		-		10,474,314

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 to distribute income to the extent necessary so that the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.

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NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

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 as of June 30, 2015, were as follows:

	Aggressive Investors 1		Ultra-Small Company		Ultra-Small Company Market
Gross appreciation (excess of value over tax cost)		$  40,532,678		$  22,237,161		$140,020,138
Gross depreciation (excess of tax cost over value)		(9,638,989)		(5,737,397)		(24,835,499)
Net unrealized appreciation (depreciation)		$  30,893,689		$  16,499,764		$115,184,639
Cost of investments for income tax purposes		$230,821,041		$121,398,747		$334,323,573
	Small-Cap Momentum		Small-Cap Growth		Small-Cap Value
Gross appreciation (excess of value over tax cost)		$   524,636		$  6,753,646		$  8,656,132
Gross depreciation (excess of tax cost over value)		(87,793)		(1,064,829)		(5,765,499)
Net unrealized appreciation (depreciation)		$   436,843		$  5,688,817		$  2,890,633
Cost of investments for income tax purposes		$5,003,601		$36,051,032		$79,222,325
	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Gross appreciation (excess of value over tax cost)		$  20,182,585		$197,379,176		$  8,383,828
Gross depreciation (excess of tax cost over value)		(5,125,853)		(6,036,239)		(1,442,514)
Net unrealized appreciation (depreciation)		$  15,056,732		$191,342,937		$  6,941,314
Cost of investments for income tax purposes		$147,649,523		$408,713,036		$56,815,251

The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale and straddle loss deferrals and basis adjustments on investments in business development companies, partnerships and passive foreign investment companies (PFICs).

Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.

The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2015 and June 30, 2014, respectively, are as follows:

	Aggressive Investors 1				Ultra-Small Company
	Year		Year		Year		Year
	Ended		Ended		Ended		Ended
	June 30, 2015		June 30, 2014		June 30, 2015		June 30, 2014
Distributions paid from:
Ordinary Income		$540,861		$1,735,698		$  1,052,434		$  2,464,929
Long-Term Capital Gain		-		-		27,750,353		17,948,088
Total		$540,861		$1,735,698		$28,802,787		$20,413,017
	Ultra-Small Company Market				Small-Cap Momentum
	Year		Year		Year		Year
	Ended		Ended		Ended		Ended
	June 30, 2015		June 30, 2014		June 30, 2015		June 30, 2014
Distributions paid from:
Ordinary Income		$  2,780,087		$  2,799,151		$282,147		$490,538
Long-Term Capital Gain		38,343,165		37,195,176		188,250		131,251
Total		$41,123,252		$39,994,327		$470,397		$621,789

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

	Small-Cap Growth				Small-Cap Value
	Year Ended  June 30, 2015		Year   Ended    June 30, 2014		Year Ended June 30, 2015	Year Ended  June 30, 2014
Distributions paid from:
Ordinary Income		$  21,907		$134,922	$     581,377	$411,510
Total		$  21,907		$134,922	$     581,377	$411,510
	Large-Cap Growth				Blue Chip 35 Index
	Year Ended  June 30, 2015		Year   Ended    June 30, 2014		Year Ended  June 30, 2015	Year Ended  June 30, 2014
Distributions paid from:
Ordinary Income		$330,018		$269,798	$11,713,217	$9,822,019
Total		$330,018		$269,798	$11,713,217	$9,822,019
	Managed Volatility
	Year Ended  June 30, 2015		Year   Ended    June 30, 2014
Distributions paid from:
Ordinary Income		$  59,691		$  90,423
Total		$  59,691		$  90,423

As of June 30, 2015, the Funds had available for tax purposes, capital loss carryovers as follows:

	Aggressive Investors 1		Ultra-Small Company
Expiring   6/30/2017		$83,672,925		$1,203,654
6/30/2018		16,094,317		-
	Small-Cap Growth		Small-Cap Value
Expiring 6/30/2018		$13,110,417		$20,917,185

	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Expiring   6/30/2018		$12,765,670		$13,868,547		$4,158,560
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. For Aggressive Investors 1 and Ultra-Small Company Funds, capital losses related to prior year reorganizations are subject to limitations under Internal Revenue Code Section 381-384. As of the date of the reorganizations, Aggressive Investors 1 and Ultra-Small Company had accumulated capital losses of $99,767,242 and $1,203,654, respectively, 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, 2015.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

Capital loss carryovers utilized during the year ended June 30, 2015 were as follows:

Bridgeway Fund	Capital Loss Carryover Utilized
Aggressive Investors 1	$25,307,168
Ultra-Small Company	601,827
Small-Cap Growth	4,041,588
Small-Cap Value	5,688,882
Large-Cap Growth	7,237,893
Blue Chip 35 Index	5,687,442
Managed Volatility	927,552

Components of Accumulated Earnings (Deficit)  As of June 30, 2015, 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)		$         99,002		$  1,116,193		$                   -
Accumulated Net Realized Gain (Loss) on Investments*		(99,767,242)		(3,508,746)		26,469,812
Net Unrealized Appreciation/Depreciation of Investments		30,893,689		16,499,764		115,184,639
Total		$(68,774,551)		$14,107,211		$141,654,451
	Small-Cap Momentum		Small-Cap Growth		Small-Cap Value
Accumulated Net Investment Income (Loss)		$    9,442		$                    -		$      941,370
Accumulated Net Realized Gain (Loss) on Investments*		115,288		(13,110,417)		(20,917,185)
Net Unrealized Appreciation/Depreciation of Investments		436,843		5,688,817		2,890,633
Total		$561,573		$  (7,421,600)		$(17,085,182)
	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Accumulated Net Investment Income (Loss)		$       538,934		$    7,344,268		$      15,835
Accumulated Net Realized Gain (Loss) on Investments*		(12,765,670)		(16,524,737)		(4,158,560)
Net Unrealized Appreciation/Depreciation of Investments		15,056,732		191,342,937		6,941,314
Total		$    2,829,996		$182,162,468		$ 2,798,589

* Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2016. The Ultra-Small Company Fund has elected to defer qualified short-term late-year losses of ($2,305,092). The Aggressive Investors 1, Ultra-Small Company Market, Small-Cap Momentum, Small-Cap Growth, Small-Cap Value, Large-Cap Growth, Blue Chip 35 Index Fund, and Managed Volatility Funds have no deferred qualified late-year losses.

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NOTES TO FINANCIAL STATEMENTS (continued)  

June 30, 2015

For the fiscal year June 30, 2015, 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	$	-	$	-	$	2,099,239
Undistributed Net Investment Income		-		(14,057)		222,437
Accumulated Net Realized Gain (Loss) on Investments		-		14,057		(2,321,676)
	Small-Cap Momentum		Small-Cap Growth		Small-Cap Value
Paid-in-Capital	$	10,366	$	(23,610)	$	-
Undistributed Net Investment Income		(3,267)		23,610		5,432
Accumulated Net Realized Gain (Loss) on Investments		(7,099)		-		(5,432)
	Large-Cap Growth		Blue Chip 35 Index		Managed Volatility
Paid-in-Capital	$	-	$	-	$	-
Undistributed Net Investment Income		-		-		-
Accumulated Net Realized Gain (Loss) on Investments		-		-		-

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, redesignation of dividends paid, net operating loss, distributions in excess of profits and investments in real estate investment trusts, business development companies, grantor trusts, partnerships and passive foreign investment companies (PFICs).

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 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 September 17, 2015. Advances under the Facility are limited to $15,000,000 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 “Overnight Rate” plus 1.25%. The Overnight Rate means the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-Month Eurodollar Rate. 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, 2015

For the year ended June 30, 2015, 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		1.42%		$  886,776	49		$1,688		$3,193,000
Ultra-Small Company		1.42%		897,115	113		3,944		3,973,000
Ultra-Small Company Market		1.41%		981,843	83		3,146		3,362,000
Small-Cap Growth		1.42%		354,579	38		525		809,000
Small-Cap Value		1.42%		438,449	78		1,326		1,156,000
Blue Chip 35 Index		1.42%		1,741,593	59		4,009		6,218,000
Managed Volatility		1.40%		1,565,000	1		60		1,565,000
Small Cap Momentum		1.42%		238,000	2		19		238,000
1 Interest expense is included on the Statements of Operations in Miscellaneous expenses.

On June 30, 2015, Ultra-Small Company, Small-Cap Value, and Blue Chip 35 Index had loans outstanding in the amounts of $128,000, $613,000 and $2,189,000, respectively, exclusive of interest payable on the loans.

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.

www.bridgeway.com 116

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 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 (the “Funds”), each a series of Bridgeway Funds, Inc., including the schedules of investments, as of June 30, 2015, 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 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, 2015 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, 2015, 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 their financial highlights for each of the years 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 27, 2015

117 Annual Report  |  June 30, 2015

OTHER INFORMATION  

June 30, 2015 (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, 2015. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2014.

The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2015. 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		Ultra-Small		Ultra-Small
	Investors 1		Company		Company Market
Corporate Dividends Received Deduction		100.00%		56.91%		100.00%
Qualified Dividend Income		100.00%		57.74%		100.00%
Qualified Interest Related Dividends		0.00%		0.00%		0.01%
Qualified Short Term Capital Gain Dividends		0.00%		0.00%		0.00%
U.S. Government Income		0.00%		0.00%		0.00%
		Small-Cap		Small-Cap		Small-Cap
		Momentum		Growth		Value
Corporate Dividends Received Deduction		16.31%		99.92%		98.68%
Qualified Dividend Income		16.80%		99.92%		100.00%
Qualified Interest Related Dividends		0.00%		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		Blue Chip		Managed
		Growth		35 Index		Volatility
Corporate Dividends Received Deduction		100.00%		100.00%		100.00%
Qualified Dividend Income		100.00%		100.00%		100.00%
Qualified Interest Related Dividends		0.02%		0.00%		5.50%
Qualified Short Term Capital Gain Dividends		0.00%		0.00%		0.00%
U.S. Government Income		0.00%		0.00%		5.45%

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, 2015, the Funds paid distributions from ordinary income and long-term capital gain which included equalization debits summarized below:

	Aggressive		Ultra-Small		Ultra-Small		Small-Cap
	Investors 1		Company		Company Market		Momentum
Ordinary Income Distributions	$	540,861	$	1,052,434	$	2,780,087	$	282,147
Equalization Debits Included in Ordinary Income Distributions		-		-		12,590		3,209
Equalization Debits Included in Long-Term Capital Gain Distributions		-		-		2,086,649		7,157
Long-Term Capital Gain Distributions		-		27,750,353		38,343,165		188,250
	Small-Cap		Small-Cap		Large-Cap		Blue Chip
	Growth		Value		Growth		35 Index		Managed Volatility
Ordinary Income Distributions	$	21,907	$	581,377	$	330,018	$	11,713,217	$59,691

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OTHER INFORMATION (continued)  

June 30, 2015 (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, 2015 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 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 approval of the Management Agreement. For example, 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 by the Adviser, the Adviser’s compliance program, comparative performance information for each fund, the risk assessment of the funds and “deep dives” on the strategy and performance of certain funds on a periodic basis. In addition, the Board receives updated financial information on the Adviser and updates related to strategic direction and marketing efforts between meetings from the Adviser.

On May 15, 2015, 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 (each a “Fund” and collectively, the “Funds”). 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;

119 Annual Report  |  June 30, 2015

OTHER INFORMATION (continued)  

June 30, 2015 (Unaudited)

• 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 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. 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, although it was noted the annual fee under the Administrative Services Agreement was proposed to be increased at the Meeting;

• 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 periodically during the year.

In examining the nature, extent and quality of the services provided by the Adviser, the Independent Directors were pleased that the Funds continue to have access to the Adviser’s specialized skills and experience in statistical analysis and investment management and trading, and viewed those skills as relatively unique within the investment management industry. The Independent Directors were satisfied that staffing levels at the Adviser were adequate and appropriate in view of the Funds’ operations.

In examining investment performance, the Independent Directors reviewed performance information as of December 31, 2014 for each Fund and considered the following:

• With regard to the Aggressive Investors 1 Fund, the Independent Directors noted that the Fund has outperformed its peer funds and benchmark index for the past three-year and five-year periods and has significantly outperformed its benchmark index since inception.

• With regard to the Ultra-Small Company Fund, the Independent Directors noted that the Fund has outperformed its peer funds and benchmark index for the past three-year period, outperformed its peers but lagged its benchmark index for the past five-year period and has significantly outperformed its benchmark index since inception. The

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OTHER INFORMATION (continued)  

June 30, 2015 (Unaudited)

Independent Directors also considered that the Fund’s performance has been negatively impacted by macro-driven markets but has performed well in the recent more favorable market environment.

• With regard to the Ultra-Small Company Market Fund, the Independent Directors noted that the Fund has outperformed its peer funds and its benchmark index for the past three-year and five-year periods and slightly lagged its benchmark index since inception (although by less than the Fund’s expense ratio).

• With regard to the Small-Cap Growth Fund, the Independent Directors noted that: (i) the Fund has lagged its peer funds and benchmark index for the past five-year period and lagged its benchmark index since inception; and (ii) the Fund has outperformed its peers and benchmark index for the past three-year period. However, the Independent Directors also considered that the Fund’s performance has been negatively impacted by macro-driven markets and noted that the Adviser made some refinements to its investment process approximately three years ago and that the Adviser believes these refinements are having a positive impact on the Fund.

• With regard to the Small-Cap Value Fund, the Independent Directors noted that the Fund has outperformed its peer funds and benchmark index for the past three-year and five-year periods and has slightly lagged its benchmark index since inception.

• With regard to the Large-Cap Growth Fund, the Independent Directors noted that the Fund has outperformed its peer funds and benchmark index for the past three-year and five-year periods and has slightly lagged its benchmark index since inception.

• With regard to the Blue Chip 35 Index Fund, the Independent Directors noted that the Fund has lagged its peer funds and benchmark index for the past three-year and five-year periods and outperformed its benchmark index since inception. The Independent Directors also considered that the Blue Chip 35 Index Fund is a passively managed fund whose peer funds have a significantly lower average market capitalization and that this difference in average capitalization was the primary reason for the difference in performance compared to peer funds as well as its benchmark index.

• With regard to the Managed Volatility Fund, the Independent Directors noted that the Fund has lagged its peer funds and benchmark index for the three-year and five-year periods and lagged its benchmark index since inception. However, the Independent Directors also considered that in 10 out of 13 years since inception, the fund has captured at least 40% of the S&P 500 return in up years and 40% or less of the S&P 500 return in down years, which is consistent with the design of the Fund.

• With regard to the Small-Cap Momentum Fund, the Independent Directors noted that, during this Fund’s relatively short operating history, it has lagged its peer funds and benchmark index for the past one-year and three-year periods and has lagged its benchmark index since inception. The Independent Directors also considered that analysis performed by the Adviser indicates that performance is in line with the design of the fund but that it has been an extended unfavorable period for the risk-adjusted momentum approach used by this Fund.

In examining fees and expenses, the Independent Directors considered the following:

• With respect to the Aggressive Investors 1 Fund, the management fee is performance-based and adjusts higher or lower in a range in response to investment results. The Aggressive Investors 1 Fund’s management fee is higher than peer funds, partially due to the performance based portion. However, total expenses are significantly lower than peer funds.

• With respect to the Ultra-Small Company Fund, the management fee and total expenses are significantly lower than peer funds.

• With respect to the Ultra-Small Company Market Fund, the management fee and total expenses are significantly lower than peer funds.

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OTHER INFORMATION (continued)  

June 30, 2015 (Unaudited)

• With respect to each of the Small-Cap Growth Fund, Small-Cap Value Fund and Large-Cap Growth Fund, the management fee is performance-based and adjusts higher or lower in a range in response to investment results. Each such Fund’s management fee and overall expenses were significantly lower than its respective peer funds.

• With respect to each of the Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund, the management fee and total expenses are significantly lower than their respective peer funds.

In addition, the Independent Directors considered that the Adviser agreed to contractual expense limitation agreements for each of the Funds to ensure that total expense levels do not increase above certain levels. The Independent Directors also reviewed the fees the Adviser charged to other funds (for which the Adviser serves as subadviser) and separately managed accounts, as applicable, and evaluated the differences in fees and services provided to the Funds and such other separately managed accounts.

In examining profitability, the Independent Directors considered that the Adviser was operating some Funds at a loss, which negatively impacted the Adviser’s overall financial results. However, the Independent Directors also considered that the Adviser has significant financial resources to support ongoing operations and future growth despite currently operating some of the Funds at a loss and that the Adviser had experienced improved overall financial performance results in 2014 as compared to 2013.

With regard to economies of scale, the Independent Directors noted that the Aggressive Investors 1 Fund and Ultra-Small Company Fund each have fee breakpoints in their management fee schedules and that the Aggressive Investors 1 Fund is at a size currently to benefit from such breakpoints. The Independent Directors noted that although the Ultra-Small Company Fund is not currently at an asset level at which it can take advantage of the breakpoints contained in its fee schedule, the fee schedules is structured so that when the assets of the Fund increase, economies of scale may be shared for the benefit of shareholders. Although the Ultra-Small Company Market Fund does not have fee breakpoints in its management fee schedule, the Adviser represented that it believes that the Fund does not exhibit significant economies of scale because it involves intensive and time-consuming portfolio and trading management because trades are small and oftentimes less liquid, so they may take longer to execute. As a result, the Adviser indicated that an increase in assets of the Ultra-Small Company Market Fund does not necessarily lead to economies of scale. Although the Small-Cap Growth Fund, Small-Cap Value Fund, Large-Cap Growth Fund, Blue Chip 35 Index Fund, Managed Volatility Fund and Small-Cap Momentum Fund do not have fee breakpoints in their management fee schedules, the Adviser indicated that these Funds were priced low relative to peers and ahead of the economies of scale curve at launch. In view of asset sizes and fee structures, the Independent Directors were satisfied that shareholders were not missing the opportunity to benefit from economies of scale if they were available.

