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)
Tammira Philippe, 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: June 30, 2022
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
| | (a) | Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). |
The Report to Shareholders is attached herewith.
A no-load mutual fund family
| | | | |
| | Annual Report June 30, 2022 | | |
| | |
| | AGGRESSIVE INVESTORS 1 | | BRAGX |
| | |
| | ULTRA-SMALL COMPANY | | BRUSX |
| | |
| | (Open to Existing Investors — Direct Only) | | |
| | |
| | ULTRA-SMALL COMPANY MARKET | | BRSIX |
| | |
| | SMALL-CAP VALUE | | BRSVX |
| | |
| | BLUE CHIP | | BRLIX |
| | |
| | MANAGED VOLATILITY | | BRBPX |
| | |
TABLE OF CONTENTS | | 
|
June 30, 2022
Bridgeway Funds Standardized Returns (%) as of June 30, 2022* (Unaudited)
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | Annualized | | | | |
| | | | | | | | | | |
| Fund | | Quarter | | Six Months | | 1 Year | | 5 Years | | 10 Years | | 15 Years | | Inception to Date | | Inception Date | | Gross Expense Ratio2 | | Net Expense Ratio2 |
Aggressive Investors 1 | | -21.13 | | -26.42 | | -23.81 | | 1.59 | | 8.33 | | 2.91 | | 10.80 | | 8/5/1994 | | 0.34% | | 0.34% |
Ultra-Small Company | | -12.79 | | -13.69 | | -21.04 | | 7.46 | | 8.99 | | 4.98 | | 12.64 | | 8/5/1994 | | 1.38% | | 1.38% |
Ultra-Small Co Market | | -17.33 | | -20.78 | | -30.38 | | 4.85 | | 9.24 | | 5.38 | | 9.51 | | 7/31/1997 | | 0.79% | | 0.79% |
Small-Cap Value | | -13.85 | | -13.69 | | -5.81 | | 11.82 | | 12.05 | | 6.44 | | 8.74 | | 10/31/2003 | | 0.92% | | 0.92% |
Blue Chip | | -13.89 | | -15.92 | | -9.32 | | 11.29 | | 12.41 | | 8.56 | | 7.79 | | 7/31/1997 | | 0.24%1 | | 0.15%1 |
Managed Volatility | | -6.40 | | -9.58 | | -7.62 | | 3.93 | | 4.28 | | 3.15 | | 3.92 | | 6/30/2001 | | 1.23%1 | | 0.96%1 |
Bridgeway Funds Returns (%) for Calendar Years 2012 through 2021* (Unaudited) |
| | | 2012 | | 2013 | | 2014 | | 2015 | | 2016 | | 2017 | | 2018 | | 2019 | | 2020 | | 2021 |
Aggressive Investors 1 | | 21.58 | | 42.21 | | 14.99 | | -9.82 | | 19.47 | | 18.44 | | -22.44 | | 21.85 | | 14.35 | | 19.89 |
Ultra-Small Company | | 24.49 | | 55.77 | | -0.56 | | -16.12 | | 14.06 | | 3.88 | | -15.68 | | 9.51 | | 31.31 | | 33.34 |
Ultra-Small Co Market | | 19.83 | | 50.91 | | 4.61 | | -8.28 | | 21.47 | | 12.47 | | -17.12 | | 15.34 | | 25.53 | | 22.31 |
Small-Cap Value | | 20.99 | | 39.72 | | 0.79 | | -9.43 | | 26.79 | | 7.11 | | -13.06 | | 14.98 | | 12.04 | | 67.74 |
Blue Chip | | 15.20 | | 31.67 | | 11.51 | | 2.17 | | 13.18 | | 18.43 | | -1.48 | | 31.05 | | 13.51 | | 24.15 |
Managed Volatility | | 6.46 | | 9.25 | | 5.95 | | 0.17 | | 2.42 | | 8.18 | | -3.97 | | 11.88 | | 10.55 | | 7.91 |
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 bridgewayfunds.com or call 800-661-3550. Total return figures include the reinvestment of dividends and capital gains. Periods of less than one year are not annualized.
| | 1 | Some of the Fund’s fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser is contractually obligated to waive fees and/or pay 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, 2022. |
* 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 800-661-3550 or visit the Funds’ website at bridgewayfunds.com. Funds are available for purchase by residents of the United States, Puerto Rico, US Virgin Islands, and Guam only.
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.
| | |
| | Annual Report | June 30, 2022 |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM | |  |
June 30, 2022 (Unaudited)
Dear Fellow Shareholders,
Performance across domestic equity markets was negative for the June quarter and for the 12 months ended June 30, 2022. Stocks in all size and style categories recorded negative returns for the fiscal year, but larger stocks and value stocks outperformed smaller names and growth stocks. As a result, large-cap value stocks delivered the best results during the fiscal year. Market highlights appear on page 2. The Bridgeway Funds performed within design expectations in this environment, guided by our statistical, evidence-based investment approach. Please see the enclosed letters for a detailed explanation of each Fund’s performance during the quarter and the fiscal year. We hope you find the letters helpful.
Ultra-small stocks historically have outperformed larger stocks over longer periods. Yet these smallest of small stocks are in the midst of their own period of underperformance. Although we don’t condone market timing, we believe investors may have a unique opportunity to capture strong gains as ultra-small stock returns revert to their long-term means. However, investing in ultra-small stocks requires a disciplined approach and special trading expertise to avoid some challenges with this asset class. We explain this opportunity, and Bridgeway’s approach to trading ultra-small stocks, in “Ultra-Small Stocks: Capturing Opportunity while Addressing Challenges,” on page 2.
Any period of underperformance – short-term or longer-term – can challenge some investors’ ability to maintain a disciplined, long-term approach. The second half of the recent fiscal year was one of the most difficult investing environments in recent times, with inflation hitting a 40-year high and stock markets tumbling. Those conditions alone would be enough to warrant inclusion in our traditional look at the “worst thing of the fiscal year,” but more concerning are recent data showing an uptick in Fund redemptions. Read why investors who react emotionally to short-term market movements may be introducing more risk to their long-term investing strategies, in “The Worst Thing of the Fiscal Year,” on page 4.
Finally, Bridgeway’s Head of Finance and Talent, Von Celestine, shares a painful story from early in his career that shaped his commitment to fostering inclusion in the workplace. Read how his personal experience helps inform Bridgeway’s intentional approach to diversity, equity, and inclusion, in “Transformative Change: Invisible in Plain Sight,” on page 5.
As always, we appreciate your feedback. We take your comments very 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 | | |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | | |
June 30, 2022 (Unaudited)
Market Review
Domestic equity markets declined sharply in the quarter ended June 30, 2022, resulting in the second consecutive quarter of negative returns. The US Federal Reserve moved aggressively to control inflation during the quarter by raising its benchmark interest rate by a total of 1.25 percentage points. Those actions exacerbated concerns about the potential economic slowdown and contributed to falling equity returns and higher-than-average market volatility. The S&P 500 returned -16.1% for the quarter, and the Dow Jones Industrial Average (DJIA) returned -10.8%. For the fiscal year, the S&P 500 and the DJIA returned -10.6% and -9.1%, respectively.
All US equity style categories, as defined by Russell Indices, recorded negative returns for the quarter. Larger stocks generally outperformed smaller stocks except in the growth style category, and value stocks outperformed growth stocks in all size categories. As a result, large-cap value stocks had the best performance during the quarter, returning -12.2%. Mid-cap growth stocks had the worst performance on a relative basis, returning -21.1%.
All sectors of the S&P 500 had negative returns for the quarter. The Consumer Discretionary sector recorded the largest decline, returning -26.2%, followed by Communication Services (-20.6%) and Information Technology (-20.2%). The Consumer Staples sector had the best performance on a relative basis, returning -4.6%.
Below are the stock market style box returns for the quarter and the fiscal year.
| | | | | | | | | | | | | | | | | | |
| | | June 2022 Quarter | | | | | | Fiscal Year ended June 30,2022 | | |
| | Value | | All | | Growth | | | | | | Value | | All | | Growth | | |
Large | |
-12.21%
| |
-16.67%
| |
-20.92%
| | | | Large | |
-6.82%
| |
-13.04%
| |
-18.77%
| | |
Mid | |
-14.68%
| |
-16.85%
| |
-21.07%
| | | | Mid | |
-10.00%
| |
-17.30%
| |
-29.57%
| | |
Small | |
-15.28%
| |
-17.20%
| |
- 19.25%
| | | | Small | |
-16.28%
| |
-25.20%
| |
-33.43%
| | |
Ultra-Small Stocks: Capturing Opportunity while Addressing Challenges
By Richard P. Cancelmo, Jr., Head of Trading and Portfolio Manager, and Cindy Griffin, CIPM, Director of Institutional Relations
Bridgeway believes strongly in the potential for ultra-small stocks to contribute to a long-term investing strategy, which is why we’ve been offering ultra-small mutual funds since 1997. Recent underperformance by ultra-small stocks may offer investors a unique opportunity to capture value if their performance reverts to long-term means.
Highlighting the opportunity we see in ultra-small stocks is part of Bridgeway’s relational investing principle of stating where we stand. But to honor another of our relational investing principles — be intentional — we also want to describe some of the challenges investors may face when investing in ultra-small stocks and explain how our investment approach and trading expertise help mitigate those challenges.
The ultra-small stocks opportunity
Ultra-small stocks are represented by the smallest decile of stocks (CRSP 10) defined by the Center for Research in Security Prices (“CRSP”). Since July 1926, CRSP 10 stocks have outperformed the largest decile of stocks (CRSP 1) and all other deciles of stocks on an annualized basis.
| | |
2 | | Annual Report | June 30, 2022 |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | | |
June 30, 2022 (Unaudited)
However, in the last decade, CRSP 10 stocks have lagged CRSP 1 stocks on an annualized basis. We believe this decade of underperformance represents an opportunity for investors. Historically, ultra-small stock returns have experienced a reversion to long-term levels after dramatic periods of underperformance.
Although ultra-small stocks have made up some ground in the past year, there is still a long way to go for ultra-small stocks to revert to long-term trends of outperforming larger stocks, as evidenced by the following chart:
Source: CRSP
We remain steadfast that ultra-small stocks represent a unique opportunity in today’s market, particularly given the asset class’s historical returns. But investors who are willing to explore ultra-small stocks face some challenges. One is liquidity: It can be more difficult to build or redeem positions in ultra-small stocks. The higher potential for bankruptcy among ultra-small companies is another challenge. Finally, higher trading costs for ultra-small stocks can cause erosion in a fund’s returns.
To address the higher risk of bankruptcy among ultra-small stocks, Bridgeway uses a disciplined, systematic process that assesses a company’s potential for bankruptcy and other issues related to quality that could cause near-term under-performance. But we also apply our passion, training, and attention to detail in stock trading to mitigate some of the transaction-related challenges with this asset class.
Our approach to trading ultra-small stocks
Our Ultra-Small Company Market Fund focuses on buying ultra-small stocks in the CRSP 10 universe. The strategy’s overall goal is to achieve the CRSP 10 return net of fees over long periods by roughly matching the sector and industry makeup and financial characteristics of the CRSP 10 Index.
Our approach to managing the Ultra-Small Company Market Fund is sometimes referred to as “passive, asset class investing” because the strategy intends to provide risk and return characteristics that are similar to investing in a basket of stocks in a specific asset class. From an implementation and trading perspective, we believe this approach can offer investors a significant advantage in ultra-small stocks.
We also know from more than 25 years of experience and data that a passive or asset-class-based approach generally reduces a Fund’s trading costs. This experience holds especially true in the CRSP 10 universe, where active trading can be quite costly and can diminish returns. Given that there are known challenges in trading ultra-small stocks, we also rely on three strategies to reduce trading costs and improve trading efficiency in our Ultra-Small Company Market Fund:
| | 1. | Our statistical, evidence-based investment strategy, combined with our passive trading approach, means we have flexibility in the stocks we want to own. The list of eligible ultra-small stocks contains stocks that are statistically indifferent from each other and can provide similar contributions to risk and return. In other words, we do not have |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | | |
June 30, 2022 (Unaudited)
| | to own ABC stock. We could just as easily own XYZ. The urgency to trade a specific stock can destroy value through increased costs and higher purchase prices. Our patient approach to trading is a great advantage in the ultra-small stock universe. |
| | 2. | We can be opportunistic traders. Our many years of trading in ultra-small stocks has allowed us to create beneficial, long-term relationships with brokers who know this space well. We have established processes that allow us to communicate quickly with these brokers, especially when stockholders are urgent to sell an ultra-small stock. In many cases, a seller’s urgency is our opportunity and can result in a better (i.e., lower) purchase price. This is an example of how we have invested in the outcome—another principle of relational investing. The relationships that we’ve fostered over time with these brokers have ultimately improved outcomes for our investors. |
| | 3. | We use securities lending to seek additional revenue/return. Securities lending is especially lucrative in the ultra-small space, as the supply of these stocks is more limited than larger-cap stocks, and demand is high. However, the practice is not without risk: The borrower could become insolvent, or the collateral’s value could decline below the cost of replacing the securities. Bridgeway has robust processes, procedures, and controls around borrowers and collateral and works closely with custodian banks in implementing a securities lending program. |
Our approach to trading in the ultra-small stock universe has helped Bridgeway provide better outcomes for our investors over the long term. Trading cost analysis and the additional return from securities lending in the Ultra-Small Company Market strategy provide strong evidence for that. For the calendar year 2021, transaction cost analysis showed our trading costs for the Ultra-Small Company Market strategy were -30 basis points versus the expected estimate of -84 basis points. In addition, the one-year return from securities lending on the strategy was 49 basis points.
One of the most striking principles of relational investing is “discover the power in the paradox.” The ultra-small company space is one of those places where an investor can find the paradox—attractive returns paired with substantial challenges in implementation and practice. We strongly believe in the potential for ultra-small stocks, and while we do not condone market timing, we believe we may be poised for a unique opportunity to capture a return to the long-term mean for ultra-small stocks. With more than 25 years of experience trading in ultra-small stocks, Bridgeway understands that trading can be a challenge in this universe, so knowing the challenges and how to mitigate them can help capture the power of the ultra-small stocks paradox.
Disclosure
The Dow Jones Industrial Average (DJIA), Dow Jones is a price-weighted measurement stock market index of 30 prominent companies listed on stock exchanges in the United States. 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 CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices.
The Worst Thing of the Fiscal Year
Some years it’s difficult to decide what to discuss in our traditional review of the “worst thing” that happened during the previous 12 months. Last year is a good example because we were coming off a period of strong equity performance when most Bridgeway Funds posted double-digit returns, and some even achieved a triple-digit return.
This year, it’s relatively easy to identify the worst thing. Since January 2022, investors have faced one of the rockiest markets in decades. The stock market tumbled as inflation reached 40-year highs, and the Fed moved interest rates sharply higher to curb rising prices. Meanwhile, the potential threat of recession cast a pall over investor confidence.
In this environment, all of our Funds declined for the fiscal year—although some of our Funds significantly outpaced their benchmarks thanks to design features such as a tilt toward deeper value stocks.
Still, the last 12 months have been a challenging and often stressful period for investors, and other Fund data helps tell the story of our fiscal year beyond gains and losses. Our Fund redemption data shows an uptick in investors selling shares of
| | |
4 | | Annual Report | June 30, 2022 |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | | |
June 30, 2022 (Unaudited)
our Funds toward the end of the fiscal year. While we don’t know why each shareholder sold, it’s likely that many did so in response to the stock market’s recent declines and concerns about the future.
In turbulent economic times, emotions can overwhelm even the most disciplined strategy. Unfortunately, these redemption figures suggest that some investors are responding emotionally to the market’s movements by putting their money on the sidelines. The irony is that this type of risk-averse behavior can introduce more risk: By trying to avoid the market’s worst performances, investors may end up still sitting on the sidelines when the market rebounds. In fact, research shows that during the worst bear markets, stocks tend to recover strongly in the first year after hitting their low point.
Consider a recent example: After the stock market reached a bottom in March 2020 amid the global shock of the coronavirus pandemic, equities quickly roared back. For the 2020 calendar year, the S&P 500 returned more than 18%, and the Russell 2000 Value Index posted a return of nearly 20%. Investors who held on through the turmoil were able to capture the full value of that rebound. Those who had sold their shares, only to be enticed back into the market later, have a deficit they can’t erase.
Now, some investors may be making the same mistake. We believe our shareholders are best served by maintaining a disciplined, long-term approach to investing. As much as it hurts to experience a fiscal year of poor Fund performance (which we know because we’re shareholders too), it’s more upsetting to think of the potential long-term impact on investors who have been unable to stay invested during the market’s predictably unpredictable swings.
We thank our shareholders who have committed to a long-term investing strategy. As we’ve said before, during times like these, we are still falling short of our goal to convince all investors to stay disciplined. That means we must continue working on ways to better explain the long-term evidence behind our investment philosophy, so we can help all investors think in decades, not days.
Transformative Change: Invisible in Plain Sight
By Von Celestine, Head of Finance and Talent
My first job after college was as an auditor with a major accounting firm. I had been working there for about a year when I was assigned to a large, high-profile client. About ten people from the firm would be working on this audit for a few months, rather than a few weeks as we did with smaller institutions. It was a chance to learn and show what I could do. I was excited about the challenge.
On audit engagements, lunches were routine with the members of the team, including junior staffers like myself and senior leaders, managers, and division heads. Our first lunch would be eight people—rather than three or four like I was used to—and I was looking forward to spending time with senior leaders. Plus, as a 22-year-old with an entry-level salary, I was looking forward to a delicious, company-paid lunch!
It was the worst lunch in my very young career. Decades later, this memory still stings, despite the fact that I’ve earned future success.
I happened to sit next to one of the senior engagement and division leaders. I anticipated some informal chit-chat that would help people get to know me, but I was ignored when I tried to join the discussion. Even my attempts at generic conversation starters about the weather or sports were met with very short responses, barely even acknowledging me.
I’m more of an introvert by nature, was very young, and was new to this corporate lunch setting, but I needed to be able to engage in these types of conversations. Still, nothing I tried worked. Worse, I had to watch everyone else, even some of my junior peers, being welcomed into the discussions and acknowledged.
What was going on? As far as I could tell, I hadn’t said or done anything wrong—but I was the only person of color at that table. I didn’t know any of these people well enough to know if it was truly a race issue, but it was hard to miss the fact that I was the lone person of color in the room. I am usually confident, but I felt small, invisible, hurt, and angry.
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | | |
June 30, 2022 (Unaudited)
It became apparent how the flow of the lunch would go, and my feelings of anticipation were replaced with a desire to get out of there as quickly as possible. I have no memory of the restaurant’s name and whether the food or service was good. But I have a clear memory of being invisible in plain sight.
I had a few more of these lunches to endure, but I changed my strategy. I would sit next to my peers and get through it. It was the only way I knew to avoid the sting of being ignored when trying to make basic connections.
That was my last audit. I went to work for an energy company, graduate school was next, then my career accelerated. I took away a very important lesson: I knew if I “made it up the corporate ladder,” I was not going to ignore anyone. I would reach out to the junior people I worked with to make them feel a part of the team, because they were.
When I joined Bridgeway more than 15 years ago, I found a place that shared my belief that it’s the responsibility of everyone-but especially leaders–to focus on inclusion. Inclusion doesn’t only mean creating an environment where people’s opinions are heard, considered, and respected. At its core, inclusion is about valuing each team member no matter their tenure, experience, age, gender, race, ethnicity, or sexual orientation. Not just during work interactions, but at lunch, dinner, conferences, social events, or anywhere else you engage with your colleagues.
One of the reasons I’ve been with Bridgeway significantly longer than other jobs is because of the culture and environment we’ve created and how we treat other people. The Partners (Partners refers to all long-term staff members) trust each other, whether we’re having a great year or a challenging year, and we believe we are working towards something important.
We aspire to create an improved model for the financial services industry. There are times when we don’t live up to our ideals, but we are committed to using those moments to raise awareness about diversity, equity, inclusion, and how to be better. Admitting mistakes and making changes is part of being human, and openly discussing issues of diversity and inclusion helps ensure we won’t leave anyone feeling invisible and ignored.
I still feel the pain of that awful lunch, but I learned from bad experiences and decided to be the kind of leader I needed at that lunch so that those I work with feel included and valued.
| | |
6 | | Annual Report | June 30, 2022 |
| | |
| Aggressive Investors 1 Fund | | |
MANAGER’S COMMENTARY (Unaudited)
June 30, 2022
Dear Fellow Aggressive Investors 1 Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -21.13%, underperforming our primary market benchmark, the S&P 500 Index (-16.10%), and the Russell 2000 Index (-17.20%). It was a poor quarter.
For the fiscal year, our Fund returned -23.81%, underperforming the S&P 500 Index (-10.62%), but outperforming the Russell 2000 Index (-25.20%).
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, 2022
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Annualized |
| | | | | | |
| | | Quarter | | 1 Year | | 5 Years | | 10 Years | | 15 Years | | Since Inception (8/5/94) |
| | | | | | |
Aggressive Investors 1 Fund | | | -21.13 | % | | | -23.81 | % | | | 1.59 | % | | | 8.33 | % | | | 2.91 | % | | | 10.80 | % |
S&P 500 Index | | | -16.10 | % | | | -10.62 | % | | | 11.31 | % | | | 12.96 | % | | | 8.54 | % | | | 9.92 | % |
Russell 2000 Index | | | -17.20 | % | | | -25.20 | % | | | 5.17 | % | | | 9.35 | % | | | 6.33 | % | | | 8.64 | % |
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 the performance of the 2,000 companies between the 1,000th and 3,000th largest in the market with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
| Aggressive Investors 1 Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
Growth of a $10,000 Investment
from Inception August 5, 1994 to June 30, 2022
Detailed Explanation of Quarterly Performance
Most of the Fund’s main design features faced headwinds during the quarter. The Fund’s quality and value metrics models underperformed the benchmark, detracting from relative performance. However, the Fund’s sentiment models outperformed the benchmark, partially offsetting this negative impact. A tilt toward deeper value stocks and the Fund’s tendency to invest in higher beta and higher volatility stocks hurt relative results during the quarter. In contrast, an overweighting in the benchmark’s smaller stocks added to relative performance.
From a sector perspective, the Fund’s allocation effect was negative. An overweighting in the Consumer Discretionary sector and underweightings in the Health Care and Utilities sectors detracted the most from relative results. The Fund’s stock selection effect was also negative for the quarter, primarily driven by holdings in the Information Technology, Health Care, and Communication Services sectors.
Detailed Explanation of Fiscal Year Performance
All three of the Fund’s model categories underperformed the benchmark during the year, with the quality models detracting the most from relative results. By design, the Fund invests in higher beta and higher volatility stocks, and this positioning hurt relative returns when these stocks underperformed during the 12-month period. The Fund’s tilt toward deeper value stocks had a mixed effect on relative performance, while the impact of an overweighting in the benchmark’s smaller stocks was neutral.
From a sector perspective, the Fund’s allocation effect was negative, with an overweighting in the Consumer Discretionary sector and underweightings in the Health Care and Utilities sectors detracting the most from relative results. The Fund’s stock selection effect was significantly negative, primarily driven by holdings in the Communication Services, Health Care, and Information Technology sectors.
| | |
8 | | Annual Report | June 30, 2022 |
| | |
| Aggressive Investors 1 Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
Top Ten Holdings as of June 30, 2022
| | | | | | | | |
| Rank | | Description | | Industry | | % of Net Assets |
1 | | Cheniere Energy, Inc. | | Energy | | | 3.7 | % |
2 | | Apple, Inc. | | Information Technology | | | 3.1 | % |
3 | | Microsoft Corp. | | Information Technology | | | 2.6 | % |
4 | | UnitedHealth Group, Inc. | | Health Care | | | 2.5 | % |
5 | | Fortinet, Inc. | | Information Technology | | | 2.2 | % |
6 | | NVIDIA Corp. | | Information Technology | | | 2.1 | % |
7 | | Mosaic Co. (The) | | Materials | | | 2.0 | % |
8 | | Tesla, Inc. | | Consumer Discretionary | | | 2.0 | % |
9 | | QUALCOMM, Inc. | | Information Technology | | | 2.0 | % |
10 | | Lowe’s Cos., Inc. | | Consumer Discretionary | | | 1.9 | % |
| | | |
| | Total | | | | | 24.1 | % |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of S&P 500 Index | | Difference |
Communication Services | | | 4.4 | % | | | 8.9 | % | | | -4.5 | % |
Consumer Discretionary | | | 18.0 | % | | | 10.5 | % | | | 7.5 | % |
Consumer Staples | | | 4.3 | % | | | 7.0 | % | | | -2.7 | % |
Energy | | | 5.9 | % | | | 4.4 | % | | | 1.5 | % |
Financials | | | 12.4 | % | | | 10.8 | % | | | 1.6 | % |
Health Care | | | 9.5 | % | | | 15.1 | % | | | -5.6 | % |
Industrials | | | 7.0 | % | | | 7.8 | % | | | -0.8 | % |
Information Technology | | | 25.3 | % | | | 26.8 | % | | | -1.5 | % |
Materials | | | 10.8 | % | | | 2.6 | % | | | 8.2 | % |
Real Estate | | | 2.1 | % | | | 2.9 | % | | | -0.8 | % |
Utilities | | | 0.0 | % | | | 3.1 | % | | | -3.1 | % |
Cash & Other Assets | | | 0.3 | % | | | 0.1 | % | | | 0.2 | % |
| | | |
Total | | | 100.0 | % | | | 100.0 | % | | | | |
Important Disclosure
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, 2022, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which
| | |
| Aggressive Investors 1 Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.
Conclusion
Thank you for your continued investment in Aggressive Investors 1 Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
| | |
10 | | Annual Report | June 30, 2022 |
| | |
| Aggressive Investors 1 Fund | | |
| SCHEDULE OF INVESTMENTS | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | |
| |
COMMON STOCKS - 99.69% | | | |
Communication Services - 4.44% | | | |
Liberty Global PLC, Class C* | | | 72,500 | | | $ | 1,601,525 | | | |
Lumen Technologies, Inc.+ | | | 138,100 | | | | 1,506,671 | | | |
Meta Platforms, Inc., Class A* | | | 8,700 | | | | 1,402,875 | | | |
Netflix, Inc.* | | | 3,700 | | | | 647,019 | | | |
Warner Bros Discovery, Inc.* | | | 63,700 | | | | 854,854 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 6,012,944 | | | |
| |
Consumer Discretionary - 17.98% | | | |
Amazon.com, Inc.* | | | 20,800 | | | | 2,209,168 | | | |
AutoNation, Inc.* | | | 16,000 | | | | 1,788,160 | | | |
Bath & Body Works, Inc. | | | 27,000 | | | | 726,840 | | | |
Booking Holdings, Inc.* | | | 800 | | | | 1,399,192 | | | |
Choice Hotels International, Inc. | | | 13,000 | | | | 1,451,190 | | | |
Dick’s Sporting Goods, Inc.+ | | | 15,200 | | | | 1,145,624 | | | |
Etsy, Inc.* | | | 18,700 | | | | 1,369,027 | | | |
Expedia Group, Inc.* | | | 10,700 | | | | 1,014,681 | | | |
General Motors Co.* | | | 22,100 | | | | 701,896 | | | |
Lowe’s Cos., Inc. | | | 15,000 | | | | 2,620,050 | | | |
NIKE, Inc., Class B | | | 13,000 | | | | 1,328,600 | | | |
Penske Automotive Group, Inc. | | | 8,100 | | | | 847,989 | | | |
PulteGroup, Inc. | | | 37,300 | | | | 1,478,199 | | | |
Tesla, Inc.* | | | 4,000 | | | | 2,693,680 | | | |
Toll Brothers, Inc. | | | 13,700 | | | | 611,020 | | | |
Ulta Beauty, Inc.* | | | 4,300 | | | | 1,657,564 | | | |
Whirlpool Corp. | | | 8,500 | | | | 1,316,395 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 24,359,275 | | | |
| |
Consumer Staples - 4.26% | | | |
Albertsons Cos., Inc., Class A | | | 94,600 | | | | 2,527,712 | | | |
Costco Wholesale Corp. | | | 3,400 | | | | 1,629,552 | | | |
Tyson Foods, Inc., Class A | | | 18,800 | | | | 1,617,928 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 5,775,192 | | | |
| |
Energy - 5.85% | | | |
APA Corp. | | | 42,000 | | | | 1,465,800 | | | |
Cheniere Energy, Inc. | | | 38,000 | | | | 5,055,140 | | | |
Chesapeake Energy Corp. | | | 17,300 | | | | 1,403,030 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 7,923,970 | | | |
| |
Financials - 12.36% | | | |
Ally Financial, Inc. | | | 37,500 | | | | 1,256,625 | | | |
Bank of Montreal | | | 20,000 | | | | 1,923,400 | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
|
Financials (continued) | |
Blackstone, Inc. | | | 6,400 | | | $ | 583,872 | |
Brown & Brown, Inc. | | | 24,000 | | | | 1,400,160 | |
Citigroup, Inc. | | | 30,000 | | | | 1,379,700 | |
Everest Re Group, Ltd. | | | 7,400 | | | | 2,074,072 | |
Jefferies Financial Group, Inc. | | | 26,000 | | | | 718,120 | |
MetLife, Inc. | | | 34,000 | | | | 2,134,860 | |
Royal Bank of Canada | | | 15,000 | | | | 1,452,300 | |
Synchrony Financial | | | 62,300 | | | | 1,720,726 | |
UBS Group AG | | | 130,000 | | | | 2,108,600 | |
| | | | | | | | |
| | |
| | | | | | | 16,752,435 | |
|
Health Care - 9.51% | |
Alnylam Pharmaceuticals, Inc.* | | | 11,000 | | | | 1,604,350 | |
Hologic, Inc.* | | | 29,100 | | | | 2,016,630 | |
Horizon Therapeutics PLC* | | | 20,000 | | | | 1,595,200 | |
IDEXX Laboratories, Inc.* | | | 4,000 | | | | 1,402,920 | |
McKesson Corp. | | | 2,200 | | | | 717,662 | |
Mettler-Toledo International, Inc.* | | | 1,300 | | | | 1,493,401 | |
Moderna, Inc.* | | | 5,000 | | | | 714,250 | |
UnitedHealth Group, Inc. | | | 6,500 | | | | 3,338,595 | |
| | | | | | | | |
| | |
| | | | | | | 12,883,008 | |
|
Industrials - 7.03% | |
Avis Budget Group, Inc.* | | | 16,200 | | | | 2,382,696 | |
Builders FirstSource, Inc.* | | | 23,000 | | | | 1,235,100 | |
Owens Corning | | | 19,000 | | | | 1,411,890 | |
Rollins, Inc. | | | 45,850 | | | | 1,601,082 | |
WillScot Mobile Mini Holdings Corp.* | | | 71,500 | | | | 2,318,030 | |
ZIM Integrated Shipping Services, Ltd.+ | | | 12,400 | | | | 585,652 | |
| | | | | | | | |
| | |
| | | | | | | 9,534,450 | |
|
Information Technology - 25.30% | |
Advanced Micro Devices, Inc.* | | | 20,900 | | | | 1,598,223 | |
Apple, Inc. | | | 31,000 | | | | 4,238,320 | |
Applied Materials, Inc. | | | 18,500 | | | | 1,683,130 | |
Automatic Data Processing, Inc. | | | 7,000 | | | | 1,470,280 | |
Cadence Design Systems, Inc.* | | | 10,000 | | | | | |
| | | 1,500,300 | |
Cloudflare, Inc., Class A* | | | 13,300 | | | | 581,875 | |
Datadog, Inc., Class A* | | | 12,800 | | | | 1,219,072 | |
Fortinet, Inc.* | | | 52,500 | | | | 2,970,450 | |
HP, Inc. | | | 65,000 | | | | 2,130,700 | |
Lam Research Corp. | | | 3,000 | | | | 1,278,450 | |
| | |
| Aggressive Investors 1 Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | | | | | |
| Industry Company | | | | | Shares | | | Value | | | | |
| | |
Common Stocks (continued) | | | | | | | | | |
| | |
Information Technology (continued) | | | | | | | | | |
Mastercard, Inc., Class A | | | | 5,000 | | | $ | 1,577,400 | | | | | |
Microsoft Corp. | | | | 13,500 | | | | 3,467,205 | | | | | |
NetApp, Inc. | | | | 21,100 | | | | 1,376,564 | | | | | |
NVIDIA Corp. | | | | 18,800 | | | | 2,849,892 | | | | | |
Palo Alto Networks, Inc.* | | | | 4,700 | | | | 2,321,518 | | | | | |
Pure Storage, Inc., Class A* | | | | 53,700 | | | | 1,380,627 | | | | | |
QUALCOMM, Inc. | | | | 20,700 | | | | 2,644,218 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | 34,288,224 | | | | | |
| | | |
Materials - 10.82% | | | | | | | | | | | | | |
Crown Holdings, Inc. | | | | 28,000 | | | | 2,580,760 | | | | | |
Kinross Gold Corp. | | | | 300,000 | | | | 1,074,000 | | | | | |
Mosaic Co. (The) | | | | 57,400 | | | | 2,711,002 | | | | | |
Nucor Corp. | | | | 20,000 | | | | 2,088,200 | | | | | |
Olin Corp. | | | | 34,000 | | | | 1,573,520 | | | | | |
Steel Dynamics, Inc. | | | | 24,900 | | | | 1,647,135 | | | | | |
United States Steel Corp.+ | | | | 62,200 | | | | 1,114,002 | | | | | |
West Fraser Timber Co., Ltd.+ | | | | 24,400 | | | | 1,872,212 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | 14,660,831 | | | | | |
| | | |
Real Estate - 2.14% | | | | | | | | | | | | | |
Extra Space Storage, Inc. | | | | 8,600 | | | | 1,463,032 | | | | | |
SBA Communications Corp. | | | | 4,500 | | | | 1,440,225 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | 2,903,257 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL COMMON STOCKS - 99.69% | | | | 135,093,586 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $147,479,682) | | | | | | | | | | | | | |
| | | | |
| | | Rate^ | | | Shares | | | Value | | | | |
| |
MONEY MARKET FUND - 0.31% | | | | | |
| | | | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21 | % | | | 417,862 | | | | 417,862 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL MONEY MARKET FUND - 0.31% | | | | 417,862 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $417,862) | | | | | | | | | |
| | | | | | | | | | | | |
| | | Rate^ | | | Shares | | | Value | |
|
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.40% | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46 | % | | | 3,246,864 | | | $ | 3,246,864 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.40% | | | | 3,246,864 | |
| | | | | | | | | | | | |
(Cost $3,246,864) | | | | | |
| |
TOTAL INVESTMENTS - 102.40% | | | $ | 138,758,312 | |
(Cost $151,144,408) | | | | | |
| |
Liabilities in Excess of Other Assets - (2.40%) | | | | (3,248,464 | ) |
| | | | | | | | | | | | |
| |
NET ASSETS - 100.00% | | | $ | 135,509,848 | |
| | | | | | | | | | | | |
| * | Non-income producing security. |
| ** | This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. |
| ^ | Rate disclosed as of June 30, 2022. |
| + | This security or a portion of the security is out on loan as of June 30, 2022. Total loaned securities had a value of $4,350,581 as of June 30, 2022. See Note 2 for disclosure of cash and non-cash collateral. |
PLC - Public Limited Company
| | |
12 | | Annual Report | June 30, 2022 |
| | |
| Aggressive Investors 1 Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
| | |
| | | | | | | | | | | | | | | | | | | | |
Summary of inputs used to value the Fund’s investments as of 6/30/2022: | | | | | |
| Valuation Inputs | | | | |
| |
| Investment in Securities (Value) | | | | |
| | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | | | Total | | | | |
Common Stocks (a) | | | $135,093,586 | | | | $– | | | | $– | | | | $135,093,586 | | | | | |
Money Market Fund | | | 417,862 | | | | – | | | | – | | | | 417,862 | | | | | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 3,246,864 | | | | – | | | | – | | | | 3,246,864 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
TOTAL | | | $138,758,312 | | | | $– | | | | $– | | | | $138,758,312 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings. | | | | | |
See Notes to Financial Statements. | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
|
|
|
| | |
| Ultra-Small Company Fund | | |
MANAGER’S COMMENTARY (Unaudited)
June 30, 2022
Dear Fellow Ultra-Small Company Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -12.79%, outperforming our primary market benchmark, the Russell Microcap Index (-18.96%), and the CRSP Cap-Based Portfolio 10 Index (-16.71%). The Fund also outperformed the Russell 2000 Index (-17.20%). It was a poor quarter on an absolute basis, but a good one on a relative basis.
For the fiscal year, our Fund returned -21.04%, outperforming the Russell Microcap Index (-30.73%), the Russell 2000 Index (-25.20%), and the CRSP Cap-Based Portfolio 10 Index (-31.94%).
The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.
Standardized Returns as of June 30, 2022
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | 15 Years | | | Since Inception (8/5/94) |
| | | | | | |
Ultra-Small Company Fund | | | -12.79% | | | | -21.04% | | | | 7.46% | | | | 8.99% | | | | 4.98% | | | | 12.64% | |
Russell Microcap Index | | | -18.96% | | | | -30.73% | | | | 4.55% | | | | 9.04% | | | | 5.16% | | | | N/A | |
CRSP Cap-Based Portfolio 10 Index | | | -16.71% | | | | -31.94% | | | | 7.29% | | | | 9.96% | | | | 6.81% | | | | 11.16% | |
Russell 2000 Index | | | -17.20% | | | | -25.20% | | | | 5.17% | | | | 9.35% | | | | 6.33% | | | | 8.64% | |
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.
Effective October 31, 2021, the Fund changed its broad-based securities market benchmark from the CRSP Cap-Based Portfolio 10 Index to the Russell Microcap Index. Bridgeway Capital Management, the investment adviser for the Fund, believes the Russell Microcap Index is the most appropriate publicly accessible comparison for evaluating the Fund’s performance. The Russell Microcap Index measures the performance of the microcap segment of the US equity market. Microcap stocks make up less than 3% of the US equity market (by market cap) and consist of the smallest 1,000 securities in the small-cap Russell 2000®? Index, plus the next 1,000 smallest eligible securities by market cap. The Russell Microcap Index is constructed to provide a comprehensive and unbiased barometer for the microcap segment trading on national exchanges. The Index is completely reconstituted annually to ensure new and growing equities are reflected and companies continue to reflect appropriate capitalization and value characteristics. 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 CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 769 of the smallest publicly traded US stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
14 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Growth of a $10,000 Investment
from Inception August 5, 1994 to June 30, 2022
| * | The inception date of the Russell Microcap Index is June 1, 2005. |
Detailed Explanation of Quarterly Performance
All three of the Fund’s model categories outperformed the benchmark and helped relative returns. The Fund’s tilt toward deeper value stocks across multiple valuation metrics also improved relative performance during the quarter.
The Fund’s investment universe focuses on the smallest stocks within the US stock market (CRSP 9 and CRSP 10 universes), with generally more weight in the smaller stocks. During the quarter, the Fund held approximately 35% of its assets, on average, in stocks that were outside of the CRSP 10 universe (including stocks that had appreciated into larger CRSP deciles), versus 90% for the benchmark. These holdings generally outperformed the benchmark, adding to relative results.
From a sector perspective, the Fund’s allocation effect was negative, largely driven by an underweighting in the Financials sector and an overweighting in the Materials sector. However, the Fund’s stock selection effect was significantly positive. Holdings in the Industrials, Energy, and Financials sectors added the most to relative performance.
The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.
| | |
| Ultra-Small Company Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
| | | | | | | | | | |
| | | |
| | | | | | | Annualized |
| | | | | |
| CRSP Decile1 | | Quarter | | 1 Year | | 5 Years | | 10 Years | | 96.5 Years |
1 (ultra-large) | | -17.07% | | -13.00% | | 11.97% | | 13.18% | | 9.49% |
2 | | -17.31% | | -15.64% | | 9.32% | | 12.60% | | 10.51% |
3 | | -17.68% | | -22.24% | | 7.61% | | 11.22% | | 10.85% |
4 | | -16.53% | | -23.65% | | 6.14% | | 10.11% | | 10.64% |
5 | | -16.85% | | -22.55% | | 5.98% | | 9.66% | | 11.12% |
6 | | -17.96% | | -30.09% | | 6.05% | | 9.72% | | 11.09% |
7 | | -19.92% | | -29.58% | | 7.87% | | 11.46% | | 11.45% |
8 | | -20.11% | | -34.65% | | 1.84% | | 7.50% | | 10.97% |
9 | | -18.77% | | -30.87% | | 7.56% | | 11.00% | | 11.32% |
10 (ultra-small) | | -16.71% | | -31.94% | | 7.29% | | 9.96% | | 12.97% |
| 1 | Performance figures are as of the period ended June 30, 2022. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US 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. |
Detailed Explanation of Fiscal Year Performance
The Fund’s quality and value models outperformed the benchmark and helped relative returns. However, the Fund’s sentiment model category lagged the benchmark, partially offsetting some of this positive impact. The Fund’s tilt toward deeper value stocks across multiple valuation metrics boosted relative results during the 12-month period.
The Fund’s investment universe focuses on the smallest stocks within the US stock market (CRSP 9 and CRSP 10 universes), with generally more weight in the smaller stocks. During the fiscal year, the Fund held approximately 34% of its assets, on average, in stocks that were outside of the CRSP 10 universe (including stocks that had appreciated into larger CRSP deciles), versus 90% for the benchmark. These holdings generally outperformed the benchmark, adding to relative results.
From a sector perspective, the Fund’s allocation effect was positive, largely driven by an underweighting in the Health Care sector and an overweighting in the Energy sector. The Fund’s stock selection effect also was significantly positive. Holdings in the Industrials, Financials, and Energy sectors added the most to relative performance.
Top Ten Holdings as of June 30, 2022
| | | | | | | | |
| Rank | | Description | | Industry | | % of Net Assets |
| | | | | | | |
1 | | USA Truck, Inc. | | Industrials | | | 3.0 | % |
2 | | Information Services Group, Inc. | | Information Technology | | | 2.2 | % |
3 | | Agenus, Inc. | | Health Care | | | 2.2 | % |
4 | | Manning & Napier, Inc. | | Financials | | | 2.2 | % |
5 | | Harrow Health, Inc. | | Health Care | | | 2.1 | % |
6 | | ARC Document Solutions, Inc. | | Industrials | | | 2.0 | % |
7 | | Cumulus Media, Inc., Class A | | Communication Services | | | 2.0 | % |
8 | | VAALCO Energy, Inc. | | Energy | | | 2.0 | % |
9 | | Hudson Technologies, Inc. | | Industrials | | | 1.9 | % |
10 | | Co.-Diagnostics, Inc. | | Health Care | | | 1.9 | % |
| | | |
| | Total | | | | | 21.5 | % |
| | |
16 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of Russell Microcap Index | | Difference |
Communication Services | | | 4.5 | % | | | 2.8 | % | | | 1.7 | % |
Consumer Discretionary | | | 12.4 | % | | | 10.2 | % | | | 2.2 | % |
Consumer Staples | | | 4.2 | % | | | 2.7 | % | | | 1.5 | % |
Energy | | | 7.3 | % | | | 4.8 | % | | | 2.5 | % |
Financials | | | 14.3 | % | | | 21.6 | % | | | -7.3 | % |
Health Care | | | 24.8 | % | | | 26.8 | % | | | -2.0 | % |
Industrials | | | 12.3 | % | | | 10.9 | % | | | 1.4 | % |
Information Technology | | | 11.9 | % | | | 11.7 | % | | | 0.2 | % |
Materials | | | 7.5 | % | | | 3.5 | % | | | 4.0 | % |
Real Estate | | | 0.6 | % | | | 4.2 | % | | | -3.6 | % |
Utilities | | | 0.0 | % | | | 0.8 | % | | | -0.8 | % |
Cash & Other Assets | | | 0.2 | % | | | 0.0 | % | | | 0.2 | % |
| | | | |
Total | | | 100.0 | % | | | 100.0 | % | | | | |
Important Disclosure
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, 2022, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to very high, above-market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.
Conclusion
Ultra-Small Company Fund remains closed to new investors. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
| | |
| Ultra-Small Company Fund | | |
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | |
| | |
COMMON STOCKS - 99.78% | | | | | | | |
Communication Services - 4.54% | | | | | | | |
Cumulus Media, Inc., Class A*+ | | | 201,788 | | | $ | 1,559,821 | | | |
DHI Group, Inc.* | | | 2,782 | | | | 13,827 | | | |
Entravision Communications Corp., Class A | | | 16,100 | | | | 73,416 | | | |
Salem Media Group, Inc.* | | | 526,376 | | | | 1,115,917 | | | |
SPAR Group, Inc.* | | | 123,400 | | | | 145,612 | | | |
Spok Holdings, Inc. | | | 30,100 | | | | 189,630 | | | |
Townsquare Media, Inc., Class A* | | | 57,100 | | | | 467,649 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 3,565,872 | | | |
| | |
Consumer Discretionary - 12.36% | | | | | | | |
AMCON Distributing Co.+ | | | 1,723 | | | | 280,849 | | | |
Bassett Furniture Industries, Inc. | | | 22,200 | | | | 402,264 | | | |
Big 5 Sporting Goods Corp.+ | | | 48,600 | | | | 544,806 | | | |
Brilliant Earth Group, Inc., Class A* | | | 100,500 | | | | 477,375 | | | |
Build-A-Bear Workshop, Inc. | | | 66,336 | | | | 1,089,237 | | | |
Charles & Colvard, Ltd.* | | | 76,185 | | | | 94,470 | | | |
Citi Trends, Inc.*+ | | | 48,500 | | | | 1,147,025 | | | |
Crown Crafts, Inc. | | | 41,600 | | | | 260,416 | | | |
Delta Apparel, Inc.* | | | 15,590 | | | | 442,288 | | | |
Destination XL Group, Inc.* | | | 63,900 | | | | 216,621 | | | |
Dixie Group, Inc. (The)* | | | 25,600 | | | | 32,768 | | | |
Educational Development Corp. | | | 55,700 | | | | 235,054 | | | |
Express, Inc.* | | | 260,800 | | | | 511,168 | | | |
Good Times Restaurants, Inc.* | | | 8,300 | | | | 24,983 | | | |
J. Jill, Inc.* | | | 6,252 | | | | 114,349 | | | |
Jerash Holdings US, Inc. | | | 24,900 | | | | 117,279 | | | |
Lakeland Industries, Inc.* | | | 2,000 | | | | 30,720 | | | |
Lincoln Educational Services Corp.* | | | 159,064 | | | | 1,003,694 | | | |
Live Ventures, Inc.* | | | 21,602 | | | | 540,266 | | | |
Potbelly Corp.*+ | | | 22,000 | | | | 124,300 | | | |
Tilly’s, Inc., Class A | | | 198,300 | | | | 1,392,066 | | | |
Universal Technical Institute, Inc.* | | | 21,900 | | | | 156,147 | | | |
Vera Bradley, Inc.* | | | 44,700 | | | | 193,998 | | | |
Vince Holding Corp.*+ | | | 26,200 | | | | 205,670 | | | |
Weyco Group, Inc.+ | | | 2,515 | | | | 61,492 | | | |
| | | | | | | | | | |
| | | |
| | | | | | | 9,699,305 | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
Consumer Staples - 4.25% | | | | | | | | |
Blue Apron Holdings, Inc., Class A*+ | | | 306,000 | | | $ | 1,113,840 | |
Farmer Bros Co.* | | | 21,100 | | | | 98,959 | |
Lifeway Foods, Inc.*+ | | | 48,059 | | | | 238,853 | |
Mannatech, Inc. | | | 23,388 | | | | 389,410 | |
Natural Alternatives International, Inc.* | | | 50,300 | | | | 525,132 | |
Natural Health Trends Corp. | | | 7,600 | | | | 40,774 | |
Ocean Bio-Chem, Inc. | | | 12,798 | | | | 164,838 | |
Village Super Market, Inc., Class A | | | 33,509 | | | | 764,341 | |
| | | | | | | | |
| | |
| | | | | | | 3,336,147 | |
| | |
Energy - 7.28% | | | | | | | | |
Adams Resources & Energy, Inc. | | | 2,500 | | | | 80,475 | |
Barnwell Industries, Inc.*+ | | | 80,030 | | | | 188,070 | |
Energy Services of America Corp.*+ | | | 15,000 | | | | 30,900 | |
Forum Energy Technologies, Inc.* | | | 9,200 | | | | 180,504 | |
Hallador Energy Co.*+ | | | 275,795 | | | | 1,492,051 | |
Mexco Energy Corp.*+ | | | 5,768 | | | | 99,152 | |
NACCO Industries, Inc., Class A | | | 18,613 | | | | 705,433 | |
Natural Gas Services Group, Inc.* | | | 11,400 | | | | 125,400 | |
NCS Multistage Holdings, Inc.* | | | 997 | | | | 30,508 | |
SilverBow Resources, Inc.*+ | | | 24,585 | | | | 697,231 | |
Smart Sand, Inc.* | | | 268,118 | | | | 536,236 | |
VAALCO Energy, Inc.+ | | | 222,600 | | | | 1,544,844 | |
| | | | | | | | |
| | |
| | | | | | | 5,710,804 | |
| | |
Financials - 14.27% | | | | | | | | |
AmeriServ Financial, Inc. | | | 15,000 | | | | 59,100 | |
Atlantic American Corp.+ | | | 81,700 | | | | 218,139 | |
Bank7 Corp. | | | 3,540 | | | | 80,853 | |
C&F Financial Corp. | | | 1,700 | | | | 78,149 | |
CF Bankshares, Inc. | | | 4,800 | | | | 100,800 | |
Chemung Financial Corp. | | | 1,200 | | | | 56,400 | |
Citizens Community Bancorp, Inc. | | | 43,900 | | | | 607,137 | |
Community West Bancshares | | | 5,000 | | | | 71,550 | |
Consumer Portfolio Services, Inc.*+ | | | 146,004 | | | | 1,496,541 | |
Eagle Bancorp Montana, Inc. | | | 2,700 | | | | 53,757 | |
| | |
18 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
| |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| |
Common Stocks (continued) | | | | | |
| | | |
Financials (continued) | | | | | | | | | | | | |
Elevate Credit, Inc.* | | | 562,100 | | | $ | 1,326,556 | | | | | |
First Business Financial Services, Inc. | | | 3,400 | | | | 106,046 | | | | | |
First United Corp. | | | 3,117 | | | | 58,475 | | | | | |
First Western Financial, Inc.* | | | 1,473 | | | | 40,051 | | | | | |
FlexShopper, Inc.* | | | 9,700 | | | | 8,727 | | | | | |
Guild Holdings Co., Class A | | | 300 | | | | 3,057 | | | | | |
Investcorp Credit Management BDC, Inc. | | | 59,988 | | | | 250,150 | | | | | |
Kingstone Cos., Inc. | | | 16,200 | | | | 63,828 | | | | | |
Logan Ridge Finance Corp.*+ | | | 20,483 | | | | 321,583 | | | | | |
Manning & Napier, Inc. | | | 136,195 | | | | 1,698,352 | | | | | |
Medallion Financial Corp. | | | 156,359 | | | | 1,000,697 | | | | | |
Meridian Corp. | | | 12,270 | | | | 371,781 | | | | | |
Nexpoint Real Estate Finance, Inc.+ | | | 16,018 | | | | 324,685 | | | | | |
Northeast Bank+ | | | 10,285 | | | | 375,711 | | | | | |
Pzena Investment Management, Inc., Class A | | | 13,300 | | | | 87,647 | | | | | |
Randolph Bancorp, Inc. | | | 8,900 | | | | 235,405 | | | | | |
Security National Financial Corp., Class A* | | | 174,366 | | | | 1,475,138 | | | | | |
Silvercrest Asset Management Group, Inc., Class A | | | 16,744 | | | | 274,769 | | | | | |
Trean Insurance Group, Inc.* | | | 43,600 | | | | 271,628 | | | | | |
Velocity Financial, Inc.* | | | 7,500 | | | | 82,425 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 11,199,137 | | | | | |
| |
Health Care - 24.81% | | | | | |
Agenus, Inc.* | | | 876,300 | | | | 1,700,022 | | | | | |
Alimera Sciences, Inc.* | | | 18,300 | | | | 100,101 | | | | | |
American Shared Hospital Services* | | | 209,067 | | | | 464,129 | | | | | |
Apollo Endosurgery, Inc.* | | | 98,800 | | | | 360,620 | | | | | |
ARCA biopharma, Inc.* | | | 46,948 | | | | 116,900 | | | | | |
Assertio Holdings, Inc.* | | | 189,700 | | | | 559,615 | | | | | |
Astria Therapeutics, Inc.* | | | 19,279 | | | | 57,837 | | | | | |
AVEO Pharmaceuticals, Inc.*+ | | | 53,000 | | | | 347,680 | | | | | |
BIMI International Medical, Inc.* | | | 72,762 | | | | 46,466 | | | | | |
Biocept, Inc.* | | | 109,436 | | | | 102,870 | | | | | |
Cabaletta Bio, Inc.* | | | 92,222 | | | | 97,755 | | | | | |
CareCloud, Inc.* | | | 211,251 | | | | 723,535 | | | | | |
Clearside Biomedical, Inc.* | | | 104,000 | | | | 152,880 | | | | | |
Co.-Diagnostics, Inc.*+ | | | 268,000 | | | | 1,503,480 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
|
Health Care (continued) | |
Cumberland Pharmaceuticals, Inc.*+ | | | 233,068 | | | $ | 483,616 | |
Diffusion Pharmaceuticals, Inc.* | | | 16,565 | | | | 108,998 | |
Dyne Therapeutics, Inc.* | | | 16,400 | | | | 112,668 | |
Electromed, Inc.* | | | 79,338 | | | | 764,818 | |
Enzo Biochem, Inc.* | | | 168,600 | | | | 349,002 | |
Eton Pharmaceuticals, Inc.*+ | | | 206,462 | | | | 540,930 | |
Exagen, Inc.*+ | | | 16,100 | | | | 92,414 | |
Eyenovia, Inc.* | | | 47,900 | | | | 93,405 | |
FONAR Corp.* | | | 47,300 | | | | 718,487 | |
Forte Biosciences, Inc.* | | | 86,865 | | | | 112,924 | |
Galera Therapeutics, Inc.* | | | 15,000 | | | | 19,500 | |
Harrow Health, Inc.* | | | 222,200 | | | | 1,617,616 | |
Harvard Bioscience, Inc.* | | | 149,983 | | | | 539,939 | |
IMARA, Inc.* | | | 54,700 | | | | 66,734 | |
IRIDEX Corp.* | | | 251,900 | | | | 647,383 | |
Kewaunee Scientific Corp.* | | | 16,900 | | | | 279,357 | |
Kronos Bio, Inc.* | | | 11,400 | | | | 41,496 | |
Lineage Cell Therapeutics, Inc.*+ | | | 379,700 | | | | 599,926 | |
Lipocine, Inc.* | | | 425,664 | | | | 340,957 | |
Liquidia Corp.*+ | | | 69,800 | | | | 304,328 | |
MaxCyte, Inc.* | | | 101,200 | | | | 478,676 | |
Milestone Scientific, Inc.* | | | 243,700 | | | | 223,107 | |
Myomo, Inc.* | | | 83,910 | | | | 140,969 | |
OraSure Technologies, Inc.* | | | 190,200 | | | | 515,442 | |
Ovid therapeutics, Inc.* | | | 340,300 | | | | 731,645 | |
Pieris Pharmaceuticals, Inc.* | | | 213,100 | | | | 398,497 | |
Pro-Dex, Inc.* | | | 1,700 | | | | 27,404 | |
ProPhase Labs, Inc. | | | 13,200 | | | | 167,376 | |
Protara Therapeutics, Inc.* | | | 24,800 | | | | 72,664 | |
Retractable Technologies, Inc.* | | | 32,300 | | | | 123,709 | |
Revelation Biosciences, Inc.* | | | 121,263 | | | | 134,602 | |
Sensus Healthcare, Inc.* | | | 35,100 | | | | 269,568 | |
Singular Genomics Systems, Inc.*+ | | | 13,500 | | | | 51,570 | |
Societal CDMO, Inc.* | | | 249,600 | | | | 198,432 | |
SunLink Health Systems, Inc.* | | | 192,800 | | | | 192,839 | |
Sunshine Biopharma, Inc.* | | | 568,400 | | | | 613,872 | |
XBiotech, Inc. | | | 8,800 | | | | 49,544 | |
Xtant Medical Holdings, Inc.* | | | 54,100 | | | | 28,105 | |
Zynex, Inc. | | | 111,100 | | | | 886,578 | |
| | | | | | | | |
| | |
| | | | | | | 19,472,987 | |
| | |
Ultra-Small Company Fund | | |
SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | |
| |
Industrials - 12.34% | | | | | |
Acme United Corp.+ | | | 29,085 | | | $ | 921,122 | | | | | |
ARC Document Solutions, Inc. | | | 607,353 | | | | 1,597,339 | | | | | |
Avalon Holdings Corp., Class A* | | | 14,700 | | | | 38,220 | | | | | |
BGSF, Inc. | | | 7,200 | | | | 88,992 | | | | | |
Bowman Consulting Group, Ltd.* | | | 2,700 | | | | 33,318 | | | | | |
DLH Holdings Corp.* | | | 6,700 | | | | 102,108 | | | | | |
Hudson Global, Inc.* | | | 7,458 | | | | 234,181 | | | | | |
Hudson Technologies, Inc.* | | | 203,000 | | | | 1,524,530 | | | | | |
LS Starrett Co. (The), Class A* | | | 31,001 | | | | 217,627 | | | | | |
Mastech Digital, Inc.* | | | 17,200 | | | | 255,592 | | | | | |
Mistras Group, Inc.* | | | 15,000 | | | | 89,100 | | | | | |
Orion Group Holdings, Inc.* | | | 33,626 | | | | 76,667 | | | | | |
Pangaea Logistics Solutions, Ltd. | | | 96,500 | | | | 490,220 | | | | | |
Patriot Transportation Holding, Inc. | | | 12,400 | | | | 92,256 | | | | | |
RCM Technologies, Inc.* | | | 73,155 | | | | 1,480,657 | | | | | |
USA Truck, Inc.* | | | 75,731 | | | | 2,379,468 | | | | | |
Virco Mfg. Corp.* | | | 17,600 | | | | 67,760 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 9,689,157 | | | | | |
| |
Information Technology - 11.85% | | | | | |
AstroNova, Inc.* | | | 28,300 | | | | 339,034 | | | | | |
Aviat Networks, Inc.* | | | 5,300 | | | | 132,712 | | | | | |
Bel Fuse, Inc., Class B | | | 19,291 | | | | 300,168 | | | | | |
Computer Task Group, Inc.* | | | 94,610 | | | | 809,862 | | | | | |
Everspin Technologies, Inc.* | | | 50,200 | | | | 263,048 | | | | | |
Information Services Group, Inc. | | | 252,148 | | | | 1,704,520 | | | | | |
inTEST Corp.* | | | 142,534 | | | | 972,082 | | | | | |
Paysign, Inc.* | | | 124,100 | | | | 188,632 | | | | | |
PCTEL, Inc. | | | 196,141 | | | | 802,217 | | | | | |
RF Industries, Ltd.* | | | 29,696 | | | | 184,115 | | | | | |
Richardson Electronics, Ltd. | | | 58,747 | | | | 861,231 | | | | | |
Schmitt Industries, Inc.* | | | 61,502 | | | | 239,858 | | | | | |
SecureWorks Corp., Class A* | | | 13,780 | | | | 149,651 | | | | | |
SigmaTron International, Inc.*+ | | | 74,800 | | | | 528,088 | | | | | |
Synchronoss Technologies, Inc.* | | | 547,300 | | | | 629,395 | | | | | |
Taitron Components, Inc., Class A | | | 68,200 | | | | 248,930 | | | | | |
| | | | | | | | | | | | |
| Industry Company | | | | | Shares | | | Value | |
| |
Information Technology (continued) | |
TESSCO Technologies, Inc.* | | | | 49,629 | | | $ | 293,307 | |
TSR, Inc.*+ | | | | 5,328 | | | | 39,694 | |
Universal Security Instruments, Inc.*+ | | | | 100,600 | | | | 364,172 | |
Wireless Telecom Group, Inc.* | | | | 191,592 | | | | 252,901 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,303,617 | |
|
Materials - 7.50% | |
Advanced Emissions Solutions, Inc.* | | | | 298,264 | | | | 1,398,858 | |
AgroFresh Solutions, Inc.* | | | | 154,592 | | | | 276,720 | |
Ampco-Pittsburgh Corp.* | | | | 58,032 | | | | 224,584 | |
Caledonia Mining Corp. PLC+ | | | | 21,235 | | | | 232,523 | |
Core Molding Technologies, Inc.* | | | | 49,704 | | | | 456,780 | |
Flexible Solutions International, Inc.* | | | | 55,300 | | | | 135,485 | |
Friedman Industries, Inc. | | | | 90,521 | | | | 736,841 | |
Gold Resource Corp. | | | | 901,748 | | | | 1,469,849 | |
Gulf Resources, Inc.* | | | | 81,460 | | | | 378,789 | |
Olympic Steel, Inc. | | | | 1,339 | | | | 34,479 | |
Synalloy Corp.* | | | | 38,555 | | | | 542,083 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,886,991 | |
|
Real Estate - 0.58% | |
American Realty Investors, Inc.*+ | | | | 8,000 | | | | 113,520 | |
AMREP Corp.* | | | | 28,100 | | | | 315,282 | |
Maui Land & Pineapple Co., Inc.* | | | | 3,200 | | | | 30,304 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 459,106 | |
| | | | | | | | | | | | |
| |
TOTAL COMMON STOCKS - 99.78% | | | | 78,323,123 | |
| | | | | | | | | | | | |
(Cost $77,945,874) | | | | | | | | | | | | |
| | | |
| | | Rate^ | | | Shares | | | Value | |
|
MONEY MARKET FUND - 0.13% | |
| | | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21 | % | | | 99,486 | | | | 99,486 | |
| | | | | | | | | | | | |
| |
TOTAL MONEY MARKET FUND - 0.13% | | | | 99,486 | |
| | | | | | | | | | | | |
(Cost $99,486) | | | | | | | | | | | | |
| | |
20 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | | | | | |
| | | Rate^ | | | Shares | | | Value | | | | |
|
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 9.61% | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46 | % | | | 7,540,408 | | | $ | 7,540,408 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 9.61% | | | | 7,540,408 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $7,540,408) | | | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS - 109.52% (Cost $85,585,768) | | | $ | 85,963,017 | | | | | |
| | |
Liabilities in Excess of Other
Assets - (9.52%) | | | | (7,475,505 | ) | | | | |
| | | | | | | | | | | | | | | | |
| | |
NET ASSETS - 100.00% | | | $ | 78,487,512 | | | | | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
|
* Non-income producing security. ** This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. ^ Rate disclosed as of June 30, 2022. + This security or a portion of the security is out on loan as of June 30, 2022. Total loaned securities had a value of $10,774,123 as of June 30, 2022. See Note 2 for disclosure of cash and non-cash collateral. | |
|
| PLC - Public Limited Company | |
|
Summary of inputs used to value the Fund’s investments as of 6/30/2022: | |
Valuation Inputs | |
| |
Investment in Securities (Value) | |
| |
| | | | |
| | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | | | Total | |
| |
Common Stocks (a) | | | $78,323,123 | | | | $– | | | | $– | | | | $78,323,123 | |
Money Market Fund | | | 99,486 | | | | – | | | | – | | | | 99,486 | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 7,540,408 | | | | – | | | | – | | | | 7,540,408 | |
| | | | | | | | | | | | | | | | |
TOTAL | | | $85,963,017 | | | | $– | | | | $– | | | | $85,963,017 | |
| | | | | | | | | | | | | | | | |
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings. | |
|
| See Notes to Financial Statements. | |
| | |
| Ultra-Small Company Market Fund | | |
MANAGER’S COMMENTARY (Unaudited)
June 30, 2022
Dear Fellow Ultra-Small Company Market Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -17.33%, outperforming our primary market benchmark, the Russell Microcap Index (-18.96%). The Fund underperformed the Russell 2000 Index (-17.20%) and the CRSP Cap-Based Portfolio 10 Index (-16.71%).
