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 811-05518
----------------
The RBB Fund, Inc.
--------------------------------------------------
(Exact name of registrant as specified in charter)
400 Bellevue Parkway, 4th Floor
Wilmington, DE 19809
--------------------------------------------------
(Address of principal executive offices) (Zip code)
Edward J. Roach, President & Treasurer
400 Bellevue Parkway, 4th Floor
Wilmington, DE 19809
--------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 302-792-2555
-------------
Date of fiscal year end: August 31
----------
Date of reporting period: February 28, 2006
------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 100 F Street, NE,
Washington, DC 20549. The OMB has reviewed this collection of information under
the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
================================================================================
THE BEDFORD
CLASS
OF
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SEMI-ANNUAL REPORT
FEBRUARY 28, 2006
(UNAUDITED)
This report is submitted for the general information of the shareholders of the
Portfolio. It is not authorized for distribution unless preceded or accompanied
by a prospectus for the Fund.
================================================================================
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, distribution fees, and
other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees that may be incurred by shareholders of other Funds.
Therefore, the second line of the accompanying tables is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds.
MONEY MARKET PORTFOLIO -- BEDFORD CLASS
----------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,016.50 $4.31
Hypothetical (5% return before expenses) 1,000.00 1,020.48 4.32
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS
----------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,019.80 $1.00
Hypothetical (5% return before expenses) 1,000.00 1,023.80 1.00
* Expenses are equal to the Fund's annualized expense ratio of 0.86% for the
Bedford Class shares and 0.20% for the Sansom Street Class shares, which
includes waived fees or reimbursed expenses, multiplied by the average account
value over the period, multiplied by the number of days (181) in the most
recent fiscal half-year, then divided by 365 to reflect the one-half year
period. The Fund's ending account value on the first line in each table is
based on the actual total return for each class of 1.65% for the Bedford Class
shares and 1.98% for the Sansom Street Class shares.
1
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
PORTFOLIO HOLDINGS SUMMARY TABLE
(UNAUDITED)
SECURITY % OF NET
TYPE ASSETS VALUE
-------- -------- ------------
Short Term Investments:
Commercial Paper ......................... 65.2% $166,039,056
Certificates of Deposit .................. 13.9% 35,450,156
Variable Rate Obligations ................ 13.0% 33,000,000
Repurchase Agreements .................... 3.8% 9,800,000
Master Notes ............................. 2.4% 6,000,000
Medium Term Notes ........................ 0.8% 1,991,466
Municipal Bonds .......................... 0.8% 1,945,000
Assets In Excess of Other Liabilities ...... 0.1% 210,719
------- ------------
NET ASSETS -- 100.0% ....................... 100.0% $254,436,397
======= ============
2
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
CERTIFICATES OF DEPOSIT--13.9%
DOMESTIC CERTIFICATES OF DEPOSIT--6.5%
Washington Mutual Bank FA
4.460%, 03/28/06 ...................... $13,000 $ 13,000,000
Wells Fargo Bank, N.A.
4.865%, 01/31/07 ...................... 3,500 3,500,156
------------
16,500,156
------------
YANKEE DOLLAR CERTIFICATES OF DEPOSIT*--7 4%
Banque Nationale de Paris(a)
4.505%, 10/19/06 ...................... 1,900 1,900,000
Credit Suisse New York(a)
4.540%, 03/02/06 ...................... 11,600 11,600,000
Royal Bank of Scotland P.L.C.(a)
4.810%, 01/16/07 ...................... 2,950 2,950,000
Societe Generale(a)
4.780%, 12/06/06 ...................... 2,500 2,500,000
------------
18,950,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $35,450,156) ................ 35,450,156
------------
COMMERCIAL PAPER--65.2%
ASSET BACKED SECURITIES--19.4%
Chariot Funding LLC
4.520%, 03/15/06 ...................... 12,000 11,978,906
Ciesco LLC
4.410%, 03/08/06 ...................... 2,300 2,298,028
Cullinan Finance Corp.
4.550%, 03/23/06 ...................... 1,174 1,170,736
Fairway Finance Corp.
4.410%, 03/15/06 ...................... 13,500 13,476,847
Liberty Street Funding Co.
4.520%, 03/06/06 ...................... 14,000 13,991,211
Thames Asset Global Securitization
No. 1, Inc.
4.530%, 03/14/06 ...................... 6,500 6,489,367
------------
49,405,095
------------
BANKS--25.9%
Alliance & Leicester P.L.C.
4.550%, 07/17/06 ...................... 7,815 7,678,693
Banco Santander Puerto Rico
4.520%, 03/17/06 ...................... 12,500 12,474,889
Deutsche Bank Financial, Inc.
4.465%, 03/28/06 ...................... 13,000 12,956,466
HSH Nordbank AG New York
4.520%, 03/23/06 ...................... 12,000 11,966,853
PAR
(000) VALUE
------- ------------
COMMERCIAL PAPER--(CONTINUED)
BANKS--(CONTINUED)
Norddeutsche Landesbank New York
4.510%, 03/07/06 ...................... $ 9,502 $ 9,494,858
Nordea North America, Inc.
4.380%, 03/09/06 ...................... 8,000 7,992,213
Rabobank USA Finance Corp.
4.560%, 03/01/06 ...................... 529 529,000
Societe Generale N.A.
4.530%, 03/20/06 ...................... 2,800 2,793,306
------------
65,886,278
------------
FINANCE SERVICES--6.6%
CIT Group, Inc.
4.670%, 05/11/06 ...................... 12,000 11,889,477
ING (US) Funding LLC
4.510%, 03/23/06 ...................... 4,888 4,874,528
------------
16,764,005
------------
MORTGAGE BANKERS & CORRESPONDENTS--5.1%
Countrywide Financial Corp.
4.530%, 03/06/06 ...................... 13,000 12,991,821
------------
MOTOR VEHICLES & CAR BODIES--3.1%
BMW (US) Capital LLC
4.550%, 03/01/06 ...................... 8,000 8,000,000
------------
SHORT-TERM BUSINESS CREDIT INSTITUTIONS--5.1%
National Rural Utilities Cooperative
Finance Corp.
4.510%, 03/06/06 ...................... 13,000 12,991,857
------------
TOTAL COMMERCIAL PAPER
(Cost $166,039,056) ............... 166,039,056
------------
MUNICIPAL BONDS--0.8%
PENNSYLVANIA--0.8%
Franklin County, IDR (Manufacturers
& Traders LOC)
4.620%, 03/02/06 ...................... 1,945 1,945,000
------------
TOTAL MUNICIPAL BONDS
(Cost $1,945,000) ................. 1,945,000
VARIABLE RATE OBLIGATIONS--13.0%
ASSET BACKED SECURITIES--2.4%
Racers Trust 2004-6-MM(b)(c)
4.570%, 03/22/06 ...................... 1,000 1,000,000
Racers-2005-17-0(b)(c)
4.790%, 05/22/06 ...................... 5,000 5,000,000
------------
6,000,000
------------
See Accompanying Notes to Financial Statements.
3
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
VARIABLE RATE OBLIGATIONS--(CONTINUED)
BANKS--3.9%
HBOS Treasury Services P.L.C.(b)
4.569%, 03/24/06 ...................... $ 8,000 $ 8,000,000
Westpac Banking Corp. New York(b)
4.490%, 03/13/06 ...................... 2,000 2,000,000
------------
10,000,000
------------
LIFE INSURANCE--2.0%
MetLife Global Funding, Inc.(b)(c)
4.675%, 03/28/06 ...................... 5,000 5,000,000
------------
SECURITY BROKERS & DEALERS--4.7%
Greenwich Capital Holdings, Inc.(b)
4.541%, 03/27/06 ...................... 10,000 10,000,000
Morgan Stanley & Co.(b)
4.643%, 03/01/06 ...................... 2,000 2,000,000
------------
12,000,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $33,000,000) ................ 33,000,000
------------
MEDIUM TERM NOTES--0.8%
Toyota Motor Credit Corp.
3.854%, 11/02/06 ...................... 2,000 1,991,466
------------
TOTAL MEDIUM TERM NOTES
(Cost $1,991,466) ................. 1,991,466
MASTER NOTES--2.4%
Morgan Stanley Mortgage Capital, Inc.
4.733%, 03/01/06 ...................... 6,000 6,000,000
------------
TOTAL MASTER NOTES
(Cost $6,000,000) ................. 6,000,000
------------
REPURCHASE AGREEMENTS--3.8%
Morgan Stanley & Co.
(Tri-Party Agreement dated
2/28/06 to be repurchased at
$9,801,228 collateralized by
$10,143,000 U.S. Treasury Notes
at a rate of 3.0%, due 12/31/06,
Market Value of collateral is
$10,046,028)
4.510%, 03/01/06 ...................... 9,800 9,800,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $9,800,000) ...................... 9,800,000
------------
VALUE
-------------
TOTAL INVESTMENTS AT VALUE--99.9%
(Cost $254,225,678*) .................. $254,225,678
------------
ASSETS IN EXCESS OF OTHER
LIABILITIES--0.1% ..................... 210,719
------------
NET ASSETS (Applicable to
138,430,755 Bedford shares
and 116,009,775 Sansom
Street shares)--100.0% ................ $254,436,397
============
NET ASSET VALUE, Offering and
Redemption Price Per Share
($254,436,397 / 254,440,530) .......... $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Bedford Share
($138,428,435 / 138,430,755) .......... $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Sansom Street Share
($116,007,962 / 116,009,775) .......... $1.00
=====
* Aggregate cost is the same for financial reporting and Federal tax purposes.
(a) Security is a foreign domiciled issuer which is registered with the
Securities and Exchange Commission.
(b) Variable Rate Obligations -- The interest rate shown is the rate as of
February 28, 2006 and the maturity date shown is the next interest rate
readjustment date or the maturity date.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional investors. As of February
28, 2006, the Portfolio held 4.3% of its net assets, with a current market
value of $11,000,000 in securities restricted as to resale.
INVESTMENT ABBREVIATIONS
IDR Industrial Development Revenue
LOC Letter of Credit
See Accompanying Notes to Financial Statements.
4
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006
(UNAUDITED)
Investment Income
Interest .................................................. $4,994,344
----------
Expenses
Investment advisory and administration fees ............... 535,243
Distribution and service fees ............................. 419,352
Printing and shareholder reporting fees ................... 39,631
Custodian fees ............................................ 34,309
Professional fees ......................................... 25,080
Transfer agent fees ....................................... 19,560
Directors' and officers' fees ............................. 18,585
Regulatory administration fees ............................ 15,434
Registration and filing fees .............................. 7,200
Miscellaneous ............................................. 8,352
Service organization fees ................................. 1,214
----------
Total expenses ........................................ 1,123,960
Less fees waived ............................................ (490,380)
----------
Net total expenses .................................... 633,580
----------
Net investment income ....................................... 4,360,764
----------
Realized loss on investments ................................ (459)
----------
Net increase in net assets resulting from operations ........ $4,360,305
==========
See Accompanying Notes to Financial Statements.
5
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
Increase (decrease) in net assets:
Operations:
Net investment income .............................. $ 4,360,764 $ 4,297,524
Net loss on investments ............................ (459) (1,655)
------------ ------------
Net increase in net assets resulting from operations 4,360,305 4,295,869
------------ ------------
Distributions to shareholders:
Dividends to shareholders from
Net Investment Income:
Bedford shares ................................... (1,988,098) (1,591,534)
Sansom Street shares ............................. (2,372,666) (2,705,990)
Distributions to shareholders from
Net realized short-term gains:
Bedford shares ................................... -- --
Sansom Street shares ............................. -- --
------------ ------------
Total distributions to shareholders ............ (4,360,764) (4,297,524)
------------ ------------
Net capital share transactions (See Note 3) .......... 57,637,688 (16,571,764)
------------ ------------
Total increase/(decrease) in net assets .............. 57,637,229 (16,573,419)
Net Assets:
Beginning of period ................................ 196,799,168 213,372,587
------------ ------------
End of period ...................................... $254,436,397 $196,799,168
============ ============
See Accompanying Notes to Financial Statements.
6
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS
---------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED)
Net asset value, beginning of period... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... 0.0164 0.0162 0.0025 0.0046 0.0157 0.0460
Net gains on securities............. -- -- -- 0.0005 -- --
-------- -------- -------- -------- -------- --------
Total net income from investment
operations ..................... 0.0164 0.0162 0.0025 0.0051 0.0157 0.0460
-------- -------- -------- -------- -------- --------
Less distributions
Dividends (from net investment
income) ........................ (0.0164) (0.0162) (0.0025) (0.0046) (0.0157) (0.0460)
Distributions (from capital gains).. -- -- -- (0.0005) -- --
-------- -------- -------- -------- -------- --------
Total distributions............... (0.0164) (0.0162) (0.0025) (0.0051) (0.0157) (0.0460)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return........................... 1.65% 1.63% 0.25% 0.53% 1.59% 4.70%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) .................. $138,428 $109,495 $ 72,001 $ 80,406 $ 52,878 $676,964
Ratios of expenses to average
net assets(a) .................... 0.86% 0.97% 0.94% 0.98% 1.00% 1.00%
Ratios of net investment income
to average net assets ............ 3.32% 1.68% 0.24% 0.46% 1.75% 4.46%
(a) Without the waiver of advisory fees and reimbursement of certain operating
expenses, the ratios of expenses to average net assets for the Bedford Class
of the Money Market Portfolio would have been 1.22% for the six months ended
February 28, 2006 and 1.23%, 1.34%, 1.30%, 1.25% and 1.19% for the years
ended August 31, 2005, 2004, 2003, 2002 and 2001, respectively.
See Accompanying Notes to Financial Statements.
7
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS
----------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
------------- ---------- ---------- ---------- ----------- -----------
(UNAUDITED)
Net asset value, beginning of period .... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income................. 0.0197 0.0239 0.0100 0.0114 0.0209 0.0511
Net gains on securities............... -- -- -- 0.0005 -- --
-------- -------- -------- -------- -------- --------
Total net income from investment
operations ....................... 0.0197 0.0239 0.0100 0.0119 0.0209 0.0511
-------- -------- -------- -------- -------- --------
Less distributions
Dividends (from net investment income) (0.0197) (0.0239) (0.0100) (0.0114) (0.0209) (0.0511)
Distributions (from capital gains).... -- -- -- (0.0005) -- --
-------- -------- -------- -------- -------- --------
Total distributions................. (0.0197) (0.0239) (0.0100) (0.0119) (0.0209) (0.0511)
-------- -------- -------- -------- -------- --------
Net asset value, end of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return........................ 1.98% 2.41% 1.00% 1.21% 2.11% 5.23%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) .................... $116,008 $ 87,304 $141,372 $198,373 $244,212 $201,632
Ratios of expenses to average
net assets(a) ...................... 0.20% 0.20% 0.20% 0.30% 0.49% 0.49%
Ratios of net investment income
to average net assets .............. 3.98% 2.39% 0.98% 1.14% 2.10% 5.23%
(a) Without the waiver of advisory fees and reimbursement of certain operating
expenses, the ratios of expenses to average net assets for the Sansom Street
Class of the Money Market Portfolio would have been 0.65% for the six months
ended February 28, 2006 and 0.67%, 0.59%, 0.57%, 0.64% and 0.61% for the
years ended August 31, 2005, 2004, 2003, 2002 and 2001, respectively.
See Accompanying Notes to Financial Statements.
8
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988, and is registered under the
Investment Company Act of 1940, as amended, (the "1940 Act") as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the 1940 Act, and for other purposes, and a
shareholder of one portfolio is not deemed to be a shareholder of any other
portfolio. Currently, RBB has seventeen active investment portfolios, including
the Money Market Portfolio ("Portfolio"), which comprise the RBB family of
funds.
RBB has authorized capital of thirty billion shares of common stock of
which 26.473 billion shares are currently classified into one hundred and three
classes of Common Stock. The Portfolio has issued shares with a par value of
$0.001. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
A) SECURITY VALUATION -- Securities held in the Portfolio are
valued under the amortized cost method, which approximates current market
value. Under this method, securities are valued at cost when purchased and
thereafter assumes constant accretion of discount or amortization of
premium is recorded until maturity of the security. Regular review and
monitoring of the valuation is performed to ensure that cost continues to
approximate market value and to avoid dilution or other unfair results to
shareholders. The Portfolio seeks to maintain net asset value per share at
$1.00.
B) SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES --
Security transactions are accounted for on the trade date. The cost of
investments sold is determined by use of the specific identification method
for both financial reporting and income tax purposes. Interest income is
accrued when earned. Certain expenses, such as distribution, transfer
agency and printing, are class specific expenses and vary by class.
Expenses not directly attributable to a specific portfolio or class are
allocated based on relative net assets of each portfolio and class,
respectively. Expenses incurred on behalf of a specific class, fund or fund
family are charged directly to the class, fund or fund family (in
proportion to net assets). Expenses incurred for all portfolios within the
RBB family of funds (such as director or professional fees) are charged to
all portfolios in proportion to their average net assets.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from
net investment income are declared daily, recorded on the ex-date and paid
monthly. All distributions from net investment income are taxed as ordinary
income. Any net realized capital gains are distributed at least annually.
Income subject to distributions and capital gain subject to distributions
are determined in accordance with income tax regulations, which may differ
from accounting principles generally accepted in the United States of
America.
D) FEDERAL INCOME TAXES -- No provision is made for federal income
taxes. It is the Company's intention to have each portfolio continue to
qualify for and elect the tax treatment applicable to regulated investment
companies under the Internal Revenue Code and make the requisite
distributions to its shareholders which will be sufficient to relieve it
from Federal income and excise taxes.
9
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E) REPURCHASE AGREEMENTS -- Money market instruments may be
purchased subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to
maintain the value of the securities subject to the agreement at not less
than the repurchase price plus accrued interest. If the value of the
underlying securities falls below 102% of the value of the repurchase price
plus accrued interest, the Portfolio will require the seller to deposit
additional collateral by the next Portfolio business day. In the event that
the seller under the agreement defaults on its repurchase obligation or
fails to deposit sufficient collateral, the Portfolio has the contractual
right, subject to the requirements of applicable bankruptcy and insolvency
laws, to sell the underlying securities and may claim any resulting loss
from the seller. The agreements are conditioned upon the collateral being
deposited under the Federal Reserve Book Entry System or with the
Portfolio's custodian or a third party sub-custodian.
F) USE OF ESTIMATES -- The preparation of financial statements in
conformity with accounting principles generally accepted in the United
States of America requires management to make estimates and assumptions.
These estimates and assumptions affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
G) OTHER -- In the normal course of business, the Fund may enter
into contracts that provide general indemnifications. The Fund's maximum
exposure under these arrangements is dependent on claims that may be made
against the Fund in the future, and, therefore, cannot be estimated;
however, based on experience, the risk of material loss for such claims is
considered remote.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Pursuant to Investment Advisory Agreements, BlackRock Institutional
Management Corp. (the "Adviser" or "BIMC"), an indirect majority-owned
subsidiary of The PNC Financial Services Group, Inc., serves as investment
adviser and as administrator for the Portfolio. BIMC and PFPC Inc. ("PFPC") have
entered into a delegation agreement on behalf of the Portfolio, wherein PFPC has
agreed to perform administration and accounting services for an annual fee of
0.10% of the average net assets of the Portfolio, paid out of the fee paid to
BIMC.
For its advisory services, BIMC is entitled to receive the following fees,
computed daily and payable monthly, and based on the Portfolio's average daily
net assets:
PORTFOLIO ANNUAL RATE
----------------------- ----------------------------------------------
Money Market Portfolio 0.45% of first $250 million of net assets;
0.40% of next $250 million of net assets; and
0.35% of net assets in excess of $500 million.
10
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
BIMC may, at its discretion, voluntarily waive all or any portion of its
advisory fee for the Portfolio. For each class of shares within the Portfolio,
the net advisory fee charged to each class is the same on a relative basis. For
the six months ended February 28, 2006, advisory fees and waivers for the
investment portfolio were as follows:
GROSS NET
ADVISORY ADVISORY
FEE WAIVER FEE
-------- ------- --------------
Money Market Portfolio $535,243 $(460,547) $74,696
As of February 28, 2006, the Portfolio owed BIMC $11,485 in advisory fees.
The investment adviser/administrator may voluntarily waive and/or reimburse
a portion of its management fees. The portfolio service provider may also
voluntarily waive a portion of their fees and/or reimburse expenses.
The Funds will not pay BIMC at a later time for any amounts it may waive or
any amounts that BIMC has assumed.
For providing regulatory administration services to RBB, PFPC is entitled
to receive compensation as agreed to by the Company and PFPC. This fee is
allocated to each portfolio in proportion to their net assets of the RBB funds.
The Portfolio's portion of this fee for the six months ended February 28, 2006
was $15,434.
PFPC serves as the transfer and dividend disbursing agent for each class.
Both PFPC Trust Co. and PFPC are wholly-owned subsidiaries of PFPC Worldwide
Inc., an indirect wholly-owned subsidiary of The PNC Financial Services Group,
Inc.
PFPC may, at its discretion, voluntarily waive all or any portion of its
transfer agency fee for any class of shares. For the six months ended February
28, 2006, transfer agency fees for each class of shares within the investment
portfolio were as follows:
TRANSFER AGENCY BASIS
FEE POINTS
--------------- ------
Money Market Portfolio
Bedford Class $ 1,360 0.23
Sansom Street Class 18,200 3.05
-------
Total Money Market Portfolio $19,560
=======
11
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
PFPC Trust Co. provides certain custodial services to the Portfolio. As
compensation for such custodial services, PFPC Trust Co. is entitled to receive
the following fees, computed daily and payable monthly, and based on the
Portfolio's average gross assets:
PORTFOLIO ANNUAL RATE
------------------------------ --------------------------------------------------
Money Market Portfolio 0.025% of first $50 million of gross assets;
0.020% of next $50 million of gross assets;
0.015% of gross assets in excess of $100 million.
The Fund, on behalf of each class of shares within the investment
portfolio, has adopted Distribution Plans pursuant to Rule 12b-1 under the 1940
Act (the "Plans"). The Fund has entered into a Distribution Contract with PFPC
Distributors, Inc. ("PFPC Distributors"). PFPC Distributors is a wholly-owned
subsidiary of PFPC Worldwide Inc. and an indirect wholly-owned subsidiary of The
PNC Financial Services Group, Inc.
The Plans provide for each class to make monthly payments, based on average
net assets, to PFPC Distributors of up to 0.65% on an annualized basis for the
Bedford Class and up to 0.05% on an annualized basis for the Sansom Street
Class. For the six months ended February 28, 2006, distribution fees paid to
PFPC Distributors for each class were as follows:
GROSS NET
DISTRIBUTION DISTRIBUTION
FEE WAIVER FEE
------------ ------------- ------------
Money Market Portfolio
Bedford Class $389,519 -- $389,519
Sansom Street Class 29,833 $(29,833) --
-------- -------- --------
Total Money Market Portfolio $419,352 $(29,833) $389,519
======== ======== ========
The Fund has entered into service agreements with banks affiliated with PNC
who render support services to customers who are the beneficial owners of the
Sansom Street Class in consideration of the payment of 0.10% of the daily net
asset value of such shares. For the six months ended February 28, 2006, service
organization fees were $1,214 for the Money Market Portfolio.
As of February 28, 2006, the Portfolio owed PFPC and its affiliates $76,042
for their services.
12
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 3. CAPITAL SHARES
Transactions in capital shares (at $1 per capital share) for each year were
as follows:
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
---------------- ----------------
(UNAUDITED)
VALUE VALUE
---------------- ----------------
Shares sold:
Bedford Class $ 254,588,873 $ 442,206,980
Sansom Street Class 974,708,066 1,616,798,271
--------------- ---------------
Total Shares Sold 1,229,296,939 2,059,005,251
Shares issued on reinvestment of dividends:
Bedford Class 1,954,376 1,524,066
Sansom Street Class 75,846 135,455
--------------- ---------------
Total Shares Reinvested 2,030,222 1,659,521
Shares repurchased:
Bedford Class (227,609,237) (406,236,164)
Sansom Street Class (946,080,236) (1,671,000,372)
--------------- ---------------
Total Shares Repurchased (1,173,689,473) (2,077,236,536)
--------------- ---------------
Net Increase/(Decrease) $ 57,637,688 $ (16,571,764)
=============== ===============
Bedford Shares authorized 1,500,000,000 1,500,000,000
=============== ===============
Sansom Street Shares authorized 1,500,000,000 1,500,000,000
=============== ===============
NOTE 4. NET ASSETS
At February 28, 2006, net assets consisted of the following:
MONEY MARKET
PORTFOLIO
------------
Paid-in capital $254,440,530
Accumulated net realized loss on investments (4,133)
------------
Total net assets $254,436,397
============
13
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 5. FEDERAL INCOME TAX INFORMATION
The Fund intends to continue to qualify as a regulated investment company
and distribute all of its taxable income. Therefore, no Federal tax provision is
required.
For Federal income tax purposes, realized capital losses may be carried
forward and applied against future realized gains. At August 31, 2005, the Fund
had capital loss carryforwards of $3,587 available to offset future realized
capital gains which expire August 31, 2013.
14
ADDITIONAL INFORMATION
(UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Fund uses to determine how to vote proxies
relating to portfolio securities as well as information regarding how the Fund
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30 are available without charge on the Securities and Exchange
Commission's ("SEC") website at http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Company files its complete schedule of portfolio holdings with the SEC
for the first and third fiscal quarter of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the
SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
15
INVESTMENT ADVISER
BlackRock Institutional Management Corporation
100 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02866
DISTRIBUTOR
PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
1700 Market Street
Philadelphia, PA 19103-3984
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103-6996
ShareBuilder
Bedford Shares
of The RBB Money Market Portfolio
- --------------------------------------------------------------------------------
Managed by BlackRock Institutional Management Corporation
[GRAPHIC OMITTED]
shareBUILDER(R)
SEMI-ANNUAL REPORT
February 28, 2006
(Unaudited)
www.sharebuilder.com
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, distribution fees, and
other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees that may be incurred by shareholders of other Funds.
Therefore, the second line of the accompanying tables is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds.
MONEY MARKET PORTFOLIO - BEDFORD CLASS
---------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,016.50 $4.31
Hypothetical (5% return before expenses) 1,000.00 1,020.48 4.32
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS
---------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,019.80 $1.00
Hypothetical (5% return before expenses) 1,000.00 1,023.80 1.00
<FN>
* Expenses are equal to the Fund's annualized expense ratio of 0.86% for the Bedford Class shares and
0.20% for the Sansom Street Class shares, which includes waived fees or reimbursed expenses,
multiplied by the average account value over the period, multiplied by the number of days (181) in
the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The
Fund's ending account value on the first line in each table is based on the actual total return for
each class of 1.65% for the Bedford Class shares and 1.98% for the Sansom Street Class shares.
</FN>
1
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
PORTFOLIO HOLDINGS SUMMARY TABLE
(UNAUDITED)
SECURITY % OF NET
TYPE ASSETS VALUE
-------- --------- -----------
Short Term Investments:
Commercial Paper................................. 65.2% $166,039,056
Certificates of Deposit.......................... 13.9% 35,450,156
Variable Rate Obligations........................ 13.0% 33,000,000
Repurchase Agreements............................ 3.8% 9,800,000
Master Notes..................................... 2.4% 6,000,000
Medium Term Notes................................ 0.8% 1,991,466
Municipal Bonds.................................. 0.8% 1,945,000
Assets In Excess of Other Liabilities............... 0.1% 210,719
----- ------------
NET ASSETS -- 100.0%................................ 100.0% $254,436,397
===== ============
2
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
CERTIFICATES OF DEPOSIT--13.9%
DOMESTIC CERTIFICATES OF DEPOSIT--6.5%
Washington Mutual Bank FA
4.460%, 03/28/06 ......................... $13,000 $ 13,000,000
Wells Fargo Bank, N.A
4.865%, 01/31/07 ......................... 3,500 3,500,156
------------
16,500,156
------------
YANKEE DOLLAR CERTIFICATES OF DEPOSIT*--7.4%
Banque Nationale de Paris(a)
4.505%, 10/19/06 ......................... 1,900 1,900,000
Credit Suisse New York(a)
4.540%, 03/02/06 ......................... 11,600 11,600,000
Royal Bank of Scotland P.L.C.(a)
4.810%, 01/16/07 ......................... 2,950 2,950,000
Societe Generale(a)
4.780%, 12/06/06 ......................... 2,500 2,500,000
------------
18,950,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $35,450,156) ................... 35,450,156
COMMERCIAL PAPER--65.2%
ASSET BACKED SECURITIES--19.4%
Chariot Funding LLC
4.520%, 03/15/06 ......................... 12,000 11,978,906
Ciesco LLC
4.410%, 03/08/06 ......................... 2,300 2,298,028
Cullinan Finance Corp.
4.550%, 03/23/06 ......................... 1,174 1,170,736
Fairway Finance Corp.
4.410%, 03/15/06 ......................... 13,500 13,476,847
Liberty Street Funding Co.
4.520%, 03/06/06 ......................... 14,000 13,991,211
Thames Asset Global Securitization
No. 1, Inc.
4.530%, 03/14/06 ......................... 6,500 6,489,367
------------
49,405,095
------------
BANKS--25.9%
Alliance & Leicester P.L.C.
4.550%, 07/17/06 ......................... 7,815 7,678,693
Banco Santander Puerto Rico
4.520%, 03/17/06 ......................... 12,500 12,474,889
Deutsche Bank Financial, Inc.