In terms of potential “fall out” or ancillary benefits to the Adviser due to its position as manager of the Funds, the Independent Directors noted that the Adviser continues to use no soft dollars and that its administrative services to the Funds are structured to approximate an at-cost relationship.

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 outside the presence of management, 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

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OTHER INFORMATION (continued)  

June 30, 2015 (Unaudited)

• 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.

Based on all relevant information and factors, the Board, including a majority of its Independent Directors, unanimously approved the renewal of the Management Agreement with respect to each Fund. 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.

123 Annual Report  |  June 30, 2015

DISCLOSURE OF FUND EXPENSES  

June 30, 2015 (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, 2015 and held until June 30, 2015.

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 1/1/15	Ending Account Value at 6/30/15	Expense Ratio	Expenses Paid During Period* 1/1/15 - 6/30/15
Bridgeway Aggressive Investors 1 Fund
Actual Fund Return	$1,000.00	$   996.00	1.42%	$7.03
Hypothetical Fund Return	$1,000.00	$1,017.75	1.42%	$7.10
Bridgeway Ultra-Small Company Fund
Actual Fund Return	$1,000.00	$   957.40	1.12%	$5.44
Hypothetical Fund Return	$1,000.00	$1,019.24	1.12%	$5.61
Bridgeway Ultra-Small Company Market Fund
Actual Fund Return	$1,000.00	$1,018.30	0.73%	$3.65
Hypothetical Fund Return	$1,000.00	$1,021.17	0.73%	$3.66
Bridgeway Small-Cap Momentum Fund
Actual Fund Return	$1,000.00	$1,057.70	0.90%	$4.59
Hypothetical Fund Return	$1,000.00	$1,020.33	0.90%	$4.51
Bridgeway Small-Cap Growth Fund
Actual Fund Return	$1,000.00	$1,109.50	0.94%	$4.92
Hypothetical Fund Return	$1,000.00	$1,020.13	0.94%	$4.71
Bridgeway Small-Cap Value Fund
Actual Fund Return	$1,000.00	$1,000.00	0.94%	$4.66
Hypothetical Fund Return	$1,000.00	$1,020.13	0.94%	$4.71

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DISCLOSURE OF FUND EXPENSES (continued)  

June 30, 2015 (Unaudited)

	Beginning Account Value at 1/1/15	Ending Account Value at 6/30/15	Expense Ratio	Expenses Paid During Period* 1/1/15 - 6/30/15
Bridgeway Large-Cap Growth Fund
Actual Fund Return	$1,000.00	$1,048.70	0.80%	$4.06
Hypothetical Fund Return	$1,000.00	$1,020.83	0.80%	$4.01
Bridgeway Blue Chip 35 Index Fund
Actual Fund Return	$1,000.00	$1,006.80	0.15%	$0.75
Hypothetical Fund Return	$1,000.00	$1,024.05	0.15%	$0.75
Bridgeway Managed Volatility
Actual Fund Return	$1,000.00	$1,002.90	0.94%	$4.67
Hypothetical Fund Return	$1,000.00	$1,020.13	0.94%	$4.71

* Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent six-month period (181) divided by the number of days in the fiscal year (365).

125 Annual Report  |  June 30, 2015

DIRECTORS & OFFICERS  

June 30, 2015

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 61	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 60	Director	Term: 1 Year Length: 1994 to Present.	Principal, Karen S. Gerstner & Associates, P.C., since 2004.	Eleven	None
Miles Douglas Harper, III* Age 52	Director	Term: 1 Year Length: 1994 to Present.	Partner, Carr, Riggs & Ingram, LLC, since 2013; Partner, Gainer Donnelly, LLP, 1998 to 2013 upon merger with Carr, Riggs & Ingram, LLC.	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 54	Director	Term: 1 Year Length: 2006 to Present.	Strategic Advisor, Small Steps Nurturing Center, since 2012; Executive Director, Small Steps Nurturing Center, 2004 to 2012.	Eleven	None

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DIRECTORS & OFFICERS (continued)  

June 30, 2015

“Interested” or Affiliated Director and Officer
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
John N. R. Montgomery2 Age 59	President and Director	Term: 1 Year Length: 1993 to Present.	Chairman, Bridgeway Capital Management, Inc., since 2010; President, Bridgeway Capital Management, Inc., 1993 to 2010 and since June 2015; President, Bridgeway Funds, since June 2015; Vice President, Bridgeway Funds, 2005 to May 2015.	Eleven	None

127 Annual Report  |  June 30, 2015

DIRECTORS & OFFICERS (continued)  

June 30, 2015

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 57	Vice President	Term: 1 Year Length: 2004 to Present.	Vice President, Bridgeway Funds, since 2004; Staff member, Bridgeway Capital Management, Inc., since 2000.	N/A	None
Linda G. Giuffré Age 53	Treasurer and Chief Compliance Officer	Term: 1 Year Length: 2004 to Present.	Chief Compliance Officer, Bridgeway Capital Management, Inc., since 2004; Staff member, Bridgeway Capital Management, Inc., since 2004.	N/A	None
Deborah L. Hanna Age 50	Secretary	Term: 1 Year Length: 2007 to Present.	Self-employed, accounting and related projects for various organizations, since 2001.	N/A	None
Sharon Lester Age 60	Vice President	Term: 1 Year Length: 2011 to Present.	Staff member, Bridgeway Capital Management, Inc., since 2010; Prior to 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  John Montgomery is chairman, president, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

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

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

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BRIDGEWAY FUNDS, INC.

BNY Mellon Investment Servicing (US) Inc.

P.O. Box 9860

Providence, RI 02940-8060

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 are 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, 2015

OMNI SMALL-CAP VALUE	BOSVX
OMNI TAX-MANAGED SMALL-CAP VALUE	BOTSX

www.bridgeway.com

TABLE OF CONTENTS    

Letter from the Investment Management Team	1
OMNI SMALL-CAP VALUE FUND
Manager’s Commentary	3
Schedule of Investments	6
OMNI TAX-MANAGED SMALL-CAP VALUE FUND
Manager’s Commentary	17
Schedule of Investments	20
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	48
Directors & Officers	49

Bridgeway Funds Standardized Returns as of June 30, 2015 (Unaudited)

							Annualized
Fund	Quarter			Six Months			1 Year			Inception to Date			Inception Date		Gross Expense Ratio2			Net Expense Ratio2
Omni Small-Cap Value		-0.32	%		1.57	%		-1.48	%		16.77	%		8/31/2011		0.73	%1		0.62	%1
Omni Tax-Managed Small-Cap Value		-0.41	%		2.02	%		-1.62	%		11.29	%		12/31/2010		0.72	%1		0.61	%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, 2015.

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.

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM

June 30, 2015

Dear Fellow Shareholders,

At Bridgeway, we have a shared passion for applying logic, data and evidence to develop investment solutions. The construction of our Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds is 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	Christine L. Wang	Michael Whipple
Elena Khoziaeva

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

Market Review

Performance across domestic equity markets was mixed for the June 2015 quarter. Broad market returns for the quarter were up slightly, 0.14% as represented by the Russell 3000 Index.

For the fiscal year ended June 30, 2015, broad market stocks were up 7.29%, as represented by the Russell 3000 Index. Returns among growth stocks outperformed value stocks across the market cap spectrum. Small-cap growth stocks led the way, up 12.34%, followed by large-cap growth stocks, up 10.56%.

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, 2015

	Quarter	Fiscal Year
Best                 Performing	1.98% Russell 2000 Growth Index	12.34% Russell 2000 Growth Index
	0.27% Russell 3000 Growth Index	10.69% Russell 3000 Growth Index
	0.12% Russell 1000 Growth Index	10.56% Russell 1000 Growth Index
	0.11% Russell 1000 Value Index	9.45% Russell Midcap Growth Index
	0.00% Russell 3000 Value Index	4.13% Russell 1000 Value Index
	-1.14% Russell Midcap Growth Index	3.86% Russell 3000 Value Index
	-1.20% Russell 2000 Value Index	3.67% Russell Midcap Value Index
Worst             Performing	-1.97% Russell Midcap Value Index	0.78% Russell 2000 Value Index

The Bridgeway Omni Funds in this annual report are asset class exposure strategies that seek broad diversification and risk premium exposure with low tracking error. These Funds were designed to capture the size and style benefits within the small-cap value asset class.

2 Annual Report  |  June 30, 2015

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

June 30, 2015

Dear Fellow Omni Small-Cap Value Fund Shareholder,

For the quarter ended June 30, 2015, our Fund declined 0.32%, outperforming our primary market benchmark, the Russell 2000 Value Index (-1.20%).

For the fiscal year, our Fund declined 1.48%, underperforming our primary benchmark, the Russell 2000 Value Index (+0.78%).

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, 2015

							Annualized
	Quarter			1 Year			Since Inception (8/31/11)
Omni Small-Cap Value Fund		-0.32	%		-1.48	%	16.77%
Russell 2000 Value Index		-1.20	%		0.78	%	15.24%

Performance figures quoted in the table above and the graph on the next page 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 on the next page do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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.

According to data from Lipper, Inc. as of June 30, 2015, Omni Small-Cap Value Fund ranked 243^rd of 312 small-cap value funds for the 12 months ended June 30, 2015 and 81^st of 249 such funds since inception in August, 2011. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns.

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

Omni Small-Cap Value Fund vs. Russell 2000 Value Index

from Inception 8/31/11 to 6/30/15

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, 2015, we held 614 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.

Our design tilt toward deeper value and smaller stocks contributed positively to relative performance. By design, the Fund does not hold Utility sector stocks or Real Estate Investment Trusts (REITs). Those assets had weak relative returns during the quarter, which helped the Fund’s relative performance. Our Fund’s higher weighting in Financial sector stocks other than REITs contributed to relative returns, while holdings in the Energy sector had a negative effect.

Detailed Explanation of Fiscal Year Performance

Our Fund’s investment in deeper value stocks versus the Index detracted from our relative performance for the fiscal year. Our Fund’s overweighted position in the Energy sector also hurt performance, as Energy was the worst performing sector for the year.

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Amedisys, Inc.	Health Care Providers & Services	0.8%
2	OM Group, Inc.	Chemicals	0.8%
3	Ebix, Inc.	Software	0.8%
4	Fresh Del Monte Produce, Inc.	Food Products	0.7%
5	Post Holdings, Inc.	Food Products	0.7%
6	Perry Ellis International, Inc.	Textiles, Apparel & Luxury Goods	0.7%
7	TravelCenters of America LLC	Specialty Retail	0.7%
8	Hawaiian Holdings, Inc.	Airlines	0.7%
9	Scholastic Corp.	Media	0.7%
10	Cooper-Standard Holding, Inc.	Auto Components	0.7%
	Total		7.3%

4 Annual Report  |  June 30, 2015

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

Industry Sector Representation as of June 30, 2015

	% of Portfolio	% of Russell 2000 Value Index	Difference
Consumer Discretionary	14.5%	10.8%	3.7%
Consumer Staples	4.6%	3.0%	1.6%
Energy	8.3%	6.3%	2.0%
Financials	34.9%	41.7%	-6.8%
Health Care	5.0%	4.2%	0.8%
Industrials	15.6%	12.4%	3.2%
Information Technology	11.6%	10.3%	1.3%
Materials	3.9%	3.9%	0.0%
Telecommunication Services	1.6%	0.9%	0.7%
Utilities	0.0%	6.5%	-6.5%
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, 2015, 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

www.bridgeway.com 5

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.80%
Aerospace & Defense - 1.30%
AAR Corp.+		92,600		$2,951,162
Arotech Corp.*+		162,800		392,348
Breeze-Eastern Corp.*		625		7,188
Cubic Corp.		5,000		237,900
Ducommun, Inc.*		62,770		1,611,306
Erickson, Inc.*+		1,417		6,150
LMI Aerospace, Inc.*+		35,000		350,350
National Presto Industries, Inc.+		5,020		403,206
Sypris Solutions, Inc.		6,400		9,280
				5,968,890
Air Freight & Logistics - 0.83%
Air T, Inc.*		2,800		58,688
Air Transport Services Group, Inc.*		260,200		2,729,498
Atlas Air Worldwide Holdings, Inc.*		18,800		1,033,248
				3,821,434
Airlines - 1.26%
Hawaiian Holdings, Inc.*		135,634		3,221,308
Republic Airways Holdings, Inc.*		130,550		1,198,449
SkyWest, Inc.		91,800		1,380,672
				5,800,429
Auto Components - 2.15%
China Automotive Systems, Inc.*+		28,200		237,444
China XD Plastics Co., Ltd.*+		100,900		608,427
Cooper Tire & Rubber Co.		14,000		473,620
Cooper-Standard Holding, Inc.*		51,000		3,134,970
Fuel Systems Solutions, Inc.*+		60,122		449,713
Modine Manufacturing Co.*		84,000		901,320
Remy International, Inc.		21,600		477,576
Shiloh Industries, Inc.*+		15,000		194,250
SORL Auto Parts, Inc.*+		129,900		423,474
Spartan Motors, Inc.+		22,000		100,760
Stoneridge, Inc.*		55,900		654,589
Strattec Security Corp.		1,300		89,310
Superior Industries International, Inc.		115,400		2,112,974
				9,858,427
Beverages - 0.04%
MGP Ingredients, Inc.		11,318		190,369

Industry Company	Shares		Value
Building Products - 0.98%
Alpha Pro Tech, Ltd.*		26,743		$     59,904
Gibraltar Industries, Inc.*		81,850		1,667,284
Griffon Corp.		140,900		2,243,128
Universal Forest Products, Inc.		10,000		520,300
				4,490,616
Capital Markets - 1.59%
Arlington Asset Investment Corp., Class A+		13,700		267,972
BlackRock Capital Investment Corp.		35,000		319,900
Calamos Asset Management, Inc., Class A		64,300		787,675
Cowen Group, Inc., Class A*		105,900		677,760
FBR & Co.*+		21,600		499,824
Gladstone Capital Corp.+		31,900		252,010
INTL FCStone, Inc.*		2,200		73,128
Investment Technology Group, Inc.		57,050		1,414,840
JMP Group LLC+		87,300		680,940
KCG Holdings, Inc., Class A*		35,000		431,550
MCG Capital Corp.		50,000		228,000
OFS Capital Corp.		28,708		344,496
Oppenheimer Holdings, Inc., Class A		31,093		817,124
Piper Jaffray Cos.*		11,400		497,496
				7,292,715
Chemicals - 1.96%
Core Molding Technologies, Inc.*		17,000		388,280
Gulf Resources, Inc.*		153,200		316,358
Intrepid Potash, Inc.*		93,600		1,117,584
KMG Chemicals, Inc.		58,200		1,480,608
Kraton Performance Polymers, Inc.*		85,750		2,047,710
OM Group, Inc.		108,300		3,638,880
				8,989,420
Commercial Banks - 17.79%
1st Source Corp.		78,952		2,693,842
Access National Corp.		2,700		52,488
American National Bankshares, Inc.		21,800		519,058
American River Bankshares*		21,300		198,516
AmeriServ Financial, Inc.		5,000		16,650

6 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Bank of Commerce Holdings		45,300		$   259,569
Bank of the Ozarks, Inc.		17,812		814,899
Banner Corp.		11,450		548,798
Bar Harbor Bankshares+		11,250		398,588
Baylake Corp.+		3,000		37,950
BBCN Bancorp, Inc.		15,000		221,850
BCB Bancorp, Inc.		10,400		127,088
BNC Bancorp		73,844		1,427,405
Boston Private Financial Holdings, Inc.		10,000		134,100
BSB Bancorp, Inc.*		31,633		699,406
C&F Financial Corp.		1,200		44,460
Camden National Corp.		9,500		367,650
Capital City Bank Group, Inc.		48,750		744,412
Cardinal Financial Corp.		25,000		544,750
Carolina Bank Holdings, Inc.*+		11,500		139,322
Central Pacific Financial Corp.		25,000		593,750
Central Valley Community Bancorp		20,000		236,600
Century Bancorp, Inc., Class A		15,200		618,032
Chemical Financial Corp.		61,500		2,033,190
Chemung Financial Corp.+		13,500		357,480
Citizens & Northern Corp.		15,000		308,250
Civista Bancshares, Inc.		2,000		21,600
CNB Financial Corp.		29,000		533,600
Codorus Valley Bancorp, Inc.		3,990		80,718
Community Bankers Trust Corp.*+		5,000		24,850
Community Trust Bancorp, Inc.		17,500		610,225
Customers Bancorp, Inc.*		20,000		537,800
Enterprise Bancorp, Inc.+		11,775		276,006
Enterprise Financial Services Corp.		27,700		630,729
Farmers Capital Bank Corp.*		18,400		523,112
Farmers National Banc Corp.+		150		1,238
Fidelity Southern Corp.+		55,723		971,809
Financial Institutions, Inc.		39,300		976,212
First Bancorp		49,571		826,844
First Bancorp, Inc.+		1,295		25,175
First BanCorp.*		327,800		1,579,996
First Busey Corp.		55,710		366,015
First Business Financial Services, Inc.		2,800		131,264