For the fiscal year, our Fund returned -30.38%, outperforming the Russell Microcap Index (-30.73%) and the CRSP Cap-Based Portfolio 10 Index (-31.94%). The Fund underperformed the Russell 2000 Index (-25.20%).
The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.
Standardized Returns as of June 30, 2022
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | 15 Years | | | Since
Inception
(7/31/97) | |
| | | | | | |
Ultra-Small Company Market Fund | | | -17.33% | | | | -30.38% | | | | 4.85% | | | | 9.24% | | | | 5.38% | | | | 9.51% | |
Russell Microcap Index | | | -18.96% | | | | -30.73% | | | | 4.55% | | | | 9.04% | | | | 5.16% | | | | N/A | |
CRSP Cap-Based Portfolio 10 Index | | | -16.71% | | | | -31.94% | | | | 7.29% | | | | 9.96% | | | | 6.81% | | | | 10.12% | |
Russell 2000 Index | | | -17.20% | | | | -25.20% | | | | 5.17% | | | | 9.35% | | | | 6.33% | | | | 7.24% | |
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.
Effective October 31, 2021, the Fund changed its broad-based securities market benchmark from the CRSP Cap-Based Portfolio 10 Index to the Russell Microcap Index. Bridgeway Capital Management, the investment adviser for the Fund, believes the Russell Microcap Index is the most appropriate publicly accessible comparison for evaluating the Fund’s performance. The Russell Microcap Index measures the performance of the microcap segment of the US equity market. Microcap stocks make up less than 3% of the US equity market (by market cap) and consist of the smallest 1,000 securities in the small-cap Russell 2000® Index, plus the next 1,000 smallest eligible securities by market cap. The Russell Microcap Index is constructed to provide a comprehensive and unbiased barometer for the microcap segment trading on national exchanges. The Index is completely reconstituted annually to ensure new and growing equities are reflected and companies continue to reflect appropriate capitalization and value characteristics. 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 CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 769 of the smallest publicly traded US stocks with dividends reinvested, as reported by the Center for Research on Security Prices. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
22 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
Growth of a $10,000 Investment
from Inception July 31, 1997 to June 30, 2022
| * | The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date. |
Detailed Explanation of Quarterly Performance
The Fund’s investment universe focuses on the smallest stocks within the US stock market (CRSP 10 universe).
The Fund’s sidestepping strategies, which eliminate exposure to stocks with high probability of a steep price decline, major financial distress or bankruptcy, improved returns relative to the Fund’s investment universe. The Fund’s tilt toward deeper value stocks in the ultra small stock universe also improved relative performance.
From a sector perspective, the Fund’s stock selection effect was positive, with holdings in the Consumer Discretionary, Industrials, and Materials sectors adding the most to relative performance.
The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.
| | | | | | | | | | |
| | | | | | | Annualized |
| CRSP Decile1 | | Quarter | | 1 Year | | 5 Years | | 10 Years | | 96.5 Years |
1 (ultra-large) | | -17.07% | | -13.00% | | 11.97% | | 13.18% | | 9.49% |
2 | | -17.31% | | -15.64% | | 9.32% | | 12.60% | | 10.51% |
3 | | -17.68% | | -22.24% | | 7.61% | | 11.22% | | 10.85% |
4 | | -16.53% | | -23.65% | | 6.14% | | 10.11% | | 10.64% |
5 | | -16.85% | | -22.55% | | 5.98% | | 9.66% | | 11.12% |
6 | | -17.96% | | -30.09% | | 6.05% | | 9.72% | | 11.09% |
7 | | -19.92% | | -29.58% | | 7.87% | | 11.46% | | 11.45% |
8 | | -20.11% | | -34.65% | | 1.84% | | 7.50% | | 10.97% |
9 | | -18.77% | | -30.87% | | 7.56% | | 11.00% | | 11.32% |
10 (ultra-small) | | -16.71% | | -31.94% | | 7.29% | | 9.96% | | 12.97% |
| 1 | Performance figures are as of the period ended June 30, 2022. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US 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. |
| | |
| Ultra-Small Company Market Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
Detailed Explanation of Fiscal Year Performance
The Fund’s investment universe focuses on the smallest stocks within the US stock market (CRSP 10 universe).
The Fund’s sidestepping strategies, which eliminate exposure to stocks with high probability of a steep price decline, major financial distress or bankruptcy, improved returns relative to the fund’s investment universe. In addition, the Fund’s tilt toward deeper value stocks in the ultra-small stock universe helped relative performance.
From a sector perspective, the Fund’s stock selection effect was negative. Holdings in the Health Care sector were the largest detractor from relative performance. However, strong contributions from the Consumer Discretionary, Financials, and Energy sectors reduced this negative impact.
Top Ten Holdings as of June 30, 2022
| | | | | | | | |
| Rank | | Description | | Industry | | % of Net
Assets |
1 | | VAALCO Energy, Inc. | | Energy | | | 0.7 | % |
2 | | CTO Realty Growth, Inc. | | Real Estate | | | 0.7 | % |
3 | | RCM Technologies, Inc. | | Industrials | | | 0.6 | % |
4 | | Gran Tierra Energy, Inc. | | Energy | | | 0.6 | % |
5 | | Amplify Energy Corp. | | Energy | | | 0.6 | % |
6 | | CompX International, Inc. | | Industrials | | | 0.5 | % |
7 | | Manning & Napier, Inc. | | Financials | | | 0.5 | % |
8 | | Consumer Portfolio Services, Inc. | | Financials | | | 0.5 | % |
9 | | Optinose, Inc. | | Health Care | | | 0.5 | % |
10 | | USA Truck, Inc. | | Industrials | | | 0.5 | % |
| | | |
| | Total | | | | | 5.7 | % |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of Russell
Microcap Index | | Difference |
Communication Services | | | 3.6 | % | | | 2.8 | % | | | 0.8 | % |
Consumer Discretionary | | | 10.5 | % | | | 10.2 | % | | | 0.3 | % |
Consumer Staples | | | 4.0 | % | | | 2.7 | % | | | 1.3 | % |
Energy | | | 8.7 | % | | | 4.8 | % | | | 3.9 | % |
Financials | | | 22.6 | % | | | 21.6 | % | | | 1.0 | % |
Health Care | | | 23.7 | % | | | 26.8 | % | | | -3.1 | % |
Industrials | | | 11.9 | % | | | 10.9 | % | | | 1.0 | % |
Information Technology | | | 8.8 | % | | | 11.7 | % | | | -2.9 | % |
Materials | | | 2.8 | % | | | 3.5 | % | | | -0.7 | % |
Real Estate | | | 2.0 | % | | | 4.2 | % | | | -2.2 | % |
Utilities | | | 0.9 | % | | | 0.8 | % | | | 0.1 | % |
Cash & Other Assets | | | 0.5 | % | | | 0.0 | % | | | 0.5 | % |
| | | |
Total | | | 100.0 | % | | | 100.0 | % | | | | |
Important Disclosure
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, 2022, unless otherwise stated. Security
| | |
24 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
MANAGER’S COMMENTARY (Unaudited) (continued)
positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.
The Fund is subject to very high, above-market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources, and greater trading difficulty.
Conclusion
Thank you for your continued investment in Ultra-Small Company Market Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| |
COMMON STOCKS - 99.52% | | | | | |
| |
Communication Services - 3.55% | | | | | |
Arena Group Holdings, Inc. (The)*+ | | | 51,200 | | | $ | 460,800 | | | | | |
Ballantyne Strong, Inc.* | | | 100,000 | | | | 241,000 | | | | | |
Beasley Broadcast Group, Inc., Class A* | | | 49,625 | | | | 63,520 | | | | | |
Chicken Soup For The Soul Entertainment, Inc.*+ | | | 30,000 | | | | 222,300 | | | | | |
Cinedigm Corp., Class A* | | | 400,000 | | | | 196,800 | | | | | |
Cumulus Media, Inc., Class A*+ | | | 88,000 | | | | 680,240 | | | | | |
DHI Group, Inc.* | | | 25,000 | | | | 124,250 | | | | | |
Emerald Holding, Inc.* | | | 165,000 | | | | 671,550 | | | | | |
Fluent, Inc.* | | | 221,100 | | | | 263,109 | | | | | |
Gaia, Inc.* | | | 48,400 | | | | 205,700 | | | | | |
Hemisphere Media Group, Inc.*+ | | | 20,000 | | | | 152,600 | | | | | |
IDW Media Holdings, Inc., Class B* | | | 35,500 | | | | 47,570 | | | | | |
Lee Enterprises, Inc.* | | | 22,000 | | | | 417,780 | | | | | |
Liberty TripAdvisor Holdings, Inc., Class A* | | | 50,000 | | | | 37,830 | | | | | |
Marchex, Inc., Class B* | | | 99,500 | | | | 131,340 | | | | | |
Moving Image Technologies, Inc.* | | | 20,300 | | | | 26,390 | | | | | |
National CineMedia, Inc.+ | | | 200,000 | | | | 183,240 | | | | | |
NII Holdings, Inc., Escrow*Δ# | | | 287,700 | | | | 71,925 | | | | | |
Redbox Entertainment, Inc.*+ | | | 35,000 | | | | 259,000 | | | | | |
Saga Communications, Inc., Class A | | | 22,216 | | | | 552,068 | | | | | |
Salem Media Group, Inc.* | | | 104,000 | | | | 220,480 | | | | | |
Spok Holdings, Inc. | | | 80,416 | | | | 506,621 | | | | | |
Takung Art Co., Ltd.*+ | | | 76,000 | | | | 126,160 | | | | | |
Townsquare Media, Inc., Class A* | | | 52,700 | | | | 431,613 | | | | | |
Travelzoo* | | | 50,443 | | | | 305,684 | | | | | |
Zedge, Inc., Class B* | | | 40,380 | | | | 116,294 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 6,715,864 | | | | | |
| |
Consumer Discretionary - 10.50% | | | | | |
1847 Goedeker, Inc.*+ | | | 300,000 | | | | 366,000 | | | | | |
AMCON Distributing Co. | | | 2,600 | | | | 423,800 | | | | | |
American Outdoor Brands, Inc.* | | | 18,507 | | | | 176,002 | | | | | |
Ark Restaurants Corp. | | | 14,500 | | | | 261,000 | | | | | |
Aspen Group, Inc.* | | | 67,100 | | | | 65,758 | | | | | |
Bassett Furniture Industries, Inc. | | | 25,644 | | | | 464,669 | | | | | |
BBQ Holdings, Inc.* | | | 32,313 | | | | 336,701 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
|
Consumer Discretionary (continued) | |
Build-A-Bear Workshop, Inc. | | | 37,400 | | | $ | 614,108 | |
BurgerFi International, Inc.* | | | 38,588 | | | | 124,639 | |
Canterbury Park Holding Corp. | | | 11,689 | | | | 302,394 | |
Carrols Restaurant Group, Inc.+ | | | 299,700 | | | | 605,394 | |
Cato Corp. (The), Class A | | | 37,373 | | | | 433,901 | |
Culp, Inc. | | | 104,000 | | | | 447,200 | |
Delta Apparel, Inc.* | | | 25,988 | | | | 737,280 | |
Dixie Group, Inc. (The)* | | | 95,000 | | | | 121,600 | |
Drive Shack, Inc.* | | | 300,000 | | | | 411,000 | |
Educational Development Corp. | | | 31,400 | | | | 132,508 | |
Emerson Radio Corp.* | | | 102,100 | | | | 67,794 | |
Envela Corp.*+ | | | 112,400 | | | | 801,412 | |
Escalade, Inc.+ | | | 34,508 | | | | 448,259 | |
Ever-Glory International Group, Inc.* | | | 55,000 | | | | 75,350 | |
Express, Inc.* | | | 235,000 | | | | 460,600 | |
Fiesta Restaurant Group, Inc.* | | | 21,706 | | | | 154,981 | |
Flanigan’s Enterprises, Inc.+ | | | 7,000 | | | | 210,000 | |
Flexsteel Industries, Inc.+ | | | 33,200 | | | | 597,600 | |
Hamilton Beach Brands Holding Co., Class A+ | | | 32,400 | | | | 402,084 | |
Hooker Furnishings Corp. | | | 15,560 | | | | 241,958 | |
Horizon Global Corp.* | | | 124,200 | | | | 202,446 | |
iMedia Brands, Inc.* | | | 130,317 | | | | 157,684 | |
J. Jill, Inc.* | | | 39,200 | | | | 716,968 | |
JAKKS Pacific, Inc.* | | | 53,590 | | | | 678,449 | |
Kandi Technologies Group, Inc.*+ | | | 200,000 | | | | 480,000 | |
Kirkland’s, Inc.*+ | | | 40,000 | | | | 140,800 | |
Lakeland Industries, Inc.* | | | 25,157 | | | | 386,412 | |
Lincoln Educational Services Corp.* | | | 107,805 | | | | 680,250 | |
Lottery.com, Inc.* | | | 199,000 | | | | 222,880 | |
Nathan’s Famous, Inc.+ | | | 9,700 | | | | 568,129 | |
Nautilus, Inc.* | | | 50,000 | | | | 87,500 | |
PARTS iD, Inc.*+ | | | 195,900 | | | | 303,645 | |
PlayAGS, Inc.* | | | 128,300 | | | | 662,028 | |
Potbelly Corp.* | | | 89,600 | | | | 506,240 | |
Red Robin Gourmet Burgers, Inc.* | | | 22,600 | | | | 181,478 | |
StoneMor, Inc.* | | | 110,562 | | | | 378,122 | |
Strattec Security Corp.* | | | 15,700 | | | | 520,455 | |
Superior Industries International, Inc.* | | | 102,500 | | | | 404,875 | |
Sypris Solutions, Inc.*+ | | | 109,404 | | | | 253,817 | |
Tilly’s, Inc., Class A | | | 50,000 | | | | 351,000 | |
| | |
26 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| |
Consumer Discretionary (continued) | | | | | |
| | | |
Unique Fabricating, Inc.* | | | 92,500 | | | $ | 125,800 | | | | | |
Universal Technical Institute, Inc.* | | | 110,200 | | | | 785,726 | | | | | |
Vince Holding Corp.*+ | | | 51,263 | | | | 402,415 | | | | | |
VOXX International Corp.* | | | 36,100 | | | | 336,091 | | | | | |
Weyco Group, Inc.+ | | | 24,500 | | | | 599,025 | | | | | |
Xcel Brands, Inc.* | | | 75,000 | | | | 88,500 | | | | | |
Zovio, Inc.* | | | 184,200 | | | | 178,692 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 19,883,419 | | | | | |
| | | |
Consumer Staples - 4.02% | | | | | | | | | | | | |
Alico, Inc. | | | 24,550 | | | | 874,717 | | | | | |
Better Choice Co., Inc.*+ | | | 191,700 | | | | 421,740 | | | | | |
Blue Apron Holdings, Inc., Class A*+ | | | 119,500 | | | | 434,980 | | | | | |
Bridgford Foods Corp.*+ | | | 21,900 | | | | 288,642 | | | | | |
Farmer Bros Co.* | | | 52,300 | | | | 245,287 | | | | | |
Fresh Vine Wine, Inc.*+ | | | 25,000 | | | | 46,500 | | | | | |
Laird Superfood, Inc.* | | | 33,500 | | | | 63,985 | | | | | |
Landec Corp.* | | | 80,000 | | | | 797,600 | | | | | |
LifeMD, Inc.* | | | 103,206 | | | | 210,540 | | | | | |
Lifeway Foods, Inc.* | | | 72,401 | | | | 359,833 | | | | | |
Limoneira Co.+ | | | 50,000 | | | | 704,500 | | | | | |
Mannatech, Inc. | | | 8,300 | | | | 138,195 | | | | | |
Natural Alternatives International, Inc.* | | | 31,610 | | | | 330,009 | | | | | |
Natural Grocers by Vitamin Cottage, Inc. | | | 34,000 | | | | 542,300 | | | | | |
Oil-Dri Corp. of America | | | 18,600 | | | | 570,090 | | | | | |
Planet Green Holdings Corp.* | | | 83,000 | | | | 65,578 | | | | | |
Rocky Mountain Chocolate Factory, Inc. | | | 36,500 | | | | 251,485 | | | | | |
Splash Beverage Group, Inc.*+ | | | 147,300 | | | | 440,427 | | | | | |
United-Guardian, Inc. | | | 13,466 | | | | 201,855 | | | | | |
Village Super Market, Inc., Class A | | | 23,000 | | | | 524,630 | | | | | |
Zevia PBC, Class A*+ | | | 35,000 | | | | 98,350 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 7,611,243 | | | | | |
| | | |
Energy - 8.74% | | | | | | | | | | | | |
Adams Resources & Energy, Inc. | | | 22,000 | | | | 708,180 | | | | | |
Amplify Energy Corp.* | | | 166,800 | | | | 1,090,872 | | | | | |
Barnwell Industries, Inc.* | | | 60,000 | | | | 141,000 | | | | | |
Battalion Oil Corp.* | | | 56,500 | | | | 481,945 | | | | | |
Camber Energy, Inc.*+ | | | 100,000 | | | | 39,730 | | | | | |
Centrus Energy Corp., Class A*+ | | | 15,000 | | | | 371,250 | | | | | |
Enservco Corp.* | | | 56,093 | | | | 109,942 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| | |
Energy (continued) | | | | | | | | |
Evolution Petroleum Corp. | | | 110,800 | | | $ | 604,968 | |
Exterran Corp.* | | | 193,200 | | | | 830,760 | |
Forum Energy Technologies, Inc.* | | | 32,000 | | | | 627,840 | |
Geospace Technologies Corp.* | | | 80,500 | | | | 381,570 | |
Gran Tierra Energy, Inc.* | | | 950,000 | | | | 1,092,500 | |
Gulf Island Fabrication, Inc.* | | | 81,248 | | | | 272,181 | |
Houston American Energy Corp.*+ | | | 68,000 | | | | 312,120 | |
Independence Contract Drilling, Inc.* | | | 55,000 | | | | 172,150 | |
KLX Energy Services Holdings, Inc.*+ | | | 51,702 | | | | 223,869 | |
Mammoth Energy Services, Inc.* | | | 200,000 | | | | 440,000 | |
Mexco Energy Corp.*+ | | | 8,000 | | | | 137,520 | |
MIND Technology, Inc.* | | | 119,515 | | | | 105,173 | |
NACCO Industries, Inc., Class A | | | 20,570 | | | | 779,603 | |
Natural Gas Services Group, Inc.* | | | 64,076 | | | | 704,836 | |
NCS Multistage Holdings, Inc.* | | | 10,350 | | | | 316,710 | |
New Concept Energy, Inc.*+ | | | 8,400 | | | | 12,936 | |
Newpark Resources, Inc.* | | | 128,700 | | | | 397,683 | |
Nine Energy Service, Inc.* | | | 342,700 | | | | 908,155 | |
Oil States International, Inc.* | | | 71,800 | | | | 389,156 | |
Overseas Shipholding Group, Inc., Class A* | | | 263,096 | | | | 539,347 | |
PEDEVCO Corp.* | | | 220,946 | | | | 254,088 | |
PHX Minerals, Inc. | | | 143,000 | | | | 434,720 | |
Ranger Energy Services, Inc.*+ | | | 24,700 | | | | 250,458 | |
Ring Energy, Inc.*+ | | | 103,650 | | | | 275,709 | |
SandRidge Energy, Inc.* | | | 45,000 | | | | 705,150 | |
SEACOR Marine Holdings, Inc.* | | | 120,805 | | | | 695,837 | |
Smart Sand, Inc.* | | | 140,900 | | | | 281,800 | |
Superior Drilling Products, Inc.* | | | 166,100 | | | | 164,439 | |
VAALCO Energy, Inc.+ | | | 187,200 | | | | 1,299,168 | |
| | | | | | | | |
| | |
| | | | | | | 16,553,365 | |
| | |
Financials - 22.56% | | | | | | | | |
Acacia Research Corp.*+ | | | 115,600 | | | | 582,624 | |
AmeriServ Financial, Inc. | | | 59,171 | | | | 233,134 | |
Ashford, Inc.* | | | 5,000 | | | | 69,842 | |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| | | |
Financials (continued) | | | | | | | | | | | | |
Associated Capital Group, Inc., Class A | | | 10,000 | | | $ | 358,300 | | | | | |
Atlantic American Corp. | | | 116,256 | | | | 310,404 | | | | | |
Auburn National BanCorp, Inc. | | | 7,500 | | | | 202,800 | | | | | |
Bank of Princeton (The) | | | 20,266 | | | | 556,504 | | | | | |
Bank7 Corp. | | | 27,910 | | | | 637,464 | | | | | |
BankFinancial Corp. | | | 65,600 | | | | 615,984 | | | | | |
Bankwell Financial Group, Inc.+ | | | 25,000 | | | | 776,250 | | | | | |
BayCom Corp. | | | 28,500 | | | | 589,380 | | | | | |
BCB Bancorp, Inc. | | | 46,900 | | | | 798,707 | | | | | |
C&F Financial Corp. | | | 11,990 | | | | 551,180 | | | | | |
California BanCorp* | | | 24,700 | | | | 469,547 | | | | | |
Capital Bancorp, Inc. | | | 7,200 | | | | 156,240 | | | | | |
CB Financial Services, Inc. | | | 18,700 | | | | 427,482 | | | | | |
Chemung Financial Corp. | | | 16,298 | | | | 766,006 | | | | | |
Citizens Community Bancorp, Inc. | | | 38,600 | | | | 533,838 | | | | | |
Citizens Holding Co.+ | | | 25,070 | | | | 458,781 | | | | | |
Citizens, Inc.*+ | | | 90,000 | | | | 377,100 | | | | | |
Codorus Valley Bancorp, Inc. | | | 30,137 | | | | 678,384 | | | | | |
Cohen & Co., Inc. | | | 5,000 | | | | 53,799 | | | | | |
Colony Bankcorp, Inc.+ | | | 43,868 | | | | 661,968 | | | | | |
Community West Bancshares | | | 21,657 | | | | 309,912 | | | | | |
Conifer Holdings, Inc.* | | | 43,000 | | | | 71,810 | | | | | |
Consumer Portfolio Services, Inc.* | | | 94,900 | | | | 972,725 | | | | | |
Eagle Bancorp Montana, Inc. | | | 19,521 | | | | 388,663 | | | | | |
Elevate Credit, Inc.* | | | 93,100 | | | | 219,716 | | | | | |
ESSA Bancorp, Inc. | | | 32,143 | | | | 540,002 | | | | | |
Evans Bancorp, Inc. | | | 17,000 | | | | 577,830 | | | | | |
FedNat Holding Co.* | | | 50,000 | | | | 15,500 | | | | | |
FG Financial Group, Inc.*+ | | | 63,000 | | | | 92,610 | | | | | |
Finwise Bancorp* | | | 33,292 | | | | 310,614 | | | | | |
First Business Financial Services, Inc. | | | 30,000 | | | | 935,700 | | | | | |
First Financial Northwest, Inc. | | | 34,770 | | | | 540,326 | | | | | |
First Guaranty Bancshares, Inc.+ | | | 29,856 | | | | 725,799 | | | | | |
First Northwest Bancorp | | | 34,600 | | | | 539,760 | | | | | |
First United Corp. | | | 30,592 | | | | 573,906 | | | | | |
First Western Financial, Inc.* | | | 22,051 | | | | 599,567 | | | | | |
GAMCO Investors, Inc., Class A | | | 38,400 | | | | 802,560 | | | | | |
Greenhill & Co., Inc. | | | 36,800 | | | | 339,296 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| | |
Financials (continued) | | | | | | | | |
Hallmark Financial Services, Inc.* | | | 105,100 | | | $ | 254,342 | |
Hawthorn Bancshares, Inc. | | | 29,951 | | | | 763,450 | |
Heritage Insurance Holdings, Inc. | | | 166,000 | | | | 438,240 | |
HMN Financial, Inc. | | | 23,000 | | | | 530,840 | |
Impac Mortgage Holdings, Inc.* | | | 65,600 | | | | 38,048 | |
Investar Holding Corp. | | | 28,000 | | | | 613,200 | |
Katapult Holdings, Inc.*+ | | | 250,400 | | | | 267,928 | |
Kentucky First Federal Bancorp | | | 16,000 | | | | 127,520 | |
Lake Shore Bancorp, Inc. | | | 27,150 | | | | 380,100 | |
Landmark Bancorp, Inc. | | | 22,815 | | | | 578,132 | |
Magyar Bancorp, Inc. | | | 12,579 | | | | 149,061 | |
Malvern Bancorp, Inc.* | | | 34,800 | | | | 559,236 | |
Manning & Napier, Inc. | | | 78,200 | | | | 975,154 | |
Marygold Cos., Inc. (The)* | | | 46,000 | | | | 64,400 | |
Medallion Financial Corp. | | | 86,744 | | | | 555,162 | |
Meridian Corp. | | | 17,100 | | | | 518,130 | |
National Security Group, Inc. (The) | | | 2,700 | | | | 44,172 | |
Northeast Bank | | | 11,000 | | | | 401,830 | |
Northrim BanCorp, Inc. | | | 17,295 | | | | 696,297 | |
Norwood Financial Corp. | | | 25,512 | | | | 618,921 | |
Ocwen Financial Corp.* | | | 11,100 | | | | 304,140 | |
Ohio Valley Banc Corp. | | | 20,500 | | | | 618,690 | |
OP Bancorp | | | 45,800 | | | | 480,442 | |
Patriot National Bancorp, Inc.* | | | 8,500 | | | | 103,445 | |
PCB Bancorp | | | 17,500 | | | | 326,900 | |
Penns Woods Bancorp, Inc. | | | 31,066 | | | | 717,314 | |
Peoples Bancorp of North Carolina, Inc. | | | 20,830 | | | | 565,743 | |
Ponce Financial Group, Inc.*+ | | | 50,699 | | | | 468,459 | |
Professional Holding Corp., Class A* | | | 31,500 | | | | 631,575 | |
Provident Financial Holdings, Inc. | | | 27,817 | | | | 412,526 | |
Prudential Bancorp, Inc. | | | 38,100 | | | | 576,453 | |
Pzena Investment Management, Inc., Class A | | | 55,600 | | | | 366,404 | |
Randolph Bancorp, Inc. | | | 22,000 | | | | 581,900 | |
Republic First Bancorp, Inc.* | | | 119,100 | | | | 453,771 | |
Riverview Bancorp, Inc. | | | 127,106 | | | | 836,357 | |
Safeguard Scientifics, Inc.* | | | 80,000 | | | | 298,400 | |
Security National Financial Corp., Class A* | | | 94,800 | | | | 802,011 | |
| | |
28 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| | | |
Financials (continued) | | | | | | | | | | | | |
Shore Bancshares, Inc. | | | 5,200 | | | $ | 96,200 | | | | | |
Silvercrest Asset Management Group, Inc., Class A | | | 24,602 | | | | 403,719 | | | | | |
Southern States Bancshares, Inc. | | | 20,000 | | | | 449,800 | | | | | |
Summit State Bank | | | 17,820 | | | | 271,220 | | | | | |
Territorial Bancorp, Inc. | | | 30,307 | | | | 631,901 | | | | | |
Timberland Bancorp, Inc. | | | 31,500 | | | | 787,500 | | | | | |
Unico American Corp.*+ | | | 54,500 | | | | 117,720 | | | | | |
Union Bankshares, Inc. | | | 14,951 | | | | 390,969 | | | | | |
United Bancshares, Inc. | | | 7,700 | | | | 219,142 | | | | | |
United Security Bancshares | | | 15,000 | | | | 114,300 | | | | | |
Unity Bancorp, Inc. | | | 31,812 | | | | 842,382 | | | | | |
USCB Financial Holdings, Inc.*+ | | | 25,000 | | | | 288,500 | | | | | |
Velocity Financial, Inc.* | | | 26,900 | | | | 295,631 | | | | | |
Western New England Bancorp, Inc. | | | 79,744 | | | | 594,890 | | | | | |
Westwood Holdings Group, Inc. | | | 30,000 | | | | 414,000 | | | | | |
WVS Financial Corp. | | | 16,800 | | | | 249,984 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 42,708,565 | | | | | |
| | | |
Health Care - 23.68% | | | | | | | | | | | | |
89bio, Inc.*+ | | | 59,800 | | | | 192,556 | | | | | |
AcelRx Pharmaceuticals, Inc.* | | | 297,400 | | | | 72,655 | | | | | |
Acorda Therapeutics, Inc.* | | | 101,706 | | | | 47,375 | | | | | |
Actinium Pharmaceuticals, Inc.* | | | 86,966 | | | | 418,306 | | | | | |
Acumen Pharmaceuticals, Inc.* | | | 75,400 | | | | 354,380 | | | | | |
ADMA Biologics, Inc.*+ | | | 250,000 | | | | 495,000 | | | | | |
Adverum Biotechnologies, Inc.* | | | 242,000 | | | | 290,400 | | | | | |
Aeglea BioTherapeutics, Inc.* | | | 48,643 | | | | 24,570 | | | | | |
AgeX Therapeutics, Inc.* | | | 165,000 | | | | 95,073 | | | | | |
AIM ImmunoTech, Inc.* | | | 140,000 | | | | 109,200 | | | | | |
Akouos, Inc.* | | | 23,241 | | | | 109,000 | | | | | |
Aligos Therapeutics, Inc.* | | | 57,000 | | | | 68,970 | | | | | |
Allarity Therapeutics, Inc.*+ | | | 20,000 | | | | 26,400 | | | | | |
Alpine Immune Sciences, Inc.*+ | | | 92,811 | | | | 789,822 | | | | | |
American Shared Hospital Services* | | | 33,700 | | | | 74,814 | | | | | |
Ampio Pharmaceuticals, Inc.* | | | 578,000 | | | | 97,104 | | | | | |
Angion Biomedica Corp.* | | | 75,000 | | | | 85,500 | | | | | |
Annovis Bio, Inc.* | | | 22,500 | | | | 255,150 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| | |
Health Care (continued) | | | | | | | | |
Apollo Endosurgery, Inc.* | | | 128,200 | | | $ | 467,930 | |
Applied Genetic Technologies Corp.* | | | 151,075 | | | | 116,328 | |
Applied Therapeutics, Inc.* | | | 50,000 | | | | 47,410 | |
Aprea Therapeutics, Inc.* | | | 45,000 | | | | 33,313 | |
Aptinyx, Inc.* | | | 152,341 | | | | 84,991 | |
Aquestive Therapeutics, Inc.* | | | 198,856 | | | | 127,228 | |
Aravive, Inc.* | | | 20,725 | | | | 20,474 | |
Armata Pharmaceuticals, Inc.*+ | | | 104,682 | | | | 407,213 | |
Assembly Biosciences, Inc.* | | | 165,000 | | | | 346,500 | |
Astria Therapeutics, Inc.* | | | 95,000 | | | | 285,000 | |
Atreca, Inc., Class A*+ | | | 100,000 | | | | 179,000 | |
Avrobio, Inc.* | | | 125,000 | | | | 115,000 | |
Axcella Health, Inc.* | | | 245,009 | | | | 497,368 | |
Ayala Pharmaceuticals, Inc.*+ | | | 78,000 | | | | 85,020 | |
Aziyo Biologics, Inc., Class A*+ | | | 24,900 | | | | 176,043 | |
Biodesix, Inc.*+ | | | 41,800 | | | | 68,552 | |
BiomX, Inc.* | | | 58,700 | | | | 42,851 | |
Biora Therapeutics, Inc.* | | | 432,000 | | | | 302,400 | |
Black Diamond Therapeutics, Inc.*+ | | | 58,000 | | | | 142,680 | |
Bolt Biotherapeutics, Inc.*+ | | | 65,500 | | | | 133,620 | |
Cabaletta Bio, Inc.*+ | | | 157,730 | | | | 167,194 | |
Calithera Biosciences, Inc.* | | | 6,158 | | | | 15,149 | |
Calyxt, Inc.* | | | 40,629 | | | | 9,812 | |
Candel Therapeutics, Inc.* | | | 125,000 | | | | 405,000 | |
CareCloud, Inc.* | | | 87,363 | | | | 299,218 | |
cbdMD, Inc.* | | | 281,900 | | | | 124,092 | |
China Pharma Holdings, Inc.* | | | 195,000 | | | | 41,847 | |
Cidara Therapeutics, Inc.* | | | 240,000 | | | | 117,264 | |
Clarus Therapeutics Holdings, Inc.* | | | 45,000 | | | | 17,194 | |
Clearside Biomedical, Inc.* | | | 212,600 | | | | 312,522 | |
Cogent Biosciences, Inc.* | | | 4,690 | | | | 42,304 | |
Cognition Therapeutics, Inc.* | | | 66,200 | | | | 141,006 | |
Concert Pharmaceuticals, Inc.* | | | 138,100 | | | | 581,401 | |
CorMedix, Inc.*+ | | | 149,400 | | | | 600,588 | |
Corvus Pharmaceuticals, Inc.* | | | 155,700 | | | | 154,159 | |
Cumberland Pharmaceuticals, Inc.* | | | 49,887 | | | | 103,516 | |
CVRx, Inc.*+ | | | 28,595 | | | | 171,856 | |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| | | |
Health Care (continued) | | | | | | | | | | | | |
Cyclerion Therapeutics, Inc.* | | | 107,000 | | | $ | 58,722 | | | | | |
CynergisTek, Inc.* | | | 125,000 | | | | 150,000 | | | | | |
Cyteir Therapeutics, Inc.* | | | 69,584 | | | | 208,056 | | | | | |
Daxor Corp.*+ | | | 9,400 | | | | 123,892 | | | | | |
Decibel Therapeutics, Inc.* | | | 107,282 | | | | 451,657 | | | | | |
Eargo, Inc.*+ | | | 30,000 | | | | 22,557 | | | | | |
Eiger BioPharmaceuticals, Inc.* | | | 30,000 | | | | 189,000 | | | | | |
ElectroCore, Inc.* | | | 70,000 | | | | 35,693 | | | | | |
Electromed, Inc.* | | | 27,000 | | | | 260,280 | | | | | |
Elevation Oncology, Inc.*+ | | | 150,000 | | | | 210,000 | | | | | |
Eliem Therapeutics, Inc.*+ | | | 18,523 | | | | 55,939 | | | | | |
Eloxx Pharmaceuticals, Inc.* | | | 249,400 | | | | 66,640 | | | | | |
Entasis Therapeutics Holdings, Inc.* | | | 132,600 | | | | 291,720 | | | | | |
Enzo Biochem, Inc.* | | | 201,500 | | | | 417,105 | | | | | |
Epizyme, Inc.* | | | 252,500 | | | | 371,175 | | | | | |
Equillium, Inc.* | | | 104,200 | | | | 212,568 | | | | | |
Esperion Therapeutics, Inc.*+ | | | 107,000 | | | | 680,520 | | | | | |
Eton Pharmaceuticals, Inc.*+ | | | 60,000 | | | | 157,200 | | | | | |
Exagen, Inc.*+ | | | 29,400 | | | | 168,756 | | | | | |
EyePoint Pharmaceuticals, Inc.*+ | | | 25,000 | | | | 196,750 | | | | | |
Finch Therapeutics Group, Inc.* | | | 46,374 | | | | 131,702 | | | | | |
Frequency Therapeutics, Inc.* | | | 82,400 | | | | 123,600 | | | | | |
Gain Therapeutics, Inc.*+ | | | 40,000 | | | | 144,000 | | | | | |
Galecto, Inc.* | | | 165,000 | | | | 285,450 | | | | | |
Galera Therapeutics, Inc.* | | | 168,200 | | | | 218,660 | | | | | |
Gelesis Holdings, Inc.*+ | | | 26,000 | | | | 40,300 | | | | | |
Gemini Therapeutics, Inc.* | | | 47,500 | | | | 80,275 | | | | | |
GlycoMimetics, Inc.*+ | | | 150,000 | | | | 89,685 | | | | | |
Graybug Vision, Inc.* | | | 114,000 | | | | 124,260 | | | | | |
Great Elm Group, Inc.* | | | 104,597 | | | | 224,884 | | | | | |
Gritstone bio, Inc.* | | | 23,100 | | | | 55,902 | | | | | |
Harpoon Therapeutics, Inc.* | | | 50,000 | | | | 95,500 | | | | | |
Harrow Health, Inc.* | | | 93,400 | | | | 679,952 | | | | | |
Harvard Bioscience, Inc.* | | | 126,617 | | | | 455,821 | | | | | |
HCW Biologics, Inc.*+ | | | 72,600 | | | | 159,720 | | | | | |
Homology Medicines, Inc.* | | | 90,000 | | | | 177,300 | | | | | |
Hookipa Pharma, Inc.*+ | | | 77,300 | | | | 125,999 | | | | | |
Hyperfine, Inc.*+ | | | 150,000 | | | | 334,500 | | | | | |
Ikena Oncology, Inc.*+ | | | 13,000 | | | | 57,590 | | | | | |
IMARA, Inc.* | | | 66,800 | | | | 81,496 | | | | | |
Immuneering Corp., Class A*+ | | | 34,949 | | | | 189,074 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| | |
Health Care (continued) | | | | | | | | |
Immunic, Inc.*+ | | | 35,000 | | | $ | 121,450 | |
Impel Pharmaceuticals, Inc.*+ | | | 75,000 | | | | 699,000 | |
IN8bio, Inc.* | | | 54,700 | | | | 132,921 | |
Infinity Pharmaceuticals, Inc.* | | | 240,000 | | | | 151,752 | |
InfuSystem Holdings, Inc.* | | | 5,800 | | | | 55,854 | |
Inozyme Pharma, Inc.*+ | | | 84,000 | | | | 400,680 | |
InspireMD, Inc.* | | | 36,667 | | | | 73,334 | |
Invacare Corp.*+ | | | 193,346 | | | | 247,483 | |
IO Biotech, Inc.*+ | | | 75,000 | | | | 350,250 | |
IRIDEX Corp.* | | | 90,400 | | | | 232,328 | |
IsoPlexis Corp.* | | | 17,464 | | | | 37,722 | |
IsoRay, Inc.* | | | 184,000 | | | | 56,856 | |
KemPharm, Inc.*+ | | | 68,943 | | | | 307,486 | |
Kewaunee Scientific Corp.* | | | 13,200 | | | | 218,196 | |
Kezar Life Sciences, Inc.* | | | 27,200 | | | | 224,944 | |
Landos Biopharma, Inc.* | | | 149,000 | | | | 108,457 | |
Lannett Co., Inc.*+ | | | 165,900 | | | | 96,255 | |
Larimar Therapeutics, Inc.*+ | | | 118,799 | | | | 232,846 | |
Leap Therapeutics, Inc.*+ | | | 288,301 | | | | 331,546 | |
LogicBio Therapeutics, Inc.* | | | 69,900 | | | | 25,290 | |
Longboard Pharmaceuticals, Inc.* | | | 70,000 | | | | 216,300 | |
Lucid Diagnostics, Inc.*+ | | | 185,000 | | | | 418,100 | |
Lucira Health, Inc.*+ | | | 73,500 | | | | 136,710 | |
Lumos Pharma, Inc.* | | | 46,744 | | | | 359,929 | |
Lyra Therapeutics, Inc.* | | | 55,000 | | | | 310,750 | |
Magenta Therapeutics, Inc.* | | | 144,500 | | | | 173,400 | |
Marker Therapeutics, Inc.* | | | 242,416 | | | | 79,997 | |
Matinas BioPharma Holdings, Inc.* | | | 726,891 | | | | 574,244 | |
MediciNova, Inc.*+ | | | 190,247 | | | | 481,325 | |
Merrimack Pharmaceuticals, Inc.* | | | 57,500 | | | | 342,125 | |
Milestone Scientific, Inc.* | | | 274,500 | | | | 251,305 | |
Minerva Neurosciences, Inc.*+ | | | 15,436 | | | | 51,093 | |
Minerva Surgical, Inc.*+ | | | 202,200 | | | | 475,170 | |
MiNK Therapeutics, Inc.*+ | | | 35,500 | | | | 50,055 | |
Molecular Templates, Inc.* | | | 110,000 | | | | 100,276 | |
Mustang Bio, Inc.* | | | 256,900 | | | | 150,286 | |
Myomo, Inc.* | | | 56,600 | | | | 95,088 | |
NanoViricides, Inc.*+ | | | 94,039 | | | | 176,793 | |
NantHealth, Inc.* | | | 284,100 | | | | 118,640 | |
Navidea Biopharmaceuticals, Inc.* | | | 102,440 | | | | 73,757 | |
Neuronetics, Inc.*+ | | | 50,305 | | | | 161,479 | |
NeuroPace, Inc.*+ | | | 26,148 | | | | 129,433 | |
| | |
30 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| | | |
Health Care (continued) | | | | | | | | | | | | |
NexImmune, Inc.* | | | 50,000 | | | $ | 80,500 | | | | | |
NextCure, Inc.* | | | 120,000 | | | | 564,000 | | | | | |
NightHawk Biosciences, Inc.* | | | 100,000 | | | | 255,000 | | | | | |
NovaBay Pharmaceuticals, Inc.* | | | 155,000 | | | | 38,750 | | | | | |
NRX Pharmaceuticals, Inc.* | | | 153,700 | | | | 92,220 | | | | | |
Odonate Therapeutics, Inc.* | | | 235,000 | | | | 376,000 | | | | | |
Oncocyte Corp.* | | | 200,000 | | | | 179,940 | | | | | |
Oncorus, Inc.* | | | 83,300 | | | | 104,958 | | | | | |
Ontrak, Inc.*+ | | | 47,800 | | | | 50,668 | | | | | |
Optinose, Inc.*+ | | | 265,000 | | | | 969,900 | | | | | |
Oragenics, Inc.* | | | 140,000 | | | | 48,524 | | | | | |
Otonomy, Inc.* | | | 318,000 | | | | 661,440 | | | | | |
Ovid therapeutics, Inc.*+ | | | 200,000 | | | | 430,000 | | | | | |
Oyster Point Pharma, Inc.* | | | 40,000 | | | | 173,200 | | | | | |
Palatin Technologies, Inc.* | | | 650,000 | | | | 182,390 | | | | | |
Paratek Pharmaceuticals, Inc.*+ | | | 115,000 | | | | 221,950 | | | | | |
PhaseBio Pharmaceuticals, Inc.*+ | | | 120,000 | | | | 71,988 | | | | | |
Pluristem Therapeutics, Inc.* | | | 112,600 | | | | 138,498 | | | | | |
Prelude Therapeutics, Inc.* | | | 46,949 | | | | 245,074 | | | | | |
Protalix BioTherapeutics, Inc.*+ | | | 155,000 | | | | 168,950 | | | | | |
Protara Therapeutics, Inc.* | | | 39,200 | | | | 114,856 | | | | | |
Puma Biotechnology, Inc.* | | | 120,900 | | | | 344,565 | | | | | |
Pyxis Oncology, Inc.*+ | | | 70,295 | | | | 167,302 | | | | | |
Rapid Micro Biosystems, Inc., Class A*+ | | | 28,500 | | | | 122,550 | | | | | |
Regional Health Properties, Inc.* | | | 10,000 | | | | 23,399 | | | | | |
Reneo Pharmaceuticals, Inc.* | | | 70,000 | | | | 185,500 | | | | | |
Renovacor, Inc.* | | | 49,900 | | | | 101,187 | | | | | |
Retractable Technologies, Inc.* | | | 36,700 | | | | 140,561 | | | | | |
SAB Biotherapeutics, Inc.* | | | 84,000 | | | | 121,800 | | | | | |
Satsuma Pharmaceuticals, Inc.* | | | 122,000 | | | | 505,080 | | | | | |
Savara, Inc.* | | | 366,393 | | | | 556,917 | | | | | |
Scopus Biopharma, Inc.* | | | 32,966 | | | | 14,175 | | | | | |
scPharmaceuticals, Inc.* | | | 129,500 | | | | 624,190 | | | | | |
SCYNEXIS, Inc.* | | | 149,000 | | | | 277,140 | | | | | |
Sensei Biotherapeutics, Inc.*+ | | | 37,900 | | | | 86,033 | | | | | |
Sera Prognostics, Inc., Class A* | | | 4,205 | | | | 6,896 | | | | | |
Sesen Bio, Inc.* | | | 250,000 | | | | 202,600 | | | | | |
Shattuck Labs, Inc.* | | | 38,400 | | | | 155,904 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| | |
Health Care (continued) | | | | | | | | |
Sientra, Inc.*+ | | | 102,000 | | | $ | 85,445 | |
Sigilon Therapeutics, Inc.* | | | 150,000 | | | | 124,500 | |
Silverback Therapeutics, Inc.* | | | 59,500 | | | | 252,280 | |
Sio Gene Therapies, Inc.* | | | 139,800 | | | | 50,356 | |
Solid Biosciences, Inc.* | | | 280,500 | | | | 172,676 | |
Sonendo, Inc.*+ | | | 156,500 | | | | 269,180 | |
Sonida Senior Living, Inc.* | | | 10,615 | | | | 222,915 | |
Spruce Biosciences, Inc.*+ | | | 60,000 | | | | 104,400 | |
SQZ Biotechnologies Co.* | | | 37,400 | | | | 118,932 | |
Star Equity Holdings, Inc.*+ | | | 110,390 | | | | 102,663 | |
Summit Therapeutics, Inc.*+ | | | 76,500 | | | | 76,500 | |
SunLink Health Systems, Inc.* | | | 40,000 | | | | 40,008 | |
Surface Oncology, Inc.* | | | 100,000 | | | | 164,000 | |
Surgalign Holdings, Inc.* | | | 25,000 | | | | 85,250 | |
Synlogic, Inc.* | | | 216,900 | | | | 249,435 | |
Syros Pharmaceuticals, Inc.* | | | 86,700 | | | | 83,466 | |
T2 Biosystems, Inc.* | | | 250,000 | | | | 40,375 | |
Talkspace, Inc.* | | | 250,000 | | | | 425,000 | |
Taysha Gene Therapies, Inc.* | | | 65,209 | | | | 242,577 | |
TCR2 Therapeutics, Inc.* | | | 98,400 | | | | 285,360 | |
Tela Bio, Inc.*+ | | | 75,000 | | | | 533,250 | |
Terns Pharmaceuticals, Inc.* | | | 42,000 | | | | 104,160 | |
TFF Pharmaceuticals, Inc.* | | | 77,000 | | | | 435,050 | |
Tonix Pharmaceuticals Holding Corp.*+ | | | 30,000 | | | | 47,400 | |
Trevi Therapeutics, Inc.*+ | | | 90,000 | | | | 252,900 | |
Tricida, Inc.*+ | | | 78,329 | | | | 758,225 | |
TScan Therapeutics, Inc.*+ | | | 115,000 | | | | 361,675 | |
UNITY Biotechnology, Inc.* | | | 191,450 | | | | 107,882 | |
Venus Concept, Inc.* | | | 208,644 | | | | 96,769 | |
Verrica Pharmaceuticals, Inc.*+ | | | 24,550 | | | | 47,136 | |
Vigil Neuroscience, Inc.* | | | 5,064 | | | | 13,065 | |
Viracta Therapeutics, Inc.* | | | 70,000 | | | | 271,600 | |
VolitionRX, Ltd.*+ | | | 235,000 | | | | 481,750 | |
Vor BioPharma, Inc.* | | | 64,200 | | | | 319,074 | |
Voyager Therapeutics, Inc.* | | | 80,481 | | | | 475,643 | |
Werewolf Therapeutics, Inc.*+ | | | 36,211 | | | | 148,103 | |
Xeris Biopharma Holdings, Inc.* | | | 133,351 | | | | 205,361 | |
Xilio Therapeutics, Inc.*+ | | | 9,081 | | | | 26,517 | |
Xtant Medical Holdings, Inc.* | | | 278,400 | | | | 144,629 | |
| | |
| Ultra-Small Company Market Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| |
Common Stocks (continued) | | | | | |
| |
Health Care (continued) | | | | | |
Zynerba Pharmaceuticals, Inc.* | | | 152,200 | | | $ | 173,508 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 44,827,743 | | | | | |
| |
Industrials - 11.94% | | | | | |
Acme United Corp. | | | 14,035 | | | | 444,489 | | | | | |
AgEagle Aerial Systems, Inc.*+ | | | 200,000 | | | | 129,220 | | | | | |
Air Industries Group* | | | 90,000 | | | | 63,000 | | | | | |
Air T, Inc.* | | | 17,250 | | | | 283,935 | | | | | |
Alpha Pro Tech, Ltd.* | | | 52,900 | | | | 235,934 | | | | | |
ARC Document Solutions, Inc. | | | 167,400 | | | | 440,262 | | | | | |
Avalon Holdings Corp., Class A* | | | 3,900 | | | | 10,140 | | | | | |
BGSF, Inc. | | | 43,800 | | | | 541,368 | | | | | |
BlackSky Technology, Inc.*+ | | | 225,000 | | | | 519,750 | | | | | |
Bowman Consulting Group, Ltd.* | | | 30,000 | | | | 370,200 | | | | | |
CECO Environmental Corp.* | | | 83,300 | | | | 498,134 | | | | | |
Charah Solutions, Inc.* | | | 115,000 | | | | 430,100 | | | | | |
Chicago Rivet & Machine Co. | | | 8,000 | | | | 227,920 | | | | | |
Commercial Vehicle Group, Inc.* | | | 26,400 | | | | 154,176 | | | | | |
CompX International, Inc. | | | 44,200 | | | | 1,024,998 | | | | | |
CPI Aerostructures, Inc.* | | | 73,500 | | | | 124,215 | | | | | |
Eastern Co. (The) | | | 21,200 | | | | 431,208 | | | | | |
Espey Mfg. & Electronics Corp.*+ | | | 16,108 | | | | 229,378 | | | | | |
Fast Radius, Inc.* | | | 215,000 | | | | 135,364 | | | | | |
FreightCar America, Inc.* | | | 82,000 | | | | 298,480 | | | | | |
GEE Group, Inc.* | | | 77,600 | | | | 40,507 | | | | | |
Gencor Industries, Inc.* | | | 44,700 | | | | 454,152 | | | | | |
Graham Corp. | | | 43,000 | | | | 297,560 | | | | | |
Hill International, Inc.* | | | 131,958 | | | | 221,690 | | | | | |
Hudson Global, Inc.* | | | 10,942 | | | | 343,579 | | | | | |
Hurco Cos., Inc. | | | 23,000 | | | | 569,020 | | | | | |
India Globalization Capital, Inc.* | | | 139,000 | | | | 73,670 | | | | | |
INNOVATE Corp.*+ | | | 191,392 | | | | 331,108 | | | | | |
Innovative Solutions & Support, Inc.* | | | 80,400 | | | | 578,880 | | | | | |
Knightscope, Inc., Class A*+ | | | 75,000 | | | | 225,000 | | | | | |
KULR Technology Group, Inc.* | | | 255,000 | | | | 395,250 | | | | | |
L B Foster Co., Class A* | | | 41,700 | | | | 536,679 | | | | | |
LS Starrett Co. (The), Class A* | | | 36,400 | | | | 255,528 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
|
Industrials (continued) | |
LSI Industries, Inc. | | | 113,000 | | | $ | 697,210 | |
Mastech Digital, Inc.* | | | 40,400 | | | | 600,344 | |
Matrix Service Co.* | | | 59,700 | | | | 302,082 | |
Mayville Engineering Co., Inc.* | | | 15,258 | | | | 118,097 | |
Mega Matrix Corp. | | | 108,000 | | | | 146,880 | |
Mesa Air Group, Inc.* | | | 120,600 | | | | 264,114 | |
Mistras Group, Inc.* | | | 91,200 | | | | 541,728 | |
Momentus, Inc.*+ | | | 268,500 | | | | 579,960 | |
NN, Inc.* | | | 132,000 | | | | 333,960 | |
Orion Group Holdings, Inc.* | | | 132,100 | | | | 301,188 | |
P&F Industries, Inc., Class A* | | | 10,500 | | | | 59,640 | |
Park Aerospace Corp. | | | 60,000 | | | | 765,600 | |
Patriot Transportation Holding, Inc. | | | 7,471 | | | | 55,584 | |
Performant Financial Corp.* | | | 278,300 | | | | 731,929 | |
Perma-Pipe International Holdings, Inc.* | | | 71,600 | | | | 644,400 | |
Pineapple Energy, Inc.+ | | | 14,504 | | | | 33,939 | |
Quad/Graphics, Inc.*+ | | | 141,169 | | | | 388,215 | |
RCM Technologies, Inc.* | | | 57,942 | | | | 1,172,746 | |
Servotronics, Inc.* | | | 16,653 | | | | 187,346 | |
Shapeways Holdings, Inc.*+ | | | 153,289 | | | | 179,348 | |
SIFCO Industries, Inc.* | | | 26,024 | | | | 80,674 | |
Team, Inc.* | | | 153,800 | | | | 114,320 | |
Twin Disc, Inc.* | | | 58,100 | | | | 526,386 | |
Ultralife Corp.* | | | 72,400 | | | | 329,420 | |
US Xpress Enterprises, Inc., Class A*+ | | | 75,000 | | | | 201,000 | |
USA Truck, Inc.* | | | 30,800 | | | | 967,736 | |
Virco Mfg. Corp.* | | | 25,800 | | | | 99,330 | |
Westwater Resources, Inc.* | | | 123,700 | | | | 133,596 | |
Williams Industrial Services Group, Inc.* | | | 88,300 | | | | 122,737 | |
Willis Lease Finance Corp.*+ | | | 23,100 | | | | 865,788 | |
Yellow Corp.* | | | 45,655 | | | | 133,769 | |
| | | | | | | | |
| | |
| | | | | | | 22,593,960 | |
|
Information Technology - 8.84% | |
ADDvantage Technologies Group, Inc.* | | | 75,000 | | | | 93,750 | |
Airspan Networks Holdings, Inc.*+ | | | 174,600 | | | | 522,054 | |
ALJ Regional Holdings, Inc.* | | | 202,000 | | | | 389,860 | |
Amtech Systems, Inc.* | | | 84,000 | | | | 613,200 | |
| | |
32 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| |
Information Technology (continued) | | | | | |
Applied Optoelectronics, Inc.*+ | | | 121,500 | | | $ | 188,325 | | | | | |
AstroNova, Inc.* | | | 37,700 | | | | 451,646 | | | | | |
Aware, Inc.* | | | 74,579 | | | | 177,498 | | | | | |
Backblaze, Inc., Class A* | | | 27,500 | | | | 143,825 | | | | | |
Bel Fuse, Inc., Class B | | | 40,400 | | | | 628,624 | | | | | |
BK Technologies Corp. | | | 85,717 | | | | 227,150 | | | | | |
Blonder Tongue Laboratories, Inc.* | | | 90,000 | | | | 14,400 | | | | | |
BM Technologies, Inc.*+ | | | 81,636 | | | | 480,836 | | | | | |
CalAmp Corp.*+ | | | 50,000 | | | | 208,500 | | | | | |
Computer Task Group, Inc.* | | | 62,100 | | | | 531,576 | | | | | |
CoreCard Corp.*+ | | | 4,037 | | | | 98,543 | | | | | |
CSP, Inc.* | | | 45,000 | | | | 409,500 | | | | | |
Daktronics, Inc.* | | | 122,855 | | | | 369,794 | | | | | |
eMagin Corp.* | | | 251,000 | | | | 163,150 | | | | | |
EMCORE Corp.* | | | 63,873 | | | | 196,090 | | | | | |
Everspin Technologies, Inc.* | | | 68,000 | | | | 356,320 | | | | | |
Frequency Electronics, Inc.* | | | 45,000 | | | | 328,500 | | | | | |
Greenidge Generation Holdings, Inc.*+ | | | 60,000 | | | | 152,400 | | | | | |
GSI Technology, Inc.* | | | 101,417 | | | | 349,889 | | | | | |
Immersion Corp.*+ | | | 98,000 | | | | 523,320 | | | | | |
Information Services Group, Inc. | | | 18,900 | | | | 127,764 | | | | | |
Innodata, Inc.* | | | 133,955 | | | | 648,342 | | | | | |
Intellicheck, Inc.* | | | 160,300 | | | | 323,806 | | | | | |
inTEST Corp.* | | | 27,401 | | | | 186,875 | | | | | |
Intevac, Inc.* | | | 87,400 | | | | 423,016 | | | | | |
Inuvo, Inc.* | | | 306,000 | | | | 151,470 | | | | | |
Issuer Direct Corp.* | | | 16,500 | | | | 420,090 | | | | | |
Kaleyra, Inc.*+ | | | 185,900 | | | | 379,236 | | | | | |
Key Tronic Corp.* | | | 32,400 | | | | 142,884 | | | | | |
KVH Industries, Inc.* | | | 55,774 | | | | 485,234 | | | | | |
LGL Group, Inc. (The)* | | | 29,200 | | | | 379,016 | | | | | |
Marin Software, Inc.*+ | | | 60,000 | | | | 99,000 | | | | | |
Network-1 Technologies, Inc. | | | 134,000 | | | | 321,600 | | | | | |
Optical Cable Corp.* | | | 27,600 | | | | 99,636 | | | | | |
PCTEL, Inc. | | | 73,800 | | | | 301,842 | | | | | |
Pixelworks, Inc.* | | | 123,100 | | | | 235,121 | | | | | |
Powerfleet, Inc.* | | | 122,000 | | | | 264,740 | | | | | |
Quanergy Systems, Inc.* | | | 160,000 | | | | 65,600 | | | | | |
RealNetworks, Inc.* | | | 216,900 | | | | 136,864 | | | | | |
RF Industries, Ltd.* | | | 43,230 | | | | 268,026 | | | | | |
Richardson Electronics, Ltd. | | | 50,311 | | | | 737,559 | | | | | |
SecureWorks Corp., Class A* | | | 9,400 | | | | 102,084 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
|
Information Technology (continued) | |
ServiceSource International, Inc.* | | | 250,817 | | | $ | 368,701 | |
SRAX, Inc.* | | | 50,000 | | | | 166,000 | |
StarTek, Inc.* | | | 76,762 | | | | 221,842 | |
Synchronoss Technologies, Inc.* | | | 203,100 | | | | 233,565 | |
TESSCO Technologies, Inc.* | | | 45,000 | | | | 265,950 | |
TransAct Technologies, Inc.* | | | 49,623 | | | | 200,477 | |
Trio-Tech International* | | | 26,800 | | | | 116,044 | |
Universal Security Instruments, Inc.* | | | 6,000 | | | | 21,720 | |
Usio, Inc.* | | | 130,000 | | | | 315,900 | |
VirnetX Holding Corp.* | | | 76,300 | | | | 89,271 | |
Wayside Technology Group, Inc. | | | 16,800 | | | | 558,432 | |
WidePoint Corp.* | | | 73,728 | | | | 176,210 | |
Wireless Telecom Group, Inc.* | | | 64,666 | | | | 85,359 | |
| | | | | | | | |
| | |
| | | | | | | 16,738,026 | |
|
Materials - 2.76% | |
Advanced Emissions | | | | | | | | |
Solutions, Inc.* | | | 89,000 | | | | 417,410 | |
AgroFresh Solutions, Inc.* | | | 204,300 | | | | 365,697 | |
Ampco-Pittsburgh Corp.* | | | 62,000 | | | | 239,940 | |
Comstock, Inc.* | | | 229,000 | | | | 141,980 | |
Core Molding Technologies, Inc.* | | | 24,400 | | | | 224,236 | |
Flexible Solutions International, Inc.* | | | 45,707 | | | | 111,982 | |
Flotek Industries, Inc.* | | | 292,300 | | | | 289,962 | |
Friedman Industries, Inc. | | | 42,200 | | | | 343,508 | |
Gold Resource Corp. | | | 304,300 | | | | 496,009 | |
Golden Minerals Co.* | | | 450,000 | | | | 160,785 | |
Gulf Resources, Inc.* | | | 67,360 | | | | 313,224 | |
Northern Technologies International Corp. | | | 27,900 | | | | 260,865 | |
Olympic Steel, Inc. | | | 18,300 | | | | 471,225 | |
Paramount Gold Nevada Corp.* | | | 150,000 | | | | 66,000 | |
Ramaco Resources, Inc. | | | 27,000 | | | | 355,050 | |
Solitario Zinc Corp.* | | | 205,000 | | | | 116,850 | |
Synalloy Corp.* | | | 26,838 | | | | 377,342 | |
United States Antimony Corp.* | | | 245,500 | | | | 99,158 | |
Universal Stainless & Alloy Products, Inc.* | | | 49,558 | | | | 366,729 | |
| | | | | | | | |
| | |
| | | | | | | 5,217,952 | |
| | |
| Ultra-Small Company Market Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| |
Common Stocks (continued) | | | | | |
| |
Real Estate - 2.01% | | | | | |
American Realty Investors, Inc.* | | | 17,197 | | | $ | 244,025 | | | | | |
AMREP Corp.* | | | 35,800 | | | | 401,676 | | | | | |
CTO Realty Growth, Inc.+ | | | 20,600 | | | | 1,259,072 | | | | | |
Maui Land & Pineapple Co., Inc.* | | | 81,500 | | | | 771,805 | | | | | |
Rafael Holdings, Inc., Class B*+ | | | 51,656 | | | | 96,597 | | | | | |
Stratus Properties, Inc.* | | | 24,250 | | | | 781,456 | | | | | |
Transcontinental Realty Investors, Inc.* | | | 2,800 | | | | 111,412 | | | | | |
Trinity Place Holdings, Inc.* | | | 131,800 | | | | 133,118 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 3,799,161 | | | | | |
| |
Utilities - 0.92% | | | | | |
Cadiz, Inc.*+ | | | 110,900 | | | | 258,397 | | | | | |
Genie Energy, Ltd., Class B | | | 89,100 | | | | 816,156 | | | | | |
RGC Resources, Inc.+ | | | 35,000 | | | | 667,450 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 1,742,003 | | | | | |
| | | | | | | | | | | | |
| | |
TOTAL COMMON STOCKS - 99.52% | | | | 188,391,301 | | | | | |
| | | | | | | | | | | | |
(Cost $210,043,603) | | | | | | | | | | | | |
| |
RIGHTS - 0.00% | | | | | |
Adamas Pharmaceuticals, Inc., CVR*Δ#+++ | | | 110,000 | | | | – | | | | | |
Adamas Pharmaceuticals, Inc., CVR*Δ#+++ | | | 110,000 | | | | – | | | | | |
Cogent Biosciences, Inc., CVR, expiring 12/31/49*Δ# | | | 160,000 | | | | – | | | | | |
OncoMed Pharmaceuticals, Inc., CVR, expiring 12/31/49*Δ# | | | 125,000 | | | | – | | | | | |
Pineapple Holdings, Inc., CVR*Δ#+++ | | | 14,504 | | | | – | | | | | |
ZAGG, Inc., CVR, expiring 12/31/99*Δ# | | | 65,000 | | | | – | | | | | |
| | | | | | | | | | | | |
| | | |
TOTAL RIGHTS - 0.00% | | | | | | | – | | | | | |
| | | | | | | | | | | | |
(Cost $29,976) | | | | | | | | | | | | |
| |
WARRANTS - 0.01% | | | | | |
LGL Group, Inc. (The), expiring 11/16/25* | | | 29,200 | | | | 13,671 | | | | | |
| | | | | | | | | | | | |
| | | |
TOTAL WARRANTS - 0.01% | | | | | | | 13,671 | | | | | |
| | | | | | | | | | | | |
(Cost $14,873) | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Rate^ | | | Shares | | | Value | |
|
MONEY MARKET FUND - 0.90% | |
| | | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21 | % | | | 1,697,866 | | | $ | 1,697,866 | |
| | | | | | | | | | | | |
| |
TOTAL MONEY MARKET FUND - 0.90%
| | | | 1,697,866 | |
| | | | | | | | | | | | |
(Cost $1,697,866) | | | | | | | | | | | | |
|
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 11.36% | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46 | % | | | 21,512,037 | | | | 21,512,037 | |
| | | | | | | | | | | | |
| |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 11.36%
| | | | 21,512,037 | |
| | | | | | | | | | | | |
(Cost $21,512,037) | | | | | | | | | | | | |
| |
TOTAL INVESTMENTS - 111.79%
| | | $ | 211,614,875 | |
(Cost $233,298,355) | | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets - (11.79%) | | | | (22,311,139) | |
| | | | | | | | | | | | |
| |
NET ASSETS - 100.00% | | | $ | 189,303,736 | |
| | | | | | | | | | | | |
| # | Illiquid security as determined under procedures approved by the Board of Directors. The aggregate value of illiquid securities is $71,925, which is 0.04% of total net assets. |
| * | Non-income producing security. |
| ** | This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. |
| ^ | Rate disclosed as of June 30, 2022. |
| Δ | Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy. |
| + | This security or a portion of the security is out on loan at June 30, 2022. Total loaned securities had a value of $21,502,560, which included loaned securities with a value of $91,781 that have been sold and are pending settlement as of June 30, 2022. The total market value of loaned securities excluding these pending sales is $21,410,779. See Note 2 for disclosure of cash and non-cash collateral. |
| +++No | stated maturity date. |
| CVR | - Contingent Value Right |
| LLC | - Limited Liability Company |
| | |
34 | | Annual Report | June 30, 2022 |
| | |
| Ultra-Small Company Market Fund | | |
SCHEDULE OF INVESTMENTS (continued)
Summary of inputs used to value the Fund’s investments as of 6/30/2022:
| | | | | | | | | | | | | | | | |
| | | Valuation Inputs | |
| | | Investment in Securities (Value) | |
| | | | | | Level 2 | | | Level 3 | | | | |
| | | Level 1 | | | Significant | | | Significant | | | | |
| | | Quoted | | | Observable | | | Unobservable | | | | |
| | | Prices | | | Inputs | | | Inputs | | | Total | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | | $6,643,939 | | | | $– | | | | $71,925 | | | | $6,715,864 | |
Other Industries (a) | | | 181,675,437 | | | | – | | | | – | | | | 181,675,437 | |
| | | | | | | | | | | | | | | | |
Total Common Stocks | | | 188,319,376 | | | | – | | | | 71,925 | | | | 188,391,301 | |
Rights | | | – | | | | – | | | | 0 | | | | 0 | |
Warrants | | | – | | | | 13,671 | | | | – | | | | 13,671 | |
Money Market Fund | | | 1,697,866 | | | | – | | | | – | | | | 1,697,866 | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 21,512,037 | | | | – | | | | – | | | | 21,512,037 | |
| | | | | | | | | | | | | | | | |
| | | | |
TOTAL | | | $211,529,279 | | | | $13,671 | | | | $71,925 | | | | $211,614,875 | |
| | | | | | | | | | | | | | | | |
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | | | | | | | | | |
| Investment in Securities (Value) | |
| | | Common Stocks | | | Rights | | | Total | |
| | | |
Balance as of 06/30/2021 | | $ | 615,678 | | | $ | 19,500 | | | $ | 635,178 | |
Purchases/Issuances | | | – | | | | 0 | | | | – | |
Sales/Expirations | | | – | | | | – | | | | – | |
Return of Capital | | | – | | | | – | | | | – | |
Realized Gain/(Loss) | | | – | | | | – | | | | – | |
Change in unrealized Appreciation/(Depreciation) | | | (543,753) | | | | (19,500) | | | | (563,253) | |
Transfers in | | | – | | | | – | | | | – | |
Transfers out | | | – | | | | – | | | | – | |
| | | | |
Balance as of 06/30/2022 | | $ | 71,925 | | | $ | 0 | | | $ | 71,925 | |
| | | | |
Net change in unrealized Appreciation/(Depreciation) from investments held as of 06/30/2022 | | $ | (543,753) | | | $ | (19,500) | | | $ | (563,253) | |
| | | | |
See Notes to Financial Statements.