4.465%, 03/28/06 ......................... 13,000 12,956,466
HSH Nordbank AG New York
4.520%, 03/23/06 ......................... 12,000 11,966,853
PAR
(000) VALUE
------- ------------
COMMERCIAL PAPER--(CONTINUED)
BANKS--(CONTINUED)
Norddeutsche Landesbank New York
4.510%, 03/07/06 ......................... $ 9,502 $ 9,494,858
Nordea North America, Inc.
4.380%, 03/09/06 ......................... 8,000 7,992,213
Rabobank USA Finance Corp.
4.560%, 03/01/06 ......................... 529 529,000
Societe Generale N.A
4.530%, 03/20/06 ......................... 2,800 2,793,306
------------
65,886,278
------------
FINANCE SERVICES--6.6%
CIT Group, Inc.
4.670%, 05/11/06 ......................... 12,000 11,889,477
ING (US) Funding LLC
4.510%, 03/23/06 ......................... 4,888 4,874,528
------------
16,764,005
------------
MORTGAGE BANKERS & CORRESPONDENTS--5.1%
Countrywide Financial Corp.
4.530%, 03/06/06 ......................... 13,000 12,991,821
------------
MOTOR VEHICLES & CAR BODIES--3.1%
BMW (US) Capital LLC
4.550%, 03/01/06 ......................... 8,000 8,000,000
------------
SHORT-TERM BUSINESS CREDIT INSTITUTIONS--5.1%
National Rural Utilities Cooperative
Finance Corp.
4.510%, 03/06/06 ......................... 13,000 12,991,857
------------
TOTAL COMMERCIAL PAPER
(Cost $166,039,056) .................. 166,039,056
------------
MUNICIPAL BONDS--0.8%
PENNSYLVANIA--0.8%
Franklin County, IDR (Manufacturers
& Traders LOC)
4.620%, 03/02/06 ......................... 1,945 1,945,000
------------
TOTAL MUNICIPAL BONDS
(Cost $1,945,000) .................... 1,945,000
------------
VARIABLE RATE OBLIGATIONS--13.0%
ASSET BACKED SECURITIES--2.4%
Racers Trust 2004-6-MM(b)(c)
4.570%, 03/22/06 ......................... 1,000 1,000,000
Racers-2005-17-0(b)(c)
4.790%, 05/22/06 ......................... 5,000 5,000,000
------------
6,000,000
------------
See Accompanying Notes to Financial Statements.
3
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
VARIABLE RATE OBLIGATIONS--(CONTINUED)
BANKS--3.9%
HBOS Treasury Services P.L.C.(b)
4.569%, 03/24/06 ......................... $ 8,000 $ 8,000,000
Westpac Banking Corp. New York(b)
4.490%, 03/13/06 ......................... 2,000 2,000,000
------------
10,000,000
------------
LIFE INSURANCE--2.0%
MetLife Global Funding, Inc.(b)(c)
4.675%, 03/28/06 ......................... 5,000 5,000,000
------------
SECURITY BROKERS & DEALERS--4.7%
Greenwich Capital Holdings, Inc.(b)
4.541%, 03/27/06 ......................... 10,000 10,000,000
Morgan Stanley & Co.(b)
4.643%, 03/01/06 ......................... 2,000 2,000,000
------------
12,000,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $33,000,000) ................... 33,000,000
------------
MEDIUM TERM NOTES--0.8%
Toyota Motor Credit Corp.
3.854%, 11/02/06 ......................... 2,000 1,991,466
------------
TOTAL MEDIUM TERM NOTES
(Cost $1,991,466) .................... 1,991,466
------------
MASTER NOTES--2.4%
Morgan Stanley Mortgage Capital, Inc.
4.733%, 03/01/06 ......................... 6,000 6,000,000
------------
TOTAL MASTER NOTES
(Cost $6,000,000) .................... 6,000,000
------------
REPURCHASE AGREEMENTS--3.8%
Morgan Stanley & Co.
(Tri-Party Agreement dated
2/28/06 to be repurchased at
$9,801,228 collateralized by
$10,143,000 U.S. Treasury Notes
at a rate of 3.0%, due 12/31/06,
Market Value of collateral is
$ 10,046,028)
4.510%, 03/01/06 ......................... 9,800 9,800,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $9,800,000) .................... 9,800,000
------------
VALUE
------------
TOTAL INVESTMENTS AT VALUE--99.9%
(Cost $254,225,678*) ..................... $254,225,678
------------
ASSETS IN EXCESS OF OTHER
LIABILITIES--0.1% ........................ 210,719
------------
NET ASSETS (Applicable to
138,430,755 Bedford shares
and 116,009,775 Sansom
Street shares)--100.0% ................... $254,436,397
============
NET ASSET VALUE, Offering and
Redemption Price Per Share
($254,436,397 / 254,440,530) ............. $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Bedford Share
($138,428,435 / 138,430,755) ............. $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Sansom Street Share
($116,007,962 / 116,009,775) ............. $1.00
=====
* Aggregate cost is the same for financial reporting and Federal tax purposes.
(a) Security is a foreign domiciled issuer which is registered with the
Securities and Exchange Commission.
(b) Variable Rate Obligations -- The interest rate shown is the rate as of
February 28, 2006 and the maturity date shown is the next interest rate
readjustment date or the maturity date.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional investors. As of February
28, 2006, the Portfolio held 4.3% of its net assets, with a current market
value of $11,000,000 in securities restricted as to resale.
INVESTMENT ABBREVIATIONS
IDR Industrial Development Revenue
LOC Letter of Credit
See Accompanying Notes to Financial Statements.
4
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006
(UNAUDITED)
Investment Income
Interest................................................... $4,994,344
----------
Expenses
Investment advisory and administration fees................ 535,243
Distribution and service fees.............................. 419,352
Printing and shareholder reporting fees.................... 39,631
Custodian fees............................................. 34,309
Professional fees.......................................... 25,080
Transfer agent fees........................................ 19,560
Directors' and officers' fees.............................. 18,585
Regulatory administration fees............................. 15,434
Registration and filing fees............................... 7,200
Miscellaneous.............................................. 8,352
Service organization fees.................................. 1,214
----------
Total expenses........................................ 1,123,960
Less fees waived........................................... (490,380)
----------
Net total expenses.................................... 633,580
----------
Net investment income......................................... 4,360,764
----------
Realized loss on investments.................................. (459)
----------
Net increase in net assets resulting from operations.......... $4,360,305
==========
See Accompanying Notes to Financial Statements.
5
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
Increase (decrease) in net assets:
Operations:
Net investment income............................................................ $ 4,360,764 $ 4,297,524
Net loss on investments.......................................................... (459) (1,655)
------------ ------------
Net increase in net assets resulting from operations............................. 4,360,305 4,295,869
------------ ------------
Distributions to shareholders:
Dividends to shareholders from
Net Investment Income:
Bedford shares................................................................. (1,988,098) (1,591,534)
Sansom Street shares........................................................... (2,372,666) (2,705,990)
Distributions to shareholders from
Net realized short-term gains:
Bedford shares................................................................. -- --
Sansom Street shares........................................................... -- --
------------ ------------
Total distributions to shareholders.......................................... (4,360,764) (4,297,524)
------------ ------------
Net capital share transactions (See Note 3)........................................ 57,637,688 (16,571,764)
------------ ------------
Total increase/(decrease) in net assets............................................ 57,637,229 (16,573,419)
Net Assets:
Beginning of period.............................................................. 196,799,168 213,372,587
------------ ------------
End of period.................................................................... $254,436,397 $196,799,168
============ ============
See Accompanying Notes to Financial Statements.
6
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS
-----------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net asset value, beginning of period .... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income ................. 0.0164 0.0162 0.0025 0.0046 0.0157 0.0460
Net gains on securities ............... -- -- -- 0.0005 -- --
-------- -------- -------- -------- -------- --------
Total net income from investment
operations........................ 0.0164 0.0162 0.0025 0.0051 0.0157 0.0460
-------- -------- -------- -------- -------- --------
Less distributions
Dividends (from net investment
income) ............................. (0.0164) (0.0162) (0.0025) (0.0046) (0.0157) (0.0460)
Distributions (from capital gains) .... -- -- -- (0.0005) -- --
-------- -------- -------- -------- -------- --------
Total distributions................. (0.0164) (0.0162) (0.0025) (0.0051) (0.0157) (0.0460)
-------- -------- -------- -------- -------- --------
Net asset value, end of period .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return ............................ 1.65% 1.63% 0.25% 0.53% 1.59% 4.70%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted)..................... $138,428 $109,495 $ 72,001 $ 80,406 $ 52,878 $676,964
Ratios of expenses to average
net assets(a)....................... 0.86% 0.97% 0.94% 0.98% 1.00% 1.00%
Ratios of net investment income
to average net assets............... 3.32% 1.68% 0.24% 0.46% 1.75% 4.46%
<FN>
(a) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average
net assets for the Bedford Class of the Money Market Portfolio would have been 1.22% for the six months ended February
28, 2006 and 1.23%, 1.34%, 1.30%, 1.25% and 1.19% for the years ended August 31, 2005, 2004, 2003, 2002 and 2001,
respectively.
</FN>
See Accompanying Notes to Financial Statements.
7
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS
-----------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
----------- ---------- ---------- ---------- ---------- ----------
(UNAUDITED)
Net asset value, beginning of period .... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income ................. 0.0197 0.0239 0.0100 0.0114 0.0209 0.0511
Net gains on securities ............... -- -- -- 0.0005 -- --
-------- -------- -------- -------- -------- --------
Total net income from investment
operations........................ 0.0197 0.0239 0.0100 0.0119 0.0209 0.0511
-------- -------- -------- -------- -------- --------
Less distributions
Dividends (from net investment
income) ............................. (0.0197) (0.0239) (0.0100) (0.0114) (0.0209) (0.0511)
Distributions (from capital gains) .... -- -- -- (0.0005) -- --
-------- -------- -------- -------- -------- --------
Total distributions................. (0.0197) (0.0239) (0.0100) (0.0119) (0.0209) (0.0511)
-------- -------- -------- -------- -------- --------
Net asset value, end of period........... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return ....................... 1.98% 2.41% 1.00% 1.21% 2.11% 5.23%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted)..................... $116,008 $ 87,304 $141,372 $198,373 $244,212 $201,632
Ratios of expenses to average
net assets(a)....................... 0.20% 0.20% 0.20% 0.30% 0.49% 0.49%
Ratios of net investment income to
average net assets.................. 3.98% 2.39% 0.98% 1.14% 2.10% 5.23%
<FN>
(a) Without the waiver of advisory fees and reimbursement of certain operating
expenses, the ratios of expenses to average net assets for the Sansom Street
Class of the Money Market Portfolio would have been 0.65% for the six months
ended February 28, 2006 and 0.67%, 0.59%, 0.57%, 0.64% and 0.61% for the
years ended August 31, 2005, 2004, 2003, 2002 and 2001, respectively.
</FN>
See Accompanying Notes to Financial Statements.
8
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988, and is registered under the
Investment Company Act of 1940, as amended, (the "1940 Act") as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the 1940 Act, and for other purposes, and a
shareholder of one portfolio is not deemed to be a shareholder of any other
portfolio. Currently, RBB has seventeen active investment portfolios, including
the Money Market Portfolio ("Portfolio"), which comprise the RBB family of
funds.
RBB has authorized capital of thirty billion shares of common stock of which
26.473 billion shares are currently classified into one hundred and three
classes of Common Stock. The Portfolio has issued shares with a par value of
$0.001. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
A) SECURITY VALUATION -- Securities held in the Portfolio are valued
under the amortized cost method, which approximates current market value.
Under this method, securities are valued at cost when purchased and
thereafter assumes constant accretion of discount or amortization of premium
is recorded until maturity of the security. Regular review and monitoring of
the valuation is performed to ensure that cost continues to approximate
market value and to avoid dilution or other unfair results to shareholders.
The Portfolio seeks to maintain net asset value per share at $1.00.
B) SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Security
transactions are accounted for on the trade date. The cost of investments
sold is determined by use of the specific identification method for both
financial reporting and income tax purposes. Interest income is accrued when
earned. Certain expenses, such as distribution, transfer agency and printing,
are class specific expenses and vary by class. Expenses not directly
attributable to a specific portfolio or class are allocated based on relative
net assets of each portfolio and class, respectively. Expenses incurred on
behalf of a specific class, fund or fund family are charged directly to the
class, fund or fund family (in proportion to net assets). Expenses incurred
for all portfolios within the RBB family of funds (such as director or
professional fees) are charged to all portfolios in proportion to their
average net assets.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared daily, recorded on the ex-date and paid
monthly. All distributions from net investment income are taxed as ordinary
income. Any net realized capital gains are distributed at least annually.
Income subject to distributions and capital gain subject to distributions are
determined in accordance with income tax regulations, which may differ from
accounting principles generally accepted in the United States of America.
D) FEDERAL INCOME TAXES -- No provision is made for federal income taxes.
It is the Company's intention to have each portfolio continue to qualify for
and elect the tax treatment applicable to regulated investment companies
under the Internal Revenue Code and make the requisite distributions to its
shareholders which will be sufficient to relieve it from Federal income and
excise taxes.
9
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E) REPURCHASE AGREEMENTS -- Money market instruments may be purchased
subject to the seller's agreement to repurchase them at an agreed upon date
and price. The seller will be required on a daily basis to maintain the value
of the securities subject to the agreement at not less than the repurchase
price plus accrued interest. If the value of the underlying securities falls
below 102% of the value of the repurchase price plus accrued interest, the
Portfolio will require the seller to deposit additional collateral by the
next Portfolio business day. In the event that the seller under the agreement
defaults on its repurchase obligation or fails to deposit sufficient
collateral, the Portfolio has the contractual right, subject to the
requirements of applicable bankruptcy and insolvency laws, to sell the
underlying securities and may claim any resulting loss from the seller. The
agreements are conditioned upon the collateral being deposited under the
Federal Reserve Book Entry System or with the Portfolio's custodian or a
third party sub-custodian.
F) USE OF ESTIMATES -- The preparation of financial statements in
conformity with accounting principles generally accepted in the United States
of America requires management to make estimates and assumptions. These
estimates and assumptions affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those
estimates.
G) OTHER -- In the normal course of business, the Fund may enter into
contracts that provide general indemnifications. The Fund's maximum exposure
under these arrangements is dependent on claims that may be made against the
Fund in the future, and, therefore, cannot be estimated; however, based on
experience, the risk of material loss for such claims is considered remote.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Pursuant to Investment Advisory Agreements, BlackRock Institutional
Management Corp. (the "Adviser" or "BIMC"), an indirect majority-owned
subsidiary of The PNC Financial Services Group, Inc., serves as investment
adviser and as administrator for the Portfolio. BIMC and PFPC Inc. ("PFPC") have
entered into a delegation agreement on behalf of the Portfolio, wherein PFPC has
agreed to perform administration and accounting services for an annual fee of
0.10% of the average net assets of the Portfolio, paid out of the fee paid to
BIMC.
For its advisory services, BIMC is entitled to receive the following fees,
computed daily and payable monthly, and based on the Portfolio's average daily
net assets:
PORTFOLIO ANNUAL RATE
---------------------- ---------------------------------------------
Money Market Portfolio 0.45% of first $250 million of net assets;
0.40% of next $250 million of net assets; and
0.35% of net assets in excess of $500 million.
10
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
BIMC may, at its discretion, voluntarily waive all or any portion of its
advisory fee for the Portfolio. For each class of shares within the Portfolio,
the net advisory fee charged to each class is the same on a relative basis. For
the six months ended February 28, 2006, advisory fees and waivers for the
investment portfolio were as follows:
GROSS NET
ADVISORY ADVISORY
FEE WAIVER FEE
-------- ---------- -------
Money Market Portfolio $535,243 $(460,547) $74,696
As of February 28, 2006, the Portfolio owed BIMC $11,485 in advisory fees.
The investment adviser/administrator may voluntarily waive and/or reimburse a
portion of its management fees. The portfolio service provider may also
voluntarily waive a portion of their fees and/or reimburse expenses.
The Funds will not pay BIMC at a later time for any amounts it may waive or
any amounts that BIMC has assumed.
For providing regulatory administration services to RBB, PFPC is entitled to
receive compensation as agreed to by the Company and PFPC. This fee is allocated
to each portfolio in proportion to their net assets of the RBB funds. The
Portfolio's portion of this fee for the six months ended February 28, 2006 was
$15,434.
PFPC serves as the transfer and dividend disbursing agent for each class.
Both PFPC Trust Co. and PFPC are wholly-owned subsidiaries of PFPC Worldwide
Inc., an indirect wholly-owned subsidiary of The PNC Financial Services Group,
Inc.
PFPC may, at its discretion, voluntarily waive all or any portion of its
transfer agency fee for any class of shares. For the six months ended February
28, 2006, transfer agency fees for each class of shares within the investment
portfolio were as follows:
TRANSFER AGENCY BASIS
FEE POINTS
--------------- ------
Money Market Portfolio
Bedford Class $ 1,360 0.23
Sansom Street Class 18,200 3.05
-------
Total Money Market Portfolio $19,560
=======
11
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
PFPC Trust Co. provides certain custodial services to the Portfolio. As
compensation for such custodial services, PFPC Trust Co. is entitled to receive
the following fees, computed daily and payable monthly, and based on the
Portfolio's average gross assets:
PORTFOLIO ANNUAL RATE
----------------------- --------------------------------------------------
Money Market Portfolio 0.025% of first $50 million of gross assets;
0.020% of next $50 million of gross assets;
0.015% of gross assets in excess of $100 million.
The Fund, on behalf of each class of shares within the investment portfolio,
has adopted Distribution Plans pursuant to Rule 12b-1 under the 1940 Act (the
"Plans"). The Fund has entered into a Distribution Contract with PFPC
Distributors, Inc. ("PFPC Distributors"). PFPC Distributors is a wholly-owned
subsidiary of PFPC Worldwide Inc. and an indirect wholly-owned subsidiary of The
PNC Financial Services Group, Inc.
The Plans provide for each class to make monthly payments, based on average
net assets, to PFPC Distributors of up to 0.65% on an annualized basis for the
Bedford Class and up to 0.05% on an annualized basis for the Sansom Street
Class. For the six months ended February 28, 2006, distribution fees paid to
PFPC Distributors for each class were as follows:
GROSS NET
DISTRIBUTION DISTRIBUTION
FEE WAIVER FEE
------------ -------- ------------
Money Market Portfolio
Bedford Class $389,519 -- $389,519
Sansom Street Class 29,833 $(29,833) --
-------- -------- --------
Total Money Market Portfolio $419,352 $(29,833) $389,519
======== ======== ========
The Fund has entered into service agreements with banks affiliated with PNC
who render support services to customers who are the beneficial owners of the
Sansom Street Class in consideration of the payment of 0.10% of the daily net
asset value of such shares. For the six months ended February 28, 2006, service
organization fees were $1,214 for the Money Market Portfolio.
As of February 28, 2006, the Portfolio owed PFPC and its affiliates $76,042
for their services.
12
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 3. CAPITAL SHARES
Transactions in capital shares (at $1 per capital share) for each year were
as follows:
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
VALUE VALUE
----------------- ---------------
Shares sold:
Bedford Class $ 254,588,873 $ 442,206,980
Sansom Street Class 974,708,066 1,616,798,271
--------------- --------------
Total Shares Sold 1,229,296,939 2,059,005,251
Shares issued on reinvestment of dividends:
Bedford Class 1,954,376 1,524,066
Sansom Street Class 75,846 135,455
--------------- --------------
Total Shares Reinvested 2,030,222 1,659,521
Shares repurchased:
Bedford Class (227,609,237) (406,236,164)
Sansom Street Class (946,080,236) (1,671,000,372)
--------------- --------------
Total Shares Repurchased (1,173,689,473) (2,077,236,536)
--------------- --------------
Net Increase/(Decrease) $ 57,637,688 $ (16,571,764)
=============== ==============
Bedford Shares authorized 1,500,000,000 1,500,000,000
=============== ==============
Sansom Street Shares authorized 1,500,000,000 1,500,000,000
=============== ==============
NOTE 4. NET ASSETS
At February 28, 2006, net assets consisted of the following:
MONEY MARKET
PORTFOLIO
------------
Paid-in capital $254,440,530
Accumulated net realized loss on investments (4,133)
------------
Total net assets $254,436,397
============
13
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 5. FEDERAL INCOME TAX INFORMATION
The Fund intends to continue to qualify as a regulated investment company and
distribute all of its taxable income. Therefore, no Federal tax provision is
required.
For Federal income tax purposes, realized capital losses may be carried
forward and applied against future realized gains. At August 31, 2005, the Fund
had capital loss carryforwards of $3,587 available to offset future realized
capital gains which expire August 31, 2013.
14
ADDITIONAL INFORMATION
(UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Fund uses to determine how to vote proxies
relating to portfolio securities as well as information regarding how the Fund
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30 are available without charge on the Securities and Exchange
Commission's ("SEC") website at http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Company files its complete schedule of portfolio holdings with the SEC
for the first and third fiscal quarter of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the
SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
15
[THIS PAGE INTENTIONALLY LEFT BLANK.]
- --------------------------------------------------------------------------------
CUSTOMER CARE
For questions regarding your ShareBuilder account please call 1-800-SHRBLDR
(1-800-747-2537) or visit ShareBuilder online at ShareBuilder.com. Please be
aware that ShareBuilder Customer Care Agents are not able to place a trade for
you over the phone, open your account over the phone, or provide any type of
financial advice or recommendations.
WRITTEN CORRESPONDENCE
Post Office Address: ShareBuilder - Bedford Shares of
The RBB Money Market Portfolio
c/o Sharebuilder Securities Corporation
PO Box 1728
Bellevue, WA 98009
Street Address: ShareBuilder - Bedford Shares of
The RBB Money Market Portfolio
c/o Sharebuilder Securities Corporation
1445 - 120th Avenue Northeast
Bellevue, WA 98005
- --------------------------------------------------------------------------------
INVESTMENT COMPANY ACT FILE NO. 811-05518
================================================================================
THE SANSOM
STREET
CLASS
OF
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SEMI-ANNUAL REPORT
FEBRUARY 28, 2006
(UNAUDITED)
This report is submitted for the general information of the shareholders of the
Portfolio. It is not authorized for distribution unless preceded or accompanied
by a prospectus for the Fund.
================================================================================
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, distribution fees, and
other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees that may be incurred by shareholders of other Funds.
Therefore, the second line of the accompanying tables is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds.
MONEY MARKET PORTFOLIO -- BEDFORD CLASS
----------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,016.50 $4.31
Hypothetical (5% return before expenses) 1,000.00 1,020.48 4.32
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS
----------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,019.80 $1.00
Hypothetical (5% return before expenses) 1,000.00 1,023.80 1.00
<FN>
* Expenses are equal to the Fund's annualized expense ratio of 0.86% for the Bedford Class shares and 0.20%
for the Sansom Street Class shares, which includes waived fees or reimbursed expenses, multiplied by the
average account value over the period, multiplied by the number of days (181) in the most recent fiscal
half-year, then divided by 365 to reflect the one-half year period. The Fund's ending account value on the
first line in each table is based on the actual total return for each class of 1.65% for the Bedford Class
shares and 1.98% for the Sansom Street Class shares.
</FN>
1
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
PORTFOLIO HOLDINGS SUMMARY TABLE
(UNAUDITED)
SECURITY % OF NET
TYPE ASSETS VALUE
-------- -------- ------------
Short Term Investments:
Commercial Paper ............................... 65.2% $166,039,056
Certificates of Deposit ........................ 13.9% 35,450,156
Variable Rate Obligations ...................... 13.0% 33,000,000
Repurchase Agreements .......................... 3.8% 9,800,000
Master Notes ................................... 2.4% 6,000,000
Medium Term Notes .............................. 0.8% 1,991,466
Municipal Bonds ................................ 0.8% 1,945,000
Assets In Excess of Other Liabilities ............ 0.1% 210,719
----- ------------
NET ASSETS -- 100.0% ............................. 100.0% $254,436,397
===== ============
2
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
CERTIFICATES OF DEPOSIT--13.9%
DOMESTIC CERTIFICATES OF DEPOSIT--6.5%
Washington Mutual Bank FA
4.460%, 03/28/06 ...................... $13,000 $ 13,000,000
Wells Fargo Bank, N.A. 4.865%, 01/31/07 .. 3,500 3,500,156
------------
16,500,156
------------
YANKEE DOLLAR CERTIFICATES OF DEPOSIT*--7 4%
Banque Nationale de Paris(a)
4.505%, 10/19/06 ...................... 1,900 1,900,000
Credit Suisse New York(a)
4.540%, 03/02/06 ...................... 11,600 11,600,000
Royal Bank of Scotland P.L.C.(a)
4.810%, 01/16/07 ...................... 2,950 2,950,000
Societe Generale(a)
4.780%, 12/06/06 ...................... 2,500 2,500,000
------------
18,950,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $35,450,156) ................ 35,450,156
------------
COMMERCIAL PAPER--65.2%
ASSET BACKED SECURITIES--19.4%
Chariot Funding LLC
4.520%, 03/15/06 ...................... 12,000 11,978,906
Ciesco LLC
4.410%, 03/08/06 ...................... 2,300 2,298,028
Cullinan Finance Corp.
4.550%, 03/23/06 ...................... 1,174 1,170,736
Fairway Finance Corp.
4.410%, 03/15/06 ...................... 13,500 13,476,847
Liberty Street Funding Co.
4.520%, 03/06/06 ...................... 14,000 13,991,211
Thames Asset Global Securitization
No. 1, Inc. ...........................
4.530%, 03/14/06 ...................... 6,500 6,489,367
------------
49,405,095
------------
BANKS--25.9%
Alliance & Leicester P.L.C ...............
4.550%, 07/17/06 ...................... 7,815 7,678,693
Banco Santander Puerto Rico
4.520%, 03/17/06 ...................... 12,500 12,474,889
Deutsche Bank Financial, Inc.
4.465%, 03/28/06 ...................... 13,000 12,956,466
HSH Nordbank AG New York
4.520%, 03/23/06 ...................... 12,000 11,966,853
PAR
(000) VALUE
------- ------------
COMMERCIAL PAPER--(Continued)
BANKS--(CONTINUED)
Norddeutsche Landesbank New York
4.510%, 03/07/06 ...................... $ 9,502 $ 9,494,858
Nordea North America, Inc.
4.380%, 03/09/06 ...................... 8,000 7,992,213
Rabobank USA Finance Corp.
4.560%, 03/01/06 ...................... 529 529,000
Societe Generale N.A
4.530%, 03/20/06 ...................... 2,800 2,793,306
------------
65,886,278
------------
FINANCE SERVICES--6.6%
CIT Group, Inc.
4.670%, 05/11/06 ...................... 12,000 11,889,477
ING (US) Funding LLC
4.510%, 03/23/06 ...................... 4,888 4,874,528
------------
16,764,005
------------
MORTGAGE BANKERS & CORRESPONDENTS--5.1%
Countrywide Financial Corp.
4.530%, 03/06/06 ...................... 13,000 12,991,821
------------
MOTOR VEHICLES & CAR BODIES--3.1%
BMW (US) Capital LLC
4.550%, 03/01/06 ...................... 8,000 8,000,000
------------
SHORT-TERM BUSINESS CREDIT INSTITUTIONS--5.1%
National Rural Utilities Cooperative
Finance Corp.
4.510%, 03/06/06 ...................... 13,000 12,991,857
------------
TOTAL COMMERCIAL PAPER
(Cost $166,039,056) ............... 166,039,056
------------
MUNICIPAL BONDS--0.8%
PENNSYLVANIA--0.8%
Franklin County, IDR (Manufacturers
& Traders LOC)
4.620%, ............................... 1,94506 1,945,000
------------
TOTAL MUNICIPAL BONDS
(Cost $1,945,000) ................. 1,945,000
------------
VARIABLE RATE OBLIGATIONS--13.0%
ASSET BACKED SECURITIES--2.4%
Racers Trust 2004-6-MM(b)(c)
4.570%, 03/22/06 ...................... 1,000 1,000,000
Racers-2005-17-0(b)(c)
4.790%, 05/22/06 ...................... 5,000 5,000,000
------------
6,000,000
------------
See Accompanying Notes to Financial Statements.
3
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF NET ASSETS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
PAR
(000) VALUE
------- ------------
VARIABLE RATE OBLIGATIONS--(CONTINUED)
BANKS--3.9%
HBOS Treasury Services P.L.C.(b)
4.569%, 03/24/06 ...................... $ 8,000 $ 8,000,000
Westpac Banking Corp. New York(b)
4.490%, 03/13/06 ...................... 2,000 2,000,000
------------
10,000,000
------------
LIFE INSURANCE--2.0%
MetLife Global Funding, Inc.(b)(c)
4.675%, 03/28/06 ...................... 5,000 5,000,000
------------
SECURITY BROKERS & DEALERS--4.7%
Greenwich Capital Holdings, Inc.(b)
4.541%, 03/27/06 ...................... 10,000 10,000,000
Morgan Stanley & Co.(b)
4.643%, 03/01/06 ...................... 2,000 2,000,000
------------
12,000,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $33,000,000) ................ 33,000,000
------------
MEDIUM TERM NOTES--0.8%
Toyota Motor Credit Corp.