Industry Company	Shares		Value
Commercial Banks (continued)
First Commonwealth Financial Corp.		158,300		$1,518,097
First Community Bancshares, Inc.		44,000		801,680
First Connecticut Bancorp, Inc.		16,100		255,507
First Financial Bancorp		66,600		1,194,804
First Financial Corp.		37,000		1,323,120
First Internet Bancorp+		1,500		36,750
First Interstate BancSystem, Inc., Class A		95,200		2,640,848
First Merchants Corp.		79,311		1,958,982
First Midwest Bancorp, Inc.		129,000		2,447,130
First of Long Island Corp. (The)		12,000		332,640
First United Corp.*		5,000		43,300
Flushing Financial Corp.		44,297		930,680
German American Bancorp, Inc.		13,000		382,850
Great Southern Bancorp, Inc.		26,900		1,133,566
Hampton Roads Bankshares, Inc.*+		386,754		804,448
Heartland Financial USA, Inc.		41,600		1,548,352
Heritage Commerce Corp.		28,100		270,041
Heritage Financial Corp.		60,260		1,076,846
Heritage Oaks Bancorp		200		1,574
HomeTrust Bancshares, Inc.*		2,961		49,626
Horizon Bancorp+		3,150		78,624
Hudson Valley Holding Corp.		25,200		710,892
Independent Bank Corp., MA+		6,500		304,785
Independent Bank Corp., MI		75,625		1,025,475
International Bancshares Corp.		90,687		2,436,760
Lakeland Bancorp, Inc.		102,050		1,213,374
Landmark Bancorp, Inc.		1,000		24,260
LNB Bancorp, Inc.		26,672		493,432
Macatawa Bank Corp.+		13,200		69,960
MainSource Financial Group, Inc.		67,400		1,479,430
MB Financial, Inc.		17,400		599,256
MBT Financial Corp.*		60,322		346,248
Mercantile Bank Corp.		31,600		676,556
Merchants Bancshares, Inc.		5,000		165,350
Metro Bancorp, Inc.		27,300		713,622
Middleburg Financial Corp.		21,400		385,200
MidSouth Bancorp, Inc.		22,500		343,350
MidWestOne Financial Group, Inc.		15,000		493,800

www.bridgeway.com 7

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Monarch Financial Holdings, Inc.		13,662		$   171,458
MutualFirst Financial, Inc.		10,900		253,207
National Bankshares, Inc.+		2,500		73,150
National Penn Bancshares, Inc.		25,000		282,000
NBT Bancorp, Inc.		13,000		340,210
NewBridge Bancorp		96,700		863,531
Northrim BanCorp, Inc.+		30,445		780,305
OFG Bancorp+		92,600		988,042
Old Line Bancshares, Inc.+		50		794
Old National Bancorp		20,000		289,200
Old Second Bancorp, Inc.*		54,750		361,350
Orrstown Financial Services, Inc.		16,800		271,824
Pacific Continental Corp.		55,500		750,915
Pacific Mercantile Bancorp*		20,000		151,800
Park Sterling Corp.		48,852		351,734
Parke Bancorp, Inc.+		300		3,849
Peapack Gladstone Financial Corp.		6,894		153,185
Peoples Bancorp, Inc.		29,200		681,528
Pinnacle Financial Partners, Inc.		18,700		1,016,719
Preferred Bank		35,700		1,072,785
Premier Financial Bancorp, Inc.		25,200		389,340
QCR Holdings, Inc.		2,000		43,520
Renasant Corp.+		47,946		1,563,040
Republic Bancorp, Inc., Class A		21,550		553,835
Republic First Bancorp, Inc.*+		37,000		128,390
S&T Bancorp, Inc.		49,300		1,458,787
Salisbury Bancorp, Inc.		1,183		36,910
Sandy Spring Bancorp, Inc.		24,000		671,520
SB Financial Group, Inc.+		400		4,236
Shore Bancshares, Inc.*		11,112		104,786
Sierra Bancorp		45,000		778,950
South State Corp.		14,506		1,102,311
Southern National Bancorp of Virginia, Inc.		20,000		221,600
Southwest Bancorp, Inc.		32,900		612,269
State Bank Financial Corp.		97,384		2,113,233
Sun Bancorp, Inc.*		10,000		192,500
Tompkins Financial Corp.		12,808		688,046
TowneBank+		10,000		162,900
Trico Bancshares		37,400		899,470
TriState Capital Holdings, Inc.*		50,000		646,500

Industry Company	Shares		Value
Commercial Banks (continued)
Trustmark Corp.		32,100		$   801,858
Union Bankshares Corp.		60,966		1,416,850
United Community Banks, Inc.		35,650		744,016
Univest Corp. of Pennsylvania		62,600		1,274,536
WesBanco, Inc.		70,273		2,390,687
Wilshire Bancorp, Inc.		40,000		505,200
Yadkin Financial Corp.*		38,452		805,569
				81,734,956
Commercial Services & Supplies - 2.71%
ACCO Brands Corp.*		333,000		2,587,410
Acme United Corp.		735		13,304
Brink’s Co. (The)		22,000		647,460
Command Security Corp.*		26,800		54,404
Ecology & Environment, Inc., Class A+		3,500		36,470
EnerNOC, Inc.*		124,100		1,203,770
Ennis, Inc.		136,892		2,544,822
Heritage-Crystal Clean, Inc.*		13,954		205,124
Kimball International, Inc., Class B		107,200		1,303,552
McGrath RentCorp		2,300		69,989
Multi-Color Corp.		22,400		1,430,912
Quad/Graphics, Inc.		70,000		1,295,700
RR Donnelley & Sons Co.		24,597		428,726
TRC Cos., Inc.*		10,600		107,590
Versar, Inc.*		8,600		33,884
Viad Corp.		17,400		471,714
				12,434,831
Communications Equipment - 0.55%
Bel Fuse, Inc., Class B		18,500		379,620
Black Box Corp.		51,561		1,031,220
Blonder Tongue Laboratories*		10,000		7,700
ClearOne, Inc.		27,500		354,888
Communications Systems, Inc.		4,150		43,616
Harmonic, Inc.*		28,700		196,021
NETGEAR, Inc.*		10,000		300,200
Polycom, Inc.*		20,700		236,808
				2,550,073
Computers & Peripherals - 0.06%
Concurrent Computer Corp.		3,600		22,320
Hutchinson Technology, Inc.*+		100,900		172,539

8 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Computers & Peripherals (continued)
USA Technologies, Inc.*+		25,000		$     67,500
				262,359
Construction & Engineering - 0.97%
Aegion Corp.*		71,800		1,359,892
Goldfield Corp. (The)*		121,000		200,860
Great Lakes Dredge & Dock Corp.*		255,000		1,519,800
Integrated Electrical Services, Inc.*		2,717		19,291
MYR Group, Inc.*		12,100		374,616
Northwest Pipe Co.*		33,295		678,219
Orion Marine Group, Inc.*		43,920		317,102
				4,469,780
Consumer Finance - 1.07%
Asta Funding, Inc.*		37,900		317,602
Cash America International, Inc.		10,200		267,138
Consumer Portfolio Services, Inc.*+		97,000		606,250
Encore Capital Group, Inc.*+		10,000		427,400
Ezcorp, Inc., Class A*		33,900		251,877
Green Dot Corp., Class A*		72,000		1,376,640
Nelnet, Inc., Class A		25,800		1,117,398
Nicholas Financial, Inc.*+		25,000		318,000
Regional Management Corp.*		12,700		226,822
				4,909,127
Distributors - 0.15%
AMCON Distributing Co.		800		62,248
VOXX International Corp.*		56,500		467,820
Weyco Group, Inc.		5,000		149,100
				679,168
Diversified Consumer Services - 0.62%
K12, Inc.*		70,600		893,090
Lincoln Educational Services Corp.		5,000		10,100
Regis Corp.*		121,750		1,918,780
Universal Technical Institute, Inc.		5,000		43,000
				2,864,970
Diversified Financial Services - 1.04%
Enova International, Inc.*		9,333		174,340
Gain Capital Holdings, Inc.		47,599		455,046
Interactive Brokers Group, Inc., Class A		51,150		2,125,794

Industry Company	Shares		Value
Diversified Financial Services (continued)
Marlin Business Services Corp.		2,100		$     35,448
PHH Corp.*		69,550		1,810,386
Resource America, Inc., Class A+		291		2,447
Sterling Bancorp+		10,000		147,000
Summit Financial Group, Inc.		2,115		23,709
				4,774,170
Diversified Telecommunication Services - 1.26%
Alaska Communications Systems Group, Inc.*		178,400		428,160
Atlantic Tele-Network, Inc.		11,300		780,604
General Communication, Inc., Class A*		82,650		1,405,876
Hawaiian Telcom Holdco, Inc.*		29,500		769,950
Iridium Communications, Inc.*+		241,325		2,193,644
Premiere Global Services, Inc.*		20,700		213,003
				5,791,237
Electrical Equipment - 0.32%
Broadwind Energy, Inc.*		75,000		318,000
GrafTech International, Ltd.*		80,500		399,280
Highpower International, Inc.*+		25,923		99,285
II-VI, Inc.*		13,000		246,740
LSI Industries, Inc.		15,000		140,100
Orion Energy Systems, Inc.*		74,300		186,493
Preformed Line Products Co.		1,000		37,720
Ultralife Corp.*		7,350		30,796
				1,458,414
Electronic Equipment, Instruments & Components - 2.59%
Benchmark Electronics, Inc.*		79,700		1,735,866
Fabrinet*		30,050		562,837
GSI Group, Inc.*		9,600		144,288
Insight Enterprises, Inc.*		29,800		891,318
Iteris, Inc.*		87,000		153,990
Key Tronic Corp.*		22,000		239,140
Kimball Electronics, Inc.*		50,400		735,336
PAR Technology Corp.*		101,800		499,838
PCM, Inc.*		8,769		87,953
Planar Systems, Inc.*+		10,000		43,600
Rofin-Sinar Technologies, Inc.*		5,000		138,000

www.bridgeway.com 9

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Electronic Equipment, Instruments & Components (continued)
Sanmina Corp.*		142,700		$   2,876,832
ScanSource, Inc.*		16,000		608,960
Sigmatron International, Inc.*+		13,000		118,300
SMTC Corp.*		7,500		12,450
TTM Technologies, Inc.*		151,538		1,513,865
Vishay Precision Group, Inc.*		101,448		1,527,807
Wireless Telecom Group, Inc.*		10,000		21,700
				11,912,080
Energy Equipment & Services - 2.99%
Basic Energy Services, Inc.*		70,100		529,255
C&J Energy Services, Ltd.*		81,300		1,073,160
CARBO Ceramics, Inc.+		16,820		700,217
Checkpoint Systems, Inc.		17,000		173,060
ENGlobal Corp.*		83,200		112,320
Era Group, Inc.*		11,000		225,280
Gulf Island Fabrication, Inc.		13,503		150,829
Gulfmark Offshore, Inc., Class A+		13,000		150,800
Helix Energy Solutions Group, Inc.*		15,000		189,450
ION Geophysical Corp.*		50,000		53,500
Natural Gas Services Group, Inc.*		29,800		680,036
Newpark Resources, Inc.*		85,000		691,050
Parker Drilling Co.*		221,250		734,550
PHI, Inc.*		90,200		2,707,804
Pioneer Energy Services Corp.*		329,940		2,091,820
SEACOR Holdings, Inc.*		26,000		1,844,440
Tesco Corp.		94,505		1,030,104
Unit Corp.*		22,000		596,640
				13,734,315
Food & Staples Retailing - 1.58%
Andersons, Inc. (The)		58,100		2,265,900
Ingles Markets, Inc., Class A		49,800		2,378,946
SpartanNash Co.		56,146		1,826,991
Village Super Market, Inc., Class A		1,709		54,158
Weis Markets, Inc.		17,500		737,625
				7,263,620
Food Products - 2.19%
Fresh Del Monte Produce, Inc.		88,000		3,402,080
John B. Sanfilippo & Son, Inc.		9,200		477,480

Industry Company	Shares			Value
Food Products (continued)
Omega Protein Corp.*		123,750			$  1,701,562
Post Holdings, Inc.*+		62,000			3,343,660
Seneca Foods Corp., Class A*		40,100			1,113,577
					10,038,359
Health Care Equipment & Supplies - 0.73%
AngioDynamics, Inc.*		74,400			1,220,160
Exactech, Inc.*		17,500			364,525
Invacare Corp.		47,900			1,036,077
Kewaunee Scientific Corp.		3,000			49,320
Merit Medical Systems, Inc.*		20,000			430,800
Symmetry Surgical, Inc.*		31,250			272,500
					3,373,382
Health Care Providers & Services - 4.28%
Almost Family, Inc.*		24,600			981,786
Amedisys, Inc.*		93,950			3,732,634
Amsurg Corp.*		28,550			1,997,073
Five Star Quality Care, Inc.*		146,300			702,240
InfuSystems Holdings, Inc.*+		36,100			115,159
Kindred Healthcare, Inc.		81,350			1,650,592
LHC Group, Inc.*		38,000			1,453,500
Magellan Health, Inc.*		26,225			1,837,586
Molina Healthcare, Inc.*		30,950			2,175,785
National Healthcare Corp.		13,000			844,870
PharMerica Corp.*		72,050			2,399,265
Premier, Inc., Class A*		12,500			480,750
Triple-S Management Corp., Class B*		50,800			1,303,528
					19,674,768
Hotels, Restaurants & Leisure - 3.80%
Ambassadors Group, Inc.*		500			1,220
Boyd Gaming Corp.*		136,100			2,034,695
Flanigan’s Enterprises, Inc.+		2,500			61,750
Frisch’s Restaurants, Inc.+		10,900			365,913
International Speedway Corp., Class A		64,829			2,377,279
Intrawest Resorts Holdings, Inc.*		10,500			122,010
Isle of Capri Casinos, Inc.*		96,200			1,746,030
Luby’s, Inc.*		207,600			1,006,860
Marcus Corp. (The)		130,150			2,496,277
			��
Monarch Casino & Resort, Inc.*		29,400			604,464
Nevada Gold & Casinos, Inc.*		300			495
Penn National Gaming, Inc.*+		133,800			2,455,230

10 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Red Lion Hotels Corp.*		43,905		$     336,312
Ruby Tuesday, Inc.*		249,900		1,566,873
Speedway Motorsports, Inc.		99,900		2,262,735
				17,438,143
Household Durables - 1.41%
Bassett Furniture Industries, Inc.		80,500		2,287,005
CSS Industries, Inc.		44,900		1,358,225
Hooker Furniture Corp.+		15,000		376,650
Lifetime Brands, Inc.		24,400		360,388
NACCO Industries, Inc., Class A		9,250		562,030
P&F Industries, Inc., Class A*		696		5,944
Skullcandy, Inc.*		13,000		99,710
William Lyon Homes, Class A*		10,000		256,700
ZAGG, Inc.*		145,700		1,153,944
				6,460,596
Household Products - 0.61%
Central Garden & Pet Co., Class A*		245,003		2,795,484
Insurance - 8.86%
Ambac Financial Group, Inc.*		68,000		1,131,520
American Equity Investment Life Holding Co.		94,850		2,559,053
American Independence Corp.*+		1,800		16,956
AMERISAFE, Inc.		26,800		1,261,208
Argo Group International Holdings, Ltd.		8,800		490,160
Baldwin & Lyons, Inc., Class B		25,900		596,218
Citizens, Inc.*+		13,040		97,278
Donegal Group, Inc., Class A		26,900		409,687
EMC Insurance Group, Inc.		20,550		515,188
Employers Holdings, Inc.		38,500		877,030
FBL Financial Group, Inc., Class A		35,806		2,066,722
Federated National Holding Co.		37,288		902,370
Fidelity & Guaranty Life		30,800		727,804
First Acceptance Corp.*		140,000		448,000
Hallmark Financial Services, Inc.*		57,800		657,764
HCI Group, Inc.		8,000		353,680
Heritage Insurance Holdings, Inc.*		15,000		344,850