| | |
| Small-Cap Value Fund | | |
| MANAGER’S COMMENTARY (Unaudited) | | |
| | |
June 30, 2022
Dear Fellow Small-Cap Value Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -13.85%, outperforming our primary market benchmark, the Russell 2000 Value Index (-15.28%). It was a poor quarter on an absolute basis, but a good one on a relative basis.
For the fiscal year, our Fund returned -5.81%, outperforming the Russell 2000 Value Index (-16.28%).
The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.
Standardized Returns as of June 30, 2022
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | 15 Years | | | Since Inception (10/31/03) | |
| | | | | | |
Small-Cap Value Fund | | | -13.85% | | | | -5.81% | | | | 11.82% | | | | 12.05% | | | | 6.44% | | | | 8.74% | |
Russell 2000 Value Index | | | -15.28% | | | | -16.28% | | | | 4.89% | | | | 9.05% | | | | 5.58% | | | | 7.69% | |
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. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
36 | | Annual Report | June 30, 2022 |
| | |
| Small-Cap Value Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Growth of a $10,000 Investment
from Inception October 31, 2003 to June 30, 2022
Detailed Explanation of Quarterly Performance
The Fund’s primary value metrics models outperformed the benchmark during the quarter, adding to relative results. However, the Fund’s diversifying quality and sentiment models lagged the benchmark, offsetting some of this positive impact. The Fund’s tilt toward deeper value stocks across multiple valuation metrics and its tilt toward smaller stocks in the small-cap value universe detracted from relative performance during the quarter.
From a sector perspective, the Fund’s allocation effect was positive. Overweightings in the Energy and Consumer Staples sectors added the most to relative results. The Fund’s stock selection effect was also positive, with holdings in the Energy, Communication Services, and Utilities sectors adding the most to relative performance.
Detailed Explanation of Fiscal Year Performance
All three of the Fund’s model categories outperformed the benchmark during the 12-month period and added to relative results. The Fund’s tilt toward deeper value stocks across multiple valuation metrics boosted relative returns. However, its tilt toward smaller stocks in the small-cap value universe detracted from relative performance.
From a sector perspective, the Fund’s allocation effect was positive. Overweightings in the Energy and Consumer Staples sectors and an underweighting in the Communication Services sector added the most to relative results. The Fund’s stock selection effect was significantly positive, most notably driven by holdings in the Communication Services, Energy, Materials, and Industrials sectors.
| | |
| Small-Cap Value Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Top Ten Holdings as of June 30, 2022
| | | | | | | | |
| Rank | | Description | | Industry | | % of Net Assets |
1 | | ArcBest Corp. | | Industrials | | | 2.0 | % |
2 | | Group 1 Automotive, Inc. | | Consumer Discretionary | | | 2.0 | % |
3 | | Cross Country Healthcare, Inc. | | Health Care | | | 1.8 | % |
4 | | Prestige Consumer Healthcare, Inc. | | Health Care | | | 1.8 | % |
5 | | Hanmi Financial Corp. | | Financials | | | 1.8 | % |
6 | | Berkshire Hills Bancorp, Inc. | | Financials | | | 1.8 | % |
7 | | AMERISAFE, Inc. | | Financials | | | 1.8 | % |
8 | | Independence Realty Trust, Inc. | | Real Estate | | | 1.8 | % |
9 | | Academy Sports & Outdoors, Inc. | | Consumer Discretionary | | | 1.7 | % |
10 | | Laureate Education, Inc. | | Consumer Discretionary | | | 1.7 | % |
| | | |
| | Total | | | | | 18.2 | % |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of Russell 2000 Value Index | | Difference |
Communication Services | | | 5.4 | % | | | 3.3 | % | | | 2.1 | % |
Consumer Discretionary | | | 10.9 | % | | | 9.6 | % | | | 1.3 | % |
Consumer Staples | | | 5.5 | % | | | 2.9 | % | | | 2.6 | % |
Energy | | | 8.9 | % | | | 5.0 | % | | | 3.9 | % |
Financials | | | 27.3 | % | | | 28.3 | % | | | -1.0 | % |
Health Care | | | 6.7 | % | | | 11.0 | % | | | -4.3 | % |
Industrials | | | 11.1 | % | | | 12.7 | % | | | -1.6 | % |
Information Technology | | | 3.8 | % | | | 6.1 | % | | | -2.3 | % |
Materials | | | 7.1 | % | | | 3.9 | % | | | 3.2 | % |
Real Estate | | | 12.2 | % | | | 11.9 | % | | | 0.3 | % |
Utilities | | | 2.2 | % | | | 5.3 | % | | | -3.1 | % |
Liabilities in Excess of Other Assets | | | -1.1 | % | | | 0.0 | % | | | -1.1 | % |
| | | |
Total | | | 100.0 | % | | | 100.0 | % | | | | |
Important Disclosure
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, 2022, 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.
| | |
38 | | Annual Report | June 30, 2022 |
| | |
| Small-Cap Value Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Conclusion
Thank you for your continued investment in Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
| | |
| Small-Cap Value Fund | | |
| SCHEDULE OF INVESTMENTS | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | | | | | | | | | | |
| |
COMMON STOCKS - 101.05% | |
| |
Communication Services - 5.37% | |
Gray Television, Inc.+ | | | 258,200 | | | $ | 4,360,998 | | | | | |
TEGNA, Inc. | | | 341,000 | | | | 7,150,770 | | | | | |
Telephone and Data Systems, Inc.+ | | | 268,600 | | | | 4,241,194 | | | | | |
WideOpenWest, Inc.* | | | 382,100 | | | | 6,958,041 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 22,711,003 | | | | | |
| |
Consumer Discretionary - 10.92% | |
Academy Sports & Outdoors, Inc.+ | | | 206,200 | | | | 7,328,348 | | | | | |
American Axle & Manufacturing Holdings, Inc.*+ | | | 21,900 | | | | 164,907 | | | | | |
Beazer Homes USA, Inc.* | | | 454,400 | | | | 5,484,608 | | | | | |
Chico’s FAS, Inc.* | | | 446,939 | | | | 2,221,287 | | | | | |
Ethan Allen Interiors, Inc.+ | | | 131,100 | | | | 2,649,531 | | | | | |
Group 1 Automotive, Inc.+ | | | 48,200 | | | | 8,184,360 | | | | | |
iRobot Corp.*+ | | | 3,900 | | | | 143,325 | | | | | |
Laureate Education, Inc.+ | | | 622,100 | | | | 7,197,697 | | | | | |
Lazydays Holdings, Inc.*+ | | | 263,419 | | | | 3,103,076 | | | | | |
MarineMax, Inc.*+ | | | 3,800 | | | | 137,256 | | | | | |
Meritage Homes Corp.* | | | 800 | | | | 58,000 | | | | | |
Signet Jewelers, Ltd.+ | | | 55,000 | | | | 2,940,300 | | | | | |
TravelCenters of America, Inc.*+ | | | 190,441 | | | | 6,564,501 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 46,177,196 | | | | | |
| |
Consumer Staples - 5.49% | |
elf Beauty, Inc.*+ | | | 19,200 | | | | 589,056 | | | | | |
Ingles Markets, Inc., Class A | | | 49,600 | | | | 4,302,800 | | | | | |
John B Sanfilippo & Son, Inc. | | | 26,300 | | | | 1,906,487 | | | | | |
Rite Aid Corp.*+ | | | 509,300 | | | | 3,432,682 | | | | | |
SpartanNash Co. | | | 223,700 | | | | 6,749,029 | | | | | |
Sprouts Farmers Market, Inc.*+ | | | 70,000 | | | | 1,772,400 | | | | | |
United Natural Foods, Inc.* | | | 102,300 | | | | 4,030,620 | | | | | |
WD-40 Co.+ | | | 2,200 | | | | 442,992 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 23,226,066 | | | | | |
| |
Energy - 8.96% | |
CONSOL Energy, Inc.* | | | 98,000 | | | | 4,839,240 | | | | | |
Delek US Holdings, Inc.* | | | 47,140 | | | | 1,218,097 | | | | | |
DHT Holdings, Inc.+ | | | 659,800 | | | | 4,044,574 | | | | | |
International Seaways, Inc.+ | | | 275,400 | | | | 5,838,480 | | | | | |
Nabors Industries, Ltd.* | | | 36,800 | | | | 4,927,520 | | | | | |
ProPetro Holding Corp.* | | | 257,000 | | | | 2,570,000 | | | | | |
Ranger Oil Corp., Class A* | | | 96,600 | | | | 3,175,242 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
|
Energy (continued) | |
SM Energy Co. | | | 94,900 | | | $ | 3,244,631 | |
Teekay Tankers, Ltd., Class A* | | | 285,738 | | | | 5,037,561 | |
Ur-Energy, Inc.* | | | 957,196 | | | | 1,014,628 | |
Whiting Petroleum Corp. | | | 28,600 | | | | 1,945,658 | |
| | | | | | | | |
| | |
| | | | | | | 37,855,631 | |
|
Financials - 27.29% | |
Amalgamated Financial Corp. | | | 232,000 | | | | 4,588,960 | |
AMERISAFE, Inc. | | | 144,600 | | | | 7,520,646 | |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | 96,700 | | | | 1,283,209 | |
Banner Corp. | | | 51,000 | | | | 2,866,710 | |
Berkshire Hills Bancorp, Inc.+ | | | 306,800 | | | | 7,599,436 | |
Brightsphere Investment Group, Inc. | | | 18,000 | | | | 324,180 | |
Byline Bancorp, Inc. | | | 191,200 | | | | 4,550,560 | |
City Holding Co.+ | | | 66,400 | | | | 5,304,032 | |
CNO Financial Group, Inc. | | | 201,800 | | | | 3,650,562 | |
Customers Bancorp, Inc.* | | | 210,300 | | | | 7,129,170 | |
Encore Capital Group, Inc.* | | | 116,700 | | | | 6,741,759 | |
Enstar Group, Ltd.* | | | 14,100 | | | | 3,017,118 | |
EZCORP, Inc., Class A* | | | 738,800 | | | | 5,548,388 | |
First BanCorp | | | 404,000 | | | | 5,215,640 | |
Genworth Financial, Inc., Class A* | | | 1,581,800 | | | | 5,583,754 | |
Hanmi Financial Corp. | | | 342,000 | | | | 7,674,480 | |
HarborOne Bancorp, Inc. | | | 212,000 | | | | 2,923,480 | |
HomeStreet, Inc. | | | 50,000 | | | | 1,733,500 | |
MVB Financial Corp. | | | 118,500 | | | | 3,686,535 | |
Oppenheimer Holdings, Inc., Class A | | | 103,933 | | | | 3,433,947 | |
PJT Partners, Inc., Class A | | | 4,000 | | | | 281,120 | |
Provident Bancorp, Inc. | | | 147,340 | | | | 2,313,238 | |
Stewart Information Services Corp. | | | 123,600 | | | | 6,149,100 | |
Tiptree, Inc. | | | 518,500 | | | | 5,506,470 | |
Universal Insurance Holdings, Inc. | | | 184,667 | | | | 2,406,211 | |
Valley National Bancorp | | | 547,600 | | | | 5,700,516 | |
Waterstone Financial, Inc. | | | 153,100 | | | | 2,610,355 | |
| | | | | | | | |
| | |
| | | | | | | 115,343,076 | |
|
Health Care - 6.70% | |
Atea Pharmaceuticals, Inc.* | | | 347,612 | | | | 2,468,045 | |
Avid Bioservices, Inc.*+ | | | 14,900 | | | | 227,374 | |
| | |
40 | | Annual Report | June 30, 2022 |
| | |
| Small-Cap Value Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | | | | | | | | | | |
| |
Common Stocks (continued) | |
| |
Health Care (continued) | |
Community Health Systems, Inc.* | | | 693,000 | | | $ | 2,598,750 | | | | | |
Cross Country Healthcare, Inc.* | | | 375,200 | | | | 7,815,416 | | | | | |
Cutera, Inc.*+ | | | 9,700 | | | | 363,750 | | | | | |
Innoviva, Inc.*+ | | | 155,500 | | | | 2,295,180 | | | | | |
iRadimed Corp. | | | 14,400 | | | | 488,736 | | | | | |
Medpace Holdings, Inc.* | | | 2,600 | | | | 389,142 | | | | | |
Neuronetics, Inc.* | | | 24,900 | | | | 79,929 | | | | | |
Omnicell, Inc.* | | | 3,200 | | | | 364,000 | | | | | |
OraSure Technologies, Inc.* | | | 390,000 | | | | 1,056,900 | | | | | |
Prestige Consumer Healthcare, Inc.* | | | 131,300 | | | | 7,720,440 | | | | | |
Select Medical Holdings Corp. | | | 14,900 | | | | 351,938 | | | | | |
Tenet Healthcare Corp.*+ | | | 39,900 | | | | 2,097,144 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 28,316,744 | | | | | |
| |
Industrials - 11.08% | |
ArcBest Corp. | | | 117,920 | | | | 8,298,031 | | | | | |
Atkore, Inc.* | | | 5,400 | | | | 448,254 | | | | | |
Atlas Air Worldwide Holdings, Inc.*+ | | | 50,000 | | | | 3,085,500 | | | | | |
Daseke, Inc.* | | | 74,400 | | | | 475,416 | | | | | |
INNOVATE Corp.*+ | | | 115,800 | | | | 200,334 | | | | | |
Kelly Services, Inc., Class A | | | 128,000 | | | | 2,538,240 | | | | | |
Manitowoc Co., Inc. (The)* | | | 152,900 | | | | 1,610,037 | | | | | |
Meritor, Inc.* | | | 6,200 | | | | 225,246 | | | | | |
MRC Global, Inc.* | | | 619,000 | | | | 6,165,240 | | | | | |
Primoris Services Corp.+ | | | 142,500 | | | | 3,100,800 | | | | | |
Sterling Infrastructure, Inc.* | | | 303,800 | | | | 6,659,296 | | | | | |
Triton International, Ltd. | | | 64,000 | | | | 3,369,600 | | | | | |
TrueBlue, Inc.* | | | 280,508 | | | | 5,021,093 | | | | | |
Veritiv Corp.* | | | 51,940 | | | | 5,638,087 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 46,835,174 | | | | | |
| |
Information Technology - 3.76% | |
Amkor Technology, Inc.+ | | | 139,300 | | | | 2,361,135 | | | | | |
Calix, Inc.* | | | 10,500 | | | | 358,470 | | | | | |
Cohu, Inc.*+ | | | 46,500 | | | | 1,290,375 | | | | | |
FormFactor, Inc.* | | | 10,000 | | | | 387,300 | | | | | |
Hackett Group, Inc. (The) | | | 63,143 | | | | 1,197,823 | | | | | |
Kulicke & Soffa Industries, Inc. | | | 7,500 | | | | 321,075 | | | | | |
Novanta, Inc.* | | | 3,200 | | | | 388,064 | | | | | |
OSI Systems, Inc.* | | | 900 | | | | 76,896 | | | | | |
Power Integrations, Inc. | | | 4,700 | | | | 352,547 | | | | | |
ScanSource, Inc.* | | | 177,200 | | | | 5,518,008 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
|
Information Technology (continued) | |
Turtle Beach Corp.*+ | | | 297,200 | | | $ | 3,634,756 | |
| | | | | | | | |
| | |
| | | | | | | 15,886,449 | |
|
Materials - 7.14% | |
AdvanSix, Inc. | | | 119,400 | | | | 3,992,736 | |
Clearwater Paper Corp.* | | | 133,600 | | | | 4,492,968 | |
Kronos Worldwide, Inc. | | | 36,400 | | | | 669,760 | |
Olympic Steel, Inc.+ | | | 192,631 | | | | 4,960,248 | |
Ryerson Holding Corp. | | | 228,200 | | | | 4,858,378 | |
SunCoke Energy, Inc. | | | 841,600 | | | | 5,731,296 | |
TimkenSteel Corp.*+ | | | 292,700 | | | | 5,476,417 | |
| | | | | | | | |
| | |
| | | | | | | 30,181,803 | |
|
Real Estate - 12.18% | |
Agree Realty Corp.+ | | | 89,800 | | | | 6,477,274 | |
Armada Hoffler Properties, Inc. | | | 195,400 | | | | 2,508,936 | |
Community Healthcare Trust, Inc. | | | 129,200 | | | | 4,678,332 | |
Empire State Realty Trust, Inc., Class A+ | | | 467,800 | | | | 3,288,634 | |
Equity Commonwealth* | | | 94,400 | | | | 2,598,832 | |
Essential Properties Realty Trust, Inc. | | | 203,900 | | | | 4,381,811 | |
eXp World Holdings, Inc.+ | | | 13,400 | | | | 157,718 | |
Independence Realty Trust, Inc.+ | | | 360,200 | | | | 7,466,946 | |
NexPoint Residential Trust, Inc.+ | | | 92,100 | | | | 5,757,171 | |
Physicians Realty Trust | | | 369,300 | | | | 6,444,285 | |
Plymouth Industrial REIT, Inc. | | | 271,869 | | | | 4,768,582 | |
Terreno Realty Corp. | | | 53,100 | | | | 2,959,263 | |
| | | | | | | | |
| | |
| | | | | | | 51,487,784 | |
|
Utilities - 2.16% | |
Avista Corp.+ | | | 147,312 | | | | 6,409,545 | |
Otter Tail Corp. | | | 20,400 | | | | 1,369,452 | |
Southwest Gas Holdings, Inc. | | | 15,500 | | | | 1,349,740 | |
| | | | | | | | |
| | |
| | | | | | | 9,128,737 | |
| | | | | | | | |
| |
TOTAL COMMON STOCKS - 101.05% | | | | 427,149,663 | |
| | | | | | | | |
(Cost $445,186,586) | | | | | | | | |
| | |
| Small-Cap Value Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | | | | | |
| | | Rate^ | | | Shares | | | Value | | | | |
| |
MONEY MARKET FUND - 0.00% | | | | | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21% | | | | 261 | | | $ | 261 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL MONEY MARKET FUND - 0.00% | | | | 261 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $261) | | | | | | | | | | | | | |
| |
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES
LENDING - 4.01% | | | | | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46% | | | | 16,945,601 | | | | 16,945,601 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 4.01% | | | | 16,945,601 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $16,945,601) | | | | | | | | | | | | | |
| | |
TOTAL INVESTMENTS - 105.06% | | | $ | 444,095,525 | | | | | |
| | | |
(Cost $462,132,448) | | | | | | | | | | | | | |
| | |
Liabilities in Excess of Other Assets - (5.06%) | | | | (21,382,879) | | | | | |
| | | | | | | | | | | | | | | | |
| | | |
NET ASSETS - 100.00% | | | | | | | $ | 422,712,646 | | | | | |
| | | | | | | | | | | | | | | | |
* Non-income producing security. ** This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. ^ Rate disclosed as of June 30, 2022. + This security or a portion of the security is out on loan as of June 30, 2022. Total loaned securities had a value of $22,899,957 as of June 30, 2022. See Note 2 for disclosure of cash and non-cash collateral. | | | | | |
| | | | | | | | | | | | | | | | |
| |
| Summary of inputs used to value the Fund’s investments as of 6/30/2022: | |
Valuation Inputs | |
|
| Investment in Securities (Value) | |
| | | | |
| | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | | | Total | |
Common Stocks (a) | | | $427,149,663 | | | | $– | | | | $– | | | | $427,149,663 | |
Money Market Fund | | | 261 | | | | – | | | | – | | | | 261 | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 16,945,601 | | | | – | | | | – | | | | 16,945,601 | |
| | | | | | | | | | | | | | | | |
TOTAL | | | $444,095,525 | | | | $– | | | | $– | | | | $444,095,525 | |
| | | | | | | | | | | | | | | | |
| (a) | - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings. |
See Notes to Financial Statements.
| | |
42 | | Annual Report | June 30, 2022 |
| | |
| Blue Chip Fund | | |
| MANAGER’S COMMENTARY (Unaudited) | | |
| | |
June 30, 2022
Dear Fellow Blue Chip Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -13.89%, outperforming our primary market benchmark, the S&P 500 Index (-16.10%), our peer benchmark, and the Russell Top 50 Mega Cap Index (-18.12%). It was poor quarter on an absolute basis but a good one on a relative basis.
For the fiscal year, our Fund returned -9.32%, outperforming the S&P 500 Index (-10.62%), and the Russell Top 50 Mega Cap Index (-10.98%).
The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.
Standardized Returns as of June 30, 2022
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | 15 Years | | Since
Inception
(7/31/97) |
| | | | | | |
Blue Chip Fund | | | -13.89% | | | | -9.32% | | | | 11.29% | | | | 12.41% | | | | 8.56% | | | | 7.79% | |
S&P 500 Index | | | -16.10% | | | | -10.62% | | | | 11.31% | | | | 12.96% | | | | 8.54% | | | | 7.67% | |
Russell Top 50 Mega Cap Index | | | -18.12% | | | | -10.98% | | | | 13.23% | | | | 13.38% | | | | 8.89% | | | | 7.18% | |
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 Index is an index composed of very large, “blue chip” US stocks, excluding tobacco; it is compiled by the adviser of the Fund. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
| Blue Chip Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Growth of a $10,000 Investment
from Inception July 31, 1997 to June 30, 2022
Detailed Explanation of Quarterly Performance
The Fund’s roughly equal weight portfolio design improved relative results during the quarter. Maintaining a roughly equal weight portfolio resulted in underweightings in some of the benchmark’s largest stocks that underperformed during a down quarter. At the same time, the portfolio had overweightings in some smaller mega-cap stocks that outperformed. An overweighting in value stocks compared to the benchmark also improved relative returns. Although the Fund does not focus on value or growth, the quarterly rebalancing process used to maintain a roughly equal weight portfolio increased exposure to value stocks that outperformed during the quarter.
From a sector perspective, the Fund’s allocation effect was slightly positive, largely driven by overweightings in the Consumer Staples and Energy sectors. The Fund’s stock selection effect was strongly positive. Holdings in the Health Care, Consumer Discretionary, and Industrials sectors contributed the most to relative returns.
Detailed Explanation of Fiscal Year Performance
An overweighting in value stocks helped relative results during the fiscal year. While the Fund’s design doesn’t focus on value or growth, the quarterly rebalancing process used to maintain the Fund’s roughly equal weighting increased the portfolio’s exposure to value stocks that outperformed during the 12-month period. The Fund’s tilt toward more stable, less risky stocks also improved relative results, as lower volatility stocks generally outperformed during the year.
From a sector perspective, the Fund’s allocation effect was negative. An overweighting in the Communication Services sector and an underweighting in the Utilities sector detracted the most from relative performance. In contrast, the Fund’s stock selection effect was positive, largely driven by holdings in the Health Care, Industrials, and Consumer Discretionary sectors.
The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods. The table is intended to provide a frame of reference for size.
| | |
44 | | Annual Report | June 30, 2022 |
| | |
| Blue Chip Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
| | | | | | | | | | |
| | | | | | | Annualized |
| | | | | | |
| CRSP Decile1 | | Quarter | | 1 Year | | 5 Years | | 10 Years | | 96.5 Years |
1 (ultra-large) | | -17.07% | | -13.00% | | 11.97% | | 13.18% | | 9.49% |
2 | | -17.31% | | -15.64% | | 9.32% | | 12.60% | | 10.51% |
3 | | -17.68% | | -22.24% | | 7.61% | | 11.22% | | 10.85% |
4 | | -16.53% | | -23.65% | | 6.14% | | 10.11% | | 10.64% |
5 | | -16.85% | | -22.55% | | 5.98% | | 9.66% | | 11.12% |
6 | | -17.96% | | -30.09% | | 6.05% | | 9.72% | | 11.09% |
7 | | -19.92% | | -29.58% | | 7.87% | | 11.46% | | 11.45% |
8 | | -20.11% | | -34.65% | | 1.84% | | 7.50% | | 10.97% |
9 | | -18.77% | | -30.87% | | 7.56% | | 11.00% | | 11.32% |
10 (ultra-small) | | -16.71% | | -31.94% | | 7.29% | | 9.96% | | 12.97% |
| 1 | Performance figures are as of the period ended June 30, 2022. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US 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. |
Contribution to Returns for Blue Chip Fund stocks for the fiscal year June 30, 2022:
| | | | | | | | |
| Rank | | Company | | Industry | | % Contribution to Return |
1 | | Pfizer, Inc. | | Health Care | | | 0.8 | % |
2 | | Exxon Mobil Corp. | | Energy | | | 0.8 | % |
3 | | Chevron Corp. | | Energy | | | 0.7 | % |
4 | | UnitedHealth Group, Inc. | | Health Care | | | 0.6 | % |
5 | | Eli Lilly & Co. | | Health Care | | | 0.5 | % |
6 | | Merck & Co., Inc. | | Health Care | | | 0.5 | % |
7 | | Coca-Cola Co. (The) | | Consumer Staples | | | 0.4 | % |
8 | | PepsiCo, Inc. | | Consumer Staples | | | 0.3 | % |
9 | | Raytheon Technologies Corp. | | Industrials | | | 0.3 | % |
10 | | Johnson & Johnson | | Health Care | | | 0.2 | % |
11 | | McDonald’s Corp. | | Consumer Discretionary | | | 0.2 | % |
12 | | Procter & Gamble Co. (The) | | Consumer Staples | | | 0.2 | % |
13 | | Verizon Communications, Inc. | | Communication Services | | | -0.1 | % |
14 | | Oracle Corp. | | Information Technology | | | -0.1 | % |
15 | | Alphabet, Inc., Class A | | Communication Services | | | -0.2 | % |
16 | | Alphabet, Inc., Class C | | Communication Services | | | -0.2 | % |
17 | | Home Depot, Inc. (The) | | Consumer Discretionary | | | -0.2 | % |
18 | | United Parcel Service, Inc., Class B | | Industrials | | | -0.3 | % |
19 | | Mastercard, Inc., Class A | | Information Technology | | | -0.3 | % |
20 | | Wells Fargo & Co. | | Financials | | | -0.3 | % |
21 | | QUALCOMM, Inc. | | Information Technology | | | -0.3 | % |
22 | | Walmart, Inc. | | Consumer Staples | | | -0.3 | % |
23 | | Cisco Systems, Inc. | | Information Technology | | | -0.4 | % |
24 | | Bank of America Corp. | | Financials | | | -0.5 | % |
25 | | Visa, Inc., Class A | | Information Technology | | | -0.6 | % |
26 | | Broadcom, Inc. | | Information Technology | | | -0.6 | % |
27 | | Comcast Corp., Class A | | Communication Services | | | -0.7 | % |
28 | | Tesla, Inc. | | Consumer Discretionary | | | -0.8 | % |
29 | | Intel Corp. | | Information Technology | | | -0.8 | % |
30 | | JPMorgan Chase & Co. | | Financials | | | -0.9 | % |
31 | | Walt Disney Co. (The) | | Communication Services | | | -1.2 | % |
32 | | NVIDIA Corp. | | Information Technology | | | -1.2 | % |
33 | | Amazon.com, Inc. | | Consumer Discretionary | | | -1.4 | % |
34 | | Meta Platforms, Inc., Class A | | Communication Services | | | -2.0 | % |
| | |
| Blue Chip Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of S&P 500
Index | | Difference |
Communication Services | | | 13.3 | % | | | 8.9 | % | | | 4.4 | % |
Consumer Discretionary | | | 9.8 | % | | | 10.5 | % | | | -0.7 | % |
Consumer Staples | | | 11.3 | % | | | 7.0 | % | | | 4.3 | % |
Energy | | | 6.0 | % | | | 4.4 | % | | | 1.6 | % |
Financials | | | 10.5 | % | | | 10.8 | % | | | -0.3 | % |
Health Care | | | 13.0 | % | | | 15.1 | % | | | -2.1 | % |
Industrials | | | 6.5 | % | | | 7.8 | % | | | -1.3 | % |
Information Technology | | | 29.6 | % | | | 26.8 | % | | | 2.8 | % |
Materials | | | 0.0 | % | | | 2.6 | % | | | -2.6 | % |
Real Estate | | | 0.0 | % | | | 2.9 | % | | | -2.9 | % |
Utilities | | | 0.0 | % | | | 3.1 | % | | | -3.1 | % |
Cash & Other Assets | | | 0.0 | % | | | 0.1 | % | | | -0.1 | % |
| | | |
Total | | | 100.0 | % | | | 100.0 | % | | | | |
Important Disclosure
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, 2022, 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 Fund. We encourage your feedback; your reactions and concerns are important to us.
Sincerely,
The Investment Management Team
| | |
46 | | Annual Report | June 30, 2022 |
| | |
| Blue Chip Fund | | |
| SCHEDULE OF INVESTMENTS | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| |
COMMON STOCKS - 100.02% | | | | | |
| |
Communication Services - 13.33% | | | | | |
Alphabet, Inc., Class A* | | | 2,810 | | | $ | 6,123,721 | | | | | |
Alphabet, Inc., Class C* | | | 2,819 | | | | 6,166,421 | | | | | |
Comcast Corp., Class A | | | 197,800 | | | | 7,761,672 | | | | | |
Meta Platforms, Inc., Class A* | | | 47,600 | | | | 7,675,500 | | | | | |
Verizon Communications, Inc. | | | 152,339 | | | | 7,731,204 | | | | | |
Walt Disney Co. (The)* | | | 84,900 | | | | 8,014,560 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 43,473,078 | | | | | |
| |
Consumer Discretionary - 9.77% | | | | | |
Amazon.com, Inc.* | | | 76,600 | | | | 8,135,686 | | | | | |
Home Depot, Inc. (The) | | | 28,150 | | | | 7,720,701 | | | | | |
McDonald’s Corp. | | | 32,800 | | | | 8,097,664 | | | | | |
Tesla, Inc.* | | | 11,750 | | | | 7,912,685 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 31,866,736 | | | | | |
| | | |
Consumer Staples - 11.32% | | | | | | | | | | | | |
Coca-Cola Co. (The) | | | 127,714 | | | | 8,034,488 | | | | | |
PepsiCo, Inc. | | | 48,075 | | | | 8,012,179 | | | | | |
Procter & Gamble Co. (The) | | | 91,056 | | | | 13,092,942 | | | | | |
Walmart, Inc. | | | 64,169 | | | | 7,801,667 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 36,941,276 | | | | | |
| | | |
Energy - 6.02% | | | | | | | | | | | | |
Chevron Corp. | | | 80,245 | | | | 11,617,871 | | | | | |
Exxon Mobil Corp. | | | 93,837 | | | | 8,036,201 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 19,654,072 | | | | | |
| | | |
Financials - 10.53% | | | | | | | | | | | | |
Bank of America Corp. | | | 255,708 | | | | 7,960,190 | | | | | |
Berkshire Hathaway, Inc., Class B* | | | 28,500 | | | | 7,781,070 | | | | | |
JPMorgan Chase & Co. | | | 96,395 | | | | 10,855,041 | | | | | |
Wells Fargo & Co. | | | 198,319 | | | | 7,768,155 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 34,364,456 | | | | | |
| | | |
Health Care - 12.97% | | | | | | | | | | | | |
Eli Lilly & Co. | | | 31,950 | | | | 10,359,149 | | | | | |
Johnson & Johnson | | | 45,112 | | | | 8,007,831 | | | | | |
Merck & Co., Inc. | | | 87,385 | | | | 7,966,890 | | | | | |
Pfizer, Inc. | | | 152,624 | | | | 8,002,076 | | | | | |
UnitedHealth Group, Inc. | | | 15,550 | | | | 7,986,947 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 42,322,893 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
|
Industrials - 6.49% | |
Raytheon Technologies | | | | | | | | |
Corp. | | | 83,960 | | | $ | 8,069,396 | |
United Parcel Service, Inc., Class B | | | 71,763 | | | | 13,099,618 | |
| | | | | | | | |
| | |
| | | | | | | 21,169,014 | |
|
Information Technology - 29.59% | |
Apple, Inc. | | | 90,650 | | | | 12,393,668 | |
Broadcom, Inc. | | | 16,400 | | | | 7,967,284 | |
Cisco Systems, Inc. | | | 186,608 | | | | 7,956,965 | |
Intel Corp. | | | 212,693 | | | | 7,956,845 | |
Mastercard, Inc., Class A | | | 24,300 | | | | 7,666,164 | |
Microsoft Corp. | | | 48,595 | | | | 12,480,654 | |
NVIDIA Corp. | | | 52,450 | | | | 7,950,895 | |
Oracle Corp. | | | 111,213 | | | | 7,770,452 | |
QUALCOMM, Inc. | | | 88,450 | | | | 11,298,603 | |
Visa, Inc., Class A | | | 66,450 | | | | 13,083,341 | |
| | | | | | | | |
| | |
| | | | | | | 96,524,871 | |
| | | | | | | | |
TOTAL COMMON STOCKS - 100.02%
| | | | 326,316,396 | |
| | | | | | | | |
| (Cost $160,380,194) | | | | | |
| |
TOTAL INVESTMENTS - 100.02%
| | | $ | 326,316,396 | |
| (Cost $160,380,194) | | | | | |
| |
| Liabilities in Excess of Other Assets - (0.02%) | | | | (76,056) | |
| | | | | | | | |
| |
| NET ASSETS - 100.00% | | | $ | 326,240,340 | |
| | | | | | | | |
| * | Non-income producing security. |
Summary of inputs used to value the Fund’s investments as of 6/30/2022:
| | | | | | | | | | | | | | | | |
| | | Valuation Inputs | |
| |
| | | Investment in Securities (Value) | |
| |
| | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | | | Total | |
| |
Common Stocks (a) | | | $326,316,396 | | | | $– | | | | $– | | | | $326,316,396 | |
| | | | | | | | | | | | | | | | |
TOTAL | | | $326,316,396 | | | | $– | | | | $– | | | | $326,316,396 | |
| | | | | | | | | | | | | | | | |
| (a) | - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings. |
See Notes to Financial Statements.
| | |
| Managed Volatility Fund | | |
| MANAGER’S COMMENTARY (Unaudited) | | |
| | |
June 30, 2022
Dear Fellow Managed Volatility Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -6.40%, outperforming our primary market benchmark, the S&P 500 Index (-16.10%). The Fund performed in line with its design during the quarter.
For the fiscal year, our Fund returned -7.62%, outperforming the S&P 500 Index (-10.62%).
The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.
| | | | | | | | | | | | | | | | | | | | | | | | |
| Standardized Returns as of June 30, 2022 | | | | | | | | | |
| | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | 15 Years | | | Since
Inception
(6/30/01) | |
| | | | | | |
Managed Volatility Fund | | | -6.40% | | | | -7.62% | | | | 3.93% | | | | 4.28% | | | | 3.15% | | | | 3.92% | |
S&P 500 Index | | | -16.10% | | | | -10.62% | | | | 11.31% | | | | 12.96% | | | | 8.54% | | | | 7.61% | |
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. It is not possible to invest directly in an index. Periods longer than one year are annualized.
| | |
48 | | Annual Report | June 30, 2022 |
| | |
| Managed Volatility Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Growth of a $10,000 Investment
from Inception June 30, 2001 to June 30, 2022
Detailed Explanation of Quarterly Performance
The Fund met its design objective by partially cushioning the market’s decline during the quarter. The Fund had an annualized standard deviation of 13.79% during the quarter, which was 51% lower than the S&P 500’s annualized standard deviation of 28.15% during the same period.
The portfolio’s futures component added to the Fund’s results, returning 2.9%. The portfolio’s equities component detracted from the Fund’s absolute performance, returning -8.7%, but outperformed the benchmark’s quarterly return. The portfolio’s options and fixed income components also detracted from the Fund’s results, returning -0.3% and -0.2%, respectively.
Detailed Explanation of Fiscal Year Performance
For the fiscal year, the Managed Volatility Fund outperformed the S&P 500 Index. The Fund had an annualized standard deviation of 9.23%, which was 54% lower than the S&P 500’s annualized standard deviation of 20.10% during the 12-month period.
The portfolio’s options component added to the Fund’s performance, returning 1.2%. The portfolio’s equities component detracted from absolute results, returning -7.1%, but outperformed the benchmark’s 12-month return. The portfolio’s fixed income and futures components detracted from the Fund’s results, returning -1.1% and 0.9%, respectively.
The Fund continues to perform as designed, particularly over longer time horizons. For the past 10 years and since inception, the Fund has captured roughly 33% and 52%, respectively, of the S&P 500 Index’s return. The Fund’s annualized standard deviation has been about 58% lower than the index’s for the last 10 years, and 56% lower since inception.