3.854%, 11/02/06 ...................... 2,000 1,991,466
------------
TOTAL MEDIUM TERM NOTES
(Cost $1,991,466) ................. 1,991,466
------------
MASTER NOTES--2.4%
Morgan Stanley Mortgage Capital, Inc.
4.733%, 03/01/06 ...................... 6,000 6,000,000
------------
TOTAL MASTER NOTES
(Cost $6,000,000) ................. 6,000,000
------------
REPURCHASE AGREEMENTS--3.8%
Morgan Stanley & Co.
(Tri-Party Agreement dated
2/28/06 to be repurchased at
$9,801,228 collateralized by
$10,143,000 U.S. Treasury Notes
at a rate of 3.0%, due 12/31/06,
Market Value of collateral is
$10,046,028)
4.510%, 03/01/06 ....................... 9,800 9,800,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $9,800,000) ................. 9,800,000
------------
VALUE
------------
TOTAL INVESTMENTS AT VALUE--99.9%
(Cost $254,225,678*) .................. $254,225,678
------------
ASSETS IN EXCESS OF OTHER LIABILITIES--0.1% 210,719
------------
NET ASSETS (Applicable to
138,430,755 Bedford shares
and 116,009,775 Sansom
Street shares)--100.0% ................ $254,436,397
============
NET ASSET VALUE, Offering and
Redemption Price Per Share
($254,436,397 / 254,440,530) .......... $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Bedford Share
($138,428,435 / 138,430,755) .......... $1.00
=====
NET ASSET VALUE, Offering and
Redemption Price Per Sansom Street Share
($116,007,962 / 116,009,775) .......... $1.00
=====
* Aggregate cost is the same for financial reporting and Federal tax purposes.
(a) Security is a foreign domiciled issuer which is registered with the
Securities and Exchange Commission.
(b) Variable Rate Obligations -- The interest rate shown is the rate as of
February 28, 2006 and the maturity date shown is the next interest rate
readjustment date or the maturity date.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional investors. As of February
28, 2006, the Portfolio held 4.3% of its net assets, with a current market
value of $11,000,000 in securities restricted as to resale.
INVESTMENT ABBREVIATIONS
IDR Industrial Development Revenue
LOC Letter of Credit
See Accompanying Notes to Financial Statements.
4
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006
(UNAUDITED)
Investment Income
Interest ................................................. $4,994,344
----------
Expenses
Investment advisory and administration fees .............. 535,243
Distribution and service fees ............................ 419,352
Printing and shareholder reporting fees .................. 39,631
Custodian fees ........................................... 34,309
Professional fees ........................................ 25,080
Transfer agent fees ...................................... 19,560
Directors' and officers' fees ............................ 18,585
Regulatory administration fees ........................... 15,434
Registration and filing fees ............................. 7,200
Miscellaneous ............................................ 8,352
Service organization fees ................................ 1,214
----------
Total expenses ...................................... 1,123,960
Less fees waived ......................................... (490,380)
----------
Net total expenses .................................. 633,580
----------
Net investment income ....................................... 4,360,764
----------
Realized loss on investments ................................ (459)
----------
Net increase in net assets resulting from operations ........ $4,360,305
==========
See Accompanying Notes to Financial Statements.
5
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ----------------
(UNAUDITED)
Increase (decrease) in net assets:
Operations:
Net investment income ......................................... $ 4,360,764 $ 4,297,524
Net loss on investments ....................................... (459) (1,655)
------------- -------------
Net increase in net assets resulting from operations .......... 4,360,305 4,295,869
------------- -------------
Distributions to shareholders:
Dividends to shareholders from
Net Investment Income:
Bedford shares .............................................. (1,988,098) (1,591,534)
Sansom Street shares ........................................ (2,372,666) (2,705,990)
Distributions to shareholders from
Net realized short-term gains:
Bedford shares .............................................. -- --
Sansom Street shares ........................................ -- --
------------- -------------
Total distributions to shareholders ....................... (4,360,764) (4,297,524)
------------- -------------
Net capital share transactions (See Note 3) ..................... 57,637,688 (16,571,764)
------------- -------------
Total increase/(decrease) in net assets ......................... 57,637,229 (16,573,419)
Net Assets:
Beginning of period ........................................... 196,799,168 213,372,587
------------- -------------
End of period ................................................. $ 254,436,397 $ 196,799,168
============= =============
See Accompanying Notes to Financial Statements.
6
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS
----------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
------------- ---------- ---------- ---------- ----------- -----------
(UNAUDITED)
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- --------- -------- --------- --------
Income from investment operations:
Net investment income ............ 0.0164 0.0162 0.0025 0.0046 0.0157 0.0460
Net gains on securities .......... -- -- -- 0.0005 -- --
-------- -------- --------- -------- --------- --------
Total net income from investment
operations ................... 0.0164 0.0162 0.0025 0.0051 0.0157 0.0460
-------- -------- --------- -------- --------- --------
Less distributions
Dividends (from net investment
income) ........................ (0.0164) (0.0162) (0.0025) (0.0046) (0.0157) (0.0460)
Distributions (from capital gains) -- -- -- -- (0.0005) --
-------- -------- --------- -------- --------- --------
Total distributions ............ (0.0164) (0.0162) (0.0025) (0.0051) (0.0157) (0.0460)
-------- -------- --------- -------- --------- --------
Net asset value, end of period ...... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ========= ======== ========= ========
Total Return ........................ 1.65% 1.63% 0.25% 0.53% 1.59% 4.70%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) ................ $138,428 $109,495 $ 72,001 $ 80,406 $ 52,878 $676,964
Ratios of expenses to average
net assets(a) .................. 0.86% 0.97% 0.94% 0.98% 1.00% 1.00%
Ratios of net investment income
to average net assets .......... 3.32% 1.68% 0.24% 0.46% 1.75 4.46%
<FN>
(a) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average net
assets for the Bedford Class of the Money Market Portfolio would have been 1.22% for the six months ended February 28,
2006 and 1.23%, 1.34%, 1.30%, 1.25% and 1.19% for the years ended August 31, 2005, 2004, 2003, 2002 and 2001,
respectively.
</FN>
See Accompanying Notes to Financial Statements.
7
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS
----------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
FEBRUARY 28, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
2006 2005 2004 2003 2002 2001
------------- ---------- ---------- ---------- ----------- -----------
(UNAUDITED)
Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income............. 0.0197 0.0239 0.0100 0.0114 0.0209 0.0511
Net gains on securities........... -- -- -- 0.0005 -- --
-------- -------- -------- -------- -------- --------
Total net income from investment
operations ................... 0.0197 0.0239 0.0100 0.0119 0.0209 0.0511
-------- -------- -------- -------- -------- --------
Less distributions
Dividends (from net investment
income) ..................... (0.0197) (0.0239) (0.0100) (0.0114) (0.0209) (0.0511)
Distributions (from capital gains) -- -- -- (0.0005) -- --
-------- -------- -------- -------- -------- --------
Total distributions............. (0.0197) (0.0239) (0.0100) (0.0119) (0.0209) (0.0511)
-------- -------- -------- -------- -------- --------
Net asset value, end of period....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return.................... 1.98% 2.41% 1.00% 1.21% 2.11% 5.23%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) $116,008 $ 87,304 $141,372 $198,373 $244,212 $201,632
Ratios of expenses to average
net assets(a) 0.20% 0.20% 0.20% 0.30% 0.49% 0.49%
Ratios of net investment income to
average net assets 3.98% 2.39% 0.98% 1.14% 2.10% 5.23%
<FN>
(a) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average net
assets for the Sansom Street Class of the Money Market Portfolio would have been 0.65% for the six months ended February
28, 2006 and 0.67%, 0.59%, 0.57%, 0.64% and 0.61% for the years ended August 31, 2005, 2004, 2003, 2002 and 2001,
respectively.
</FN>
See Accompanying Notes to Financial Statements.
8
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988, and is registered under the
Investment Company Act of 1940, as amended, (the "1940 Act") as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the 1940 Act, and for other purposes, and a
shareholder of one portfolio is not deemed to be a shareholder of any other
portfolio. Currently, RBB has seventeen active investment portfolios, including
the Money Market Portfolio ("Portfolio"), which comprise the RBB family of
funds.
RBB has authorized capital of thirty billion shares of common stock of
which 26.473 billion shares are currently classified into one hundred and three
classes of Common Stock. The Portfolio has issued shares with a par value of
$0.001. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
A) SECURITY VALUATION -- Securities held in the Portfolio are valued
under the amortized cost method, which approximates current market value.
Under this method, securities are valued at cost when purchased and
thereafter assumes constant accretion of discount or amortization of
premium is recorded until maturity of the security. Regular review and
monitoring of the valuation is performed to ensure that cost continues to
approximate market value and to avoid dilution or other unfair results to
shareholders. The Portfolio seeks to maintain net asset value per share at
$1.00.
B) SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES --
Security transactions are accounted for on the trade date. The cost of
investments sold is determined by use of the specific identification
method for both financial reporting and income tax purposes. Interest
income is accrued when earned. Certain expenses, such as distribution,
transfer agency and printing, are class specific expenses and vary by
class. Expenses not directly attributable to a specific portfolio or class
are allocated based on relative net assets of each portfolio and class,
respectively. Expenses incurred on behalf of a specific class, fund or
fund family are charged directly to the class, fund or fund family (in
proportion to net assets). Expenses incurred for all portfolios within the
RBB family of funds (such as director or professional fees) are charged to
all portfolios in proportion to their average net assets.
C) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared daily, recorded on the ex-date and paid
monthly. All distributions from net investment income are taxed as
ordinary income. Any net realized capital gains are distributed at least
annually. Income subject to distributions and capital gain subject to
distributions are determined in accordance with income tax regulations,
which may differ from accounting principles generally accepted in the
United States of America.
D) FEDERAL INCOME TAXES -- No provision is made for federal income
taxes. It is the Company's intention to have each portfolio continue to
qualify for and elect the tax treatment applicable to regulated investment
companies under the Internal Revenue Code and make the requisite
distributions to its shareholders which will be sufficient to relieve it
from Federal income and excise taxes.
9
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
E) REPURCHASE AGREEMENTS -- Money market instruments may be
purchased subject to the seller's agreement to repurchase them at an
agreed upon date and price. The seller will be required on a daily basis
to maintain the value of the securities subject to the agreement at not
less than the repurchase price plus accrued interest. If the value of the
underlying securities falls below 102% of the value of the repurchase
price plus accrued interest, the Portfolio will require the seller to
deposit additional collateral by the next Portfolio business day. In the
event that the seller under the agreement defaults on its repurchase
obligation or fails to deposit sufficient collateral, the Portfolio has
the contractual right, subject to the requirements of applicable
bankruptcy and insolvency laws, to sell the underlying securities and may
claim any resulting loss from the seller. The agreements are conditioned
upon the collateral being deposited under the Federal Reserve Book Entry
System or with the Portfolio's custodian or a third party sub-custodian.
F) USE OF ESTIMATES -- The preparation of financial statements in
conformity with accounting principles generally accepted in the United
States of America requires management to make estimates and assumptions.
These estimates and assumptions affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from
those estimates.
G) OTHER -- In the normal course of business, the Fund may enter
into contracts that provide general indemnifications. The Fund's maximum
exposure under these arrangements is dependent on claims that may be made
against the Fund in the future, and, therefore, cannot be estimated;
however, based on experience, the risk of material loss for such claims is
considered remote.
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Pursuant to Investment Advisory Agreements, BlackRock Institutional
Management Corp. (the "Adviser" or "BIMC"), an indirect majority-owned
subsidiary of The PNC Financial Services Group, Inc., serves as investment
adviser and as administrator for the Portfolio. BIMC and PFPC Inc.
("PFPC") have entered into a delegation agreement on behalf of the
Portfolio, wherein PFPC has agreed to perform administration and
accounting services for an annual fee of 0.10% of the average net assets
of the Portfolio, paid out of the fee paid to BIMC.
For its advisory services, BIMC is entitled to receive the following
fees, computed daily and payable monthly, and based on the Portfolio's
average daily net assets:
PORTFOLIO ANNUAL RATE
----------------------- ----------------------------------------------
Money Market Portfolio 0.45% of first $250 million of net assets;
0.40% of next $250 million of net assets; and
0.35% of net assets in excess of $500 million.
10
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
BIMC may, at its discretion, voluntarily waive all or any portion of
its advisory fee for the Portfolio. For each class of shares within the
Portfolio, the net advisory fee charged to each class is the same on a
relative basis. For the six months ended February 28, 2006, advisory fees
and waivers for the investment portfolio were as follows:
GROSS NET
ADVISORY ADVISORY
FEE WAIVER FEE
-------- ------- --------------
Money Market Portfolio $535,243 $(460,547) $74,696
As of February 28, 2006, the Portfolio owed BIMC $11,485 in advisory fees.
The investment adviser/administrator may voluntarily waive and/or
reimburse a portion of its management fees. The portfolio service provider may
also voluntarily waive a portion of their fees and/or reimburse expenses.
The Funds will not pay BIMC at a later time for any amounts it may waive
or any amounts that BIMC has assumed.
For providing regulatory administration services to RBB, PFPC is entitled
to receive compensation as agreed to by the Company and PFPC. This fee is
allocated to each portfolio in proportion to their net assets of the RBB funds.
The Portfolio's portion of this fee for the six months ended February 28, 2006
was $15,434.
PFPC serves as the transfer and dividend disbursing agent for each class.
Both PFPC Trust Co. and PFPC are wholly-owned subsidiaries of PFPC Worldwide
Inc., an indirect wholly-owned subsidiary of The PNC Financial Services Group,
Inc.
PFPC may, at its discretion, voluntarily waive all or any portion of its
transfer agency fee for any class of shares. For the six months ended February
28, 2006, transfer agency fees for each class of shares within the investment
portfolio were as follows:
TRANSFER AGENCY BASIS
FEE POINTS
--------------- ------
Money Market Portfolio
Bedford Class $ 1,360 0.23
Sansom Street Class 18,200 3.05
-------
Total Money Market Portfolio $19,560
=======
11
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES (CONTINUED)
PFPC Trust Co. provides certain custodial services to the Portfolio. As
compensation for such custodial services, PFPC Trust Co. is entitled to receive
the following fees, computed daily and payable monthly, and based on the
Portfolio's average gross assets:
PORTFOLIO ANNUAL RATE
------------------------------ --------------------------------------------------
Money Market Portfolio 0.025% of first $50 million of gross assets;
0.020% of next $50 million of gross assets;
0.015% of gross assets in excess of $100 million.
The Fund, on behalf of each class of shares within the investment
portfolio, has adopted Distribution Plans pursuant to Rule 12b-1 under the 1940
Act (the "Plans"). The Fund has entered into a Distribution Contract with PFPC
Distributors, Inc. ("PFPC Distributors"). PFPC Distributors is a wholly-owned
subsidiary of PFPC Worldwide Inc. and an indirect wholly-owned subsidiary of The
PNC Financial Services Group, Inc.
The Plans provide for each class to make monthly payments, based on
average net assets, to PFPC Distributors of up to 0.65% on an annualized basis
for the Bedford Class and up to 0.05% on an annualized basis for the Sansom
Street Class. For the six months ended February 28, 2006, distribution fees paid
to PFPC Distributors for each class were as follows:
GROSS NET
DISTRIBUTION DISTRIBUTION
FEE WAIVER FEE
------------ ------------- ------------
Money Market Portfolio
Bedford Class $389,519 -- $389,519
Sansom Street Class 29,833 $(29,833) --
-------- -------- --------
Total Money Market Portfolio $419,352 $(29,833) $389,519
======== ======== ========
The Fund has entered into service agreements with banks affiliated with
PNC who render support services to customers who are the beneficial owners of
the Sansom Street Class in consideration of the payment of 0.10% of the daily
net asset value of such shares. For the six months ended February 28, 2006,
service organization fees were $1,214 for the Money Market Portfolio.
As of February 28, 2006, the Portfolio owed PFPC and its affiliates
$76,042 for their services.
12
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 3. CAPITAL SHARES
Transactions in capital shares (at $1 per capital share) for each year
were as follows:
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
---------------- ----------------
(UNAUDITED)
VALUE VALUE
---------------- ----------------
Shares sold:
Bedford Class $ 254,588,873 $ 442,206,980
Sansom Street Class 974,708,066 1,616,798,271
--------------- ---------------
Total Shares Sold 1,229,296,939 2,059,005,251
Shares issued on reinvestment of dividends:
Bedford Class 1,954,376 1,524,066
Sansom Street Class 75,846 135,455
--------------- ---------------
Total Shares Reinvested 2,030,222 1,659,521
Shares repurchased:
Bedford Class (227,609,237) (406,236,164)
Sansom Street Class (946,080,236) (1,671,000,372)
--------------- ---------------
Total Shares Repurchased (1,173,689,473) (2,077,236,536)
--------------- ---------------
Net Increase/(Decrease) $ 57,637,688 $ (16,571,764)
=============== ===============
Bedford Shares authorized 1,500,000,000 1,500,000,000
=============== ===============
Sansom Street Shares authorized 1,500,000,000 1,500,000,000
=============== ===============
NOTE 4. NET ASSETS
At February 28, 2006, net assets consisted of the following:
MONEY MARKET
PORTFOLIO
------------
Paid-in capital $254,440,530
Accumulated net realized loss on investments (4,133)
------------
Total net assets $254,436,397
============
13
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2006
(UNAUDITED)
NOTE 5. FEDERAL INCOME TAX INFORMATION
The Fund intends to continue to qualify as a regulated investment company
and distribute all of its taxable income. Therefore, no Federal tax provision is
required.
For Federal income tax purposes, realized capital losses may be carried
forward and applied against future realized gains. At August 31, 2005, the Fund
had capital loss carryforwards of $3,587 available to offset future realized
capital gains which expire August 31, 2013.
14
ADDITIONAL INFORMATION
(UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Fund uses to determine how to vote
proxies relating to portfolio securities as well as information regarding how
the Fund voted proxies relating to portfolio securities for the most recent
12-month period ended June 30 are available without charge, upon request, by
calling the number shown below and on the Securities and Exchange Commission's
("SEC") website at http://www.sec.gov.
Sansom Street (888) 261-4073
2. QUARTERLY PORTFOLIO SCHEDULES
The Company files its complete schedule of portfolio holdings with the SEC
for the first and third fiscal quarter of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the
SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
15
INVESTMENT ADVISER
BlackRock Institutional Management Corporation
100 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02866
DISTRIBUTOR
PFPC Distributors, Inc.760
Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
1700 Market Street
Philadelphia, PA 19103-3984
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103-6996
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
N/I NUMERIC INVESTORS
Emerging Growth Fund
N/I NUMERIC INVESTORS
Growth Fund
N/I NUMERIC INVESTORS
Mid Cap Fund
N/I NUMERIC INVESTORS
Small Cap Value Fund
Semi-Annual Report
February 28, 2006
(Unaudited)
This report is submitted for the general information of the shareholders of each
Fund. It is not authorized for distribution unless preceded or accompanied by a
current prospectus for the Funds.
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
ADVISER'S REPORT
(UNAUDITED)
April 21, 2006
Dear Shareholder:
We are pleased to provide you with the 2006 semi-annual report on the
performance of the N/I NUMERIC INVESTORS FAMILY OF FUNDS (each, a "Fund" and
collectively, the "Funds") for the period September 1, 2005 through February 28,
2006, the first half of our Funds' current fiscal year.
INVESTMENT DISCUSSION
The table below compares the returns of our four Funds with the returns of their
respective benchmarks for several periods all ended on February 28, 2006.
TOTAL RETURNS
-------------
THREE YEARS FIVE YEARS AVERAGE
SIX MONTHS ONE YEAR ENDED ENDED ANNUAL
ENDED ENDED FEBRUARY 28, 2006 FEBRUARY 28, 2006 RETURN SINCE
FEBRUARY 28, 2006 FEBRUARY 28, 2006 ANNUALIZED ANNUALIZED INCEPTION*
----------------- ----------------- ----------------- ----------------- ------------
EMERGING GROWTH FUND +13.01% +19.82% +30.93% +15.35% +17.16%
Russell 2000(R) Growth Index +11.69% +17.34% +26.76% +5.53% +3.81%
DIFFERENCE +1.32% +2.48% +4.17% +9.82% +13.35%
GROWTH FUND +9.20% +14.24% +27.06% +9.87% +10.11%
Russell 2500(R) Growth Index +11.24% +17.91% +26.74% +6.43% +6.48%
DIFFERENCE (2.04)% (3.67)% +0.32% +3.44% +3.63%
MID CAP FUND +11.80% +23.23% +27.85% +10.90% +13.67%
Russell Mid Cap(R) Index +8.90% +17.67% +27.24% +10.55% +12.23%
S&P MidCap 400(R) Index** +9.35% +17.35% +25.36% +10.47% +14.10%
DIFFERENCE (RUSSELL
MID CAP(R) INDEX) +2.90% +5.56% +0.61% +0.35% +1.44%
SMALL CAP VALUE FUND +9.88% +16.25% +30.65% +21.65% +20.56%
Russell 2000(R) Value Index +8.80% +15.62% +29.16% +14.77% +13.79%
DIFFERENCE +1.08% +0.63% +1.49% +6.88% +6.77%
* Inception Dates: June 3, 1996 for all Funds except Small Cap Value Fund,
which launched on November 30, 1998.
** This is not a benchmark of the Fund. Results of index performance are
shown for general comparative purposes.
- ----------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA
CURRENT TO THE MOST RECENT MONTH-END MAY BE OBTAINED AT WWW.NUMERIC.COM. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
Unlike a mutual fund, performance of an index assumes no taxes, transaction
costs, fees, or expenses. The indices are unmanaged and are not available for
direct investment.
SMALL AND MID-SIZED COMPANY STOCKS ARE GENERALLY MORE VOLATILE AND LESS LIQUID
THAN LARGE COMPANY STOCKS.
FOREIGN SECURITIES MAY INVOLVE ADDITIONAL RISKS, SOCIAL AND POLITICAL
INSTABILITY, REDUCED MARKET LIQUIDITY AND CURRENCY VOLATILITY.
1
The N/I NUMERIC INVESTORS FAMILY OF FUNDS experienced significant positive
returns during the six-month period ended February 28, 2006, with the smallest
return being 9.2%. In three of the four funds, the significant positive absolute
return was augmented by a positive benchmark-relative return. The positive
benchmark-relative return during the period ranged from slightly more than 1%
for the Small Cap Value Fund to 2.9% for the Mid Cap Fund, with only the Growth
Fund trailing its benchmark by about 2%.
Equity markets were once again firm over the six-month period ended February 28,
2006, more than recovering from a sharp pull-back during October, with a
majority of the positive return coming during the months of November and
January. October's decline was precipitated by lack-luster third quarter
earnings relative to aggressive expectations, combined with some soft economic
data (e.g. weaker than expected measures for: a leading economic index, consumer
confidence, industrial production, and durable goods orders). In addition,
inflationary concerns also weighed on the market following a higher than
expected producer price index. Equity markets then spent the month of November
more than undoing October's decline. Most of the economic data released during
the month (including consumer confidence, durable goods orders and leading
economic indicators) re-established investor confidence that the growth
trajectory remains intact and that inflation is being kept in check. Finally,
January was the most fruitful month for equity investors during this recent
semi-annual period, as the Russell 3000(R) was up over 3.3%. Generally tame
inflation measures during the month prompted many to believe that the Federal
Reserve may be at the end of its tightening cycle. Furthermore, January was
marked by an increased appetite for risk by investors, as smaller
capitalization, higher beta, and high growth stocks all outperformed.
The Federal Reserve continued its "measured pace policy" of monetary tightening
and raised the federal funds target rate four times, in each instance by 25 bps,
over this six month period. This Fed tightening has brought the federal funds
rate from 3.5% to 4.5%. More importantly, the rate increases at the short end of
the yield curve (i.e. the portion which the Federal Reserve has direct control
over) have been met with stubbornly resilient yields at the long end (i.e. the
portion, such as the 10-year bond, which is controlled by market forces). During
our last letter at the end of August 2005, we indicated that the yield curve may
become inverted by year end. Indeed, it has become inverted, with the spread
between 2-year T-Bills and 10-year Treasuries standing down 12bps at the end of
this semi-annual period.
Inspecting the market's return in greater detail during the past six months
reveals that investors once again demonstrated a preference for smaller to
mid-sized companies over their large cap counterparts. In addition, a preference
was shown for value stocks over growth stocks in the large capitalization
domain, while the reverse was true in the mid and small cap domain. Using the
Russell style indices, small cap growth stocks were found to be the best
performing group during the period, with the Russell 2000(R) Growth index up
11.69%.
As you will recall, we construct our portfolios using a bottom-up stock
selection process that is based on our proprietary quantitative stock-selection
models. These models allow us to formulate a view on the fair price for a stock,
considering its growth and stability, and take into account analysts' estimate
revisions, and the quality of a company's earnings. In addition, while always
seeking to have strong absolute performance, we are primarily focused on the
benchmark-relative return of each Fund. For this reason, we seek to mitigate
unnecessary risks by managing portfolios that are effectively economic-sector
neutral with respect to their benchmark. Namely, we seek to maintain sector
weights that are only a few percentage points away from their respective
benchmark sector weights. Furthermore, we try to avoid large stock-specific risk
by broadly diversifying the portfolio across many stocks and by preventing any
one holding from exceeding approximately 2% of a Fund's overall weight.
2
An attribution analysis of each Fund's return over the past six months reveals
that our information-flow based models (i.e. Estrend, Quality of Earnings and
Short Interest) all added value across the Fund family. This is in sharp
contrast to our Fair Value model which suffered another period of weakness. The
alternative valuation technique based on cash flow and used for growth stocks,
did not mitigate these losses but rather also contributed. While the information
flow success was sufficient to overcome Fair Value's weakness in the Mid Cap,
Emerging Growth, and Small Cap Value Funds, this was unfortunately not true for
the Growth Fund. The end result was that the former three funds achieved
positive benchmark-relative returns over this semi-annual period, while Growth
did not. As we mentioned in our last letter, the Fair Value weakness, while
undesirable, follows a fruitful period of several years. The return to value has
been substantial post the equity bubble bursting, leading to a compression in
valuation disparities across the market. It is not altogether surprising that
the Fair Value model may suffer some decline for short periods following such
success and resulting compression. However, we believe that the growth and
quality adjustments made in our Fair Value model, combined with our use of
information flow, will ultimately help the strategies add value.
The following table summarizes which economic sectors were among the largest
positive contributors to the benchmark relative return for each Fund during the
six-month period ended February 28, 2006.
FUND LARGEST CONTRIBUTING SECTORS SECTOR'S RETURN
---- ---------------------------- ---------------
Emerging Growth Industrials 24.5%
Consumer Non-Cyclicals 11.6%
Growth Consumer Non-Cyclicals 9.0%
Consumer Cyclicals 12.0%
Mid Cap Consumer Non-Cyclicals 15.0%
Consumer Cyclicals 9.9%
Small Cap Value Consumer Cyclicals 11.8%
Industrials 19.7%
Examining the benchmark relative return at the individual security level for the
Emerging Growth Fund, the construction machinery manufacturer, JLG Industries,
(+50bps contribution to the Fund's relative return), and the printed circuit
board manufacturer, Multi-Fineline Electronix (+49bps), were among the largest
positive contributors to the Fund's benchmark relative return during the
six-month period. The largest detractors included Tekelec (-23bps), the
telecommunications equipment manufacturer, and Transmontaigne Inc. (-22bps), the
oilfield services company.
The Growth Fund's largest positive contributors to relative return included the
specialty investment services company, GFI Group (+50bps), and the heavy
machinery manufacturer, Terex Corp. (+33bps). On the downside, Nash Finch
(-23bps), the food wholesaler, and The Mills Corp. (-23bps), a regional mall
real-estate investment trust company, were among the largest detractors to the
relative return.
Considering the Mid Cap Fund, the largest contributors to the relative return
included the hard disk drive manufacturer, Seagate Technology (+55bps), and the
pharmacy benefit management company, Express Scripts (+48bps). The Mills Corp.
(-34bps), a regional mall real-estate investment trust company, and IPC Holdings
(-29bps), the property catastrophe re-insurer, were among the largest detractors
from the Fund's relative return.
3
Finally, for the Small Cap Value Fund, the largest positive contributors to
relative return included the hotel franchise company, Choice Hotels
International (+50bps), and the oil refining company, Frontier Oil Corp.
(+40bps). The holdings which most negatively impacted the relative return
included Nash Finch (-40bps), the food wholesaler, and IPC Holdings (-33bps),
the property catastrophe re-insurer.
Sincerely,
/s/ Langdon B. Wheeler /s/ Joseph Schirripa
Langdon B. Wheeler, CFA Joseph Schirripa, CFA
President and Chief Investment Officer Co-Portfolio Manager
Numeric Investors LLC n/i Mid Cap Fund
- ----------
For more information regarding the holdings of the N/I NUMERIC INVESTORS FAMILY
OF FUNDS, please refer to the Portfolio of Investments on PAGES 11-28. Portfolio
holdings may be subject to change at any time. In addition to historical
information, this report contains forward-looking statements that may concern,
among other things, the domestic market, industry and economic trends and
developments and government regulation and their potential impact on each Fund's
investment portfolio. These statements are subject to risks and uncertainties
and actual trends, developments and regulations in the future and their impact
on the Funds could be materially different from those projected, anticipated or
implied. The Funds have no obligation to update or revise forward-looking
statements.
Funds are distributed by PFPC Distributors, Inc., 760 Moore Road, King of
Prussia, PA 19406.