Industry Company	Shares		Value
Insurance (continued)
Hilltop Holdings, Inc.*		20,000		$     481,800
Horace Mann Educators Corp.		60,800		2,211,904
Independence Holding Co.		15,050		198,510
Infinity Property & Casualty Corp.		15,640		1,186,138
Investors Title Co.+		1,000		70,890
Kansas City Life Insurance Co.		7,000		319,970
Kingstone Cos., Inc.		4,300		32,680
Maiden Holdings, Ltd.		162,600		2,565,828
MBIA, Inc.*		42,100		253,021
Meadowbrook Insurance Group, Inc.		86,000		739,600
Montpelier Re Holdings, Ltd.		46,400		1,832,800
National Interstate Corp.		8,000		218,560
National Western Life Insurance Co., Class A		5,614		1,344,497
Navigators Group, Inc. (The)*		37,200		2,885,232
OneBeacon Insurance Group, Ltd., Class A		41,000		594,910
Safety Insurance Group, Inc.		24,000		1,385,040
Selective Insurance Group, Inc.		90,950		2,551,148
State Auto Financial Corp.		18,400		440,680
Stewart Information Services Corp.		62,150		2,473,570
Third Point Reinsurance, Ltd.*+		35,000		516,250
United Fire Group, Inc.		58,800		1,926,288
United Insurance Holdings Corp.		60,000		932,400
Universal Insurance Holdings, Inc.		86,316		2,088,847
				40,706,051
Internet & Catalog Retail - 0.23%
CafePress, Inc.*+		25,000		112,500
FTD Cos., Inc.*		25,380		715,462
Lands’ End, Inc.*+		10,000		248,300
				1,076,262
Internet Software & Services - 0.92%
Autobytel, Inc.*		11,000		175,890
Blucora, Inc.*		65,500		1,057,825
Demand Media, Inc.*+		40,000		254,400
Marchex, Inc., Class B		70,000		346,500
Monster Worldwide, Inc.*		264,200		1,727,868
United Online, Inc.*		41,429		649,192
Unwired Planet, Inc.*		10,000		6,200
				4,217,875

www.bridgeway.com 11

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
IT Services - 2.14%
CACI International, Inc., Class A*		30,924		$2,501,442
CIBER, Inc.*		82,350		284,108
Edgewater Technology, Inc.*		51,100		373,030
Engility Holdings, Inc.		51,400		1,293,224
Global Cash Access Holdings, Inc.*		85,000		657,900
ManTech International Corp., Class A		88,800		2,575,200
ModusLink Global Solutions, Inc.*		20,000		68,000
NCI, Inc., Class A		62,804		648,765
Newtek Business Services Corp.+		2,318		41,075
Sykes Enterprises, Inc.*		58,134		1,409,750
				9,852,494
Leisure Equipment & Products - 0.19%
Johnson Outdoors, Inc., Class A		32,779		771,945
Summer Infant, Inc.*		41,400		83,628
				855,573
Machinery - 1.60%
Ampco-Pittsburgh Corp.		41,200		622,944
Briggs & Stratton Corp.		99,300		1,912,518
Chicago Rivet & Machine Co.+		1,000		28,000
Cleantech Solutions International, Inc.*+		11,500		34,270
Dynamic Materials Corp.		20,100		221,100
Eastern Co. (The)		18,401		340,787
FreightCar America, Inc.		14,200		296,496
Hardinge, Inc.		75,000		738,750
Hurco Companies, Inc.		6,090		210,836
L.B. Foster Co., Class A		18,600		643,746
L.S. Starrett Co., Class A (The)		22,500		337,500
MFRI, Inc.*		29,900		180,895
Supreme Industries, Inc., Class A		35,805		306,849
THT Heat Transfer Technology, Inc.*		15,000		13,800
Titan International, Inc.+		136,000		1,460,640
WSI Industries, Inc.		1,300		8,359
				7,357,490
Marine - 0.05%
Navios Maritime Holdings, Inc.+		43,500		161,820
Rand Logistics, Inc.*+		9,000		29,160

Industry Company	Shares		Value
Marine (continued)
Ultrapetrol Bahamas, Ltd.*		15,000		$    16,950
				207,930
Media - 1.92%
Ballantyne Strong, Inc.*		43,481		203,926
CTC Media, Inc.		3,800		8,626
Entercom Communications Corp., Class A*		117,425		1,340,994
Eros International PLC*+		24,700		620,464
Global Sources, Ltd.*+		4,200		29,190
Harte-Hanks, Inc.		300,300		1,789,788
Insignia Systems, Inc.*		4,900		13,377
New Media Investment Group, Inc.		12,800		229,504
Radio One, Inc., Class D*+		123,800		392,446
Reading International, Inc., Class A*		31,209		432,245
Salem Media Group, Inc.+		83,452		528,251
Scholastic Corp.		72,800		3,212,664
				8,801,475
Metals & Mining - 1.32%
Century Aluminum Co.*		147,100		1,534,253
Handy & Harman, Ltd.*		800		27,720
Hecla Mining Co.		327,000		860,010
Kaiser Aluminum Corp.		21,980		1,826,098
Materion Corp.		33,400		1,177,350
Noranda Aluminum Holding Corp.		23,500		19,975
Stillwater Mining Co.*		20,000		231,800
Synalloy Corp.		7,000		95,900
Thompson Creek Metals Co., Inc.*		3,500		2,870
Universal Stainless & Alloy Products, Inc.*+		14,658		288,030
				6,064,006
Multiline Retail - 0.19%
Fred’s, Inc., Class A		46,200		891,198
Oil, Gas & Consumable Fuels - 5.32%
Abraxas Petroleum Corp.*		180,200		531,590
Adams Resources & Energy, Inc.		19,100		851,860
Alon USA Energy, Inc.		70,850		1,339,065
Bill Barrett Corp.*+		15,000		128,850
Bonanza Creek Energy, Inc.*		46,000		839,500
Callon Petroleum Co.*		293,900		2,445,248
Carrizo Oil & Gas, Inc.*		25,000		1,231,000
Clayton Williams Energy, Inc.*		16,000		1,052,000

12 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Oil, Gas & Consumable Fuels (continued)
Cloud Peak Energy, Inc.*+		31,800		$     148,188
Contango Oil & Gas Co.*		5,000		61,350
DHT Holdings, Inc.		36,722		285,330
Earthstone Energy, Inc.*		3,202		62,535
Gastar Exploration, Inc.*		162,540		502,249
Golden Ocean Group Ltd.+		27,000		103,950
Gran Tierra Energy, Inc.*		100,000		298,000
Green Plains, Inc.		90,200		2,485,010
Halcon Resources Corp.*+		98,000		113,680
Hallador Energy Co.		70,000		583,800
LinnCo LLC+		40,000		378,000
Matador Resources Co.*		55,000		1,375,000
Mexco Energy Corp.*+		6,000		27,960
Navios Maritime Acquisition Corp.+		65,000		233,350
New Concept Energy, Inc.*		4,800		7,200
Northern Oil and Gas, Inc.*+		90,000		609,300	��
Pacific Ethanol, Inc.*+		25,000		258,000
PDC Energy, Inc.*		10,000		536,400
Penn Virginia Corp.*+		184,300		807,234
PetroQuest Energy, Inc.*+		46,250		91,575
Renewable Energy Group, Inc.*		181,341		2,096,302
REX American Resources Corp.*		33,920		2,158,669
Sanchez Energy Corp.*+		30,000		294,000
Ship Finance International, Ltd.+		50,000		816,000
Stone Energy Corp.*		12,400		156,116
Swift Energy Co.*+		10,000		20,300
TransAtlantic Petroleum, Ltd.*+		68,500		350,035
Triangle Petroleum Corp.*+		185,000		928,700
VAALCO Energy, Inc.*		26,500		56,710
W&T Offshore, Inc.+		28,800		157,824
Warren Resources, Inc.*		79,600		36,616
				24,458,496
Paper & Forest Products - 0.64%
Mercer International, Inc.*		79,150		1,082,772
Orient Paper, Inc.*		76,593		123,315
PH Glatfelter Co.		20,500		450,795

Resolute Forest Products, Inc.*+	112,800	1,269,000
		2,925,882
Personal Products - 0.20%
Mannatech, Inc.*	8,400	150,360
Natural Alternatives International, Inc.*+	6,400	36,256

Industry Company	Shares		Value
Personal Products (continued)
Nutraceutical International Corp.*		28,700		$     710,038
				896,654
Professional Services - 2.59%
CBIZ, Inc.*		13,000		125,320
CDI Corp.		104,600		1,359,800
CRA International, Inc.*		54,700		1,524,489
FTI Consulting, Inc.*		47,800		1,971,272
Heidrick & Struggles International, Inc.		55,000		1,434,400
Hill International, Inc.*		50,100		263,526
ICF International, Inc.*		6,000		209,160
Kelly Services, Inc., Class A		17,816		273,476
Navigant Consulting, Inc.*		124,600		1,852,802
RPX Corp.*		132,700		2,242,630
VSE Corp.		11,800		631,418
				11,888,293
Real Estate Management & Development - 0.10%
Forestar Group, Inc.*		15,000		197,400
RE/MAX Holdings, Inc., Class A		1,168		41,476
St. Joe Co. (The)*		15,000		232,950
				471,826
Road & Rail - 1.37%
ArcBest Corp.		45,700		1,453,260
Celadon Group, Inc.		22,400		463,232
Covenant Transportation Group, Inc., Class A*+		45,300		1,135,218
Marten Transport, Ltd.		55,482		1,203,959
P.A.M. Transportation Services, Inc.*+		26,819		1,556,843
Providence & Worcester Railroad Co.		531		9,208
USA Truck, Inc.*		21,836		463,578
				6,285,298
Semiconductors & Semiconductor Equipment - 3.86%
Advanced Energy Industries, Inc.*		44,400		1,220,556
Alpha & Omega Semiconductor, Ltd.*		114,500		1,000,730
Amkor Technology, Inc.*		162,600		972,348
AXT, Inc.*		100,000		252,000
Brooks Automation, Inc.		73,400		840,430
Cirrus Logic, Inc.*		29,800		1,014,094

Cohu, Inc.	5,000	66,150
Diodes, Inc.*	35,799	863,114

www.bridgeway.com 13

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Semiconductors & Semiconductor Equipment (continued)
Fairchild Semiconductor International, Inc.*		128,000		$  2,224,640
GigOptix, Inc.*		60,000		102,000
Integrated Silicon Solution, Inc.		68,200		1,509,948
inTEST Corp.*+		55,000		239,800
IXYS Corp.		57,500		879,750
Kulicke & Soffa Industries, Inc.*		123,632		1,447,731
OmniVision Technologies, Inc.*		79,100		2,072,024
Pericom Semiconductor Corp.		40,000		526,000
Photronics, Inc.*		168,550		1,602,910
Rudolph Technologies, Inc.*		39,600		475,596
Ultra Clean Holdings, Inc.*		39,300		244,839
Xcerra Corp.*		25,000		189,250
				17,743,910
Software - 1.09%
Ebix, Inc.+		110,000		3,587,100
Epiq Systems, Inc.		30,000		506,400
GSE Systems, Inc.*		22,500		34,875
Mind CTI, Ltd.		20,000		52,000
Net 1 UEPS Technologies, Inc.*		3,400		62,152
NetSol Technologies, Inc.*		31,000		159,650
TeleCommunication Systems, Inc., Class A*		180,743		598,259
				5,000,436
Specialty Retail - 2.62%
Barnes & Noble, Inc.*		82,000		2,128,720
Big 5 Sporting Goods Corp.		14,745		209,526
Children’s Place, Inc. (The)		10,500		686,805
Citi Trends, Inc.*		28,900		699,380
Genesco, Inc.*		7,000		462,210
Haverty Furniture Cos., Inc.		12,700		274,574
hhgregg, Inc.*+		15,000		50,100
Pep Boys-Manny, Moe & Jack (The)*		52,900		649,083
Rent-A-Center, Inc.		5,000		141,750
Shoe Carnival, Inc.		16,500		476,190
Sonic Automotive, Inc., Class A		30,000		714,900
Stage Stores, Inc.		67,800		1,188,534
Systemax, Inc.*		12,500		108,000
Tilly’s, Inc., Class A*		42,700		412,909
Trans World Entertainment Corp.*		70,000		256,200
TravelCenters of America LLC*		219,400		3,258,090

Industry Company	Shares		Value
Specialty Retail (continued)
West Marine, Inc.*		35,300		$     340,292
				12,057,263
Textiles, Apparel & Luxury Goods - 1.23%
Delta Apparel, Inc.*+		10,000		143,000
Iconix Brand Group, Inc.*		14,000		349,580
Perry Ellis International, Inc.*		138,100		3,282,637
Rocky Brands, Inc.		20,800		388,960
Unifi, Inc.*		44,300		1,484,050
				5,648,227
Thrifts & Mortgage Finance - 4.37%
Astoria Financial Corp.		112,100		1,545,859
Bank Mutual Corp.		124,700		956,449
Berkshire Hills Bancorp, Inc.		50,565		1,440,091
Brookline Bancorp, Inc.		45,000		508,050
Cape Bancorp, Inc.		29,300		277,178
Cheviot Financial Corp.		3,893		57,227
Chicopee Bancorp, Inc.		12,500		206,125
Dime Community Bancshares, Inc.		42,100		713,174
ESSA Bancorp, Inc.		33,100		425,666
Federal Agricultural Mortgage Corp., Class C		21,500		624,790
First Defiance Financial Corp.		19,400		728,082
First Financial Northwest, Inc.+		35,182		438,368
Flagstar Bancorp, Inc.*		57,100		1,055,208
Fox Chase Bancorp, Inc.		31,000		524,520
Hingham Institution for Savings		30		3,453
HMN Financial, Inc.*+		23,800		280,602
Home Bancorp, Inc.		17,311		436,930
HomeStreet, Inc.*		22,000		502,040
HopFed Bancorp, Inc.+		18,100		214,123
Lake Sunapee Bank Group+		2,000		28,860
Meta Financial Group, Inc.		7,900		339,068
NASB Financial, Inc.+		4,600		121,900
Northwest Bancshares, Inc.		68,300		875,606
Ocean Shore Holding Co.		14,200		210,657
OceanFirst Financial Corp.		39,900		744,135
Oritani Financial Corp.		74,400		1,194,120

Provident Financial Holdings, Inc.	26,600	445,284
Provident Financial Services, Inc.	69,700	1,323,603
Pulaski Financial Corp.	29,900	386,308
Riverview Bancorp, Inc.	87,000	372,360
Security National Financial Corp., Class A*+	78,278	526,811

14 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Thrifts & Mortgage Finance (continued)
SI Financial Group, Inc.		31,000		$     360,840
Territorial Bancorp, Inc.		21,200		514,312
Timberland Bancorp, Inc.		9,000		90,180
TrustCo Bank Corp. - NY		55,000		386,650
United Community Bancorp+		11,800		162,958
United Community Financial Corp.		61,324		328,083
Westfield Financial, Inc.		53,081		388,022
WSFS Financial Corp.		12,000		328,200
				20,065,892
Trading Companies & Distributors - 1.88%
Aircastle, Ltd.		130,700		2,962,969
CAI International, Inc.*		63,500		1,307,465
General Finance Corp.*+		168,500		879,570
Rush Enterprises, Inc., Class A*		58,500		1,533,285
TAL International Group, Inc.+		17,250		545,100
Textainer Group Holdings, Ltd.+		15,000		390,150
Titan Machinery, Inc.*+		9,500		139,935
Willis Lease Finance Corp.*		48,400		889,108
				8,647,582
Wireless Telecommunication Services - 0.28%
Shenandoah Telecommunications Co.		5,600		191,688
Spok Holdings, Inc.		64,764		1,090,626
				1,282,314
TOTAL COMMON STOCKS - 99.80%				458,434,559
(Cost $366,657,321)
RIGHTS - 0.01%
Leap Wireless CVR*D		32,900		41,454
TOTAL RIGHTS - 0.01%				41,454
(Cost $80,276)
WARRANTS - 0.00%
Eagle Bulk Shipping, Inc.*		3,317		1,260
TOTAL WARRANTS - 0.00%				1,260
(Cost $105,563)

	Rate^			Shares		Value
MONEY MARKET FUND - 0.15%
Dreyfus Cash Management Fund		0.04	%		702,231	$	702,231
TOTAL MONEY MARKET FUND - 0.15%							702,231
(Cost $702,231)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.59%
Dreyfus Cash Management Fund**		0.04	%		16,484,499		16,484,499
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.59%							16,484,499
(Cost $16,484,499)
TOTAL INVESTMENTS - 103.55%						$	475,664,003
(Cost $384,029,890)
Liabilities in Excess of Other Assets - (3.55%)							(16,296,868	)
NET ASSETS - 100.00%						$	459,367,135

*	Non-income producing security.
**	This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^	Rate disclosed as of June 30, 2015.
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 as of June 30, 2015. Total loaned securities had a value of $15,806,395 as of June 30, 2015.

CVR - Contingent Value Right

LLC - Limited Liability Company

PLC - Public Limited Company

www.bridgeway.com 15

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

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	458,228,434	$	206,125		$         —	$	458,434,559
Rights		—		—		41,454		41,454
Warrants		1,260		—		—		1,260
Money Market Fund		—		702,231		—		702,231
Investments Purchased with Cash Proceeds from Securities Lending		—		16,484,499		—		16,484,499
TOTAL	$	458,229,694	$	17,392,855		$  41,454	$	475,664,003

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
	Investment in Securities (Value)
	Rights		Total
Balance as of 06/30/2014		$41,454		$41,454
Purchases		—		—
Sales		—		—
Realized gain/(loss)		—		—
Change in unrealized appreciation/ (depreciation)		—		—
Transfers in		—		—
Transfers out		—		—
Balance as of 06/30/2015		$41,454		$41,454
Net change in unrealized appreciation (depreciation) from investments held as of 06/30/2015		$       —		$       —

See Notes to Financial Statements.

16 Annual Report  |  June 30, 2015

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

June 30, 2015

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

For the quarter ended June 30, 2015, our Fund declined 0.41%, outperforming our primary market benchmark, the Russell 2000 Value Index (-1.20%).

For the fiscal year, our Fund declined 1.62%, underperforming our primary market benchmark, the Russell 2000 Value Index (+0.78%).

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, 2015

							Annualized
	Quarter			1 Year			Since Inception (12/31/10)
Omni Tax-Managed Small-Cap Value Fund		-0.41	%		-1.62	%	11.29%
Russell 2000 Value Index		-1.20	%		0.78	%	10.64%

Performance figures quoted in the table above and the graph on the next page 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 on the next page do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on 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.