| | |
| Managed Volatility Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
Top Ten Holdings as of June 30, 2022
| | | | | | |
| Rank | | Description | | Industry | | % of Net
Assets |
| 1 | | UnitedHealth Group, Inc. | | Health Care | | 3.2% |
| 2 | | Apple, Inc. | | Information Technology | | 3.0% |
| 3 | | Microsoft Corp. | | Information Technology | | 2.5% |
| 4 | | Amazon.com, Inc. | | Consumer Discretionary | | 1.9% |
| 5 | | Alphabet, Inc., Class C | | Communication Services | | 1.6% |
| 6 | | Alphabet, Inc., Class A | | Communication Services | | 1.6% |
| 7 | | McDonald’s Corp. | | Consumer Discretionary | | 1.6% |
| 8 | | Texas Instruments, Inc. | | Information Technology | | 1.2% |
| 9 | | Mastercard, Inc., Class A | | Information Technology | | 1.2% |
| 10 | | Walmart, Inc. | | Consumer Staples | | 1.1% |
| | | |
| | Total | | | | 18.9% |
Industry Sector Representation as of June 30, 2022
| | |
| Asset Type | | % of Net
Assets |
Common Stock | | 56.5% |
Communication Services | | 4.8% |
Consumer Discretionary | | 6.6% |
Consumer Staples | | 4.2% |
Energy | | 2.2% |
Financials | | 5.5% |
Health Care | | 9.0% |
Industrials | | 4.0% |
Information Technology | | 15.3% |
Materials | | 2.4% |
Real Estate | | 1.1% |
Utilities | | 1.4% |
U.S. Government Obligations | | 20.9% |
Call Options Written | | -1.1% |
Put Options Written | | -1.8% |
Money Market Fund | | 16.8% |
Cash & Other Assets | | 8.7% |
Total | | 100% |
Important Disclosure
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, 2022, 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
| | |
50 | | Annual Report | June 30, 2022 |
| | |
| Managed Volatility Fund | | |
| MANAGER’S COMMENTARY (Unaudited) (continued) | | |
| | |
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
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS | | |
| |
| Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
COMMON STOCKS - 56.48% | | | | | |
| |
Communication Services - 4.80% | | | | | |
Alphabet, Inc., Class A* | | | 210 | | | $ | 457,645 | | | | | |
Alphabet, Inc., Class C* | | | 210 | | | | 459,365 | | | | | |
AT&T, Inc. | | | 2,240 | | | | 46,950 | | | | | |
Comcast Corp., Class A | | | 600 | | | | 23,544 | | | | | |
Meta Platforms, Inc., Class A* | | | 400 | | | | 64,500 | | | | | |
Omnicom Group, Inc.# | | | 600 | | | | 38,166 | | | | | |
Verizon Communications, Inc.# | | | 4,400 | | | | 223,300 | | | | | |
Walt Disney Co. (The)* | | | 565 | | | | 53,336 | | | | | |
Warner Bros Discovery, Inc.* | | | 541 | | | | 7,260 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 1,374,066 | | | | | |
| |
Consumer Discretionary - 6.65% | | | | | |
Amazon.com, Inc.*# | | | 5,200 | | | | 552,292 | | | | | |
AutoZone, Inc.* | | | 100 | | | | 214,912 | | | | | |
Dollar General Corp. | | | 300 | | | | 73,632 | | | | | |
eBay, Inc.# | | | 500 | | | | 20,835 | | | | | |
Ford Motor Co.# | | | 2,500 | | | | 27,825 | | | | | |
McDonald’s Corp.# | | | 1,800 | | | | 444,384 | | | | | |
NIKE, Inc., Class B# | | | 600 | | | | 61,320 | | | | | |
Ross Stores, Inc. | | | 500 | | | | 35,115 | | | | | |
Starbucks Corp.# | | | 400 | | | | 30,556 | | | | | |
Target Corp. | | | 300 | | | | 42,369 | | | | | |
Tesla, Inc.* | | | 200 | | | | 134,684 | | | | | |
Whirlpool Corp.# | | | 1,500 | | | | 232,305 | | | | | |
Yum! Brands, Inc. | | | 300 | | | | 34,053 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 1,904,282 | | | | | |
| |
Consumer Staples - 4.21% | | | | | |
Archer-Daniels-Midland Co. | | | 400 | | | | 31,040 | | | | | |
Coca-Cola Co. (The) | | | 500 | | | | 31,455 | | | | | |
Colgate-Palmolive Co. | | | 400 | | | | 32,056 | | | | | |
Constellation Brands, Inc., Class A# | | | 500 | | | | 116,530 | | | | | |
Costco Wholesale Corp.# | | | 400 | | | | 191,712 | | | | | |
General Mills, Inc.# | | | 500 | | | | 37,725 | | | | | |
J M Smucker Co. (The) | | | 400 | | | | 51,204 | | | | | |
Kimberly-Clark Corp.# | | | 600 | | | | 81,090 | | | | | |
Kroger Co. (The)# | | | 800 | | | | 37,864 | | | | | |
Mondelez International, Inc., Class A# | | | 700 | | | | 43,463 | | | | | |
PepsiCo, Inc.# | | | 900 | | | | 149,994 | | | | | |
Procter & Gamble Co. (The)# | | | 600 | | | | 86,274 | | | | | |
Walmart, Inc.# | | | 2,600 | | | | 316,108 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 1,206,515 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Energy - 2.17% | | | | | | | | |
Chevron Corp.# | | | 798 | | | $ | 115,534 | |
ConocoPhillips# | | | 1,187 | | | | 106,605 | |
EOG Resources, Inc.# | | | 500 | | | | 55,220 | |
Exxon Mobil Corp. | | | 900 | | | | 77,076 | |
Kinder Morgan, Inc. | | | 800 | | | | 13,408 | |
Marathon Petroleum Corp.# | | | 1,200 | | | | 98,652 | |
Occidental Petroleum Corp.# | | | 360 | | | | 21,197 | |
Phillips 66 | | | 593 | | | | 48,620 | |
Pioneer Natural Resources Co. | | | 100 | | | | 22,308 | |
Schlumberger NV | | | 600 | | | | 21,456 | |
Valero Energy Corp. | | | 400 | | | | 42,512 | |
| | | | | | | | |
| | |
| | | | | | | 622,588 | |
| | |
Financials - 5.48% | | | | | | | | |
Ally Financial, Inc.# | | | 1,000 | | | | 33,510 | |
American Express Co. | | | 300 | | | | 41,586 | |
Aon PLC, Class A | | | 100 | | | | 26,968 | |
Bank of America Corp. | | | 400 | | | | 12,452 | |
Berkshire Hathaway, Inc., Class B*# | | | 760 | | | | 207,495 | |
BlackRock, Inc. | | | 100 | | | | 60,904 | |
Capital One Financial Corp. | | | 200 | | | | 20,838 | |
Charles Schwab Corp. (The) | | | 800 | | | | 50,544 | |
Chubb, Ltd. | | | 461 | | | | 90,623 | |
Citigroup, Inc.# | | | 3,310 | | | | 152,227 | |
Comerica, Inc. | | | 300 | | | | 22,014 | |
Goldman Sachs Group, Inc. (The) | | | 200 | | | | 59,404 | |
Huntington Bancshares, Inc. | | | 3,200 | | | | 38,496 | |
JPMorgan Chase & Co.# | | | 1,000 | | | | 112,610 | |
KeyCorp. | | | 3,300 | | | | 56,859 | |
Marsh & McLennan Cos., Inc. | | | 400 | | | | 62,100 | |
Morgan Stanley# | | | 800 | | | | 60,848 | |
PNC Financial Services Group, Inc. (The) | | | 500 | | | | 78,885 | |
Progressive Corp. (The) | | | 420 | | | | 48,834 | |
S&P Global, Inc. | | | 400 | | | | 134,824 | |
T Rowe Price Group, Inc. | | | 200 | | | | 22,722 | |
Truist Financial Corp. | | | 300 | | | | 14,229 | |
U.S. Bancorp# | | | 1,900 | | | | 87,438 | |
Wells Fargo & Co.# | | | 1,871 | | | | 73,287 | |
| | | | | | | | |
| | |
| | | | | | | 1,569,697 | |
| | |
52 | | Annual Report | June 30, 2022 |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
| | | |
Common Stocks (continued) | | | | | | | | | | | | |
| | | |
Health Care - 9.03% | | | | | | | | | | | | |
Abbott Laboratories# | | | 700 | | | $ | 76,055 | | | | | |
AbbVie, Inc.# | | | 1,859 | | | | 284,724 | | | | | |
Amgen, Inc.# | | | 500 | | | | 121,650 | | | | | |
Baxter International, Inc. | | | 300 | | | | 19,269 | | | | | |
Becton Dickinson & Co. | | | 173 | | | | 42,650 | | | | | |
Biogen, Inc.* | | | 200 | | | | 40,788 | | | | | |
Bristol-Myers Squibb Co. | | | 1,079 | | | | 83,083 | | | | | |
Cigna Corp. | | | 299 | | | | 78,792 | | | | | |
CVS Health Corp. | | | 400 | | | | 37,064 | | | | | |
Danaher Corp. | | | 200 | | | | 50,704 | | | | | |
DaVita, Inc.*# | | | 400 | | | | 31,984 | | | | | |
Elevance Health, Inc. | | | 200 | | | | 96,516 | | | | | |
Embecta Corp.* | | | 34 | | | | 861 | | | | | |
Gilead Sciences, Inc. | | | 400 | | | | 24,724 | | | | | |
Johnson & Johnson | | | 500 | | | | 88,755 | | | | | |
Medtronic PLC | | | 400 | | | | 35,900 | | | | | |
Merck & Co., Inc.# | | | 1,700 | | | | 154,989 | | | | | |
Pfizer, Inc.# | | | 1,700 | | | | 89,131 | | | | | |
Stryker Corp. | | | 160 | | | | 31,829 | | | | | |
Thermo Fisher Scientific, Inc.# | | | 500 | | | | 271,640 | | | | | |
UnitedHealth Group, Inc.# | | | 1,800 | | | | 924,534 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 2,585,642 | | | | | |
| | | |
Industrials - 3.97% | | | | | | | | | | | | |
3M Co.# | | | 500 | | | | 64,705 | | | | | |
Carrier Global Corp. | | | 540 | | | | 19,256 | | | | | |
Emerson Electric Co. | | | 400 | | | | 31,816 | | | | | |
FedEx Corp.# | | | 600 | | | | 136,026 | | | | | |
Honeywell International, Inc. | | | 600 | | | | 104,286 | | | | | |
Ingersoll Rand, Inc. | | | 16 | | | | 673 | | | | | |
Johnson Controls | | | | | | | | | | | | |
International PLC | | | 954 | | | | 45,678 | | | | | |
L3Harris Technologies, Inc. | | | 200 | | | | 48,340 | | | | | |
Lockheed Martin Corp. | | | 270 | | | | 116,089 | | | | | |
Northrop Grumman Corp. | | | 400 | | | | 191,428 | | | | | |
Otis Worldwide Corp. | | | 270 | | | | 19,081 | | | | | |
Raytheon Technologies Corp.# | | | 1,240 | | | | 119,177 | | | | | |
Trane Technologies PLC | | | 200 | | | | 25,974 | | | | | |
Trex Co., Inc.*# | | | 1,000 | | | | 54,420 | | | | | |
Union Pacific Corp. | | | 300 | | | | 63,984 | | | | | |
United Parcel Service, Inc., Class B | | | 100 | | | | 18,254 | | | | | |
Waste Management, Inc. | | | 500 | | | | 76,490 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 1,135,677 | | | | | |
| | |
Information Technology - 15.32% | | | | | | | | | |
Adobe, Inc.*# | | | 600 | | | | 219,636 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Information Technology (continued) | | | | | |
Analog Devices, Inc.# | | | 1,700 | | | $ | 248,353 | |
Apple, Inc.# | | | 6,400 | | | | 875,008 | |
Applied Materials, Inc.# | | | 1,100 | | | | 100,078 | |
Broadcom, Inc. | | | 160 | | | | 77,730 | |
Cisco Systems, Inc.# | | | 2,000 | | | | 85,280 | |
Cognizant Technology | | | | | | | | |
Solutions Corp., Class A# | | | 700 | | | | 47,243 | |
HP, Inc.# | | | 2,000 | | | | 65,560 | |
Intel Corp.# | | | 2,300 | | | | 86,043 | |
International Business | | | | | | | | |
Machines Corp. | | | 200 | | | | 28,238 | |
Intuit, Inc. | | | 200 | | | | 77,088 | |
Juniper Networks, Inc. | | | 600 | | | | 17,100 | |
Mastercard, Inc., Class A# | | | 1,100 | | | | 347,028 | |
Micron Technology, Inc.# | | | 2,100 | | | | 116,088 | |
Microsoft Corp.# | | | 2,800 | | | | 719,124 | |
NVIDIA Corp.# | | | 1,200 | | | | 181,908 | |
Oracle Corp.# | | | 860 | | | | 60,088 | |
Palo Alto Networks, Inc.*# | | | 300 | | | | 148,182 | |
PayPal Holdings, Inc.*# | | | 800 | | | | 55,872 | |
QUALCOMM, Inc.# | | | 1,800 | | | | 229,932 | |
Salesforce, Inc.*# | | | 700 | | | | 115,528 | |
Texas Instruments, Inc.# | | | 2,270 | | | | 348,785 | |
Trade Desk, Inc. (The), Class A*# | | | 500 | | | | 20,945 | |
Visa, Inc., Class A# | | | 600 | | | | 118,134 | |
| | | | | | | | |
| | |
| | | | | | | 4,388,971 | |
| | |
Materials - 2.36% | | | | | | | | |
Berry Global Group, Inc.*# | | | 2,500 | | | | 136,600 | |
Corteva, Inc. | | | 33 | | | | 1,787 | |
Crown Holdings, Inc.# | | | 1,000 | | | | 92,170 | |
Dow, Inc.# | | | 4,533 | | | | 233,948 | |
DuPont de Nemours, Inc. | | | 400 | | | | 22,232 | |
Ecolab, Inc. | | | 200 | | | | 30,752 | |
Linde PLC | | | 300 | | | | 86,259 | |
Sherwin-Williams Co. (The) | | | 100 | | | | 22,391 | |
United States Steel Corp.# | | | 700 | | | | 12,537 | |
West Fraser Timber Co., Ltd.# | | | 500 | | | | 38,365 | |
| | | | | | | | |
| | |
| | | | | | | 677,041 | |
| | |
Real Estate - 1.12% | | | | | | | | |
American Tower Corp. | | | 300 | | | | 76,677 | |
Crown Castle International Corp.# | | | 500 | | | | 84,190 | |
Equinix, Inc. | | | 40 | | | | 26,281 | |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | | | | | |
| Industry Company | | | Shares | | | Value | | | | |
| | |
Common Stocks (continued) | | | | | | | | | |
| | |
Real Estate (continued) | | | | | | | | | |
Prologis, Inc. | | | | 500 | | | $ | 58,825 | | | | | |
Public Storage | | | | 100 | | | | 31,267 | | | | | |
SBA Communications Corp. | | | | 50 | | | | 16,002 | | | | | |
Welltower, Inc. | | | | 200 | | | | 16,470 | | | | | |
Weyerhaeuser Co. | | | | 300 | | | | 9,936 | | | | | |
| | | | | | | | | | | | | | | | |
| | | |
| | | | | | | | 319,648 | | | | | |
| | | |
Utilities - 1.37% | | | | | | | | | | | | | |
American Electric Power Co., Inc. | | | | 400 | | | | 38,376 | | | | | |
Dominion Energy, Inc. | | | | 1,020 | | | | 81,406 | | | | | |
Duke Energy Corp. | | | | 383 | | | | 41,062 | | | | | |
NextEra Energy, Inc.# | | | | 2,500 | | | | 193,650 | | | | | |
Sempra Energy | | | | 130 | | | | 19,535 | | | | | |
Xcel Energy, Inc. | | | | 240 | | | | 16,982 | | | | | |
| | | | | | | | | | | | | | | | |
| | | |
| | | | | | | | 391,011 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL COMMON STOCKS - 56.48% | | | | 16,175,138 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $9,823,303) | | | | | | | | | | | | | |
| | | | |
| Due Date | | Discount Rate or Coupon Rate(a) | | | Principal Amount | | | Value | | | | |
| |
U.S. GOVERNMENT OBLIGATIONS - 20.91% | | | | | |
| | |
U.S. Treasury Bills - 20.91% | | | | | | | | | |
07/28/2022 | | | 0.520% | | | $ | 2,000,000 | | | | 1,998,552 | | | | | |
08/11/2022 | | | 0.830% | | | | 2,000,000 | | | | 1,996,956 | | | | | |
08/25/2022 | | | 0.360% | | | | 1,000,000 | | | | 997,735 | | | | | |
09/22/2022 | | | 0.810% | | | | 1,000,000 | | | | 996,265 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL U.S. GOVERNMENT OBLIGATIONS - 20.91% | | | | 5,989,508 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $5,991,145) | | | | | | | | | | | | | |
| | | | |
| | | Rate^ | | | Shares | | | Value | | | | |
| | |
MONEY MARKET FUND - 16.76% | | | | | | | | | |
Fidelity Investments Money | | | | | | | | | | | | | |
Market Government | | | | | | | | | | | | | |
Portfolio Class I | | | 1.21% | | | | 4,800,457 | | | | 4,800,457 | | | | | |
| | | | | | | | | | | | | | | | |
| | |
TOTAL MONEY MARKET FUND - 16.76% | | | | 4,800,457 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $4,800,457) | | | | | | | | | |
| | | |
TOTAL INVESTMENTS BEFORE | | | | | | | | | | | | | |
OPTIONS WRITTEN - 94.15% | | | | 26,965,103 | | | | | |
| | | | | | | | | | | | | | | | |
(Cost $20,614,905) | | | | | | | | | |
| | | | |
| | | Value | |
| | | | |
WRITTEN OPTIONS - (2.90%) | | | | |
| |
TOTAL WRITTEN OPTIONS - (2.90%) | | $ | (830,991 | ) |
| | | | |
(Premiums Received $(849,216)) | | | | |
| |
TOTAL INVESTMENTS - 91.25% | | $ | 26,134,112 | |
(Cost $19,765,689) | | | | |
| |
Other Assets in Excess of Liabilities - 8.75% | | | 2,504,941 | |
| | | | |
| |
NET ASSETS - 100.00% | | $ | 28,639,053 | |
| | | | |
| * | Non-income producing security. |
| # | Security subject to call or put option written by the Fund. |
| (a) | Rate represents the effective yield at purchase. |
| ^ | Rate disclosed as of June 30, 2022. |
PLC - Public Limited Company
| | |
54 | | Annual Report | June 30, 2022 |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
| |
| Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Notional Amount | | Exercise Price | | Expiration Date | | Value |
EXCHANGE TRADED PUT OPTIONS WRITTEN - (1.83%) | |
| | | | | |
3M Co. | | | | 15 | | | | $ | (194,115 | ) | | | $ | 125.00 | | | | | 10/21/22 | | | | $ | (9,600 | ) |
| | | | | |
Advanced Micro Devices, Inc. | | | | 52 | | | | | (397,644 | ) | | | | 75.00 | | | | | 10/21/22 | | | | | (43,680 | ) |
| | | | | |
Amazon.com, Inc. | | | | 30 | | | | | (318,630 | ) | | | | 100.00 | | | | | 10/21/22 | | | | | (23,250 | ) |
| | | | | |
Apple, Inc. | | | | 36 | | | | | (492,192 | ) | | | | 150.00 | | | | | 10/21/22 | | | | | (65,160 | ) |
| | | | | |
Autodesk, Inc. | | | | 17 | | | | | (292,332 | ) | | | | 170.00 | | | | | 10/21/22 | | | | | (27,200 | ) |
| | | | | |
Cheniere Energy, Inc. | | | | 30 | | | | | (399,090 | ) | | | | 130.00 | | | | | 09/16/22 | | | | | (28,020 | ) |
| | | | | |
Cheniere Energy, Inc. | | | | 10 | | | | | (133,030 | ) | | | | 125.00 | | | | | 10/21/22 | | | | | (8,600 | ) |
| | | | | |
Darden Restaurants, Inc. | | | | 5 | | | | | (56,560 | ) | | | | 130.00 | | | | | 07/15/22 | | | | | (9,450 | ) |
| | | | | |
Datadog, Inc., Class A | | | | 30 | | | | | (285,720 | ) | | | | 95.00 | | | | | 10/21/22 | | | | | (47,100 | ) |
| | | | | |
Dell Technologies, Inc., Class C | | | | 65 | | | | | (300,365 | ) | | | | 45.00 | | | | | 10/21/22 | | | | | (22,425 | ) |
| | | | | |
General Mills, Inc. | | | | 33 | | | | | (248,985 | ) | | | | 65.00 | | | | | 10/21/22 | | | | | (4,026 | ) |
| | | | | |
General Mills, Inc. | | | | 10 | | | | | (75,450 | ) | | | | 70.00 | | | | | 07/15/22 | | | | | (300 | ) |
| | | | | |
Globant SA | | | | 16 | | | | | (278,400 | ) | | | | 180.00 | | | | | 08/19/22 | | | | | (32,800 | ) |
| | | | | |
Mastercard, Inc., Class A | | | | 4 | | | | | (126,192 | ) | | | | 335.00 | | | | | 09/16/22 | | | | | (12,700 | ) |
| | | | | |
McKesson Corp. | | | | 10 | | | | | (326,210 | ) | | | | 300.00 | | | | | 08/19/22 | | | | | (6,200 | ) |
| | | | | |
MetLife, Inc. | | | | 50 | | | | | (313,950 | ) | | | | 60.00 | | | | | 09/16/22 | | | | | (14,000 | ) |
| | | | | |
Nucor Corp. | | | | 20 | | | | | (208,820 | ) | | | | 100.00 | | | | | 10/21/22 | | | | | (20,500 | ) |
| | | | | |
Nucor Corp. | | | | 6 | | | | | (62,646 | ) | | | | 110.00 | | | | | 10/21/22 | | | | | (9,000 | ) |
| | | | | |
NVIDIA Corp. | | | | 20 | | | | | (303,180 | ) | | | | 150.00 | | | | | 10/21/22 | | | | | (36,320 | ) |
| | | | | |
Occidental Petroleum Corp. | | | | 25 | | | | | (147,200 | ) | | | | 65.00 | | | | | 09/16/22 | | | | | (26,800 | ) |
| | | | | |
Occidental Petroleum Corp. | | | | 15 | | | | | (88,320 | ) | | | | 62.50 | | | | | 09/16/22 | | | | | (13,575 | ) |
| | | | | |
Penske Automotive Group, Inc. | | | | 22 | | | | | (230,318 | ) | | | | 105.00 | | | | | 10/21/22 | | | | | (24,200 | ) |
| | | | | |
PepsiCo, Inc. | | | | 15 | | | | | (249,990 | ) | | | | 155.00 | | | | | 10/21/22 | | | | | (6,405 | ) |
| | | | | |
Prudential Financial, Inc. | | | | 20 | | | | | (191,360 | ) | | | | 90.00 | | | | | 09/16/22 | | | | | (7,800 | ) |
| | | | | |
Steel Dynamics, Inc. | | | | 30 | | | | | (198,450 | ) | | | | 70.00 | | | | | 08/19/22 | | | | | (21,810 | ) |
| | | | | |
Sysco Corp. | | | | 25 | | | | | (211,775 | ) | | | | 75.00 | | | | | 08/19/22 | | | | | (3,400 | ) |
| | | | | |
United States Steel Corp. | | | | 10 | | | | | (17,910 | ) | | | | 15.00 | | | | | 10/21/22 | | | | | (1,360 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Total Exchange Traded Put Options Written (Premiums Received $(508,361)) | | | | $ | (525,681 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Notional Amount | | Exercise Price | | Expiration Date | | Value |
EXCHANGE TRADED CALL OPTIONS WRITTEN - (1.07%) | |
| | | | | |
Abbott Laboratories | | | | 2 | | | | $ | (21,730 | ) | | | $ | 120.00 | | | | | 08/19/22 | | | | $ | (170 | ) |
| | | | | |
AbbVie, Inc. | | | | 6 | | | | | (91,896 | ) | | | | 140.00 | | | | | 08/19/22 | | | | | (8,592 | ) |
| | | | | |
Adobe, Inc. | | | | 2 | | | | | (73,212 | ) | | | | 370.00 | | | | | 10/21/22 | | | | | (6,890 | ) |
| | | | | |
Ally Financial, Inc. | | | | 10 | | | | | (33,510 | ) | | | | 35.00 | | | | | 09/16/22 | | | | | (2,150 | ) |
| | | | | |
Amazon.com, Inc. | | | | 20 | | | | | (212,420 | ) | | | | 110.00 | | | | | 08/19/22 | | | | | (12,580 | ) |
| | | | | |
Amgen, Inc. | | | | 2 | | | | | (48,660 | ) | | | | 260.00 | | | | | 09/16/22 | | | | | (610 | ) |
| | | | | |
Analog Devices, Inc. | | | | 15 | | | | | (219,135 | ) | | | | 150.00 | | | | | 09/16/22 | | | | | (12,000 | ) |
| | | | | |
Apple, Inc. | | | | 20 | | | | | (273,440 | ) | | | | 170.00 | | | | | 07/15/22 | | | | | (40 | ) |
| | | | | |
Applied Materials, Inc. | | | | 3 | | | | | (27,294 | ) | | | | 120.00 | | | | �� | 07/15/22 | | | | | (9 | ) |
| | | | | |
Berkshire Hathaway, Inc., Class B | | | | 2 | | | | | (54,604 | ) | | | | 270.00 | | | | | 09/16/22 | | | | | (2,900 | ) |
| | | | | |
Berry Global Group, Inc. | | | | 19 | | | | | (103,816 | ) | | | | 52.50 | | | | | 09/16/22 | | | | | (10,830 | ) |
| | | | | |
Berry Global Group, Inc. | | | | 6 | | | | | (32,784 | ) | | | | 57.50 | | | | | 09/16/22 | | | | | (1,770 | ) |
| | | | | |
Chevron Corp. | | | | 3 | | | | | (43,434 | ) | | | | 160.00 | | | | | 10/21/22 | | | | | (1,848 | ) |
| | | | | |
Cisco Systems, Inc. | | | | 6 | | | | | (25,584 | ) | | | | 45.00 | | | | | 10/21/22 | | | | | (966 | ) |
| | | | | |
Citigroup, Inc. | | | | 28 | | | | | (128,772 | ) | | | | 52.50 | | | | | 07/15/22 | | | | | (252 | ) |
| | | | | |
Cognizant Technology Solutions Corp., Class A | | | | 3 | | | | | (20,247 | ) | | | | 87.50 | | | | | 07/15/22 | | | | | (15 | ) |
| | | | | |
ConocoPhillips | | | | 4 | | | | | (35,924 | ) | | | | 115.00 | | | | | 08/19/22 | | | | | (240 | ) |
| | | | | |
Constellation Brands, Inc., Class A | | | | 2 | | | | | (46,612 | ) | | | | 250.00 | | | | | 07/15/22 | | | | | (140 | ) |
| | | | | |
Costco Wholesale Corp. | | | | 2 | | | | | (95,856 | ) | | | | 455.00 | | | | | 10/21/22 | | | | | (9,830 | ) |
| | | | | |
Crown Castle International Corp. | | | | 2 | | | | | (33,676 | ) | | | | 175.00 | | | | | 07/15/22 | | | | | (280 | ) |
| | | | | |
Crown Holdings, Inc. | | | | 5 | | | | | (46,085 | ) | | | | 100.00 | | | | | 10/21/22 | | | | | (2,150 | ) |
| | | | | |
DaVita, Inc. | | | | 2 | | | | | (15,992 | ) | | | | 120.00 | | | | | 07/15/22 | | | | | (10 | ) |
| | | | | |
Dow, Inc. | | | | 30 | | | | | (154,830 | ) | | | | 57.50 | | | | | 09/16/22 | | | | | (3,480 | ) |
| | | | | |
Dow, Inc. | | | | 6 | | | | | (30,966 | ) | | | | 60.00 | | | | | 09/16/22 | | | | | (414 | ) |
| | | | | |
eBay, Inc. | | | | 2 | | | | | (8,334 | ) | | | | 55.00 | | | | | 07/15/22 | | | | | (6 | ) |
| | | | | |
EOG Resources, Inc. | | | | 2 | | | | | (22,088 | ) | | | | 123.20 | | | | | 07/15/22 | | | | | (180 | ) |
| | | | | |
FedEx Corp. | | | | 3 | | | | | (68,013 | ) | | | | 230.00 | | | | | 10/21/22 | | | | | (5,400 | ) |
| | | | | |
Ford Motor Co. | | | | 9 | | | | | (10,017 | ) | | | | 13.00 | | | | | 09/16/22 | | | | | (315 | ) |
| | | | | |
HP, Inc. | | | | 6 | | | | | (19,668 | ) | | | | 35.00 | | | | | 09/16/22 | | | | | (972 | ) |
| | | | | |
Intel Corp. | | | | 7 | | | | | (26,187 | ) | | | | 40.00 | | | | | 10/21/22 | | | | | (1,218 | ) |
| | | | | |
Johnson Controls International PLC | | | | 3 | | | | | (14,364 | ) | | | | 65.00 | | | | | 07/15/22 | | | | | (30 | ) |
| | | | | |
JPMorgan Chase & Co. | | | | 3 | | | | | (33,783 | ) | | | | 115.00 | | | | | 10/21/22 | | | | | (1,935 | ) |
| | | | | |
Kimberly-Clark Corp. | | | | 3 | | | | | (40,545 | ) | | | | 125.00 | | | | | 10/21/22 | | | | | (4,050 | ) |
| | | | | |
Kroger Co. (The) | | | | 3 | | | | | (14,199 | ) | | | | 60.00 | | | | | 07/15/22 | | | | | (3 | ) |
| | | | | |
Marathon Petroleum Corp. | | | | 5 | | | | | (41,105 | ) | | | | 87.50 | | | | | 07/15/22 | | | | | (670 | ) |
| | | | | |
Mastercard, Inc., Class A | | | | 5 | | | | | (157,740 | ) | | | | 320.00 | | | | | 10/21/22 | | | | | (11,625 | ) |
| | | | | |
Mastercard, Inc., Class A | | | | 2 | | | | | (63,096 | ) | | | | 310.00 | | | | | 10/21/22 | | | | | (5,970 | ) |
| | | | | |
McDonald’s Corp. | | | | 13 | | | | | (320,944 | ) | | | | 240.00 | | | | | 09/16/22 | | | | | (19,045 | ) |
| | | | | |
Merck & Co., Inc. | | | | 5 | | | | | (45,585 | ) | | | | 85.00 | | | | | 10/21/22 | | | | | (4,575 | ) |
| | | | | |
Micron Technology, Inc. | | | | 7 | | | | | (38,696 | ) | | | | 72.50 | | | | | 09/16/22 | | | | | (497 | ) |
| | | | | |
Microsoft Corp. | | | | 9 | | | | | (231,147 | ) | | | | 260.00 | | | | | 09/16/22 | | | | | (12,780 | ) |
| | | | | |
Mondelez International, Inc., Class A | | | | 3 | | | | | (18,627 | ) | | | | 60.00 | | | | | 09/16/22 | | | | | (1,290 | ) |
| | | | | |
Morgan Stanley | | | | 3 | | | | | (22,818 | ) | | | | 82.50 | | | | | 09/16/22 | | | | | (717 | ) |
| | | | | |
NextEra Energy, Inc. | | | | 7 | | | | | (54,222 | ) | | | | 72.50 | | | | | 09/16/22 | | | | | (5,320 | ) |
| | | | | |
NIKE, Inc., Class B | | | | 3 | | | | | (30,660 | ) | | | | 130.00 | | | | | 07/15/22 | | | | | (9 | ) |
| | | | | |
Omnicom Group, Inc. | | | | 3 | | | | | (19,083 | ) | | | | 80.00 | | | | | 07/15/22 | | | | | (15 | ) |
| | | | | |
Oracle Corp. | | | | 3 | | | | | (20,961 | ) | | | | 70.00 | | | | | 09/16/22 | | | | | (1,215 | ) |
| | |
56 | | Annual Report | June 30, 2022 |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
| |
Showing percentage of net assets as of June 30, 2022 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Notional Amount | | Exercise Price | | Expiration Date | | Value |
| | | | | |
Exchange Traded Call Options Written (continued) | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Palo Alto Networks, Inc. | | | | 3 | | | | $ | (148,182 | ) | | | $ | 500.00 | | | | | 09/16/22 | | | | $ | (12,600 | ) |
| | | | | |
PayPal Holdings, Inc. | | | | 3 | | | | | (20,952 | ) | | | | 110.00 | | | | | 07/15/22 | | | | | (6 | ) |
| | | | | |
PepsiCo, Inc. | | | | 3 | | | | | (49,998 | ) | | | | 160.00 | | | | | 10/21/22 | | | | | (3,855 | ) |
| | | | | |
Pfizer, Inc. | | | | 5 | | | | | (26,215 | ) | | | | 50.00 | | | | | 09/16/22 | | | | | (2,075 | ) |
| | | | | |
Procter & Gamble Co. (The) | | | | 2 | | | | | (28,758 | ) | | | | 135.00 | | | | | 10/21/22 | | | | | (2,770 | ) |
| | | | | |
QUALCOMM, Inc. | | | | 6 | | | | | (76,644 | ) | | | | 135.00 | | | | | 08/19/22 | | | | | (3,780 | ) |
| | | | | |
Raytheon Technologies Corp. | | | | 4 | | | | | (38,444 | ) | | | | 95.00 | | | | | 09/16/22 | | | | | (2,220 | ) |
| | | | | |
Salesforce, Inc. | | | | 3 | | | | | (49,512 | ) | | | | 160.00 | | | | | 09/16/22 | | | | | (4,860 | ) |
| | | | | |
Starbucks Corp. | | | | 3 | | | | | (22,917 | ) | | | | 75.00 | | | | | 10/21/22 | | | | | (1,995 | ) |
| | | | | |
Texas Instruments, Inc. | | | | 18 | | | | | (276,570 | ) | | | | 155.00 | | | | | 10/21/22 | | | | | (18,810 | ) |
| | | | | |
Thermo Fisher Scientific, Inc. | | | | 2 | | | | | (108,656 | ) | | | | 510.00 | | | | | 09/16/22 | | | | | (11,120 | ) |
| | | | | |
Trade Desk, Inc. (The), Class A | | | | 5 | | | | | (20,945 | ) | | | | 70.00 | | | | | 07/15/22 | | | | | (35 | ) |
| | | | | |
Trex Co., Inc. | | | | 10 | | | | | (54,420 | ) | | | | 65.00 | | | | | 07/15/22 | | | | | (200 | ) |
| | | | | |
U.S. Bancorp | | | | 6 | | | | | (27,612 | ) | | | | 47.50 | | | | | 10/21/22 | | | | | (1,530 | ) |
| | | | | |
UnitedHealth Group, Inc. | | | | 10 | | | | | (513,630 | ) | | | | 470.00 | | | | | 09/16/22 | | | | | (60,300 | ) |
| | | | | |
Verizon Communications, Inc. | | | | 35 | | | | | (177,625 | ) | | | | 52.50 | | | | | 10/21/22 | | | | | (4,270 | ) |
| | | | | |
Visa, Inc., Class A | | | | 3 | | | | | (59,067 | ) | | | | 215.00 | | | | | 07/15/22 | | | | | (126 | ) |
| | | | | |
Walmart, Inc. | | | | 22 | | | | | (267,476 | ) | | | | 125.00 | | | | | 09/16/22 | | | | | (9,350 | ) |
| | | | | |
Wells Fargo & Co. | | | | 6 | | | | | (23,502 | ) | | | | 40.00 | | | | | 10/21/22 | | | | | (1,830 | ) |
| | | | | |
West Fraser Timber Co., Ltd. | | | | 5 | | | | | (38,365 | ) | | | | 90.00 | | | | | 08/19/22 | | | | | (375 | ) |
| | | | | |
Whirlpool Corp. | | | | 15 | | | | | (232,305 | ) | | | | 175.00 | | | | | 09/16/22 | | | | | (7,200 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
Total Exchange Traded Call Options Written (Premiums Received $(340,855)) | | | | | | | | | | | | | | $ | (305,310 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| Managed Volatility Fund | | |
| SCHEDULE OF INVESTMENTS (continued) | | |
Summary of inputs used to value the Fund’s investments as of 6/30/2022:
| | | | | | | | | | | | | | | | |
| | | | | | 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 (a) | | | $16,175,138 | | | | $– | | | | $– | | | | $16,175,138 | |
| | | | |
U.S. Government Obligations | | | – | | | | 5,989,508 | | | | – | | | | 5,989,508 | |
| | | | |
Money Market Fund | | | 4,800,457 | | | | – | | | | – | | | | 4,800,457 | |
| | | | | | | | | | | | | | | | |
| | | | |
TOTAL | | | $20,975,595 | | | | $5,989,508 | | | | $– | | | | $26,965,103 | |
| | | | | | | | | | | | | | | | |
| | | |
| | | | | | Liabilities Table | | | | |
| | | | | | Valuation Inputs | | | | |
| | | | | | Investment in Securities (Value) | | | | |
| | | Level 1 Quoted Prices | | | Level 2 Significant
Observable Inputs | | | Level 3 Significant
Unobservable Inputs | | | Total | |
| | | | |
Written Options | | | $(636,405) | | | | $(194,586) | | | | $– | | | | $(830,991) | |
| | | | | | | | | | | | | | | | |
| | | | |
TOTAL | | | $(636,405) | | | | $(194,586) | | | | $– | | | | $(830,991) | |
| | | | | | | | | | | | | | | | |
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
See Notes to Financial Statements.
| | |
58 | | Annual Report | June 30, 2022 |
THIS PAGE INTENTIONALLY LEFT BLANK
| | |
STATEMENTS OF ASSETS AND LIABILITIES | | |
June 30, 2022 | | |
| | |
| | | | | | | | | | | | |
| ASSETS | | Aggressive Investors 1 | | | | | | Ultra-Small Company |
Investments at value(c) | | $ | 138,758,312 | | | | | | | $ | 85,963,017 | |
| | | |
Cash | | | – | | | | | | | | – | |
| | | |
Receivables: | | | | | | | | | | | | |
| | | |
Portfolio securities sold | | | – | | | | | | | | 1,028,795 | |
| | | |
Fund shares sold | | | 2,336 | | | | | | | | 340 | |
| | | |
Dividends and interest | | | 76,352 | | | | | | | | 32,129 | |
| | | |
Receivable from investment adviser | | | 1,650 | | | | | | | | – | |
| | | |
Deposits with brokers for future contracts | | | – | | | | | | | | – | |
| | | |
Prepaid expenses | | | 26,614 | | | | | | | | 10,703 | |
| | | | |
Total assets | | | 138,865,264 | | | | | | | | 87,034,984 | |
| | | |
LIABILITIES | | | | | | | | | | | | |
| | | |
Payables: | | | | | | | | | | | | |
| | | |
Due to Broker (Options) | | | – | | | | | | | | – | |
| | | |
Portfolio securities purchased | | | – | | | | | | | | 883,933 | |
| | | |
Fund shares redeemed | | | 8,000 | | | | | | | | – | |
| | | |
Due to custodian | | | – | | | | | | | | – | |
| | | |
Loan payable | | | – | | | | | | | | – | |
| | | |
Payable upon return of securities loaned | | | 3,246,864 | | | | | | | | 7,540,408 | |
| | | |
Accrued Liabilities: | | | | | | | | | | | | |
| | | |
Investment adviser fees | | | – | | | | | | �� | | 60,152 | |
| | | |
Administration fees | | | 507 | | | | | | | | 248 | |
| | | |
Directors’ fees | | | 636 | | | | | | | | 482 | |
| | | |
Other | | | 99,409 | | | | | | | | 62,249 | |
| | | |
Put options written at value | | | – | | | | | | | | – | |
| | | |
Call options written at value | | | – | | | | | | | | – | |
| | | | |
Total liabilities | | | 3,355,416 | | | | | | | | 8,547,472 | |
| | | |
NET ASSETS | | $ | 135,509,848 | | | | | | | $ | 78,487,512 | |
| | | |
NET ASSETS REPRESENT | | | | | | | | | | | | |
| | | |
Paid-in capital | | $ | 150,410,637 | | | | | | | $ | 72,260,852 | |
| | | |
Distributable earnings | | | (14,900,789 | ) | | | | | | | 6,226,660 | |
| | | | |
NET ASSETS | | $ | 135,509,848 | | | | | | | $ | 78,487,512 | |
| | | | |
Shares of common stock outstanding of $.001 par value(a) | | | 2,352,061 | | | | | | | | 2,678,055 | |
| | | | |
Net asset value, offering price and redemption price per share | | $ | 57.61 | | | | | | | $ | 29.31 | |
| | | |
Total investments at cost | | $ | 151,144,408 | | | | | | | $ | 85,585,768 | |
| | | |
Premiums received on put options written | | $ | – | | | | | | | $ | – | |
| | | |
Premiums received on call options written | | $ | – | | | | | | | $ | – | |
| (a) | See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund. |
| (b) | Redemption of shares held less than six months may be charged a 2% redemption fee. See Note 8. |
| (c) | Includes investments purchased with cash collateral for security lending, see Note 2. |
See Notes to Financial Statements.
| | |
60 | | Annual Report | June 30, 2022 |
| | |
| | |
|
| | | |
| | |
| | | | | | | | | | | | | | |
Ultra-Small
Company Market | | | Small-Cap Value | | | Blue Chip | | | Managed Volatility |
| | | |
| $ | 211,614,875 | | | $ | 444,095,525 | | | $ | 326,316,396 | | | $ | 26,965,103 | |
| | | |
| | – | | | | – | | | | – | | | | 45 | |
| | | |
| | 178,431 | | | | 2,213,666 | | | | 13,567,554 | | | | 2,624,095 | |
| | | |
| | 63,958 | | | | 843,738 | | | | 8,180 | | | | – | |
| | | |
| | 283,496 | | | | 386,347 | | | | 138,456 | | | | 11,639 | |
| | | |
| | – | | | | – | | | | 3,417 | | | | – | |
| | | |
| | – | | | | – | | | | – | | | | 1,731,190 | |
| | | |
| | 31,101 | | | | 67,325 | | | | 44,016 | | | | 15,546 | |
| | | | |
| | 212,171,861 | | | | 447,606,601 | | | | 340,078,019 | | | | 31,347,618 | |
| | | |
| | – | | | | – | | | | – | | | | 1,755,314 | |
| | | |
| | 1,050,132 | | | | – | | | | 13,310,143 | | | | 59,430 | |
| | | |
| | 89,635 | | | | 3,608,987 | | | | 179,645 | | | | – | |
| | | |
| | – | | | | – | | | | 189,883 | | | | – | |
| | | |
| | – | | | | 3,894,000 | | | | – | | | | – | |
| | | |
| | 21,512,037 | | | | 16,945,601 | | | | – | | | | – | |
| | | |
| | 70,722 | | | | 255,394 | | | | – | | | | 6,297 | |
| | | |
| | 631 | | | | 1,611 | | | | 1,412 | | | | 124 | |
| | | |
| | 1,493 | | | | 654 | | | | 1,671 | | | | 171 | |
| | | |
| | 143,475 | | | | 187,708 | | | | 154,925 | | | | 56,238 | |
| | | |
| | – | | | | – | | | | – | | | | 525,681 | |
| | | |
| | – | | | | – | | | | – | | | | 305,310 | |
| | | | |
| | 22,868,125 | | | | 24,893,955 | | | | 13,837,679 | | | | 2,708,565 | |
| | | | |
| $ | 189,303,736 | | | $ | 422,712,646 | | | $ | 326,240,340 | | | $ | 28,639,053 | |
| | | |
| $ | 207,050,270 | | | $ | 443,472,531 | | | $ | 116,198,040 | | | $ | 21,029,626 | |
| | | |
| | (17,746,534 | ) | | | (20,759,885 | ) | | | 210,042,300 | | | | 7,609,427 | |
| | | | |
| $ | 189,303,736 | | | $ | 422,712,646 | | | $ | 326,240,340 | | | $ | 28,639,053 | |
| | | |
| | 17,471,855 | | | | 12,892,752 | | | | 26,851,745 | | | | 1,828,871 | |
| | | |
| $ | 10.83 | (b) | | $ | 32.79 | | | $ | 12.15 | | | $ | 15.66 | |
| | | |
| $ | 233,298,355 | | | $ | 462,132,448 | | | $ | 160,380,194 | | | $ | 20,614,905 | |
| | | |
| $ | – | | | $ | – | | | $ | – | | | $ | 508,361 | |
| | | |
| $ | – | | | $ | – | | | $ | – | | | $ | 340,855 | |
| | |
STATEMENTS OF OPERATIONS | | |
Year Ended June 30, 2022 | | |
| | |
| | | | | | | | | | | | |
| | | Aggressive Investors 1 | | | | | | Ultra-Small Company |
| | | |
INVESTMENT INCOME | | | | | | | | | | | | |
| | | |
Dividends | | $ | 2,313,098 | | | | | | | $ | 1,275,527 | |
| | | |
Less: foreign taxes withheld | | | (90,461 | ) | | | | | | | – | |
| | | |
Interest | | | 583 | | | | | | | | 773 | |
| | | |
Securities lending | | | 64,795 | | | | | | | | 280,845 | |
| | | | |
Total Investment Income | | | 2,288,015 | | | | | | | | 1,557,145 | |
| | | |
EXPENSES | | | | | | | | | | | | |
| | | |
Investment advisory fees - Base fees | | | 1,601,479 | | | | | | | | 848,730 | |
| | | |
Investment advisory fees - Performance adjustment | | | (1,339,645 | ) | | | | | | | – | |
| | | |
Administration fees | | | 7,384 | | | | | | | | 3,918 | |
| | | |
Accounting fees | | | 66,307 | | | | | | | | 57,962 | |
| | | |
Transfer agent fees | | | 104,249 | | | | | | | | 52,236 | |
| | | |
Audit fees | | | 19,400 | | | | | | | | 16,100 | |
| | | |
Legal fees | | | 16,288 | | | | | | | | 8,773 | |
| | | |
Custody fees | | | 7,636 | | | | | | | | 13,544 | |
| | | |
Blue sky fees | | | 24,457 | | | | | | | | 10,705 | |
| | | |
Directors’ and officers’ fees | | | 18,033 | | | | | | | | 9,828 | |
| | | |
Shareholder servicing fees | | | 102,158 | | | | | | | | 29,691 | |
| | | |
Reports to shareholders | | | 27,477 | | | | | | | | 19,107 | |
| | | |
Insurance expenses | | | 13,045 | | | | | | | | 7,183 | |
| | | |
Miscellaneous expenses | | | 17,903 | | | | | | | | 9,951 | |
| | | | |
Total Expenses | | | 686,171 | | | | | | | | 1,087,728 | |
| | | |
Less investment advisory fees waived and other expenses reimbursed | | | – | | | | | | | | – | |
| | | | |
Net Expenses | | | 686,171 | | | | | | | | 1,087,728 | |
| | | |
NET INVESTMENT INCOME (LOSS) | | | 1,601,844 | | | | | | | | 469,417 | |
| | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | |
| | | |
Realized Gain (Loss) on: | | | | | | | | | | | | |
| | | |
Investments | | | 4,550,438 | | | | | | | | 21,533,226 | |
| | | |
Foreign Currency Transactions | | | (684 | ) | | | | | | | – | |
| | | |
Written options | | | – | | | | | | | | – | |
| | | |
Futures contracts | | | – | | | | | | | | – | |
| | | | |
Net Realized Gain | | | 4,549,754 | | | | | | | | 21,533,226 | |
| | | |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | |
| | | |
Investments | | | (48,935,355 | ) | | | | | | | (44,067,784 | ) |
| | | |
Foreign Currency Transactions | | | (73 | ) | | | | | | | – | |
| | | |
Written options | | | – | | | | | | | | – | |
| | | | |
Net Change in Unrealized Appreciation (Depreciation) | | | (48,935,428 | ) | | | | | | | (44,067,784 | ) |
| | | | |
Net Realized and Unrealized Loss on Investments | | | (44,385,674 | ) | | | | | | | (22,534,558 | ) |
| | | |
NET (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | $ | (42,783,830 | ) | | | | | | $ | (22,065,141 | ) |
See Notes to Financial Statements.
| | |
62 | | Annual Report | June 30, 2022 |
| | |
| | |
|
| | | |
| | |
| | | | | | | | | | | | | | |
Ultra-Small Company Market | | | Small-Cap Value | | | Blue Chip | | | Managed Volatility |
| | | |
| $ | 3,013,309 | | | $ | 5,398,507 | | | $ | 7,956,717 | | | $ | 262,945 | |
| | | |
| | – | | | | (13,225 | ) | | | – | | | | (23 | ) |
| | | |
| | 4,312 | | | | 2,908 | | | | 220 | | | | 19,339 | |
| | | |
| | 1,286,845 | | | | 54,663 | | | | – | | | | – | |
| | | | |
| | 4,304,466 | | | | 5,442,853 | | | | 7,956,937 | | | | 282,261 | |
| | | |
| | 1,348,856 | | | | 2,609,752 | | | | 324,109 | | | | 196,814 | |
| | | |
| | – | | | | 52,756 | | | | – | | | | – | |
| | | |
| | 11,217 | | | | 17,936 | | | | 16,808 | | | | 1,363 | |
| | | |
| | 87,713 | | | | 97,275 | | | | 93,261 | | | | 52,859 | |
| | | |
| | 140,545 | | | | 136,913 | | | | 94,140 | | | | 37,580 | |
| | | |
| | 27,500 | | | | 21,100 | | | | 29,400 | | | | 18,100 | |
| | | |
| | 27,357 | | | | 31,748 | | | | 36,628 | | | | 2,979 | |
| | | |
| | 35,481 | | | | 30,988 | | | | 11,249 | | | | 6,268 | |
| | | |
| | 73,812 | | | | 78,296 | | | | 35,312 | | | | 24,609 | |
| | | |
| | 28,708 | | | | 43,486 | | | | 40,412 | | | | 3,380 | |
| | | |
| | 229,532 | | | | 385,972 | | | | 107,707 | | | | 22,765 | |
| | | |
| | 40,200 | | | | 64,727 | | | | 86,147 | | | | 15,535 | |
| | | |
| | 24,913 | | | | 16,145 | | | | 31,211 | | | | 2,451 | |
| | | |
| | 24,378 | | | | 33,935 | | | | 36,737 | | | | 6,328 | |
| | | | |
| | 2,100,212 | | | | 3,621,029 | | | | 943,121 | | | | 391,031 | |
| | | |
| | (76,926) | | | | – | | | | (335,376 | ) | | | (81,991 | ) |
| | | | |
| | 2,023,286 | | | | 3,621,029 | | | | 607,745 | | | | 309,040 | |
| | | | |
| | 2,281,180 | | | | 1,821,824 | | | | 7,349,192 | | | | (26,779 | ) |
| | | |
| | 44,920,024 | | | | 8,063,222 | | | | 63,077,617 | | | | (581,811 | ) |
| | | |
| | – | | | | – | | | | – | | | | – | |
| | | |
| | – | | | | – | | | | – | | | | 1,493,467 | |
| | | |
| | – | | | | – | | | | – | | | | 386,866 | |
| | | | |
| | 44,920,024 | | | | 8,063,222 | | | | 63,077,617 | | | | 1,298,522 | |
| | | |
| | (140,034,510) | | | | (56,619,680 | ) | | | (100,719,791 | ) | | | (3,524,246 | ) |
| | | |
| | – | | | | – | | | | – | | | | – | |
| | | |
| | – | | | | – | | | | – | | | | (84,203 | ) |
| | | | |
| | (140,034,510) | | | | (56,619,680 | ) | | | (100,719,791 | ) | | | (3,608,449 | ) |
| | | | |
| | (95,114,486) | | | | (48,556,458 | ) | | | (37,642,174 | ) | | | (2,309,927 | ) |
| | | | |
| $ | (92,833,306 | ) | | $ | (46,734,634 | ) | | $ | (30,292,982 | ) | | $ | (2,336,706 | ) |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | | | | | | | | | |
| | | Aggressive Investors 1 | | | Ultra-Small Company | |
| | |
| | | Year Ended June 30, | | | Year Ended June 30, | |
| | | | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | $ | 1,601,844 | | | $ | 2,058,593 | | | $ | 469,417 | | | $ | 389,299 | |
| | | | |
Net realized gain on investments | | | 4,549,754 | | | | 27,414,505 | | | | 21,533,226 | | | | 9,796,782 | |
| | | | |
Net change in unrealized appreciation (depreciation) on investments | | | (48,935,428 | ) | | | 34,799,004 | | | | (44,067,784 | ) | | | 50,056,987 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | | (42,783,830 | ) | | | 64,272,102 | | | | (22,065,141 | ) | | | 60,243,068 | |
| | | | |
DISTRIBUTIONS: | | | | | | | | | | | | | | | | |
| | | | |
From net investment income and net realized gains | | | (16,041,315 | ) | | | (1,732,414 | ) | | | (18,903,156 | ) | | | – | |
| | | | | |
Net decrease in net assets from distributions | | | (16,041,315 | ) | | | (1,732,414 | ) | | | (18,903,156 | ) | | | – | |
| | | | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
| | | | |
Proceeds from sale of shares | | | 2,952,377 | | | | 2,136,945 | | | | 1,195,128 | | | | 1,088,923 | |
| | | | |
Proceeds from shares issued in connection with acquisition from Plan of Reorganization(a) | | | – | | | | – | | | | – | | | | – | |
| | | | |
Reinvestment of distributions | | | 15,459,881 | | | | 1,638,001 | | | | 17,262,121 | | | | – | |
| | | | |
Cost of shares redeemed | | | (14,325,323 | ) | | | (18,794,352 | ) | | | (8,593,146 | ) | | | (9,251,627 | ) |
| | | | |
Redemption fees | | | – | | | | – | | | | – | | | | – | |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | | 4,086,935 | | | | (15,019,406 | ) | | | 9,864,103 | | | | (8,162,704 | ) |
Net increase (decrease) in net assets | | | (54,738,210 | ) | | | 47,520,282 | | | | (31,104,194 | ) | | | 52,080,364 | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
| | | | |
Beginning of year | | | 190,248,058 | | | | 142,727,776 | | | | 109,591,706 | | | | 57,511,342 | |
| | | | | |
End of year | | $ | 135,509,848 | | | $ | 190,248,058 | | | $ | 78,487,512 | | | $ | 109,591,706 | |
| | | | |
SHARES ISSUED & REDEEMED | | | | | | | | | | | | | | | | |
Issued | | | 37,715 | | | | 29,281 | | | | 34,955 | | | | 40,314 | |
Shares issued in reorganization | | | – | | | | – | | | | – | | | | – | |
Distributions reinvested | | | 200,674 | | | | 23,370 | | | | 526,927 | | | | – | |
Redeemed | | | (189,203 | ) | | | (272,131 | ) | | | (242,903 | ) | | | (287,845 | ) |
Net increase (decrease) | | | 49,186 | | | | (219,480 | ) | | | 318,979 | | | | (247,531 | ) |
Outstanding at beginning of year | | | 2,302,875 | | | | 2,522,355 | | | | 2,359,076 | | | | 2,606,607 | |
Outstanding at end of year | | | 2,352,061 | | | | 2,302,875 | | | | 2,678,055 | | | | 2,359,076 | |
| (a) | See Note 9 - Reorganization in the Notes to Financial Statements. |
See Notes to Financial Statements.
| | |
64 | | Annual Report | June 30, 2022 |
| | |
| | |
|
| | | |
| | |
| | | | | | | | | | | | | | |
Ultra-Small Company Market | | | Small-Cap Value | |
| |
Year Ended June 30, | | | Year Ended June 30, | |
| | | |
| 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | |
| $ | 2,281,180 | | | $ | 1,998,880 | | | $ | 1,821,824 | | | $ | 378,966 | |
| | | |
| | 44,920,024 | | | | 19,005,394 | | | | 8,063,222 | | | | 12,764,810 | |
| | | |
| | (140,034,510) | | | | 124,778,419 | | | | (56,619,680 | ) | | | 35,004,764 | |
| | | |
| | (92,833,306) | | | | 145,782,693 | | | | (46,734,634 | ) | | | 48,148,540 | |
| | | |
| | (53,624,949) | | | | (6,648,679 | ) | | | (18,530,494 | ) | | | (341,445 | ) |
| | | |
| | (53,624,949) | | | | (6,648,679 | ) | | | (18,530,494 | ) | | | (341,445 | ) |
| | | |
| | 64,813,031 | | | | 167,302,221 | | | | 486,184,203 | | | | 256,235,664 | |
| | | |
| | – | | | | – | | | | 31,498,261 | | | | – | |
| | | |
| | 50,228,114 | | | | 6,293,685 | | | | 17,763,527 | | | | 323,105 | |
| | | |
| | (166,278,783) | | | | (76,694,671 | ) | | | (338,154,556 | ) | | | (43,730,499 | ) |
| | | |
| | 484,129 | | | | 426,353 | | | | – | | | | – | |
| | | |
| | (50,753,509) | | | | 97,327,588 | | | | 197,291,435 | | | | 212,828,270 | |
| | | |
| | (197,211,764) | | | | 236,461,602 | | | | 132,026,307 | | | | 260,635,365 | |
| | | |
| | 386,515,500 | | | | 150,053,898 | | | | 290,686,339 | | | | 30,050,974 | |
| | | | |
| $ | 189,303,736 | | | $ | 386,515,500 | | | $ | 422,712,646 | | | $ | 290,686,339 | |
| | | |
| | 4,188,288 | | | | 9,117,423 | | | | 13,083,837 | | | | 7,480,642 | |
| | | |
| | – | | | | – | | | | 870,985 | | | | – | |
| | | |
| | 3,734,432 | | | | 455,404 | | | | 486,768 | | | | 13,808 | |
| | | |
| | (10,161,577) | | | | (4,934,214 | ) | | | (9,514,667 | ) | | | (1,347,670 | ) |
| | | | |
| | (2,238,857) | | | | 4,638,613 | | | | 4,926,923 | | | | 6,146,780 | |
| | | |
| | 19,710,712 | | | | 15,072,099 | | | | 7,965,829 | | | | 1,819,049 | |
| | | | |
| | 17,471,855 | | | | 19,710,712 | | | | 12,892,752 | | | | 7,965,829 | |
| | |
| STATEMENT OF CHANGES IN NET ASETS (continued) | |
|
| | | |
| | |
| | | | | | | | | | | | | | | | |
| | | Blue Chip | | | Managed Volatility | |
| | | Year Ended June 30, | | | Year Ended June 30, | |
| | | | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
| | | | |
Net investment income (loss) | | $ | 7,349,192 | | | $ | 9,374,239 | | | $ | (26,779 | ) | | $ | (21,885 | ) |
| | | | |
Net realized gain on investments | | | 63,077,617 | | | | 98,537,719 | | | | 1,298,522 | | | | 711,589 | |
| | | | |
Net change in unrealized appreciation (depreciation) on investments | | | (100,719,791 | ) | | | 40,856,217 | | | | (3,608,449 | ) | | | 3,839,812 | |
| | | | | |
Net increase (decrease) in net assets resulting from operations | | | (30,292,982 | ) | | | 148,768,175 | | | | (2,336,706 | ) | | | 4,529,516 | |
| | | | |
DISTRIBUTIONS: | | | | | | | | | | | | | | | | |
| | | | |
From net investment income and net realized gains | | | (68,208,154 | ) | | | (91,100,282 | ) | | | (330,370 | ) | | | (1,473,611 | ) |
| | | | | |
Net decrease in net assets from distributions | | | (68,208,154 | ) | | | (91,100,282 | ) | | | (330,370 | ) | | | (1,473,611 | ) |
| | | | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
| | | | |
Proceeds from sale of shares | | | 37,327,153 | | | | 60,420,912 | | | | 3,754,159 | | | | 9,488,495 | |
| | | | |
Proceeds from shares issued in connection with acquisition from Plan of Reorganization | | | – | | | | – | | | | – | | | | – | |
| | | | |
Reinvestment of distributions | | | 67,289,920 | | | | 83,703,120 | | | | 311,148 | | | | 1,374,622 | |
| | | | |
Cost of shares redeemed | | | (112,061,945 | ) | | | (247,005,654 | ) | | | (8,918,751 | ) | | | (7,142,381 | ) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | | (7,444,872 | ) | | | (102,881,622 | ) | | | (4,853,444 | ) | | | 3,720,736 | |
| | | | |
Net increase (decrease) in net assets | | | (105,946,008 | ) | | | (45,213,729 | ) | | | (7,520,520 | ) | | | 6,776,641 | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
| | | | |
Beginning of year | | | 432,186,348 | | | | 477,400,077 | | | | 36,159,573 | | | | 29,382,932 | |
| | | | |
End of year | | $ | 326,240,340 | | | $ | 432,186,348 | | | $ | 28,639,053 | | | $ | 36,159,573 | |
| | | | |
SHARES ISSUED & REDEEMED | | | | | | | | | | | | | | | | |
| | | | |
Issued | | | 2,601,961 | | | | 3,926,283 | | | | 219,063 | | | | 573,942 | |
| | | | |
Shares issued in reorganization | | | – | | | | – | | | | – | | | | – | |
| | | | |
Distributions reinvested | | | 4,689,193 | | | | 6,141,095 | | | | 18,122 | | | | 85,433 | |
| | | | |
Redeemed | | | (7,729,742 | ) | | | (16,963,300 | ) | | | (518,753 | ) | | | (437,858 | ) |
Net increase (decrease) | | | (438,588 | ) | | | (6,895,922 | ) | | | (281,568 | ) | | | 221,517 | |
| | | | |
Outstanding at beginning of year | | | 27,290,333 | | | | 34,186,255 | | | | 2,110,439 | | | | 1,888,922 | |
| | | | | |
Outstanding at end of year | | | 26,851,745 | | | | 27,290,333 | | | | 1,828,871 | | | | 2,110,439 | |
See Notes to Financial Statements.
| | |
| 66 | | Annual Report | June 30, 2022 |
| | |
FINANCIAL HIGHLIGHTS | | |
| |
(for a share outstanding throughout each year indicated) | | |
| | |
AGGRESSIVE INVESTORS 1
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $82.61 | | $56.59 | | $62.01 | | $74.05 | | $66.37 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
| | | | | |
Net Investment Income(a) | | 0.69 | | 0.86 | | 0.61 | | 0.98 | | 0.23 |
| | | | | |
Net Realized and Unrealized Gain (Loss) | | (18.56) | | 25.88 | | (5.21) | | (6.93) | | 7.45 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (17.87) | | 26.74 | | (4.60) | | (5.95) | | 7.68 |
| | | | | | | | | | |
| | | | |
Less Distributions to Shareholders from: | | | | | | | | |
| | | | | |
Net Investment Income | | (0.83) | | (0.72) | | (0.82) | | (1.21) | | – |
| | | | | |
Net Realized Gain | | (6.30) | | – | | – | | (4.88) | | – |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (7.13) | | (0.72) | | (0.82) | | (6.09) | | – |
| | | | | |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $57.61 | | $82.61 | | $56.59 | | $62.01 | | $74.05 |
| | | | | | | | | | |
| | | | | |
Total Return | | (23.81%) | | 47.48% | | (7.53%) | | (6.67%) | | 11.57%(b) |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $135,510 | | $190,248 | | $142,728 | | $181,367 | | $227,562 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 0.39%(c) | | 0.34%(c) | | 0.28%(c) | | 0.35%(c) | | 0.96% |
| | | | | |
Expenses After Waivers and Reimbursements | | 0.39% | | 0.34% | | 0.28% | | 0.35% | | 0.96% |
| | | | | |
Net Investment Income After Waivers and Reimbursements | | 0.90% | | 1.22% | | 1.04% | | 1.52% | | 0.31% |
| | | | | |
Portfolio Turnover Rate | | 64% | | 88% | | 125% | | 102% | | 105% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States; consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | For years ended June 30, 2022, June 30, 2021, June 30, 2020 and June 30, 2019 the expense ratios were significantly lower than in other periods, 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.
| | |
FINANCIAL HIGHLIGHTS | |
|
| |
| (for a share outstanding throughout each year indicated) | | |
| | |
ULTRA-SMALL COMPANY
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $46.46 | | $22.06 | | $24.16 | | $32.13 | | $30.04 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income (Loss)(a) | | 0.19 | | 0.16 | | (0.02) | | 0.28 | | (0.04) |
Net Realized and Unrealized Gain (Loss) | | (9.11) | | 24.24 | | (1.80) | | (5.14) | | 2.73 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (8.92) | | 24.40 | | (1.82) | | (4.86) | | 2.69 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
| | | | | |
Net Investment Income | | (0.24) | | – | | (0.28) | | (0.01) | | (0.41) |
| | | | | |
Net Realized Gain | | (7.99) | | – | | – | | (3.10) | | (0.19) |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (8.23) | | – | | (0.28) | | (3.11) | | (0.60) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $29.31 | | $46.46(b) | | $22.06 | | $24.16 | | $32.13 |
| | | | | | | | | | |
| | | | | |
Total Return | | (21.04%) | | 110.61% | | (7.63%) | | (14.48%) | | 9.13% |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $78,488 | | $109,592 | | $57,511 | | $74,005 | | $96,754 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 1.15% | | 1.19% | | 1.32% | | 1.21% | | 1.18% |
| | | | | |
Expenses After Waivers and Reimbursements | | 1.15% | | 1.19% | | 1.32% | | 1.21% | | 1.18% |
| | | | | |
Net Investment Income (Loss) After Waivers and Reimbursements | | 0.50% | | 0.48% | | (0.09%) | | 1.00% | | (0.14%) |
| | | | | |
Portfolio Turnover Rate | | 109% | | 82% | | 104% | | 93% | | 89% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States; consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
See Notes to Financial Statements.
| | |
68 | | Annual Report | June 30, 2022 |
| | |
FINANCIAL HIGHLIGHTS | |
|
| |
| (for a share outstanding throughout each year indicated) | | |
| | |
ULTRA-SMALL COMPANY MARKET
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $19.61 | | $9.96 | | $11.34 | | $15.81 | | $14.93 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | | 0.13 | | 0.13 | | 0.13 | | 0.11 | | 0.08 |
Net Realized and Unrealized Gain (Loss) | | (5.43) | | 9.98 | | (1.36) | | (2.93) | | 2.76 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (5.30) | | 10.11 | | (1.23) | | (2.82) | | 2.84 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
| | | | | |
Net Investment Income | | (0.12) | | (0.14) | | (0.15) | | (0.08) | | (0.02) |
| | | | | |
Net Realized Gain | | (3.39) | | (0.35) | | – | | (1.57) | | (1.94) |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (3.51) | | (0.49) | | (0.15) | | (1.65) | | (1.96) |
| | | | | | | | | | |
| | | | | |
Paid-in Capital from Redemption Fees(a) | | 0.03 | | 0.03 | | 0.00(b) | | 0.00(b) | | 0.00(b) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $10.83 | | $19.61 | | $9.96 | | $11.34 | | $15.81 |
| | | | | | | | | | |
| | | | | |
Total Return | | (30.38%)(c) | | 103.83% | | (10.99%)(c) | | (16.98%)(c) | | 20.86%(c) |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $189,304 | | $386,516 | | $150,054 | | $236,371 | | $378,144 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 0.78% | | 0.75% | | 0.82% | | 0.77% | | 0.75% |
| | | | | |
Expenses After Waivers and Reimbursements | | 0.75% | | 0.75% | | 0.75% | | 0.75% | | 0.75% |
| | | | | |
Net Investment Income After Waivers and Reimbursements | | 0.85% | | 0.83% | | 1.27% | | 0.84% | | 0.52% |
Portfolio Turnover Rate | | 47% | | 52% | | 51% | | 38% | | 35% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Amount represents less than $0.005. |
| (c) | Total return would have been lower had various fees not been waived during the year. |
See Notes to Financial Statements.
| | |
FINANCIAL HIGHLIGHTS | |
|
| |
| (for a share outstanding throughout each year indicated) | | |
SMALL-CAP VALUE
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $36.49 | | $16.52 | | $20.24 | | $29.60 | | $24.82 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | | 0.15 | | 0.12 | | 0.19 | | 0.47 | | 0.20 |
Net Realized and Unrealized Gain (Loss) | | (2.12) | | 20.05 | | (3.40) | | (5.72) | | 4.81 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (1.97) | | 20.17 | | (3.21) | | (5.25) | | 5.01 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
| | | | | |
Net Investment Income | | (0.10) | | (0.20) | | (0.51) | | (0.74) | | (0.23) |
| | | | | |
Net Realized Gain | | (1.63) | | – | | – | | (3.37) | | – |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (1.73) | | (0.20) | | (0.51) | | (4.11) | | (0.23) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $32.79 | | $36.49 | | $16.52 | | $20.24 | | $29.60 |
| | | | | | | | | | |
| | | | | |
Total Return | | (5.81%) | | 122.77% | | (16.43%)(b) | | (17.12%)(b) | | 20.32%(b) |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $422,713 | | $290,686 | | $30,051 | | $49,652 | | $69,317 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 0.83% | | 0.91% | | 1.12% | | 1.00% | | 0.94% |
| | | | | |
Expenses After Waivers and Reimbursements | | 0.83% | | 0.91% | | 0.94% | | 0.94% | | 0.94% |
| | | | | |
Net Investment Income After Waivers and Reimbursements | | 0.42% | | 0.40% | | 1.01% | | 1.97% | | 0.74% |
| | | | | |
Portfolio Turnover Rate | | 95% | | 91% | | 87% | | 84% | | 78% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Total return would have been lower had various fees not been waived during the year. |
See Notes to Financial Statements.
| | |
70 | | Annual Report | June 30, 2022 |
| | |
FINANCIAL HIGHLIGHTS | | |
| |
| (for a share outstanding throughout each year indicated) | | |
BLUE CHIP
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $15.84 | | $13.96 | | $14.99 | | $14.62 | | $13.71 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | | 0.27 | | 0.31 | | 0.33 | | 0.34 | | 0.31 |
Net Realized and Unrealized Gain (Loss) | | (1.34) | | 4.73 | | 0.28 | | 1.75 | | 1.33 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (1.07) | | 5.04 | | 0.61 | | 2.09 | | 1.64 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
| | | | | |
Net Investment Income | | (0.30) | | (0.35) | | (0.32) | | (0.31) | | (0.31) |
| | | | | |
Net Realized Gain | | (2.32) | | (2.81) | | (1.32) | | (1.41) | | (0.42) |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (2.62) | | (3.16) | | (1.64) | | (1.72) | | (0.73) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $12.15 | | $15.84 | | $13.96 | | $14.99 | | $14.62 |
| | | | | | | | | | |
| | | | | |
Total Return(b) | | (9.32%) | | 39.75% | | 3.49% | | 16.26% | | 11.98% |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $326,240 | | $432,186 | | $477,400 | | $505,029 | | $567,513 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 0.23% | | 0.24% | | 0.27% | | 0.25% | | 0.22% |
| | | | | |
Expenses After Waivers and Reimbursements | | 0.15% | | 0.15% | | 0.15% | | 0.15% | | 0.15% |
| | | | | |
Net Investment Income After Waivers and Reimbursements | | 1.81% | | 2.07% | | 2.28% | | 2.28% | | 2.17% |
| | | | | |
Portfolio Turnover Rate | | 24% | | 7% | | 15% | | 20% | | 14% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Total return would have been lower had various fees not been waived during the year. |
See Notes to Financial Statements.
| | |
FINANCIAL HIGHLIGHTS | | |
| |
| (for a share outstanding throughout each year indicated) | | |
| | |
MANAGED VOLATILITY
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
| | | | | |
Net Asset Value, Beginning of Year | | $17.13 | | $15.56 | | $15.05 | | $15.75 | | $14.79 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
| | | | | |
Net Investment Income (Loss)(a) | | (0.01) | | (0.01) | | 0.12 | | 0.16 | | 0.10 |
| | | | | |
Net Realized and Unrealized Gain (Loss) | | (1.28) | | 2.35 | | 0.55 | | 0.06 | | 0.95 |
| | | | | | | | | | |
| | | | | |
Total from Investment Operations | | (1.29) | | 2.34 | | 0.67 | | 0.22 | | 1.05 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
| | | | | |
Net Investment Income | | – | | – | | (0.16) | | (0.31) | | (0.09) |
| | | | | |
Net Realized Gain | | (0.18) | | (0.77) | | – | | (0.61) | | – |
| | | | | | | | | | |
| | | | | |
Total Distributions | | (0.18) | | (0.77) | | (0.16) | | (0.92) | | (0.09) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $15.66 | | $17.13 | | $15.56 | | $15.05 | | $15.75 |
| | | | | | | | | | |
| | | | | |
Total Return(b) | | (7.62%) | | 15.33% | | 4.45% | | 1.74% | | 7.11% |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
| | | | | |
Net Assets, End of Year (in 000’s) | | $28,639 | | $36,160 | | $29,383 | | $30,657 | | $32,816 |
| | | | | |
Expenses Before Waivers and Reimbursements | | 1.19% | | 1.21% | | 1.27% | | 1.24% | | 1.20% |
| | | | | |
Expenses After Waivers and Reimbursements | | 0.94% | | 0.94% | | 0.94% | | 0.94% | | 0.94% |
| | | | | |
Net Investment Income (Loss) After Waivers and Reimbursements | | (0.08%) | | (0.07%) | | 0.77% | | 1.06% | | 0.64% |
| | | | | |
Portfolio Turnover Rate | | 66% | | 41% | | 68% | | 69% | | 50% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Total return would have been lower had various fees not been waived during the year. |
See Notes to Financial Statements.
| | |
| 72 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS | |
|
June 30, 2022
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 eight investment funds as of June 30, 2022. The Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Value, Blue Chip, and Managed Volatility Funds are presented in this report (each is referred to as a “Fund” and collectively, the “Funds”). The Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are included in a separate report.