4
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
FUND EXPENSE EXAMPLES (UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction
costs, including redemption fees and (2) ongoing costs, including management
fees and other Fund expenses. These examples are intended to help you understand
your ongoing costs (in dollars) of investing in the Fund(s) and to compare these
costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 expense 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables provides information about
hypothetical account values and hypothetical expenses based on your 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 the Fund and other funds. To do so, compare this
5% hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees. Therefore, the second line of the accompanying tables
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
5
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
FUND EXPENSE EXAMPLES (UNAUDITED) (CONCLUDED)
EMERGING GROWTH FUND
-----------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,130.10 $6.18
Hypothetical (5% return before expenses) 1,000.00 1,018.93 5.87
GROWTH FUND
-----------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,092.00 $4.88
Hypothetical (5% return before expenses) 1,000.00 1,020.08 4.72
MID CAP FUND
-----------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,118.00 $6.83
Hypothetical (5% return before expenses) 1,000.00 1,018.27 6.53
SMALL CAP VALUE FUND
-----------------------------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,098.80 $5.78
Hypothetical (5% return before expenses) 1,000.00 1,019.23 5.57
* Expenses are equal to the Funds' annualized expense ratios in the table
below, which include waived fees, multiplied by the average account value
over the period, multiplied by the number of days (181) in the most recent
fiscal half-year, then divided by 365 to reflect the one-year half period.
EXPENSE RATIO
-------------
Emerging Growth Fund 1.17%
Growth Fund 0.94%
Mid Cap Fund 1.30%
Small Cap Value Fund 1.11%
6
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS
Medical Instruments & Supplies ............... 5.8% $ 8,321,468
Retail - Specialty ........................... 5.6 8,042,960
Pharmaceuticals .............................. 5.0 7,218,067
Semiconductors ............................... 4.3 6,253,630
Biotech ...................................... 3.9 5,587,092
Telecommunications Equipment
& Services ................................ 3.9 5,548,123
Electronic Components
& Accessories ............................. 3.7 5,380,913
Transportation ............................... 3.7 5,269,716
Oil & Gas Field Exploration .................. 3.6 5,109,256
Computer Software ............................ 3.0 4,331,529
Real Estate Investment Trusts ................ 2.9 4,231,811
Machinery .................................... 2.5 3,657,238
Medical & Medical Services ................... 2.5 3,618,888
Building & Building Materials ................ 2.5 3,591,538
Business Services ............................ 2.1 3,081,377
Leisure & Entertainment ...................... 2.1 3,075,457
Health Care .................................. 1.8 2,630,669
Oil Refining ................................. 1.8 2,578,245
Internet Content ............................. 1.8 2,572,389
Banks ........................................ 1.8 2,561,052
Food & Agriculture ........................... 1.7 2,457,150
Computers, Software & Servicing .............. 1.6 2,321,578
Oil & Gas Field Services ..................... 1.6 2,261,961
Restaurants .................................. 1.6 2,256,984
Building Supplies ............................ 1.6 2,256,486
Insurance - Property & Casualty .............. 1.6 2,234,850
Computer Services ............................ 1.5 2,230,290
Oil & Gas Equipment & Services ............... 1.5 2,187,600
Financial Services ........................... 1.3 1,901,957
Apparel ...................................... 1.0 1,478,384
Services - Management Consulting ............. 1.0 1,432,004
Manufacturing ................................ 1.0 1,401,542
Mortgage ..................................... 1.0 1,397,260
Computer Networking Products ................. 1.0 1,386,320
Airlines ..................................... 0.9 1,260,875
Commercial Services .......................... 0.9 1,237,739
Data Processing .............................. 0.8 1,191,550
Chemicals - Specialty ........................ 0.8 1,156,870
Electronic Components ........................ 0.8 1,155,360
Chemicals - Diversified ...................... 0.8 1,119,810
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
Construction & Building Materials ............ 0.8% $ 1,088,580
Electrical Equipment ......................... 0.7 1,062,608
Residential Construction ..................... 0.7 966,896
Telecommunications Equipment ................. 0.7 962,958
Automobile Parts & Equipment ................. 0.6 925,320
Rubber & Misc Plastics ....................... 0.6 888,018
Drugs & Medical Products ..................... 0.6 887,268
Office & Business Equipment .................. 0.5 792,000
Cellular Communications ...................... 0.5 747,890
Commercial Banks ............................. 0.4 521,055
Consumer Products ............................ 0.4 517,650
Metals ....................................... 0.3 490,170
Home Furnishings ............................. 0.3 471,644
Aerospace & Defense .......................... 0.3 451,130
Steel ........................................ 0.3 441,440
Paper & Allied Products ...................... 0.3 385,725
Industrial Parts ............................. 0.2 357,416
Investment ................................... 0.2 239,830
Schools ...................................... 0.2 233,280
Engineering .................................. 0.2 217,352
Musical Instruments .......................... 0.1 204,290
Hotels & Motels .............................. 0.1 195,980
Savings & Loan Associations .................. 0.1 174,810
Property & Casuality Insurance ............... 0.1 147,748
Printing ..................................... 0.1 142,996
Computer Peripherals ......................... 0.1 142,710
Packaging .................................... 0.1 127,402
Services - Medical ........................... 0.1 114,595
Research ..................................... 0.1 91,440
Environmental Services ....................... --* 62,335
REPURCHASE AGREEMENTS ........................... 2.5 3,507,505
LIABILITIES IN EXCESS
OF OTHER ASSETS .............................. (0.5) (662,064)
----- -------------
NET ASSETS ...................................... 100.0% $ 143,885,965
===== =============
- ----------
* Amount is less than 0.1% of Net Assets.
The accompanying notes are an integral part of the financial statements.
7
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS
Retail - Specialty ........................... 7.3% $ 3,494,502
Computer Software ............................ 5.8 2,803,355
Pharmaceuticals .............................. 5.1 2,453,627
Medical Instruments & Supplies ............... 4.9 2,358,039
Semiconductors ............................... 4.9 2,343,137
Telecommunications Equipment
& Services ................................ 3.9 1,852,480
Oil & Gas Equipment & Services ............... 3.8 1,834,948
Transportation ............................... 3.6 1,705,286
Oil & Gas Field Exploration .................. 3.5 1,666,087
Real Estate Investment Trusts ................ 2.9 1,403,036
Health Care .................................. 2.7 1,316,632
Manufacturing ................................ 2.7 1,316,185
Electronic Components
& Accessories ............................. 2.7 1,298,515
Machinery .................................... 2.5 1,192,860
Medical & Medical Services ................... 2.4 1,165,657
Insurance - Property & Casualty .............. 2.3 1,120,251
Restaurants .................................. 2.2 1,070,980
Computer Services ............................ 2.2 1,041,909
Schools ...................................... 2.0 983,352
Building & Building Materials ................ 2.0 961,367
Biotech ...................................... 2.0 957,365
Mortgage ..................................... 1.6 748,034
Oil Refining ................................. 1.5 701,869
Computer Networking Products ................. 1.4 665,075
Banks ........................................ 1.3 622,477
Leisure & Entertainment ...................... 1.3 607,025
Hospitals .................................... 1.2 599,476
Chemicals - Diversified ...................... 1.1 511,300
Apparel ...................................... 1.0 498,549
Residential Construction ..................... 1.0 495,508
Financial Services ........................... 1.0 465,055
Internet Content ............................. 1.0 463,219
Consumer Products ............................ 0.9 428,005
Chemicals - Specialty ........................ 0.9 419,670
Engineering .................................. 0.9 408,240
Utilities .................................... 0.8 360,873
Services - Management Consulting ............. 0.7 339,320
Oil & Gas Field Services ..................... 0.7 330,987
Hotels & Motels .............................. 0.7 311,710
Waste Management ............................. 0.6 301,847
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
Savings & Loan Associations .................. 0.6% $ 300,676
Automobiles & Trucks ......................... 0.6 296,434
Electronic Measurements -
Instruments ............................... 0.6 293,315
Food & Agriculture ........................... 0.6 281,236
Metals ....................................... 0.6 276,269
Automobile Parts & Equipment ................. 0.5 253,666
Commercial Services .......................... 0.5 242,991
Data Processing .............................. 0.4 211,700
Airlines ..................................... 0.4 209,152
Office & Business Equipment .................. 0.3 164,736
Steel ........................................ 0.3 148,793
Electrical Equipment ......................... 0.3 122,419
Rubber & Misc Plastics ....................... 0.2 113,984
Internet Software ............................ 0.2 92,392
Computer Peripherals ......................... 0.2 86,430
Business Services ............................ 0.1 70,678
Insurance - Health & Life .................... 0.1 69,345
Printing ..................................... 0.1 60,671
Laboratory Analytical Instruments ............ 0.1 36,229
Building Supplies ............................ 0.1 28,840
REPURCHASE AGREEMENTS .......................... 2.3 1,128,106
LIABILITIES IN EXCESS
OF OTHER ASSETS ............................. (0.1) (55,460)
----- ------------
NET ASSETS ..................................... 100.0% $ 48,050,411
===== ============
The accompanying notes are an integral part of the financial statements.
8
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
MID CAP FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS
Banks ........................................ 8.9% $ 3,494,517
Real Estate Investment Trusts ................ 6.6 2,586,726
Oil & Gas Field Exploration .................. 5.1 2,023,179
Utilities .................................... 4.6 1,810,819
Medical Instruments & Supplies ............... 4.6 1,804,503
Leisure & Entertainment ...................... 4.3 1,671,564
Pharmaceuticals .............................. 3.9 1,537,086
Semiconductors ............................... 3.2 1,268,247
Aerospace & Defense .......................... 3.2 1,266,121
Insurance - Property & Casualty .............. 3.0 1,192,388
Manufacturing ................................ 2.9 1,134,489
Computer Services ............................ 2.7 1,067,230
Financial Services ........................... 2.7 1,056,621
Electronic Components
& Accessories ............................. 2.5 985,382
Chemicals - Specialty ........................ 2.3 913,457
Computer Networking Products ................. 2.1 816,756
Restaurants .................................. 2.0 801,055
Medical & Medical Services ................... 1.8 714,697
Telecommunications Equipment
& Services ................................ 1.6 626,714
Schools ...................................... 1.5 605,658
Airlines ..................................... 1.4 534,158
Office & Business Equipment .................. 1.3 495,784
Consumer Products ............................ 1.2 474,505
Biotech ...................................... 1.2 467,025
Retail - Specialty ........................... 1.2 452,430
Wholesale - Distribution ..................... 1.1 448,720
Chemicals - Diversified ...................... 1.1 438,700
Beverages .................................... 1.1 437,464
Paper & Allied Products ...................... 1.1 431,000
Hazardous Waste Management ................... 1.1 427,570
Residential Construction ..................... 1.1 421,680
Food ......................................... 1.1 413,160
Services - Management Consulting ............. 1.0 408,250
Machinery .................................... 1.0 407,031
Oil Refining ................................. 1.0 405,310
Food & Agriculture ........................... 1.0 403,850
Multimedia/Publishing ........................ 1.0 391,608
Computer Software ............................ 1.0 388,727
Energy ....................................... 1.0 387,686
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
Metals ....................................... 1.0% $ 384,625
Mortgage ..................................... 1.0 384,318
Oil & Gas Equipment & Services ............... 0.9 347,965
Insurance - Health & Life .................... 0.6 245,417
Automobile Parts & Equipment ................. 0.6 240,640
Apparel ...................................... 0.6 234,820
Hotels & Motels .............................. 0.5 204,838
REPURCHASE AGREEMENTS .......................... 4.5 1,774,843
LIABILITIES IN EXCESS
OF OTHER ASSETS ............................. (0.2) (93,577)
----- ------------
NET ASSETS ..................................... 100.0% $ 39,335,756
===== ============
The accompanying notes are an integral part of the financial statements.
9
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS
Real Estate Investment Trusts ................. 10.0% $ 23,627,515
Retail - Specialty ............................ 6.3 15,001,235
Transportation ................................ 4.6 10,967,419
Savings & Loan Associations ................... 4.4 10,474,354
Banks ......................................... 4.3 10,213,853
Insurance - Property & Casualty ............... 4.3 10,060,788
Semiconductors ................................ 4.0 9,440,022
Telecommunications Equipment
& Services ................................. 3.7 8,772,067
Utilities ..................................... 3.0 7,115,930
Manufacturing ................................. 2.9 6,957,798
Mortgage ...................................... 2.8 6,647,154
Electronic Components
& Accessories ................................. 2.6 6,241,226
Oil & Gas Field Exploration ................... 2.6 6,043,990
Insurance - Health & Life ..................... 2.3 5,372,647
Pharmaceuticals ............................... 2.0 4,790,723
Computer Networking Products .................. 1.9 4,395,140
Financial Services ............................ 1.8 4,283,112
Machinery ..................................... 1.8 4,148,208
Metals ........................................ 1.7 4,003,814
Electrical Equipment .......................... 1.7 3,936,800
Chemicals - Specialty ......................... 1.6 3,793,636
Restaurants ................................... 1.6 3,771,536
Oil Refining .................................. 1.6 3,720,665
Computers, Software & Servicing ............... 1.4 3,412,795
Computer Software ............................. 1.4 3,231,146
Medical & Medical Services .................... 1.3 2,989,332
Computer Services ............................. 1.2 2,945,146
Chemicals - Diversified ....................... 1.2 2,879,190
Building & Building Materials ................. 1.2 2,747,996
Medical Instruments & Supplies ................ 1.1 2,595,749
Apparel ....................................... 0.9 2,100,823
Leisure & Entertainment ....................... 0.9 2,029,910
Waste Management .............................. 0.8 1,905,444
Hotels & Motels ............................... 0.8 1,794,559
Residential Construction ...................... 0.7 1,754,984
Health Care ................................... 0.7 1,675,481
Commercial Services ........................... 0.7 1,638,000
Engineering ................................... 0.7 1,475,562
- --------------------------------------------------------------------------------
Building Supplies ............................. 0.6 1,527,788
Schools ....................................... 0.6 1,522,537
Steel ......................................... 0.6 1,435,284
- --------------------------------------------------------------------------------
SECURITY TYPE/ % OF VALUE
INDUSTRY CLASSIFICATION NET ASSETS (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--(CONTINUED)
Commercial Banks ............................ 0.6% $ 1,363,133
Services - Management Consulting ............ 0.6 1,361,272
Hospitals ................................... 0.5 1,240,681
Airlines .................................... 0.5 1,238,425
Data Processing ............................. 0.5 1,125,685
Oil & Gas Equipment & Services .............. 0.4 1,009,704
Cellular Communications ..................... 0.4 975,260
Office & Business Equipment ................. 0.4 930,600
Rubber & Misc Plastics ...................... 0.4 917,000
Automobiles & Trucks ........................ 0.4 898,110
Telecommunications & Equipment .............. 0.4 846,144
Food & Agriculture .......................... 0.3 819,019
Consumer Products ........................... 0.3 755,283
Construction & Building Materials ........... 0.3 716,251
Paper & Allied Products ..................... 0.3 686,350
Telephone ................................... 0.3 612,733
Automobile Parts & Equipment ................ 0.3 584,896
Home Furnishings ............................ 0.2 549,796
Internet Software ........................... 0.2 448,402
Business Services ........................... 0.2 394,671
Investment .................................. 0.1 345,686
Oil & Gas Exploration ....................... 0.1 323,328
Power, Distribution & Specialty
Transformers ............................. 0.1 299,754
Property & Casuality Insurance .............. 0.1 277,028
Electrical Work ............................. 0.1 238,017
Mobile Homes ................................ 0.1 220,080
Laboratory Analytical Instruments ........... 0.1 211,470
Internet Content ............................ 0.1 209,124
Electric Services ........................... 0.1 120,015
Printing .................................... 0.1 117,461
Environmental Services ...................... --* 103,298
Musical Instruments ......................... --* 98,850
Oil & Gas Field Services .................... --* 85,120
REPURCHASE AGREEMENTS .......................... 2.3 5,478,568
WARRANTS ....................................... --* 574
LIABILITIES IN EXCESS OF OTHER ASSETS .......... (1.1) (2,699,682)
----- -------------
NET ASSETS ..................................... 100.0% $ 236,343,464
===== =============
- ----------
* Amount is less than 0.1% of Net Assets.
The accompanying notes are an integral part of the financial statements.
10
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--98.0%
AEROSPACE & DEFENSE--0.3%
19,700 Allied Defense Group, Inc. (The)*+ .................... $ 451,130
----------
AIRLINES--0.9%
91,000 ExpressJet Holdings, Inc.* ............................ 684,320
66,500 World Air Holdings, Inc.*+ ............................ 576,555
----------
1,260,875
----------
APPAREL--1.0%
5,700 Children's Place Retail Stores, Inc. (The)*+ .......... 266,019
33,500 Guess?, Inc.*+ ........................................ 1,212,365
----------
1,478,384
----------
AUTOMOBILE PARTS & EQUIPMENT--0.6%
75,700 Accuride Corp.* ....................................... 856,924
5,356 Audiovox Corp., Class A* .............................. 68,396
----------
925,320
----------
BANKS--1.8%
20,300 Corus Bankshares, Inc. ................................ 1,219,015
40,300 First BanCorp.+ ....................................... 510,198
23,891 Intervest Bancshares Corp.* ........................... 751,611
3,100 TriCo Bancshares ...................................... 80,228
----------
2,561,052
----------
BIOTECH--3.9%
2,700 Adolor Corp.* ......................................... 74,169
12,600 Alkermes, Inc.* ....................................... 320,166
12,000 Amylin Pharmaceuticals, Inc.* ......................... 520,560
35,660 Anika Therapeutics, Inc.* ............................. 489,255
24,300 Arena Pharmaceuticals, Inc.*+ ......................... 430,353
16,823 BioMarin Pharmaceutical, Inc.* ........................ 220,045
5,700 CV Therapeutics, Inc.* ................................ 153,387
17,500 Human Genome Sciences, Inc.* .......................... 219,100
7,100 ICOS Corp.* ........................................... 171,323
39,900 Ligand Pharmaceuticals, Inc., Class B*+ ............... 496,755
12,000 Medarex, Inc.* ........................................ 177,120
3,900 Myogen, Inc.* ......................................... 147,810
3,800 Myriad Genetics, Inc.* ................................ 97,584
3,700 Neurocrine Biosciences, Inc.* ......................... 242,757
31,832 Regeneron Pharmaceuticals, Inc.* ...................... 521,090
37,200 SuperGen, Inc.* ....................................... 189,348
3,900 Tanox, Inc.* .......................................... 74,412
4,600 Threshold Pharmaceuticals, Inc.*+ ..................... 69,230
50,265 ViroPharma, Inc.* ..................................... 972,628
----------
5,587,092
----------
BUILDING & BUILDING MATERIALS--2.5%
47,709 Builders FirstSource, Inc.* ........................... 1,131,180
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BUILDING & BUILDING MATERIALS--(CONTINUED)
20,952 Cavco Industries, Inc.* ............................... $ 964,840
16,600 Palm Harbor Homes, Inc.*+ ............................. 347,770
91,600 U.S. Concrete, Inc.*+ ................................. 1,147,748
----------
3,591,538
----------
BUILDING SUPPLIES--1.6%
68,900 BlueLinx Holdings, Inc.+ .............................. 1,094,132
15,300 Building Materials Holding Corp.+ ..................... 1,029,690
2,300 NCI Building Systems, Inc.* ........................... 132,664
----------
2,256,486
----------
BUSINESS SERVICES--2.1%
10,130 Barrett Business Services, Inc.* ...................... 243,829
18,300 Kenexa Corp*+ ......................................... 488,976
11,700 Marlin Business Services, Inc.*+ ...................... 269,100
65,800 On Assignment, Inc.*+ ................................. 729,722
40,219 Plexus Corp.* ......................................... 1,349,750
----------
3,081,377
----------
CELLULAR COMMUNICATIONS--0.5%
52,300 Syniverse Holdings, Inc.*+ ............................ 747,890
----------
CHEMICALS - DIVERSIFIED--0.8%
48,900 Rockwood Holdings, Inc.* .............................. 1,119,810
----------
CHEMICALS - SPECIALTY--0.8%
53,165 UAP Holding Corp. ..................................... 1,156,870
----------
COMMERCIAL BANKS--0.4%
5,692 City Bank ............................................. 240,885
19,800 Dollar Financial Corp.*+ .............................. 280,170
----------
521,055
----------
COMMERCIAL SERVICES--0.9%
14,100 PeopleSupport, Inc.* .................................. 143,256
25,674 Steiner Leisure Ltd.* ................................. 1,094,483
----------
1,237,739
----------
COMPUTER NETWORKING PRODUCTS--1.0%
23,900 Adaptec, Inc.* ........................................ 149,614
3,600 Atheros Communications* ............................... 74,088
20,100 Black Box Corp.+ ...................................... 960,378
25,600 Performance Technologies, Inc.* ....................... 202,240
----------
1,386,320
----------
COMPUTER PERIPHERALS--0.1%
21,300 Lexar Media, Inc.*+ ................................... 142,710
----------
COMPUTER SERVICES--1.5%
89,400 Advanced Digital Information Corp.*+ .................. 774,204
25,400 Liveperson, Inc.* ..................................... 139,700
The accompanying notes are an integral part of the financial statements.
11
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTER SERVICES--(CONTINUED)
13,286 Radiant Systems, Inc.*+ .............................. $ 189,724
45,705 Sykes Enterprises, Inc.* ............................. 608,791
30,463 Syntel, Inc. ......................................... 517,871
----------
2,230,290
----------
COMPUTER SOFTWARE--3.0%
12,900 American Reprographics Co.*+ ......................... 370,230
98,380 Aspen Technology, Inc.*+ ............................. 1,178,592
29,200 Embarcadero Technologies, Inc* ....................... 200,020
16,894 Informatica Corp.* ................................... 270,642
47,856 LaserCard Corp.*+ .................................... 874,329
40,922 Magma Design Automation, Inc.* ....................... 352,748
66,671 QAD, Inc.+ ........................................... 533,368
28,000 StarTek, Inc.+ ....................................... 551,600
----------
4,331,529
----------
COMPUTERS, SOFTWARE & SERVICING--1.6%
86,230 Peerless Systems Corp.* .............................. 644,138
32,800 TheStreet.Com, Inc. .................................. 254,528
45,500 VeriFone Holdings, Inc.* ............................. 1,201,200
29,800 webMethods, Inc.* .................................... 221,712
----------
2,321,578
----------
CONSTRUCTION & BUILDING MATERIALS--0.8%
29,161 Insteel Industries, Inc. ............................. 1,088,580
----------
CONSUMER PRODUCTS--0.4%
49,300 Playtex Products, Inc.* .............................. 517,650
----------
DATA PROCESSING--0.8%
6,559 CSG Systems International, Inc.* ..................... 144,167
89,139 infoUSA, Inc. ........................................ 1,047,383
----------
1,191,550
----------
DRUGS & MEDICAL PRODUCTS--0.6%
39,800 Depomed, Inc.* ....................................... 260,690
5,800 Matrixx Initiatives, Inc.*+ .......................... 149,292
3,800 Xenoport, Inc.* ...................................... 73,036
15,400 Zoll Medical Corp.* .................................. 404,250
----------
887,268
----------
ELECTRICAL EQUIPMENT--0.7%
6,869 Craftmade International, Inc. ........................ 125,016
23,300 Regal-Beloit Corp.+ .................................. 937,592
----------
1,062,608
----------
ELECTRONIC COMPONENTS--0.8%
7,800 Hittite Microwave Corp.* ............................. 215,514
2,400 Integral Systems, Inc.+ .............................. 67,224
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ELECTRONIC COMPONENTS--(CONTINUED)
57,193 Spansion, Inc.*+ ..................................... $ 835,018
6,800 Staktek Holdings, Inc.*+ ............................. 37,604
----------
1,155,360
----------
ELECTRONIC COMPONENTS & ACCESSORIES--3.7%
118,400 ANADIGICS, Inc.* ..................................... 747,104
84,927 CEVA, Inc.* .......................................... 512,110
38,669 Electro Scientific Industries, Inc.*+ ................ 965,178
8,015 Exar Corp.* .......................................... 99,787
21,700 Multi-Fineline Electronix, Inc.* ..................... 1,235,598
48,197 Nu Horizons Electronics Corp.* ....................... 420,760
61,100 Planar Systems, Inc.* ................................ 949,494
400 SiRF Technology Holdings, Inc.* ...................... 14,972
5,000 Sypris Solutions, Inc.+ .............................. 51,850
69,200 TiVo, Inc.*+ ......................................... 384,060
----------
5,380,913
----------
ENGINEERING--0.2%
21,520 ENGlobal Corp.*+ ..................................... 217,352
----------
ENVIRONMENTAL SERVICES--0.0%
3,500 Tetra Tech, Inc.* .................................... 62,335
----------
FINANCIAL SERVICES--1.3%
5,400 Cash America International, Inc. ..................... 144,720
18,885 GFI Group, Inc.*+ .................................... 1,134,233
38,000 Hercules Technology Growth Capital, Inc.* ............ 410,400
3,200 Investment Technology Group* ......................... 145,536
5,655 Nicholas Financial, Inc. ............................. 67,068
----------
1,901,957
----------
FOOD & AGRICULTURE--1.7%
50,500 Gold Kist, Inc.* ..................................... 670,135
18,889 Performance Food Group Co.* .......................... 554,770
60,989 Premium Standard Farms, Inc. ......................... 914,835
26,922 Spartan Stores, Inc .................................. 317,410
----------
2,457,150
----------
HEALTH CARE--1.8%
1,800 Healthspring, Inc.*+ ................................. 42,480
27,990 IntegraMed America, Inc.* ............................ 308,730
30,069 Kendle International, Inc.* .......................... 954,691
31,781 NovaMed, Inc.* ....................................... 235,179
53,963 Odyssey HealthCare, Inc.* ............................ 1,015,584
1,900 WellCare Health Plans, Inc.* ......................... 74,005
----------
2,630,669
----------
The accompanying notes are an integral part of the financial statements.
12
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HOME FURNISHINGS--0.3%
1,000 Hooker Furniture Corp. .............................. $ 15,370
32,200 Kimball International, Inc., Class B+ ............... 456,274
----------
471,644
----------
HOTELS & MOTELS--0.1%
41,000 Interstate Hotels & Resorts* ........................ 195,980
----------
INDUSTRIAL PARTS--0.2%
34,400 Gerber Scientific, Inc.* ............................ 357,416
----------
INSURANCE - PROPERTY & CASUALTY--1.6%
39,165 Affirmative Insurance Holdings, Inc. ................ 540,085
14,300 Arch Capital Group Ltd.* ............................ 808,808
85,950 Capital Title Group, Inc.+ .......................... 540,626
16,200 Procentury Corp. .................................... 199,584
3,211 Triad Guaranty, Inc.* ............................... 145,747
----------
2,234,850
----------
INTERNET CONTENT--1.8%
118,200 24/7 Real Media, Inc.*+ ............................. 1,043,706
26,700 Digitas, Inc.* ...................................... 377,271
68,700 TriZetto Group, Inc. (The)* ......................... 1,151,412
----------
2,572,389
----------
INVESTMENT--0.2%
14,500 Prospect Energy Corp. ............................... 239,830
----------
LEISURE & ENTERTAINMENT--2.1%
58,600 Bluegreen Corp.* .................................... 929,982
42,000 Dover Downs Gaming & Entertainment, Inc. ............ 697,200
35,400 Monarch Casino & Resort, Inc.* ...................... 949,074
12,220 Sands Regent (The)* ................................. 133,809
12,600 Trump Entertainment Resorts, Inc.* .................. 233,100
25,788 Youbet.com, Inc.* ................................... 132,292
----------
3,075,457
----------
MACHINERY--2.5%
28,000 Advanced Energy Industries, Inc.*+ .................. 400,960
42,300 Columbus McKinnon Corp.* ............................ 1,137,870
8,200 DXP Enterprises, Inc.*+ ............................. 154,980
41,000 Flow International Corp.* ........................... 535,870
24,200 JLG Industries, Inc. ................................ 1,427,558
----------
3,657,238
----------
MANUFACTURING--1.0%
2,000 Albany International Corp., Class A ................. 74,340
25,400 Fleetwood Enterprises, Inc.* ........................ 287,020
28,600 Valmont Industries, Inc. ............................ 1,040,182
----------
1,401,542
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDICAL & MEDICAL SERVICES--2.5%
9,200 Accelrys, Inc.* ..................................... $ 57,040
52,588 AMICAS, Inc.* ....................................... 258,207
17,600 IRIDEX Corp.* ....................................... 145,200
51,000 Novavax, Inc.* ...................................... 295,800
98,644 Osteotech, Inc.* .................................... 450,803
17,600 Pediatrix Medical Group, Inc.* ...................... 1,661,088
39,000 U.S. Physical Therapy, Inc.* ........................ 750,750
----------
3,618,888
----------
MEDICAL INSTRUMENTS & SUPPLIES--5.8%
2,500 Adeza Biomedical Corp.* ............................. 55,500
58,300 Broker BioSciences Corp.* ........................... 260,601
64,000 Candela Corp.* ...................................... 1,225,600
73,233 Cerus Corp.* ........................................ 793,113
35,800 Cutera, Inc.*+ ...................................... 969,822
43,700 Harvard Bioscience, Inc.* ........................... 218,063
26,200 ICU Medical, Inc.*+ ................................. 919,620
18,826 Lifecore Biomedical, Inc.* .......................... 246,244
18,200 Molecular Devices Corp.* ............................ 579,306
59,797 Natus Medical, Inc.*+ ............................... 1,193,548
17,000 Neurometrix, Inc.* .................................. 610,640
11,800 Owens & Minor, Inc. ................................. 376,302
30,800 Quidel Corp.*+ ...................................... 346,192
11,000 STERIS Corp. ........................................ 272,470
2,264 Vital Signs, Inc.+ .................................. 115,600
4,300 West Pharmaceutical Services, Inc. .................. 138,847
----------
8,321,468
----------
METALS--0.3%
13,780 Gibraltar Industries, Inc.+ ......................... 351,528
4,200 Mueller Industries, Inc. ............................ 138,642
----------
490,170
----------
MORTGAGE--1.0%
54,000 Doral Financial Corp.+ .............................. 602,640
33,500 Fremont General Corp. ............................... 794,620
----------
1,397,260
----------
MUSICAL INSTRUMENTS--0.1%
6,200 Steinway Musical Instruments, Inc.* ................. 204,290
----------
OFFICE & BUSINESS EQUIPMENT--0.5%
16,000 United Stationers, Inc.*+ ........................... 792,000
----------
OIL & GAS EQUIPMENT & SERVICES--1.5%
57,100 Mitcham Industries, Inc.* ........................... 956,425
133,100 Parker Drilling Co.* ................................ 1,231,175
----------
2,187,600
----------
The accompanying notes are an integral part of the financial statements.