According to data from Lipper, Inc. as of June 30, 2015, Omni Tax-Managed Small-Cap Value Fund ranked 247^th of 312 small-cap value funds for the 12 months ending June 30, 2015 and 110^th of 233 such funds since inception in December 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 17

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

Omni Tax-Managed Small-Cap Value Fund vs. Russell 2000 Value Index

from Inception 12/31/10 to 6/30/15

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, 2015, we held 637 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.

Our design tilt toward deeper value and smaller stocks contributed positively to relative performance. By design, the Fund does not hold Utility sector stocks or Real Estate Investment Trusts (REITs). Those assets had weak relative returns during the quarter, which helped the Fund’s relative performance. Our Fund’s higher weighting in Financial sector stocks other than REITs contributed to relative returns, while holdings in the Energy sector had a negative effect.

Detailed Explanation of Fiscal Year Performance

Our Fund’s investment in deeper value stocks versus the Index detracted from our relative performance for the fiscal year. Our Fund’s overweight position in the Energy sector also hurt performance, as Energy was the worst performing sector for the year.

18 Annual Report  |  June 30, 2015

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

Top Ten Holdings as of June 30, 2015

Rank	Description	Industry	% of Net Assets
1	Interactive Brokers Group, Inc., Class A	Diversified Financial Services		0.8%
2	AAR Corp.	Aerospace & Defense		0.8%
3	Fresh Del Monte Produce, Inc.	Food Products		0.8%
4	Cooper-Standard Holding, Inc.	Auto Components		0.7%
5	Scholastic Corp.	Media		0.7%
6	Briggs & Stratton Corp.	Machinery		0.7%
7	Hawaiian Holdings, Inc.	Airlines		0.7%
8	Perry Ellis International, Inc.	Textiles, Apparel & Luxury Goods		0.7%
9	Aircastle, Ltd.	Trading Companies & Distributors		0.7%
10	Sanmina Corp.	Electronic Equipment, Instruments & Components		0.7%
	Total			7.3%

Industry Sector Representation as of June 30, 2015

	% of Net Assets	% of Russell 2000 Value Index	Difference
Consumer Discretionary	15.7%	10.8%	4.9%
Consumer Staples	4.0%	3.0%	1.0%
Energy	8.0%	6.3%	1.7%
Financials	34.8%	41.7%	-6.9%
Health Care	4.2%	4.2%	0.0%
Industrials	16.5%	12.4%	4.1%
Information Technology	10.6%	10.3%	0.3%
Materials	4.1%	3.9%	0.2%
Telecommunication Services	1.4%	0.9%	0.5%
Utilities	0.0%	6.5%	-6.5%
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, 2015, 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

www.bridgeway.com 19

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
COMMON STOCKS - 99.46%
Aerospace & Defense - 1.69%
AAR Corp.		114,560		$  3,651,027
Arotech Corp.*+		136,300		328,483
Breeze-Eastern Corp.*		2,500		28,750
Cubic Corp.		10,000		475,800
Ducommun, Inc.*		69,220		1,776,877
Erickson, Inc.*+		1,500		6,510
LMI Aerospace, Inc.*		77,600		776,776
National Presto Industries, Inc.+		9,435		757,819
Sypris Solutions, Inc.		8,004		11,606
				7,813,648
Air Freight & Logistics - 0.74%
Air T, Inc.*		6,700		140,432
Air Transport Services Group, Inc.*		215,950		2,265,316
Atlas Air Worldwide Holdings, Inc.*		18,291		1,005,273
				3,411,021
Airlines - 1.44%
Hawaiian Holdings, Inc.*		135,600		3,220,500
Republic Airways Holdings, Inc.*		191,354		1,756,630
SkyWest, Inc.		110,600		1,663,424
				6,640,554
Auto Components - 2.26%
China Automotive Systems, Inc.*+		28,500		239,970
China XD Plastics Co., Ltd.*		79,500		479,385
Cooper Tire & Rubber Co.		14,500		490,535
Cooper-Standard Holding, Inc.*		55,510		3,412,200
Fuel Systems Solutions, Inc.*		56,402		421,887
Modine Manufacturing Co.*		149,000		1,598,770
Remy International, Inc.		9,100		201,201
Shiloh Industries, Inc.*+		15,000		194,250
SORL Auto Parts, Inc.*+		48,000		156,480
Spartan Motors, Inc.		88,600		405,788
Stoneridge, Inc.*		33,400		391,114
Strattec Security Corp.		3,600		247,320
Superior Industries International, Inc.		118,700		2,173,397
				10,412,297
Beverages - 0.05%
MGP Ingredients, Inc.		12,300		206,886
Biotechnology - 0.01%
Enzon Pharmaceuticals, Inc.		41,400		49,680

Industry Company	Shares		Value
Building Products - 1.00%
Alpha Pro Tech, Ltd.*		54,000		$  120,960
Gibraltar Industries, Inc.*		84,706		1,725,461
Griffon Corp.		140,250		2,232,780
Universal Forest Products, Inc.		10,000		520,300
				4,599,501
Capital Markets - 1.42%
Arlington Asset Investment Corp., Class A+		13,700		267,972
Calamos Asset Management, Inc., Class A		49,700		608,825
Cowen Group, Inc., Class A*		157,300		1,006,720
FBR & Co.*+		11,775		272,474
INTL FCStone, Inc.*		14,000		465,360
Investment Technology Group, Inc.		61,000		1,512,800
JMP Group LLC		50,000		390,000
KCG Holdings, Inc., Class A*		35,000		431,550
Oppenheimer Holdings, Inc., Class A		34,419		904,531
Piper Jaffray Cos.*		16,100		702,604
				6,562,836
Chemicals - 1.31%
China Green Agriculture, Inc.+		36,800		78,016
Core Molding Technologies, Inc.*		22,425		512,187
Gulf Resources, Inc.*		60,750		125,449
Intrepid Potash, Inc.*		140,000		1,671,600
KMG Chemicals, Inc.		38,200		971,808
Kraton Performance Polymers, Inc.*		16,075		383,871
OM Group, Inc.		69,000		2,318,400
				6,061,331
Commercial Banks - 17.72%
1st Constitution Bancorp*+		5,000		57,450
1st Source Corp.		52,500		1,791,300
Access National Corp.		5,600		108,864
American National Bankshares, Inc.		13,060		310,959
American River Bankshares*		20,744		193,334
AmeriServ Financial, Inc.		5,000		16,650
Bank of Commerce Holdings		47,900		274,467
Bank of the Ozarks, Inc.		13,622		623,206
Banner Corp.		25,057		1,200,982

20 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
Bar Harbor Bankshares		10,500		$  372,015
Baylake Corp.+		5,600		70,840
BB&T Corp.		4,455		179,581
BBCN Bancorp, Inc.		2,600		38,454
BCB Bancorp, Inc.+		11,300		138,086
Beneficial Bancorp, Inc.*		20,000		249,800
BNC Bancorp		74,956		1,448,899
Boston Private Financial Holdings, Inc.		10,000		134,100
BSB Bancorp, Inc.*		23,800		526,218
C&F Financial Corp.		2,400		88,920
Camden National Corp.		5,853		226,511
Capital City Bank Group, Inc.		47,950		732,196
Cardinal Financial Corp.		24,478		533,376
Carolina Bank Holdings, Inc.*+		11,500		139,322
Central Pacific Financial Corp.		30,400		722,000
Central Valley Community Bancorp+		21,000		248,430
Century Bancorp, Inc., Class A		14,300		581,438
Chemical Financial Corp.		60,300		1,993,518
Chemung Financial Corp.+		10,998		291,227
Citizens & Northern Corp.		10,000		205,500
Civista Bancshares, Inc.		2,000		21,600
CNB Financial Corp.		31,900		586,960
Codorus Valley Bancorp, Inc.		3,989		80,697
Community Bankers Trust Corp.*		25,000		124,250
Community Trust Bancorp, Inc.		32,500		1,133,275
Customers Bancorp, Inc.*		20,000		537,800
Eastern Virginia Bankshares, Inc.		7,051		44,492
Enterprise Bancorp, Inc.		175		4,102
Farmers Capital Bank Corp.*		13,400		380,962
Farmers National Banc Corp.+		150		1,238
Fidelity Southern Corp.		58,900		1,027,216
Financial Institutions, Inc.		40,300		1,001,052
First Bancorp		51,600		860,688
First Bancorp, Inc.		11,800		229,392
First BanCorp.*		254,700		1,227,654
First Busey Corp.		111,500		732,555
First Commonwealth Financial Corp.		121,200		1,162,308
First Community Bancshares, Inc.		44,100		803,502

Industry Company	Shares		Value
Commercial Banks (continued)
First Connecticut Bancorp, Inc.		4,800		$     76,176
First Financial Bancorp		68,337		1,225,966
First Financial Corp.		38,830		1,388,561
First Internet Bancorp+		1,200		29,400
First Interstate BancSystem, Inc., Class A		94,600		2,624,204
First Merchants Corp.		71,000		1,753,700
First Midwest Bancorp, Inc.		115,900		2,198,623
First of Long Island Corp. (The)		18,000		498,960
Flushing Financial Corp.		43,300		909,733
German American Bancorp, Inc.		12,500		368,125
Great Southern Bancorp, Inc.		39,850		1,679,279
Hampton Roads Bankshares, Inc.*+		500,725		1,041,508
Heartland Financial USA, Inc.		10,950		407,559
Heritage Commerce Corp.		30,000		288,300
Heritage Financial Corp.		40,502		723,771
Heritage Oaks Bancorp		200		1,574
HomeTrust Bancshares, Inc.*		50,000		838,000
Horizon Bancorp		20,363		508,260
Hudson Valley Holding Corp.		37,800		1,066,338
Huntington Bancshares, Inc.		17,709		200,289
Independent Bank Corp., MA		11,000		515,790
Independent Bank Corp., MI		80,500		1,091,580
International Bancshares Corp.		89,200		2,396,804
Lakeland Bancorp, Inc.		104,940		1,247,737
Landmark Bancorp, Inc.		2,000		48,520
LCNB Corp.		1,500		24,308
LNB Bancorp, Inc.		17,000		314,500
Macatawa Bank Corp.+		12,550		66,515
MainSource Financial Group, Inc.		41,500		910,925
MB Financial, Inc.		8,700		299,628
MBT Financial Corp.*		62,011		355,943
Mercantile Bank Corp.		2,000		42,820
Merchants Bancshares, Inc.		5,000		165,350
Metro Bancorp, Inc.		26,250		686,175
Middleburg Financial Corp.		22,463		404,334
MidSouth Bancorp, Inc.		23,300		355,558
MidWestOne Financial Group, Inc.		12,000		395,040
Monarch Financial Holdings, Inc.		12,538		157,352

www.bridgeway.com 21

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Commercial Banks (continued)
MutualFirst Financial, Inc.		8,700		$  202,101
National Bankshares, Inc.+		1,000		29,260
National Penn Bancshares, Inc.		20,000		225,600
NBT Bancorp, Inc.		20,932		547,790
NewBridge Bancorp		99,388		887,535
Northrim BanCorp, Inc.		32,000		820,160
Norwood Financial Corp.		1,000		29,320
OFG Bancorp+		50,000		533,500
Old Line Bancshares, Inc.+		50		794
Old National Bancorp		30,600		442,476
Old Second Bancorp, Inc.*		30,050		198,330
Orrstown Financial Services, Inc.		16,700		270,206
Pacific Continental Corp.		56,600		765,798
Pacific Mercantile Bancorp*		20,000		151,800
Park Sterling Corp.		50,298		362,146
Parke Bancorp, Inc.+		1,200		15,396
Peapack Gladstone Financial Corp.		468		10,399
Peoples Bancorp of North Carolina, Inc.		14,500		265,930
Peoples Bancorp, Inc.		28,550		666,357
Pinnacle Financial Partners, Inc.		45,750		2,487,428
Preferred Bank		36,000		1,081,800
Premier Financial Bancorp, Inc.		26,066		402,720
QCR Holdings, Inc.		27,300		594,048
Renasant Corp.+		58,700		1,913,620
Republic Bancorp, Inc., Class A		25,700		660,490
S&T Bancorp, Inc.		30,700		908,413
Salisbury Bancorp, Inc.		1,183		36,910
Sandy Spring Bancorp, Inc.		14,300		400,114
Shore Bancshares, Inc.*		30,000		282,900
Sierra Bancorp		42,200		730,482
South State Corp.		16,911		1,285,067
Southern National Bancorp of Virginia, Inc.		35,000		387,800
Southside Bancshares, Inc.+		12,736		372,273
Southwest Bancorp, Inc.		23,900		444,779
State Bank Financial Corp.		95,800		2,078,860
Summit State Bank+		5,000		65,575
Sun Bancorp, Inc.*		10,000		192,500
Tompkins Financial Corp.		8,400		451,248
TowneBank+		32,222		524,896
Trico Bancshares		38,900		935,545
TriState Capital Holdings, Inc.*		50,000		646,500
Trustmark Corp.		20,800		519,584

Industry Company	Shares		Value
Commercial Banks (continued)
Union Bankshares Corp.		58,628		$  1,362,515
United Community Banks, Inc.		57,770		1,205,660
Univest Corp. of Pennsylvania		39,200		798,112
WesBanco, Inc.		66,385		2,258,418
Wilshire Bancorp, Inc.		25,000		315,750
Wintrust Financial Corp.		7,000		373,660
Yadkin Financial Corp.*		38,000		796,100
				81,703,256
Commercial Services & Supplies - 2.93%
ACCO Brands Corp.*		339,800		2,640,246
Acme United Corp.		2,000		36,200
Brink’s Co. (The)		22,500		662,175
Command Security Corp.*		17,800		36,134
Ecology & Environment, Inc., Class A		2,811		29,291
EnerNOC, Inc.*		148,100		1,436,570
Ennis, Inc.		125,900		2,340,481
Heritage-Crystal Clean, Inc.*		14,246		209,416
Kimball International, Inc., Class B		103,800		1,262,208
McGrath RentCorp		17,000		517,310
Metalico, Inc.*		1,200		612
Multi-Color Corp.		5,750		367,310
Quad/Graphics, Inc.		71,000		1,314,210
RR Donnelley & Sons Co.		23,927		417,048
TRC Cos., Inc.*		51,400		521,710
Versar, Inc.*		35,000		137,900
Viad Corp.		57,894		1,569,506
				13,498,327
Communications Equipment - 0.96%
Bel Fuse, Inc., Class B		63,600		1,305,072
Black Box Corp.		67,664		1,353,280
Blonder Tongue Laboratories*		27,859		21,451
ClearOne, Inc.		26,500		341,982
Communications Systems, Inc.		4,950		52,024
Harmonic, Inc.*		99,100		676,853
NETGEAR, Inc.*		15,000		450,300
Polycom, Inc.*		20,800		237,952
				4,438,914
Computers & Peripherals - 0.06%
Concurrent Computer Corp.		3,400		21,080
Datalink Corp.*		500		4,470
Hutchinson Technology, Inc.*		105,500		180,405

22 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Computers & Peripherals (continued)
USA Technologies, Inc.*		30,000		$     81,000
				286,955
Construction & Engineering - 1.16%
Aegion Corp.*		120,300		2,278,482
Goldfield Corp. (The)*		114,000		189,240
Great Lakes Dredge & Dock Corp.*		196,750		1,172,630
Integrated Electrical Services, Inc.*		3,600		25,560
MYR Group, Inc.*		15,000		464,400
Northwest Pipe Co.*		38,800		790,356
Orion Marine Group, Inc.*		58,000		418,760
				5,339,428
Consumer Finance - 1.25%
Asta Funding, Inc.*		10,350		86,733
Cash America International, Inc.		24,900		652,131
Consumer Portfolio Services, Inc.*		116,650		729,062
Encore Capital Group, Inc.*+		10,000		427,400
Ezcorp, Inc., Class A*		40,000		297,200
Green Dot Corp., Class A*		21,800		416,816
Nelnet, Inc., Class A		25,900		1,121,729
Nicholas Financial, Inc.*+		25,000		318,000
Regional Management Corp.*		52,100		930,506
World Acceptance Corp.*+		13,100		805,781
				5,785,358
Distributors - 0.11%
AMCON Distributing Co.		800		62,248
VOXX International Corp.*		34,364		284,534
Weyco Group, Inc.		5,000		149,100
				495,882
Diversified Consumer Services - 0.82%
Ascent Capital Group, Inc., Class A*		7,000		299,180
K12, Inc.*		63,500		803,275
Lincoln Educational Services Corp.		91,300		184,426
Regis Corp.*		129,050		2,033,828
Steiner Leisure, Ltd.*		8,000		430,240
Universal Technical Institute, Inc.		5,000		43,000
				3,793,949
Diversified Financial Services - 1.39%
Enova International, Inc.*		22,783		425,586