Small-Cap Growth Fund was reorganized into Small-Cap Value Fund on September 24, 2021. (See Note 9).
Bridgeway is authorized to issue 1,915,000,000 shares of common stock at $0.001 per share. As of June 30, 2022, 130,000,000 shares have been classified into the Blue Chip Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Aggressive Investors 1, Ultra-Small Company Market, Omni Small-Cap Value, Omni Tax-Managed Small-Cap Value, and Small-Cap Value 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).
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, and Small-Cap Value Funds seek to provide a long-term total return-on-capital, primarily through capital appreciation.
The Blue Chip 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, LLC (the “Adviser”) is the investment adviser for all of the Funds.
| 2. | Significant Accounting Policies: |
Following is a summary of significant accounting policies that are followed in the preparation of the financial statements of the Funds. They 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 that incorporates market observable data such as reported sales of similar securities, broker quotes, bids, offers and current market quotations by a pricing service. Options are valued at the close if
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
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.
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 US 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.
| · | | 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, 2022 is included with each Fund’s Schedule of Investments.
Details regarding material transfers into, and material transfers out of, Level 3, if any, can be found at the end of each Schedule of Investments for Funds that held Level 3 securities.
Securities Lending Upon lending its securities to third parties, each participating 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. The
| | |
74 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
remaining contractual maturity of all securities lending transactions is overnight and continuous. 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 unrealized 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 market value of securities on loan, all of which are classified as common stocks in the Funds’ Schedules of Investments, and the value of the related cash collateral are shown in the Statements of Assets and Liabilities as a component of Investments at value. Securities lending transactions are considered to be overnight and continuous and can be terminated by the Funds or the borrower at any time. During the year ended June 30, 2022 the Blue Chip and Managed Volatility Funds did not have any securities lending transactions.
The following table is a summary of the Funds’ payable upon return of securities loaned and related cash collateral, which are subject to a netting agreement as of June 30, 2022:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Gross Amount Not Offset
in the Statements of
Assets and Liabilities | | | | |
| Fund | | Gross Amounts of Recognized Liabilities1 | | | Gross Amounts Offset in the Statements of Assets and Liabilities | | | Net Amounts of Assets Presented in the Statements of Assets and Liabilities | | Financial Instruments | | | Collateral Received | | | Net Amount | |
| | | | | | |
Aggressive Investors 1 | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | | | $3,246,864 | | | | $– | | | | $3,246,864 | | | | $– | | | | $3,246,864 | | | | $– | |
Ultra-Small Company | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | | | $7,540,408 | | | | – | | | | $7,540,408 | | | | – | | | | $7,540,408 | | | | – | |
Ultra-Small Company Market | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | | | $21,512,037 | | | | – | | | | $21,512,037 | | | | – | | | | $21,512,037 | | | | – | |
Small-Cap Value | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | | | $16,945,601 | | | | – | | | | $16,945,601 | | | | – | | | | $16,945,601 | | | | – | |
| 1 | Securities loaned with a value of $91,781 in Ultra-Small Company Market have been sold and are pending settlement on June 30, 2022. |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
The following table summarizes the securities received as non-cash collateral and cash collateral for securities lending:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Non-Cash Collateral | | | | | | | | | | |
| Fund | | Collateral Type | | | Coupon Range | | | Maturity Date Range | | | Market Value | | | Cash Collateral | | | Total Collateral | | | Market Value of Securities on Loan | |
| | | | | | | |
Aggressive Investors 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | |
| U.S.Gov’t
Obligations |
| |
| 0.13%-
4.75% |
| |
| 10/31/22-
05/15/52 |
| | | $1,220,219 | | | | $3,246,864 | | | | $4,467,083 | | | | $4,350,581 | |
Ultra-Small Company | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | |
| U.S.Gov’t
Obligations |
| |
| 0.00%-
4.75% |
| |
| 07/31/22-
05/15/52 |
| | | $3,717,725 | | | | $7,540,408 | | | | $11,258,133 | | | | $10,774,123 | |
Ultra-Small Company Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | |
| U.S.Gov’t
Obligations |
| |
| 0.00%-
4.63% |
| |
| 07/31/22-
11/15/51 |
| | | $1,177,428 | | | | $21,512,037 | | | | $22,689,465 | | | | $21,502,560 | |
Small-Cap Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Securities lending | |
| U.S.Gov’t
Obligations |
| |
| 0.00%-
4.75% |
| |
| 07/14/22-
05/15/52 |
| | | $7,083,332 | | | | $16,945,601 | | | | $24,028,933 | | | | $22,899,957 | |
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, 2022, the collateral consisted of an institutional government money market fund and US Government Obligations.
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.
Concentrations of Credit Risk The Funds maintain cash and securities in its custody account, maintained by a high-credit, quality financial institution. Cash balances may, at times, exceed the FDIC insurance limit. Cash balances are generally invested in a short-term investment vehicle, which minimizes the risk of cash balances exceeding the FDIC insurance limit.
Sector Concentration Risk Companies with similar characteristics may be grouped together in broad categories called sectors. Although the Fund seeks investments across a number of sectors, from time to time, based on economic conditions, the Fund may have significant positions in particular sectors. A certain sector may underperform other sectors or the market as a whole. As more assets are held in a specific sector, a Fund’s performance will be more susceptible to any economic, business or other developments which generally affect that sector.
Risks and Uncertainties The Funds provide for various investment options, including stocks, bonds, and call and put options. Such investments are exposed to 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.
The global pandemic outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19 has resulted in substantial market volatility and global business disruption, affecting the global economy and the financial health of individual companies in significant and unforeseen ways. COVID-19 has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures, cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. Instability in the United States, European and other credit markets has made it more difficult for borrowers to obtain financing or refinancing on attractive terms or at all. In particular, because of the current conditions in the credit markets, borrowers may be subject to increased interest expenses
| | |
76 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
for borrowed money and tightening underwriting standards. In addition, stock prices as well as yield could be negatively impacted to the extent that issuers of equity securities cancel or announce the suspension of dividends or share buybacks. The COVID-19 pandemic could continue to inhibit global, national, and local economic activity, and constrain access to capital and other sources of funding. Various recent government interventions have been aimed at curtailing the distress to financial markets caused by the COVID-19 outbreak. There can be no guarantee that these or other economic stimulus plans (within the United States or other affected countries throughout the world) will be sufficient or will have their intended effect. In addition, an unexpected or quick reversal of such policies could increase market volatility, which could adversely affect a Fund’s investments. The duration and future impact of COVID-19 are currently unknown, which may exacerbate the other risks that apply to a Fund and could negatively affect Fund performance and the value of your investment in a Fund.
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 as related to the Managed Volatility Fund, discounts and premiums are accreted/amortized using the effective interest method. Income from the securities lending program is recorded when earned from the securities lending agent and reflected in the Statement of Operations under “Securities lending.”
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, 2022 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.
| | | | | | |
Primary Underlying Risk/Fund | | Derivative Assets | | Derivative Liabilities | | Location on Statement of Assets and Liabilities |
| | | |
Equity Risk | | | | | | |
Managed Volatility: | | | | | | |
Written Put Options | | – | | $525,681 | | Put options written at value |
Written Call Options | | – | | 305,310 | | Call options written at value |
| | | |
Primary Underlying Risk/Fund | | Amount of Realized Gain (Loss) on Derivatives | | Amount of Unrealized Gain (Loss) on Derivatives | | Location of Gain (Loss) in the Statement of Operations |
| | | |
Equity Risk | | | | | | |
Managed Volatility: | | | | | | |
Written Options | | $1,493,466 | | | | Realized Gain (Loss) on Written Options Change in Unrealized Appreciation (Depreciation) on Written Options Realized Gain (Loss) on Futures Contracts |
| | | | $(84,203) |
Futures Contracts | | $386,866 | | – |
The derivative instruments outstanding as of June 30, 2022, as disclosed in the Schedule of Investments, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the year ended June 30, 2022, as disclosed in the Statements of Operations, serve as indicators of the volume of derivatives activity for the Funds.
Futures Contracts The Funds may purchase or sell financial futures contracts to hedge cash positions, manage market risk, and to dampen volatility in line with investment objectives. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract, a Fund is required to pledge
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
to the broker an amount of cash or US 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, 2022, 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.
Outstanding written options as of June 30, 2022 for the Managed Volatility Fund are included in the Schedule of Investments. The Aggressive Investors 1 Fund had no transactions in written options during the year ended June 30, 2022.
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 Fund and Small-Cap Value Fund each have management fees that are comprised of a base fee, which is applied to the Fund’s average annual net assets, and a performance adjustment, which adjusts the fee upward or
| | |
78 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
downward depending on a Fund’s performance relative to the applicable market index over a rolling five-year performance period, and is applied to the Fund’s average daily net assets over this performance period.
Because the performance adjustment is based on a Fund’s performance relative to the applicable market index, and not the Fund’s absolute performance, the performance adjustment could increase the Adviser’s fee even if the Fund’s shares lose value over the performance period, provided that the Fund outperformed its market index, or could decrease the Adviser’s fee even if the Fund’s shares increase in value during the performance period, provided that the Fund underperformed its market index. Also, depending on a Fund’s performance relative to the applicable market index over the rolling five-year performance period, the performance adjustment could increase the Adviser’s fee even if the Fund has experienced underperformance relative to its market index in the short-term, or could decrease the Adviser’s fee even if the Fund has experienced outperformance relative to its market index in the short-term. However, no performance fee adjustment will be applied to the Adviser’s fee if the cumulative difference between a Fund’s performance and that of the applicable market index is less than or equal to 2% over the rolling five-year performance period.
Additionally, because the base fee is applied to average annual net assets, and the performance adjustment is calculated over a rolling five-year performance period, it is possible that if a Fund underperforms the applicable market index significantly over the performance period, and the Fund’s assets have declined significantly over that performance period, the negative performance adjustment may exceed the base fee. In this event, the Adviser would make a payment to the Fund.
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 net assets in excess of $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 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 each Fund’s average daily net assets.
The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 2000 Value Index, with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund Performance and the Index performance is less than or equal to 2%.
Blue Chip: 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.
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
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, 2022. 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 Ended 06/30/22 | |
| | | | | | | | |
Aggressive Investors 1 | | | 1.75% | | | | $– | |
Ultra-Small Company | | | 1.85% | | | | – | |
Ultra-Small Company Market | | | 0.75% | | | | 76,926 | |
Small-Cap Value | | | 0.94% | | | | – | |
Blue Chip | | | 0.15% | | | | 335,376 | |
Managed Volatility | | | 0.94% | | | | 81,991 | |
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 a report on inter-portfolio trades quarterly. Inter-portfolio purchases and sales during the year ended June 30, 2022 were as follows:
| | | | | | | | |
| Bridgeway Fund | | Inter-Portfolio
Purchases | | | Inter-Portfolio
Sales | |
| | | | | | | | |
Aggressive Investors 1 | | | $ 1,966,880 | | | $ | – | |
Ultra-Small Company | | | 13,861,316 | | | | 19,119,036 | |
Ultra-Small Company Market | | | 6,663,336 | | | | 30,209,643 | |
Small-Cap Value | | | 18,883,015 | | | | 13,131,130 | |
Blue Chip | | | – | | | | 1,966,880 | |
The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Funds, including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds;(iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an annual aggregate fee of $150,000, payable in equal monthly installments. For the allocation of this expense to each of the Funds, please see the Statements of Operations.
Board of Directors Compensation Independent Directors are paid an annual retainer of $20,000, 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. In addition, effective November 11, 2021 Independent Directors are paid $14,000 per meeting for meeting fees. Prior to November 11, 2021 the meeting fee was $12,000. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.
Independent 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.
| | |
80 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
| 4. | Distribution Agreement: |
Foreside Fund Services, LLC acts as distributor of the Funds’ shares, pursuant to a Distribution Agreement dated September 30, 2021. 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, 2022 were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | |
| Bridgeway Fund | | U.S. Government | | | Other | | | U.S. Government | | | Other | |
| | | | | | | | | | | | | | | | |
Aggressive Investors 1 | | | $– | | | $ | 112,148,283 | | | | $– | | | $ | 121,012,926 | |
Ultra-Small Company | | | – | | | | 102,686,712 | | | | – | | | | 110,658,770 | |
Ultra-Small Company Market | | | – | | | | 128,560,049 | | | | – | | | | 228,283,575 | |
Small-Cap Value | | | – | | | | 563,530,927 | | | | – | | | | 409,200,428 | |
Blue Chip | | | – | | | | 94,686,586 | | | | – | | | | 162,907,427 | |
Managed Volatility | | | – | | | | 13,613,123 | | | | – | | | | 12,844,901 | |
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 the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.
Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/depreciation and the cost of investment securities for tax purposes, including short-term securities as of June 30, 2022, were as follows:
| | | | | | |
| | | Aggressive
Investors 1 | | Ultra-Small
Company | | Ultra-Small
Company Market |
Gross appreciation (excess of value over tax cost) | | $15,383,294 | | $14,239,885 | | $36,453,032 |
Gross depreciation (excess of tax cost over value) | | (27,769,390) | | (13,877,704) | | (58,141,419) |
Net unrealized appreciation (depreciation) | | $(12,386,096) | | $362,181 | | $(21,688,387) |
Cost of investments for income tax purposes | | $151,144,408 | | $85,600,836 | | $233,303,262 |
| | | |
| | | Small-Cap Value | | Blue Chip | | Managed Volatility |
Gross appreciation (excess of value over tax cost) | | $32,606,691 | | $179,944,551 | | $7,045,779 |
Gross depreciation (excess of tax cost over value) | | (51,086,231) | | (15,655,481) | | (803,874) |
Net unrealized appreciation (depreciation) | | $(18,479,540) | | $164,289,070 | | $6,241,905 |
Cost of investments for income tax purposes | | $462,575,065 | | $162,027,326 | | $20,723,198 |
The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale and straddle loss deferrals.
Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2022 and June 30, 2021 respectively, are as follows:
| | | | | | | | | | | | | | | | |
| | | Aggressive Investors 1 | | | Ultra-Small Company | |
| | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | | $1,913,699 | | | | $1,732,414 | | | | $4,776,033 | | | | $– | |
Long-Term Capital Gain | | | 14,127,616 | | | | – | | | | 14,127,123 | | | | – | |
Total | | | $16,041,315 | | | | $1,732,414 | | | | $18,903,156 | | | | $– | |
| | |
| | | Ultra-Small Company Market | | | Small-Cap Value | |
| | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | | $1,841,115 | | | | $1,880,651 | | | | $12,576,425 | | | | $341,445 | |
Long-Term Capital Gain | | | 51,783,834 | | | | 4,768,028 | | | | 5,954,069 | | | | – | |
Total | | | $53,624,949 | | | | $6,648,679 | | | | $18,530,494 | | | | $341,445 | |
| | |
| | | Blue Chip | | | Managed Volatility | |
| | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | | | Year Ended June 30, 2022 | | | Year Ended June 30, 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | | $7,707,659 | | | | $9,979,722 | | | | $146,278 | | | | $– | |
Long-Term Capital Gain | | | 60,500,495 | | | | 81,120,560 | | | | 184,092 | | | | 1,473,611 | |
Total | | | $68,208,154 | | | | $91,100,282 | | | | $330,370 | | | | $1,473,611 | |
Components of Accumulated Earnings As of June 30, 2022, the components of accumulated earnings on a tax basis were:
| | | | | | |
| | | Aggressive Investors 1 | | Ultra-Small Company | | Ultra-Small Company Market |
Accumulated Net Investment Income | | $– | | $– | | $1,949,019 |
Capital Loss Carryovers | | – | | – | | – |
Accumulated Net Realized Gain on Investments | | – | | 12,493,629 | | 1,992,833 |
Qualified Late Year Deferred Losses* | | (2,514,682) | | (6,629,149) | | – |
Other Temporary Differences** | | – | | – | | – |
Net Unrealized (Depreciation) Appreciation of Investments | | (12,386,107) | | 362,180 | | (21,688,386) |
Total | | $(14,900,789) | | $6,226,660 | | $(17,746,534) |
| | |
82 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
| | | | | | |
| | | Small-Cap Value | | Blue Chip | | Managed Volatility |
Accumulated Net Investment Income | | $– | | $2,635,655 | | $– |
Capital Loss Carryovers | | – | | – | | – |
Accumulated Net Realized Gain on Investments | | – | | 43,117,575 | | 1,361,421 |
Qualified Late Year Deferred Losses* | | (2,280,345) | | – | | – |
Other Temporary Differences** | | – | | – | | (12,124) |
Net Unrealized (Depreciation) Appreciation of Investments | | (18,479,540) | | 164,289,070 | | 6,260,130 |
Total | | $(20,759,885) | | $210,042,300 | | $7,609,427 |
| * | Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2023. The Ultra-Small Company Fund has elected to defer qualified short term losses of $(6,629,149). The Small-Cap Value Fund has elected to defer qualified short term and long term gains (losses) of $(2,280,345). The Aggressive Investors 1 Fund has elected to defer late-year ordinary, short term and long term capital gains (losses) of $(2,514,682). The Ultra-Small Company Market, Blue Chip and Managed Volatility Funds have no deferred qualified ordinary late-year losses, short term capital losses or long term capital losses. |
| ** | Includes other temporary differences of $(12,124) for deferred straddle losses outstanding. |
For the fiscal year June 30, 2022, 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 | | $14,690 | | $510,366 | | $6,839,365 |
Distributable Earnings | | (14,690) | | (510,366) | | (6,839,365) |
| |
| | | Increase (Decrease) |
| | | Small-Cap Value | | Blue Chip | | Managed Volatility |
Paid-In Capital | | $(8,217,491) | | $5,276,786 | | $(26,780) |
Distributable Earnings | | 8,217,491 | | (5,276,786) | | 26,780 |
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, excess distributions, the write-off of unused net operating loss, redesignation of dividends paid, investments in PFICs and the unrealized gains/(losses) from the reorganization of the Small-Cap Growth Fund into the Small-Cap Value Fund.
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 the individual 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.
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 9, 2022. 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 0.10% 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
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
facility fees are payable quarterly in arrears and are allocated to all participating Funds. Interest expense is charged directly to a Fund based upon actual amounts borrowed by such Fund.
For the year ended June 30, 2022, 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 | | | 1.54 | % | | | $635,727 | | | | 55 | | | | $1,492 | | | | $2,025,000 | |
Ultra-Small Company | | | 1.40 | % | | | 851,691 | | | | 162 | | | | 5,374 | | | | 2,888,000 | |
Ultra-Small Company Market | | | 1.34 | % | | | 3,064,389 | | | | 108 | | | | 12,293 | | | | 15,000,000 | |
Small-Cap Value | | | 1.80 | % | | | 4,448,616 | | | | 138 | | | | 30,648 | | | | 15,000,000 | |
Blue Chip | | | 1.47 | % | | | 687,823 | | | | 266 | | | | 7,481 | | | | 9,757,000 | |
Managed Volatility | | | 1.34 | % | | | 1,124,286 | | | | 7 | | | | 292 | | | | 1,533,000 | |
1Interest expense is included on the Statements of Operations in Miscellaneous expenses. | |
On June 30, 2022, Small Cap Value Fund had loans outstanding in the amount of $3,894,000, exclusive of interest payable on the loans.
In Ultra-Small Company Market Fund, 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 Fund to help offset transaction costs. The fee is accounted for as an addition to paid-in capital.
On September 22, 2021, the shareholders of the Small-Cap Growth Fund approved a Plan of Reorganization between the Small-Cap Growth Fund and Small-Cap Value Fund providing for (i) the conversion of the shares of the Small-Cap Growth Fund into shares of the Small-Cap Value Fund and (ii) the transfer to the Small-Cap Value Fund of all of the property and assets of the Small-Cap Growth Fund. The acquisition was accomplished by a tax free exchange of 870,985 shares of Small-Cap Value Fund (valued at $31,498,261) for all 1,005,587 shares outstanding of the Small-Cap Growth Fund on September 24, 2021. The investment portfolio of Small-Cap Growth Fund with a fair value of $31,605,638 and a cost basis of $23,454,026 was the principal asset acquired by the Small-Cap Value Fund. For financial reporting purposes, assets received and shares issued by Small-Cap Value were recorded at fair value; however, the cost basis of the investments received from Small-Cap Growth Fund was carried forward to align ongoing reporting of Small-Cap Value Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Small-Cap Growth Fund’s net assets at that date ($31,498,261), including $8,151,612 of unrealized appreciation, were combined with those of Small-Cap Value Fund. The aggregate net assets of Small-Cap Value Fund immediately before the acquisition were $307,363,287. All costs (except for brokerage costs) associated with the Plan of Reorganization were paid by the Adviser.
On May 12, 2022, the Board of Directors of Bridgeway Funds, Inc., on behalf of the Blue Chip Fund (“BC Fund”), approved an Agreement and Plan of Reorganization (the “Plan”) providing for the reorganization of the Blue Chip Fund into EA Bridgeway Blue Chip ETF (the “BC ETF”), a newly-organized series of the EA Series Trust. Under the Plan, the BC Fund will transfer all of its assets and liabilities to the BC ETF in exchange for shares of the BC ETF, which will be distributed to shareholders of the BC Fund at the same total value as held in the BC Fund immediately prior to the reorganization. The Plan is subject to approval by the shareholders of the BC Fund.
| | |
84 | | Annual Report | June 30, 2022 |
| | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | |
|
June 30, 2022
To the Board of Directors of Bridgeway Funds, Inc.
and the Shareholders of Aggressive Investors 1 Fund, Ultra-Small Company Fund,
Ultra-Small Company Market Fund, Small-Cap Value Fund,
Blue Chip Fund, and Managed Volatility Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Aggressive Investors 1 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Small-Cap Value Fund, Blue Chip Fund, and Managed Volatility Fund, each a series of shares of beneficial interest in Bridgeway Funds, Inc. (the “Funds”), including the schedules of investments, as of June 30, 2022, 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, the financial highlights for each of the years in the five-year period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, 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 in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022 by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the Bridgeway Funds, Inc. since 2005.
Philadelphia, Pennsylvania
August 25, 2022
| | |
| OTHER INFORMATION | |
|
June 30, 2022 (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, 2022. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2021.
The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2022 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 and the regulations there under.
| | | | | | | | | | | | |
| | | Aggressive Investors 1 | | | Ultra-Small Company | | | Ultra-Small Company Market | |
Corporate Dividends Received Deduction | | | 85.49 | % | | | 24.82 | % | | | 96.09 | % |
Qualified Dividend Income | | | 97.16 | % | | | 25.24 | % | | | 94.68 | % |
Qualified Interest Related Dividends | | | 0.02 | % | | | 0.08 | % | | | 0.01 | % |
Qualified Short Term Capital Gain Dividends | | | 0.00 | % | | | 100.00 | % | | | 0.00 | % |
U.S. Government Income | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
| | | |
| | | Small-Cap Value | | | Blue Chip | | | Managed Volatility | |
Corporate Dividends Received Deduction | | | 48.68 | % | | | 100.00 | % | | | 100.00 | % |
Qualified Dividend Income | | | 15.45 | % | | | 100.00 | % | | | 100.00 | % |
Qualified Interest Related Dividends | | | 0.11 | % | | | 0.01 | % | | | 0.00 | % |
Qualified Short Term Capital Gain Dividends | | | 100.00 | % | | | 0.00 | % | | | 100.00 | % |
U.S. Government Income | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
US Government Income represents the amount of interest that was derived from direct US 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, 2022, the Funds paid distributions from ordinary income and long-term capital gain that included equalization debits summarized below:
| | | | | | | | | | | | |
| | | Aggressive Investors 1 | | | Ultra-Small Company | | | Ultra-Small Company Market | |
Ordinary Income Distributions | | | $ 1,913,699 | | | | $ 4,776,033 | | | | $ 1,841,115 | |
Equalization Debits Included in Ordinary Income Distributions | | | 14,690 | | | | — | | | | 332,057 | |
Long-Term Capital Gain Distributions | | | 14,127,616 | | | | 14,127,123 | | | | 51,783,834 | |
Equalization Debits Included in Long-Term Capital Gain Distributions | | | — | | | | 510,366 | | | | 6,507,305 | |
| | |
86 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
| | | | | | | | | | | | |
| | | Small-Cap
Value | | | Blue
Chip | | | Managed
Volatility | |
Ordinary Income Distributions | | | $ 12,576,425 | | | | $ 7,707,659 | | | | $ 146,278 | |
Equalization Debits Included in Ordinary Income Distributions | | | – | | | | 555,761 | | | | – | |
Long-Term Capital Gain Distributions | | | 5,954,069 | | | | 60,500,495 | | | | 184,092 | |
Equalization Debits Included in Long-Term Capital Gain Distributions | | | – | | | | 4,721,025 | | | | – | |
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and a summary of proxies voted by the Funds for the period ended June 30, 2022 are available without charge, upon request, by contacting Bridgeway Funds at 800-661-3550 and on the SEC’s website at http://www.sec.gov.
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 as an exhibit to Form N-PORT within 60 days after the end of the period. Copies of the Funds’ Form N-PORT exhibit are available without charge, upon request, by contacting Bridgeway Funds at 800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy the Funds’ Form N-PORT exhibit 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. | Liquidity Risk Management Program Review |
The Securities and Exchange Commission (the “SEC”) adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
Each series (the “Funds”) of Bridgeway Funds, Inc. (the “Company”) has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Company’s Board of Directors (the “Board”) has designated the Liquidity Risk Management Committee (“LRMC”) of Bridgeway Capital Management, LLC, the investment adviser to the Funds, as the Program Administrator for each Fund. As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each of the Fund’s portfolio investments into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for Funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments that would result in the Fund holding more than 15% of its net assets in Illiquid investments that are assets (“Illiquid Assets”). The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Fund’s holdings of Illiquid Assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls (i.e., instances when the percentage of a Fund’s net assets in Highly Liquid investments is below the Fund’s current HLIM), including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
In assessing and managing each Fund’s liquidity risk, the LRMC considers, as relevant, a variety of factors, including: (1) the Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Fund during both normal and reasonably foreseeable stressed conditions; and (3) the Fund’s holdings of cash and cash equivalents and any borrowing arrangements or other funding sources. Classification of the Fund’s portfolio investments into one of the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Fund primarily holds assets that are classified as Highly Liquid, and therefore is not currently required to establish an HLIM.
At a meeting of the Company’s Board held on February 10, 2022, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy, and effectiveness of its implementation for the annual period from December 1, 2020 through November 30, 2021 (the “Reporting Period”). In its report to the Board, the Program Administrator concluded that the Program is reasonably designed to comply with the Liquidity Rule, to assess and manage liquidity risk of each Fund, was implemented adequately and effectively and operated for each Fund during the Reporting Period and each Fund was able to meet requests for redemptions without significant dilution of remaining investors’ interests in the Fund.
There can be no assurance that in the future the Program will achieve its objectives of reducing the risk that the Funds will be unable to meet their redemption obligations and mitigating the dilution of the interests of Fund shareholders. Please refer to the Funds’ Statement of Additional Information for more information regarding the Funds’ exposure to liquidity risk and other risks to which the Funds may be subject.
| 5. | Approval of Investment Management Agreement |
Bridgeway Funds, Inc.’s (the “Company”) management agreement (the “Management Agreement”) with its investment adviser, Bridgeway Capital Management, LLC (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 by the board of directors of the Company (the “Board” or “Directors”) or a vote of a majority of the outstanding voting securities of each fund. In addition, the renewal must be approved by 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 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 or its standing committees consider at meetings during the year various factors that are relevant to the annual renewal of each fund’s Management Agreement, including the quality of services and support provided to each fund by the Adviser, the Adviser’s compliance program, including the effectiveness of its implementation, 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. Additionally, between regular Board meetings the Adviser provides the Board with updated financial information on the Adviser and strategic direction and marketing efforts.
On May 12, 2022, the Board, including a majority of the Independent Directors, met (the “Meeting”) with the Adviser, the Company’s outside legal counsel, independent legal counsel to the Independent Directors (“Independent Legal Counsel”) and others to consider information bearing on the continuation of the Management Agreement with respect to the following funds of the Company: Aggressive Investors 1 Fund, Ultra-Small Company Fund, Ultra-Small Company Market Fund, Small-Cap Value Fund, Blue Chip Fund and Managed Volatility Fund (each a “Fund” and together, the “Funds”). The Directors noted that, subject to shareholder approval, the Blue Chip Fund would be converted into an exchange-traded fund through its reorganization into a newly-created series of another open-end, registered investment company. The Meeting was held by video conference due to circumstances related to current or potential effects of COVID-19 pursuant to temporary exemptive relief issued by the Securities and Exchange Commission.
In reaching its decisions regarding the renewal of the Management Agreement for each Fund, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and committee meetings, as applicable and
| | |
88 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
as described above, as well as the information provided to it specifically in relation to the annual consideration of the approval of the continuation of the Management Agreement for each Fund.
In preparation for the Meeting, the Independent Directors requested that the Adviser provide specific information relevant to the Board’s consideration of the renewal of the Management Agreement with respect to each Fund. In response to that request, the Board was furnished with a wide variety of information with respect to each Fund, including information regarding:
| · | | investment performance over various time periods and the fees and expenses of the Fund as compared to a comparable group of funds as determined and prepared by Broadridge, an independent provider of investment company data; |
| · | | the nature, extent and quality of services provided by the Adviser to the Fund under the Management Agreement; |
| · | | actual management fees paid by the Fund to the Adviser and a comparison of those fees with the management fees charged to other advisory clients of the Adviser, as applicable; |
| · | | the Adviser’s costs of providing services to the Fund and the profitability of the Adviser from its relationship with the Fund; |
| · | | the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect these economies of scale for the benefit of Fund investors; and |
| · | | any potential “fall-out” or ancillary benefits accruing to the Adviser as a result of its relationship with the Fund. |
In addition to evaluating the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at the Meeting.
In considering the information and materials described above, the Independent Directors met with Independent Legal Counsel to review such information and materials prior to the Meeting. In addition, the Independent Directors met in executive session with Independent Legal Counsel to consider the continuation of the Management Agreement with respect to each Fund outside the presence of management during the Meeting.
The Board also was provided with a written description of its statutory responsibilities and the legal standards that are applicable to approval of the renewal of the Management Agreement.
Although the Management Agreement for all of the Funds was considered at the Meeting, the Directors considered the renewal of the Management Agreement with respect to each Fund separately.
In considering the aforementioned information, the Board took into account management style, investment strategies and prevailing market conditions as reported by the Adviser. Furthermore, in evaluating the Management Agreement, the Directors also considered 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’s assets in accordance with the Fund’s investment objectives, policies and restrictions and how those services and fees differ from those for other advisory clients of the Adviser, as applicable; |
| · | | information regarding the advisory fee rates and the expense limitation or fee waiver arrangements for each Fund; |
| · | | 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 advisory clients of the Adviser; |
| · | | the Adviser’s risk assessment and management process; |
| · | | the Adviser’s representation that it does not engage in pre-arranged soft dollar arrangements but that it may receive the benefit of research services provided by broker-dealers; and |
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
| · | | the financial condition and stability of the Adviser. |
In view of the broad scope and variety of factors and information considered by the Board, the Directors did not find it practicable to, and did not, assign relative weights to the specific factors considered in reaching their conclusions and determinations to approve the continuance of the Management Agreement for each Fund for an additional year. Rather, the Board’s determinations were made on the basis of each Director’s business judgment after consideration of all of the factors taken in their entirety. Although not meant to be all-inclusive, the following describes various factors that were considered by the Board in deciding to approve the continuance of the Management Agreement for each Fund.
Nature, Extent and Quality of Services
In examining the nature, extent and quality of the services provided by the Adviser, the Directors considered the services provided to each Fund and any expected changes thereto, the qualifications, experience and duties of the Adviser’s personnel, the approximate amount of time those personnel devote to the Funds, recent and expected personnel changes, portfolio manager compensation arrangements, business continuity and succession planning, and enterprise risk management (including as it relates to cybersecurity risk). In addition, the Directors considered information provided by the Adviser regarding its overall financial strength and considered the resources and staffing in place with respect to the services provided to the Funds. The Directors also took into account information they had received from the Adviser throughout the year concerning the impact of the COVID-19 pandemic on, among other things, the Adviser’s operations, financial condition and assets under management.
Based on the totality of the information considered, the Directors concluded that they were satisfied with the nature, extent and quality of the services provided to each Fund by the Adviser, and that the Adviser has the ability to continue to provide these services based on its experience, operations and current resources.
Investment Performance
The Board considered performance information provided by the Adviser for similarly managed accounts (if any) over the most recent six-month, one-year, three-year, five-year, ten-year and fifteen-year periods ended December 31, 2021 as well as Fund performance compared with its benchmark for one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2021. The Board considered the Adviser’s representation that the differences in the performance of the similarly managed accounts (if any) and Fund performance were within ranges that the Adviser expects for the relevant accounts/ Funds given, for example, differences in cash flows, investment restrictions, account size and tax management practices.
In addition, Broadridge provided a report (the “Broadridge Report”) of comparative data regarding fees, expenses and investment performance for each Fund as compared to a peer group selected by Broadridge (“Peer Group”). The performance periods included total return over the most recent calendar year (“one-year period”) and the annualized total returns over the most recent three calendar year period (“three-year period”), five calendar year period (“five-year period”) and ten calendar year period (“ten-year period”). With regard to the performance information provided in the Broadridge Report, the Board considered the performance of each Fund on a percentile and quintile basis as compared to its Peer Group. For purposes of the performance data provided, the first quintile is defined as 20% of the funds in the applicable Peer Group with the highest performance and the fifth quintile is defined as 20% of the funds in the applicable Peer Group with the lowest performance..
In particular, the Board considered the following performance information as of December 31, 2021 provided by the Adviser and from Broadridge:
| · | | With regard to the Aggressive Investors 1 Fund, the Fund’s performance was in the fourth quintile compared to its Peer Group for the one-year period, while its performance was in the fifth quintile for the three-year, five-year and ten-year periods. The Fund outperformed its primary benchmark for the since inception period, while it underperformed its primary benchmark for the one-year, three-year, five-year and ten-year periods. The Board considered the Adviser’s explanation that the Fund’s smaller size and deeper value tilt had detracted from the Fund’s relative performance. The Board also took into account that the Adviser expected to reoptimize the Fund after the Adviser had completed additional research and the Adviser’s continued monitoring of the Fund’s performance. Based on their review, the Directors concluded that the Fund’s |
| | |
90 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
| | performance was being addressed. |
| · | | With regard to the Ultra-Small Company Fund, the Fund’s performance was in first quintile compared to its Peer Group for the one-year period, in the second quintile for the three-year period and in the fourth quintile for the five-year and ten-year periods. The Fund outperformed its primary benchmark for the one-year and three-year periods, while it underperformed its primary benchmark for the five-year and ten-year periods. The Board considered the Adviser’s explanation that the Fund was compared against all small cap funds, not just other small cap value funds, which made the Fund’s relative performance appear more negative given the recent value underperformance. The Board also took into account continued efforts to reduce transaction costs and that the Fund’s performance was considered in line with its design although out of favor in the longer-period market environment. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
| · | | With regard to the Ultra-Small Company Market Fund, the Fund’s performance was in the third quintile for the one-year, three-year and ten-year periods, while it was in the fourth quintile for the five-year period. The Fund outperformed its primary benchmark for the one-year and three-year periods, while it underperformed its primary benchmark for the five-year and ten-year periods. The Board considered the Adviser’s explanation that the variability in the Fund’s performance relative to peers is expected and largely explained by the market capitalization differences between the ultra-small cap nature of the Fund and the other small-cap funds in its Peer Group as well as by the inherent value tilt of the CRSP 10 Index relative to small-cap peers in general. The Board also took into account that the Fund’s performance was considered in line with its design. Based on their review, the Directors concluded that the Fund’s performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
| · | | With regard to the Small-Cap Value Fund, the Fund’s performance was in the first quintile for the one-year, three-year, five-year and ten-year periods, as compared with its Peer Group. The Fund outperformed its primary benchmark over the one-year, three-year, five-year, ten-year and since-inception periods. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
| · | | With regard to the Blue Chip Fund, the Fund’s performance was in the fourth quintile of its Peer Group for the one-year period, while its performance was in the first quintile for the three-year, five-year and ten-year periods. The Fund underperformed its primary benchmark for the one-year, three-year, five-year, ten-year and since inception periods. The Board considered the Adviser’s explanation that the Fund’s underperformance relative to its primary benchmark was expected given the Fund’s design and larger market cap relative to both its Peer Group and primary benchmark. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
| · | | With regard to the Managed Volatility Fund, the Fund’s performance was in the fourth quintile of its Peer Group for the one-year and five-year periods and in the fifth quintile of its Peer Group for the three-year period (Broadridge did not provide ten-year quintile information). The Fund underperformed its primary benchmark for the one-year, three-year, five-year, ten-year and since-inception periods. The Board considered the Adviser’s explanation that the Fund is not designed to outperform its primary benchmark, but instead is designed to capture market return while limiting volatility. The Board also considered the Adviser’s statement that this performance is in line with the Fund’s design. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
Fund Fees and Expenses
The Board considered information provided by the Adviser regarding the advisory fees it charges to other advisory clients and the reasons for any material differences between those fees and the fees it charges to the Funds. The Board also considered the Adviser’s views that, given investment performance and overall expenses, the Adviser believes the management fees for each Fund appear reasonable and appropriate given the distinctive features and design of each Fund, the disciplined implementation of the design by the Adviser, the relatively low management fees in most cases, the performance results in line with design and investor expectations, and the profitability to the Adviser of each Fund. More specifically, with regard
| | |
| OTHER INFORMATION (continued) | | |
June 30, 2022 (Unaudited)
to management fee differences among the Funds, the Board considered the Adviser’s view that fee differences stem from market factors as well as the estimated growth rate of the Fund at the time of launch; the potential asset capacity of the Fund; the risks associated with providing the advisory services to the Fund; and estimated costs of providing the advisory services driven by the design complexity of the Fund (e.g., more complex design is higher cost due to the research and portfolio management time required).
With respect to management fee differences between the Funds and other investment company clients of the Adviser, the Board considered that, unlike the Funds, the Adviser serves as a sub-adviser to the other investment company clients, which generally requires the Adviser to furnish fewer services than the services it provides to the Funds. The Board also considered the fees charged to other investment company clients of the Adviser, as well as the Adviser’s representation that for certain Funds, the Adviser did not manage comparable investment companies.
With respect to management fee differences between the Funds and other non-investment company clients of the Adviser, the Board considered that: (i) the management fee charged to the Ultra-Small Company Market Fund is lower than that charged to comparable clients; (ii) the asset-based management fee charged to the Aggressive Investors 1 Fund is higher than that charged to comparable clients, while the Fund’s performance fee rate is significantly lower than the performance fee rate charged to comparable clients (and there are other differences in the performance fee calculations); and (iii) the Adviser had no advisory clients comparable to the other Funds.
The Board also considered information compiled by Broadridge comparing each Fund’s contractual management fee rate (excluding any performance fees and using an assumed common asset level for the Fund and the other funds in the Peer Group), actual management fee rate (which included the effect of any fee waivers and any performance fees, and was derived from annual reports) and actual total expense ratios (which also included the effect of any fee waivers and performance fees, and was derived from annual reports) as a percentage of average net assets as compared to other funds in its expense Peer Group. Broadridge’s contractual management fee data included both advisory fees and administrative services fees, except for the Funds. Broadridge excluded administrative services fees for the Funds from contractual management fee data because those fees are fixed (i.e., a stated dollar amount), as opposed to asset based. More specifically, with respect to the Funds, the Adviser provides certain administrative services to the Funds pursuant to a separate contract, in exchange for an annual fixed fee (payable monthly) that the Adviser has represented approximates the cost of providing such services (which the Board considered in connection with profitability, as described below). Broadridge’s actual management fee data for the Funds and the other funds in the Peer Group included both advisory fees and administrative services fees. Thus, the contractual management fee rate in the Funds’ Broadridge comparisons did not reflect these administrative services fees, whereas the actual management fee rate in the Funds’ Broadridge comparisons included both advisory and administrative services fees.
With regard to the expense information provided in the Broadridge Report, the Board considered Fund expenses on a percentile and quintile basis as compared to each Fund’s Peer Group. For purposes of the expense data provided, Broadridge defines the first quintile as 20% of the funds in the applicable Peer Group with the lowest expenses and the fifth quintile as 20% of the funds in the applicable Peer Group with the highest expenses. In particular, the Board considered the following:
| · | | The Aggressive Investors 1 Fund’s contractual management fee was in the fifth quintile of its Peer Group (excluding the performance fee) and the Fund’s actual management fees and actual total expenses (factoring in the performance fee) were each in the first quintile of its Peer Group. The Board also considered the impact of the Fund’s performance fee on the fee comparisons. |
| · | | With respect to the Ultra-Small Company Fund, the Board considered that the Fund’s contractual management fees and actual management fees were each in the fourth quintile of its Peer Group, while its total expense ratio were in the third quintile. The Board took into account that the Fund’s total expenses, which included the actual management fee, were equal to the median of its Peer Group. |
| · | | With respect to the Managed Volatility Fund, the Board considered that the Fund’s contractual management fees and actual management fees were each in the second quintile of its Peer Group, while its actual total expenses were in the first quintile of its Peer Group. |
| | |
92 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
| · | | With respect to the Ultra-Small Company Market Fund, the Small-Cap Value Fund, and the Blue Chip Fund, the Board considered that each Fund was in the first quintile of its applicable Peer Group for the contractual management fee, actual management fee and total expense ratio. The Board also considered the impact of the performance fee arrangement on actual management fees for the Small-Cap Value Fund. |
In addition, the Board 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 asset percentage levels.
The foregoing comparisons assisted the Board in determining to approve the continuance of the Management Agreement for each Fund by providing it with a basis for evaluating each Fund’s management fee and total expense ratio on a relative basis. Based on their review, the Directors concluded that each Fund’s management fee was reasonable in view of the services received by the Fund and the other factors considered.
Profitability
The Board reviewed the materials it received from the Adviser regarding its revenues and costs in providing investment management and certain administrative services to the Funds and the Company as a whole. In particular, the Board considered the analysis of the Adviser’s profitability with respect to each Fund, calculated for the years ended December 31, 2018, December 31, 2019, December 31, 2020 and December 31, 2021. The Board also considered the Adviser’s representations that it does not track expenses or maintain staff on a per Fund basis and accordingly the Adviser needed to make certain assumptions to allocate expenses on a Fund-by-Fund basis in order to calculate Fund-by-Fund profitability, making the process a subjective one. The Board also considered that the Adviser was operating certain Funds at a loss but that the Adviser had the resources necessary to continue providing the same level of services to those Funds. Based on their review, the Directors concluded that the Adviser’s profitability from its relationship with each Fund was reasonable.
Economies of Scale
The Board considered the effect of each Fund’s current size and its potential growth on its performance and fees. With respect to whether economies of scale are expected to be realized by the Adviser as a Fund’s assets increase and whether advisory fee levels reflect these economies of scale for the benefit of Fund investors, the Board considered, on a Fund-by-Fund basis, the current level of advisory fees charged and fee structure and concluded that the Adviser’s fee structure with respect to each Fund was appropriate at this time. The Board considered that the Aggressive Investors 1 Fund and Ultra-Small Company Fund each have fee breakpoints in their management fee schedules although neither Fund is at a size currently to benefit from such breakpoints. With respect to Ultra-Small Company Market Fund and Managed Volatility Fund, the Board considered the Adviser’s representation that it believes that neither Fund will produce significant economies of scale because each Fund involves intensive and time-consuming portfolio and trading management, and as a result, neither Fund has breakpoints in its management fee schedule. Lastly, although the Small-Cap Value Fund, Blue Chip Fund and Managed Volatility Fund do not have fee breakpoints in their management fee schedules, the Board considered the Adviser’s explanation that these Funds were priced low relative to their respective Peer Groups and ahead of the economies of scale curve at launch. The Board noted that if a Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
“Fallout” or Ancillary Benefits
The Board considered whether there were any “fall-out” or ancillary benefits that may accrue to the Adviser as a result of its relationships with the Funds. In terms of potential “fall-out” or ancillary benefits to the Adviser due to its position as manager of the Funds, the Board considered benefits related to track record and reputation, and portfolio trading and execution. The Board also considered the Adviser’s representations that it does not engage in pre-arranged soft dollar arrangements but that it may receive the benefit of research services provided by broker-dealers. In addition, the Board took into account that the Adviser receives administrative service fees from the Funds in exchange for providing certain administrative services to the Funds. The Board concluded that the benefits accruing to Adviser by virtue of its relationship with the Funds appeared to be reasonable.
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
* * * * *
Based on all relevant information and factors discussed above, none of which was individually determinative of the outcome, the Board, including a majority of the Independent Directors, determined that the continuation of the Management Agreement for each Fund was in the best interests of the Fund. As a result, the Board, including a majority of the Independent Directors, approved the renewal of the Management Agreement for each Fund.
| | |
94 | | Annual Report | June 30, 2022 |
| | |
| DISCLOSURE OF FUND EXPENSES | |
|
June 30, 2022 (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 Fund 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, 2022 and held until June 30, 2022.
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 1/1/22 | | Ending Account Value at 6/30/22 | | Expense
Ratio | | Expenses Paid During Period* 1/1/22 - 6/30/22 |
|
Bridgeway Aggressive Investors 1 Fund |
Actual Fund Return | | $1,000.00 | | $735.80 | | 0.34% | | $1.46 |
Hypothetical Fund Return | | $1,000.00 | | $1,023.11 | | 0.34% | | $1.71 |
|
Bridgeway Ultra-Small Company Fund |
Actual Fund Return | | $1,000.00 | | $863.10 | | 1.17% | | $5.40 |
Hypothetical Fund Return | | $1,000.00 | | $1,018.99 | | 1.17% | | $5.86 |
|
Bridgeway Ultra-Small Company Market Fund |
Actual Fund Return | | $1,000.00 | | $792.20 | | 0.75% | | $3.33 |
Hypothetical Fund Return | | $1,000.00 | | $1,021.08 | | 0.75% | | $3.76 |
|
Bridgeway Small-Cap Value Fund |
Actual Fund Return | | $1,000.00 | | $863.10 | | 0.87% | | $4.02 |
Hypothetical Fund Return | | $1,000.00 | | $1,020.48 | | 0.87% | | $4.36 |
|
Bridgeway Blue Chip Fund |
Actual Fund Return | | $1,000.00 | | $840.80 | | 0.15% | | $0.68 |
Hypothetical Fund Return | | $1,000.00 | | $1,024.05 | | 0.15% | | $0.75 |
|
Bridgeway Managed Volatility Fund |
Actual Fund Return | | $1,000.00 | | $904.20 | | 0.94% | | $4.44 |
Hypothetical Fund Return | | $1,000.00 | | $1,020.13 | | 0.94% | | $4.71 |
| | |
| DISCLOSURE OF FUND EXPENSES (continued) | |
|
June 30, 2022 (Unaudited)
| * | 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). |
| | |
96 | | Annual Report | June 30, 2022 |
| | |
| DIRECTORS & OFFICERS | |
|
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| 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 |
| | | | | |
Karen S. Gerstner Age 67 | | Director | | Term: 1 Year Length: 1994 to Present. | | Principal, Karen S. Gerstner & Associates, P.C., since 2004. | | Eight | | None |
| | | | | |
| Miles Douglas Harper, III* Age 59 | | Director | | Term: 1 Year Length: 1994 to Present. | | Retired; formerly Partner, Carr, Riggs & Ingram, LLC, 2013 to June 2022. | | Eight | | Calvert Funds (42 Portfolios) |
| | | | | |
Evan Harrel Age 61 | | Director | | Term: 1 Year Length: 2006 to Present. | | Chief Operating Officer, Center for Compassionate Leadership since January 2020; Independent Consultant, 2016 to January 2020. | | Eight | | None |
| | |
| DIRECTORS & OFFICERS (continued) | |
|
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| “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 66 | | Vice President and Director | | Term: 1 Year Length: 1993 to Present. | | Chairman, Bridgeway Capital Management, since 2010; Vice President, Bridgeway Funds, 2005 to May 2015 and since June 2016. | | Eight | | None |
| | |
98 | | Annual Report | June 30, 2022 |
| | |
| DIRECTORS & OFFICERS (continued) | | |
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| 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 64 | | Vice President | | Term: 1 Year Length: 2004 to Present. | | Vice President, Bridgeway Funds, since 2004; Staff member, Bridgeway Capital Management, since 2000. | | N/A | | None |
| | | | | |
Deborah L. Hanna Age 57 | | Secretary, Treasurer, and Chief Compliance Officer | | Term: 1 Year Length: Secretary, 2007 to Present; Treasurer and Chief Compliance Officer, 2020 to Present. | | Self-employed, accounting and related projects for various organizations, since 2001. | | N/A | | None |
| | | | | |
Sharon Lester Age 67 | | Vice President | | Term: 1 Year Length: 2011 to Present. | | Staff member, Bridgeway Capital Management, since 2010. | | N/A | | None |
| | | | | |
Tammira Philippe Age 48 | | President | | Term: 1 Year Length: 2016 to Present. | | President, Bridgeway Capital Management, since 2016. | | N/A | | None |
| 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, director and majority shareholder, and control person of BCM Scorp Holdco, Inc., which is the immediate parent company of the Adviser. |
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 800-661-3550.
| | |
| | |
| | | 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 ww.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
Annual Report
June 30, 2022
| | |
OMNI SMALL-CAP VALUE | | BOSVX |
| |
OMNI TAX-MANAGED SMALL-CAP VALUE | | BOTSX |
| | |
| TABLE OF CONTENTS | | 
|
June 30, 2022
Bridgeway Funds Standardized Returns (%) as of June 30, 2022 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| | | | | | | Annualized | | | | |
| Fund1 | | Quarter | | Six Months | | 1 Year | | 5 Years | | 10 Years | | Inception to
Date | | Inception Date | | Gross
Expense
Ratio2 | | Net
Expense
Ratio2 |
| Omni Small-Cap Value | | -12.69 | | -9.92 | | -4.65 | | 6.86 | | 10.45 | | 10.71 | | 8/31/2011 | | 0.68% | | 0.60% |
| Omni Tax-Managed Small-Cap Value | | -13.30 | | -10.88 | | -6.17 | | 6.07 | | 9.99 | | 8.73 | | 12/31/2010 | | 0.69% | | 0.60% |
| | 1 | Some of the Fund’s fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser is contractually obligated to waive fees and/or pay 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, 2022. |
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 bridgewayfunds.com or call 800-661-3550. Total return figures include the reinvestment of dividends and capital gains. Periods of less than one year are not annualized.
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 800-661-3550 or visit the Funds’ website at bridgewayfunds.com. Funds are available for purchase by residents of the United States, Puerto Rico, US Virgin Islands, and Guam only.
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 | | Annual Report | June 30, 2022 |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM | |
|
June 30, 2022 (Unaudited)
Dear Fellow Shareholders,
At Bridgeway, we have a shared passion for applying logic, data, and evidence to develop investment solutions. Our Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are constructed based on fundamental academic research that relies on market efficiency to better capture risk premiums. We manage these Funds to provide broad diversification within the small-cap value universe and to keep transaction fees and expenses low. Bridgeway offers the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds through a select group of advisers. We are committed to advisers and their clients who take a long-term perspective and whose investment goals fit our unique expertise: delivering investment solutions that are statistically driven and grounded in academic theory.
Thank you for your investment in Bridgeway’s Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds.
Sincerely,
Your Investment Management Team
| | | | |
 | |  | |  |
| John Montgomery | | Christine L. Wang | | Michael Whipple |
| | |
 | | | | |
| Elena Khoziaeva | | | | |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | |
|
June 30, 2022 (Unaudited)
Market Review
Performance across domestic equity markets was negative for the June 2022 quarter. Broad market returns for the quarter declined -16.70%, as represented by the Russell 3000 Index.
For the fiscal year ended June 30, 2022, broad market stocks fell -13.87%, as represented by the Russell 3000 Index. Value stocks outperformed growth stocks in all size categories. Larger stocks outperformed their smaller peers within style categories. As a result, large-cap value stocks, as represented by the Russell 1000 Value Index, had the best 12-month performance, returning -6.82%. As represented by the Russell 2000 Growth Index, small-cap growth stocks had the year’s worst performance, returning -33.43%.
The following table presents returns for the 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 US stocks.
Russell Style-Based Indexes Ranked by Performance for the Quarter and Fiscal Year Ended June 30, 2022
| | | | | | |
| | Quarter | | Fiscal Year | | |
Best Performing | | -12.21% Russell 1000® Value Index | | -6.82% Russell 1000® Value Index | | |
| | -12.41% Russell 3000® Growth Index | | -7.46% Russell 3000® Value Index | | |
| | -14.68% Russell Midcap® Value Index | | -10.00% Russell Midcap® Value Index | | |
| | -15.28% Russell 2000® Value Index | | -16.28% Russell 2000® Value Index | | |
| | -19.25% Russell 2000® Growth Index | | -18.77% Russell 1000® Growth Index | | |
| | -20.83% Russell 3000® Growth Index | | -19.78% Russell 3000® Growth Index | | |
| | -20.92% Russell 1000® Growth Index | | -29.57% Russell Midcap® Growth Index | | |
Worst Performing | | -21.07% Russell Midcap® Growth Index | | -33.43% Russell 2000® Growth Index | | |
The Bridgeway Omni Funds in this annual report are asset class exposure strategies that seek broad diversification and strive for 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.
The Russell 3000 Index is an unmanaged market-capitalization-weighted equity index. The index tracks the performance of the 3,000 largest US-traded stocks, which collectively account for roughly 97% of all US-incorporated equities. The Russell 3000 Value Index consists of stocks in the Russell 3000 Index with relatively lower price-to-book ratios and lower forecasted growth values. The Russell 3000 Growth Index consists of stocks in the Russell 3000 Index that display signs of above-average growth. The Russell 1000 Index is a stock market index that tracks the highest-ranking 1,000 stocks in the Russell 3000 Index. The Russell 1000 Value Index is a large-cap stock market index that consists of stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Growth Index is a large-cap stock market index that consists of stocks in the Russell 1000 Index that display signs of above-average growth. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index. The Russell Midcap Value Index is a midcap value index that consists of stocks in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Growth Index is a midcap growth index that consists of stocks in the Russell Midcap Index that display signs of above-average growth. The Russell 2000 Index is a small-cap stock market index that makes up the smallest 2,000 stocks in the Russell 3000 Index. The Russell 2000 Value Index is a small-cap stock market index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower
| | |
| | |
| 2 | | Annual Report | June 30, 2022 |
| | |
| LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued) | |
|
June 30, 2022 (Unaudited)
forecasted growth values. The Russell 2000 Growth Index is a small-cap stock market index that consists of stocks in the Russell 2000 Index that display signs of above-average growth. It is not possible to invest directly in an index.
| | |
Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) | |
|
June 30, 2022
Dear Fellow Omni Small-Cap Value Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -12.69%, outperforming our primary market benchmark, the Russell 2000 Value Index (-15.28%). It was a poor quarter on an absolute basis, but a good one on a relative basis.