13
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
OIL & GAS FIELD EXPLORATION--3.6%
8,000 Clayton Williams Energy, Inc.* ....................... $ 347,760
43,200 Exploration Company of Delaware (The)*+ .............. 427,248
43,200 NATCO Group, Inc., Class A ........................... 1,070,496
24,100 Petrohawk Energy Corp.*+ ............................. 304,383
12,400 RPC, Inc.+ ........................................... 262,756
7,800 St. Mary Land & Exploration Co. ...................... 299,442
100 Todco, Class A ....................................... 3,352
156,650 VAALCO Energy, Inc.* ................................. 1,026,058
29,100 W&T Offshore, Inc. ................................... 1,132,281
14,500 Western Refining, Inc.* .............................. 235,480
----------
5,109,256
----------
OIL & GAS FIELD SERVICES--1.6%
40,200 Basic Energy Services, Inc.* ......................... 927,414
30,300 Hercules Offshore, Inc.* ............................. 921,120
23,700 Matrix Service Co.*+ ................................. 262,359
5,186 Trico Marine Services, Inc.* ......................... 151,068
----------
2,261,961
----------
OIL REFINING--1.8%
44,100 Alon USA Energy, Inc. ................................ 857,745
37,200 Frontier Oil Corp.+ .................................. 1,720,500
----------
2,578,245
----------
PACKAGING--0.1%
2,200 Greif, Inc., Class A ................................. 127,402
----------
PAPER & ALLIED PRODUCTS--0.3%
41,700 Xerium Technologies, Inc.+ ........................... 385,725
----------
PHARMACEUTICALS--5.0%
9,300 Adams Respiratory Therapeutics, Inc.* ................ 348,843
37,000 Alpharma, Inc., Class A .............................. 1,119,250
18,981 Anadys Pharmaceuticals, Inc.*+ ....................... 246,753
32,900 Avi Biopharma*+ ...................................... 251,685
2,600 Bentley Pharmaceuticals, Inc.*+ ...................... 46,332
18,600 CollaGenex Pharmaceuticals, Inc.* .................... 246,450
10,300 Enzon Pharmaceuticals, Inc.* ......................... 69,628
30,700 Indevus Pharmaceuticals, Inc.* ....................... 185,428
40,700 Isis Pharmaceuticals, Inc.*+ ......................... 327,228
23,700 Medicis Pharmaceutical Corp., Class A+ ............... 674,028
10,200 Nektar Therapeutics*+ ................................ 213,282
24,200 New River Pharmaceuticals, Inc.* ..................... 740,036
64,300 Panacos Pharmaceuticals, Inc.* ....................... 468,104
38,473 PAREXEL International Corp.*+ ........................ 985,678
58,200 PetMed Express, Inc.* ................................ 1,087,758
4,600 Rigel Pharmaceuticals, Inc.* ......................... 43,700
1,474 Savient Pharmaceuticals, Inc.* ....................... 7,621
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PHARMACEUTICALS--(CONTINUED)
66,495 SciClone Pharmaceuticals, Inc.*+ ..................... $ 156,263
----------
7,218,067
----------
PRINTING--0.1%
2,800 Consolidated Graphics, Inc.* ......................... 142,996
----------
PROPERTY & CASUALTY INSURANCE--0.1%
8,600 Republic Companies Group, Inc. ....................... 147,748
----------
REAL ESTATE INVESTMENT TRUSTS--2.9%
25,900 Digital Realty Trust, Inc.+ .......................... 715,099
9,800 Entertainment Properties Trust+ ...................... 405,230
19,600 Equity Lifestyle Properties, Inc. .................... 934,724
25,300 Glimcher Realty Trust ................................ 675,004
21,500 OMEGA Healthcare Investors, Inc. ..................... 278,210
11,400 Tanger Factory Outlet Centers, Inc. .................. 368,220
21,523 Taubman Centers, Inc. ................................ 855,324
----------
4,231,811
----------
RESEARCH--0.1%
38,100 Discovery Partners International* .................... 91,440
----------
RESIDENTIAL CONSTRUCTION--0.7%
62,300 Champion Enterprises, Inc.*+ ......................... 966,896
----------
RESTAURANTS--1.6%
41,400 Domino's Pizza, Inc. ................................. 1,055,700
95,800 Main Street Restaurant Group, Inc.* .................. 526,900
20,498 Papa John's International, Inc.* ..................... 674,384
----------
2,256,984
----------
RETAIL - SPECIALTY--5.6%
27,472 Conn's, Inc.* ........................................ 1,023,332
10,600 Deb Shops, Inc.+ ..................................... 335,490
28,200 Dress Barn, Inc. (The)* .............................. 1,217,676
50,150 EZCORP, Inc., Class A*+ .............................. 1,084,745
37,300 Gymboree Corp. ( The)* ............................... 852,678
4,100 Inter Parfums, Inc. .................................. 71,750
23,187 REX Stores Corp.* .................................... 355,225
3,200 Shoe Carnival, Inc.* ................................. 71,904
30,794 Sportsman's Guide, Inc. (The)*+ ...................... 778,780
35,700 Steven Madden Ltd.* .................................. 1,144,185
66,900 United Retail Group, Inc.* ........................... 1,107,195
----------
8,042,960
----------
RUBBER & MISC PLASTICS--0.6%
40,200 PW Eagle, Inc.*+ ..................................... 888,018
----------
SAVINGS & LOAN ASSOCIATIONS--0.1%
7,000 Commercial Capital Bancorp, Inc.+ .................... 100,310
2,500 Provident Financial Holdings, Inc. ................... 74,500
----------
174,810
----------
The accompanying notes are an integral part of the financial statements.
14
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SCHOOLS--0.2%
18,000 Corinthian Colleges, Inc.* .................... $ 233,280
-------------
SEMICONDUCTORS--4.3%
4,100 Advanced Power Technology, Inc.* .............. 62,361
96,707 Cirrus Logic, Inc.* ........................... 734,006
38,751 Cohu, Inc.+ ................................... 818,421
6,300 Cymer, Inc.* .................................. 283,374
172,700 LTX Corp.* .................................... 977,482
97,403 Mattson Technology, Inc.* ..................... 1,176,628
8,000 Netlogic Microsystems, Inc.* .................. 282,800
65,587 White Electronic Designs Corp.* ............... 396,802
23,400 Zoran Corp.*+ ................................. 462,852
61,600 Zygo Corp.* ................................... 1,058,904
-------------
6,253,630
-------------
SERVICES - MANAGEMENT CONSULTING--1.0%
11,200 Exponent, Inc.* ............................... 356,160
107,800 Spherion Corp.*+ .............................. 1,075,844
-------------
1,432,004
-------------
SERVICES - MEDICAL--0.1%
9,002 Pediatrix Medical Group, Inc.* ................ 114,595
-------------
STEEL--0.3%
16,000 Steel Technologies, Inc. ...................... 441,440
-------------
TELECOMMUNICATIONS EQUIPMENT--0.7%
67,576 Teledigital, Inc.* ............................ 962,958
-------------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--3.9%
5,300 ADTRAN, Inc. .................................. 145,856
40,597 CalAmp Corp.* ................................. 408,000
2,200 Commonwealth Telephone Enterprises, Inc. ...... 71,016
34,947 EMS Technologies, Inc.* ....................... 611,572
50,500 InterDigital Communications Corp.* ............ 1,300,375
107,700 Lightbridge, Inc.* ............................ 1,056,537
67,100 Radyne Corp.* ................................. 942,084
125,332 Sirenza Microdevices, Inc.* ................... 1,012,683
-------------
5,548,123
-------------
TRANSPORTATION--3.7%
16,900 Atlas Air Worldwide Holding, Inc.* ............ 806,975
32,100 EGL, Inc.* .................................... 1,298,445
58,916 Genco Shipping & Trading Ltd. ................. 962,098
40,800 OMI Corp. ..................................... 714,000
38,149 Pacer International, Inc. ..................... 1,215,046
12,800 TAL International Group, Inc.*+ ............... 273,152
-------------
5,269,716
-------------
Total Common Stocks
(Cost $123,832,776) ........................ 141,040,524
-------------
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000'S) (NOTE 1)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS--2.5%
$ 812 Bear, Stearns & Co., Inc.**
(Agreement dated 02/28/06 to
be repurchased at $812,464,
collateralized by $660,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $841,521)
2.82%, 03/01/06 ............................. $ 812,413
2,695 Bear, Stearns & Co., Inc.
(Agreement dated 02/28/06 to
be repurchased at $2,695,429,
collateralized by $2,175,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $2,773,195)
4.50%, 03/01/06 ............................. 2,695,092
-------------
Total Repurchase Agreements
(Cost $3,507,505) ........................... 3,507,505
-------------
Total Investments -- 100.5%
(Cost $127,340,281) ........................................ 144,548,029
Liabilities in Excess of Other Assets -- (0.5)% .............. (662,064)
-------------
Net Assets -- 100.0 .......................................... $ 143,885,965
=============
- ----------
* Non-income producing.
** Investment purchased with cash collateral received for securities on loan.
(Note 6)
+ Security position is either entirely or partially out on loan. (Note 6)
The accompanying notes are an integral part of the financial statements.
15
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--97.8%
AIRLINES--0.4%
14,900 ExpressJet Holdings, Inc.* ........................... $ 112,048
11,200 World Air Holdings, Inc.*+ ........................... 97,104
----------
209,152
----------
APPAREL--1.0%
2,075 Children's Place Retail Stores, Inc. (The)*+ ......... 96,840
11,100 Guess?, Inc.* ........................................ 401,709
----------
498,549
----------
AUTOMOBILE PARTS & EQUIPMENT--0.5%
6,100 Accuride Corp.* ...................................... 69,052
3,269 Audiovox Corp., Class A* ............................. 41,745
1,500 CSK Auto Corp. ....................................... 23,865
300 Group 1 Automotive, Inc.* ............................ 11,484
4,200 TRW Automotive Holdings Corp.* ....................... 107,520
----------
253,666
----------
AUTOMOBILES & TRUCKS--0.6%
10,100 Navistar International Corp.* ........................ 296,434
----------
BANKS--1.3%
1,287 BOK Financial Corp. .................................. 59,035
6,600 Corus Bankshares, Inc. ............................... 396,330
13,200 First BanCorp ........................................ 167,112
----------
622,477
----------
BIOTECH--2.0%
8,800 Alkermes, Inc.* ...................................... 223,608
1,500 Amylin Pharmaceuticals, Inc.* ........................ 65,070
10,120 Kendle International, Inc.* .......................... 321,310
1,900 Ligand Pharmaceuticals, Inc., Class B*+ .............. 23,655
1,800 Medarex, Inc.* ....................................... 26,568
18,600 Millennium Pharmaceuticals, Inc.* .................... 194,928
500 Momenta Pharmaceutical, Inc.*+ ....................... 11,920
2,100 PDL Biopharma, Inc.* ................................. 65,751
1,500 Regeneron Pharmaceuticals, Inc.* ..................... 24,555
----------
957,365
----------
BUILDING & BUILDING MATERIALS--2.0%
10,570 BlueLinx Holdings, Inc. .............................. 167,852
15,400 Builders FirstSource, Inc.* .......................... 365,134
3,100 Building Materials Holding Corp.+ .................... 208,630
17,538 U.S. Concrete, Inc.* ................................. 219,751
----------
961,367
----------
BUILDING SUPPLIES--0.1%
500 NCI Building Systems, Inc.* .......................... 28,840
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BUSINESS SERVICES--0.1%
900 Harte-Hanks, Inc. .................................... $ 25,209
4,100 On Assignment, Inc.*+ ................................ 45,469
----------
70,678
----------
CHEMICALS - DIVERSIFIED--1.1%
17,900 Celanese Corp., Series A ............................. 383,060
5,600 Rockwood Holdings, Inc.* ............................. 128,240
----------
511,300
----------
CHEMICALS - SPECIALTY--0.9%
17,100 UAP Holding Corp. .................................... 372,096
1,800 Valspar Corp. ( The ) ................................ 47,574
----------
419,670
----------
COMMERCIAL SERVICES--0.5%
5,700 Steiner Leisure Ltd.* ................................ 242,991
----------
COMPUTER NETWORKING PRODUCTS--1.4%
3,100 Adaptec, Inc.* ....................................... 19,406
8,900 Advanced Digital Information Corp.*+ ................. 77,074
7,720 Black Box Corp.+ ..................................... 368,862
37,900 Brocade Communications Systems, Inc.* ................ 199,733
----------
665,075
----------
COMPUTER PERIPHERALS--0.2%
12,900 Lexar Media, Inc.*+ .................................. 86,430
----------
COMPUTER SERVICES--2.2%
3,742 American Reprographics Co.*+ ......................... 107,395
8,600 Ceridian Corp.* ...................................... 222,396
3,000 DST Systems, Inc.* ................................... 168,690
1,500 Liveperson, Inc.* .................................... 8,250
1,791 Radiant Systems, Inc.*+ .............................. 25,575
7,800 Sykes Enterprises, Inc.* ............................. 103,896
9,769 Tech Data Corp.* ..................................... 405,707
----------
1,041,909
----------
COMPUTER SOFTWARE--5.8%
18,246 Aspen Technology, Inc.*+ ............................. 218,587
20,800 BMC Software, Inc.* .................................. 454,896
26,100 Cadence Design Systems, Inc.* ........................ 463,275
9,700 Informatica Corp.* ................................... 155,394
10,411 LaserCard Corp.* ..................................... 190,209
1,800 Magma Design Automation, Inc.* ....................... 15,516
3,370 Peerless Systems Corp.* .............................. 25,174
17,000 Red Hat, Inc.* ....................................... 456,790
7,600 SYNNEX Corp.* ........................................ 140,372
16,635 Synopsys, Inc.* ...................................... 363,808
12,096 VeriFone Holdings, Inc.* ............................. 319,334
----------
2,803,355
----------
The accompanying notes are an integral part of the financial statements.
16
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
CONSUMER PRODUCTS--0.9%
1,100 American Greetings Corp., Class A ................... $ 23,078
800 Energizer Holdings, Inc.*+ .......................... 43,704
3,300 Pactiv Corp.* ....................................... 75,669
10,700 PetMed Express, Inc.* ............................... 199,983
4,635 Playtex Products, Inc.* ............................. 48,667
800 Toro Co. (The) ...................................... 36,904
----------
428,005
----------
DATA PROCESSING--0.4%
3,270 CSG Systems International, Inc.* .................... 71,875
11,900 infoUSA, Inc. ....................................... 139,825
----------
211,700
----------
ELECTRICAL EQUIPMENT--0.3%
3,100 Acuity Brands, Inc. ................................. 122,419
----------
ELECTRONIC COMPONENTS & ACCESSORIES--2.7%
6,800 ANADIGICS, Inc. ..................................... 42,908
8,495 Electro Scientific Industries, Inc.*+ ............... 212,035
3,596 Exar Corp.* ......................................... 44,770
7,100 Multi-Fineline Electronix, Inc.* .................... 404,274
11,921 Planar Systems, Inc.* ............................... 185,253
7,500 Plexus Corp.* ....................................... 251,700
100 SiRF Technology Holdings, Inc.* ..................... 3,743
23,200 Solectron Corp.* .................................... 83,752
4,800 Spansion, Inc.* ..................................... 70,080
----------
1,298,515
----------
ELECTRONIC MEASUREMENTS - INSTRUMENTS--0.6%
473 Itron, Inc.* ........................................ 28,125
15,427 Zygo Corp.* ......................................... 265,190
----------
293,315
----------
ENGINEERING--0.9%
2,400 ENGlobal Corp.*+ .................................... 24,240
8,000 Foster Wheeler Ltd.* ................................ 384,000
----------
408,240
----------
FINANCIAL SERVICES--1.0%
2,600 Cash America International, Inc. .................... 69,680
6,583 GFI Group, Inc.* .................................... 395,375
----------
465,055
----------
FOOD & AGRICULTURE--0.6%
6,970 Gold Kist, Inc.* .................................... 92,492
5,762 Premium Standard Farms, Inc. ........................ 86,430
8,678 Spartan Stores, Inc. ................................ 102,314
----------
281,236
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
HEALTH CARE--2.7%
6,800 Health Net, Inc.* ................................... $ 326,060
600 Healthspring, Inc.*+ ................................ 14,160
11,700 Manor Care, Inc. .................................... 483,795
16,810 Odyssey HealthCare, Inc.* ........................... 316,364
3,200 Sierra Health Services, Inc.* ....................... 133,408
1,100 WellCare Health Plans, Inc.* ........................ 42,845
----------
1,316,632
----------
HOSPITALS--1.2%
12,100 Community Health Systems, Inc.*+ .................... 458,832
2,800 Universal Health Services, Inc., Class B ............ 140,644
----------
599,476
----------
HOTELS & MOTELS--0.7%
7,000 Choice Hotels International, Inc.+ .................. 311,710
----------
INSURANCE - HEALTH & LIFE--0.1%
1,500 Reinsurance Group of America, Inc. .................. 69,345
----------
INSURANCE - PROPERTY & CASUALTY--2.3%
6,100 American Financial Group, Inc. ...................... 252,540
6,100 Arch Capital Group Ltd.* ............................ 345,016
2,368 Capital Title Group, Inc.+ .......................... 14,895
10,300 IPC Holdings Ltd. ................................... 270,581
1,200 Platinum Underwriters Holdings Ltd. ................. 36,744
4,500 RenaissanceRe Holdings Ltd.+ ........................ 200,475
----------
1,120,251
----------
INTERNET CONTENT--1.0%
2,400 AMICAS, Inc.* ....................................... 11,784
5,600 Digitas, Inc.* ...................................... 79,128
22,214 TriZetto Group, Inc. (The)* ......................... 372,307
----------
463,219
----------
INTERNET SOFTWARE--0.2%
9,606 SonicWALL, Inc.* .................................... 64,456
3,600 TheStreet.Com, Inc. ................................. 27,936
----------
92,392
----------
LABORATORY ANALYTICAL INSTRUMENTS--0.1%
908 Varian, Inc.* ....................................... 36,229
----------
LEISURE & ENTERTAINMENT--1.3%
17,700 Bluegreen Corp.* .................................... 280,899
3,092 Monarch Casino & Resort, Inc.* ...................... 82,896
5,100 Penn National Gaming, Inc.* ......................... 176,868
800 Trump Entertainment Resorts, Inc. ................... 14,800
10,051 Youbet.com, Inc.* ................................... 51,562
----------
607,025
----------
The accompanying notes are an integral part of the financial statements.
17
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MACHINERY--2.5%
14,105 Columbus McKinnon Corp.* .............................. $ 379,424
1,200 DXP Enterprises, Inc.* ................................ 22,680
6,700 Flow International Corp.* ............................. 87,569
7,500 JLG Industries, Inc. .................................. 442,425
5,300 Regal-Beloit Corp.+ ................................... 213,272
600 Terex Corp.* .......................................... 47,490
----------
1,192,860
----------
MANUFACTURING--2.7%
1,600 Advanced Energy Industries, Inc.* ..................... 22,912
2,900 Albany International Corp., Class A ................... 107,793
4,100 Fleetwood Enterprises, Inc.* .......................... 46,330
5,300 Freightcar America, Inc. .............................. 373,650
1,400 Insteel Industries, Inc. .............................. 52,262
400 Myers Industries, Inc. ................................ 6,400
4,300 Oshkosh Truck Corp.+ .................................. 243,939
6,926 Superior Essex, Inc.* ................................. 181,253
2,500 Teleflex, Inc. ........................................ 161,625
3,300 Valmont Industries, Inc.+ ............................. 120,021
----------
1,316,185
----------
MEDICAL & MEDICAL SERVICES--2.4%
14,300 24/7 Real Media, Inc.*+ ............................... 126,269
5,500 Pediatrix Medical Group, Inc.* ........................ 519,090
7,200 Pharmaceutical Product Development, Inc. .............. 501,048
1,000 U.S. Physical Therapy, Inc.* .......................... 19,250
----------
1,165,657
----------
MEDICAL INSTRUMENTS & SUPPLIES--4.9%
12,700 Candela Corp.* ........................................ 243,205
10,900 Cerus Corp.* .......................................... 118,047
10,323 Cutera, Inc.*+ ........................................ 279,650
6,700 DENTSPLY International, Inc. .......................... 381,833
4,483 ICU Medical, Inc.*+ ................................... 157,353
300 IDEXX Laboratories, Inc.* ............................. 23,574
600 Molecular Devices Corp.* .............................. 19,098
7,700 Natus Medical, Inc.*+ ................................. 153,692
3,790 Neurometrix, Inc.* .................................... 136,137
12,913 PerkinElmer, Inc. ..................................... 307,200
5,800 Quidel Corp.*+ ........................................ 65,192
2,400 Respironics, Inc.* .................................... 87,264
7,800 Waters Corp.*+ ........................................ 333,294
2,000 Zoll Medical Corp.* ................................... 52,500
----------
2,358,039
----------
METALS--0.6%
6,100 Commercial Metals Co. ................................. 276,269
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MORTGAGE--1.6%
6,700 Doral Financial Corp.+ ................................ $ 74,772
14,800 Fremont General Corp. ................................. 351,056
8,300 IndyMac Bancorp, Inc. ................................. 322,206
----------
748,034
----------
OFFICE & BUSINESS EQUIPMENT--0.3%
3,328 United Stationers, Inc.*+ ............................. 164,736
----------
OIL & GAS EQUIPMENT & SERVICES--3.8%
3,000 Dresser-Rand Group, Inc.* ............................. 75,870
13,200 Grant Prideco, Inc.* .................................. 534,204
500 McDermott International, Inc.* ........................ 25,775
4,400 Mitcham Industries, Inc.* ............................. 73,700
10,000 NATCO Group, Inc., Class A* ........................... 247,800
37,200 Parker Drilling Co.* .................................. 344,100
14,900 Pride International, Inc.* ............................ 461,453
3,400 RPC, Inc.+ ............................................ 72,046
----------
1,834,948
----------
OIL & GAS FIELD EXPLORATION--3.5%
500 Clayton Williams Energy, Inc.* ........................ 21,735
2,200 CNX Gas Corp. ......................................... 47,388
3,800 Exploration Company of Delaware (The)* ................ 37,582
5,500 Forest Oil Corp.* ..................................... 273,075
18,600 Harvest Natural Resources, Inc.* ...................... 167,586
800 Helmerich & Payne, Inc. ............................... 52,616
800 Petrohawk Energy Corp.* ............................... 10,104
5,800 St. Mary Land & Exploration Co. ....................... 222,662
5,500 Unit Corp.* ........................................... 292,435
20,800 VAALCO Energy, Inc.* .................................. 136,240
10,400 W&T Offshore, Inc. .................................... 404,664
----------
1,666,087
----------
OIL & GAS FIELD SERVICES--0.7%
5,600 Basic Energy Services, Inc.* .......................... 129,192
6,638 Hercules Offshore, Inc.* .............................. 201,795
----------
330,987
----------
OIL REFINING--1.5%
9,400 Alon USA Energy, Inc.* ................................ 182,830
10,700 Frontier Oil Corp.+ ................................... 494,875
400 Tesoro Corp.+ ......................................... 24,164
----------
701,869
----------
PHARMACEUTICALS--5.1%
12,723 Alpharma, Inc., Class A ............................... 384,871
1,700 Anadys Pharmaceuticals, Inc.* ......................... 22,100
1,000 Bausch & Lomb, Inc. ................................... 69,210
The accompanying notes are an integral part of the financial statements.
18
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
PHARMACEUTICALS--(CONTINUED)
6,700 Cephalon, Inc.*+ ...................................... $ 532,516
14,700 Endo Pharmaceuticals Holdings, Inc.* .................. 463,344
21,300 King Pharmaceuticals, Inc.* ........................... 346,125
1,500 Medicis Pharmaceutical Corp., Class A+ ................ 42,660
6,948 New River Pharmaceuticals, Inc.* ...................... 212,470
1,288 PAREXEL International Corp.*+ ......................... 32,999
17,950 ViroPharma, Inc.* ..................................... 347,332
----------
2,453,627
----------
PRINTING--0.1%
1,188 Consolidated Graphics, Inc.* .......................... 60,671
----------
REAL ESTATE INVESTMENT TRUSTS--2.9%
5,200 Digital Realty Trust, Inc.+ ........................... 143,572
6,300 Equity Lifestyle Properties, Inc. ..................... 300,447
5,400 Glimcher Realty Trust ................................. 144,072
10,700 Mills Corp. (The) ..................................... 422,971
3,400 Tanger Factory Outlet Centers, Inc. ................... 109,820
7,100 Taubman Centers, Inc. ................................. 282,154
----------
1,403,036
----------
RESIDENTIAL CONSTRUCTION--1.0%
2,142 Cavco Industries, Inc.* ............................... 98,639
15,200 Champion Enterprises, Inc.* ........................... 235,904
4,900 Standard Pacific Corp.+ ............................... 160,965
----------
495,508
----------
RESTAURANTS--2.2%
12,000 Brinker International, Inc. ........................... 499,800
14,400 Domino's Pizza, Inc. .................................. 367,200
6,200 Papa John's International, Inc.* ...................... 203,980
----------
1,070,980
----------
RETAIL - SPECIALTY--7.3%
9,500 Barnes & Noble, Inc.* ................................. 409,165
7,400 Claire's Stores, Inc.+ ................................ 237,096
9,169 Conn's, Inc.* ......................................... 341,545
16,800 Dollar Tree Stores, Inc.* ............................. 460,656
8,803 Dress Barn, Inc. (The)* ............................... 380,114
9,007 EZCORP, Inc., Class A*+ ............................... 194,821
7,200 Gymboree Corp. (The)* ................................. 164,592
18,600 Rent-A-Center, Inc.* .................................. 434,124
1,200 Shoe Carnival, Inc.* .................................. 26,964
10,700 Sonic Automotive, Inc.+ ............................... 283,443
5,050 Sportsman's Guide, Inc. (The)*+ ....................... 127,715
11,826 Steven Madden Ltd.* ................................... 379,023
3,338 United Retail Group, Inc.* ............................ 55,244
----------
3,494,502
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
RUBBER & MISC PLASTICS--0.2%
5,160 PW Eagle, Inc.* ....................................... $ 113,984
----------
SAVINGS & LOAN ASSOCIATIONS--0.6%
1,700 BankUnited Financial Corp., Class A* .................. 47,498
1,056 Sterling Financial Corp.*+ ............................ 30,561
9,409 Washington Federal, Inc. .............................. 222,617
----------
300,676
----------
SCHOOLS--2.0%
13,800 Career Education Corp.* ............................... 453,192
14,100 Education Management Corp.*+ .......................... 530,160
----------
983,352
----------
SEMICONDUCTORS--4.9%
31,622 Cirrus Logic, Inc.* ................................... 240,011
14,594 Cohu, Inc.+ ........................................... 308,225
9,300 EMCOR Group, Inc. ..................................... 405,387
14,300 Intersil Corp., Class A ............................... 405,262
1,700 Lam Research Corp.* ................................... 73,270
25,500 LTX Corp.* ............................................ 144,330
21,668 Mattson Technology, Inc.* ............................. 261,750
15,485 Novellus Systems, Inc.* ............................... 413,914
4,600 Zoran Corp.*+ ......................................... 90,988
----------
2,343,137
----------
SERVICES - MANAGEMENT CONSULTING--0.7%
34,000 Spherion Corp.* ....................................... 339,320
----------
STEEL--0.3%
4,912 Olympic Steel, Inc.* .................................. 129,480
700 Steel Technologies, Inc. .............................. 19,313
----------
148,793
----------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--3.9%
900 ADTRAN, Inc. .......................................... 24,768
6,100 Andrew Corp.* ......................................... 82,716
12,000 Harris Corp. .......................................... 548,160
10,410 InterDigital Communications Corp.* .................... 268,057
8,775 Lightbridge, Inc.* .................................... 86,083
1,800 Radyne Corp.* ......................................... 25,272
25,121 Sirenza Microdevices, Inc.* ........................... 202,978
13,900 Syniverse Holdings, Inc.*+ ............................ 198,770
3,438 Talk America Holdings, Inc.* .......................... 29,326
9,800 TiVo, Inc.*+ .......................................... 54,390
7,626 West Corp.* ........................................... 331,960
----------
1,852,480
----------
The accompanying notes are an integral part of the financial statements.