Industry Company	Shares		Value
Diversified Financial Services (continued)
Gain Capital Holdings, Inc.		39,900		$  381,444
Interactive Brokers Group, Inc., Class A		90,750		3,771,570
Marlin Business Services Corp.		5,775		97,482
PHH Corp.*		46,000		1,197,380
Resource America, Inc., Class A		35,900		301,919
Sterling Bancorp		15,000		220,500
				6,395,881
Diversified Telecommunication Services - 1.13%
Alaska Communications Systems Group, Inc.*		313,487		752,369
Atlantic Tele-Network, Inc.		17,500		1,208,900
General Communication, Inc., Class A*		10,000		170,100
Hawaiian Telcom Holdco, Inc.*		35,400		923,940
Iridium Communications, Inc.*+		217,125		1,973,666
Premiere Global Services, Inc.*		15,800		162,582
				5,191,557
Electrical Equipment - 0.28%
Broadwind Energy, Inc.*		25,000		106,000
GrafTech International, Ltd.*		3,050		15,128
Highpower International, Inc.*+		25,922		99,281
II-VI, Inc.*		43,104		818,114
LSI Industries, Inc.		15,000		140,100
Orion Energy Systems, Inc.*		17,224		43,232
Preformed Line Products Co.		1,200		45,264
Ultralife Corp.*		8,350		34,986
				1,302,105
Electronic Equipment, Instruments & Components - 3.19%
Benchmark Electronics, Inc.*		105,500		2,297,790
Electro Rent Corp.		10,103		109,719
Fabrinet*		60,150		1,126,610
GSI Group, Inc.*		11,000		165,330
Insight Enterprises, Inc.*		44,883		1,342,451
Iteris, Inc.*		65,000		115,050
Key Tronic Corp.*		11,900		129,353
Kimball Electronics, Inc.*		59,100		862,269
PAR Technology Corp.*		98,400		483,144
PCM, Inc.*		82,175		824,215
Planar Systems, Inc.*		2,100		9,156
Plexus Corp.*		9,500		416,860

  www.bridgeway.com   23

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Electronic Equipment, Instruments & Components (continued)
Sanmina Corp.*		149,100		$  3,005,856
ScanSource, Inc.*		14,000		532,840
Sigmatron International, Inc.*+		20,000		182,000
SMTC Corp.*		13,500		22,410
TTM Technologies, Inc.*		158,615		1,584,564
Vishay Precision Group, Inc.*		96,667		1,455,805
Wireless Telecom Group, Inc.*		10,000		21,700
				14,687,122
Energy Equipment & Services - 2.63%
Basic Energy Services, Inc.*		86,300		651,565
C&J Energy Services, Ltd.*+		63,700		840,840
CARBO Ceramics, Inc.+		7,000		291,410
Checkpoint Systems, Inc.		24,500		249,410
ENGlobal Corp.*		86,300		116,505
Era Group, Inc.*		11,500		235,520
Forum Energy Technologies, Inc.*		25,000		507,000
Gulf Island Fabrication, Inc.		10,100		112,817
Gulfmark Offshore, Inc., Class A+		21,500		249,400
Helix Energy Solutions Group, Inc.*		30,000		378,900
ION Geophysical Corp.*		140,000		149,800
Natural Gas Services Group, Inc.*		26,305		600,280
Newpark Resources, Inc.*		85,000		691,050
Parker Drilling Co.*		239,400		794,808
PHI, Inc.*		78,150		2,346,063
Pioneer Energy Services Corp.*		127,300		807,082
SEACOR Holdings, Inc.*		25,000		1,773,500
Tesco Corp.		70,500		768,450
Unit Corp.*		21,200		574,944
				12,139,344
Food & Staples Retailing - 1.64%
Andersons, Inc. (The)		57,350		2,236,650
Ingles Markets, Inc., Class A		50,950		2,433,882
SpartanNash Co.		60,860		1,980,384
Village Super Market, Inc., Class A		1,100		34,859
Weis Markets, Inc.		20,700		872,505
				7,558,280
Food Products - 1.56%
Fresh Del Monte Produce, Inc.		90,800		3,510,328

Industry Company	Shares		Value
Food Products (continued)
John B. Sanfilippo & Son, Inc.		9,600		$   498,240
Omega Protein Corp.*		123,650		1,700,188
Post Holdings, Inc.*+		23,700		1,278,141
Seneca Foods Corp., Class A*		6,650		184,670
				7,171,567
Health Care Equipment & Supplies - 0.69%
AngioDynamics, Inc.*		77,500		1,271,000
Electromed, Inc.*		10,000		18,500
Exactech, Inc.*		17,500		364,525
Fonar Corp.*		2,000		21,150
Invacare Corp.		35,000		757,050
Kewaunee Scientific Corp.		2,500		41,100
Merit Medical Systems, Inc.*		28,100		605,274
Symmetry Surgical, Inc.*		13,200		115,104
				3,193,703
Health Care Providers & Services - 3.81%
Almost Family, Inc.*		27,600		1,101,516
Amedisys, Inc.*		73,710		2,928,498
Amsurg Corp.*		31,100		2,175,445
Five Star Quality Care, Inc.*		76,400		366,720
Healthways, Inc.*		24,500		293,510
InfuSystems Holdings, Inc.*		35,178		112,218
Kindred Healthcare, Inc.		101,700		2,063,493
LHC Group, Inc.*		16,500		631,125
Magellan Health, Inc.*		27,125		1,900,649
Molina Healthcare, Inc.*		28,600		2,010,580
National Healthcare Corp.		8,920		579,711
PharMerica Corp.*		74,800		2,490,840
Premier, Inc., Class A*		13,000		499,980
Skystar Bio-Pharmaceutical Co., Ltd.*+		24,300		64,638
Triple-S Management Corp., Class B*		14,000		359,240
				17,578,163
Hotels, Restaurants & Leisure - 3.75%
Ambassadors Group, Inc.*		200		488
Boyd Gaming Corp.*		70,900		1,059,955
Flanigan’s Enterprises, Inc.		2,500		61,750
Frisch’s Restaurants, Inc.		15,473		519,429
International Speedway Corp., Class A		75,760		2,778,119
Intrawest Resorts Holdings, Inc.*		25,000		290,500
Isle of Capri Casinos, Inc.*		100,150		1,817,722
Luby’s, Inc.*		179,100		868,635
Marcus Corp. (The)		136,454		2,617,188

24 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Hotels, Restaurants & Leisure (continued)
Monarch Casino & Resort, Inc.*		38,900		$     799,784
Nevada Gold & Casinos, Inc.*		10,000		16,500
Penn National Gaming, Inc.*+		125,500		2,302,925
Red Lion Hotels Corp.*		80,695		618,124
Ruby Tuesday, Inc.*		232,200		1,455,894
Speedway Motorsports, Inc.		92,863		2,103,347
				17,310,360
Household Durables - 1.24%
Bassett Furniture Industries, Inc.		52,959		1,504,565
CSS Industries, Inc.		40,558		1,226,880
Hooker Furniture Corp.		15,000		376,650
Lifetime Brands, Inc.		24,999		369,235
NACCO Industries, Inc., Class A		11,450		695,702
P&F Industries, Inc., Class A*+		492		4,202
William Lyon Homes, Class A*		15,000		385,050
ZAGG, Inc.*		144,000		1,140,480
				5,702,764
Household Products - 0.55%
Central Garden & Pet Co., Class A*		221,400		2,526,174
Insurance - 9.05%
Ambac Financial Group, Inc.*		56,000		931,840
American Equity Investment Life Holding Co.		78,550		2,119,279
American Independence Corp.*		16,900		159,198
AMERISAFE, Inc.		56,500		2,658,890
Argo Group International Holdings, Ltd.		9,187		511,716
Baldwin & Lyons, Inc., Class B		32,200		741,244
Citizens, Inc.*+		14,800		110,408
Donegal Group, Inc., Class A		57,100		869,633
EMC Insurance Group, Inc.		26,025		652,447
Employers Holdings, Inc.		30,000		683,400
FBL Financial Group, Inc., Class A		45,666		2,635,842
Federated National Holding Co.		38,012		919,890
Fidelity & Guaranty Life		45,000		1,063,350
First Acceptance Corp.*		145,000		464,000

Industry Company	Shares		Value
Insurance (continued)
Hallmark Financial Services, Inc.*		50,158		$   570,798
HCI Group, Inc.		10,000		442,100
Heritage Insurance Holdings, Inc.*		20,000		459,800
Hilltop Holdings, Inc.*		14,100		339,669
Horace Mann Educators Corp.		74,950		2,726,681
Independence Holding Co.		14,950		197,190
Infinity Property & Casualty Corp.		9,200		697,728
Investors Title Co.		1,000		70,890
Kansas City Life Insurance Co.		24,900		1,138,179
Kingstone Cos., Inc.		4,000		30,400
Maiden Holdings, Ltd.		167,450		2,642,361
Montpelier Re Holdings, Ltd.		43,950		1,736,025
National Interstate Corp.		16,000		437,120
National Western Life Insurance Co., Class A		5,350		1,281,272
Navigators Group, Inc. (The)*		37,650		2,920,134
OneBeacon Insurance Group, Ltd., Class A		15,000		217,650
Safety Insurance Group, Inc.		31,800		1,835,178
Selective Insurance Group, Inc.		50,100		1,405,305
State Auto Financial Corp.		15,000		359,250
Stewart Information Services Corp.		45,950		1,828,810
Third Point Reinsurance, Ltd.*		45,500		671,125
United Fire Group, Inc.		60,900		1,995,084
United Insurance Holdings Corp.		53,400		829,836
Universal Insurance Holdings, Inc.		98,641		2,387,112
				41,740,834
Internet & Catalog Retail - 0.28%
CafePress, Inc.*		30,000		135,000
FTD Cos., Inc.*		27,160		765,640
Lands’ End, Inc.*+		16,000		397,280
				1,297,920
Internet Software & Services - 0.62%
Autobytel, Inc.*		10,600		169,494
Blucora, Inc.*		17,597		284,192
Demand Media, Inc.*		15,000		95,400
Marchex, Inc., Class B		88,000		435,600
Monster Worldwide, Inc.*		185,000		1,209,900
United Online, Inc.*		42,399		664,392

www.bridgeway.com 25

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Internet Software & Services (continued)
Unwired Planet, Inc.*		10,000		$       6,200
				2,865,178
IT Services - 1.81%
CACI International, Inc., Class A*		28,951		2,341,846
CIBER, Inc.*		157,501		543,378
Edgewater Technology, Inc.*		11,710		85,483
Engility Holdings, Inc.		36,950		929,662
Global Cash Access Holdings, Inc.*		60,000		464,400
ManTech International Corp., Class A		78,882		2,287,578
ModusLink Global Solutions, Inc.*		55,300		188,020
NCI, Inc., Class A		60,700		627,031
Newtek Business Services Corp.		2,400		42,528
Sykes Enterprises, Inc.*		33,550		813,588
				8,323,514
Leisure Equipment & Products - 0.35%
Johnson Outdoors, Inc., Class A		63,850		1,503,668
Summer Infant, Inc.*+		43,200		87,264
				1,590,932
Life Sciences Tools & Services - 0.09%
Albany Molecular Research, Inc.*+		21,028		425,186
Machinery - 1.68%
American Railcar Industries, Inc.+		10,000		486,400
Ampco-Pittsburgh Corp.		17,905		270,724
Art’s-Way Manufacturing Co. Inc.		5,000		23,400
Briggs & Stratton Corp.		169,450		3,263,607
Chicago Rivet & Machine Co.		1,000		28,000
Cleantech Solutions International, Inc.*+		12,000		35,760
Dynamic Materials Corp.		100		1,100
Eastern Co. (The)		20,104		372,326
FreightCar America, Inc.		15,000		313,200
Hardinge, Inc.		71,200		701,320
Hurco Companies, Inc.		3,765		130,344
Hyster-Yale Materials Handling, Inc.		2,700		187,056
L.B. Foster Co., Class A		31,900		1,104,059
L.S. Starrett Co., Class A (The)		22,700		340,500

Industry Company	Shares		Value
Machinery (continued)
MFRI, Inc.*		31,200		$   188,760
Supreme Industries, Inc., Class A		30,450		260,956
THT Heat Transfer Technology, Inc.*		15,000		13,800
Wabash National Corp.*		1,200		15,048
WSI Industries, Inc.+		1,000		6,430
				7,742,790
Marine - 0.03%
International Shipholding Corp.+		9,250		59,015
Rand Logistics, Inc.*		6,600		21,384
Ultrapetrol Bahamas, Ltd.*		39,900		45,087
				125,486
Media - 2.04%
Ballantyne Strong, Inc.*		27,939		131,034
CTC Media, Inc.		3,200		7,264
E.W. Scripps Co., (The) Class A		23,375		534,119
Entercom Communications Corp., Class A*		55,405		632,725
Eros International PLC*		19,300		484,816
Global Sources, Ltd.*+		5,000		34,750
Harte-Hanks, Inc.		287,500		1,713,500
Journal Media Group, Inc.		14,683		121,722
McClatchy Co. (The), Class A*		225,025		243,027
New Media Investment Group, Inc.		13,000		233,090
Radio One, Inc., Class D*+		120,450		381,826
Reading International, Inc., Class A*		70,400		975,040
Salem Media Group, Inc.		91,300		577,929
Scholastic Corp.		75,950		3,351,674
				9,422,516
Metals & Mining - 1.99%
Century Aluminum Co.*		187,900		1,959,797
Handy & Harman, Ltd.*		200		6,930
Hecla Mining Co.		299,000		786,370
Kaiser Aluminum Corp.		26,700		2,218,236
Materion Corp.		34,500		1,216,125
Noranda Aluminum Holding Corp.		103,600		88,060
Olympic Steel, Inc.		18,000		313,920
Schnitzer Steel Industries, Inc., Class A		101,200		1,767,964
Stillwater Mining Co.*		24,465		283,549
Synalloy Corp.		7,000		95,900

26 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Metals & Mining (continued)
Thompson Creek Metals Co., Inc.*		140,000		$  114,800
Universal Stainless & Alloy Products, Inc.*		16,200		318,330
				9,169,981
Multiline Retail - 0.21%
Fred’s, Inc., Class A		51,250		988,612
Oil, Gas & Consumable Fuels - 5.47%
Abraxas Petroleum Corp.*		267,800		790,010
Adams Resources & Energy, Inc.		8,600		383,560
Alon USA Energy, Inc.		115,000		2,173,500
Bill Barrett Corp.*+		34,000		292,060
Bonanza Creek Energy, Inc.*		63,500		1,158,875
Callon Petroleum Co.*		56,300		468,416
Carrizo Oil & Gas, Inc.*		32,500		1,600,300
Clayton Williams Energy, Inc.*		13,100		861,325
Cloud Peak Energy, Inc.*+		51,450		239,757
Contango Oil & Gas Co.*		15,955		195,768
DHT Holdings, Inc.		39,000		303,030
Earthstone Energy, Inc.*		4,000		78,120
Escalera Resources Co.*		12,050		3,316
GasLog, Ltd.+		34,500		688,275
Gastar Exploration, Inc.*		70,000		216,300
Golden Ocean Group Ltd.+		31,000		119,350
Gran Tierra Energy, Inc.*		60,200		179,396
Green Brick Partners, Inc.*		20,900		228,855
Green Plains, Inc.		96,450		2,657,198
Halcon Resources Corp.*+		100,000		116,000
Hallador Energy Co.		71,600		597,144
LinnCo LLC+		35,000		330,750
Matador Resources Co.*		59,500		1,487,500
Mexco Energy Corp.*+		6,000		27,960
Midstates Petroleum Co., Inc.*+		46,200		42,966
New Concept Energy, Inc.*		3,600		5,400
Northern Oil and Gas, Inc.*+		54,100		366,257
Pacific Ethanol, Inc.*+		109,900		1,134,168
PDC Energy, Inc.*		13,100		702,684
Penn Virginia Corp.*+		65,700		287,766
PetroQuest Energy, Inc.*		104,250		206,415
Renewable Energy Group, Inc.*		140,053		1,619,013
REX American Resources Corp.*		39,350		2,504,234
Sanchez Energy Corp.*+		34,000		333,200
Ship Finance International, Ltd.+		54,900		895,968
Stone Energy Corp.*		64,600		813,314