For the fiscal year, our Fund returned -4.65%, outperforming the Russell 2000 Value Index (-16.28%).
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, 2022 | | | | | | | | | | | | | | | |
| | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | Since
Inception
(8/31/11) | |
| | | | | |
Omni Small-Cap Value Fund | | | -12.69% | | | | -4.65% | | | | 6.86% | | | | 10.45% | | | | 10.71% | |
Russell 2000 Value Index | | | -15.28% | | | | -16.28% | | | | 4.89% | | | | 9.05% | | | | 9.45% | |
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.
| | |
| | |
| 4 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
Growth of a $10,000 Investment
from Inception August 31, 2011 to June 30, 2022
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, 2022, we held 621 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.
The Fund’s tilt toward deeper value stocks across multiple valuation metrics boosted relative returns during the period. However, the Fund’s tilt toward smaller stocks in the small-cap value universe detracted from relative performance.
By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. The lack of exposure to REITs improved relative returns, as the Real Estate sector was among the worst-performing sectors during the quarter. However, the Fund’s lack of exposure to Utilities stocks detracted from relative results as this sector outperformed the benchmark during the quarter.
Detailed Explanation of Fiscal Year Performance
The Fund’s tilt toward deeper value stocks across multiple valuation metrics was the leading contributor to relative results. However, the Fund’s tilt toward smaller stocks in the small-cap value universe detracted from relative performance.
By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. The lack of exposure to these stocks detracted from relative results. Both the Real Estate and Utilities sectors outperformed the benchmark during the 12-month period, and the Utilities sector was one of only two sectors to post positive returns.
| | |
Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
Top Ten Holdings as of June 30, 2022
| | | | | | | | | | |
| Rank | | | | Description | | Industry | | | | % of Net
Assets |
1 | | | | Antero Resources Corp. | | Energy | | | | 0.9% |
2 | | | | PBF Energy, Inc., Class A | | Energy | | | | 0.9% |
3 | | | | Patterson-UTI Energy, Inc. | | Energy | | | | 0.8% |
4 | | | | United Natural Foods, Inc. | | Consumer Staples | | | | 0.8% |
5 | | | | Golar LNG, Ltd. | | Energy | | | | 0.8% |
6 | | | | SM Energy Co. | | Energy | | | | 0.7% |
7 | | | | CVR Energy, Inc. | | Energy | | | | 0.6% |
8 | | | | Scorpio Tankers, Inc. | | Energy | | | | 0.6% |
9 | | | | Alpha Metallurgical Resources, Inc. | | Materials | | | | 0.6% |
10 | | | | Dillard’s, Inc., Class A | | Consumer Discretionary | | | | 0.6% |
| | | | | |
| | | | Total | | | | | | 7.3% |
Industry Sector Representation as of June 30, 2022
| | | | | | | | | | | | |
| | | % of Net Assets | | % of Russell 2000
Value Index | | Difference |
Communication Services | | | 3.6% | | | | 3.3% | | | | 0.3% | |
Consumer Discretionary | | | 11.5% | | | | 9.6% | | | | 1.9% | |
Consumer Staples | | | 4.4% | | | | 2.9% | | | | 1.5% | |
Energy | | | 17.4% | | | | 5.0% | | | | 12.4% | |
Financials | | | 36.1% | | | | 28.3% | | | | 7.8% | |
Health Care | | | 1.7% | | | | 11.0% | | | | -9.3% | |
Industrials | | | 14.0% | | | | 12.7% | | | | 1.3% | |
Information Technology | | | 4.2% | | | | 6.1% | | | | -1.9% | |
Materials | | | 6.4% | | | | 3.9% | | | | 2.5% | |
Real Estate | | | 0.4% | | | | 11.9% | | | | -11.5% | |
Utilities | | | 0.0% | | | | 5.3% | | | | -5.3% | |
Cash & Other Assets | | | 0.3% | | | | 0.0% | | | | 0.3% | |
| | | |
Total | | | 100.0% | | | | 100.0% | | | | | |
Important Disclosure
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, 2022, 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.
| | |
| | |
| 6 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
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
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
COMMON STOCKS - 99.66% | |
Communication Services - 3.56% | |
AMC Networks, Inc., Class A* | | | 140,000 | | | $ | 4,076,800 | |
ATN International, Inc. | | | 63,500 | | | | 2,978,785 | |
Audacy, Inc.* | | | 720,545 | | | | 678,897 | |
Beasley Broadcast Group, Inc., Class A* | | | 163,600 | | | | 209,408 | |
Consolidated Communications Holdings, Inc.* | | | 324,000 | | | | 2,268,000 | |
Cumulus Media, Inc., Class A* | | | 84,100 | | | | 650,093 | |
DHI Group, Inc.* | | | 185,000 | | | | 919,450 | |
EchoStar Corp., Class A* | | | 230,500 | | | | 4,448,650 | |
Entravision Communications Corp., Class A | | | 260,800 | | | | 1,189,248 | |
EW Scripps Co. (The), Class A* | | | 261,166 | | | | 3,256,740 | |
Fluent, Inc.* | | | 150,000 | | | | 178,500 | |
Gannett Co., Inc.* | | | 563,200 | | | | 1,633,280 | |
Gray Television, Inc. | | | 291,200 | | | | 4,918,368 | |
Marcus Corp. (The)*+ | | | 15,000 | | | | 221,550 | |
Mediaco Holding, Inc., Class A* | | | 12,992 | | | | 27,153 | |
Saga Communications, Inc., Class A | | | 21,761 | | | | 540,761 | |
Salem Media Group, Inc.* | | | 55,800 | | | | 118,296 | |
Scholastic Corp. | | | 146,750 | | | | 5,278,598 | |
SPAR Group, Inc.* | | | 27,237 | | | | 32,140 | |
Spok Holdings, Inc. | | | 45,000 | | | | 283,500 | |
Telephone and Data Systems, Inc. | | | 315,800 | | | | 4,986,482 | |
Townsquare Media, Inc., Class A* | | | 129,900 | | | | 1,063,881 | |
TrueCar, Inc.* | | | 234,300 | | | | 606,837 | |
Urban One, Inc.* | | | 151,800 | | | | 649,704 | |
| | | | | | | | |
| | |
| | | | | | | 41,215,121 | |
| |
Consumer Discretionary - 11.45% | | | | | |
Aaron’s Co., Inc. (The) | | | 70,000 | | | | 1,018,500 | |
Abercrombie & Fitch Co., Class A* | | | 215,000 | | | | 3,637,800 | |
Adtalem Global Education, Inc.* | | | 132,200 | | | | 4,755,234 | |
AMCON Distributing Co. | | | 2,450 | | | | 399,350 | |
American Axle & Manufacturing Holdings, Inc.* | | | 357,500 | | | | 2,691,975 | |
Ark Restaurants Corp. | | | 21,100 | | | | 379,800 | |
Asbury Automotive Group, Inc.*+ | | | 17,100 | | | | 2,895,714 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
Consumer Discretionary (continued) | | | | | |
Bassett Furniture Industries, Inc. | | | 26,750 | | | $ | 484,710 | |
Beazer Homes USA, Inc.* | | | 118,500 | | | | 1,430,295 | |
Bed Bath & Beyond, Inc.*+ | | | 128,000 | | | | 636,160 | |
Big 5 Sporting Goods Corp.+ | | | 148,700 | | | | 1,666,927 | |
Big Lots, Inc. | | | 134,200 | | | | 2,814,174 | |
Biglari Holdings, Inc., Class B* | | | 6,200 | | | | 760,740 | |
Bluegreen Vacations Holding Corp. | | | 53,551 | | | | 1,336,633 | |
Build-A-Bear Workshop, Inc. | | | 47,100 | | | | 773,382 | |
Carrols Restaurant Group, Inc. | | | 63,100 | | | | 127,462 | |
Cato Corp. (The), Class A | | | 134,400 | | | | 1,560,384 | |
Century Casinos, Inc.* | | | 22,400 | | | | 161,280 | |
Century Communities, Inc. | | | 95,200 | | | | 4,281,144 | |
Charles & Colvard, Ltd.* | | | 42,700 | | | | 52,948 | |
China Automotive Systems, Inc.* | | | 95,650 | | | | 258,255 | |
Chuy’s Holdings, Inc.* | | | 23,000 | | | | 458,160 | |
Citi Trends, Inc.*+ | | | 33,840 | | | | 800,316 | |
Conn’s, Inc.* | | | 123,900 | | | | 993,678 | |
Container Store Group, Inc. (The)* | | | 229,150 | | | | 1,427,605 | |
Crown Crafts, Inc. | | | 21,050 | | | | 131,773 | |
Delta Apparel, Inc.* | | | 29,900 | | | | 848,263 | |
Dillard’s, Inc., Class A+ | | | 32,500 | | | | 7,168,525 | |
Dixie Group, Inc. (The)* | | | 44,950 | | | | 57,536 | |
Ethan Allen Interiors, Inc.+ | | | 75,500 | | | | 1,525,855 | |
Ever-Glory International Group, Inc.* | | | 30,000 | | | | 41,100 | |
Fiesta Restaurant Group, Inc.* | | | 22,900 | | | | 163,506 | |
Flanigan’s Enterprises, Inc. | | | 14,000 | | | | 420,000 | |
Fossil Group, Inc.* | | | 162,000 | | | | 837,540 | |
Genesco, Inc.* | | | 59,500 | | | | 2,969,645 | |
G-III Apparel Group, Ltd.* | | | 187,900 | | | | 3,801,217 | |
Golden Entertainment, Inc.* | | | 4,500 | | | | 177,975 | |
Good Times Restaurants, Inc.* | | | 106,000 | | | | 319,060 | |
Group 1 Automotive, Inc.+ | | | 6,050 | | | | 1,027,290 | |
Haverty Furniture Cos., Inc. | | | 64,400 | | | | 1,492,792 | |
Hibbett, Inc. | | | 45,900 | | | | 2,006,289 | |
Hooker Furnishings Corp. | | | 26,000 | | | | 404,300 | |
Lakeland Industries, Inc.* | | | 33,450 | | | | 513,792 | |
Lands’ End, Inc.*+ | | | 116,000 | | | | 1,231,920 | |
La-Z-Boy, Inc. | | | 60,000 | | | | 1,422,600 | |
Lazydays Holdings, Inc.* | | | 44,000 | | | | 518,320 | |
Legacy Housing Corp.* | | | 15,000 | | | | 195,750 | |
Lifetime Brands, Inc. | | | 77,650 | | | | 857,256 | |
| | |
| | |
| 8 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Consumer Discretionary (continued) | | | | | |
Lincoln Educational Services Corp.* | | | 150,000 | | | $ | 946,500 | |
Live Ventures, Inc.* | | | 10,450 | | | | 261,355 | |
M/I Homes, Inc.* | | | 85,200 | | | | 3,379,032 | |
MarineMax, Inc.* | | | 92,000 | | | | 3,323,040 | |
Modine Manufacturing Co.* | | | 162,800 | | | | 1,714,284 | |
Motorcar Parts of America, Inc.* | | | 65,000 | | | | 852,800 | |
Movado Group, Inc. | | | 94,200 | | | | 2,913,606 | |
ODP Corp. (The)* | | | 145,000 | | | | 4,384,800 | |
Patrick Industries, Inc. | | | 55,000 | | | | 2,851,200 | |
Perdoceo Education Corp.* | | | 176,000 | | | | 2,073,280 | |
Rocky Brands, Inc. | | | 30,300 | | | | 1,035,654 | |
Shoe Carnival, Inc. | | | 82,500 | | | | 1,782,825 | |
Signet Jewelers, Ltd. | | | 79,400 | | | | 4,244,724 | |
Smith & Wesson Brands, Inc. | | | 170,000 | | | | 2,232,100 | |
Sonic Automotive, Inc., Class A | | | 121,100 | | | | 4,435,893 | |
Strategic Education, Inc. | | | 86,100 | | | | 6,076,938 | |
Strattec Security Corp.* | | | 18,800 | | | | 623,220 | |
Superior Group of Cos., Inc. | | | 74,200 | | | | 1,317,050 | |
Tenneco, Inc., Class A* | | | 237,000 | | | | 4,066,920 | |
Tilly’s, Inc., Class A+ | | | 154,400 | | | | 1,083,888 | |
TravelCenters of America, Inc.* | | | 79,540 | | | | 2,741,744 | |
Tri Pointe Homes, Inc.* | | | 266,000 | | | | 4,487,420 | |
Unifi, Inc.* | | | 64,273 | | | | 903,678 | |
Universal Technical Institute, Inc.* | | | 170,000 | | | | 1,212,100 | |
Vera Bradley, Inc.* | | | 123,850 | | | | 537,509 | |
Vista Outdoor, Inc.* | | | 40,187 | | | | 1,121,217 | |
VOXX International Corp.* | | | 82,100 | | | | 764,351 | |
Weyco Group, Inc.+ | | | 31,500 | | | | 770,175 | |
Winnebago Industries, Inc.+ | | | 93,981 | | | | 4,563,717 | |
Zumiez, Inc.* | | | 79,800 | | | | 2,074,800 | |
| | | | | | | | |
| | |
| | | | | | | 132,710,750 | |
| |
Consumer Staples - 4.42% | | | | | |
Alico, Inc. | | | 22,861 | | | | 814,537 | |
Andersons, Inc. (The) | | | 71,900 | | | | 2,371,981 | |
Coffee Holding Co., Inc. | | | 23,000 | | | | 56,120 | |
Cyanotech Corp.* | | | 400 | | | | 1,168 | |
Edgewell Personal Care Co. | | | 150,300 | | | | 5,188,356 | |
Fresh Del Monte Produce, Inc. | | | 177,800 | | | | 5,250,434 | |
Ingles Markets, Inc., Class A | | | 75,301 | | | | 6,532,362 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Consumer Staples (continued) | | | | | |
Lifeway Foods, Inc.* | | | 5,000 | | | $ | 24,850 | |
Mannatech, Inc. | | | 8,400 | | | | 139,860 | |
Natural Alternatives International, Inc.* | | | 23,000 | | | | 240,120 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 36,100 | | | | 575,795 | |
Oil-Dri Corp. of America | | | 17,558 | | | | 538,153 | |
Rite Aid Corp.*+ | | | 160,500 | | | | 1,081,770 | |
Seneca Foods Corp., Class A* | | | 40,100 | | | | 2,227,154 | |
SpartanNash Co. | | | 161,946 | | | | 4,885,911 | |
TreeHouse Foods, Inc.* | | | 124,700 | | | | 5,214,954 | |
United Natural Foods, Inc.* | | | 221,000 | | | | 8,707,400 | |
Village Super Market, Inc., Class A | | | 22,500 | | | | 513,225 | |
Weis Markets, Inc. | | | 92,325 | | | | 6,881,905 | |
Willamette Valley Vineyards, Inc.* | | | 5,000 | | | | 31,350 | |
| | | | | | | | |
| | |
| | | | | | | 51,277,405 | |
| |
Energy - 17.37% | | | | | |
Adams Resources & Energy, Inc. | | | 20,500 | | | | 659,895 | |
Alto Ingredients, Inc.*+ | | | 176,900 | | | | 656,299 | |
Antero Resources Corp.* | | | 353,600 | | | | 10,837,840 | |
Archrock, Inc. | | | 436,755 | | | | 3,611,964 | |
Ardmore Shipping Corp.* | | | 75,000 | | | | 522,750 | |
Berry Corp. | | | 318,000 | | | | 2,423,160 | |
Bristow Group, Inc.* | | | 141,299 | | | | 3,306,397 | |
Centennial Resource Development, Inc., Class A* | | | 1,172,500 | | | | 7,011,550 | |
Civitas Resources, Inc.+ | | | 95,000 | | | | 4,967,550 | |
Comstock Resources, Inc.* | | | 577,800 | | | | 6,979,824 | |
CONSOL Energy, Inc.* | | | 137,900 | | | | 6,809,502 | |
CVR Energy, Inc. | | | 222,000 | | | | 7,437,000 | |
Delek US Holdings, Inc.* | | | 214,500 | | | | 5,542,680 | |
DHT Holdings, Inc.+ | | | 647,322 | | | | 3,968,084 | |
Dorian LPG, Ltd. | | | 211,300 | | | | 3,211,760 | |
Earthstone Energy, Inc., Class A*+ | | | 194,000 | | | | 2,648,100 | |
Epsilon Energy, Ltd.+ | | | 90,000 | | | | 530,100 | |
Forum Energy Technologies, Inc.* | | | 9,000 | | | | 176,580 | |
Frontline, Ltd.*+ | | | 621,100 | | | | 5,502,946 | |
Geospace Technologies Corp.* | | | 75,000 | | | | 355,500 | |
Golar LNG, Ltd.* | | | 381,500 | | | | 8,679,125 | |
Gran Tierra Energy, Inc.* | | | 351,700 | | | | 404,455 | |
Green Plains, Inc.*+ | | | 21,100 | | | | 573,287 | |
Hallador Energy Co.* | | | 255,000 | | | | 1,379,550 | |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Energy (continued) | | | | | |
Helix Energy Solutions Group, Inc.* | | | 596,000 | | | $ | 1,847,600 | |
International Seaways, Inc.+ | | | 112,590 | | | | 2,386,908 | |
Mammoth Energy Services, Inc.* | | | 121,400 | | | | 267,080 | |
Nabors Industries, Ltd.* | | | 32,200 | | | | 4,311,580 | |
NACCO Industries, Inc., Class A | | | 22,445 | | | | 850,665 | |
National Energy Services Reunited Corp.* | | | 298,700 | | | | 2,025,186 | |
Natural Gas Services Group, Inc.* | | | 64,752 | | | | 712,272 | |
NCS Multistage Holdings, Inc.* | | | 6,000 | | | | 183,600 | |
Newpark Resources, Inc.* | | | 510,800 | | | | 1,578,372 | |
Nine Energy Service, Inc.* | | | 35,000 | | | | 92,750 | |
Oil States International, Inc.* | | | 244,400 | | | | 1,324,648 | |
Overseas Shipholding Group, Inc., Class A* | | | 593,300 | | | | 1,216,265 | |
Par Pacific Holdings, Inc.* | | | 99,000 | | | | 1,543,410 | |
Patterson-UTI Energy, Inc. | | | 564,000 | | | | 8,888,640 | |
PBF Energy, Inc., Class A* | | | 347,600 | | | | 10,087,352 | |
PDC Energy, Inc. | | | 44,600 | | | | 2,747,806 | |
PHX Minerals, Inc. | | | 40,000 | | | | 121,600 | |
ProPetro Holding Corp.* | | | 400,000 | | | | 4,000,000 | |
Range Resources Corp.* | | | 240,000 | | | | 5,940,000 | |
Ranger Energy Services, Inc.* | | | 38,400 | | | | 389,376 | |
Ranger Oil Corp., Class A* | | | 49,500 | | | | 1,627,065 | |
Ring Energy, Inc.*+ | | | 774,500 | | | | 2,060,170 | |
SandRidge Energy, Inc.* | | �� | 130,050 | | | | 2,037,883 | |
Scorpio Tankers, Inc. | | | 213,467 | | | | 7,366,746 | |
SEACOR Marine Holdings, Inc.* | | | 86,800 | | | | 499,968 | |
Select Energy Services, Inc., Class A* | | | 152,500 | | | | 1,040,050 | |
SFL Corp., Ltd. | | | 550,000 | | | | 5,219,500 | |
SM Energy Co. | | | 243,000 | | | | 8,308,170 | |
Smart Sand, Inc.* | | | 305,200 | | | | 610,400 | |
Talos Energy, Inc.* | | | 293,400 | | | | 4,538,898 | |
Teekay Corp.* | | | 590,000 | | | | 1,699,200 | |
Teekay Tankers, Ltd., Class A* | | | 103,625 | | | | 1,826,909 | |
Transocean, Ltd.* | | | 1,441,000 | | | | 4,798,530 | |
US Silica Holdings, Inc.* | | | 355,000 | | | | 4,054,100 | |
VAALCO Energy, Inc.+ | | | 400,000 | | | | 2,776,000 | |
Weatherford International PLC* | | | 207,000 | | | | 4,382,190 | |
Whiting Petroleum Corp. | | | 84,500 | | | | 5,748,535 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Energy (continued) | | | | | |
World Fuel Services Corp. | | | 196,100 | | | $ | 4,012,206 | |
| | | | | | | | |
| | |
| | | | | | | 201,317,528 | |
| |
Financials - 36.04% | | | | | |
1st Source Corp. | | | 85,000 | | | | 3,859,000 | |
Acacia Research Corp.* | | | 196,000 | | | | 987,840 | |
ACNB Corp.+ | | | 51,400 | | | | 1,526,066 | |
Affinity Bancshares, Inc.* | | | 31,500 | | | | 467,775 | |
Alerus Financial Corp. | | | 47,300 | | | | 1,126,213 | |
Allegiance Bancshares, Inc. | | | 51,500 | | | | 1,944,640 | |
Amalgamated Financial Corp. | | | 104,930 | | | | 2,075,515 | |
A-Mark Precious Metals, Inc. | | | 15,558 | | | | 501,745 | |
Amerant Bancorp, Inc. | | | 79,394 | | | | 2,232,559 | |
American National Bankshares, Inc. | | | 25,000 | | | | 865,250 | |
AmeriServ Financial, Inc. | | | 118,000 | | | | 464,920 | |
Ames National Corp. | | | 1,008 | | | | 22,357 | |
Argo Group International Holdings, Ltd. | | | 97,484 | | | | 3,593,260 | |
Associated Capital Group, Inc., Class A | | | 22,571 | | | | 808,719 | |
Auburn National BanCorp, Inc. | | | 12,000 | | | | 324,480 | |
Banc of California, Inc. | | | 168,043 | | | | 2,960,918 | |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | 113,400 | | | | 1,504,818 | |
Bank of Marin Bancorp | | | 12,247 | | | | 389,210 | |
Bank of NT Butterfield & Son, Ltd. (The) | | | 113,500 | | | | 3,540,065 | |
Bank of Princeton (The) | | | 34,480 | | | | 946,821 | |
Bank of the James Financial Group, Inc. | | | 5,600 | | | | 72,800 | |
Bank7 Corp. | | | 51,500 | | | | 1,176,260 | |
BankFinancial Corp. | | | 59,912 | | | | 562,574 | |
Bankwell Financial Group, Inc.+ | | | 15,000 | | | | 465,750 | |
Banner Corp. | | | 91,127 | | | | 5,122,249 | |
Bar Harbor Bankshares | | | 50,966 | | | | 1,317,981 | |
BayCom Corp. | | | 913 | | | | 18,881 | |
BCB Bancorp, Inc. | | | 60,400 | | | | 1,028,612 | |
Berkshire Hills Bancorp, Inc. | | | 134,801 | | | | 3,339,021 | |
Blue Ridge Bankshares, Inc.+ | | | 59,500 | | | | 911,540 | |
Broadway Financial Corp.* | | | 469,300 | | | | 497,458 | |
Brookline Bancorp, Inc. | | | 250,000 | | | | 3,327,500 | |
Business First Bancshares, Inc. | | | 65,000 | | | | 1,385,150 | |
| | |
| | |
| 10 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Financials (continued) | | | | | |
Byline Bancorp, Inc. | | | 120,800 | | | $ | 2,875,040 | |
C&F Financial Corp. | | | 9,900 | | | | 455,103 | |
Camden National Corp. | | | 65,600 | | | | 2,889,680 | |
Capital Bancorp, Inc. | | | 76,950 | | | | 1,669,815 | |
Capital City Bank Group, Inc. | | | 37,172 | | | | 1,036,727 | |
Capstar Financial Holdings, Inc. | | | 51,813 | | | | 1,016,571 | |
Carlyle Secured Lending, Inc. | | | 14,000 | | | | 177,800 | |
Carter Bankshares, Inc.* | | | 30,685 | | | | 405,042 | |
CB Financial Services, Inc. | | | 26,400 | | | | 603,504 | |
Central Pacific Financial Corp. | | | 59,000 | | | | 1,265,550 | |
Central Valley Community Bancorp | | | 55,000 | | | | 797,500 | |
Chemung Financial Corp. | | | 19,500 | | | | 916,500 | |
ChoiceOne Financial Services, Inc. | | | 1,000 | | | | 20,140 | |
Citizens Community Bancorp, Inc. | | | 59,400 | | | | 821,502 | |
Citizens, Inc.*+ | | | 96,040 | | | | 402,408 | |
Civista Bancshares, Inc. | | | 42,523 | | | | 904,039 | |
CNB Financial Corp. | | | 41,900 | | | | 1,013,561 | |
Codorus Valley Bancorp, Inc. | | | 56,622 | | | | 1,274,561 | |
Community Financial Corp. (The) | | | 34,590 | | | | 1,275,679 | |
Community Trust Bancorp, Inc. | | | 60,000 | | | | 2,426,400 | |
Community West Bancshares | | | 57,000 | | | | 815,670 | |
ConnectOne Bancorp, Inc. | | | 151,646 | | | | 3,707,745 | |
Consumer Portfolio Services, Inc.* | | | 171,850 | | | | 1,761,462 | |
Cowen, Inc., Class A | | | 110,500 | | | | 2,617,745 | |
Crawford & Co., Class A+ | | | 60,000 | | | | 468,000 | |
Crawford & Co., Class B | | | 23,100 | | | | 162,855 | |
CrossFirst Bankshares, Inc.* | | | 85,700 | | | | 1,131,240 | |
Curo Group Holdings Corp. | | | 60,600 | | | | 335,118 | |
Customers Bancorp, Inc.* | | | 122,391 | | | | 4,149,055 | |
Dime Community Bancshares, Inc. | | | 125,616 | | | | 3,724,514 | |
Donegal Group, Inc., Class A | | | 111,000 | | | | 1,892,550 | |
Donnelley Financial Solutions, Inc.* | | | 54,100 | | | | 1,584,589 | |
Eagle Bancorp Montana, Inc. | | | 29,800 | | | | 593,318 | |
Eagle Bancorp, Inc. | | | 106,670 | | | | 5,057,225 | |
Elevate Credit, Inc.* | | | 157,900 | | | | 372,644 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Financials (continued) | | | | | |
Emclaire Financial Corp. | | | 1,200 | | | $ | 41,880 | |
Employers Holdings, Inc. | | | 52,600 | | | | 2,203,414 | |
Encore Capital Group, Inc.* | | | 107,500 | | | | 6,210,275 | |
Enova International, Inc.* | | | 90,407 | | | | 2,605,530 | |
Enterprise Bancorp, Inc. | | | 39,375 | | | | 1,267,481 | |
Enterprise Financial Services Corp. | | | 81,191 | | | | 3,369,427 | |
Equity Bancshares, Inc., Class A | | | 91,000 | | | | 2,653,560 | |
Esquire Financial Holdings, Inc. | | | 22,000 | | | | 732,600 | |
ESSA Bancorp, Inc. | | | 25,200 | | | | 423,360 | |
Evans Bancorp, Inc. | | | 18,101 | | | | 615,253 | |
EZCORP, Inc., Class A* | | | 316,200 | | | | 2,374,662 | |
Farmers National Banc Corp. | | | 88,450 | | | | 1,326,750 | |
Federal Agricultural Mortgage Corp., Class C | | | 26,600 | | | | 2,597,490 | |
Financial Institutions, Inc. | | | 53,400 | | | | 1,389,468 | |
First BanCorp Puerto Rico | | | 485,700 | | | | 6,270,387 | |
First Bancorp/Southern Pines NC | | | 62,473 | | | | 2,180,308 | |
First Bancshares, Inc. (The) | | | 79,400 | | | | 2,270,840 | |
First Bank | | | 61,800 | | | | 863,964 | |
First Busey Corp. | | | 184,000 | | | | 4,204,400 | |
First Business Financial Services, Inc. | | | 45,400 | | | | 1,416,026 | |
First Capital, Inc. | | | 15,035 | | | | 407,298 | |
First Commonwealth Financial Corp. | | | 273,800 | | | | 3,674,396 | |
First Community Bankshares, Inc. | | | 4,579 | | | | 134,668 | |
First Community Corp. | | | 35,000 | | | | 670,950 | |
First Financial Bancorp | | | 200,000 | | | | 3,880,000 | |
First Financial Corp. | | | 39,362 | | | | 1,751,609 | |
First Financial Northwest, Inc. | | | 42,882 | | | | 666,386 | |
First Guaranty Bancshares, Inc.+ | | | 27,472 | | | | 667,844 | |
First Internet Bancorp | | | 61,600 | | | | 2,268,112 | |
First Merchants Corp. | | | 128,100 | | | | 4,562,922 | |
First Mid Bancshares, Inc. | | | 51,500 | | | | 1,837,005 | |
First National Corp. | | | 33,800 | | | | 616,850 | |
First Northwest Bancorp | | | 19,887 | | | | 310,237 | |
First of Long Island Corp. (The) | | | 20,600 | | | | 361,118 | |
First Savings Financial Group, Inc. | | | 1,000 | | | | 23,940 | |
First United Corp. | | | 21,876 | | | | 410,394 | |
First US Bancshares, Inc. | | | 6,468 | | | | 71,148 | |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Financials (continued) | | | | | |
First Western Financial, Inc.* | | | 64,800 | | | $ | 1,761,912 | |
Flushing Financial Corp. | | | 93,297 | | | | 1,983,494 | |
FNCB Bancorp, Inc. | | | 135,700 | | | | 1,085,600 | |
Franklin Financial Services Corp. | | | 30,700 | | | | 925,912 | |
FS Bancorp, Inc. | | | 28,700 | | | | 823,977 | |
FVCBankcorp, Inc.*+ | | | 22,000 | | | | 414,260 | |
Genworth Financial, Inc., Class A* | | | 1,300,000 | | | | 4,589,000 | |
Great Southern Bancorp, Inc. | | | 10,000 | | | | 585,600 | |
Guild Holdings Co., Class A | | | 227,001 | | | | 2,313,140 | |
Hallmark Financial Services, Inc.* | | | 90,000 | | | | 217,800 | |
Hanmi Financial Corp. | | | 143,100 | | | | 3,211,164 | |
HarborOne Bancorp, Inc. | | | 169,100 | | | | 2,331,889 | |
Hawthorn Bancshares, Inc. | | | 27,312 | | | | 696,183 | |
HCI Group, Inc.+ | | | 11,500 | | | | 779,240 | |
Heartland Financial USA, Inc. | | | 102,100 | | | | 4,241,234 | |
Hennessy Advisors, Inc.+ | | | 7,000 | | | | 73,080 | |
Heritage Commerce Corp. | | | 12,900 | | | | 137,901 | |
Heritage Financial Corp. | | | 88,400 | | | | 2,224,144 | |
Heritage Insurance Holdings, Inc. | | | 70,100 | | | | 185,064 | |
HMN Financial, Inc. | | | 31,800 | | | | 733,944 | |
Home Bancorp, Inc. | | | 30,494 | | | | 1,040,760 | |
HomeStreet, Inc. | | | 82,800 | | | | 2,870,676 | |
Hope Bancorp, Inc. | | | 385,800 | | | | 5,339,472 | |
Horace Mann Educators Corp. | | | 96,200 | | | | 3,692,156 | |
Horizon Bancorp, Inc. | | | 177,667 | | | | 3,094,959 | |
Independent Bank Corp. | | | 88,100 | | | | 1,698,568 | |
Independent Bank Group, Inc. | | | 57,750 | | | | 3,921,803 | |
Investar Holding Corp. | | | 43,000 | | | | 941,700 | |
Investors Title Co. | | | 2,094 | | | | 328,528 | |
Kingstone Cos., Inc. | | | 45,300 | | | | 178,482 | |
Lakeland Bancorp, Inc. | | | 170,654 | | | | 2,494,961 | |
Landmark Bancorp, Inc. | | | 16,061 | | | | 406,986 | |
LCNB Corp. | | | 58,600 | | | | 876,070 | |
LendingClub Corp.* | | | 156,500 | | | | 1,829,485 | |
Limestone Bancorp, Inc. | | | 36,150 | | | | 665,521 | |
Logan Ridge Finance Corp.* | | | 12,600 | | | | 197,820 | |
Luther Burbank Corp. | | | 258,197 | | | | 3,369,471 | |
Macatawa Bank Corp. | | | 19,000 | | | | 167,960 | |
MainStreet Bancshares, Inc. | | | 21,000 | | | | 478,170 | |
Malvern Bancorp, Inc.* | | | 4,900 | | | | 78,743 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Financials (continued) | | | | | |
Manning & Napier, Inc. | | | 262,875 | | | $ | 3,278,051 | |
Mercantile Bank Corp. | | | 39,200 | | | | 1,252,440 | |
Merchants Bancorp | | | 132,611 | | | | 3,006,291 | |
Meridian Corp. | | | 17,500 | | | | 530,250 | |
Meta Financial Group, Inc. | | | 101,931 | | | | 3,941,672 | |
Metrocity Bankshares, Inc. | | | 9,291 | | | | 188,700 | |
Metropolitan Bank Holding Corp.* | | | 21,400 | | | | 1,485,588 | |
Mid Penn Bancorp, Inc. | | | 25,703 | | | | 693,210 | |
Middlefield Banc Corp. | | | 34,000 | | | | 856,800 | |
Midland States Bancorp, Inc. | | | 113,700 | | | | 2,733,348 | |
MidWestOne Financial Group, Inc. | | | 41,460 | | | | 1,232,191 | |
MVB Financial Corp. | | | 32,600 | | | | 1,014,186 | |
National Western Life Group, Inc., Class A | | | 10,778 | | | | 2,184,701 | |
Navient Corp. | | | 450,000 | | | | 6,295,500 | |
NI Holdings, Inc.* | | | 50,000 | | | | 821,500 | |
Nicholas Financial, Inc.* | | | 43,400 | | | | 404,488 | |
Nicolet Bankshares, Inc.* | | | 21,170 | | | | 1,531,438 | |
NMI Holdings, Inc., Class A* | | | 264,900 | | | | 4,410,585 | |
Northfield Bancorp, Inc. | | | 55,000 | | | | 716,650 | |
Northrim BanCorp, Inc. | | | 16,900 | | | | 680,394 | |
Northwest Bancshares, Inc.+ | | | 363,200 | | | | 4,648,960 | |
Oak Valley Bancorp | | | 40,000 | | | | 688,000 | |
OceanFirst Financial Corp. | | | 219,223 | | | | 4,193,736 | |
Ocwen Financial Corp.* | | | 25,001 | | | | 685,027 | |
OFG Bancorp | | | 120,000 | | | | 3,048,000 | |
Ohio Valley Banc Corp. | | | 15,700 | | | | 473,826 | |
Old Point Financial Corp. | | | 1,000 | | | | 25,280 | |
Old Second Bancorp, Inc. | | | 85,550 | | | | 1,144,659 | |
OP Bancorp | | | 91,900 | | | | 964,031 | |
Oportun Financial Corp.* | | | 152,400 | | | | 1,260,348 | |
Oppenheimer Holdings, Inc., Class A | | | 64,493 | | | | 2,130,849 | |
Origin Bancorp, Inc. | | | 30,622 | | | | 1,188,134 | |
Orrstown Financial Services, Inc.+ | | | 25,600 | | | | 618,752 | |
Pacific Premier Bancorp, Inc. | | | 17,200 | | | | 502,928 | |
Parke Bancorp, Inc. | | | 50,099 | | | | 1,050,075 | |
Pathfinder Bancorp, Inc. | | | 3,000 | | | | 59,790 | |
Patriot National Bancorp, Inc.* | | | 18,500 | | | | 225,145 | |
PCB Bancorp | | | 58,600 | | | | 1,094,648 | |
Peapack-Gladstone Financial Corp. | | | 49,894 | | | | 1,481,852 | |
Penns Woods Bancorp, Inc. | | | 15,034 | | | | 347,135 | |
| | |
| | |
| 12 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Financials (continued) | | | | | |
Peoples Bancorp of North Carolina, Inc. | | | 27,617 | | | $ | 750,078 | |
Peoples Bancorp, Inc. | | | 112,897 | | | | 3,003,060 | |
Peoples Financial Services Corp. | | | 22,900 | | | | 1,278,736 | |
Piper Sandler Cos. | | | 35,500 | | | | 4,024,280 | |
Plumas Bancorp+ | | | 2,000 | | | | 57,080 | |
PRA Group, Inc.* | | | 50,000 | | | | 1,818,000 | |
Preferred Bank | | | 31,000 | | | | 2,108,620 | |
Premier Financial Corp. | | | 120,300 | | | | 3,049,605 | |
Primis Financial Corp. | | | 64,158 | | | | 874,474 | |
ProAssurance Corp. | | | 150,700 | | | | 3,561,041 | |
Provident Bancorp, Inc. | | | 54,600 | | | | 857,220 | |
Provident Financial Holdings, Inc. | | | 51,000 | | | | 756,330 | |
Provident Financial Services, Inc.+ | | | 167,731 | | | | 3,733,692 | |
QCR Holdings, Inc. | | | 33,500 | | | | 1,808,665 | |
Randolph Bancorp, Inc. | | | 2,500 | | | | 66,125 | |
RBB Bancorp | | | 105,883 | | | | 2,188,602 | |
Red River Bancshares, Inc. | | | 200 | | | | 10,816 | |
Regional Management Corp. | | | 56,100 | | | | 2,096,457 | |
Renasant Corp. | | | 159,780 | | | | 4,603,262 | |
Republic Bancorp, Inc., Class A | | | 49,362 | | | | 2,381,717 | |
Republic First Bancorp, Inc.* | | | 175,000 | | | | 666,750 | |
Rhinebeck Bancorp, Inc.* | | | 15,000 | | | | 140,850 | |
Riverview Bancorp, Inc. | | | 119,500 | | | | 786,310 | |
S&T Bancorp, Inc. | | | 102,801 | | | | 2,819,831 | |
Safety Insurance Group, Inc. | | | 54,445 | | | | 5,286,609 | |
Salisbury Bancorp, Inc. | | | 2,183 | | | | 103,081 | |
Sandy Spring Bancorp, Inc. | | | 1,700 | | | | 66,419 | |
SB Financial Group, Inc. | | | 35,490 | | | | 612,557 | |
Security National Financial Corp., Class A* | | | 28,887 | | | | 244,380 | |
Shore Bancshares, Inc. | | | 88,736 | | | | 1,641,616 | |
Sierra Bancorp | | | 78,000 | | | | 1,694,940 | |
Simmons First National Corp., Class A | | | 65,108 | | | | 1,384,196 | |
SiriusPoint, Ltd.* | | | 565,300 | | | | 3,063,926 | |
SmartFinancial, Inc. | | | 56,500 | | | | 1,365,040 | |
Sound Financial Bancorp, Inc. | | | 10,000 | | | | 379,500 | |
South Plains Financial, Inc. | | | 99,700 | | | | 2,406,758 | |
Southern First Bancshares, Inc.* | | | 48,645 | | | | 2,120,436 | |
Southern Missouri Bancorp, Inc. | | | 11,000 | | | | 497,860 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Financials (continued) | | | | | |
SouthState Corp. | | | 18,180 | | | $ | 1,402,587 | |
Sterling Bancorp, Inc.* | | | 200,000 | | | | 1,140,000 | |
Stewart Information Services Corp. | | | 108,314 | | | | 5,388,621 | |
StoneX Group, Inc.* | | | 61,703 | | | | 4,817,153 | |
Summit Financial Group, Inc. | | | 65,515 | | | | 1,820,007 | |
Summit State Bank | | | 21,000 | | | | 319,620 | |
SuRo Capital Corp.+ | | | 96,463 | | | | 617,363 | |
SWK Holdings Corp.* | | | 58,405 | | | | 1,020,335 | |
Territorial Bancorp, Inc. | | | 30,000 | | | | 625,500 | |
Timberland Bancorp, Inc. | | | 47,900 | | | | 1,197,500 | |
Tiptree, Inc. | | | 177,200 | | | | 1,881,864 | |
TriCo Bancshares | | | 75,900 | | | | 3,464,076 | |
TrustCo Bank Corp. NY | | | 36,680 | | | | 1,131,211 | |
Trustmark Corp. | | | 165,500 | | | | 4,830,945 | |
Union Bankshares, Inc. | | | 139 | | | | 3,635 | |
United Bancorp, Inc. | | | 17,000 | | | | 278,630 | |
United Bancshares, Inc. | | | 19,900 | | | | 566,354 | |
United Fire Group, Inc. | | | 93,300 | | | | 3,193,659 | |
Unity Bancorp, Inc. | | | 43,867 | | | | 1,161,598 | |
Universal Insurance Holdings, Inc. | | | 160,516 | | | | 2,091,523 | |
Univest Financial Corp. | | | 154,079 | | | | 3,919,770 | |
US Global Investors, Inc., Class A | | | 48,500 | | | | 212,430 | |
Velocity Financial, Inc.* | | | 60,000 | | | | 659,400 | |
Veritex Holdings, Inc. | | | 102,380 | | | | 2,995,639 | |
Virtus Investment Partners, Inc. | | | 17,232 | | | | 2,947,017 | |
Walker & Dunlop, Inc. | | | 26,475 | | | | 2,550,602 | |
Washington Federal, Inc. | | | 140,000 | | | | 4,202,800 | |
Waterstone Financial, Inc. | | | 47,000 | | | | 801,350 | |
Western New England Bancorp, Inc. | | | 125,000 | | | | 932,500 | |
Westwood Holdings Group, Inc. | | | 12,452 | | | | 171,838 | |
World Acceptance Corp.* | | | 20,100 | | | | 2,256,024 | |
WSFS Financial Corp.+ | | | 33,020 | | | | 1,323,772 | |
| | | | | | | | |
| | |
| | | | | | | 417,630,980 | |
| |
Health Care - 1.72% | | | | | |
AlerisLife, Inc.* | | | 36,300 | | | | 43,560 | |
American Shared Hospital Services* | | | 8,500 | | | | 18,870 | |
Brookdale Senior Living, Inc.* | | | 561,000 | | | | 2,546,940 | |
CareCloud, Inc.* | | | 22,800 | | | | 78,090 | |
Co.-Diagnostics, Inc.*+ | | | 100,400 | | | | 563,244 | |
Emergent BioSolutions, Inc.* | | | 147,000 | | | | 4,562,880 | |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Health Care (continued) | | | | | |
FONAR Corp.* | | | 16,500 | | | $ | 250,635 | |
Fulgent Genetics, Inc.* | | | 92,708 | | | | 5,055,367 | |
iTeos Therapeutics, Inc.* | | | 50,000 | | | | 1,030,000 | |
National HealthCare Corp. | | | 18,500 | | | | 1,293,150 | |
Ovid therapeutics, Inc.* | | | 221,100 | | | | 475,365 | |
Owens & Minor, Inc. | | | 68,700 | | | | 2,160,615 | |
Prestige Consumer Healthcare, Inc.* | | | 5,000 | | | | 294,000 | |
REGENXBIO, Inc.* | | | 59,900 | | | | 1,479,530 | |
XBiotech, Inc. | | | 10,000 | | | | 56,300 | |
| | | | | | | | |
| | |
| | | | | | | 19,908,546 | |
| |
Industrials - 14.02% | | | | | |
ACCO Brands Corp. | | | 342,700 | | | | 2,237,831 | |
Acme United Corp. | | | 15,000 | | | | 475,050 | |
Air Transport Services Group, Inc.* | | | 105,000 | | | | 3,016,650 | |
Allegiant Travel Co.* | | | 25,200 | | | | 2,849,868 | |
Apogee Enterprises, Inc. | | | 19,400 | | | | 760,868 | |
ARC Document Solutions, Inc. | | | 233,700 | | | | 614,631 | |
ArcBest Corp. | | | 69,500 | | | | 4,890,715 | |
Art’s-Way Manufacturing Co., Inc.* | | | 14,459 | | | | 42,654 | |
Atlas Air Worldwide Holdings, Inc.* | | | 75,700 | | | | 4,671,447 | |
Avalon Holdings Corp., Class A* | | | 16,900 | | | | 43,940 | |
BGSF, Inc. | | | 18,000 | | | | 222,480 | |
BlueLinx Holdings, Inc.* | | | 15,000 | | | | 1,002,150 | |
Boise Cascade Co. | | | 106,000 | | | | 6,305,940 | |
BrightView Holdings, Inc.* | | | 342,100 | | | | 4,105,200 | |
Caesarstone, Ltd. | | | 85,600 | | | | 781,528 | |
Chicago Rivet & Machine Co. | | | 1,000 | | | | 28,490 | |
Civeo Corp.* | | | 46,903 | | | | 1,213,381 | |
CompX International, Inc. | | | 1,000 | | | | 23,190 | |
Concrete Pumping Holdings, Inc.* | | | 263,000 | | | | 1,593,780 | |
Cornerstone Building Brands, Inc.* | | | 184,500 | | | | 4,518,405 | |
Costamare, Inc. | | | 477,200 | | | | 5,774,120 | |
Covenant Logistics Group, Inc. | | | 85,400 | | | | 2,142,686 | |
DLH Holdings Corp.* | | | 80,050 | | | | 1,219,962 | |
DXP Enterprises, Inc.* | | | 38,922 | | | | 1,192,181 | |
Eagle Bulk Shipping, Inc. | | | 60,600 | | | | 3,143,928 | |
Eastern Co. (The) | | | 19,601 | | | | 398,684 | |
Genco Shipping & Trading, Ltd. | | | 245,900 | | | | 4,750,788 | |
GMS, Inc.* | | | 108,200 | | | | 4,814,900 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Industrials (continued) | | | | | |
Greenbrier Cos., Inc. (The) | | | 96,700 | | | $ | 3,480,233 | |
H&E Equipment Services, Inc. | | | 30,900 | | | | 895,173 | |
Hawaiian Holdings, Inc.*+ | | | 150,000 | | | | 2,146,500 | |
Hub Group, Inc., Class A* | | | 20,000 | | | | 1,418,800 | |
Hudson Technologies, Inc.* | | | 18,200 | | | | 136,682 | |
Hurco Cos., Inc. | | | 10,060 | | | | 248,884 | |
INNOVATE Corp.*+ | | | 134,300 | | | | 232,339 | |
KAR Auction Services, Inc.* | | | 275,000 | | | | 4,061,750 | |
Kelly Services, Inc., Class A | | | 99,300 | | | | 1,969,119 | |
L B Foster Co., Class A* | | | 35,700 | | | | 459,459 | |
LS Starrett Co. (The), Class A* | | | 10,632 | | | | 74,637 | |
LSI Industries, Inc. | | | 104,900 | | | | 647,233 | |
Manitowoc Co., Inc. (The)* | | | 196,550 | | | | 2,069,672 | |
Matthews International Corp., Class A | | | 75,000 | | | | 2,150,250 | |
Maxar Technologies, Inc. | | | 133,000 | | | | 3,469,970 | |
Mayville Engineering Co., Inc.* | | | 28,710 | | | | 222,215 | |
Mega Matrix Corp. | | | 14,845 | | | | 20,189 | |
Mesa Air Group, Inc.* | | | 119,600 | | | | 261,924 | |
Miller Industries, Inc. | | | 34,400 | | | | 779,848 | |
Mistras Group, Inc.* | | | 104,850 | | | | 622,809 | |
MRC Global, Inc.* | | | 253,800 | | | | 2,527,848 | |
MYR Group, Inc.* | | | 46,020 | | | | 4,055,743 | |
NL Industries, Inc. | | | 57,594 | | | | 568,453 | |
NN, Inc.* | | | 126,000 | | | | 318,780 | |
Northwest Pipe Co.* | | | 50,000 | | | | 1,497,000 | |
NOW, Inc.* | | | 301,566 | | | | 2,949,315 | |
Orion Group Holdings, Inc.* | | | 173,222 | | | | 394,946 | |
P&F Industries, Inc., Class A* | | | 696 | | | | 3,953 | |
PAM Transportation Services, Inc.* | | | 115,220 | | | | 3,155,876 | |
Pangaea Logistics Solutions, Ltd. | | | 296,300 | | | | 1,505,204 | |
Park-Ohio Holdings Corp. | | | 52,515 | | | | 832,888 | |
Patriot Transportation Holding, Inc. | | | 7,500 | | | | 55,800 | |
Performant Financial Corp.* | | | 175,000 | | | | 460,250 | |
Perma-Pipe International Holdings, Inc.* | | | 14,000 | | | | 126,000 | |
Pineapple Energy, Inc. | | | 2,100 | | | | 4,914 | |
Powell Industries, Inc. | | | 25,000 | | | | 584,250 | |
Preformed Line Products Co. | | | 16,375 | | | | 1,007,063 | |
Primoris Services Corp. | | | 192,100 | | | | 4,180,096 | |
Quad/Graphics, Inc.* | | | 181,500 | | | | 499,125 | |
| | |
| | |
| 14 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
| |
Industrials (continued) | | | | | |
Quanex Building Products Corp. | | | 91,700 | | | $ | 2,086,175 | |
Quest Resource Holding Corp.* | | | 41,500 | | | | 169,735 | |
REV Group, Inc. | | | 250,000 | | | | 2,717,500 | |
Rush Enterprises, Inc., Class A | | | 112,900 | | | | 5,441,780 | |
Rush Enterprises, Inc., Class B | | | 56,410 | | | | 2,798,500 | |
Safe Bulkers, Inc. | | | 757,100 | | | | 2,892,122 | |
Servotronics, Inc.* | | | 1,500 | | | | 16,875 | |
SIFCO Industries, Inc.* | | | 6,500 | | | | 20,150 | |
SkyWest, Inc.* | | | 172,500 | | | | 3,665,625 | |
Steelcase, Inc., Class A | | | 350,000 | | | | 3,755,500 | |
Sterling Infrastructure, Inc.* | | | 100,000 | | | | 2,192,000 | |
Textainer Group Holdings, Ltd. | | | 216,900 | | | | 5,945,229 | |
Titan Machinery, Inc.* | | | 129,800 | | | | 2,908,818 | |
TrueBlue, Inc.* | | | 63,350 | | | | 1,133,965 | |
Tutor Perini Corp.* | | | 148,700 | | | | 1,305,586 | |
Ultralife Corp.* | | | 77,400 | | | | 352,170 | |
Universal Logistics Holdings, Inc. | | | 22,100 | | | | 603,551 | |
US Xpress Enterprises, Inc., Class A* | | | 195,000 | | | | 522,600 | |
USA Truck, Inc.* | | | 53,850 | | | | 1,691,967 | |
Vectrus, Inc.* | | | 35,000 | | | | 1,171,100 | |
Veritiv Corp.* | | | 53,500 | | | | 5,807,425 | |
Wabash National Corp.+ | | | 73,900 | | | | 1,003,562 | |
Williams Industrial Services Group, Inc.* | | | 55,000 | | | | 76,450 | |
Willis Lease Finance Corp.* | | | 35,400 | | | | 1,326,792 | |
| | | | | | | | |
| | |
| | | | | | | 162,535,814 | |
| |
Information Technology - 4.23% | | | | | |
Alpha & Omega Semiconductor, Ltd.*+ | | | 149,544 | | | | 4,985,797 | |
AstroNova, Inc.* | | | 5,000 | | | | 59,900 | |
Bel Fuse, Inc., Class B | | | 32,000 | | | | 497,920 | |
Benchmark Electronics, Inc. | | | 124,000 | | | | 2,797,440 | |
Computer Task Group, Inc.* | | | 47,250 | | | | 404,460 | |
Comtech Telecommunications Corp. | | | 14,200 | | | | 128,794 | |
Conduent, Inc.* | | | 875,600 | | | | 3,782,592 | |
Daktronics, Inc.* | | | 121,500 | | | | 365,715 | |
Ebix, Inc.+ | | | 55,000 | | | | 929,500 | |
EMCORE Corp.* | | | 98,700 | | | | 303,009 | |
Franklin Wireless Corp.* | | | 32,000 | | | | 103,360 | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | | | | | | | |
| |
Information Technology (continued) | | | | | |
Greenidge Generation Holdings, Inc.* | | | 8,625 | | | $ | 21,907 | |
Information Services Group, Inc. | | | 140,300 | | | | 948,428 | |
Kimball Electronics, Inc.* | | | 87,600 | | | | 1,760,760 | |
NETGEAR, Inc.* | | | 65,000 | | | | 1,203,800 | |
NetScout Systems, Inc.* | | | 202,400 | | | | 6,851,240 | |
NetSol Technologies, Inc.* | | | 48,100 | | | | 153,198 | |
Network-1 Technologies, Inc. | | | 159,000 | | | | 381,600 | |
Photronics, Inc.* | | | 206,050 | | | | 4,013,854 | |
Ribbon Communications, Inc.* | | | 218,500 | | | | 664,240 | |
Richardson Electronics, Ltd. | | | 30,000 | | | | 439,800 | |
Sanmina Corp.* | | | 145,100 | | | | 5,909,923 | |
ScanSource, Inc.* | | | 72,100 | | | | 2,245,194 | |
StarTek, Inc.* | | | 232,000 | | | | 670,480 | |
Steel Connect, Inc.* | | | 65,000 | | | | 87,100 | |
Taitron Components, Inc., Class A | | | 10,000 | | | | 36,500 | |
Trio-Tech International* | | | 21,800 | | | | 94,394 | |
TTM Technologies, Inc.* | | | 345,153 | | | | 4,314,413 | |
Wayside Technology Group, Inc. | | | 16,400 | | | | 545,136 | |
WidePoint Corp.* | | | 19,000 | | | | 45,410 | |
Xperi Holding Corp. | | | 296,800 | | | | 4,282,824 | |
| | | | | | | | |
| | |
| | | | | | | 49,028,688 | |
| |
Materials - 6.43% | | | | | |
Advanced Emissions Solutions, Inc.* | | | 92,075 | | | | 431,832 | |
AdvanSix, Inc. | | | 70,000 | | | | 2,340,800 | |
AgroFresh Solutions, Inc.* | | | 148,300 | | | | 265,458 | |
Alpha Metallurgical Resources, Inc. | | | 56,000 | | | | 7,231,280 | |
American Vanguard Corp. | | | 145,000 | | | | 3,240,750 | |
Ampco-Pittsburgh Corp.* | | | 60,000 | | | | 232,200 | |
Caledonia Mining Corp. PLC | | | 9,200 | | | | 100,740 | |
Carpenter Technology Corp. | | | 140,000 | | | | 3,907,400 | |
Clearwater Paper Corp.* | | | 111,650 | | | | 3,754,789 | |
Core Molding Technologies, Inc.* | | | 30,000 | | | | 275,700 | |
Ecovyst, Inc. | | | 5,900 | | | | 58,115 | |
Friedman Industries, Inc. | | | 52,100 | | | | 424,094 | |
FutureFuel Corp. | | | 112,800 | | | | 821,184 | |
Glatfelter Corp. | | | 190,400 | | | | 1,309,952 | |
Haynes International, Inc. | | | 30,410 | | | | 996,536 | |
Intrepid Potash, Inc.* | | | 42,356 | | | | 1,918,303 | |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
Common Stocks (continued) | |
Materials (continued) | |
Kaiser Aluminum Corp. | | | 17,500 | | | $ | 1,384,075 | |
Koppers Holdings, Inc. | | | 80,100 | | | | 1,813,464 | |
Mercer International, Inc. | | | 301,150 | | | | 3,960,123 | |
Minerals Technologies, Inc. | | | 28,400 | | | | 1,742,056 | |
Olympic Steel, Inc. | | | 37,000 | | | | 952,750 | |
Pactiv Evergreen, Inc. | | | 10,000 | | | | 99,600 | |
Ramaco Resources, Inc. | | | 91,400 | | | | 1,201,910 | |
Rayonier Advanced Materials, Inc.* | | | 324,500 | | | | 850,190 | |
Resolute Forest Products, Inc.* | | | 306,500 | | | | 3,910,940 | |
Ryerson Holding Corp. | | | 90,000 | | | | 1,916,100 | |
Schnitzer Steel Industries, Inc., Class A | | | 127,800 | | | | 4,196,952 | |
SunCoke Energy, Inc. | | | 392,700 | | | | 2,674,287 | |
Synalloy Corp.* | | | 34,425 | | | | 484,015 | |
TimkenSteel Corp.* | | | 233,700 | | | | 4,372,527 | |
Tredegar Corp. | | | 91,700 | | | | 917,000 | |
Trinseo PLC | | | 121,500 | | | | 4,672,890 | |
Tronox Holdings PLC, Class A | | | 310,985 | | | | 5,224,548 | |
Universal Stainless & Alloy Products, Inc.* | | | 24,950 | | | | 184,630 | |
Valhi, Inc. | | | 48,099 | | | | 2,180,809 | |
Warrior Met Coal, Inc. | | | 146,992 | | | | 4,499,425 | |
| | | | | | | | |
| | |
| | | | | | | 74,547,424 | |
|
Real Estate - 0.42% | |
AMREP Corp.* | | | 52,000 | | | | 583,440 | |
Anywhere Real Estate, Inc.* | | | 370,600 | | | | 3,642,998 | |
Forestar Group, Inc.* | | | 8,800 | | | | 120,472 | |
RE/MAX Holdings, Inc., Class A | | | 20,000 | | | | 490,400 | |
| | | | | | | | |
| | |
| | | | | | | 4,837,310 | |
| | | | | | | | |
| |
TOTAL COMMON STOCKS - 99.66% | | | | 1,155,009,566 | |
| | | | | |
(Cost $913,476,529) | | | | | |
|
PREFERRED STOCK - 0.00% | |
Air T Funding, 8.00%*** | | | 221 | | | | 4,718 | |
| | | | | | | | |
| |
TOTAL PREFERRED STOCK - 0.00% | | | | 4,718 | |
| | | | | | | | |
(Cost $4,597) | | | | | | | | |
| | | | | | | | | | | | |
| Industry Company | | | | | Shares | | | Value | |
RIGHTS - 0.01% | |
Pineapple Holdings, Inc., CVR*Δ# | | | | 5,000 | | | $ | — | |
Pan American Silver Corp., CVR* | | | | 150,000 | | | | 106,440 | |
| | | | | | | | | |
| | |
TOTAL RIGHTS - 0.01% | | | | | | | | 106,440 | |
| | | | | | | | | |
(Cost $34,500) | | | | | | | | | |
| | |
WARRANTS - 0.02% | | | | | | | | | |
Nabors Industries, Ltd., expiring 06/11/26* | | | | 7,920 | | | | 253,282 | |
| | | | | | | | | |
| |
TOTAL WARRANTS - 0.02% | | | | 253,282 | |
| | | | | | | | | |
(Cost $ – ) | | | | | | | | | |
| | | |
| | | Rate^ | | | Shares | | | Value | |
|
| MONEY MARKET FUND - 0.31% | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21 | % | | | 3,605,470 | | | | 3,605,470 | |
| | | | | | | | | | | | |
| |
TOTAL MONEY MARKET FUND - 0.31% | | | | 3,605,470 | |
| | | | | | | | | | | | |
(Cost $3,605,470) | | | | | |
|
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 1.59% | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46 | % | | | 18,402,272 | | | | 18,402,272 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 1.59% | | | | 18,402,272 | |
| | | | | | | | | | | | |
(Cost $18,402,272) | |
| |
TOTAL INVESTMENTS - 101.59% | | | $ | 1,177,381,748 | |
(Cost $935,523,368) | |
| |
Liabilities in Excess of Other Assets - (1.59%) | | | | (18,440,312 | ) |
| | | | | | | | | | | | |
| |
NET ASSETS - 100.00% | | | $ | 1,158,941,436 | |
| | | | | | | | | | | | |
| | |
| | |
| 16 | | Annual Report | June 30, 2022 |
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
| | | | |
# Illiquid security as determined under procedures approved by the Board of Directors. The aggregate value of illiquid securities is $0, which is 0.00% of total net assets. * Non-income producing security. ** This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. *** Security is perpetual and has no stated maturity date. ^ Rate disclosed as of June 30, 2022. Δ Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy. + This security or a portion of the security is out on loan at June 30, 2022. Total loaned securities had a value of $36,779,609, which included loaned securities with a value of $82,456 that have been sold and are pending settlement as of June 30, 2022. The total market value of loaned securities excluding these pending sales is $36,697,153. See Note 2 for disclosure of cash and non-cash collateral. CVR - Contingent Value Right PLC - Public Limited Company | | | | |
Summary of inputs used to value the Fund’s investments as of 6/30/2022:
| | | | | | | | | | | | | | | | |
| | | Valuation Inputs | |
| | | Investment in Securities (Value) | |
| | | Level 1 Quoted Prices | | | Level 2 Significant Observable Inputs | | | Level 3 Significant Unobservable Inputs | | | Total | |
Common Stocks (a) | | | $1,155,009,566 | | | | $– | | | | $– | | | | $1,155,009,566 | |
Preferred Stock | | | 4,718 | | | | – | | | | – | | | | 4,718 | |
Rights | | | 106,440 | | | | – | | | | 0 | | | | 106,440 | |
Warrants | | | 253,282 | | | | – | | | | – | | | | 253,282 | |
Money Market Fund | | | 3,605,470 | | | | – | | | | – | | | | 3,605,470 | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 18,402,272 | | | | – | | | | – | | | | 18,402,272 | |
| | | | | | | | | | | | | | | | |
TOTAL | | | $1,177,381,748 | | | | $– | | | | $0 | | | | $1,177,381,748 | |
| | | | | | | | | | | | | | | | |
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
| | |
Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | |
| Investment in Securities (Value) | |
| | | Rights | |
| |
Balance as of 06/30/2021 | | $ | 0 | |
Purchases | | | 0 | |
Sales | | | (11,767) | |
Return of Capital | | | – | |
Realized Gain/(Loss) | | | 1,548 | |
Change in unrealized Appreciation/(Depreciation) | | | 10,219 | |
Transfers in | | | – | |
Transfers out | | | – | |
| | | | |
Balance as of 06/30/2022 | | $ | 0 | |
| | | | |
Net change in unrealized Appreciation/(Depreciation) from investments held as of 06/30/2022 | | $ | – | |
| | | | |
See Notes to Financial Statements.
| | |
| | |
| 18 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) | |
|
June 30, 2022
Dear Fellow Omni Tax-Managed Small-Cap Value Fund Shareholder,
For the quarter ended June 30, 2022, our Fund returned -13.30%, outperforming our primary market benchmark, the Russell 2000 Value Index (-15.28%). It was a poor quarter on an absolute basis, but a good one on a relative basis.