19
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
TRANSPORTATION--3.6%
4,200 Atlas Air Worldwide Holding, Inc.* ............... 200,550
10,500 EGL, Inc.* ....................................... 424,725
15,900 Genco Shipping & Trading Ltd. .................... 259,647
14,800 OMI Corp. ........................................ 259,000
9,230 Pacer International, Inc. ........................ 293,976
200 TAL International Group, Inc.* ................... 4,268
5,500 YRC Worldwide, Inc.* ............................. 263,120
-----------
1,705,286
-----------
UTILITIES--0.8%
10,100 Energen Corp. .................................... 360,873
-----------
WASTE MANAGEMENT--0.6%
10,700 Metal Management, Inc.*+ ......................... 301,847
-----------
Total Common Stocks
(Cost $42,698,775) ............................ 46,977,765
-----------
PRINCIPAL
AMOUNT (000'S)
- --------------
REPURCHASE AGREEMENTS--2.3%
$ 221 Bear, Stearns & Co., Inc.**
(Agreement dated 02/28/06 to
be repurchased at $220,773,
collateralized by $180,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $229,506)
2.28%, 03/01/06 ................................ 220,759
907 Bear, Stearns & Co., Inc.
(Agreement dated 02/28/06 to
be repurchased at $907,460,
collateralized by $735,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $937,149)
4.50%, 03/01/06 ................................. 907,347
-----------
Total Repurchase Agreements
(Cost $ 1,128,106) ............................... 1,128,106
-----------
- --------------------------------------------------------------------------------
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
Total Investments -- 100.1%
(Cost $43,826,881) ............................................ $48,105,871
-----------
Liabilities In Excess of Other Assets -- (0.1)% ................. (55,460)
-----------
Net Assets -- 100.0% ............................................ $48,050,411
===========
- ----------
* Non-income producing
** Investment purchased with cash collateral received for securities on loan.
(Note 6)
+ Security position is either ENTIRELY OR partially OUT on loan. (Note 6)
The accompanying notes are an integral part of the financial statements.
20
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
MID CAP FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--95.7%
AEROSPACE & DEFENSE--3.2%
3,300 General Dynamics Corp. ................................. $ 406,791
6,500 Northrop Grumman Corp. ................................. 416,650
10,200 Raytheon Co. ........................................... 442,680
----------
1,266,121
----------
AIRLINES--1.4%
31,852 Southwest Airlines Co.+ ................................ 534,158
----------
APPAREL--0.6%
5,500 Coach, Inc.* ........................................... 196,460
700 VF Corp. ............................................... 38,360
----------
234,820
----------
AUTOMOBILE PARTS & EQUIPMENT--0.6%
9,400 TRW Automotive Holdings Corp.*+ ........................ 240,640
----------
BANKS--8.9%
13,147 Associated Banc-Corp ................................... 453,177
5,700 City National Corp. .................................... 432,972
17,100 Colonial BancGroup, Inc. (The) ......................... 429,381
8,700 Comerica, Inc. ......................................... 498,684
19,200 North Fork Bancorporation, Inc. ........................ 490,368
17,400 Synovus Financial Corp. ................................ 493,290
6,500 UnionBanCal Corp. ...................................... 449,085
3,000 Zions Bancorporation ................................... 247,560
----------
3,494,517
----------
BEVERAGES--1.1%
14,900 Pepsi Bottling Group, Inc. (The) ....................... 437,464
----------
BIOTECH--1.2%
7,500 Gilead Sciences, Inc.* ................................. 467,025
----------
CHEMICALS - DIVERSIFIED--1.1%
20,500 Celanese Corp., Series A ............................... 438,700
----------
CHEMICALS - SPECIALTY--2.3%
2,800 International Flavors & Fragrances, Inc. ............... 96,964
3,400 Lubrizol Corp. (The) ................................... 147,084
11,100 RPM International, Inc. ................................ 200,244
10,300 Sherwin-Williams Co. (The) ............................. 469,165
----------
913,457
----------
COMPUTER NETWORKING PRODUCTS--2.1%
16,500 Seagate Technology* .................................... 438,405
17,300 Synopsys, Inc.* ........................................ 378,351
----------
816,756
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTER SERVICES--2.7%
6,100 Ceridian Corp.* ........................................ $ 157,746
9,400 Computer Sciences Corp.* ............................... 510,796
9,600 Tech Data Corp.* ....................................... 398,688
----------
1,067,230
----------
COMPUTER SOFTWARE--1.0%
16,700 Cadence Design Systems, Inc.* .......................... 296,425
1,900 Intuit, Inc.* .......................................... 92,302
----------
388,727
----------
CONSUMER PRODUCTS--1.2%
4,300 Harman International Industries, Inc.+ ................. 474,505
----------
ELECTRONIC COMPONENTS & ACCESSORIES--2.5%
12,300 Jabil Circuit, Inc.* ................................... 465,555
2,300 MEMC Electronic Materials, Inc.* ....................... 77,027
9,000 Thomas & Betts Corp.* .................................. 442,800
----------
985,382
----------
ENERGY--1.0%
7,400 TXU Corp. .............................................. 387,686
----------
FINANCIAL SERVICES--2.7%
9,300 CIT Group, Inc. ........................................ 500,061
6,900 Countrywide Financial Corp. ............................ 237,912
5,100 State Street Corp. ..................................... 318,648
----------
1,056,621
----------
FOOD--1.1%
12,000 Hormel Foods Corp. ..................................... 413,160
----------
FOOD & AGRICULTURE--1.0%
8,200 General Mills, Inc. .................................... 403,850
----------
HAZARDOUS WASTE MANAGEMENT--1.1%
11,000 Republic Services, Inc. ................................ 427,570
----------
HOTELS & MOTELS--0.5%
4,600 Choice Hotels International, Inc.+ ..................... 204,838
----------
INSURANCE - HEALTH & LIFE--0.6%
2,200 Nationwide Financial Services, Inc., Class A ........... 94,292
3,100 Protective Life Corp. .................................. 151,125
----------
245,417
----------
INSURANCE - PROPERTY & CASUALTY--3.0%
7,400 ACE Ltd. ............................................... 412,402
8,600 RenaissanceRe Holdings Ltd.+ ........................... 383,130
5,875 XL Capital Ltd., Class A ............................... 396,856
----------
1,192,388
----------
The accompanying notes are an integral part of the financial statements.
21
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT--4.3%
14,100 CBS Corp.+ ............................................ $ 344,886
5,700 Harley-Davidson, Inc. ................................. 299,307
11,900 Mattel, Inc. .......................................... 200,515
11,900 Penn National Gaming, Inc.* ........................... 412,692
9,400 Royal Caribbean Cruises Ltd.+ ......................... 414,164
----------
1,671,564
----------
MACHINERY--1.0%
6,900 JLG Industries, Inc.+ ................................. 407,031
----------
MANUFACTURING--2.9%
7,400 Eaton Corp. ........................................... 515,558
9,700 Ingersoll-Rand Co. Ltd., Class A ...................... 397,991
1,500 Oshkosh Truck Corp. ................................... 85,095
700 Parker Hannifin Corp. ................................. 54,719
1,800 Roper Industries, Inc. ................................ 81,126
----------
1,134,489
----------
MEDICAL & MEDICAL SERVICES--1.8%
5,400 Lincare Holdings, Inc.* ............................... 220,860
1,900 Manor Care, Inc. ...................................... 78,565
4,400 Pediatrix Medical Group, Inc.*+ ....................... 415,272
----------
714,697
----------
MEDICAL INSTRUMENTS & SUPPLIES--4.6%
7,000 Becton, Dickinson & Co. ............................... 446,950
7,300 C.R. Bard, Inc. ....................................... 478,077
5,800 Hillenbrand Industries, Inc. .......................... 294,872
10,800 McKesson Corp. ........................................ 584,604
----------
1,804,503
----------
METALS--1.0%
1,700 Commercial Metals Co. ................................. 76,993
5,800 Precision Castparts Corp. ............................. 307,632
----------
384,625
----------
MORTGAGE--1.0%
9,900 IndyMac Bancorp, Inc. ................................. 384,318
----------
MULTIMEDIA/PUBLISHING--1.0%
6,300 Gannett Co., Inc. ..................................... 391,608
----------
OFFICE & BUSINESS EQUIPMENT--1.3%
11,600 Pitney Bowes, Inc. .................................... 495,784
----------
OIL & GAS EQUIPMENT & SERVICES--0.9%
13,759 Dresser-Rand Group, Inc.* ............................. 347,965
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
OIL & GAS FIELD EXPLORATION--5.1%
6,600 Devon Energy Corp. .................................... $ 386,958
9,200 Grant Prideco, Inc.* .................................. 372,324
14,500 Pride International, Inc.* ............................ 449,065
6,900 Ultra Petroleum Corp.* ................................ 359,076
1,400 Unit Corp.* ........................................... 74,438
9,800 W&T Offshore, Inc. .................................... 381,318
----------
2,023,179
----------
OIL REFINING--1.0%
6,200 Frontier Oil Corp. .................................... 286,750
1,600 Sunoco, Inc. .......................................... 118,560
----------
405,310
----------
PAPER & ALLIED PRODUCTS--1.1%
10,000 Rayonier, Inc. ........................................ 431,000
----------
PHARMACEUTICALS--3.9%
6,000 AmerisourceBergen Corp. ............................... 275,940
4,300 Endo Pharmaceuticals Holdings, Inc.*+ ................. 135,536
3,200 Express Scripts, Inc.* ................................ 279,264
10,100 Hospira, Inc.*+ ....................................... 400,970
6,400 Pharmaceutical Product Development, Inc.* ............. 445,376
----------
1,537,086
----------
REAL ESTATE INVESTMENT TRUSTS--6.6%
10,100 CBL & Associates Properties, Inc. ..................... 430,260
8,300 General Growth Properties, Inc. ....................... 418,237
23,500 Host Marriott Corp. ................................... 456,605
9,900 Mills Corp. (The)+ .................................... 391,347
6,200 Public Storage, Inc.+ ................................. 483,724
4,900 Simon Property Group, Inc. ............................ 406,553
----------
2,586,726
----------
RESIDENTIAL CONSTRUCTION--1.1%
560 NVR, Inc.* ............................................ 421,680
----------
RESTAURANTS--2.0%
10,300 Brinker International, Inc. ........................... 428,995
7,800 Yum! Brands, Inc. ..................................... 372,060
----------
801,055
----------
RETAIL - SPECIALTY--1.2%
16,500 Dollar Tree Stores, Inc.* ............................. 452,430
----------
SCHOOLS--1.5%
3,500 Career Education Corp.* ............................... 114,940
13,051 Education Management Corp.* ........................... 490,718
----------
605,658
----------
The accompanying notes are an integral part of the financial statements.
22
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SEMICONDUCTORS--3.2%
14,400 Intersil Corp., Class A $ 408,096
9,600 Lam Research Corp.* 413,760
16,700 Novellus Systems, Inc.* 446,391
-----------
1,268,247
-----------
SERVICES - MANAGEMENT CONSULTING--1.0%
12,500 Accenture Ltd., Class A 408,250
-----------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--1.6%
13,300 Andrew Corp.* 180,348
10,600 Leap Wireless International, Inc.* 446,366
-----------
626,714
-----------
UTILITIES--4.6%
12,700 Alliant Energy Corp. 420,370
11,000 Energen Corp. 393,030
17,100 Energy East Corp. 428,526
11,100 KeySpan Corp. 452,325
3,600 National Fuel Gas Co. 116,568
-----------
1,810,819
-----------
WHOLESALE - DISTRIBUTION--1.1%
14,200 SUPERVALU, Inc.+ 448,720
-----------
Total Common Stocks
(Cost $34,590,608) 37,654,490
-----------
PRINCIPAL
AMOUNT (000'S)
- --------------
REPURCHASE AGREEMENTS--4.5%
$ 320 Bear, Stearns & Co., Inc.**
(Agreement dated 02/28/06 to
be repurchased at $320,381,
collateralized by $260,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $331,508)
2.28%, 03/01/06 320,361
1,454 Bear, Stearns & Co., Inc.
(Agreement dated 02/28/06 to
be repurchased at $1,454,664,
collateralized by $1,175,000 par
amount of U.S. Treasury Note, at a
rate of 3.815%, due 01/15/09, market
value of collateral is $1,498,163)
4.50%, 03/01/06 1,454,482
----------
Total Repurchase Agreements
(Cost $1,774,843) 1,774,843
----------
- --------------------------------------------------------------------------------
VALUE
(NOTE 1)
- --------------------------------------------------------------------------------
Total Investments -- 100.2%
(Cost $36,365,451) $39,429,333
-----------
Liabilities in Excess of Other Assets -- (0.2)% (93,577)
-----------
Net Assets -- 100.0% $39,335,756
===========
- ----------
* Non-income producing.
** Investment purchased with cash collateral received for securities on loan.
(Note 6)
+ Security position is either entirely or partially out on loan. (Note 6)
The accompanying notes are an integral part of the financial statements.
23
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--98.8%
AIRLINES--0.5%
69,200 ExpressJet Holdings, Inc.* ............................ $ 520,384
82,819 World Air Holdings, Inc.* ............................. 718,041
-----------
1,238,425
-----------
APPAREL--0.9%
40,300 Guess?, Inc.*+ ........................................ 1,458,457
28,100 Gymboree Corp. ( The)*+ ............................... 642,366
-----------
2,100,823
-----------
AUTOMOBILE PARTS & EQUIPMENT--0.3%
9,200 Accuride Corp.* ....................................... 104,144
4,400 Group 1 Automotive, Inc.* ............................. 168,432
12,200 TRW Automotive Holdings Corp.*+ ....................... 312,320
-----------
584,896
-----------
AUTOMOBILES & TRUCKS--0.4%
30,600 Navistar International Corp.* ......................... 898,110
-----------
BANKS--4.3%
2,800 BancFirst Corp. ....................................... 236,880
29,934 Banner Corp. .......................................... 957,888
701 BOK Financial Corp.+ .................................. 32,155
15,745 Capitol Bancorp Ltd. .................................. 682,388
3,800 Central Pacific Financial Corp. ....................... 140,600
48,600 Corus Bankshares, Inc. ................................ 2,918,430
34,700 Cullen/Frost Bankers, Inc. ............................ 1,912,664
3,700 Digital Insight Corp.* ................................ 122,285
5,280 First Busey Corp. ..................................... 107,765
17,240 Intervest Bancshares Corp.* ........................... 542,370
8,900 MainSource Financial Group, Inc.+ ..................... 162,692
6,300 Nara Bancorp, Inc. .................................... 110,061
6,121 Old Second Bancorp, Inc. .............................. 195,382
4,030 Preferred Bank+ ....................................... 193,682
17,236 Southwest Bancorp, Inc. ............................... 377,296
9,020 TriCo Bancshares+ ..................................... 233,438
3,400 Virginia Financial Group, Inc. ........................ 136,000
83,100 W Holding Company, Inc. ............................... 668,124
11,300 Wilmington Trust Corp. ................................ 483,753
-----------
10,213,853
-----------
BUILDING & BUILDING MATERIALS--1.2%
63,361 Builders FirstSource, Inc.* ........................... 1,502,289
17,100 Building Materials Holding Corp.+ ..................... 1,150,830
7,572 U.S. Concrete, Inc.* .................................. 94,877
-----------
2,747,996
-----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
BUILDING SUPPLIES--0.6%
79,500 BlueLinx Holdings, Inc. ............................... $ 1,262,460
4,600 NCI Building Systems, Inc.*+ .......................... 265,328
-----------
1,527,788
-----------
BUSINESS SERVICES--0.2%
35,588 On Assignment, Inc.* .................................. 394,671
-----------
CELLULAR COMMUNICATIONS--0.4%
68,200 Syniverse Holdings, Inc.* ............................. 975,260
-----------
CHEMICALS - DIVERSIFIED--1.2%
59,100 Celanese Corp., Series A .............................. 1,264,740
70,500 Rockwood Holdings, Inc.* .............................. 1,614,450
-----------
2,879,190
-----------
CHEMICALS - SPECIALTY--1.6%
12,800 H. B. Fuller Co. ...................................... 519,680
128,473 UAP Holding Corp.+ .................................... 2,795,573
18,100 Valspar Corp. ( The ) ................................. 478,383
-----------
3,793,636
-----------
COMMERCIAL BANKS--0.6%
15,455 City Bank ............................................. 654,056
16,500 Dollar Financial Corp.*+ .............................. 233,475
7,043 Lakeland Bancorp, Inc. ................................ 109,730
10,400 Western Alliance Bancorp* ............................. 365,872
-----------
1,363,133
-----------
COMMERCIAL SERVICES--0.7%
10,600 Interactive Data Corp.* ............................... 238,500
32,829 Steiner Leisure Ltd.* ................................. 1,399,500
-----------
1,638,000
-----------
COMPUTER NETWORKING PRODUCTS--1.9%
19,600 Adaptec, Inc.* ........................................ 122,696
63,411 Black Box Corp.+ ...................................... 3,029,778
235,800 Brocade Communications Systems, Inc.* ................. 1,242,666
-----------
4,395,140
-----------
COMPUTER SERVICES--1.2%
65,565 Advanced Digital Information Corp.* ................... 567,793
51,315 Sykes Enterprises, Inc.* .............................. 683,516
13,900 Syntel, Inc. .......................................... 236,300
35,096 Tech Data Corp.* ...................................... 1,457,537
-----------
2,945,146
-----------
COMPUTER SOFTWARE--1.4%
10,495 American Reprographics Co.* ........................... 301,206
33,426 Magma Design Automation, Inc.* ........................ 288,132
The accompanying notes are an integral part of the financial statements.
24
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMPUTER SOFTWARE--(CONTINUED)
7,200 StarTek, Inc.+ ......................................... $ 141,840
60,314 SYNNEX Corp.* .......................................... 1,114,000
63,373 Synopsys, Inc.* ........................................ 1,385,968
----------
3,231,146
----------
COMPUTERS, SOFTWARE & SERVICING--1.4%
83,686 Peerless Systems Corp.* ................................ 625,135
63,734 Spansion, Inc.*+ ....................................... 930,516
57,580 VeriFone Holdings, Inc.* ............................... 1,520,112
45,300 WebMethods, Inc.* ...................................... 337,032
----------
3,412,795
----------
CONSTRUCTION & BUILDING MATERIALS--0.3%
19,187 Insteel Industries, Inc. ............................... 716,251
----------
CONSUMER PRODUCTS--0.3%
7,166 American Greetings Corp., Class A ...................... 150,343
10,300 CSS Industries, Inc.+ .................................. 317,240
27,400 Playtex Products, Inc.* ................................ 287,700
----------
755,283
----------
DATA PROCESSING--0.5%
95,803 infoUSA, Inc. .......................................... 1,125,685
----------
ELECTRIC SERVICES--0.1%
6,300 Pike Electric Corp.* ................................... 120,015
----------
ELECTRICAL EQUIPMENT--1.7%
35,700 Acuity Brands, Inc. .................................... 1,409,793
24,900 Regal-Beloit Corp. ..................................... 1,001,976
58,274 Superior Essex, Inc.* .................................. 1,525,031
----------
3,936,800
----------
ELECTRICAL WORK--0.1%
5,100 Allete, Inc. ........................................... 238,017
----------
ELECTRONIC COMPONENTS & ACCESSORIES--2.6%
57,230 Electro Scientific Industries, Inc.* ................... 1,428,461
12,936 Exar Corp.* ............................................ 161,053
28,641 Multi-Fineline Electronix, Inc.* ....................... 1,630,819
11,080 Nu Horizons Electronics Corp.* ......................... 96,729
73,969 Planar Systems, Inc.* .................................. 1,149,478
52,881 Plexus Corp.* .......................................... 1,774,686
----------
6,241,226
----------
ENGINEERING--0.7%
28,400 Foster Wheeler Ltd.* ................................... 1,363,200
6,100 Sterling Construction Co., Inc.* ....................... 112,362
----------
1,475,562
----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
ENVIRONMENTAL SERVICES--0.0%
5,800 Tetra Tech, Inc.* ...................................... $ 103,298
----------
FINANCIAL SERVICES--1.8%
4,500 Cash America International, Inc. ....................... 120,600
24,286 GFI Group, Inc.* ....................................... 1,458,617
2,600 IntercontinentalExchange, Inc.*+ ....................... 142,350
29,800 Investment Technology Group, Inc.* ..................... 1,355,304
6,900 Marlin Business Services, Inc.* ........................ 158,700
9,046 Nicholas Financial, Inc.* .............................. 107,286
14,900 optionsXpress Holdings, Inc. ........................... 458,622
10,611 Triad Guaranty, Inc.* .................................. 481,633
----------
4,283,112
----------
FOOD & AGRICULTURE--0.3%
12,703 Gold Kist, Inc.* ....................................... 168,569
22,330 Premium Standard Farms, Inc. ........................... 334,950
26,760 Spartan Stores, Inc.+ .................................. 315,500
----------
819,019
----------
HEALTH CARE--0.7%
56,900 Odyssey HealthCare, Inc.* .............................. 1,070,858
11,700 Sierra Health Services, Inc.* .......................... 487,773
3,000 WellCare Health Plans, Inc.* ........................... 116,850
----------
1,675,481
----------
HOME FURNISHINGS--0.2%
38,800 Kimball International, Inc., Class B ................... 549,796
----------
HOSPITALS--0.5%
24,700 Universal Health Services, Inc., Class B+ .............. 1,240,681
----------
HOTELS & MOTELS--0.8%
40,300 Choice Hotels International, Inc.+ ..................... 1,794,559
----------
INSURANCE - HEALTH & LIFE--2.3%
40,100 FBL Financial Group, Inc., Class A ..................... 1,372,222
26,500 Reinsurance Group of America, Inc. ..................... 1,225,095
51,300 StanCorp Financial Group, Inc. ......................... 2,775,330
----------
5,372,647
----------
INSURANCE - PROPERTY & CASUALTY--4.3%
26,340 Affirmative Insurance Holdings, Inc. ................... 363,229
64,800 American Financial Group, Inc. ......................... 2,682,720
21,800 Arch Capital Group Ltd.* ............................... 1,233,008
85,700 Capital Title Group, Inc. .............................. 539,053
16,472 EMC Insurance Group, Inc.+ ............................. 403,893
23,395 Harleysville Group, Inc. ............................... 615,990
94,852 IPC Holdings Ltd. ...................................... 2,491,762
8,940 National Atlantic Holdings Corp.* ...................... 104,598
29,500 Platinum Underwriters Holdings Ltd. .................... 903,290
The accompanying notes are an integral part of the financial statements.
25
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
INSURANCE - PROPERTY & CASUALTY--(CONTINUED)
9,900 Stewart Information Services Corp. .................... $ 464,805
11,360 United America Indemnity Ltd., Class A* ............... 258,440
-----------
10,060,788
-----------
INTERNET CONTENT--0.1%
14,800 Digitas, Inc.* ........................................ 209,124
-----------
INTERNET SOFTWARE--0.2%
66,826 SonicWALL, Inc.* ...................................... 448,402
-----------
INVESTMENT--0.1%
20,900 Prospect Energy Corp. ................................. 345,686
-----------
LABORATORY ANALYTICAL INSTRUMENTS--0.1%
5,300 Varian, Inc.* ......................................... 211,470
-----------
LEISURE & ENTERTAINMENT--0.9%
74,800 Bluegreen Corp.* ...................................... 1,187,076
17,467 Monarch Casino & Resort, Inc.* ........................ 468,290
10,800 Penn National Gaming, Inc.* ........................... 374,544
-----------
2,029,910
-----------
MACHINERY--1.8%
54,552 Columbus McKinnon Corp.*+ ............................. 1,467,449
10,300 DXP Enterprises, Inc.* ................................ 194,670
23,218 Flow International Corp.*+ ............................ 303,459
37,000 JLG Industries, Inc.+ ................................. 2,182,630
-----------
4,148,208
-----------
MANUFACTURING--2.9%
24,600 Advanced Energy Industries, Inc.* ..................... 352,272
11,100 Albany International Corp., Class A ................... 412,587
25,528 Cavco Industries, Inc.* ............................... 1,175,564
15,800 Fleetwood Enterprises, Inc.*+ ......................... 178,540
37,381 Freightcar America, Inc. .............................. 2,635,361
18,500 Teleflex, Inc. ........................................ 1,196,025
27,700 Valmont Industries, Inc. .............................. 1,007,449
-----------
6,957,798
-----------
MEDICAL & MEDICAL SERVICES--1.3%
6,247 AMICAS, Inc.* ......................................... 30,673
39,322 Kendle International, Inc.* ........................... 1,248,473
25,200 Osteotech, Inc.* ...................................... 115,164
16,900 Pediatrix Medical Group, Inc.*+ ....................... 1,595,022
-----------
2,989,332
-----------
MEDICAL INSTRUMENTS & SUPPLIES--1.1%
54,345 Candela Corp.* ........................................ 1,040,707
28,836 ICU Medical, Inc.* .................................... 1,012,143
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
MEDICAL INSTRUMENTS & SUPPLIES--(CONTINUED)
4,600 IDEXX Laboratories, Inc.* ............................. $ 361,468
5,700 Molecular Devices Corp.* .............................. 181,431
-----------
2,595,749
-----------
METALS--1.7%
78,400 Commercial Metals Co. ................................. 3,550,736
13,620 Gibraltar Industries, Inc. ............................ 347,446
3,200 Mueller Industries, Inc. .............................. 105,632
-----------
4,003,814
-----------
MOBILE HOMES--0.1%
10,505 Palm Harbor Homes, Inc.* .............................. 220,080
-----------
MORTGAGE--2.8%
99,800 Doral Financial Corp.+ ................................ 1,113,768
121,500 Fremont General Corp. ................................. 2,881,980
68,300 IndyMac Bancorp, Inc. ................................. 2,651,406
-----------
6,647,154
-----------
MUSICAL INSTRUMENTS--0.0%
3,000 Steinway Musical Instruments, Inc.* ................... 98,850
-----------
OFFICE & BUSINESS EQUIPMENT--0.4%
18,800 United Stationers, Inc.* .............................. 930,600
-----------
OIL & GAS EQUIPMENT & SERVICES--0.4%
30,600 Dresser-Rand Group, Inc.* ............................. 773,874
7,000 Laclede Group, Inc. (The) ............................. 235,830
-----------
1,009,704
-----------
OIL & GAS EXPLORATION--0.1%
25,600 Petrohawk Energy Corp.* ............................... 323,328
-----------
OIL & GAS FIELD EXPLORATION--2.6%
1,900 Clayton Williams Energy, Inc.* ........................ 82,593
43,600 Exploration Company of Delaware (The)* ................ 431,204
14,300 Forest Oil Corp.* ..................................... 709,995
111,900 Harvest Natural Resources, Inc.*+ ..................... 1,008,219
1,800 Penn Virginia Corp. ................................... 111,330
25,550 RPC, Inc.+ ............................................ 541,404
24,800 St. Mary Land & Exploration Co. ....................... 952,072
3,600 Swift Energy Co.* ..................................... 139,536
192,750 VAALCO Energy, Inc.* .................................. 1,262,513
15,600 W&T Offshore, Inc. .................................... 606,996
12,200 Western Refining, Inc.* ............................... 198,128
-----------
6,043,990
-----------
OIL & GAS FIELD SERVICES--0.0%
2,800 Hercules Offshore, Inc.* .............................. 85,120
-----------
The accompanying notes are an integral part of the financial statements.