Industry Company	Shares		Value
Oil, Gas & Consumable Fuels (continued)
Swift Energy Co.*+		10,000		$       20,300
TransAtlantic Petroleum, Ltd.*+		10,000		51,100
Triangle Petroleum Corp.*+		150,000		753,000
VAALCO Energy, Inc.*		30,500		65,270
W&T Offshore, Inc.+		33,600		184,128
Warren Resources, Inc.*		120,780		55,559
				25,237,507
Paper & Forest Products - 0.81%
Mercer International, Inc.*		64,950		888,516
Orient Paper, Inc.*		200		322
PH Glatfelter Co.		40,000		879,600
Resolute Forest Products, Inc.*+		174,700		1,965,375
				3,733,813
Personal Products - 0.23%
Mannatech, Inc.*+		25,700		460,030
Natural Alternatives International, Inc.*+		6,000		33,990
Nutraceutical International Corp.*		23,250		575,205
				1,069,225
Professional Services - 2.75%
CBIZ, Inc.*		47,000		453,080
CDI Corp.		87,389		1,136,057
CRA International, Inc.*		49,800		1,387,926
FTI Consulting, Inc.*		36,500		1,505,260
Heidrick & Struggles International, Inc.		55,440		1,445,875
Hill International, Inc.*		100,300		527,578
ICF International, Inc.*		15,000		522,900
Kelly Services, Inc., Class A		6,000		92,100
Navigant Consulting, Inc.*		170,900		2,541,283
RPX Corp.*		130,596		2,207,072
VSE Corp.		15,830		847,063
				12,666,194
Real Estate Management & Development - 0.16%
Farmland Partners, Inc.+		3,800		45,220
Forestar Group, Inc.*+		18,000		236,880
RE/MAX Holdings, Inc., Class A		6,500		230,815
St. Joe Co. (The)*+		15,000		232,950
				745,865
Road & Rail - 1.15%
ArcBest Corp.		40,400		1,284,720
Celadon Group, Inc.		4,400		90,992

www.bridgeway.com 27

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Road & Rail (continued)
Covenant Transportation Group, Inc., Class A*		42,550		$  1,066,303
Marten Transport, Ltd.		37,966		823,862
P.A.M. Transportation Services, Inc.*		27,527		1,597,942
USA Truck, Inc.*		21,435		455,065
				5,318,884
Semiconductors & Semiconductor Equipment - 2.88%
Advanced Energy Industries, Inc.*		23,000		632,270
Alpha & Omega Semiconductor, Ltd.*		11,905		104,050
Amkor Technology, Inc.*		165,200		987,896
AXT, Inc.*		25,000		63,000
Brooks Automation, Inc.		60,000		687,000
Cirrus Logic, Inc.*		30,500		1,037,915
Cohu, Inc.		30,000		396,900
Diodes, Inc.*		17,200		414,692
Fairchild Semiconductor International, Inc.*		52,400		910,712
GigOptix, Inc.*		65,000		110,500
Integrated Silicon Solution, Inc.		26,800		593,352
inTEST Corp.*+		54,500		237,620
IXYS Corp.		39,000		596,700
Kulicke & Soffa Industries, Inc.*		100,300		1,174,513
OmniVision Technologies, Inc.*		81,800		2,142,751
Pericom Semiconductor Corp.		41,500		545,725
Photronics, Inc.*		171,470		1,630,680
Rudolph Technologies, Inc.*		31,100		373,511
Sigma Designs, Inc.*		3,800		45,334
Ultra Clean Holdings, Inc.*		57,000		355,110
Xcerra Corp.*		30,000		227,100
				13,267,331
Software - 0.53%
Ebix, Inc.+		40,000		1,304,400
Epiq Systems, Inc.		30,000		506,400
GSE Systems, Inc.*		22,500		34,875
Mind CTI, Ltd.		25,000		65,000
Net 1 UEPS Technologies, Inc.*		15,700		286,996
NetSol Technologies, Inc.*		11,680		60,152
TeleCommunication Systems, Inc., Class A*		57,900		191,649
				2,449,472

Industry Company	Shares		Value
Specialty Retail - 2.98%
Barnes & Noble, Inc.*		80,000		$  2,076,800
Big 5 Sporting Goods Corp.		16,003		227,403
Children’s Place, Inc. (The)		14,500		948,445
Christopher & Banks Corp.*		89,200		357,692
Citi Trends, Inc.*		51,150		1,237,830
Genesco, Inc.*		5,000		330,150
Haverty Furniture Cos., Inc.		30,300		655,086
hhgregg, Inc.*+		20,000		66,800
Pep Boys-Manny, Moe & Jack (The)*		50,500		619,635
Rent-A-Center, Inc.		15,000		425,250
Shoe Carnival, Inc.		20,000		577,200
Sonic Automotive, Inc., Class A		40,000		953,200
Stage Stores, Inc.		67,500		1,183,275
Systemax, Inc.*		3,000		25,920
Tilly’s, Inc., Class A*		41,500		401,305
Trans World Entertainment Corp.*		30,000		109,800
TravelCenters of America LLC*		197,050		2,926,192
West Marine, Inc.*		61,900		596,716
				13,718,699
Textiles, Apparel & Luxury Goods - 1.22%
Delta Apparel, Inc.*		13,200		188,760
Ever-Glory International Group, Inc.*		20,000		102,000
Iconix Brand Group, Inc.*		12,000		299,640
Perry Ellis International, Inc.*		135,184		3,213,324
Rocky Brands, Inc.		19,550		365,585
Unifi, Inc.*		43,600		1,460,600
				5,629,909
Thrifts & Mortgage Finance - 3.88%
Astoria Financial Corp.		120,900		1,667,211
Bank Mutual Corp.		121,800		934,206
Berkshire Hills Bancorp, Inc.		30,970		882,026
Brookline Bancorp, Inc.		30,000		338,700
Cape Bancorp, Inc.		26,100		246,906
Cheviot Financial Corp.		1,200		17,640
Chicopee Bancorp, Inc.		12,500		206,125
Dime Community Bancshares, Inc.		15,000		254,100
ESSA Bancorp, Inc.		35,000		450,100
Federal Agricultural Mortgage Corp., Class C		16,500		479,490
First Defiance Financial Corp.		20,750		778,748

28 Annual Report  |  June 30, 2015

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

Showing percentage of net assets as of June 30, 2015

Industry Company	Shares		Value
Common Stocks (continued)
Thrifts & Mortgage Finance (continued)
First Financial Northwest, Inc.		26,400		$   328,944
Flagstar Bancorp, Inc.*		59,500		1,099,560
Fox Chase Bancorp, Inc.		10,500		177,660
Heritage Financial Group, Inc.		12,200		368,196
Hingham Institution for Savings+		1,143		131,571
Home Bancorp, Inc.		15,597		393,668
HomeStreet, Inc.*		17,766		405,420
HopFed Bancorp, Inc.		23,500		278,005
Lake Sunapee Bank Group		2,000		28,860
Laporte Bancorp, Inc.+		11,000		149,050
Meta Financial Group, Inc.		11,500		493,580
Northwest Bancshares, Inc.		20,000		256,400
Ocean Shore Holding Co.		14,800		219,558
OceanFirst Financial Corp.		50,488		941,601
Oritani Financial Corp.		50,000		802,500
Provident Financial Holdings, Inc.		26,600		445,284
Provident Financial Services, Inc.		67,400		1,279,926
Prudential Bancorp, Inc.		957		13,876
Pulaski Financial Corp.		800		10,336
Riverview Bancorp, Inc.		72,478		310,206
Security National Financial Corp., Class A*		13,020		87,625
SI Financial Group, Inc.		30,000		349,200
Territorial Bancorp, Inc.		21,900		531,294
Timberland Bancorp, Inc.		7,000		70,140
United Community Bancorp		10,000		138,100
United Community Financial Corp.		39,163		209,522
Westfield Financial, Inc.		53,000		387,430
WSFS Financial Corp.		63,000		1,723,050
				17,885,814
Trading Companies & Distributors - 2.16%
Aircastle, Ltd.		135,600		3,074,052
CAI International, Inc.*		81,000		1,667,790
General Finance Corp.*+		158,064		825,094
Rush Enterprises, Inc., Class A*		73,600		1,929,056
TAL International Group, Inc.		37,199		1,175,488
Titan Machinery, Inc.*+		20,000		294,600
Veritiv Corp.*		2,194		79,993

Industry Company	Shares		Value
Trading Companies & Distributors (continued)
Willis Lease Finance Corp.*		50,950		$       935,952
				9,982,025
Wireless Telecommunication Services - 0.30%
Spok Holdings, Inc.		81,100		1,365,724
TOTAL COMMON STOCKS - 99.46%				458,620,254
(Cost $370,031,231)
WARRANTS - 0.00%
Eagle Bulk Shipping, Inc.*		8,501		3,230
TOTAL WARRANTS - 0.00%				3,230
(Cost $70,770)

	Rate^			Shares		Value
MONEY MARKET FUND - 0.74%
Dreyfus Cash Management Fund		0.04	%		3,415,796	3,415,796
TOTAL MONEY MARKET FUND - 0.74%						3,415,796
(Cost $3,415,796)

INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 4.10%
Dreyfus Cash Management Fund**	0.04	%	18,869,835	18,869,835
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 4.10%				18,869,835
(Cost $18,869,835)
TOTAL INVESTMENTS - 104.30%				$480,909,115
(Cost $392,387,632)
Liabilities in Excess of Other Assets - (4.30%)				(19,808,262)
NET ASSETS - 100.00%				$461,100,853

*	Non-income producing security.
**	This security represents the investment of the collateral received in connection with securities out on loan as of June 30, 2015.
^	Rate disclosed as of June 30, 2015.
+	This security or a portion of the security is out on loan as of June 30, 2015. Total loaned securities had a value of $18,211,431 as of June 30, 2015.
LLC - Limited Liability Company
PLC - Public Limited Company

www.bridgeway.com 29

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

Showing percentage of net assets as of June 30, 2015

Summary of inputs used to value the Fund’s investments as of 06/30/2015 (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	$	458,414,129	$	206,125	$    —	$	458,620,254
Warrants		3,230		—	—		3,230
Money Market Fund		—		3,415,796	—		3,415,796
Investments Purchased with Cash Proceeds from Securities Lending		—		18,869,835	—		18,869,835
TOTAL	$	458,417,359	$	22,491,756	$    —	$	480,909,115

See Notes to Financial Statements.

30 Annual Report  |  June 30, 2015

STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2015

ASSETS	Omni Small-Cap Value			Omni Tax-Managed Small-Cap Value
Investments at value		$475,664,003			$480,909,115
Receivables:
Portfolio securities sold		-			1,163,344
Fund shares sold		1,321,438			588,510
Dividends and interest		281,402			284,051
Prepaid expenses		68,029			57,982
Total assets		477,334,872			483,003,002
LIABILITIES
Payables:
Portfolio securities purchased		255,698			1,671,262
Fund shares redeemed		921,226			1,059,594
Payable upon return of securities loaned		16,484,499			18,869,835
Accrued Liabilities:
Investment advisory fees		141,330			143,367
Administration fees		7,614			7,593
Directors’ fees		650			620
Other		156,720			149,878
Total liabilities		17,967,737			21,902,149
NET ASSETS		$459,367,135			$461,100,853
NET ASSETS REPRESENT
Paid-in capital		$369,624,328			$371,975,338
Undistributed net investment income		2,027,126			3,271,865
Accumulated net realized loss on investments		(3,918,432	)		(2,667,833	)
Net unrealized appreciation on investments		91,634,113			88,521,483
NET ASSETS		$459,367,135			$461,100,853
Shares of common stock outstanding of $.001 par value*		29,651,823			31,476,957
Net asset value, offering price and redemption price per share		$15.49			$14.65
Total investments at cost		$384,029,890			$392,387,632

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

See Notes to Financial Statements.

www.bridgeway.com 31

STATEMENTS OF OPERATIONS

Fiscal Year Ended June 30, 2015

	Omni Small-Cap Value			Omni Tax-Managed Small-Cap Value
INVESTMENT INCOME
Dividends		$6,005,884			$5,726,848
Less: foreign taxes withheld		(6,141	)		(4,871	)
Securities lending		482,354			347,089
Total Investment Income		6,482,097			6,069,066
EXPENSES
Investment advisory fees		2,192,412			2,101,135
Administration fees		92,581			88,720
Accounting fees		122,110			119,435
Transfer agent fees		13,056			13,058
Professional fees		79,468			77,752
Custody fees		18,070			19,080
Blue sky fees		68,215			70,982
Directors’ and officers’ fees		37,455			36,728
Shareholder servicing fees		386,398			371,948
Reports to shareholders		25,982			21,584
Miscellaneous expenses		75,458			80,553
Total Expenses		3,111,205			3,000,975
Less investment advisory fees waived		(480,284	)		(479,218	)
Net Expenses		2,630,921			2,521,757
NET INVESTMENT INCOME		3,851,176			3,547,309
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Realized Loss on:
Investments		(1,654,820	)		(2,599,989	)
Change in Unrealized Appreciation on:
Investments		(4,763,662	)		(10,832,450	)
Net Realized and Unrealized Loss on Investments		(6,418,482	)		(13,432,439	)
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS		$(2,567,306	)		$(9,885,130	)

See Notes to Financial Statements.

32 Annual Report  |  June 30, 2015

STATEMENTS OF CHANGES IN NET ASSETS

	Omni Small-Cap Value						Omni Tax-Managed Small-Cap Value
	Year Ended June 30,						Year Ended June 30,
	2015			2014			2015			2014
OPERATIONS
Net investment income	$	3,851,176		$	2,327,679		$	3,547,309		$	2,217,693
Net realized gain (loss) on investments		(1,654,820	)		32,913,857			(2,599,989	)		21,562,969
Net change in unrealized appreciation (depreciation) on investments		(4,763,662	)		40,739,787			(10,832,450	)		53,648,014
Net increase (decrease) in net assets resulting from operations		(2,567,306	)		75,981,323			(9,885,130	)		77,428,676
DISTRIBUTIONS:
From net investment income		(2,478,657	)		(1,694,743	)		(767,401	)		(1,891,418	)
From net realized gains		(20,389,241	)		(21,789,088	)		(14,502,076	)		(10,989,498	)
Net decrease in net assets resulting from distributions		(22,867,898	)		(23,483,831	)		(15,269,477	)		(12,880,916	)
SHARE TRANSACTIONS:
Proceeds from sale of shares		150,345,339			134,502,593			153,736,050			137,813,044
Reinvestment of distributions		22,867,898			23,483,831			15,267,233			12,880,497
Cost of shares redeemed		(95,602,458	)		(64,201,515	)		(108,078,029	)		(51,998,913	)
Net increase in net assets resulting from share transactions		77,610,779			93,784,909			60,925,254			98,694,628
Net increase in net assets		52,175,575			146,282,401			35,770,647			163,242,388
NET ASSETS:
Beginning of year		407,191,560			260,909,159			425,330,206			262,087,818
End of year*	$	459,367,135		$	407,191,560		$	461,100,853		$	425,330,206
SHARES ISSUED & REDEEMED
Issued		9,811,973			8,558,069			10,661,864			9,510,227
Distributions reinvested		1,604,765			1,534,891			1,131,744			901,364
Redeemed		(6,248,268	)		(4,100,860	)		(7,678,666	)		(3,605,976	)
Net increase in shares		5,168,470			5,992,100			4,114,942			6,805,615
Outstanding at beginning of year		24,483,353			18,491,253			27,362,015			20,556,400
Outstanding at end of year		29,651,823			24,483,353			31,476,957			27,362,015
* Including undistributed net investment income of:	$	2,027,126		$	885,528		$	3,271,865		$	767,355

See Notes to Financial Statements.

www.bridgeway.com 33

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period indicated)

OMNI SMALL-CAP VALUE

	Year Ended June 30
	2015	2014	2013	For the Period Ended 06/30/2012(a)
Net Asset Value, Beginning of Period	$16.63	$14.11	$11.11	$10.00
Income from Investment Operations:
Net Investment Income(b)	0.14	0.11	0.17	0.08
Net Realized and Unrealized Gain (Loss)	(0.46)	3.58	3.12	1.06
Total from Investment Operations	(0.32)	3.69	3.29	1.14
Less Distributions to Shareholders from:
Net Investment Income	(0.09)	(0.08)	(0.16)	(0.03)
Net Realized Gain	(0.73)	(1.09)	(0.13)	-
Total Distributions	(0.82)	(1.17)	(0.29)	(0.03)
Net Asset Value, End of Period	$15.49	$16.63	$14.11	$11.11
Total Return	(1.48%)(c)	26.89%(c)	30.08%(c)	11.41%(c)(d)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000’s)	$459,367	$407,192	$260,909	$179,553
Expenses Before Waivers and Reimbursements	0.71%	0.71%	0.78%	0.84%(e)
Expenses After Waivers and Reimbursements	0.60%	0.60%	0.60%	0.60%(e)
Net Investment Income After Waivers and Reimbursements	0.88%	0.70%	1.36%	0.92%(e)
Portfolio Turnover Rate	25%	31%	34%	8%(d)

(a) Commenced operations on August 31, 2011.

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

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

(d) Not annualized.

(e) Annualized for periods less than one year.

See Notes to Financial Statements.

34 Annual Report  |  June 30, 2015

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period indicated)

OMNI TAX-MANAGED SMALL-CAP VALUE

	Year Ended June 30
	2015	2014	2013	2012	For the Period Ended 06/30/2011(a)
Net Asset Value, Beginning of Period	$15.54	$12.75	$10.05	$10.68	$10.00
Income from Investment Operations:
Net Investment Income(b)	0.12	0.09	0.15	0.09	0.03
Net Realized and Unrealized Gain (Loss)	(0.42)	3.26	2.68	(0.67)(c)	0.65
Total from Investment Operations	(0.30)	3.35	2.83	(0.58)	0.68
Less Distributions to Shareholders from:
Net Investment Income	(0.03)	(0.08)	(0.13)	(0.05)	-
Net Realized Gain	(0.56)	(0.48)	-	-	-
Total Distributions	(0.59)	(0.56)	(0.13)	(0.05)	-
Net Asset Value, End of Period	$14.65	$15.54	$12.75	$10.05	$10.68
Total Return	(1.62%)(d)	26.71%(d)	28.43%(d)	(5.41%)(d)	6.80%(d)(e)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000’s)	$461,101	$425,330	$262,088	$127,216	$37,945
Expenses Before Waivers and Reimbursements	0.71%	0.71%	0.77%	0.90%	1.56%(f)
Expenses After Waivers and Reimbursements	0.60%	0.60%	0.60%	0.60%	0.60%(f)
Net Investment Income After Waivers and Reimbursements	0.84%	0.65%	1.34%	0.95%	0.57%(f)
Portfolio Turnover Rate	30%	25%	34%	26%	7%(e)

(a) Commenced operations on December 31, 2010.

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

(c) Realized and unrealized gain (loss) per share do not correlate to the aggregate of the net unrealized and realized gain in the Statements of Changes in Net Assets 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.