For the fiscal year, our Fund returned -6.17%, outperforming the Russell 2000 Value Index (-16.28%).
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, 2022 | | | | | | | | | | | | | | | |
| | | |
| | | | | | | | | Annualized | |
| | | Quarter | | | 1 Year | | | 5 Years | | | 10 Years | | | Since
Inception
(12/31/10) | |
| | | | | |
Omni Tax-Managed Small-Cap Value Fund | | | -13.30% | | | | -6.17% | | | | 6.07% | | | | 9.99% | | | | 8.73% | |
Russell 2000 Value Index | | | -15.28% | | | | -16.28% | | | | 4.89% | | | | 9.05% | | | | 8.04% | |
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.
| | |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
Growth of a $10,000 Investment
from Inception December 31, 2010 to June 30, 2022
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, 2022, we held 631 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.
The Fund’s tilt toward deeper value stocks across different valuation metrics benefited relative returns. However, the Fund’s tilt toward smaller stocks in the small-cap value universe hurt relative returns, as the benchmark’s smaller stocks underperformed their larger counterparts during the quarter.
By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. The lack of exposure to REITs improved relative results. However, avoiding Utilities stocks detracted from relative returns as those securities outperformed the benchmark.
Detailed Explanation of Fiscal Year Performance
The Fund’s tilt toward deeper value stocks across multiple valuation metrics boosted relative performance. However, the Fund’s tilt toward smaller stocks in the small-cap value universe detracted from relative results.
By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. This positioning hurt relative returns. The Real Estate sector outpaced the benchmark during the period, and the Utilities sector was one of only two sectors to post a positive 12-month return.
| | |
| | |
| 20 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
Top Ten Holdings as of June 30, 2022
| | | | | | | | | | |
Rank | | | | Description | | Industry | | | | % of Net
Assets |
1 | | | | Antero Resources Corp. | | Energy | | | | 1.1% |
2 | | | | PBF Energy, Inc., Class A | | Energy | | | | 0.9% |
3 | | | | Dillard’s, Inc., Class A | | Consumer Discretionary | | | | 0.8% |
4 | | | | SM Energy Co. | | Energy | | | | 0.7% |
5 | | | | Golar LNG, Ltd. | | Energy | | | | 0.7% |
6 | | | | Patterson-UTI Energy, Inc. | | Energy | | | | 0.6% |
7 | | | | Weis Markets, Inc. | | Consumer Staples | | | | 0.6% |
8 | | | | CONSOL Energy, Inc. | | Energy | | | | 0.6% |
9 | | | | Centennial Resource Development, Inc., Class A | | Energy | | | | 0.6% |
10 | | | | NetScout Systems, Inc. | | Information Technology | | | | 0.6% |
| | | | | |
| | | | Total | | | | | | 7.2% |
Industry Sector Representation as of June 30, 2022
| | | | | | | | |
| | | % of Net Assets | | % of Russell 2000
Value Index | | Difference | |
Communication Services | | 3.7% | | 3.3% | | | 0.4% | |
Consumer Discretionary | | 11.7% | | 9.6% | | | 2.1% | |
Consumer Staples | | 4.4% | | 2.9% | | | 1.5% | |
Energy | | 17.2% | | 5.0% | | | 12.2% | |
Financials | | 35.9% | | 28.3% | | | 7.6% | |
Health Care | | 2.2% | | 11.0% | | | -8.8% | |
Industrials | | 13.8% | | 12.7% | | | 1.1% | |
Information Technology | | 4.3% | | 6.1% | | | -1.8% | |
Materials | | 6.1% | | 3.9% | | | 2.2% | |
Real Estate | | 0.4% | | 11.9% | | | -11.5% | |
Utilities | | 0.0% | | 5.3% | | | -5.3% | |
Cash & Other Assets | | 0.3% | | 0.0% | | | 0.3% | |
| | | |
Total | | 100.0% | | 100.0% | | | | |
Important Disclosure
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, 2022, 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.
| | |
Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued) | |
|
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
| | |
| | |
| 22 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
COMMON STOCKS - 99.69% | | | | | |
Communication Services - 3.66% | | | | | | | | | |
AMC Networks, Inc., Class A* | | | 97,636 | | | $ | 2,843,160 | | | | | |
ATN International, Inc. | | | 49,500 | | | | 2,322,045 | | | | | |
Audacy, Inc.* | | | 531,680 | | | | 500,949 | | | | | |
Beasley Broadcast Group, Inc., Class A* | | | 65,000 | | | | 83,200 | | | | | |
Consolidated Communications Holdings, Inc.* | | | 239,800 | | | | 1,678,600 | | | | | |
Cumulus Media, Inc., Class A* | | | 71,200 | | | | 550,376 | | | | | |
DallasNews Corp. | | | 200 | | | | 1,266 | | | | | |
DHI Group, Inc.* | | | 98,500 | | | | 489,545 | | | | | |
EchoStar Corp., Class A* | | | 163,300 | | | | 3,151,690 | | | | | |
Entravision Communications Corp., Class A | | | 162,300 | | | | 740,088 | | | | | |
EW Scripps Co. (The), Class A* | | | 188,100 | | | | 2,345,607 | | | | | |
Fluent, Inc.* | | | 170,000 | | | | 202,300 | | | | | |
Gannett Co., Inc.*+ | | | 437,700 | | | | 1,269,330 | | | | | |
Gray Television, Inc. | | | 218,000 | | | | 3,682,020 | | | | | |
Lions Gate Entertainment Corp., Class A* | | | 15,000 | | | | 139,650 | | | | | |
Saga Communications, Inc., Class A | | | 15,100 | | | | 375,235 | | | | | |
Salem Media Group, Inc.* | | | 31,200 | | | | 66,144 | | | | | |
Scholastic Corp. | | | 121,100 | | | | 4,355,967 | | | | | |
SPAR Group, Inc.* | | | 44,000 | | | | 51,920 | | | | | |
Spok Holdings, Inc. | | | 10,000 | | | | 63,000 | | | | | |
Telephone and Data Systems, Inc. | | | 229,200 | | | | 3,619,068 | | | | | |
Townsquare Media, Inc., Class A* | | | 40,700 | | | | 333,333 | | | | | |
TrueCar, Inc.* | | | 200,000 | | | | 518,000 | | | | | |
Urban One, Inc.* | | | 105,000 | | | | 449,400 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 29,831,893 | | | | | |
| | |
Consumer Discretionary - 11.71% | | | | | | | | | |
Aaron’s Co., Inc. (The) | | | 55,000 | | | | 800,250 | | | | | |
Abercrombie & Fitch Co., Class A* | | | 120,600 | | | | 2,040,552 | | | | | |
Adtalem Global Education, Inc.* | | | 78,000 | | | | 2,805,660 | | | | | |
AMCON Distributing Co. | | | 1,650 | | | | 268,950 | | | | | |
American Axle & Manufacturing Holdings, Inc.* | | | 380,600 | | | | 2,865,918 | | | | | |
American Outdoor Brands, Inc.* | | | 16,000 | | | | 152,160 | | | | | |
Asbury Automotive Group, Inc.* | | | 16,000 | | | | 2,709,440 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| |
Consumer Discretionary (continued) | | | | | |
Bassett Furniture Industries, Inc. | | | 17,909 | | | $ | 324,511 | |
Beazer Homes USA, Inc.* | | | 56,500 | | | | 681,955 | |
Bed Bath & Beyond, Inc.*+ | | | 127,500 | | | | 633,675 | |
Big 5 Sporting Goods Corp.+ | | | 110,000 | | | | 1,233,100 | |
Big Lots, Inc. | | | 65,500 | | | | 1,373,535 | |
Biglari Holdings, Inc., Class B* | | | 6,700 | | | | 822,090 | |
Bluegreen Vacations Holding Corp. | | | 47,328 | | | | 1,181,307 | |
Build-A-Bear Workshop, Inc. | | | 40,000 | | | | 656,800 | |
Carrols Restaurant Group, Inc. | | | 60,900 | | | | 123,018 | |
Cato Corp. (The), Class A | | | 78,000 | | | | 905,580 | |
Century Casinos, Inc.* | | | 52,700 | | | | 379,440 | |
Century Communities, Inc. | | | 75,000 | | | | 3,372,750 | |
China Automotive Systems, Inc.* | | | 45,550 | | | | 122,985 | |
Citi Trends, Inc.*+ | | | 21,020 | | | | 497,123 | |
Conn’s, Inc.* | | | 71,600 | | | | 574,232 | |
Container Store Group, Inc. (The)* | | | 157,050 | | | | 978,421 | |
Cooper-Standard Holdings, Inc.* | | | 24,500 | | | | 122,255 | |
Crown Crafts, Inc. | | | 30,050 | | | | 188,113 | |
Delta Apparel, Inc.* | | | 23,700 | | | | 672,369 | |
Dillard’s, Inc., Class A+ | | | 27,700 | | | | 6,109,789 | |
Dixie Group, Inc. (The)* | | | 33,550 | | | | 42,944 | |
Ethan Allen Interiors, Inc.+ | | | 43,600 | | | | 881,156 | |
Ever-Glory International Group, Inc.* | | | 31,500 | | | | 43,155 | |
Express, Inc.* | | | 63,500 | | | | 124,460 | |
Fiesta Restaurant Group, Inc.* | | | 29,500 | | | | 210,630 | |
Flanigan’s Enterprises, Inc. | | | 10,000 | | | | 300,000 | |
Flexsteel Industries, Inc. | | | 8,500 | | | | 153,000 | |
Fossil Group, Inc.* | | | 159,800 | | | | 826,166 | |
Genesco, Inc.* | | | 49,100 | | | | 2,450,581 | |
G-III Apparel Group, Ltd.* | | | 93,100 | | | | 1,883,413 | |
Golden Entertainment, Inc.* | | | 37,000 | | | | 1,463,350 | |
Good Times Restaurants, Inc.* | | | 4,300 | | | | 12,943 | |
Guess?, Inc.+ | | | 18,900 | | | | 322,245 | |
Haverty Furniture Cos., Inc. | | | 44,659 | | | | 1,035,196 | |
Hibbett, Inc. | | | 31,500 | | | | 1,376,865 | |
Hooker Furnishings Corp. | | | 15,900 | | | | 247,245 | |
Lakeland Industries, Inc.* | | | 19,250 | | | | 295,680 | |
Lands’ End, Inc.* | | | 64,900 | | | | 689,238 | |
Landsea Homes Corp.* | | | 23,500 | | | | 156,510 | |
La-Z-Boy, Inc. | | | 60,000 | | | | 1,422,600 | |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Consumer Discretionary (continued) | | | | | | | | | |
Lazydays Holdings, Inc.*+ | | | 66,508 | | | $ | 783,464 | | | | | |
Legacy Housing Corp.* | | | 12,500 | | | | 163,125 | | | | | |
Lifetime Brands, Inc. | | | 57,449 | | | | 634,237 | | | | | |
Lincoln Educational Services Corp.* | | | 50,000 | | | | 315,500 | | | | | |
Live Ventures, Inc.*+ | | | 7,850 | | | | 196,328 | | | | | |
LL Flooring Holdings, Inc.*+ | | | 43,200 | | | | 404,784 | | | | | |
M/I Homes, Inc.* | | | 54,300 | | | | 2,153,538 | | | | | |
MarineMax, Inc.* | | | 72,900 | | | | 2,633,148 | | | | | |
Modine Manufacturing Co.* | | | 131,900 | | | | 1,388,907 | | | | | |
Motorcar Parts of America, Inc.* | | | 35,000 | | | | 459,200 | | | | | |
Movado Group, Inc. | | | 67,900 | | | | 2,100,147 | | | | | |
ODP Corp. (The)* | | | 102,390 | | | | 3,096,274 | | | | | |
Patrick Industries, Inc. | | | 40,000 | | | | 2,073,600 | | | | | |
Perdoceo Education Corp.* | | | 127,200 | | | | 1,498,416 | | | | | |
Rocky Brands, Inc. | | | 18,850 | | | | 644,293 | | | | | |
Shoe Carnival, Inc.+ | | | 61,200 | | | | 1,322,532 | | | | | |
Signet Jewelers, Ltd. | | | 46,000 | | | | 2,459,160 | | | | | |
Smith & Wesson Brands, Inc.+ | | | 110,000 | | | | 1,444,300 | | | | | |
Sonic Automotive, Inc., Class A | | | 82,000 | | | | 3,003,660 | | | | | |
Strategic Education, Inc. | | | 45,000 | | | | 3,176,100 | | | | | |
Strattec Security Corp.* | | | 17,300 | | | | 573,495 | | | | | |
Superior Group of Cos., Inc. | | | 38,500 | | | | 683,375 | | | | | |
Tenneco, Inc., Class A* | | | 113,700 | | | | 1,951,092 | | | | | |
Tilly’s, Inc., Class A+ | | | 111,900 | | | | 785,538 | | | | | |
TravelCenters of America, Inc.* | | | 58,930 | | | | 2,031,317 | | | | | |
Tri Pointe Homes, Inc.* | | | 160,000 | | | | 2,699,200 | | | | | |
Unifi, Inc.* | | | 45,000 | | | | 632,700 | | | | | |
Universal Technical Institute, Inc.* | | | 123,100 | | | | 877,703 | | | | | |
Vera Bradley, Inc.* | | | 80,350 | | | | 348,719 | | | | | |
Vince Holding Corp.*+ | | | 15,000 | | | | 117,750 | | | | | |
Vista Outdoor, Inc.* | | | 78,000 | | | | 2,176,200 | | | | | |
VOXX International Corp.* | | | 52,164 | | | | 485,647 | | | | | |
Weyco Group, Inc.+ | | | 22,500 | | | | 550,125 | | | | | |
Winnebago Industries, Inc.+ | | | 68,500 | | | | 3,326,360 | | | | | |
Xcel Brands, Inc.* | | | 20,000 | | | | 23,600 | | | | | |
Zumiez, Inc.* | | | 62,800 | | | | 1,632,800 | | | | | |
| | | | | | | | | | | | |
| | | | | | | 95,379,689 | | | | | |
| | | |
Consumer Staples - 4.37% | | | | | | | | | | | | |
Alico, Inc. | | | 13,100 | | | | 466,753 | | | | | |
Andersons, Inc. (The) | | | 50,116 | | | | 1,653,327 | | | | | |
Coffee Holding Co., Inc. | | | 10,000 | | | | 24,400 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| |
Consumer Staples (continued) | | | | | |
Edgewell Personal Care Co.+ | | | 100,000 | | | $ | 3,452,000 | |
Fresh Del Monte Produce, Inc. | | | 134,000 | | | | 3,957,020 | |
Hostess Brands, Inc.* | | | 37,600 | | | | 797,496 | |
Ingles Markets, Inc., Class A | | | 53,750 | | | | 4,662,813 | |
Lifeway Foods, Inc.* | | | 2,000 | | | | 9,940 | |
Natural Alternatives | | | | | | | | |
International, Inc.* | | | 16,800 | | | | 175,392 | |
Natural Grocers by Vitamin | | | | | | | | |
Cottage, Inc. | | | 46,100 | | | | 735,295 | |
Oil-Dri Corp. of America | | | 11,242 | | | | 344,567 | |
Rite Aid Corp.*+ | | | 117,500 | | | | 791,950 | |
Seneca Foods Corp., | | | | | | | | |
Class A* | | | 25,450 | | | | 1,413,493 | |
SpartanNash Co. | | | 117,782 | | | | 3,553,483 | |
TreeHouse Foods, Inc.* | | | 90,000 | | | | 3,763,800 | |
United Natural Foods, Inc.* | | | 117,000 | | | | 4,609,800 | |
Village Super Market, Inc., Class A | | | 6,100 | | | | 139,141 | |
Weis Markets, Inc. | | | 66,600 | | | | 4,964,364 | |
Willamette Valley | | | | | | | | |
Vineyards, Inc.* | | | 8,000 | | | | 50,160 | |
| | | | | | | | |
| | |
| | | | | | | 35,565,194 | |
| | |
Energy - 17.20% | | | | | | | | |
Adams Resources & Energy, Inc. | | | 12,900 | | | | 415,251 | |
Alto Ingredients, Inc.*+ | | | 115,000 | | | | 426,650 | |
Antero Resources Corp.* | | | 299,000 | | | | 9,164,350 | |
Arch Resources, Inc. | | | 6,000 | | | | 858,540 | |
Archrock, Inc. | | | 297,700 | | | | 2,461,979 | |
Ardmore Shipping Corp.* | | | 47,700 | | | | 332,469 | |
Berry Corp. | | | 203,242 | | | | 1,548,704 | |
Bristow Group, Inc.* | | | 70,500 | | | | 1,649,700 | |
Centennial Resource Development, Inc., Class A* | | | 822,600 | | | | 4,919,148 | |
Civitas Resources, Inc. | | | 66,800 | | | | 3,492,972 | |
Comstock Resources, Inc.* | | | 370,000 | | | | 4,469,600 | |
CONSOL Energy, Inc.* | | | 100,200 | | | | 4,947,876 | |
CVR Energy, Inc. | | | 98,000 | | | | 3,283,000 | |
Delek US Holdings, Inc.* | | | 150,500 | | | | 3,888,920 | |
DHT Holdings, Inc.+ | | | 482,900 | | | | 2,960,177 | |
Dorian LPG, Ltd. | | | 123,029 | | | | 1,870,041 | |
Earthstone Energy, Inc., Class A*+ | | | 147,055 | | | | 2,007,301 | |
Epsilon Energy, Ltd.+ | | | 60,000 | | | | 353,400 | |
Exterran Corp.* | | | 8,000 | | | | 34,400 | |
| | |
| | |
| 24 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Energy (continued) | | | | | | | | | | | | |
Forum Energy Technologies, Inc.* | | | 7,000 | | | $ | 137,340 | | | | | |
Frontline, Ltd.*+ | | | 465,000 | | | | 4,119,900 | | | | | |
Geospace Technologies Corp.* | | | 94,900 | | | �� | 449,826 | | | | | |
Golar LNG, Ltd.* | | | 248,390 | | | | 5,650,872 | | | | | |
Gran Tierra Energy, Inc.* | | | 600,000 | | | | 690,000 | | | | | |
Hallador Energy Co.* | | | 153,900 | | | | 832,599 | | | | | |
Helix Energy Solutions Group, Inc.* | | | 430,000 | | | | 1,333,000 | | | | | |
International Seaways, Inc. | | | 65,993 | | | | 1,399,052 | | | | | |
Murphy Oil Corp. | | | 96,500 | | | | 2,913,335 | | | | | |
Nabors Industries, Ltd.* | | | 24,000 | | | | 3,213,600 | | | | | |
NACCO Industries, Inc., Class A | | | 21,450 | | | | 812,955 | | | | | |
National Energy Services Reunited Corp.* | | | 225,200 | | | | 1,526,856 | | | | | |
Natural Gas Services Group, Inc.* | | | 61,800 | | | | 679,800 | | | | | |
NCS Multistage Holdings, Inc.* | | | 2,000 | | | | 61,200 | | | | | |
Newpark Resources, Inc.* | | | 265,000 | | | | 818,850 | | | | | |
Nine Energy Service, Inc.* | | | 65,000 | | | | 172,250 | | | | | |
Oil States International, Inc.* | | | 146,000 | | | | 791,320 | | | | | |
Overseas Shipholding Group, Inc., Class A* | | | 215,916 | | | | 442,628 | | | | | |
Par Pacific Holdings, Inc.* | | | 5,262 | | | | 82,034 | | | | | |
Patterson-UTI Energy, Inc. | | | 335,000 | | | | 5,279,600 | | | | | |
PBF Energy, Inc., Class A* | | | 249,400 | | | | 7,237,588 | | | | | |
PDC Energy, Inc. | | | 56,200 | | | | 3,462,482 | | | | | |
PHX Minerals, Inc. | | | 9,350 | | | | 28,424 | | | | | |
ProPetro Holding Corp.* | | | 247,310 | | | | 2,473,100 | | | | | |
Range Resources Corp.* | | | 126,600 | | | | 3,133,350 | | | | | |
Ranger Energy Services, Inc.*+ | | | 23,500 | | | | 238,290 | | | | | |
REX American Resources Corp.* | | | 7,850 | | | | 665,680 | | | | | |
Ring Energy, Inc.*+ | | | 529,000 | | | | 1,407,140 | | | | | |
RPC, Inc.* | | | 150,300 | | | | 1,038,573 | | | | | |
SandRidge Energy, Inc.* | | | 103,000 | | | | 1,614,010 | | | | | |
Scorpio Tankers, Inc. | | | 136,690 | | | | 4,717,172 | | | | | |
SEACOR Marine Holdings, Inc.* | | | 5,100 | | | | 29,376 | | | | | |
Select Energy Services, Inc., Class A* | | | 97,300 | | | | 663,586 | | | | | |
SFL Corp., Ltd. | | | 389,812 | | | | 3,699,316 | | | | | |
SilverBow Resources, Inc.* | | | 37,000 | | | | 1,049,320 | | | | | |
SM Energy Co. | | | 175,000 | | | | 5,983,250 | | | | | |
Smart Sand, Inc.* | | | 145,400 | | | | 290,800 | | | | | |
Talos Energy, Inc.* | | | 207,100 | | | | 3,203,837 | | | | | |
Teekay Corp.* | | | 470,000 | | | | 1,353,600 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Energy (continued) | | | | | | | | |
Teekay Tankers, Ltd., Class A* | | | 50,000 | | | $ | 881,500 | |
Transocean, Ltd.* | | | 931,300 | | | | 3,101,229 | |
US Silica Holdings, Inc.* | | | 249,500 | | | | 2,849,290 | |
VAALCO Energy, Inc.+ | | | 159,900 | | | | 1,109,706 | |
Weatherford International PLC* | | | 148,000 | | | | 3,133,160 | |
Whiting Petroleum Corp. | | | 56,500 | | | | 3,843,695 | |
World Fuel Services Corp. | | | 118,156 | | | | 2,417,472 | |
| | | | | | | | |
| | |
| | | | | | | 140,116,441 | |
| | |
Financials - 35.88% | | | | | | | | |
1st Source Corp. | | | 58,800 | | | | 2,669,520 | |
Acacia Research Corp.*+ | | | 104,500 | | | | 526,680 | |
ACNB Corp.+ | | | 32,900 | | | | 976,801 | |
Alerus Financial Corp. | | | 33,700 | | | | 802,397 | |
Allegiance Bancshares, Inc. | | | 31,131 | | | | 1,175,507 | |
Amalgamated Financial Corp. | | | 55,000 | | | | 1,087,900 | |
A-Mark Precious Metals, Inc. | | | 23,000 | | | | 741,750 | |
Amerant Bancorp, Inc. | | | 52,850 | | | | 1,486,142 | |
American National Bankshares, Inc. | | | 31,000 | | | | 1,072,910 | |
AmeriServ Financial, Inc. | | | 66,000 | | | | 260,040 | |
Ames National Corp. | | | 8,000 | | | | 177,440 | |
Argo Group International Holdings, Ltd. | | | 65,594 | | | | 2,417,795 | |
Associated Capital Group, Inc., Class A | | | 33,827 | | | | 1,212,021 | |
Atlantic American Corp. | | | 1,204 | | | | 3,215 | |
Auburn National BanCorp, Inc. | | | 7,374 | | | | 199,393 | |
Axos Financial, Inc.* | | | 900 | | | | 32,265 | |
Banc of California, Inc. | | | 124,150 | | | | 2,187,523 | |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | 70,188 | | | | 931,395 | |
Bank of Marin Bancorp | | | 9,340 | | | | 296,825 | |
Bank of NT Butterfield & Son, Ltd. (The) | | | 67,400 | | | | 2,102,206 | |
Bank of Princeton (The) | | | 22,500 | | | | 617,850 | |
Bank of the James Financial Group, Inc. | | | 4,000 | | | | 52,000 | |
Bank7 Corp. | | | 23,100 | | | | 527,604 | |
BankFinancial Corp. | | | 29,000 | | | | 272,310 | |
Bankwell Financial Group, Inc.+ | | | 14,000 | | | | 434,700 | |
Banner Corp. | | | 62,000 | | | | 3,485,020 | |
Bar Harbor Bankshares | | | 30,541 | | | | 789,790 | |
BayCom Corp. | | | 15,300 | | | | 316,404 | |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Financials (continued) | | | | | | | | | | | | |
BCB Bancorp, Inc. | | | 50,900 | | | $ | 866,827 | | | | | |
Berkshire Hills Bancorp, Inc. | | | 88,810 | | | | 2,199,824 | | | | | |
Blue Ridge Bankshares, Inc.+ | | | 42,296 | | | | 647,975 | | | | | |
Broadway Financial Corp.* | | | 330,000 | | | | 349,800 | | | | | |
Brookline Bancorp, Inc. | | | 108,500 | | | | 1,444,135 | | | | | |
Business First Bancshares, Inc. | | | 35,000 | | | | 745,850 | | | | | |
Byline Bancorp, Inc. | | | 81,200 | | | | 1,932,560 | | | | | |
C&F Financial Corp. | | | 6,800 | | | | 312,596 | | | | | |
Camden National Corp. | | | 45,700 | | | | 2,013,085 | | | | | |
Capital Bancorp, Inc. | | | 64,650 | | | | 1,402,905 | | | | | |
Capital City Bank Group, Inc. | | | 27,500 | | | | 766,975 | | | | | |
Capstar Financial Holdings, Inc. | | | 35,000 | | | | 686,700 | | | | | |
Carter Bankshares, Inc.* | | | 61,755 | | | | 815,166 | | | | | |
CB Financial Services, Inc. | | | 23,700 | | | | 541,782 | | | | | |
Central Pacific Financial Corp. | | | 60,000 | | | | 1,287,000 | | | | | |
Central Valley Community Bancorp | | | 26,900 | | | | 390,050 | | | | | |
CF Bankshares, Inc. | | | 1,000 | | | | 21,000 | | | | | |
Chemung Financial Corp. | | | 11,593 | | | | 544,871 | | | | | |
ChoiceOne Financial Services, Inc. | | | 1,000 | | | | 20,140 | | | | | |
Citizens Community Bancorp, Inc. | | | 47,500 | | | | 656,925 | | | | | |
Citizens Holding Co. | | | 3,400 | | | | 62,220 | | | | | |
Citizens, Inc.*+ | | | 154,500 | | | | 647,355 | | | | | |
Civista Bancshares, Inc. | | | 34,821 | | | | 740,294 | | | | | |
CNB Financial Corp. | | | 18,000 | | | | 435,420 | | | | | |
Codorus Valley Bancorp, Inc. | | | 37,971 | | | | 854,727 | | | | | |
Cohen & Co., Inc. | | | 4,500 | | | | 48,420 | | | | | |
Community Financial Corp. (The) | | | 28,340 | | | | 1,045,179 | | | | | |
Community Trust Bancorp, Inc. | | | 36,300 | | | | 1,467,972 | | | | | |
Community West Bancshares | | | 28,821 | | | | 412,429 | | | | | |
ConnectOne Bancorp, Inc. | | | 116,854 | | | | 2,857,080 | | | | | |
Consumer Portfolio Services, Inc.* | | | 110,500 | | | | 1,132,625 | | | | | |
Cowen, Inc., Class A | | | 74,700 | | | | 1,769,643 | | | | | |
Crawford & Co., Class A | | | 42,900 | | | | 334,620 | | | | | |
Crawford & Co., Class B | | | 101 | | | | 712 | | | | | |
CrossFirst Bankshares, Inc.* | | | 127,200 | | | | 1,679,040 | | | | | |
Curo Group Holdings Corp. | | | 40,000 | | | | 221,200 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Financials (continued) | | | | | | | | |
Customers Bancorp, Inc.* | | | 82,900 | | | $ | 2,810,310 | |
Dime Community Bancshares, Inc. | | | 90,420 | | | | 2,680,953 | |
Donegal Group, Inc., Class A | | | 79,600 | | | | 1,357,180 | |
Donnelley Financial Solutions, Inc.* | | | 48,900 | | | | 1,432,281 | |
Eagle Bancorp Montana, Inc. | | | 15,200 | | | | 302,632 | |
Eagle Bancorp, Inc. | | | 83,900 | | | | 3,977,699 | |
Elevate Credit, Inc.* | | | 90,200 | | | | 212,872 | |
Emclaire Financial Corp. | | | 700 | | | | 24,430 | |
Employers Holdings, Inc. | | | 40,730 | | | | 1,706,180 | |
Encore Capital Group, Inc.* | | | 76,600 | | | | 4,425,182 | |
Enova International, Inc.* | | | 69,900 | | | | 2,014,518 | |
Enterprise Bancorp, Inc. | | | 40,275 | | | | 1,296,452 | |
Enterprise Financial Services Corp. | | | 41,436 | | | | 1,719,594 | |
Equity Bancshares, Inc., Class A | | | 59,300 | | | | 1,729,188 | |
Esquire Financial Holdings, Inc. | | | 11,500 | | | | 382,950 | |
ESSA Bancorp, Inc. | | | 33,100 | | | | 556,080 | |
EZCORP, Inc., Class A* | | | 225,000 | | | | 1,689,750 | |
Farmers National Banc Corp. | | | 62,500 | | | | 937,500 | |
Federal Agricultural Mortgage Corp., Class C | | | 22,600 | | | | 2,206,890 | |
Financial Institutions, Inc. | | | 46,300 | | | | 1,204,726 | |
First BanCorp Puerto Rico | | | 332,000 | | | | 4,286,120 | |
First Bancorp, Inc. (The) | | | 5,000 | | | | 150,650 | |
First Bancorp/Southern Pines NC | | | 14,668 | | | | 511,913 | |
First Bancshares, Inc. (The) | | | 64,600 | | | | 1,847,560 | |
First Bank | | | 42,622 | | | | 595,856 | |
First Busey Corp. | | | 132,900 | | | | 3,036,765 | |
First Business Financial Services, Inc. | | | 32,508 | | | | 1,013,925 | |
First Capital, Inc. | | | 10,000 | | | | 270,900 | |
First Commonwealth Financial Corp. | | | 145,000 | | | | 1,945,900 | |
First Community Bankshares, Inc. | | | 22,000 | | | | 647,020 | |
First Community Corp. | | | 5,800 | | | | 111,186 | |
First Financial Bancorp | | | 150,000 | | | | 2,910,000 | |
First Financial Corp. | | | 22,127 | | | | 984,651 | |
First Financial Northwest, Inc. | | | 20,700 | | | | 321,678 | |
First Guaranty Bancshares, Inc.+ | | | 14,713 | | | | 357,673 | |
| | |
| | |
| 26 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Financials (continued) | | | | | | | | | | | | |
First Internet Bancorp | | | 41,200 | | | $ | 1,516,984 | | | | | |
First Merchants Corp. | | | 75,067 | | | | 2,673,887 | | | | | |
First Mid Bancshares, Inc. | | | 22,000 | | | | 784,740 | | | | | |
First National Corp. | | | 21,000 | | | | 383,250 | | | | | |
First Northwest Bancorp | | | 19,100 | | | | 297,960 | | | | | |
First of Long Island Corp. (The) | | | 31,000 | | | | 543,430 | | | | | |
First Savings Financial Group, Inc. | | | 1,000 | | | | 23,940 | | | | | |
First United Corp. | | | 12,725 | | | | 238,721 | | | | | |
First US Bancshares, Inc. | | | 5,000 | | | | 55,000 | | | | | |
First Western Financial, Inc.* | | | 46,000 | | | | 1,250,740 | | | | | |
Flushing Financial Corp. | | | 65,141 | | | | 1,384,898 | | | | | |
FNCB Bancorp, Inc. | | | 92,600 | | | | 740,800 | | | | | |
Franklin Financial Services Corp. | | | 22,000 | | | | 663,520 | | | | | |
FS Bancorp, Inc. | | | 1,500 | | | | 43,065 | | | | | |
FVCBankcorp, Inc.*+ | | | 14,200 | | | | 267,386 | | | | | |
Genworth Financial, Inc., Class A* | | | 915,000 | | | | 3,229,950 | | | | | |
Great Southern Bancorp, Inc. | | | 22,300 | | | | 1,305,888 | | | | | |
Guaranty Bancshares, Inc. | | | 8,800 | | | | 319,000 | | | | | |
Guild Holdings Co., Class A | | | 137,000 | | | | 1,396,030 | | | | | |
Hallmark Financial Services, Inc.* | | | 62,000 | | | | 150,040 | | | | | |
Hanmi Financial Corp. | | | 114,000 | | | | 2,558,160 | | | | | |
HarborOne Bancorp, Inc. | | | 89,000 | | | | 1,227,310 | | | | | |
Hawthorn Bancshares, Inc. | | | 14,598 | | | | 372,103 | | | | | |
Heartland Financial USA, Inc. | | | 68,350 | | | | 2,839,259 | | | | | |
Hennessy Advisors, Inc.+ | | | 6,000 | | | | 62,640 | | | | | |
Heritage Commerce Corp. | | | 75,000 | | | | 801,750 | | | | | |
Heritage Financial Corp. | | | 53,600 | | | | 1,348,576 | | | | | |
HMN Financial, Inc. | | | 22,500 | | | | 519,300 | | | | | |
Home Bancorp, Inc. | | | 21,097 | | | | 720,041 | | | | | |
HomeStreet, Inc. | | | 46,500 | | | | 1,612,155 | | | | | |
Hope Bancorp, Inc. | | | 271,500 | | | | 3,757,560 | | | | | |
Horace Mann Educators Corp. | | | 91,082 | | | | 3,495,727 | | | | | |
Horizon Bancorp, Inc. | | | 129,342 | | | | 2,253,138 | | | | | |
Impac Mortgage Holdings, Inc.* | | | 2,900 | | | | 1,682 | | | | | |
Independent Bank Corp. | | | 65,500 | | | | 1,262,840 | | | | | |
Independent Bank Group, Inc. | | | 35,350 | | | | 2,400,618 | | | | | |
Investar Holding Corp. | | | 36,000 | | | | 788,400 | | | | | |
Investors Title Co. | | | 2,500 | | | | 392,225 | | | | | |
Kingstone Cos., Inc. | | | 24,000 | | | | 94,560 | | | | | |
Lakeland Bancorp, Inc. | | | 116,371 | | | | 1,701,344 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Financials (continued) | | | | | | | | |
Landmark Bancorp, Inc. | | | 8,641 | | | $ | 218,963 | |
LCNB Corp. | | | 41,700 | | | | 623,415 | |
LendingClub Corp.* | | | 96,600 | | | | 1,129,254 | |
Limestone Bancorp, Inc. | | | 23,300 | | | | 428,953 | |
Logan Ridge Finance Corp.* | | | 10,100 | | | | 158,570 | |
Luther Burbank Corp. | | | 183,900 | | | | 2,399,895 | |
Macatawa Bank Corp. | | | 9,000 | | | | 79,560 | |
MainStreet Bancshares, Inc. | | | 4,040 | | | | 91,991 | |
Malvern Bancorp, Inc.* | | | 8,700 | | | | 139,809 | |
Manning & Napier, Inc. | | | 116,000 | | | | 1,446,520 | |
Mercantile Bank Corp. | | | 26,500 | | | | 846,675 | |
Merchants Bancorp | | | 95,689 | | | | 2,169,270 | |
Meridian Corp. | | | 19,500 | | | | 590,850 | |
Meta Financial Group, Inc. | | | 68,434 | | | | 2,646,343 | |
Metrocity Bankshares, Inc. | | | 19,409 | | | | 394,197 | |
Metropolitan Bank Holding Corp.* | | | 16,700 | | | | 1,159,314 | |
Mid Penn Bancorp, Inc. | | | 13,500 | | | | 364,095 | |
Middlefield Banc Corp. | | | 13,300 | | | | 335,160 | |
Midland States Bancorp, Inc. | | | 81,617 | | | | 1,962,073 | |
MidWestOne Financial Group, Inc. | | | 24,100 | | | | 716,252 | |
MVB Financial Corp. | | | 22,600 | | | | 703,086 | |
National Western Life Group, Inc., Class A | | | 6,150 | | | | 1,246,605 | |
Navient Corp. | | | 277,000 | | | | 3,875,230 | |
NI Holdings, Inc.* | | | 28,000 | | | | 460,040 | |
Nicholas Financial, Inc.* | | | 19,400 | | | | 180,808 | |
Nicolet Bankshares, Inc.* | | | 22,097 | | | | 1,598,497 | |
NMI Holdings, Inc., Class A* | | | 190,000 | | | | 3,163,500 | |
Northfield Bancorp, Inc. | | | 75,000 | | | | 977,250 | |
Northrim BanCorp, Inc. | | | 10,773 | | | | 433,721 | |
Northwest Bancshares, Inc.+ | | | 275,000 | | | | 3,520,000 | |
Oak Valley Bancorp | | | 26,720 | | | | 459,584 | |
OceanFirst Financial Corp. | | | 159,496 | | | | 3,051,158 | |
Ocwen Financial Corp.* | | | 20,320 | | | | 556,768 | |
OFG Bancorp | | | 91,000 | | | | 2,311,400 | |
Ohio Valley Banc Corp. | | | 6,000 | | | | 181,080 | |
Old Point Financial Corp. | | | 5,100 | | | | 128,928 | |
Old Second Bancorp, Inc. | | | 41,500 | | | | 555,270 | |
OP Bancorp | | | 28,000 | | | | 293,720 | |
Oportun Financial Corp.* | | | 109,500 | | | | 905,565 | |
Oppenheimer Holdings, Inc., Class A | | | 29,319 | | | | 968,700 | |
Origin Bancorp, Inc. | | | 15,700 | | | | 609,160 | |
Orrstown Financial Services, Inc. | | | 13,500 | | | | 326,295 | |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Financials (continued) | | | | | | | | | | | | |
Pacific Premier Bancorp, Inc. | | | 99,800 | | | $ | 2,918,152 | | | | | |
Parke Bancorp, Inc.+ | | | 36,959 | | | | 774,661 | | | | | |
Patriot National Bancorp, Inc.* | | | 13,500 | | | | 164,295 | | | | | |
PCB Bancorp | | | 36,300 | | | | 678,084 | | | | | |
Peapack-Gladstone Financial Corp. | | | 29,868 | | | | 887,080 | | | | | |
Penns Woods Bancorp, Inc. | | | 14,200 | | | | 327,878 | | | | | |
Peoples Bancorp of North Carolina, Inc. | | | 22,880 | | | | 621,421 | | | | | |
Peoples Bancorp, Inc. | | | 76,909 | | | | 2,045,779 | | | | | |
Peoples Financial Services Corp. | | | 21,200 | | | | 1,183,808 | | | | | |
Piper Sandler Cos. | | | 21,800 | | | | 2,471,248 | | | | | |
Plumas Bancorp+ | | | 2,000 | | | | 57,080 | | | | | |
PRA Group, Inc.* | | | 56,000 | | | | 2,036,160 | | | | | |
Premier Financial Corp. | | | 96,900 | | | | 2,456,415 | | | | | |
Primis Financial Corp. | | | 43,600 | | | | 594,268 | | | | | |
ProAssurance Corp. | | | 103,100 | | | | 2,436,253 | | | | | |
Provident Bancorp, Inc. | | | 28,000 | | | | 439,600 | | | | | |
Provident Financial Holdings, Inc. | | | 44,710 | | | | 663,049 | | | | | |
Provident Financial Services, Inc. | | | 112,625 | | | | 2,507,032 | | | | | |
Prudential Bancorp, Inc. | | | 957 | | | | 14,479 | | | | | |
QCR Holdings, Inc. | | | 27,883 | | | | 1,505,403 | | | | | |
Randolph Bancorp, Inc. | | | 2,500 | | | | 66,125 | | | | | |
RBB Bancorp | | | 76,500 | | | | 1,581,255 | | | | | |
Red River Bancshares, Inc. | | | 1,350 | | | | 73,008 | | | | | |
Regional Management Corp. | | | 29,100 | | | | 1,087,467 | | | | | |
Renasant Corp. | | | 115,000 | | | | 3,313,150 | | | | | |
Republic Bancorp, Inc., Class A | | | 33,880 | | | | 1,634,710 | | | | | |
Republic First Bancorp, Inc.* | | | 140,000 | | | | 533,400 | | | | | |
Rhinebeck Bancorp, Inc.* | | | 35,000 | | | | 328,650 | | | | | |
Riverview Bancorp, Inc. | | | 62,478 | | | | 411,105 | | | | | |
S&T Bancorp, Inc. | | | 95,199 | | | | 2,611,309 | | | | | |
Safety Insurance Group, Inc.+ | | | 36,972 | | | | 3,589,981 | | | | | |
Salisbury Bancorp, Inc. | | | 1,683 | | | | 79,471 | | | | | |
Sandy Spring Bancorp, Inc. | | | 40,700 | | | | 1,590,149 | | | | | |
SB Financial Group, Inc. | | | 26,478 | | | | 457,010 | | | | | |
Security National Financial Corp., Class A* | | | 18,779 | | | | 158,872 | | | | | |
Shore Bancshares, Inc. | | | 36,421 | | | | 673,788 | | | | | |
Sierra Bancorp | | | 55,000 | | | | 1,195,150 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Financials (continued) | | | | | | | | |
Simmons First National Corp., Class A | | | 38,163 | | | $ | 811,345 | |
SiriusPoint, Ltd.* | | | 404,000 | | | | 2,189,680 | |
SmartFinancial, Inc. | | | 40,500 | | | | 978,480 | |
Sound Financial Bancorp, Inc. | | | 10,200 | | | | 387,090 | |
South Plains Financial, Inc. | | | 75,000 | | | | 1,810,500 | |
Southern First Bancshares, Inc.* | | | 25,900 | | | | 1,128,981 | |
Southern Missouri Bancorp, Inc. | | | 14,300 | | | | 647,218 | |
SouthState Corp. | | | 13,007 | | | | 1,003,490 | |
Sterling Bancorp, Inc.* | | | 140,000 | | | | 798,000 | |
Stewart Information Services Corp. | | | 69,592 | | | | 3,462,202 | |
StoneX Group, Inc.* | | | 41,911 | | | | 3,271,992 | |
Summit Financial Group, Inc. | | | 44,100 | | | | 1,225,098 | |
Summit State Bank | | | 17,875 | | | | 272,057 | |
SuRo Capital Corp. | | | 36,295 | | | | 232,288 | |
SWK Holdings Corp.*+ | | | 39,595 | | | | 691,725 | |
Territorial Bancorp, Inc. | | | 22,500 | | | | 469,125 | |
Timberland Bancorp, Inc. | | | 36,725 | | | | 918,125 | |
Tiptree, Inc. | | | 83,700 | | | | 888,894 | |
TriCo Bancshares | | | 47,000 | | | | 2,145,080 | |
TrustCo Bank Corp. NY | | | 17,400 | | | | 536,616 | |
Trustmark Corp. | | | 120,700 | | | | 3,523,233 | |
Union Bankshares, Inc. | | | 400 | | | | 10,460 | |
United Bancorp, Inc. | | | 10,000 | | | | 163,900 | |
United Bancshares, Inc. | | | 12,917 | | | | 367,618 | |
United Fire Group, Inc. | | | 64,500 | | | | 2,207,835 | |
Unity Bancorp, Inc. | | | 28,700 | | | | 759,976 | |
Universal Insurance Holdings, Inc. | | | 91,801 | | | | 1,196,167 | |
Univest Financial Corp. | | | 119,400 | | | | 3,037,536 | |
US Global Investors, Inc., Class A | | | 37,500 | | | | 164,250 | |
Velocity Financial, Inc.* | | | 37,300 | | | | 409,927 | |
Veritex Holdings, Inc. | | | 93,000 | | | | 2,721,180 | |
Virginia National Bankshares Corp. | | | 1,687 | | | | 53,124 | |
Walker & Dunlop, Inc. | | | 32,775 | | | | 3,157,543 | |
Washington Federal, Inc. | | | 95,000 | | | | 2,851,900 | |
Waterstone Financial, Inc. | | | 51,500 | | | | 878,075 | |
Western New England Bancorp, Inc. | | | 85,365 | | | | 636,823 | |
Westwood Holdings Group, Inc. | | | 15,364 | | | | 212,023 | |
World Acceptance Corp.*+ | | | 10,900 | | | | 1,223,416 | |
WSFS Financial Corp. | | | 22,000 | | | | 881,980 | |
| | | | | | | | |
| | |
| | | | | | | 292,247,507 | |
| | |
| | |
| 28 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Health Care - 2.22% | | | | | | | | | | | | |
AlerisLife, Inc.* | | | 78,500 | | | $ | 94,200 | | | | | |
American Shared Hospital Services* | | | 8,500 | | | | 18,870 | | | | | |
Brookdale Senior Living, Inc.* | | | 285,500 | | | | 1,296,170 | | | | | |
CareCloud, Inc.* | | | 25,900 | | | | 88,707 | | | | | |
Co.-Diagnostics, Inc.*+ | | | 23,500 | | | | 131,835 | | | | | |
CynergisTek, Inc.* | | | 34,900 | | | | 41,880 | | | | | |
Emergent BioSolutions, Inc.* | | | 106,000 | | | | 3,290,240 | | | | | |
FONAR Corp.* | | | 8,400 | | | | 127,596 | | | | | |
Fulgent Genetics, Inc.* | | | 66,592 | | | | 3,631,262 | | | | | |
iTeos Therapeutics, Inc.* | | | 65,000 | | | | 1,339,000 | | | | | |
National HealthCare Corp. | | | 24,500 | | | | 1,712,550 | | | | | |
Ovid therapeutics, Inc.* | | | 210,900 | | | | 453,435 | | | | | |
Owens & Minor, Inc. | | | 80,000 | | | | 2,516,000 | | | | | |
Prestige Consumer Healthcare, Inc.* | | | 20,000 | | | | 1,176,000 | | | | | |
REGENXBIO, Inc.* | | | 85,000 | | | | 2,099,500 | | | | | |
XBiotech, Inc. | | | 11,700 | | | | 65,871 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 18,083,116 | | | | | |
Industrials - 13.78% | | | | | | | | | | | | |
ACCO Brands Corp. | | | 284,200 | | | | 1,855,826 | | | | | |
Acme United Corp. | | | 9,300 | | | | 294,531 | | | | | |
Air Transport Services Group, Inc.* | | | 68,300 | | | | 1,962,259 | | | | | |
Allegiant Travel Co.* | | | 16,900 | | | | 1,911,221 | | | | | |
Apogee Enterprises, Inc. | | | 37,000 | | | | 1,451,140 | | | | | |
ARC Document Solutions, Inc. | | | 156,700 | | | | 412,121 | | | | | |
ArcBest Corp. | | | 45,400 | | | | 3,194,798 | | | | | |
Art’s-Way Manufacturing Co., Inc.* | | | 8,827 | | | | 26,040 | | | | | |
Atlas Air Worldwide Holdings, Inc.*+ | | | 49,400 | | | | 3,048,474 | | | | | |
BGSF, Inc. | | | 9,600 | | | | 118,656 | | | | | |
BlueLinx Holdings, Inc.* | | | 12,600 | | | | 841,806 | | | | | |
Boise Cascade Co. | | | 76,900 | | | | 4,574,781 | | | | | |
BrightView Holdings, Inc.* | | | 251,000 | | | | 3,012,000 | | | | | |
Caesarstone, Ltd. | | | 96,400 | | | | 880,132 | | | | | |
Chicago Rivet & Machine Co. | | | 1,000 | | | | 28,490 | | | | | |
Civeo Corp.* | | | 34,500 | | | | 892,515 | | | | | |
CompX International, Inc. | | | 1,500 | | | | 34,785 | | | | | |
Concrete Pumping Holdings, Inc.* | | | 211,000 | | | | 1,278,660 | | | | | |
Cornerstone Building Brands, Inc.* | | | 150,400 | | | | 3,683,296 | | | | | |
Costamare, Inc. | | | 367,400 | | | | 4,445,540 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| | |
Industrials (continued) | | | | | | | | |
Covenant Logistics Group, Inc. | | | 78,550 | | | $ | 1,970,820 | |
DLH Holdings Corp.* | | | 49,050 | | | | 747,522 | |
DXP Enterprises, Inc.* | | | 24,278 | | | | 743,635 | |
Eagle Bulk Shipping, Inc. | | | 40,900 | | | | 2,121,892 | |
Eastern Co. (The) | | | 12,404 | | | | 252,297 | |
Genco Shipping & Trading, Ltd. | | | 142,300 | | | | 2,749,236 | |
GMS, Inc.* | | | 74,000 | | | | 3,293,000 | |
Greenbrier Cos., Inc. (The) | | | 62,400 | | | | 2,245,776 | |
H&E Equipment Services, Inc. | | | 42,000 | | | | 1,216,740 | |
Hawaiian Holdings, Inc.* | | | 100,000 | | | | 1,431,000 | |
Herc Holdings, Inc. | | | 28,300 | | | | 2,551,245 | |
Hub Group, Inc., Class A* | | | 12,500 | | | | 886,750 | |
Hudson Technologies, Inc.* | | | 63,300 | | | | 475,383 | |
Hurco Cos., Inc. | | | 7,372 | | | | 182,383 | |
INNOVATE Corp.*+ | | | 104,874 | | | | 181,432 | |
Interface, Inc. | | | 21,700 | | | | 272,118 | |
KAR Auction Services, Inc.* | | | 220,000 | | | | 3,249,400 | |
Kelly Services, Inc., Class A | | | 66,400 | | | | 1,316,712 | |
L B Foster Co., Class A* | | | 29,600 | | | | 380,952 | |
LS Starrett Co. (The), Class A* | | | 8,068 | | | | 56,637 | |
LSI Industries, Inc. | | | 50,000 | | | | 308,500 | |
Manitowoc Co., Inc. (The)* | | | 143,050 | | | | 1,506,316 | |
Matthews International Corp., Class A | | | 39,700 | | | | 1,138,199 | |
Maxar Technologies, Inc. | | | 69,500 | | | | 1,813,255 | |
Mayville Engineering Co., Inc.* | | | 40,210 | | | | 311,225 | |
Mesa Air Group, Inc.* | | | 127,500 | | | | 279,225 | |
Miller Industries, Inc. | | | 18,700 | | | | 423,929 | |
Mistras Group, Inc.* | | | 66,150 | | | | 392,931 | |
MRC Global, Inc.* | | | 178,200 | | | | 1,774,872 | |
MYR Group, Inc.* | | | 30,700 | | | | 2,705,591 | |
NL Industries, Inc. | | | 107,800 | | | | 1,063,986 | |
NN, Inc.* | | | 70,000 | | | | 177,100 | |
Northwest Pipe Co.* | | | 30,500 | | | | 913,170 | |
NOW, Inc.* | | | 192,700 | | | | 1,884,606 | |
Orion Group Holdings, Inc.* | | | 65,422 | | | | 149,162 | |
P&F Industries, Inc., Class A* | | | 492 | | | | 2,795 | |
PAM Transportation Services, Inc.* | | | 40,000 | | | | 1,095,600 | |
Pangaea Logistics Solutions, Ltd. | | | 234,800 | | | | 1,192,784 | |
Park-Ohio Holdings Corp. | | | 32,916 | | | | 522,048 | |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Industrials (continued) | | | | | | | | | | | | |
Patriot Transportation Holding, Inc. | | | 7,500 | | | $ | 55,800 | | | | | |
Performant Financial Corp.* | | | 100,000 | | | | 263,000 | | | | | |
Powell Industries, Inc. | | | 20,000 | | | | 467,400 | | | | | |
Preformed Line Products Co. | | | 4,600 | | | | 282,900 | | | | | |
Primoris Services Corp. | | | 127,800 | | | | 2,780,928 | | | | | |
Quad/Graphics, Inc.*+ | | | 123,757 | | | | 340,332 | | | | | |
Quanex Building Products Corp. | | | 42,000 | | | | 955,500 | | | | | |
Quest Resource Holding Corp.* | | | 15,000 | | | | 61,350 | | | | | |
RCM Technologies, Inc.* | | | 22,000 | | | | 445,280 | | | | | |
Resources Connection, Inc. | | | 20,000 | | | | 407,400 | | | | | |
REV Group, Inc. | | | 127,500 | | | | 1,385,925 | | | | | |
Rush Enterprises, Inc., Class A | | | 57,769 | | | | 2,784,466 | | | | | |
Rush Enterprises, Inc., Class B | | | 19,050 | | | | 945,071 | | | | | |
Safe Bulkers, Inc. | | | 546,900 | | | | 2,089,158 | | | | | |
Servotronics, Inc.* | | | 1,500 | | | | 16,875 | | | | | |
SIFCO Industries, Inc.* | | | 6,500 | | | | 20,150 | | | | | |
SkyWest, Inc.* | | | 131,500 | | | | 2,794,375 | | | | | |
Steelcase, Inc., Class A | | | 190,000 | | | | 2,038,700 | | | | | |
Sterling Infrastructure, Inc.* | | | 64,800 | | | | 1,420,416 | | | | | |
Textainer Group Holdings, Ltd. | | | 125,400 | | | | 3,437,214 | | | | | |
Titan Machinery, Inc.* | | | 92,000 | | | | 2,061,720 | | | | | |
TrueBlue, Inc.* | | | 60,250 | | | | 1,078,475 | | | | | |
Tutor Perini Corp.* | | | 97,200 | | | | 853,416 | | | | | |
Ultralife Corp.* | | | 55,000 | | | | 250,250 | | | | | |
Universal Logistics Holdings, Inc. | | | 4,108 | | | | 112,189 | | | | | |
US Xpress Enterprises, Inc., Class A* | | | 130,000 | | | | 348,400 | | | | | |
USA Truck, Inc.* | | | 41,450 | | | | 1,302,359 | | | | | |
Vectrus, Inc.* | | | 24,000 | | | | 803,040 | | | | | |
Veritiv Corp.* | | | 31,900 | | | | 3,462,745 | | | | | |
Wabash National Corp.+ | | | 27,100 | | | | 368,018 | | | | | |
Williams Industrial | | | | | | | | | | | | |
Services Group, Inc.* | | | 51,200 | | | | 71,168 | | | | | |
Willis Lease Finance | | | | | | | | | | | | |
Corp.* | | | 17,634 | | | | 660,922 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 112,292,237 | | | | | |
| | |
Information Technology - 4.34% | | | | | | | | | |
Alpha & Omega Semiconductor, Ltd.* | | | 89,905 | | | | 2,997,433 | | | | | |
AstroNova, Inc.* | | | 15,241 | | | | 182,587 | | | | | |
Bel Fuse, Inc., Class B | | | 29,272 | | | | 455,472 | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
| |
Information Technology (continued) | | | | | |
Benchmark Electronics, Inc. | | | 90,100 | | | $ | 2,032,656 | |
Computer Task Group, Inc.* | | | 22,250 | | | | 190,460 | |
Comtech Telecommunications Corp. | | | 8,300 | | | | 75,281 | |
Conduent, Inc.* | | | 635,200 | | | | 2,744,064 | |
Daktronics, Inc.* | | | 79,000 | | | | 237,790 | |
Ebix, Inc.+ | | | 41,600 | | | | 703,040 | |
EMCORE Corp.* | | | 75,000 | | | | 230,250 | |
Franklin Wireless Corp.* | | | 27,300 | | | | 88,179 | |
Greenidge Generation Holdings, Inc.* | | | 5,175 | | | | 13,144 | |
Information Services Group, Inc. | | | 63,600 | | | | 429,936 | |
Innodata, Inc.* | | | 200 | | | | 968 | |
Kimball Electronics, Inc.* | | | 57,100 | | | | 1,147,710 | |
NETGEAR, Inc.* | | | 50,000 | | | | 926,000 | |
NetScout Systems, Inc.*+ | | | 143,600 | | | | 4,860,860 | |
NetSol Technologies, Inc.* | | | 35,100 | | | | 111,793 | |
Network-1 Technologies, Inc. | | | 100,100 | | | | 240,240 | |
Photronics, Inc.* | | | 118,670 | | | | 2,311,692 | |
Ribbon Communications, Inc.* | | | 180,013 | | | | 547,240 | |
Sanmina Corp.* | | | 105,400 | | | | 4,292,942 | |
ScanSource, Inc.* | | | 48,500 | | | | 1,510,290 | |
SigmaTron International, Inc.*+ | | | 11,615 | | | | 82,002 | |
StarTek, Inc.* | | | 124,500 | | | | 359,805 | |
Steel Connect, Inc.* | | | 47,845 | | | | 64,112 | |
Super Micro Computer, Inc.* | | | 42,725 | | | | 1,723,954 | |
Trio-Tech International* | | | 25,100 | | | | 108,683 | |
TTM Technologies, Inc.* | | | 254,902 | | | | 3,186,275 | |
Wayside Technology Group, Inc. | | | 15,700 | | | | 521,868 | |
WidePoint Corp.* | | | 11,000 | | | | 26,290 | |
Xperi Holding Corp. | | | 203,000 | | | | 2,929,290 | |
| | | | | | | | |
| | |
| | | | | | | 35,332,306 | |
| | |
Materials - 6.11% | | | | | | | | |
Advanced Emissions Solutions, Inc.* | | | 85,000 | | | | 398,650 | |
AdvanSix, Inc. | | | 70,400 | | | | 2,354,176 | |
AgroFresh Solutions, Inc.* | | | 78,900 | | | | 141,231 | |
Alpha Metallurgical Resources, Inc. | | | 6,200 | | | | 800,606 | |
American Vanguard Corp. | | | 103,000 | | | | 2,302,050 | |
Ampco-Pittsburgh Corp.* | | | 51,200 | | | | 198,144 | |
| | |
| | |
| 30 | | Annual Report | June 30, 2022 |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
Showing percentage of net assets as of June 30, 2022
| | | | | | | | | | | | |
| Industry Company | | Shares | | | Value | | | | |
Common Stocks (continued) | | | | | | | | | | | | |
Materials (continued) | | | | | | | | | | | | |
Caledonia Mining Corp. PLC+ | | | 13,000 | | | $ | 142,350 | | | | | |
Carpenter Technology Corp. | | | 84,000 | | | | 2,344,440 | | | | | |
Clearwater Paper Corp.* | | | 54,050 | | | | 1,817,702 | | | | | |
Core Molding Technologies, Inc.* | | | 17,000 | | | | 156,230 | | | | | |
Friedman Industries, Inc. | | | 32,900 | | | | 267,806 | | | | | |
FutureFuel Corp. | | | 62,000 | | | | 451,360 | | | | | |
Glatfelter Corp. | | | 155,000 | | | | 1,066,400 | | | | | |
Greif, Inc., Class A | | | 15,000 | | | | 935,700 | | | | | |
Haynes International, Inc. | | | 20,000 | | | | 655,400 | | | | | |
Intrepid Potash, Inc.* | | | 34,601 | | | | 1,567,079 | | | | | |
Koppers Holdings, Inc. | | | 66,000 | | | | 1,494,240 | | | | | |
Mercer International, Inc. | | | 219,950 | | | | 2,892,342 | | | | | |
Minerals Technologies, Inc. | | | 19,500 | | | | 1,196,130 | | | | | |
Olympic Steel, Inc. | | | 24,300 | | | | 625,725 | | | | | |
Pactiv Evergreen, Inc. | | | 10,000 | | | | 99,600 | | | | | |
Ramaco Resources, Inc. | | | 79,900 | | | | 1,050,685 | | | | | |
Rayonier Advanced Materials, Inc.* | | | 232,400 | | | | 608,888 | | | | | |
Resolute Forest Products, Inc.*+ | | | 201,000 | | | | 2,564,760 | | | | | |
Ryerson Holding Corp. | | | 85,700 | | | | 1,824,553 | | | | | |
Schnitzer Steel Industries, Inc., Class A | | | 86,800 | | | | 2,850,512 | | | | | |
SunCoke Energy, Inc. | | | 300,000 | | | | 2,043,000 | | | | | |
Synalloy Corp.* | | | 29,748 | | | | 418,257 | | | | | |
TimkenSteel Corp.* | | | 163,687 | | | | 3,062,584 | | | | | |
Tredegar Corp. | | | 37,600 | | | | 376,000 | | | | | |
Trinseo PLC | | | 88,000 | | | | 3,384,480 | | | | | |
Tronox Holdings PLC, Class A | | | 205,000 | | | | 3,444,000 | | | | | |
Universal Stainless & Alloy Products, Inc.* | | | 16,750 | | | | 123,950 | | | | | |
Valhi, Inc. | | | 69,546 | | | | 3,153,216 | | | | | |
Warrior Met Coal, Inc. | | | 96,000 | | | | 2,938,560 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 49,750,806 | | | | | |
| | | |
Real Estate - 0.42% | | | | | | | | | | | | |
AMREP Corp.* | | | 29,900 | | | | 335,478 | | | | | |
Anywhere Real Estate, Inc.*+ | | | 227,818 | | | | 2,239,451 | | | | | |
Forestar Group, Inc.* | | | 10,001 | | | | 136,914 | | | | | |
RE/MAX Holdings, Inc., Class A | | | 30,000 | | | | 735,600 | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | 3,447,443 | | | | | |
| | | | | | | | | | | | |
| | |
TOTAL COMMON STOCKS - 99.69% | | | | 812,046,632 | | | | | |
| | | | | | | | | | | | |
(Cost $644,325,232) | | | | | | | | | |
| | | | | | | | |
| Industry Company | | Shares | | | Value | |
PREFERRED STOCK - 0.00% | |
Air T Funding, 8.00%***+ | | | 529 | | | $ | 11,294 | |
| | | | | | | | |
TOTAL PREFERRED STOCK - 0.00% | | | | 11,294 | |
| | | | | | | | |
(Cost $11,003) | | | | | |
|
RIGHTS - 0.00% | |
Pineapple Holdings, Inc., | | | | | | | | |
CVR*Δ# | | | 3,750 | | | | – | |
ZAGG, Inc., CVR, expiring 12/31/99*Δ# | | | 30,000 | | | | – | |
| | | | | | | | |
TOTAL RIGHTS - 0.00% | | | | | | | – | |
| | | | | | | | |
(Cost $ — ) | | | | | | | | |
|
WARRANTS - 0.02% | |
Nabors Industries, Ltd., expiring 06/11/26* | | | 5,200 | | | | 166,296 | |
| | | | | | | | |
TOTAL WARRANTS - 0.02% | | | | | | | 166,296 | |
| | | | | | | | |
(Cost $ — ) | | | | | | | | |
| | | | | | | | | | | | |
| | | Rate^ | | | Shares | | | Value | |
MONEY MARKET FUND - 0.44% | |
Fidelity Investments Money Market Government Portfolio Class I | | | 1.21 | % | | | 3,546,479 | | | | 3,546,479 | |
| | | | | | | | | | | | |
TOTAL MONEY MARKET FUND - 0.44% | | | | 3,546,479 | |
| | | | | | | | | | | | |
(Cost $3,546,479) | | | | | |
|
| INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 1.65% | |
Dreyfus Institutional Preferred Government Plus Money Market Fund** | | | 1.46 | % | | | 13,469,362 | | | | 13,469,362 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 1.65% | | | | 13,469,362 | |
| | | | | | | | | | | | |
(Cost $13,469,362) | | | | | |
TOTAL INVESTMENTS - 101.80% | | | $ | 829,240,063 | |
(Cost $661,352,076) | | | | | |
Liabilities in Excess of Other Assets - (1.80%) | | | | (14,684,953 | ) |
| | | | | | | | | | | | |
NET ASSETS - 100.00% | | | $ | 814,555,110 | |
| | | | | | | | | | | | |
| | |
Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (continued) | |
|
| * | Non-income producing security. |
| ** | This security represents the investment of the cash collateral received in connection with securities out on loan as of June 30, 2022. |
| *** | Security is perpetual and has no stated maturity date. |
| ^ | Rate disclosed as of June 30, 2022. |
| Δ | Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy. |
| + | This security or a portion of the security is out on loan at June 30, 2022. Total loaned securities had a value of $31,844,702, which included loaned securities with a value of $105,881 that have been sold and are pending settlement as of June 30, 2022. The total market value of loaned securities excluding these pending sales is $31,738,821. See Note 2 for disclosure of cash and non-cash collateral. |
| # | Illiquid security as determined under procedures approved by the Board of Directors. The aggregate value of illiquid securities is $0, which is 0.00% of total net assets. |
CVR - Contingent Value Right
PLC - Public Limited Company
Summary of inputs used to value the Fund’s investments as of 6/30/2022:
| | | | | | | | | | | | | | | | |
| | | Valuation Inputs | |
| |
| | | Investment in Securities (Value) | |
| |
| | | Level 1 Quoted Prices | | | Level 2
Significant
Observable
Inputs | | | Level 3
Significant
Unobservable
Inputs | | | Total | |
| |
Common Stocks (a) | | | $812,046,632 | | | | $– | | | | $– | | | | $812,046,632 | |
Preferred Stock | | | 11,294 | | | | – | | | | – | | | | 11,294 | |
Rights | | | – | | | | – | | | | 0 | | | | 0 | |
Warrants | | | 166,296 | | | | – | | | | – | | | | 166,296 | |
Money Market Fund | | | 3,546,479 | | | | – | | | | – | | | | 3,546,479 | |
Investments Purchased With Cash Proceeds From Securities Lending | | | 13,469,362 | | | | – | | | | – | | | | 13,469,362 | |
| | | | | | | | | | | | | | | | |
TOTAL | | | $829,240,063 | | | | $– | | | | $0 | | | | $829,240,063 | |
| | | | | | | | | | | | | | | | |
| (a) | - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings. |
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | |
| Investment in Securities (Value) | |
| |
| | | Rights | |
| |
Balance as of 06/30/2021 | | $ | 9,000 | |
Purchases | | | 0 | |
Sales | | | – | |
Return of Capital | | | – | |
Realized Gain/(Loss) | | | – | |
Change in unrealized Appreciation/(Depreciation) | | | (9,000) | |
Transfers in | | | – | |
Transfers out | | | – | |
| | | | |
Balance as of 06/30/2022 | | $ | 0 | |
| | | | |
Net change in unrealized Appreciation/(Depreciation) from investments held as of 06/30/2022 | | $ | (9,000) | |
| | | | |
See Notes to Financial Statements.