26
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
OIL REFINING--1.6%
42,200 Alon USA Energy, Inc.* ................................ $ 820,790
62,700 Frontier Oil Corp. .................................... 2,899,875
-----------
3,720,665
-----------
PAPER & ALLIED PRODUCTS--0.3%
74,200 Xerium Technologies, Inc.+ ............................ 686,350
-----------
PHARMACEUTICALS--2.0%
96,300 Alpharma, Inc., Class A ............................... 2,913,075
400 Nutraceutical International Corp.* .................... 5,748
25,331 PAREXEL International Corp.* .......................... 648,980
63,200 ViroPharma, Inc.*+ .................................... 1,222,920
-----------
4,790,723
-----------
POWER, DISTRIBUTION & SPECIALTY TRANSFORMERS--0.1%
7,800 Ormat Technologies, Inc.+ ............................. 299,754
-----------
PRINTING--0.1%
2,300 Consolidated Graphics, Inc.* .......................... 117,461
-----------
PROPERTY & CASUALITY INSURANCE--0.1%
16,125 Republic Companies Group, Inc.+ ....................... 277,028
-----------
REAL ESTATE INVESTMENT TRUSTS--10.0%
70,600 Associated Estates Realty Corp. ....................... 794,956
63,300 CBL & Associates Properties, Inc. ..................... 2,696,580
65,500 Digital Realty Trust, Inc. ............................ 1,808,455
35,300 Entertainment Properties Trust ........................ 1,459,655
59,200 Equity Lifestyle Properties, Inc. ..................... 2,823,248
137,700 Felcor Lodging Trust, Inc.+ ........................... 2,733,345
44,258 Glimcher Realty Trust ................................. 1,180,803
87,000 HRPT Properties Trust ................................. 932,640
65,600 Mills Corp. (The)+ .................................... 2,593,168
60,200 OMEGA Healthcare Investors, Inc. ...................... 778,988
47,900 PS Business Parks, Inc.+ .............................. 2,547,801
28,400 Tanger Factory Outlet Centers, Inc. ................... 917,320
59,400 Taubman Centers, Inc.+ ................................ 2,360,556
-----------
23,627,515
-----------
RESIDENTIAL CONSTRUCTION--0.7%
57,200 Champion Enterprises, Inc.*+ .......................... 887,744
26,400 Standard Pacific Corp. ................................ 867,240
-----------
1,754,984
-----------
RESTAURANTS--1.6%
117,800 Domino's Pizza, Inc. .................................. 3,003,900
49,831 Main Street Restaurant Group, Inc.*+ .................. 274,070
15,002 Papa John's International, Inc.* ...................... 493,566
-----------
3,771,536
-----------
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
RETAIL - SPECIALTY--6.3%
64,400 Barnes & Noble, Inc.+ ................................. $ 2,773,708
31,400 Claire's Stores, Inc. ................................. 1,006,056
38,703 Conn's, Inc.* ......................................... 1,441,687
5,100 Deb Shops, Inc. ....................................... 161,415
54,900 Dollar Tree Stores, Inc.* ............................. 1,505,358
34,500 Dress Barn, Inc. (The)* ............................... 1,489,710
30,201 EZCORP, Inc., Class A* ................................ 653,247
62,900 Rent-A-Center, Inc.* .................................. 1,468,086
9,800 REX Stores Corp.* ..................................... 150,136
5,000 Shoe Carnival, Inc.*+ ................................. 112,350
63,800 Sonic Automotive, Inc.+ ............................... 1,690,062
32,500 Sportsman's Guide, Inc. (The)* ........................ 821,925
53,900 Steven Madden Ltd.* ................................... 1,727,495
-----------
15,001,235
-----------
RUBBER & MISC PLASTICS--0.4%
41,512 PW Eagle, Inc.* ....................................... 917,000
-----------
SAVINGS & LOAN ASSOCIATIONS--4.4%
33,500 BankUnited Financial Corp., Class A ................... 935,990
32,100 Commercial Capital Bancorp, Inc. ...................... 459,993
6,000 First Financial Holdings, Inc.+ ....................... 193,920
25,677 First Place Financial Corp. ........................... 613,423
4,000 FirstFed Financial Corp.*+ ............................ 240,040
7,995 ITLA Capital Corp.* ................................... 370,009
9,800 MAF Bancorp, Inc. ..................................... 420,028
10,482 PFF Bancorp, Inc. ..................................... 329,449
10,502 Provident Financial Holdings, Inc. .................... 312,960
32,481 Sterling Financial Corp. .............................. 940,000
76,504 TierOne Corp. ......................................... 2,524,632
118,318 Washington Federal, Inc. .............................. 2,799,404
19,700 Willow Grove Bancorp, Inc ............................. 334,506
-----------
10,474,354
-----------
SCHOOLS--0.6%
40,493 Education Management Corp.* ........................... 1,522,537
-----------
SEMICONDUCTORS--4.0%
70,799 Cirrus Logic, Inc.* ................................... 537,364
97,021 Cohu, Inc.+ ........................................... 2,049,083
8,000 Cymer, Inc.* .......................................... 359,840
50,300 EMCOR Group, Inc.* .................................... 2,192,577
209,400 LTX Corp.* ............................................ 1,185,204
118,946 Mattson Technology, Inc.* ............................. 1,436,868
18,000 Zoran Corp.*+ ......................................... 356,040
76,966 Zygo Corp.* ........................................... 1,323,046
-----------
9,440,022
-----------
The accompanying notes are an integral part of the financial statements.
27
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
SERVICES - MANAGEMENT CONSULTING--0.6%
136,400 Spherion Corp.* ................................... $ 1,361,272
------------
STEEL--0.6%
51,100 Olympic Steel, Inc. ............................... 1,346,996
3,200 Steel Technologies, Inc. .......................... 88,288
------------
1,435,284
------------
TELECOMMUNICATIONS & EQUIPMENT--0.4%
62,400 Andrew Corp.* ..................................... 846,144
------------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--3.7%
8,000 Audiovox Corp., Class A* .......................... 102,160
4,180 CalAmp Corp.* ..................................... 42,009
56,700 Cincinnati Bell, Inc.* ............................ 231,903
53,900 Commonwealth Telephone Enterprises, Inc.+ ......... 1,739,892
115,300 First BanCorp.+ ................................... 1,459,698
64,500 Iowa Telecommunications Services, Inc. ............ 1,141,650
29,000 Leap Wireless International, Inc.* ................ 1,221,190
108,042 Lightbridge, Inc.* ................................ 1,059,892
111,300 Talk America Holdings, Inc.* ...................... 949,389
18,936 West Corp.* ....................................... 824,284
------------
8,772,067
------------
TELEPHONE--0.3%
49,614 Valor Communications Group, Inc. .................. 612,733
------------
TRANSPORTATION--4.6%
27,500 Atlas Air Worldwide Holdings, Inc.* ............... 1,313,125
41,100 EGL, Inc.* ........................................ 1,662,495
124,322 Genco Shipping & Trading Ltd. ..................... 2,030,178
136,600 OMI Corp. ......................................... 2,390,500
64,010 Pacer International, Inc. ......................... 2,038,719
5,900 TAL International Group, Inc.* .................... 125,906
29,400 YRC Worldwide, Inc.* .............................. 1,406,496
------------
10,967,419
------------
UTILITIES--3.0%
29,800 AGL Resources, Inc. ............................... 1,069,820
12,100 Avista Corp. ...................................... 237,160
81,400 Energen Corp. ..................................... 2,908,422
85,700 National Fuel Gas Co.+ ............................ 2,774,966
5,100 Southern Union Co.* ............................... 125,562
------------
7,115,930
------------
WASTE MANAGEMENT--0.8%
67,545 Metal Management, Inc. ............................ 1,905,444
------------
Total Common Stocks
(Cost $214,576,575) ............................. 233,564,004
------------
- --------------------------------------------------------------------------------
VALUE
SHARES/UNITS (NOTE 1)
- --------------------------------------------------------------------------------
WARRANTS--0.0%
SAVINGS & LOAN ASSOCIATIONS--0.0%
4,100 Dime Community Bancshares, Litigation
Tracking Warrants* .............................. $ 574
------------
Total Warrants
(Cost $768) ..................................... 574
------------
PRINCIPAL
AMOUNT (000'S)
- --------------
REPURCHASE AGREEMENTS--2.3%
$ 678 Bear, Stearns & Co., Inc.**
(Agreement dated 02/28/06 to
be repurchased at $678,259,
collateralized by $550,000 par
amount of U.S. Treasury Note, at a
rate of 3.875%, due 01/15/09, market
value of collateral is $701,268)
2.28%, 03/01/06 ................................. 678,216
4,800 Bear, Stearns & Co., Inc.
(Agreement dated 02/28/06 to
be repurchased at $4,800,952,
collateralized by $1,915,000 par
amount of U.S. Treasury Note, at a rate
of 3.875%, due 01/15/09, market
value of collateral is $2,441,686 and
$2,245,000 par amount of U.S. Treasury
Bond at a rate of 2.375%, due 01/15/25,
market value of collateral is $2,497,612)
4.50%, 03/01/06 ................................. 4,800,352
------------
Total Repurchase Agreements
(Cost $5,478,568) ................................ 5,478,568
------------
Total Investments -- 101.1%
(Cost $220,055,911) .......................................... 239,043,146
------------
Liabilities in Excess of Other Assets -- (1.1)% ................ (2,699,682)
------------
Net Assets -- 100.0% ........................................... $236,343,464
============
- ----------
* Non-income producing.
** Investment purchased with cash collateral received for securities on loan.
(Note 6)
+ Security position is either entirely or partially out on loan. (Note 6)
The accompanying notes are an integral part of the financial statements.
28
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2006 (UNAUDITED)
EMERGING GROWTH GROWTH MID CAP SMALL CAP VALUE
FUND FUND FUND FUND
--------------- ------------- ------------- ---------------
ASSETS
Investments, at value, including securities on loan
(Note 6) (Cost -- $127,340,281, $43,826,881,
$36,365,451 and $220,055,911, respectively) ... $ 144,548,029 $ 48,105,871 $ 39,429,333 $ 239,043,146
Dividends and interest receivable ................. 87,935 27,314 24,766 226,781
Receivable for investments sold ................... 3,926,846 1,370,236 2,149,325 7,058,424
Receivable for capital shares sold ................ 90,642 15,301 2,800 444,402
Prepaid expenses and other assets ................. 20,360 12,434 12,050 30,315
------------- ------------- ------------- -------------
Total assets ................................... 148,673,812 49,531,156 41,618,274 246,803,068
------------- ------------- ------------- -------------
LIABILITIES
Payable for investments purchased ................. 3,722,876 1,216,947 1,897,945 9,263,808
Payable upon return of securities loaned (Note 6) . 812,413 220,759 320,361 678,216
Payable for capital shares redeemed ............... 84,319 100 2,043 307,149
Investment advisory fee payable ................... 82,780 11,780 25,710 80,632
Accrued expenses and other liabilities ............ 85,459 31,159 36,459 129,799
------------- ------------- ------------- -------------
Total liabilities .............................. 4,787,847 1,480,745 2,282,518 10,459,604
------------- ------------- ------------- -------------
NET ASSETS
Capital stock, $0.001 par value ................... 9,478 3,008 2,130 13,047
Additional paid-in capital ........................ 115,524,565 42,330,610 33,614,552 205,605,893
Undistributed net investment income/(accumulated
loss) .......................................... (273,876) (12,148) 16,033 726,772
Accumulated net realized gain from
investments .................................... 11,418,050 1,449,951 2,639,159 11,010,517
Net unrealized appreciation on investments ........ 17,207,748 4,278,990 3,063,882 18,987,235
------------- ------------- ------------- -------------
Net assets applicable to shares outstanding ....... $ 143,885,965 $ 48,050,411 $ 39,335,756 $ 236,343,464
============= ============= ============= =============
Shares outstanding ................................... 9,477,430 3,007,886 2,129,773 13,046,806
------------- ------------- ------------- -------------
Net asset value, offering and redemption price
per share ......................................... $15.18 $15.97 $18.47 $18.12
====== ====== ====== ======
The accompanying notes are an integral part of the financial statements.
29
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2006 (UNAUDITED)
EMERGING GROWTH GROWTH MID CAP SMALL CAP VALUE
FUND FUND FUND FUND
--------------- ------------ ------------ ---------------
INVESTMENT INCOME
Dividends* .......................................... $ 506,896 $ 172,375 $ 271,744 $ 2,113,335
Payment by affiliate (Note 2) ....................... -- -- -- 1,030,087
Interest ............................................ 59,095 20,916 20,236 77,507
Securities lending (Note 6) ......................... 27,265 7,557 5,388 30,261
------------ ------------ ------------ ------------
Total investment income ............................. 593,256 200,848 297,368 3,251,190
------------ ------------ ------------ ------------
EXPENSES
Investment advisory fees (Note 2) ................... 553,694 73,389 99,151 843,604
Co-Administration fees (Note 2) ..................... 148,410 59,278 53,021 214,295
Administrative services fees ........................ 110,739 33,873 27,334 173,085
Transfer agent fees ................................. 33,000 21,000 28,200 41,999
Professional fees ................................... 24,788 11,246 10,597 34,021
Printing and shareholder reporting fees ............. 30,000 7,500 12,001 48,000
Custodian fees ...................................... 22,148 6,775 5,467 37,557
Shareholder service fees (Note 3) ................... 26,696 14,402 9,588 22,800
Directors' and officers' fees ....................... 15,139 8,758 8,404 22,010
Registration and filing fees ........................ 9,203 7,074 7,009 11,833
Other expenses ...................................... 5,899 1,558 2,524 8,737
------------ ------------ ------------ ------------
Total expenses before waivers .................... 979,716 244,853 263,296 1,457,941
Less: waivers .................................... (112,584) (31,857) (26,190) (175,970)
------------ ------------ ------------ ------------
Net expenses after waivers ....................... 867,132 212,996 237,106 1,281,971
------------ ------------ ------------ ------------
Net investment income/(loss) ..................... (273,876) (12,148) 60,262 1,969,219
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS:
Net realized gain from investments .................. 13,695,075 2,702,569 3,588,600 14,723,204
Net change in unrealized appreciation on
investments ....................................... 4,354,291 1,375,385 477,493 4,980,757
------------ ------------ ------------ ------------
Net realized and unrealized gain from
investments ....................................... 18,049,366 4,077,954 4,066,093 19,703,961
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS ..................................... $ 17,775,490 $ 4,065,806 $ 4,126,355 $ 21,673,180
============ ============ ============ ============
* Net of foreign withholding taxes of $317, $166, and $1,737 for the
Emerging Growth Fund, Growth Fund, and Small Cap Value Fund, respectively.
The accompanying notes are an integral part of the financial statements.
30
[THIS PAGE INTENTIONALLY LEFT BLANK.]
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
EMERGING GROWTH GROWTH
FUND FUND
------------------------------------ -------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED FISCAL SIX MONTHS ENDED FISCAL
FEBRUARY 28, 2006 YEAR ENDED FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005 (UNAUDITED) AUGUST 31, 2005
----------------- --------------- ----------------- ---------------
INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income/(loss) .................... $ (273,876) $ (1,021,175) $ (12,148) $ (252,448)
Net increase from payments from affiliate ....... -- -- -- --
Net realized gain from investments and
futures transactions, if any ................. 13,695,075 26,328,257 2,702,569 6,841,103
Net change in unrealized appreciation on
investments .................................. 4,354,291 8,725,455 1,375,385 1,811,661
------------- ------------- ------------- -------------
Net increase in net assets resulting from
operations ................................... 17,775,490 34,032,537 4,065,806 8,400,316
------------- ------------- ------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................... -- -- -- --
Net realized capital gains ...................... (26,155,202) (35,927,417) (3,932,855) --
------------- ------------- ------------- -------------
Total dividends and distributions to shareholders (26,155,202) (35,927,417) (3,932,855) --
------------- ------------- ------------- -------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5) .............. (4,218,849) 24,848,186 3,392,116 48,952
------------- ------------- ------------- -------------
Total increase/(decrease) in net assets ......... (12,598,561) 22,953,306 3,525,067 8,449,268
NET ASSETS
Beginning of period ............................. 156,484,526 133,531,220 44,525,344 36,076,076
------------- ------------- ------------- -------------
End of period* .................................. $ 143,885,965 $ 156,484,526 $ 48,050,411 $ 44,525,344
============= ============= ============= =============
- ----------
* Includes undistributed net investment income/loss as follows:
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 FISCAL YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------- -----------------
Emerging Growth Fund ............................... $ (273,876) --
Growth Fund ........................................ (12,148) --
Mid Cap Fund ....................................... 16,033 $ 43,897
Small Cap Value Fund ............................... 726,772 638,828
The accompanying notes are an integral part of the financial statements.
32
MID CAP SMALL CAP VALUE
FUND FUND
------------------------------------ -------------------------------------
FOR THE FOR THE FOR THE FOR THE
SIX MONTHS ENDED FISCAL SIX MONTHS ENDED FISCAL
FEBRUARY 28, 2006 YEAR ENDED FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005 (UNAUDITED) AUGUST 31, 2005
----------------- ---------------- ----------------- ---------------
INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income/(loss) .................... $ 60,262 $ 43,939 $ 939,132 $ 999,051
Net increase from payments from affiliate ....... -- -- 1,030,087 --
Net realized gain from investments and
futures transactions, if any ................. 3,588,600 6,385,458 14,723,204 45,589,269
Net change in unrealized appreciation on
investments .................................. 477,493 1,831,144 4,980,757 7,367,445
------------- ------------- ------------- -------------
Net increase in net assets resulting from
operations ................................... 4,126,355 8,260,541 21,673,180 53,955,765
------------- ------------- ------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................... (88,126) (138,900) (1,881,275) (823,256)
Net realized capital gains ...................... (6,256,944) (156,081) (43,503,123) (38,374,363)
------------- ------------- ------------- -------------
Total dividends and distributions to shareholders (6,345,070) (294,981) (45,384,398) (39,197,619)
------------- ------------- ------------- -------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5) .............. 5,721,993 (2,954,817) 17,225,049 30,776,859
------------- ------------- ------------- -------------
Total increase/(decrease) in net assets ......... 3,503,278 5,010,743 (6,486,169) 45,535,005
NET ASSETS
Beginning of period ............................. 35,832,478 30,821,735 242,829,633 197,294,628
------------- ------------- ------------- -------------
End of period* .................................. $ 39,335,756 $ 35,832,478 $ 236,343,464 $ 242,829,633
============= ============= ============= =============
33
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
EMERGING GROWTH FUND
-----------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED
FEBRUARY 28, FOR THE FISCAL YEARS ENDED AUGUST 31,
2006 ----------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
---------------- -------- -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period .......... $ 16.20 $ 17.48 $ 15.81 $ 11.81 $ 12.73 $ 20.99
-------- -------- -------- -------- -------- --------
Net investment loss ........................... (0.03)(1) (0.11) (0.11)(1) (0.07)(1) (0.10) (0.07)
Net realized and unrealized gain/(loss) from
investments (2) ............................. 1.73 3.53 2.12 4.07 (0.82) (3.58)
-------- -------- -------- -------- -------- --------
Net increase/(decrease) in net assets
resulting from operations ................... 1.70 3.42 2.01 4.00 (0.92) (3.65)
-------- -------- -------- -------- -------- --------
Distributions to shareholders from:
Net realized capital gains .................... (2.72) (4.70) (0.34) -- -- (4.61)
-------- -------- -------- -------- -------- --------
Redemption fees (Note 5)* ..................... -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Net asset value, end of period ................ $ 15.18 $ 16.20 $ 17.48 $ 15.81 $ 11.81 $ 12.73
======== ======== ======== ======== ======== ========
Total investment return (3) ................... 13.01% 26.06% 12.71% 33.87% (7.23)% (20.16)%
======== ======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ..... $143,886 $156,485 $133,531 $130,286 $ 96,865 $139,927
Ratio of expenses to average net assets (4) ... 1.17%(5) 1.18% 1.15% 1.20% 1.12% 1.07%
Ratio of expenses to average net assets
without waivers, if any ..................... 1.33%(5) 1.33% 1.31% 1.36% 1.26% 1.25%
Ratio of net investment loss to average
net assets (4) .............................. (0.37)%(5) (0.68)% (0.58)% (0.55)% (0.75)% (0.67)%
Portfolio turnover rate ....................... 106.69% 318.36% 269.90% 227.46% 216.40% 280.00%
- ----------
* Amount is less than $0.01 per share.
(1) Calculated based on average shares outstanding for the period.
(2) The amounts shown for a share outstanding throughout the respective
periods are not in accord with the changes in the aggregate gains and
losses on investments during the respective periods because of the timing
of the sales and repurchases of fund shares in relation to fluctuating net
asset values during the respective periods.
(3) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestment of dividends and distributions, if any.
(4) Reflects waivers and expense reimbursements, if any.
(5) Annualized.
The accompanying notes are an integral part of the financial statements.
34
GROWTH FUND
------------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE FISCAL YEARS ENDED AUGUST 31,
FEBRUARY 28, 2006 ---------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
----------------- ------- ------- ------- ------- -------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............ $ 16.08 $ 12.99 $ 11.53 $ 9.07 $ 10.48 $ 23.69
------- ------- ------- ------- ------- -------
Net investment loss ............................. --(1) (0.09)(1) (0.09)(1) (0.08)(1) (0.10) (0.10)
Net realized and unrealized gain/(loss) from
investments (2) ............................... 1.31 3.18 1.55 2.54 (1.31) (6.59)
------- ------- ------- ------- ------- -------
Net increase/(decrease) in net assets
resulting from operations ..................... 1.31 3.09 1.46 2.46 (1.41) (6.69)
------- ------- ------- ------- ------- -------
Distributions to shareholders from:
Net realized capital gains ...................... (1.42) -- -- -- -- (6.52)
------- ------- ------- ------- ------- -------
Redemption fees (Note 5)* ....................... -- -- -- -- -- --
------- ------- ------- ------- ------- -------
Net asset value, end of period .................. $ 15.97 $ 16.08 $ 12.99 $ 11.53 $ 9.07 $ 10.48
======= ======= ======= ======= ======= =======
Total investment return (3) ..................... 9.20% 23.79% 12.66% 27.12% (13.45)% (36.45)%
======= ======= ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ....... $48,050 $44,525 $36,076 $33,809 $34,034 $39,930
Ratio of expenses to average net assets (4) ..... 0.94%(5) 1.20% 1.36% 1.49% 1.35% 1.08%
Ratio of expenses to average net assets
without waivers, if any ....................... 1.08%(5) 1.39% 1.59% 1.79% 1.54% 1.36%
Ratio of net investment loss to average
net assets (4) ................................ (0.05)(5) (0.62)% (0.65)% (0.81)% (0.96)% (0.70)%
Portfolio turnover rate ......................... 122.78% 343.20% 291.02% 237.59% 241.28% 271.29%
35
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS (CONCLUDED)
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
MID CAP FUND
--------------------------------------------------------------------------
FOR THE
SIX MONTHS
ENDED
FEBRUARY 28, FOR THE FISCAL YEARS ENDED AUGUST 31,
2006 --------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
------------ ------- ------- ------- ------- -------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................ $ 20.16 $ 15.82 $ 13.88 $ 11.98 $ 13.16 $ 19.22
------- ------- ------- ------- ------- -------
Net investment income/(loss) ........................ 0.03(1) 0.02(1) 0.07 0.08 0.08 0.06
Net realized and unrealized gain/(loss) from
investments (2) ................................... 1.88 4.47 1.96 1.90 (1.22) (2.98)
------- ------- ------- ------- ------- -------
Net increase/(decrease) in net assets resulting
from operations ................................... 1.91 4.49 2.03 1.98 (1.14) (2.92)
------- ------- ------- ------- ------- -------
Dividends and distributions to shareholders from:
Net investment income ............................... (0.05) (0.07) (0.09) (0.08) (0.06) (0.08)
Net realized capital gains .......................... (3.55) (0.08) -- -- -- (3.06)
------- ------- ------- ------- ------- -------
Total dividends and distributions to shareholders ... (3.60) (0.15) (0.09) (0.08) (0.06) (3.14)
------- ------- ------- ------- ------- -------
Redemption fees (Note 5) ............................ --* --* --* --* 0.02 --*
------- ------- ------- ------- ------- -------
Net asset value, end of period ...................... $ 18.47 $ 20.16 $ 15.82 $ 13.88 $ 11.98 $ 13.16
------- ------- ------- ------- ------- -------
Total investment return (3) ......................... 11.80% 28.52% 14.64% 16.70% (8.48)% (17.42)%
------- ------- ------- ------- ------- -------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $39,336 $35,832 $30,822 $26,112 $25,109 $31,198
Ratio of expenses to average net assets (4) ......... 1.30%(5) 1.23% 0.97% 1.00% 0.85% 0.91%
Ratio of expenses to average net assets without
waivers, if any ................................... 1.44%(5) 1.44% 1.35% 1.52% 1.27% 1.39%
Ratio of net investment income/(loss) to
average net assets (4) ............................ 0.33%(5) 0.13% 0.47% 0.66% 0.59% 0.39%
Portfolio turnover rate ............................. 157.24% 321.41% 292.78% 227.20% 270.77% 318.28%
- -----------
* Amount is less than $0.01 per share.
(1) Calculated based on average shares outstanding for the period.
(2) The amounts shown for a share outstanding throughout the respective
periods are not in accord with the changes in the aggregate gains and
losses on investments during the respective periods because of the timing
of the sales and repurchases of fund shares in relation to fluctuating net
asset values during the respective periods.
(3) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestment of dividends and distributions, if any.
(4) Reflects waivers and expense reimbursements, if any.
(5) Annualized.
The accompanying notes are an integral part of the financial statements.
36
SMALL CAP VALUE FUND
-----------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE FISCAL YEARS ENDED AUGUST 31,
FEBRUARY 28, 2006 ---------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
----------------- -------- -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................. $ 20.43 $ 19.90 $ 18.46 $ 16.86 $ 17.61 $ 12.91
-------- -------- -------- -------- -------- --------
Net investment income/(loss) ......................... 0.16(1) 0.08(1) 0.09 0.05 (0.05) 0.02
Net realized and unrealized gain/(loss) from
investments (2) .................................... 1.39 4.29 3.67 2.90 1.71 4.79
-------- -------- -------- -------- -------- --------
Net increase/(decrease) in net assets resulting
from operations .................................... 1.55 4.37 3.76 2.95 1.66 4.81
-------- -------- -------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ................................ (0.15) (0.08) (0.09) -- (0.02) (0.14)
Net realized capital gains ........................... (3.71) (3.76) (2.24) (1.41) (2.58) --
-------- -------- -------- -------- -------- --------
Total dividends and distributions to shareholders..... (3.86) (3.84) (2.33) (1.41) (2.60) (0.14)
-------- -------- -------- -------- -------- --------
Redemption fees (Note 5) ............................. --* --* 0.01 0.06 0.19 0.03
-------- -------- -------- -------- -------- --------
Net asset value, end of period ....................... $ 18.12 $ 20.43 $ 19.90 $ 18.46 $ 16.86 $ 17.61
-------- -------- -------- -------- -------- --------
Total investment return (3) .......................... 9.88% 26.37% 21.46% 20.51% 13.31% 37.97%
======== ======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ............ $236,343 $242,830 $197,295 $180,497 $130,380 $ 35,564
Ratio of expenses to average net assets (4) .......... 1.11%(5) 0.99% 0.92% 1.55% 1.73% 1.67%
Ratio of expenses to average net assets without
waivers, if any .................................... 1.26%(5) 1.14% 1.07% 1.70% 1.88% 2.14%
Ratio of net investment income/(loss) to
average net assets (4) ............................. 1.71%(5) 0.43% 0.45% 0.33% (0.35)% 0.17%
Portfolio turnover rate .............................. 124.67% 348.63% 366.70% 268.07% 275.73% 277.28%
37
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of the
State of Maryland on February 29, 1988, and is registered under the Investment
Company Act of 1940, as amended (the "Investment Company Act"), as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the Investment Company Act, and for other purposes,
and a shareholder of one portfolio is not deemed to be a shareholder of any
other portfolio. Currently, RBB has seventeen active investment portfolios,
including the N/I NUMERIC INVESTORS FAMILY OF FUNDS ("n/i numeric investors
Family") which consists of four diversified portfolios: N/I NUMERIC INVESTORS
Emerging Growth Fund ("Emerging Growth Fund"), N/I NUMERIC INVESTORS Growth Fund
("Growth Fund"), N/I NUMERIC INVESTORS Mid Cap Fund ("Mid Cap Fund") and N/I
NUMERIC INVESTORS Small Cap Value Fund ("Small Cap Value Fund") (each, a "Fund,"
and collectively, the "Funds").
RBB has authorized capital of thirty billion shares of common stock of which
26.473 billion are currently classified into one hundred and three classes of
common stock. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
PORTFOLIO VALUATION -- The Funds' net asset value ("NAV") is calculated once
daily at the close of regular trading hours on the NYSE (generally 4:00 p.m.
Eastern time) on each day the NYSE is open. Securities held by the Funds are
valued using the closing price or the last sale price on a national securities
exchange or on the National Association of Securities Dealers Automatic
Quotation System ("NASDAQ") market system where they are primarily traded. If
there were no sales on that day or the securities are traded on other
over-the-counter markets, the mean of the last bid and ask prices prior to the
market close are used. Short-term debt securities having a remaining maturity of
60 days or less are amortized to maturity based on their cost. Debt securities
having a remaining maturity of greater than 60 days are valued at the mean
between the bid and ask prices. With the approval of the Company's Board of
Directors, the Funds may use a pricing service, bank or broker/dealer experience
in providing valuations to value the Funds' securities. If market quotations are
unavailable or deemed unreliable, securities will be valued by the Funds'
Valuation Committee following procedures adopted by the Board of Directors.
REPURCHASE AGREEMENTS -- Each Fund has agreed to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at
an agreed-upon time and price ("repurchase agreements"). The financial
institutions with whom each Fund enters into repurchase agreements are banks and
broker/dealers, which Numeric Investors LLC(R) (the Funds' "Adviser" or
"Numeric") considers creditworthy. The seller under a repurchase agreement will
be required to maintain the value of the securities as collateral, subject to
the agreement at not less than the repurchase price plus accrued interest.
38
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Numeric marks to market daily the value of the collateral, and, if necessary,
requires the seller to deposit additional collateral by the next business day,
so that the value of the collateral is not less than the repurchase price.