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

(e) Not annualized.

(f) Annualized for periods less than one year.

See Notes to Financial Statements.

www.bridgeway.com 35

NOTES TO FINANCIAL STATEMENTS

June 30, 2015

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, 2015 (each is referred to as a “Bridgeway Fund” and collectively, the “Bridgeway Funds”). The 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”) are presented in this report.

Bridgeway is authorized to issue 1,915,000,000 shares of common stock at $0.001 per share. As of June 30, 2015, 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 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”). Each Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

Securities and Other Investments Valuation  Securities for which market quotations are readily available are valued at the last sale price on the national exchange on which such securities are primarily traded. In the case of securities reported on the National Association of Securities Dealers Automated Quotation (“NASDAQ”) system, the securities are valued based on 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.

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 a fair valued security 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, 2015

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

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, prepayment 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.

The Dreyfus Cash Management Fund, which is held by the Funds, invests primarily in securities that are valued at cost or amortized cost. Therefore, these investments are classified as Level 2 investments.

• Level 3 — significant unobservable inputs (including the Funds’ 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 results of the Funds’ 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, 2015 is included with each Fund’s Schedule of Investments.

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 year ended June 30, 2015, 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 Lending Upon lending its securities to third parties, each Fund receives compensation in the form of fees. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. 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, resulting in a loss. Under the terms of the Securities Lending Agreement, the Funds are indemnified for such losses by the securities lending agent.

While securities are on loan, the Fund continues to receive dividends on the securities loaned and recognizes any gain or loss in the fair value of the securities loaned.

www.bridgeway.com 37

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

Securities lending transactions are entered into by a Fund under a Securities Lending Agreement which provides the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral or to offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a counterparty’s bankruptcy or insolvency.

The following table is a summary of the Funds’ securities loaned and related collateral which are subject to a netting agreement as of June 30, 2015:

				Gross Amount Not Offset in the Statement of Assets and Liabilities
Fund	Gross Amounts of Recognized Assets1	Gross Amounts Offset in the Statement of Assets and Liabilities	Net Amounts of Assets Presented in the Statement of Assets and Liabilities	Financial Instruments	Cash Collateral Received2	Net Amount
Omni Small-Cap Value
Securities lending	$15,806,395	-	$15,806,395	-	$15,806,395		-
Omni Tax-Managed Small-Cap Value
Securities lending	$18,211,431	-	$18,211,431	-	$18,211,431		-

¹  Securities loaned with a value of $252,614 in Omni Tax-Managed Small Cap Value have been sold and are pending settlement on July 1, 2015.

²  Collateral with a value of $16,484,499 and $18,869,835 has been received in connection with securities lending of Omni Small-Cap Value Fund and Omni Tax-Managed Small Cap Value Fund, respectively. Excess of collateral received from individual counterparty is not shown here for financial reporting purposes.

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, 2015, the collateral consisted of an institutional money market fund.

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

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

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

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

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

38 Annual Report  |  June 30, 2015

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

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. Advisory 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.

Expense limitations:  The Adviser has agreed to reimburse the Funds for operating expenses and advisory 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 year ended June 30, 2015. Any material change to the expense limitation would require a vote by shareholders of the applicable Fund.

		Total Waivers and
		Reimbursements
	Expense	for Year Ending
Bridgeway Fund	Limitation	06/30/15
Omni Small-Cap Value*	0.60%	$480,284
Omni Tax-Managed Small-Cap Value*	0.60%	479,218

*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 that 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 $384,005, $367,842, and $480,284, which expire on June 30, 2016, June 30, 2017, and June 30, 2018, respectively. The Omni Tax-Managed Small-Cap Value Fund has recoupable expenses of $328,970, $382,335, and $479,218, which expire June 30, 2016, June 30, 2017, and June 30, 2018, respectively.

Other Related Party Transactions:  The Bridgeway Funds will engage in inter-portfolio trades with other Bridgeway 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 year ended June 30, 2015 were as follows:

	Inter-Portfolio	Inter-Portfolio
Bridgeway Fund	Purchases	Sales
Omni Small-Cap Value	$32,677,174		$14,939,500
Omni Tax-Managed Small-Cap Value	23,518,001		21,256,027

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. Prior to July 1, 2015 for its services to all of the Bridgeway Funds, the Adviser was paid an aggregate annual fee of $535,000, payable in equal monthly installments. Effective July 1, 2015, the Adviser will be paid an aggregate annual fee of $590,000, payable in monthly installments. During the year ended June 30, 2015, the allocation of this expense to the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds was $92,581 and $88,720, respectively.

www.bridgeway.com 39

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

Board of Directors Compensation  Independent Directors are paid an annual retainer of $15,000, with an additional retainer of $5,000 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. The retainer is paid in quarterly installments. Independent Directors are paid $6,250 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 each 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, as well as expenses for subscriptions or printed materials. The amount of Directors’ fees attributable to each Fund is disclosed in the Statement of Operations.

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

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 year ended June 30, 2015 were as follows:

	Purchases			Sales
	U.S. Government	Other		U.S. Government	Other
Omni Small-Cap Value	$    -	$	169,544,959	$    -	$	110,189,519
Omni Tax-Managed Small-Cap Value	-		171,740,227	-		125,241,674

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 to 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, 2015, were as follows:

	Omni Small-Cap Value		Omni Tax-Managed Small-Cap Value
Gross appreciation (excess of value over tax cost)		$109,840,066		$107,348,649
Gross depreciation (excess of tax cost over value)		(18,289,186)		(18,841,742)
Net unrealized appreciation		$  91,550,880		$  88,506,907
Cost of investments for income tax purposes		$384,113,123		$392,402,208

The differences between book and tax net unrealized appreciation (depreciation) are due to wash sale loss deferrals and basis adjustments on passive foreign investment companies (PFICs), partnerships and business development companies.

Classifications of Distributions  Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.

40 Annual Report  |  June 30, 2015

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

The tax character of the distributions paid by the Funds during the fiscal years ended June 30, 2015 and 2014, is as follows:

	Omni				Omni Tax-Managed
	Small-Cap Value				Small-Cap Value
	Year		Year		Year		Year
	Ended		Ended		Ended		Ended
	June 30, 2015		June 30, 2014		June 30, 2015		June 30, 2014
Distributions paid from:
Ordinary Income		$  2,478,657		$  1,694,743		$     767,401		$  1,891,418
Long-Term Capital Gain		20,389,241		21,789,088		14,502,076		10,989,498
Total		$22,867,898		$23,483,831		$15,269,477		$12,880,916

Components of Accumulated Earnings  As of June 30, 2015, the components of accumulated earnings on a tax basis were:

  

	Omni			Omni Tax-Managed
	Small-Cap Value			Small-Cap Value
Undistributed Net Investment Income		$  2,027,126			$ 3,274,274
Accumulated Net Realized Loss on Investments*		(3,835,199	)		(2,655,666	)
Net Unrealized Appreciation of Investments		91,550,880			88,506,907
Total		$89,742,807			$89,125,515

* Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2016. The Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund have elected to defer late-year short term capital losses of $(3,835,199) and $(2,655,666), respectively.

For the fiscal year June 30, 2015, the Funds recorded the following reclassifications to the accounts listed below:

	Increase (Decrease)
	Omni		Omni Tax-Managed
	Small-Cap Value		Small-Cap Value
Paid-in-Capital		$171,816		$284,723
Undistributed Net Investment Income		(230,921)		(275,398)
Accumulated Net Realized Gain (Loss) on Investments		59,105		(9,325)

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 passive foreign investment companies (PFICs), partnerships and business development companies.

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 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 September 17, 2015. Advances under the Facility are limited to $15,000,000 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.bridgeway.com 41

NOTES TO FINANCIAL STATEMENTS (continued)

June 30, 2015

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 “Overnight Rate” plus 1.25%. The Overnight Rate means the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-month Eurodollar Rate. The commitment fees are payable quarterly in arrears and are allocated to all participating Bridgeway Funds. Interest expense is charged directly to each Bridgeway Fund, based upon actual amounts borrowed by such Bridgeway Fund.

For the year ended June 30, 2015, borrowings by the Funds under this line of credit were as follows:

	Weighted		Weighted		Number of	Interest		Maximum Amount
	Average		Average		Days	Expense		Borrowed During
Bridgeway Fund	Interest Rate		Loan Balance		Outstanding	Incurred1		the Period
Omni Small-Cap Value		1.42%		$1,237,155	58		$2,797		$4,553,000
Omni Tax-Managed Small-Cap Value		1.41%		4,831,952	42		7,834		15,000,000
1 Interest 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, 2015.

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, 2015

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 (the “Funds”), each a series of Bridgeway Funds, Inc., including the schedules of investments, as of June 30, 2015, 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 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, 2015 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, 2015, and 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 their 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 27, 2015

www.bridgeway.com 43

OTHER INFORMATION

June 30, 2015 (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, 2015. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2014.

The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2015. 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%	0.00%
Qualified Short Term Capital Gain Dividends	0.00%	0.00%

During the fiscal year ended June 30, 2015, 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	$  2,478,657	$  767,401
Equalization Debits Included in Ordinary Income Distributions	171,816	284,723
Long-Term Capital Gain Distributions	20,389,241	14,502,076
Equalization Debits Included in Long-Term Capital Gain Distributions	-	-

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, 2015 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

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

44 Annual Report  |  June 30, 2015

OTHER INFORMATION (continued)

June 30, 2015 (unaudited)

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 approval of the Management Agreement. For example, 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 by the Adviser, the Adviser’s compliance program, comparative performance information for each fund, the risk assessment of the funds and “deep dives” on the strategy and performance of certain funds on a periodic basis. In addition, the Board receives updated financial information on the Adviser and updates related to strategic direction and marketing efforts between meetings from the Adviser.

On May 15, 2015, 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: Omni Tax-Managed Small-Cap Value Fund and Omni Small-Cap Value Fund (each a “Fund” and collectively, the “Funds”). 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;

• 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. 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;

www.bridgeway.com 45

OTHER INFORMATION (continued)

June 30, 2015 (unaudited)

• 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, although it was noted the annual fee under the Administrative Services Agreement was proposed to be increased at the Meeting;

• 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 periodically during the year.

In examining the nature, extent and quality of the services provided by the Adviser, the Independent Directors were pleased that the Funds continue to have access to the Adviser’s specialized skills and experience in statistical analysis and investment management and trading, and viewed those skills as relatively unique within the investment management industry. The Independent Directors were satisfied that staffing levels at the Adviser were adequate and appropriate in view of the Funds’ operations.

In examining investment performance, the Independent Directors reviewed performance information as of December 31, 2014 for each Fund and considered the following:

• With regard to the Omni Tax-Managed Small-Cap Value Fund, the Independent Directors noted that, during this Fund’s relatively short operating history, the Fund has outperformed its peer funds and benchmark index for the past three-year period, lagged its peer funds and benchmark index for the one-year period, and has outperformed its benchmark index since inception.

• With regard to the Omni Small-Cap Value Fund, the Independent Directors noted that, during this Fund’s short operating history, the Fund has outperformed its peer funds and benchmark index for the past three-year period, lagged its peer funds and benchmark index for the one-year period, and outperformed its benchmark index by a significant margin since inception.

In examining fees and expenses, the Independent Directors considered that each Fund’s management fee and total expenses are significantly lower than their respective peer funds. In addition, the Independent Directors considered that the Adviser agreed to contractual expense limitation agreements for each Fund to ensure that total expense levels do not increase above certain levels.

In examining profitability, the Independent Directors considered that the Adviser was operating each Fund at a relatively low profit margin. However, the Independent Directors also considered that the Adviser has significant financial resources to support ongoing operations and future growth and that the Adviser had experienced improved overall financial performance results in 2014 as compared to 2013.

With regard to economies of scale, the Independent Directors noted that although there are no fee breakpoints in each Fund’s management fee schedules, the Adviser indicated that these Funds were priced low relative to peers and ahead of the economies of scale curve at launch. In view of asset sizes and fee structures, the Independent Directors were satisfied that shareholders were not missing the opportunity to benefit from economies of scale if they were available.

In terms of potential “fall out” or ancillary benefits to the Adviser due to its position as manager of the Funds, the Independent Directors noted that the Adviser continues to use no soft dollars and that its administrative services to the Funds are structured to approximate an at-cost relationship.

46 Annual Report  |  June 30, 2015

OTHER INFORMATION (continued)

June 30, 2015 (unaudited)

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 outside the presence of management, 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 acceptable or better over the relatively short operating history of each Fund;

• the management fees and overall expense levels, after taking into account any applicable management fee and expense waivers, were reasonable and significantly lower than peer funds;

• 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

• although there are no breakpoints in each Fund’s fee schedule, shareholders of each Fund were not missing the opportunity to benefit from economies of scale in view of the fact that each Fund was priced low in anticipation of future growth.

Based on all relevant information and factors, the Board, including a majority of its Independent Directors, unanimously approved the renewal of the Management Agreement with respect to each Fund. 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 47

DISCLOSURE OF FUND EXPENSES

June 30, 2015 (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, 2015 and held until June 30, 2015.

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 1/1/15			Ending Account Value at 6/30/15			Expense Ratio			Expenses Paid During Period* 1/1/15 - 6/30/15
Bridgeway Omni Small-Cap Value
Actual Fund Return		$	1,000.00		$	1,015.70		0.60	%		$	3.00
Hypothetical Fund Return		$	1,000.00		$	1,021.82		0.60	%		$	3.01
Bridgeway Omni Tax-Managed Small-Cap Value
Actual Fund Return		$	1,000.00		$	1,020.20		0.60	%		$	3.01
Hypothetical Fund Return		$	1,000.00		$	1,021.82		0.60	%		$	3.01

* Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent six-month period (181) divided by the number of days in the fiscal year (365).

48 Annual Report  |  June 30, 2015

DIRECTORS & OFFICERS

June 30, 2015

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 61	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 60	Director	Term: 1 Year Length: 1994 to Present.	Principal, Karen S. Gerstner & Associates, P.C., since 2004.	Eleven	None
Miles Douglas Harper, III* Age 52	Director	Term: 1 Year Length: 1994 to Present.	Partner, Carr, Riggs & Ingram, LLC, since 2013; Partner, Gainer Donnelly, LLP, 1998 to 2013 upon merger with Carr, Riggs & Ingram, LLC.	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 54	Director	Term: 1 Year Length: 2006 to Present.	Strategic Advisor, Small Steps Nurturing Center, since 2012; Executive Director, Small Steps Nurturing Center, 2004 to 2012.	Eleven	None

www.bridgeway.com 49

DIRECTORS & OFFICERS (continued)

June 30, 2015

“Interested” or Affiliated Director and Officer

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
John N. R. Montgomery2 Age 59	President and Director	Term: 1 Year Length: 1993 to Present.	Chairman, Bridgeway Capital Management, Inc., since 2010; President, Bridgeway Capital Management, Inc., 1993 to 2010 and since June 2015; President, Bridgeway Funds, since June 2015; Vice President, Bridgeway Funds, 2005 to May 2015.	Eleven	None

50 Annual Report  |  June 30, 2015

DIRECTORS & OFFICERS (continued)

June 30, 2015

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 57	Vice President	Term: 1 Year Length: 2004 to Present.	Vice President, Bridgeway Funds, since 2004; Staff member, Bridgeway Capital Management, Inc., since 2000.	N/A	None
Linda G. Giuffré Age 53	Treasurer and Chief Compliance Officer	Term: 1 Year Length: 2004 to Present.	Chief Compliance Officer, Bridgeway Capital Management, Inc., since 2004; Staff member, Bridgeway Capital Management, Inc., since 2004.	N/A	None
Deborah L. Hanna Age 50	Secretary	Term: 1 Year Length: 2007 to Present.	Self-employed, accounting and related projects for various organizations, since 2001.	N/A	None
Sharon Lester Age 60	Vice President	Term: 1 Year Length: 2011 to Present.	Staff member, Bridgeway Capital Management, Inc., since 2010; Prior to 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  John Montgomery is chairman, president, director and majority shareholder of Bridgeway Capital Management, Inc., and therefore an interested person of Bridgeway Funds.

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

The 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 51

BRIDGEWAY FUNDS, INC.

BNY Mellon Investment Servicing (US) Inc.

P.O. Box 9860

Providence, RI 02940-8060

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 are 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 substantive 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 $232,000 for the fiscal year ended June 30, 2015 and $232,000 for the fiscal year ended June 30, 2014.

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, 2015 and $0 for the fiscal year ended June 30, 2014.

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 $22,000 for the fiscal year ended June 30, 2015 and $22,000 for the fiscal year ended June 30, 2014. 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, 2015 and $0 for the fiscal year ended June 30, 2014.

(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, 2015 and $0 for the fiscal year ended June 30, 2014.

(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 made no divestments of securities in accordance with section 13(c) of the Investment Company Act of 1940.

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.

(12.other) Not applicable.

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/ John Montgomery                                                                 

                  John Montgomery, President and Principal Executive Officer

                  (principal executive officer)

Date     08/28/15                                                                                                                               

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/ John Montgomery                                                               

                  John Montgomery, President and Principal Executive Officer

                  (principal executive officer)

Date     08/28/15                                                                                                                               

By (Signature and Title)*            /s/ Linda G. Giuffré                                                                  

                  Linda G. Giuffré, Treasurer and Principal Financial Officer

                  (principal financial officer)

Date     08/28/15                                                                                                                               

^* Print the name and title of each signing officer under his or her signature.