| | |
| | |
| 32 | | Annual Report | June 30, 2022 |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | |
|
June 30, 2022
| | | | | | | | | | | | | | | | | |
| ASSETS | | Omni
Small-Cap Value | | | | Omni Tax-
Managed
Small-Cap Value | | |
| | | | |
Investments at value** | | | $ | 1,177,381,748 | | | | | | | | | $ | 829,240,063 | | | |
| | | | |
Cash | | | | 1,132,919 | | | | | | | | | | 710,687 | | | |
| | | | |
Receivables: | | | | | | | | | | | | | | | | | |
| | | | |
Portfolio securities sold | | | | 877,897 | | | | | | | | | | 681,172 | | | |
| | | | |
Fund shares sold | | | | 1,128,926 | | | | | | | | | | 633,186 | | | |
| | | | |
Dividends and interest | | | | 540,317 | | | | | | | | | | 372,902 | | | |
| | | | |
Prepaid expenses | | | | 94,227 | | | | | | | | | | 77,732 | | | |
| | | | |
Total assets | | | | 1,181,156,034 | | | | | | | | | | 831,715,742 | | | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | | | | | | |
| | | | |
Portfolio securities purchased | | | | 2,232,454 | | | | | | | | | | 1,223,995 | | | |
| | | | |
Fund shares redeemed | | | | 851,441 | | | | | | | | | | 1,977,124 | | | |
| | | | |
Payable upon return of securities loaned | | | | 18,402,272 | | | | | | | | | | 13,469,362 | | | |
| | | | |
Accrued Liabilities: | | | | | | | | | | | | | | | | | |
| | | | |
Investment advisory fees | | | | 323,594 | | | | | | | | | | 197,212 | | | |
| | | | |
Administration fees | | | | 4,232 | | | | | | | | | | 2,746 | | | |
| | | | |
Directors’ fees | | | | 6,658 | | | | | | | | | | 4,121 | | | |
| | | | |
Other | | | | 393,947 | | | | | | | | | | 286,072 | | | |
| | | | |
Total liabilities | | | | 22,214,598 | | | | | | | | | | 17,160,632 | | | |
| | | | |
NET ASSETS | | | $ | 1,158,941,436 | | | | | | | | | $ | 814,555,110 | | | |
| | | | |
NET ASSETS REPRESENT | | | | | | | | | | | | | | | | | |
| | | | |
Paid-in capital | | | $ | 733,465,295 | | | | | | | | | $ | 558,072,903 | | | |
| | | | |
Distributable earnings | | | | 425,476,141 | | | | | | | | | | 256,482,207 | | | |
| | | | |
NET ASSETS | | | $ | 1,158,941,436 | | | | | | | | | $ | 814,555,110 | | | |
| | | | |
Shares of common stock outstanding of $.001 par value* | | | | 57,504,507 | | | | | | | | | | 41,941,392 | | | |
| | | | |
Net asset value, offering price and redemption price per share | | | $ | 20.15 | | | | | | | | | $ | 19.42 | | | |
| | | | |
Total investments at cost | | | $ | 935,523,368 | | | | | | | | | $ | 661,352,076 | | | |
| * | See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund. |
| ** | Includes investments purchased with cash collateral for security lending, see Note 2. |
See Notes to Financial Statements.
| | |
| STATEMENTS OF OPERATIONS | |
|
Year Ended June 30, 2022
| | | | | | | | | | | | | | | | | |
| | | Omni
Small-Cap Value | | | | Omni Tax-
Managed
Small-Cap Value | | |
| | | | |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | |
| | | | |
Dividends | | | $ | 21,789,034 | | | | | | | | | $ | 15,233,661 | | | |
| | | | |
Less: foreign taxes withheld | | | | (30,163 | ) | | | | | | | | | (20,401 | ) | | |
| | | | |
Interest | | | | 5,577 | | | | | | | | | | 3,306 | | | |
| | | | |
Securities lending | | | | 280,666 | | | | | | | | | | 198,915 | | | |
| | | | |
Total Investment Income | | | | 22,045,114 | | | | | | | | | | 15,415,481 | | | |
| | | | |
EXPENSES | | | | | | | | | | | | | | | | | |
| | | | |
Investment advisory fees | | | | 6,393,972 | | | | | | | | | | 4,466,891 | | | |
| | | | |
Administration fees | | | | 53,023 | | | | | | | | | | 37,032 | | | |
| | | | |
Accounting fees | | | | 213,856 | | | | | | | | | | 166,995 | | | |
| | | | |
Transfer agent fees | | | | 12,598 | | | | | | | | | | 12,119 | | | |
| | | | |
Professional fees | | | | 175,413 | | | | | | | | | | 123,101 | | | |
| | | | |
Custody fees | | | | 41,320 | | | | | | | | | | 32,475 | | | |
| | | | |
Blue sky fees | | | | 41,218 | | | | | | | | | | 35,711 | | | |
| | | | |
Directors’ and officers’ fees | | | | 131,054 | | | | | | | | | | 91,222 | | | |
| | | | |
Shareholder servicing fees | | | | 1,119,587 | | | | | | | | | | 814,153 | | | |
| | | | |
Reports to shareholders | | | | 54,182 | | | | | | | | | | 36,313 | | | |
| | | | |
Insurance expenses | | | | 89,052 | | | | | | | | | | 58,607 | | | |
| | | | |
Miscellaneous expenses | | | | 103,615 | | | | | | | | | | 68,389 | | | |
| | | | |
Total Expenses | | | | 8,428,890 | | | | | | | | | | 5,943,008 | | | |
| | | | |
Less investment advisory fees waived | | | | (2,418,393 | ) | | | | | | | | | (1,741,958 | ) | | |
| | | | |
Net Expenses | | | | 6,010,497 | | | | | | | | | | 4,201,050 | | | |
| | | | |
NET INVESTMENT INCOME | | | | 16,034,617 | | | | | | | | | | 11,214,431 | | | |
| | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS | | | | | | | | | | | | | | | | | |
| | | | |
Realized Gain on: | | | | | | | | | | | | | | | | | |
| | | | |
Investments | | | | 233,381,693 | | | | | | | | | | 132,587,575 | | | |
| | | | |
Change in Unrealized Appreciation (Depreciation) on: | | | | | | | | | | | | | | | | | |
| | | | |
Investments | | | | (299,843,646 | ) | | | | | | | | | (196,995,797 | ) | | |
| | | | |
Net Realized and Unrealized Loss on Investments | | | | (66,461,953 | ) | | | | | | | | | (64,408,222 | ) | | |
| | | | |
NET (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | $ | (50,427,336 | ) | | | | | | | | $ | (53,193,791 | ) | | |
See Notes to Financial Statements.
| | |
| | |
| 34 | | Annual Report | June 30, 2022 |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | |
|
| | | | | | | | | | | | | | | | |
| | | Omni Small-Cap Value | | | Omni Tax-Managed Small-Cap
Value | |
| | | Year Ended
June 30, | | | Year Ended
June 30, | |
| | | | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
| | | | |
OPERATIONS | | | | | | | | | | | | | | | | |
| | | | |
Net investment income | | $ | 16,034,617 | | | $ | 14,027,112 | | | $ | 11,214,431 | | | $ | 7,648,580 | |
Net realized gain on investments | | | 233,381,693 | | | | 59,525,913 | | | | 132,587,575 | | | | 15,943,911 | |
Net change in unrealized appreciation (depreciation) on investments | | | (299,843,646 | ) | | | 653,474,533 | | | | (196,995,797 | ) | | | 397,077,637 | |
Net increase (decrease) in net assets resulting from operations | | | (50,427,336 | ) | | | 727,027,558 | | | | (53,193,791 | ) | | | 420,670,128 | |
| | | | |
DISTRIBUTIONS: | | | | | | | | | | | | | | | | |
From net investment income and net realized gains | | | (52,208,938 | ) | | | (13,173,150 | ) | | | (8,175,868 | ) | | | (7,115,050 | ) |
Net decrease in net assets from distributions | | | (52,208,938 | ) | | | (13,173,150 | ) | | | (8,175,868 | ) | | | (7,115,050 | ) |
| | | | |
SHARE TRANSACTIONS: | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | 204,195,915 | | | | 177,110,743 | | | | 148,205,758 | | | | 153,412,885 | |
Reinvestment of distributions | | | 51,814,442 | | | | 13,158,550 | | | | 8,132,143 | | | | 7,079,248 | |
Cost of shares redeemed | | | (265,467,787 | ) | | | (461,568,222 | ) | | | (133,661,514 | ) | | | (148,313,588 | ) |
Net increase (decrease) in net assets resulting from share transactions | | | (9,457,430 | ) | | | (271,298,929 | ) | | | 22,676,387 | | | | 12,178,545 | |
Net increase (decrease) in net assets | | | (112,093,704 | ) | | | 442,555,479 | | | | (38,693,272 | ) | | | 425,733,623 | |
| | | | |
NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,271,035,140 | | | | 828,479,661 | | | | 853,248,382 | | | | 427,514,759 | |
End of year | | $ | 1,158,941,436 | | | $ | 1,271,035,140 | | | $ | 814,555,110 | | | $ | 853,248,382 | |
| | | | |
SHARES ISSUED & REDEEMED | | | | | | | | | | | | | | | | |
Issued | | | 9,301,268 | | | | 11,808,613 | | | | 7,078,597 | | | | 10,741,354 | |
Distributions reinvested | | | 2,384,466 | | | | 838,658 | | | | 384,317 | | | | 475,117 | |
Redeemed | | | (11,875,882 | ) | | | (27,346,276 | ) | | | (6,375,686 | ) | | | (9,519,216 | ) |
Net increase (decrease) in shares | | | (190,148 | ) | | | (14,699,005 | ) | | | 1,087,228 | | | | 1,697,255 | |
Outstanding at beginning of year | | | 57,694,655 | | | | 72,393,660 | | | | 40,854,164 | | | | 39,156,909 | |
Outstanding at end of year | | | 57,504,507 | | | | 57,694,655 | | | | 41,941,392 | | | | 40,854,164 | |
See Notes to Financial Statements.
| | |
| FINANCIAL HIGHLIGHTS | |
|
(for a share outstanding throughout each year indicated)
OMNI SMALL-CAP VALUE
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
Net Asset Value, Beginning of Year | | $22.03 | | $11.44 | | $14.97 | | $19.83 | | $18.14 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | | 0.28 | | 0.21 | | 0.19 | | 0.20 | | 0.17 |
Net Realized and Unrealized Gain (Loss) | | (1.23) | | 10.57 | | (3.56) | | (3.61) | | 2.77 |
| | | | | | | | | | |
Total from Investment Operations | | (0.95) | | 10.78 | | (3.37) | | (3.41) | | 2.94 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
Net Investment Income | | (0.41) | | (0.19) | | (0.08) | | (0.17) | | (0.16) |
Net Realized Gain | | (0.52) | | – | | (0.08) | | (1.28) | | (1.09) |
| | | | | | | | | | |
Total Distributions | | (0.93) | | (0.19) | | (0.16) | | (1.45) | | (1.25) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $20.15 | | $22.03 | | $11.44 | | $14.97 | | $19.83 |
| | | | | | | | | | |
| | | | | |
Total Return(b) | | (4.65%) | | 94.92% | | (22.82%) | | (16.82%) | | 16.75% |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
Net Assets, End of Year (in 000’s) | | $1,158,941 | | $1,271,035 | | $828,480 | | $989,015 | | $913,198 |
Expenses Before Waivers and Reimbursements | | 0.66% | | 0.68% | | 0.72% | | 0.70% | | 0.70% |
Expenses After Waivers and Reimbursements | | 0.47% | | 0.47% | | 0.54% | | 0.60% | | 0.60% |
Net Investment Income After Waivers and Reimbursements | | 1.25% | | 1.29% | | 1.46% | | 1.21% | | 0.88% |
Portfolio Turnover Rate | | 30% | | 21% | | 43% | | 29% | | 24% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Total return would have been lower had various fees not been waived during the year. |
See Notes to Financial Statements.
| | |
| | |
| 36 | | Annual Report | June 30, 2022 |
| | |
| FINANCIAL HIGHLIGHTS | |
|
(for a share outstanding throughout each year indicated)
OMNI TAX-MANAGED SMALL-CAP VALUE
| | | | | | | | | | |
| | | Year Ended June 30 |
| | | | | |
| | | 2022 | | 2021 | | 2020 | | 2019 | | 2018 |
Net Asset Value, Beginning of Year | | $20.89 | | $10.92 | | $14.43 | | $19.10 | | $17.39 |
| | | | | | | | | | |
| | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net Investment Income(a) | | 0.27 | | 0.19 | | 0.19 | | 0.20 | | 0.16 |
Net Realized and Unrealized Gain (Loss) | | (1.54) | | 9.95 | | (3.63) | | (3.42) | | 2.61 |
| | | | | | | | | | |
Total from Investment Operations | | (1.27) | | 10.14 | | (3.44) | | (3.22) | | 2.77 |
| | | | | | | | | | |
| | | | | |
Less Distributions to Shareholders from: | | | | | | | | | | |
Net Investment Income | | (0.20) | | (0.17) | | (0.07) | | (0.20) | | (0.23) |
Net Realized Gain | | – | | – | | – | | (1.25) | | (0.83) |
| | | | | | | | | | |
Total Distributions | | (0.20) | | (0.17) | | (0.07) | | (1.45) | | (1.06) |
| | | | | | | | | | |
| | | | | |
Net Asset Value, End of Year | | $19.42 | | $20.89 | | $10.92 | | $14.43 | | $19.10 |
| | | | | | | | | | |
| | | | | |
Total Return(b) | | (6.17%) | | 93.49% | | (23.98%) | | (16.49%) | | 16.48% |
| | | | | |
Ratios and Supplemental Data: | | | | | | | | | | |
Net Assets, End of Year (in 000’s) | | $814,555 | | $853,248 | | $427,515 | | $608,368 | | $805,188 |
Expenses Before Waivers and Reimbursements | | 0.67% | | 0.69% | | 0.74%(c) | | 0.72% | | 0.70% |
Expenses After Waivers and Reimbursements | | 0.47% | | 0.47% | | 0.55%(c) | | 0.60% | | 0.60% |
Net Investment Income After Waivers and Reimbursements | | 1.26% | | 1.18% | | 1.40% | | 1.18% | | 0.89% |
Portfolio Turnover Rate | | 30% | | 26% | | 63% | | 42% | | 27% |
| (a) | Per share amounts calculated based on the average daily shares outstanding during the year. |
| (b) | Total return would have been lower had various fees not been waived during the year. |
| (c) | Includes interest expense of 0.01%. |
See Notes to Financial Statements.
| | |
| NOTES TO FINANCIAL STATEMENTS | |
|
June 30, 2022
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 eight investment funds as of June 30, 2022 (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 Value, Blue Chip, 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, 2022, 130,000,000 shares have been classified into the Blue Chip Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Aggressive Investors 1, Ultra-Small Company Market, Omni Small-Cap Value, Omni Tax-Managed Small-Cap Value, and Small-Cap Value Funds. 50,000,000 shares have been classified into the Managed Volatility Fund.
The Funds are no-load, diversified funds.
The Funds seek to provide long-term total return on capital, primarily through capital appreciation.
Bridgeway Capital Management, LLC (the “Adviser”) is the investment adviser for all of the Funds.
2. Significant Accounting Policies:
Following is a summary of significant accounting policies that are followed in the preparation of the financial statements of the Funds. They 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’ 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 |
| | |
| | |
| 38 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
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 US 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.
| • | | 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, 2022 is included with each Fund’s Schedule of Investments.
Details regarding material transfers into, and material transfers out of, Level 3, if any, can be found at the end of each Schedule of Investments for Funds that held Level 3 securities.
Securities Lending Upon lending its securities to third parties, each participating 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. The remaining contractual maturity of all securities lending transactions is overnight and continuous. 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 unrealized 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.
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
The market value of securities on loan, all of which are classified as common stocks in the Funds’ Schedules of Investments, and the value of the related cash collateral are shown in the Statements of Assets and Liabilities as a component of Investments at value. Securities lending transactions are considered to be overnight and continuous and can be terminated by the Funds or the borrower at any time.
The following table is a summary of the Funds’ payable upon return of securities loaned and related cash collateral, which are subject to a netting agreement as of June 30, 2022:
| | | | | | | | | | | | |
| | | | | | | | | Gross Amount Not Offset
in the Statements of
Assets and Liabilities | | |
| Fund | | Gross
Amounts of
Recognized
Liabilities1 | | Gross
Amounts
Offset in the
Statements
of Assets and
Liabilities | | Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities | | Financial
Instruments | | Collateral
Received | | Net Amount |
Omni Small-Cap Value | | | | | | | | | | | | |
Securities lending | | $18,402,272 | | $– | | $18,402,272 | | $– | | $18,402,272 | | $– |
Omni Tax-Managed
Small-Cap Value | | | | | | | | | | | | |
Securities lending | | $13,469,362 | | – | | $13,469,362 | | – | | $13,469,362 | | – |
| 1 | Securities loaned with a value of $82,456 and $105,881 in Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value have been sold and are pending settlement on June 30, 2022. |
The following table summarizes the securities received as non-cash collateral and cash collateral for securities lending:
| | | | | | | | | | | | | | |
| | | Non-Cash Collateral | | | | | | |
| Fund | | Collateral Type | | Coupon
Range | | Maturity
Date
Range | | Market Value | | Cash
Collateral | | Total
Collateral | | Market Value
of Securities
on Loan |
Omni Small-Cap Value | | | | | | | | | | | | | | |
Securities lending | | U.S. Gov’t | | 0.00%- | | 07/14/22- | | | | | | | | |
| | Obligations | | 4.75% | | 05/15/52 | | $20,925,150 | | $18,402,272 | | $39,327,422 | | $36,779,609 |
Omni Tax-Managed | | | | | | | | | | | | | | |
Small-Cap Value | | | | | | | | | | | | | | |
Securities lending | | U.S. Gov’t | | 0.00%- | | 07/31/22- | | | | | | | | |
| | Obligations | | 4.75% | | 05/15/52 | | $19,858,481 | | $13,469,362 | | $33,327,843 | | $31,844,702 |
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, 2022, the collateral consisted of an institutional government money market fund and US Government Obligations.
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.
Concentrations of Credit Risk The Funds maintain cash and securities in its custody account maintained by a high-credit, quality financial institution. Cash balances may, at times, exceed the FDIC insurance limit. Cash balances are generally invested in a short-term investment vehicle, which minimizes the risk of cash balances exceeding the FDIC insurance limit.
| | |
| | |
| 40 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
Sector Concentration Risk Companies with similar characteristics may be grouped together in broad categories called sectors. Although the Fund seeks investments across a number of sectors, from time to time, based on economic conditions, the Fund may have significant positions in particular sectors. A certain sector may underperform other sectors or the market as a whole. As more assets are held in a specific sector, a Fund’s performance will be more susceptible to any economic, business or other developments which generally affect that sector.
Risks and Uncertainties The Funds provide for various investment options, including stocks. Such investments are exposed to 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.
The global pandemic outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19 has resulted in substantial market volatility and global business disruption, affecting the global economy and the financial health of individual companies in significant and unforeseen ways. COVID-19 has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures, cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. Instability in the United States, European and other credit markets has made it more difficult for borrowers to obtain financing or refinancing on attractive terms or at all. In particular, because of the current conditions in the credit markets, borrowers may be subject to increased interest expenses for borrowed money and tightening underwriting standards. In addition, stock prices as well as yield could be negatively impacted to the extent that issuers of equity securities cancel or announce the suspension of dividends or share buybacks. The COVID-19 pandemic could continue to inhibit global, national and local economic activity, and constrain access to capital and other sources of funding. Various recent government interventions have been aimed at curtailing the distress to financial markets caused by the COVID-19 outbreak. There can be no guarantee that these or other economic stimulus plans (within the United States or other affected countries throughout the world) will be sufficient or will have their intended effect. In addition, an unexpected or quick reversal of such policies could increase market volatility, which could adversely affect a Fund’s investments. The duration and future impact of COVID-19 are currently unknown, which may exacerbate the other risks that apply to a Fund and could negatively affect Fund performance and the value of your investment in a Fund.
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. Income from the securities lending program is recorded when earned from the securities lending agent and reflected in the Statements of Operations under “Securities lending.”
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, and are recorded on the ex-date.
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 of 0.50% of the value of each Fund’s average daily net assets, computed daily and payable monthly.
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
Expense limitations: The Adviser has contractually agreed to waive its management fees and/or reimburse expenses of the Funds to ensure the total annual fund operating expenses do not exceed 0.60% of the Funds’ average net assets. Any material change to this contractual expense limitation would require a vote by shareholders of the applicable Fund. Effective January 1, 2020, the Adviser voluntarily agreed to waive its management fees and/or reimburse expenses in an additional amount such that the net fiscal year expense ratio for each Fund does not exceed 0.47%. Fees waived for the year ended June 30, 2022 were as follows:
| | | | | | | | |
| Bridgeway Fund | | Voluntary
Expense
Limitation | | | Total Waivers
for Year Ended
06/30/22 | |
| | | | | | | | |
Omni Small-Cap Value* | | | 0.47% | | | | $2,418,393 | |
Omni Tax-Managed Small-Cap Value* | | | 0.47% | | | | 1,741,958 | |
*The Funds are authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser to meet the 0.60% contractual expense limitation provided, however, that any reimbursements must be paid at a date not more than three years after the Adviser waived the fees or reimbursed the expenses and that the reimbursements do not cause the Funds to exceed the expense limitation in effect at the time of the waiver or the current expense limitation, if different. The Omni Small-Cap Value Fund has recoupable expenses of $ 755,915, $ 836,967 and $ 1,075,642, which expire no later than June 30, 2025, June 30, 2024 and June 30, 2023, respectively. The Omni Tax-Managed Small-Cap Value Fund has recoupable expenses of $ 580,513, $ 552,382 and $ 761,967, which expire no later than June 30, 2025, June 30, 2024 and June 30 2023, 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 a report on inter-portfolio trades quarterly. Inter-portfolio purchases and sales for the Funds during the year ended June 30, 2022 were as follows:
| | | | | | | | |
| Bridgeway Fund | | Inter-Portfolio
Purchases | | | Inter-Portfolio
Sales | |
| | | | | | | | |
Omni Small-Cap Value | | | $ 25,169,184 | | | | $ 11,956,316 | |
Omni Tax-Managed Small-Cap Value | | | 21,041,986 | | | | 11,262,255 | |
The Adviser entered into an Administrative Services Agreement with Bridgeway Funds, pursuant to which the Adviser provides various administrative services to the Funds including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an annual aggregate fee of $150,000, payable in equal monthly installments. During the year ended June 30, 2022, the allocation of this expense to the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds was $53,023 and $37,032, respectively.
Board of Directors Compensation Independent Directors are paid an annual retainer of $20,000, 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. In addition, effective November 11, 2021 Independent Directors are paid $14,000 per meeting for meeting fees. Prior to November 11, 2021 the meeting fee was $12,000. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.
| | |
| | |
| 42 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
Independent 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 Agreement:
Foreside Fund Services, LLC acts as distributor of the Funds’ shares, pursuant to a Distribution Agreement dated September 30, 2021. 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, if any.
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, 2022 were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | |
| Bridgeway Fund | | U.S. Government | | | Other | | | U.S. Government | | | Other | |
Omni Small-Cap Value | | | $– | | | | $380,749,626 | | | | $– | | | | $426,113,394 | |
Omni Tax-Managed Small-Cap Value | | | – | | | | 290,119,031 | | | | – | | | | 263,068,236 | |
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 the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.
Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/depreciation and the cost of investment securities for tax purposes, including short-term securities as of June 30, 2022, were as follows:
| | | | |
| | | Omni Small-Cap
Value | | Omni Tax-
Managed Small-
Cap Value |
Gross appreciation (excess of value over tax cost) | | $322,994,847 | | $228,963,444 |
Gross depreciation (excess of tax cost over value) | | (81,428,331) | | (61,128,080) |
Net unrealized appreciation | | $241,566,516 | | $167,835,364 |
Cost of investments for income tax purposes | | $935,815,232 | | $661,404,699 |
The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sales 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.
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2022 and June 30, 2021, respectively, are as follows:
| | | | | | | | | | | | | | | | |
| | | Omni Small-Cap Value | | | | | | Omni Tax-Managed Small-Cap
Value | |
| | | Year Ended June 30, 2022 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2022 | | | Year Ended
June 30, 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | |
Ordinary Income | | | $22,971,027 | | | | $13,173,150 | | | | $8,175,868 | | | | $7,115,050 | |
Long-Term Capital Gain | | | 29,237,911 | | | | – | | | | – | | | | – | |
Total | | | $52,208,938 | | | | $13,173,150 | | | | $8,175,868 | | | | $7,115,050 | |
As of June 30, 2022, Omni Small-Cap Value Fund and Omni Tax-Managed Small Cap Value Fund utilized capital loss carryforwards of $13,117,348 and $48,973,864, respectively.
Components of Accumulated Earnings As of June 30, 2022, the components of accumulated deficit on a tax basis were:
| | | | | | | | |
| | | Omni Small-Cap
Value | | | Omni Tax-
Managed Small-
Cap Value | |
Accumulated Net Investment Income | | $ | 6,071,985 | | | $ | 10,031,722 | |
Capital Loss Carryovers | | | – | | | | – | |
Accumulated Net Realized Gain on Investments | | | 177,837,640 | | | | 78,615,121 | |
Qualified Late Year Deferred Losses | | | – | | | | – | |
Net Unrealized Appreciation of Investments | | | 241,566,516 | | | | 167,835,364 | |
Total | | $ | 425,476,141 | | | $ | 256,482,207 | |
For the fiscal year June 30, 2022, the Funds recorded the following reclassifications to the accounts listed below:
| | | | |
| | | Increase (Decrease) |
| | | Omni
Small-Cap Value | | Omni Tax-Managed
Small-Cap Value |
Paid-In Capital | | $14,425,549 | | $5,693,793 |
Accumulated Earnings | | (14,425,549) | | (5,693,793) |
The differences 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.
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 the individual Funds’ 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 canceled earlier, the Facility shall be held available until September 9, 2022. Advances under the Facility are limited to $15,000,000 in total for all Bridgeway 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.
| | |
| | |
| 44 | | Annual Report | June 30, 2022 |
| | |
| NOTES TO FINANCIAL STATEMENTS (continued) | |
|
June 30, 2022
The Funds incur a commitment fee of 0.10% 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 facility 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 Bridgeway Fund.
For the year ended June 30, 2022, borrowings by the Funds under this line of credit were as follows:
| | | | | | | | | | | | | | | | | | |
| Bridgeway Fund | | Weighted
Average
Interest Rate | | Weighted
Average
Loan Balance | | | Number of Days
Outstanding | | | Interest
Expense
Incurred1 | | | Maximum
Amount
Borrowed During
the Period | |
| | | | | | | | | | | | | | | | | | |
Omni Small-Cap Value | | 1.62% | | | $2,560,080 | | | | 87 | | | | $10,053 | | | | $15,000,000 | |
Omni Tax-Managed Small-Cap Value | | 1.72% | | | 1,803,815 | | | | 27 | | | | 2,326 | | | | 6,263,000 | |
1Interest expense is included on the Statements of Operations in Miscellaneous expenses. | |
As of June 30, 2022, Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value had no outstanding loan amounts.
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.
| | |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | |
|
June 30, 2022
To the Board of Directors of Bridgeway Funds, Inc.
and the Shareholders of Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Omni Small-Cap Value Fund and Omni Tax-Managed Small-Cap Value Fund, each a series of shares of beneficial interest in Bridgeway Funds, Inc. (the “Funds”), including the schedules of investments, as of June 30, 2022, 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, the financial highlights for each of the years in the five-year period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2022, 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 in the five-year period then ended, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities law and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risk of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2022 by correspondence with the custodian and brokers. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
BBD, LLP
We have served as the auditor of one or more of the Funds in the Bridgeway Funds, Inc. since 2005.
Philadelphia, Pennsylvania
August 25, 2022
| | |
| | |
| 46 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION | |
|
June 30, 2022 (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, 2022. The information and distributions reported herein may differ from information and distributions taxable to the shareholders for the calendar year ended December 31, 2022.
The Funds report the following items with regard to distributions paid during the fiscal year ended June 30, 2022. 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 and the regulations thereunder.
| | | | | | | | |
| | | Omni Small-Cap
Value | | | Omni Tax-Managed
Small-Cap Value | |
Corporate Dividends Received Deduction | | | 98.52 | % | | | 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 | % |
U.S. Government Income | | | 0.00 | % | | | 0.00 | % |
During the fiscal year ended June 30, 2022, 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 | | $ | 22,971,027 | | | | $ 8,175,868 | |
Equalization Debits Included in Ordinary Income Distributions | | | 969,810 | | | | 669,185 | |
Long-Term Capital Gain Distributions | | | 29,237,911 | | | | – | |
Equalization Debits Included in Long-Term Capital Gain Distributions | | | 13,455,739 | | | | 5,024,608 | |
2. Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and a summary of proxies voted by the Funds for the period ended June 30, 2022 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.
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 as an exhibit to Form N-PORT within 60 days after the end of the period. Copies of the Funds’ Form N-PORT exhibit
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
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 the Funds’ Form N-PORT exhibit 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. Liquidity Risk Management Program Review
The Securities and Exchange Commission (the “SEC”) adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
Each series (the “Funds”) of Bridgeway Funds, Inc. (the “Company”) has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Company’s Board of Directors (the “Board”) has designated the Liquidity Risk Management Committee (“LRMC”) of Bridgeway Capital Management, LLC, the investment adviser to the Funds, as the Program Administrator for each Fund. As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each of the Fund’s portfolio investments into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for Funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments that would result in the Fund holding more than 15% of its net assets in Illiquid investments that are assets (“Illiquid Assets”). The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Fund’s holdings of Illiquid Assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls (i.e., instances when the percentage of a Fund’s net assets in Highly Liquid investments is below the Fund’s current HLIM), including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Fund’s liquidity risk, the LRMC considers, as relevant, a variety of factors, including: (1) the Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Fund during both normal and reasonably foreseeable stressed conditions; and (3) the Fund’s holdings of cash and cash equivalents and any borrowing arrangements or other funding sources. Classification of the Fund’s portfolio investments into one of the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Fund primarily holds assets that are classified as Highly Liquid, and therefore is not currently required to establish an HLIM.
At a meeting of the Company’s Board held on February 10, 2022, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy, and effectiveness of its implementation for the annual period from December 1, 2020 through November 30, 2021 (the “Reporting Period”). In its report to the Board, the Program Administrator concluded that the Program is reasonably designed to comply with the Liquidity Rule, to assess and manage liquidity risk of each Fund, was implemented adequately and effectively and operated for each Fund during the Reporting Period and each Fund was able to meet requests for redemptions without significant dilution of remaining investors’ interests in the Fund.
There can be no assurance that in the future the Program will achieve its objectives of reducing the risk that the Funds will be unable to meet their redemption obligations and mitigating the dilution of the interests of Fund shareholders. Please refer to the Funds’ Statement of Additional Information for more information regarding the Funds’ exposure to liquidity risk and other risks to which the Funds may be subject.
| | |
| | |
| 48 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
5. Approval of Investment Management Agreement
Bridgeway Funds, Inc.’s (the “Company”) management agreement (the “Management Agreement”) with its investment adviser, Bridgeway Capital Management, LLC (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 by the board of directors of the Company (the “Board” or “Directors”) or a vote of a majority of the outstanding voting securities of each fund. In addition, the renewal must be approved by 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 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 or its standing committees consider at meetings during the year various factors that are relevant to the annual renewal of each fund’s Management Agreement, including the quality of services and support provided to each fund by the Adviser, the Adviser’s compliance program, including the effectiveness of its implementation, 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. Additionally, between regular Board meetings the Adviser provides the Board with updated financial information on the Adviser and strategic direction and marketing efforts.
On May 12, 2022, the Board, including a majority of the Independent Directors, met (the “Meeting”) with the Adviser, the Company’s outside legal counsel, independent legal counsel to the Independent Directors (“Independent Legal Counsel”) and others to consider information bearing on the continuation of the Management Agreement with respect to the Omni Tax-Managed Small-Cap Value Fund and Omni Small-Cap Value Fund (each a “Fund” and together, the “Funds”). The Meeting was held by video conference due to circumstances related to current or potential effects of COVID-19 pursuant to temporary exemptive relief issued by the Securities and Exchange Commission.
In reaching its decisions regarding the renewal of the Management Agreement for each Fund, the Board considered the information furnished and discussed throughout the year at regularly scheduled Board and committee meetings, as applicable and as described above, as well as the information provided to it specifically in relation to the annual consideration of the approval of the continuation of the Management Agreement for each Fund.
In preparation for the Meeting, the Independent Directors requested that the Adviser provide specific information relevant to the Board’s consideration of the renewal of the Management Agreement with respect to each Fund. In response to that request, the Board was furnished with a wide variety of information with respect to each Fund, including information regarding:
| • | | investment performance over various time periods and the fees and expenses of the Fund as compared to a comparable group of funds as determined and prepared by Broadridge, an independent provider of investment company data; |
| • | | the nature, extent and quality of services provided by the Adviser to the Fund under the Management Agreement; |
| • | | actual management fees paid by the Fund to the Adviser and a comparison of those fees with the management fees charged to other advisory clients of the Adviser, as applicable; |
| • | | the Adviser’s costs of providing services to the Fund and the profitability of the Adviser from its relationship with the Fund; |
| • | | the extent to which economies of scale would be realized as the Fund’s assets increase and whether fee levels reflect these economies of scale for the benefit of Fund investors; and |
| • | | any potential “fall-out” or ancillary benefits accruing to the Adviser as a result of its relationship with the Fund. |
In addition to evaluating the written information provided by the Adviser, the Board also considered the answers to questions posed by the Board to representatives of the Adviser at the Meeting.
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
In considering the information and materials described above, the Independent Directors met with Independent Legal Counsel to review such information and materials prior to the Meeting. In addition, the Independent Directors met in executive session with Independent Legal Counsel to consider the continuation of the Management Agreement with respect to each Fund outside the presence of management during the Meeting.
The Board also was provided with a written description of its statutory responsibilities and the legal standards that are applicable to approval of the renewal of the Management Agreement.
Although the Management Agreement for both Funds was considered at the Meeting, the Directors considered the renewal of the Management Agreement with respect to each Fund separately.
In considering the aforementioned information, the Board took into account management style, investment strategies and prevailing market conditions as reported by the Adviser. Furthermore, in evaluating the Management Agreement, the Directors also considered 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’s assets in accordance with the Fund’s investment objectives, policies and restrictions and how those services and fees differ from those for other advisory clients of the Adviser, as applicable; |
| • | | information regarding the advisory fee rates and the expense limitation or fee waiver arrangements for each Fund; |
| • | | 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 advisory clients of the Adviser; |
| • | | the Adviser’s risk assessment and management process; |
| • | | the Adviser’s representation that it does not engage in pre-arranged soft dollar arrangements but that it may receive the benefit of research services provided by broker-dealers; and |
| • | | the financial condition and stability of the Adviser. |
In view of the broad scope and variety of factors and information considered by the Board, the Directors did not find it practicable to, and did not, assign relative weights to the specific factors considered in reaching their conclusions and determinations to approve the continuance of the Management Agreement for each Fund for an additional year. Rather, the Board’s determinations were made on the basis of each Director’s business judgment after consideration of all of the factors taken in their entirety. Although not meant to be all-inclusive, the following describes various factors that were considered by the Board in deciding to approve the continuance of the Management Agreement for each Fund.
Nature, Extent and Quality of Services
In examining the nature, extent and quality of the services provided by the Adviser, the Directors considered the services provided to each Fund and any expected changes thereto, the qualifications, experience and duties of the Adviser’s personnel, the approximate amount of time those personnel devote to the Funds, recent and expected personnel changes, portfolio manager compensation arrangements, business continuity and succession planning, and enterprise risk management (including as it relates to cybersecurity risk). In addition, the Directors considered information provided by the Adviser regarding its overall financial strength and considered the resources and staffing in place with respect to the services provided to the Funds. The Directors also took into account information they had received from the Adviser throughout the year concerning the impact of the COVID-19 pandemic on, among other things, the Adviser’s operations, financial condition and assets under management.
Based on the totality of the information considered, the Directors concluded that they were satisfied with the nature, extent and quality of the services provided to each Fund by the Adviser, and that the Adviser has the ability to continue to provide these services based on its experience, operations and current resources.
| | |
| | |
| 50 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
Investment Performance
The Board considered performance information provided by the Adviser for similarly managed accounts (if any) over the most recent six-month, one-year, three-year, five-year and ten-year periods ended December 31, 2021 as well as Fund performance compared with its benchmark for one-year, three-year, five-year, ten-year and since-inception periods ended December 31, 2021, as applicable. The Board considered the Adviser’s representation that the differences in the performance of other small cap accounts and Fund performance were expected by the Adviser given differences in investment strategy and tax management practices.
In addition, Broadridge provided a report (the “Broadridge Report”) of comparative data regarding fees, expenses and investment performance for each Fund as compared to a peer group selected by Broadridge (“Peer Group”). The performance periods included total return over the most recent calendar year (“one-year period”) and the annualized total returns over the most recent three calendar year period (“three-year period”), five calendar year period (“five-year period”) and ten calendar year period (“ten-year period”). With regard to the performance information provided in the Broadridge Report, the Board considered the performance of each Fund on a percentile and quintile basis as compared to its Peer Group. For purposes of the performance data provided, the first quintile is defined as 20% of the funds in the applicable Peer Group with the highest performance and the fifth quintile is defined as 20% of the funds in the applicable Peer Group with the lowest performance.
In particular, the Board considered the following performance information as of December 31, 2021 provided by the Adviser and from Broadridge:
| • | | With regard to the Omni Tax-Managed Small-Cap Value Fund, the Fund’s performance was in the first quintile for the one-year period, in the third quintile for the three-year period, in the fourth quintile for the five -year period and in the second quintile for the ten-year period. The Fund outperformed its primary benchmark for the one-year and three-year periods, while it underperformed its primary benchmark for the five-year, ten-year and since-inception periods. The Board considered the Adviser’s explanation that the Fund’s relative performance is generally attributable to its broad exposure to smaller capitalization and deeper value stocks relative to its Peer Group and that the Fund’s performance was generally in line with its design. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
| • | | With regard to the Omni Small-Cap Value Fund, the Fund’s performance was in the first quintile for the one-year period, in the second quintile for the three-year and ten-year periods and in the third quintile for the five-year period. The Fund outperformed its primary benchmark for the one-year, three-year, ten-year and since-inception periods, while it underperformed its primary benchmark for the five-year period. The Board considered the Adviser’s explanation that the Fund’s relative performance is generally attributable to its broad exposure to smaller capitalization and deeper value stocks relative to its Peer Group and that the Fund’s performance was generally in line with its design. Based on their review, the Directors concluded that the Fund’s overall performance was satisfactory relative to the performance of the funds in its Peer Group and its primary benchmark. |
Fund Fees and Expenses
The Board considered information provided by the Adviser regarding the advisory fees it charges to other advisory clients and the reasons for any material differences between those fees and the fees it charges to the Funds. The Board also considered the Adviser’s views that, given investment performance and overall expenses, the Adviser believes the management fees for each Fund appear reasonable and appropriate given the distinctive features and design of each Fund, the disciplined implementation of the design by the Adviser, the relatively low management fees in each case, the performance results in line with design and investor expectations, and the profitability to the Adviser of each Fund. More specifically, with regard to management fee differences among the Funds and other small-cap funds advised by the Adviser, the Board considered the Adviser’s view that fee differences stem from market factors as well as the estimated growth rate of the Fund at the time of launch; the potential asset capacity of the Fund; the risks associated with providing the advisory services to the Fund; and estimated costs of providing the advisory services driven by the design complexity of the Fund (e.g., more complex design is higher cost due to the research and portfolio management time required).
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
The Board also considered the fees charged to other investment company and non-investment company clients of the Adviser, as well as the Adviser’s representation that the Adviser did not manage other clients comparable to either Fund.
The Board also considered information compiled by Broadridge comparing each Fund’s contractual management fee rate (using an assumed common asset level for the Fund and the other funds in the Peer Group), actual management fee rate (which included the effect of any fee waivers, and was derived from annual reports) and actual total expense ratios (which also included the effect of any fee waivers, and was derived from annual reports) as a percentage of average net assets as compared to other funds in its expense Peer Group. Broadridge’s contractual management fee data included both advisory fees and administrative services fees, except for the Funds. Broadridge excluded administrative services fees for the Funds from contractual management fee data because those fees are fixed (i.e., a stated dollar amount), as opposed to asset based. More specifically, with respect to the Funds, the Adviser provides certain administrative services to the Funds pursuant to a separate contract, in exchange for an annual fixed fee (payable monthly) that the Adviser has represented approximates the cost of providing such services (which the Board considered in connection with profitability, as described below). Broadridge’s actual management fee data for the Funds and the other funds in the Peer Group included both advisory fees and administrative services fees. Thus, the contractual management fee rate in the Funds’ Broadridge comparisons did not reflect these administrative services fees, whereas the actual management fee rate in the Funds’ Broadridge comparisons included both advisory and administrative services fees.
With regard to the expense information provided in the Broadridge Report, the Board considered Fund expenses on a percentile and quintile basis as compared to each Fund’s Peer Group. For purposes of the expense data provided, Broadridge defines the first quintile as 20% of the funds in the applicable Peer Group with the lowest expenses and the fifth quintile as 20% of the funds in the applicable Peer Group with the highest expenses.
With respect to the Funds, the Board considered that each Fund’s contractual management fee, actual management fee and actual total expense ratio were in the first quintile of its applicable Peer Group.
In addition, the Board considered that the Adviser agreed to contractual expense limitation agreements for each Fund to ensure that total expense levels do not increase above certain asset percentage levels. The Board also took into account that the Adviser had begun voluntarily reducing the expense limitations for both Funds effective on January 1, 2020.
The foregoing comparisons assisted the Board in determining to approve the continuance of the Management Agreement for each Fund by providing it with a basis for evaluating each Fund’s management fee and total expense ratio on a relative basis. Based on their review, the Directors concluded that each Fund’s management fee was reasonable in view of the services received by the Fund and the other factors considered.
Profitability
The Board reviewed the materials it received from the Adviser regarding its revenues and costs in providing investment management and certain administrative services to the Funds and the Company as a whole. In particular, the Board considered the analysis of the Adviser’s profitability with respect to each Fund, calculated for the years ended December 31, 2018, December 31, 2019, December 31, 2020 and December 31, 2021. The Board also considered the Adviser’s representations that it does not track expenses or maintain staff on a per Fund basis and accordingly the Adviser needed to make certain assumptions to allocate expenses on a Fund-by-Fund basis in order to calculate Fund-by-Fund profitability, making the process a subjective one. The Board also considered that the Adviser was operating certain other funds in the complex at a loss but that the Adviser had the resources necessary to continue providing the same level of services to the Funds. Based on their review, the Directors concluded that the Adviser’s profitability from its relationship with each Fund was reasonable.
Economies of Scale
The Board considered the effect of each Fund’s current size and its potential growth on its performance and fees. With respect to whether economies of scale are expected to be realized by the Adviser as a Fund’s assets increase and whether advisory fee levels reflect these economies of scale for the benefit of Fund investors, the Board considered, for each Fund, the current level of advisory fees charged and fee structure and concluded that the Adviser’s fee structure with respect to
| | |
| | |
| 52 | | Annual Report | June 30, 2022 |
| | |
| OTHER INFORMATION (continued) | |
|
June 30, 2022 (Unaudited)
each Fund was appropriate at this time. The Board considered the Adviser’s explanation that although neither Fund has fee breakpoints in its management fee schedules, each Fund was priced low relative to peers and ahead of the economies of scale curve at launch. The Board noted that if a Fund’s assets increased over time, the Fund might realize other economies of scale if assets increased proportionally more than certain other expenses.
“Fallout” or Ancillary Benefits
The Board considered whether there were any “fall-out” or ancillary benefits that may accrue to the Adviser as a result of its relationships with the Funds. In terms of potential “fall-out” or ancillary benefits to the Adviser due to its position as manager of the Funds, the Board considered benefits related to track record and reputation, and portfolio trading and execution. The Board also considered the Adviser’s representations that it does not engage in pre-arranged soft dollar arrangements but that it may receive the benefit of research services provided by broker-dealers. In addition, the Board took into account that the Adviser receives administrative service fees from the Funds in exchange for providing certain administrative services to the Funds. The Board concluded that the benefits accruing to Adviser by virtue of its relationship with the Funds appeared to be reasonable.
* * * * *
Based on all relevant information and factors discussed above, none of which was individually determinative of the outcome, the Board, including a majority of the Independent Directors, determined that the continuation of the Management Agreement for each Fund was in the best interests of the Fund. As a result, the Board, including a majority of the Independent Directors, approved the renewal of the Management Agreement for each Fund.
| | |
| DISCLOSURE OF FUND EXPENSES | |
|
June 30, 2022 (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 under-stand 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, 2022 and held until June 30, 2022.
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 1/1/22 | | Ending Account
Value at 6/30/22 | | Expense
Ratio | | Expenses Paid
During Period*
1/1/22 - 6/30/22 |
|
Bridgeway Omni Small-Cap Value Fund |
Actual Fund Return | | $1,000.00 | | $900.80 | | 0.47% | | $2.22 |
Hypothetical Fund Return | | $1,000.00 | | $1,022.46 | | 0.47% | | $2.36 |
| | | |
Bridgeway Omni Tax-Managed Small-Cap Value Fund | | | | | | |
Actual Fund Return | | $1,000.00 | | $891.20 | | 0.47% | | $2.20 |
Hypothetical Fund Return | | $1,000.00 | | $1,022.46 | | 0.47% | | $2.36 |
| * | 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). |
| | |
| | |
| 54 | | Annual Report | June 30, 2022 |
| | |
| DIRECTORS & OFFICERS | |
|
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| 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 |
| | | | | |
Karen S. Gerstner Age 67 | | Director | | Term: 1 Year Length: 1994 to Present. | | Principal, Karen S. Gerstner & Associates, P.C., since 2004. | | Eight | | None |
| | | | | |
Miles Douglas Harper, III* Age 59 | | Director | | Term: 1 Year Length: 1994 to Present. | | Retired; formerly Partner, Carr, Riggs & Ingram, LLC, 2013 to June 2022. | | Eight | | Calvert Funds (42 Portfolios) |
| | | | | |
Evan Harrel Age 61 | | Director | | Term: 1 Year Length: 2006 to Present. | | Chief Operating Officer, Center for Compassionate Leadership since January 2020; Independent Consultant, 2016 to January 2020. | | Eight | | None |
| | | | | |
| | | | | | | | | | | |
| | |
| DIRECTORS & OFFICERS (continued) | |
|
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| “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 66 | | Vice President and Director | | Term: 1 Year Length: 1993 to Present. | | Chairman, Bridgeway Capital Management, LLC, since 2010; Vice President, Bridgeway Funds, 2005 to May 2015 and since June 2016. | | Eight | | None |
| | | | | |
| | | | | | | | | | | |
| | |
| | |
| 56 | | Annual Report | June 30, 2022 |
| | |
| DIRECTORS & OFFICERS (continued) | |
|
June 30, 2022 (Unaudited)
| | | | | | | | | | |
| 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 64 | | Vice President | | Term: 1 Year Length: 2004 to Present. | | Vice President, Bridgeway Funds, since 2004; Staff member, Bridgeway Capital Management, since 2000. | | N/A | | None |
| | | | | |
Deborah L. Hanna Age 57 | | Secretary, Treasurer, and Chief Compliance Office | | Term: 1 Year Length: Secretary, 2007 to Present; Treasurer and Chief Compliance Officer, 2020 to Present. | | Self-employed, accounting and related projects for various organizations, since 2001. | | N/A | | None |
| | | | | |
Sharon Lester Age 67 | | Vice President | | Term: 1 Year Length: 2011 to Present. | | Staff member, Bridgeway Capital Management, since 2010. | | N/A | | None |
| | | | | |
Tammira Philippe Age 48 | | President | | Term: 1 Year Length: May 2016 to Present. | | President, Bridgeway Capital Management, LLC, since 2016. | | N/A | | None |
| 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, director and majority shareholder, and control person of BCM Scorp Holdco, Inc., which is the immediate parent company of the Adviser. |
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 800-661-3550.
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 ww.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 $192,000 for the fiscal year ended June 30, 2022 and $216,400 for the fiscal year ended June 30, 2021. |
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, 2022 and $0 for the fiscal year ended June 30, 2021. |
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 $20,700 for the fiscal year ended June 30, 2022 and $20,700 for the fiscal year ended June 30, 2021. 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, 2022 and $0 for the fiscal year ended June 30, 2021. |
| | (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) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2- 01 of Regulation S-X are as follows: |
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.
| | (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, 2022 and $0 for the fiscal year ended June 30, 2021. |
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. |
| 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 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. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not applicable.
Item 13. Exhibits.
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/ Tammira Philippe Tammira Philippe, President and Principal Executive Officer (principal executive officer) | | |
Date September 7, 2022
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/ Tammira Philippe Tammira Philippe, President and Principal Executive Officer (principal executive officer) | | |
Date September 7, 2022
| | | | |
| By (Signature and Title)* | | /s/ Deborah L. Hanna Deborah L. Hanna, Treasurer and Principal Financial Officer (principal financial officer) | | |
Date September 7, 2022
* Print the name and title of each signing officer under his or her signature.