Default by or bankruptcy of the seller would, however, expose each Fund to
possible loss because of adverse market action or delays in connection with the
disposition of the underlying securities.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Funds record
security transactions on the trade date. The cost of investments sold is
determined by use of the specific identification method for both financial
reporting and income tax purposes in determining realized gains and losses on
investments. Interest income is accrued when earned. Dividend income is recorded
on the ex-dividend date. Distributions received on securities that represent a
return of capital or capital gain are recorded as a reduction of cost of
investments and/or as a realized gain. The Funds estimate the components of
distributions received that may be considered return of capital distributions or
capital gain distributions. Expenses incurred on behalf of a specific fund or
fund family are charged directly to the fund or fund family (in proportion to
net assets). Expenses incurred for all of the RBB families (such as director or
professional fees) are charged to all funds in proportion to their net assets of
the RBB Funds, or in such other manner as the Board of Directors deems fair or
equitable. Expenses and fees, including investment advisory and administration
fees, are accrued daily and taken into account for the purpose of determining
the net asset value of the Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income and distributions from net realized capital gains, if any, will be
declared and recorded on the ex-dividend date and paid at least annually to
shareholders. Income dividends and capital gain distributions are determined in
accordance with U.S. federal income tax regulations, which may differ from
accounting principles generally accepted in the United States of America. These
differences can include the treatment of non-taxable dividends, expiring capital
loss carryforwards, foreign currency gain/loss, and losses deferred due to wash
sales and excise tax regulations. Permanent book and tax basis differences
relating to shareholder distributions will result in reclassifications within
the composition of net assets.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each
Fund's intention to continue to qualify for and elect the tax treatment
applicable to regulated investment companies under Subchapter M of the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to its
shareholders which will be sufficient to relieve it from all or substantially
all U.S. federal income and excise taxes.
OTHER -- In the normal course of business, the Funds may enter into contracts
that provide general indemnifications. The Funds' maximum exposure under these
arrangements is dependent on claims that may be made against the Funds in the
future, and, therefore, cannot be estimated; however, based on experience, the
risk of material loss for such claims is considered remote.
39
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Numeric serves as each Fund's investment adviser. Numeric is entitled to a
performance based fee for its advisory services for the Growth, Mid Cap and
Small Cap Value Funds calculated at the end of each month using a basic fee of
0.85% of average daily net assets and a performance fee adjustment based upon
each Fund's performance during the last rolling 12-month period. Each Fund's net
performance is compared with the performance of its benchmark index during that
same rolling 12-month period. When a Fund's performance is between 4.00% and
4.99% better than its benchmark, it would pay Numeric the basic fee. When a
Fund's performance is at least 5.00% better than its benchmark, it would pay
Numeric more than the basic fee. If a Fund did not perform at least 4.00% better
than its benchmark, Numeric would be paid less than the basic fee. Each 1.00% of
the difference in performance between a Fund and its benchmark plus 4.00% during
the performance period would result in a 0.10% adjustment to the basic fee. The
benchmark index for the Growth Fund is the Russell 2500(R) Growth Index. On
November 12, 2004, during a special meeting, shareholders of the Mid Cap Fund
approved a proposal to change the Fund's benchmark from the S&P MidCap 400(R)
Index to the Russell MidCap(R) Index. The Adviser elected to change the
benchmark index because the Russell MidCap(R) Index more appropriately reflects
the types of securities held in the Fund's portfolio and provides the best
comparative performance information. From December 1, 2004 through November 30,
2005, the performance fee was compared to both the S&P MidCap 400(R) Index and
the Russell MidCap(R) Index separately each month. Each month during this
period, the Fund paid the advisory fee based upon whichever performance fee
calculation resulted in a lower advisory fee. Effective December 1, 2005, the
Fund began paying an advisory fee based solely on the performance fee
calculation of the Russell MidCap(R) Index. The benchmark index for the Small
Cap Value Fund is the Russell 2000(R) Value Index.
The maximum annualized performance adjustment rate would be + or - 0.50% of
average daily net assets which would be added to or deducted from the basic fee
if a Fund outperformed its benchmark index over a rolling 12-month period by
9.00% or more or if it underperformed its benchmark index over a rolling
12-month period.
The chart below shows what the management fee rate would be if a Fund exceeds
its benchmark by the stated amount.
PERCENTAGE POINT DIFFERENCE BETWEEN FUND PERFORMANCE PERFORMANCE TOTAL
(NET OF EXPENSES INCLUDING ADVISORY FEES) AND ADJUSTMENT ADVISORY FEE
CHANGE IN TOTAL BENCHMARK INDEX BASIC FEE RATE RATE
- ---------------------------------------------------- --------- ----------- ------------
+9% or more ................................................. 0.85% 0.50% 1.35%
+8% or more but less than +9% ............................... 0.85% 0.40% 1.25%
+7% or more but less than +8% ............................... 0.85% 0.30% 1.15%
+6% or more but less than +7% ............................... 0.85% 0.20% 1.05%
+5% or more but less than +6% ............................... 0.85% 0.10% 0.95%
+4% or more but less than +5% ............................... 0.85% None 0.85%
+3% or more but less than +4% ............................... 0.85% (0.10)% 0.75%
+2% or more but less than +3% ............................... 0.85% (0.20)% 0.65%
+1% or more but less than +2% ............................... 0.85% (0.30)% 0.55%
+0% or more but less than +1% ............................... 0.85% (0.40)% 0.45%
Less than 0% ................................................ 0.85% (0.50)% 0.35%
40
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
At the end of each month, the management fee rate is applied to the net assets
averaged over the same 12-month rolling period over which the investment
performance of a Fund was measured to determine the monthly management fee.
Numeric is entitled to receive 0.75% of the Emerging Growth Fund's average daily
net assets, computed daily and payable monthly for its advisory services.
The Adviser contractually agreed to limit the Emerging Growth, Growth, Mid Cap,
and Small Cap Value Fund's total operating expenses (other than investment
advisory fees, shareholder servicing fees, brokerage commissions, extraordinary
items, interest and taxes) through December 31, 2006 to the extent that such
expenses exceed 1.25%, 0.50%, 0.50%, and 0.50%, respectively, of the average
daily net assets. As necessary, this limitation is effected in waivers of
advisory fees and reimbursements of expenses exceeding the advisory fee. The
Funds will not pay Numeric at a later time for any amounts it may waive or any
amounts that Numeric has assumed. For the six months ended February 28, 2006,
investment advisory fees were as follows:
FUND ADVISORY FEES
- ---- -------------
Emerging Growth Fund .................................. $553,694
Growth Fund ........................................... 73,389
Mid Cap Fund .......................................... 99,151
Small Cap Value Fund .................................. 843,604
During the fiscal year ended August 31, 2004, the Staff of the Securities and
Exchange Commission (the "SEC" or "Staff") notified RBB that the methodology
used to calculate the performance-based investment advisory fee for the Small
Cap Value Fund, the Growth Fund and the Mid Cap Fund managed by Numeric did not
comply with the rules under the Investment Advisers Act of 1940, as amended,
(the "Advisers Act") concerning performance fees. The rules under the Advisers
Act require the performance rate to be applied to the average net assets over
the performance period (a twelve-month rolling period for these Funds) rather
than the average daily net assets in the most recent month, as was done
previously.
Applying the revised methodology to the Small Cap Value Fund for the period
since the inception of the performance fee (January 2001) indicates that the
Small Cap Value Fund overpaid Numeric by approximately $920,000. In addition,
the Staff indicated that interest of approximately $110,000 was also due from
Numeric on this amount. During December 2005, Numeric reimbursed these amounts
to the Small Cap Value Fund. With respect to the Growth Fund and the Mid Cap
Fund, application of the revised methodology indicated that these funds had
underpaid Numeric since the inception of the performance fee. Numeric has agreed
to waive repayment of the underpaid fees.
Effective on September 1, 2004, the performance for all three aforementioned
funds began to be calculated in accordance with the Advisers Act.
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide, Inc. and an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc., and
Bear Stearns Funds Management Inc. ("BSFM"), a wholly-owned subsidiary of The
41
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
Bear Stearns Companies Inc., serve as co-administrators for each Fund. For
providing administrative services PFPC is entitled to receive a monthly fee
equal to an annual rate of 0.125% of each Fund's average daily net assets
subject to a minimum monthly fee of $6,250 per Fund. BSFM is entitled to receive
a monthly fee equal to an annual rate of 0.05% on the first $150 million and
0.02% of each Fund's average daily net assets thereafter.
For the six-months ended February 28, 2006, PFPC, voluntarily agreed to waive a
portion of its administration fees. During such period, co-administration fees
and related waivers were as follows:
TOTAL NET
FUND CO-ADMINISTRATION FEES WAIVERS CO-ADMINISTRATION FEES
- ---- ---------------------- ------- ----------------------
Emerging Growth Fund ................................ $148,410 $(16,611) $131,799
Growth Fund ......................................... 59,278 (2,500) 56,778
Mid Cap Fund ........................................ 53,021 (2,500) 50,521
Small Cap Value Fund ................................ 214,295 (25,963) 188,332
Included in the Co-Administration Fees shown above are fees for providing
regulatory administration services to RBB. For providing these services, PFPC is
entitled to receive compensation as agreed to by the Company and PFPC. This fee
is allocated to each portfolio in proportion to its net assets of the RBB Funds.
In addition, PFPC serves as each Fund's transfer and dividend disbursing agent.
For the six-months ended February 28, 2006, transfer agency fees and expenses
were $33,000, $21,000, $28,200, and $41,999 for the Emerging Growth Fund, Growth
Fund, Mid Cap Fund and Small Cap Value Fund, respectively.
PFPC Distributors, Inc. ("PFPC Distributors"), a wholly-owned subsidiary of PFPC
Worldwide, Inc. and an indirect wholly-owned subsidiary of The PNC Financial
Services Group, Inc., provides certain administrative services to each Fund. As
compensation for such administrative services, PFPC Distributors received a
monthly fee equal to an annual rate of 0.15% of each Fund's average daily net
assets.
For the six-months ended February 28, 2006, PFPC Distributors, voluntarily
agreed to waive a portion of its administrative services fees for each Fund.
During such period, administrative services fees were as follows:
TOTAL
ADMINISTRATIVE NET ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
- ---- -------------- ------- ------------------
Emerging Growth Fund ............................. $ 110,739 ($ 95,973) $ 14,766
Growth Fund ...................................... 33,873 (29,357) 4,516
Mid Cap Fund ..................................... 27,334 (23,690) 3,644
Small Cap Value Fund ............................. 173,085 (150,007) 23,078
As of February 28, 2006, the Emerging Growth Fund, Growth Fund, Mid Cap Fund and
Small Cap Value Fund owed PFPC and its affiliates $26,828, $11,428, $12,315 and
$36,647, respectively, for their services.
42
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
3. SHAREHOLDER SERVICES PLAN
The Board of Directors approved a Shareholder Services Plan which permits the
Funds to pay fees to certain Shareholder Organizations of up to 0.25% of the
average daily net assets of each Fund for which such Shareholder Organizations
provide services for the benefit of customers.
4. INVESTMENT IN SECURITIES
For the six-months ended February 28, 2006, aggregate purchases and sales of
investment securities (excluding short-term investments) were as follows:
FUND PURCHASES SALES
- ---- ------------ ------------
Emerging Growth Fund ..................................................... $156,504,640 $186,284,659
Growth Fund .............................................................. 54,921,015 55,374,967
Mid Cap Fund ............................................................. 56,476,569 57,790,909
Small Cap Value Fund ..................................................... 288,680,085 314,410,630
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2006, each Fund has 50,000,000 shares of $0.001 par value
capital stock authorized.
Transactions in capital shares for the respective periods were as follows:
EMERGING GROWTH FUND
------------------------------------------------------------------
FOR THE FOR THE
SIX-MONTHS ENDED FISCAL YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
------------------------------ ------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
Sales ...................................... 226,441 $ 3,267,322 704,511 $ 9,877,760
Repurchases ................................ (2,273,551) (32,098,674) (1,394,220) (20,393,052)
Redemption fees(1) ......................... -- 2,042 -- 12,804
Reinvestments .............................. 1,864,420 24,610,461 2,708,864 35,350,674
------------ ------------ ------------ ------------
Net increase/(decrease) .................... (182,690) $ (4,218,849) 2,019,155 $ 24,848,186
============ ============ ============ ============
43
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
GROWTH FUND
------------------------------------------------------------------
FOR THE FOR THE
SIX-MONTHS ENDED FISCAL YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
------------------------------ ------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
Sales ...................................................... 89,927 $ 1,396,360 503,921 $ 7,450,691
Repurchases ................................................ (115,503) (1,786,576) (513,224) (7,409,914)
Redemption fees(1) ......................................... -- 4,652 -- 8,175
Reinvestments .............................................. 264,729 3,777,680 -- --
------------ ------------ ------------ ------------
Net increase/(decrease) .................................... 239,153 $ 3,392,116 (9,303) $ 48,952
============ ============ ============ ============
MID CAP FUND
------------------------------------------------------------------
FOR THE FOR THE
SIX-MONTHS ENDED FISCAL YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
------------------------------ ------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
Sales ...................................................... 77,905 $ 1,413,296 128,560 $ 2,321,750
Repurchases ................................................ (102,768) (1,852,906) (314,940) (5,571,383)
Redemption fees(1) ......................................... -- 2,094 -- 8,265
Reinvestments .............................................. 377,022 6,159,509 15,506 286,551
------------ ------------ ------------ ------------
Net increase/(decrease) .................................... 352,159 $ 5,721,993 (170,874) $ (2,954,817)
============ ============ ============ ============
SMALL CAP VALUE FUND
------------------------------------------------------------------
FOR THE FOR THE
SIX-MONTHS ENDED FISCAL YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
------------------------------ ------------------------------
SHARES AMOUNT SHARES AMOUNT
------------ ------------ ------------ ------------
Sales ...................................................... 767,201 $ 13,535,341 2,901,655 $ 50,936,546
Repurchases ................................................ (2,256,861) (39,238,795) (3,073,233) (56,570,385)
Redemption fees(1) ......................................... -- 14,164 -- 58,247
Reinvestments .............................................. 2,648,951 42,914,339 2,142,655 36,352,451
------------ ------------ ------------ ------------
Net increase ............................................... 1,159,291 $ 17,225,049 1,971,077 $ 30,776,859
============ ============ ============ ============
(1) There is a 2.00% redemption fee on shares redeemed which have been held
for less than one year on each of the Funds. The redemption fees are
collected and retained by each Fund for the benefit of the remaining
shareholders and recorded as additional paid-in capital.
44
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
As of February 28, 2006, the following shareholders held 10% or more of the
outstanding shares of the Funds. These shareholders may be omnibus accounts
which are comprised of many individual shareholders.
Emerging Growth Fund (2 shareholders) ...................................................... 39%
Growth Fund (2 shareholders) ............................................................... 60%
Mid Cap Fund (1 shareholder) ............................................................... 21%
Small Cap Value Fund (1 shareholder) ....................................................... 55%
6. SECURITIES LENDING
Loans of securities are required at all times to be secured by collateral equal
to at least 100% of the market value of the securities on loan. However, in the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. In the
event that the borrower fails to return securities, and collateral being
maintained by the lender is insufficient to cover the value of loaned
securities, the borrower is obligated to pay the amount of the shortfall (and
interest thereon) to the Funds. However, there can be no assurance the Funds can
recover this amount. The value of securities on loan to brokers and the
aggregate value of collateral by the Funds and pledged to borrowers at February
28, 2006, were as follows:
VALUE OF
FUND SECURITIES ON LOAN VALUE OF COLLATERAL
- ---- ------------------ -------------------
Emerging Growth Fund ................................................................. $18,735,182 $19,243,001
Growth Fund .......................................................................... 3,187,527 3,274,460
Mid Cap Fund ......................................................................... 1,505,066 1,544,392
Small Cap Value Fund ................................................................. 14,542,341 14,946,308
Collateral pledged by borrowers for securities out on loan to broker/dealers is
in the form of U.S. Treasury securities. Cash collateral received by the Funds
is invested into repurchase agreements with Bear, Stearns & Co. Inc., which in
turn are collateralized by various U.S. Treasury securities. The stated interest
rate on repurchase agreements is net of rebate paid to the borrower on
securities loaned.
7. FEDERAL INCOME TAX INFORMATION
At February 28, 2006, Federal tax cost, aggregate gross unrealized appreciation
and depreciation, and net unrealized appreciation of securities held by each
Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED
FUND COST APPRECIATION DEPRECIATION APPRECIATION
- ---- ------------ ------------ ------------ --------------
Emerging Growth Fund ...................................... $127,823,177 $ 20,732,517 $ (4,007,665) $ 16,724,852
Growth Fund ............................................... 44,145,097 5,097,521 (1,136,747) 3,960,774
Mid Cap Fund .............................................. 36,512,981 3,268,480 (352,128) 2,916,352
Small Cap Value Fund ...................................... 221,428,003 23,587,568 (5,972,425) 17,615,143
45
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONCLUDED)
As of August 31, 2005, the components of distributable earnings on a tax basis
were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM
FUND INCOME GAINS
- ---- ------------- -------------
Emerging Growth Fund ............................................. $19,013,702 $ 5,422,766
Growth Fund ...................................................... 1,247,347 1,642,717
Mid Cap Fund ..................................................... 4,801,535 570,471
Small Cap Value Fund ............................................. 37,915,404 3,354,628
At August 31, 2005, the Funds had no capital loss carryforwards available to
offset future capital gains.
During the year ended August 31, 2005, the Growth Fund and Mid Cap Fund utilized
$3,738,541 and $755,983, respectively, of prior year capital loss carryforwards.
The estimated tax character of distributions paid during the six-months ended
February 28, 2006 and the tax character distributions paid during the year ended
August 31, 2005 were as follows:
ORDINARY LONG-TERM
FUND PERIOD INCOME GAINS TOTAL
- ---- ------- ----------- ----------- -----------
Emerging Growth Fund 2/28/06 $20,674,149 $ 5,481,053 $26,155,202
8/31/05 24,741,834 11,185,583 35,927,417
Growth Fund 2/28/06 2,271,085 1,661,770 3,932,855
8/31/05 -- -- --
Mid Cap Fund 2/28/06 5,604,812 740,258 6,345,070
8/31/05 138,900 156,081 294,981
Small Cap Value Fund 2/28/06 41,045,812 4,338,586 45,384,398
8/31/05 36,867,260 2,330,359 39,197,619
46
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
EMERGING GROWTH FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
OTHER INFORMATION (UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Funds use to determine how to vote proxies
relating to portfolio securities, as well as information regarding how the Funds
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30, are available without charge, upon request, by calling
(800) 348-5031 and on the SEC website at http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Company files a complete schedule of portfolio holdings with the SEC for the
first and third fiscal quarters of each fiscal year (quarters ended November 30
and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website
at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference
Room in Washington, D.C. Information on the operation of the SEC Public
Reference Room may be obtained by calling 1-800-SEC-0330.
47
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[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
101 Sabin Street
Pawtucket, RI 02866
1-800-numeric [686-3742]
http://www.numeric.com
INVESTMENT ADVISER
Numeric Investors LLC(R)
One Memorial Drive
Cambridge, MA 02142
CO-ADMINISTRATORS
Bear Stearns Funds Management Inc.
83 Madison Avenue
New York, NY 10179
PFPC Inc.
Bellevue Corporate Center
301 Bellevue Parkway
Wilmington, DE 19809
DISTRIBUTOR
PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
Custodial Trust Company
101 Carnegie Center
Princeton, NJ 08540
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02866
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square
Philadelphia, PA 19103
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103
[LOGO] N/I NUMERIC INVESTORS
FAMILY OF FUNDS
101 Sabin Street
Pawtucket, RI 02866
1-800-numeric [686-3742]
http://www.numeric.com
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ROBECO INVESTMENT FUNDS
OF THE RBB FUND, INC.
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SEMI-ANNUAL REPORT
FEBRUARY 28, 2006
(UNAUDITED)
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
ROBECO BOSTON PARTNERS LARGE CAP VALUE FUND
ROBECO BOSTON PARTNERS MID CAP VALUE FUND
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
ROBECO WPG TUDOR FUND
ROBECO WPG LARGE CAP GROWTH FUND
ROBECO WPG CORE BOND FUND
This report is submitted for the general information of the shareholders of the
Funds. It is not authorized for distribution unless preceded or accompanied by a
current prospectus for the Funds. Shares of Robeco Investment Funds are
distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA
19406.
[GRAPHIC OMITTED] ROBECO
ROBECO INVESTMENT FUNDS
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GENERAL MARKET COMMENTARY
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Dear Shareholder:
The stock market continued its positive performance for the six-months
ended February 28, 2006 despite fears of rising oil prices. We have seen a
compression in valuations that has continued into the current market. In normal
environments, if such a thing still exists, there is often a wide range in
valuations between unprofitable companies and highly profitable companies. Not
so today. The spread in P/E's between companies that make money and those that
don't is compressed. In essence, investors are not rewarded in today's market
for taking risks, and this is evident in more than just the U.S. equity market.
This compression exists in many segments of the financial markets around the
world. In the U.S. we have a flat yield curve in the fixed income market, a lack
of spread between junk bonds and investment grade credit, overseas there is a
lack of spread between emerging market securities and developed market
securities, and, lastly, a lack of spread between large cap stocks and small cap
stocks as measured by the valuations of their indices.
In this environment we continue to invest in higher quality companies with
sustainable growth prospects. In our opinion the risk to owning lower quality
companies is simply not one worth taking.
The following pages contain investment commentary on each of the Robeco
Investment Funds. Please take a minute to review and feel free to contact us
with any questions.
Warm Regards,
Robeco Investment Funds
SEMI-ANNUAL REPORT 2006 | 1
ROBECO INVESTMENT FUNDS
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ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (Unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco Boston Partners Small Cap Value Fund II Institutional Class
returned 7.70% for the six-month period ended February 28, 2006. The Fund
trailed the Russell 2000(R) Value Index for the period by just over 1%.
Of the thirteen economic sectors, 10 of them contributed to the positive
returns. Capital Goods, Consumer Services and Technology were the largest
contributors.
The portfolio is constructed of companies that possess valuation and
profitability characteristics that are more attractive than the benchmark.
The Fund remains closed to new investors.
Sincerely,
David Dabora
BP Small Cap Value Fund II Portfolio Manager
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TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX- SINCE
MONTH 1 YEAR 5 YEAR INCEPTION(1)
- --------------------------------------------------------------------------------
Institutional Class 7.70% 14.69% 17.02% 16.18%
- --------------------------------------------------------------------------------
Investor Class 7.54% 14.35% 16.74% 15.93%
- --------------------------------------------------------------------------------
Russell 2000(R) Value
Index 8.80% 15.62% 14.77% 10.93%
- --------------------------------------------------------------------------------
Russell 2000(R) Index 10.24% 16.59% 10.42% 7.67%
- --------------------------------------------------------------------------------
(1) Inception date July 1, 1998.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Small company stocks are generally riskier than large company stocks due to
greater volatility and less liquidity. Investors should note that the Fund is an
aggressively managed mutual fund while the Russell indices are unmanaged, do not
incur expenses and are not available for investment.
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TOP TEN POSITIONS % OF PORTFOLIO
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Platinum Underwriters Holdings Ltd. 2.06%
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Assured Guaranty Ltd. 1.81%
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Scottish Re Group Ltd. 1.54%
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Drew Industries, Inc. 1.52%
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Oxford Industries, Inc. 1.49%
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Advanta Corp., Class B 1.44%
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IPC Holdings Ltd. 1.38%
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The Navigators Group, Inc. 1.36%
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Acuity Brands, Inc. 1.26%
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UAP Holding Corp. 1.26%
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SECTOR BREAKDOWN % OF PORTFOLIO
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Basic Industries 3.7%
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Capital Goods 13.0%
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Communications 1.2%
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Consumer Durables 3.7%
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Consumer Non-Durables 7.1%
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Consumer Services 25.0%
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Energy 3.6%
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Finance 19.1%
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Health Care 6.7%
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Technology 5.8%
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Transportation 1.8%
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Utilities 0.5%
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Other 7.1%
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Cash & Non-equity 1.7%
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TOTAL 100.0%
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PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 16.8x
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P/B: Price/Book 1.9x
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Holdings 192
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Wtd. Average Mkt. Cap. (mil) $1,029
- --------------------------------------------------------------------------------
ROE: Return on Equity 13.0
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 35.9
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* For the trailing one year period.
Portfolio holdings are subject to change at any time.
2 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
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ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco Boston Partners Long/Short Fund Institutional Class returned
- -0.75% for the six-month period ended February 28, 2006 trailing the benchmark.
The major contributors on the long side included holdings in Consumer
Services, Capital Goods and Technology.
Our fundamental analysis has led us to construct a portfolio which has a
bias towards mid to large capitalized companies on the long side and conversely,
we found more short opportunities in the smaller capitalizations sector. The
capitalization bias boded well throughout 2005 as mid to large capitalization
indices generally outperformed their smaller capitalized counterparts. The early
part of 2006 has seen a reversal of this trend as smaller cap, highly
speculative growth companies have led the charge. We continue to find more
attractive long term opportunities in the mid to larger capitalization segment
of the market. This is reflected in the current average weighted market
capitalization on the long side of $17B and $1.5B on the short side.
The long portfolio is attractively positioned relative to the short
portfolio from both a valuation and profitability standpoint.
Sincerely,
Robert T. Jones
BP Long/Short Equity Fund Portfolio Manager
----------
Long/Short Equity is an absolute return product that balances long and short
portfolio strategies and seeks to achieve stable absolute returns with
approximately half the risk of the S&P 500(R). However, this product is not risk
neutral. It is exposed to style, capitalization, sector and short-implementation
risk. Use of the S&P Index is for comparative purposes only since Long/Short
returns are not correlated to equity market returns. An absolute return
benchmark of 15% is the more appropriate measure for this product.
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX- SINCE
MONTH 1 YEAR 5 YEAR INCEPTION(1)
- --------------------------------------------------------------------------------
Institutional Class -0.75% 8.07% 6.35% 9.84%
- --------------------------------------------------------------------------------
Investor Class -0.88% 7.81% 6.08% 9.60%
- --------------------------------------------------------------------------------
S&P 500(R) Index 5.92% 8.40% 2.36% 2.89%
- --------------------------------------------------------------------------------
(1) Inception date November 17, 1998.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Investors should note that the Fund is an aggressively managed mutual fund while
the S&P 500(R) Index is unmanaged, does not incur expenses and is not available
for investment.
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TOP TEN HOLDINGS % OF PORTFOLIO
- --------------------------------------------------------------------------------
Pfizer, Inc. 3.09%
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Johnson & Johnson 2.47%
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Steiner Leisure Ltd. 2.35%
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MBIA, Inc. 2.17%
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The Allied Defense Group, Inc. 1.99%
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Cadmus Communications Corp. 1.95%
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Stewart & Stevenson Services, Inc. 1.83%
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Platinum Underwriters Holdings Ltd. 1.80%
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The Children's Place Retail Stores, Inc. 1.79%
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Interstate Hotel & Resorts, Inc. 1.65%
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% OF PORTFOLIO
SECTOR BREAKDOWN LONG SHORT
- --------------------------------------------------------------------------------
Basic Industries 1.1% 4.6%
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Capital Goods 8.5% 16.7%
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Communications 6.1% 5.7%
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Consumer Durables 1.1% 1.8%
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Consumer Non-Durables 14.4% 5.6%
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Consumer Services 20.2% 15.2%
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Energy 6.2% 4.0%
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Finance 19.4% 5.4%
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Health Care 12.4% 13.6%
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Technology 9.3% 26.6%
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Other 1.3% 0.8%
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TOTAL 100.0% 100.0%
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PORTFOLIO REVIEW LONG SHORT
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 15.7x 19.1x
- --------------------------------------------------------------------------------
P/B: Price/Book 1.8x 5.2x
- --------------------------------------------------------------------------------
Holdings 113 183
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $17,023 $1,489
- --------------------------------------------------------------------------------
ROE: Return on Equity 8.6 (11.3)
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 39.6 (30.6)
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
SEMI-ANNUAL REPORT 2006 | 3
ROBECO INVESTMENT FUNDS
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ROBECO BOSTON PARTNERS LARGE CAP VALUE FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco Boston Partners Large Cap Value Fund Institutional Class
returned 7.71% for the six-month period ended February 28, 2006 outpacing the
Russell 1000(R) Value Index.
The portfolio had positive returns in 12 of the economic sectors with
Finance and Technology leading the way. No sector posted negative returns for
the period.
Our minimal exposure to the poor performing utilities sector provided a
boost to relative performance. We remain comfortable with our holdings in the
finance sector. Instead, we own insurance companies and diversified financial
service companies. The revenues of the diversified financial services companies
we own are fee based and not dependent on the direction of interest rates.
Sincerely,
Mark Donovan
BP Large Cap Value Fund Portfolio Manager
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TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX- SINCE
MONTH 1 YEAR 5 YEAR INCEPTION(1)
- --------------------------------------------------------------------------------
Institutional Class 7.71% 13.54% 6.91% 9.35%
- --------------------------------------------------------------------------------
Investor Class 7.58% 13.24% 6.65% 8.92%
- --------------------------------------------------------------------------------
S&P 500(R) Index 12.18% 8.40% 2.36% 7.83%
- --------------------------------------------------------------------------------
Russell 1000(R) Value
Index(2) 7.33% 10.26% 6.73% 10.17%
- --------------------------------------------------------------------------------
(1) Inception date January 2, 1997 for the Institutional Class and Index returns
and January 16, 1997 for the Investor Class.
(2) The Russell 1000(R) Value Index is not the primary benchmark of the Fund.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Investors should note that the Fund is an aggressively managed mutual fund while
the indices are unmanaged, do not incur expenses and are not available for
investment.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
Citigroup, Inc. 4.15%
- --------------------------------------------------------------------------------
Exxon Mobile Corp. 3.95%
- --------------------------------------------------------------------------------
Pfizer, Inc. 3.39%
- --------------------------------------------------------------------------------
Berkshire Hathaway, Inc. Class B 2.72%
- --------------------------------------------------------------------------------
The Bank of New York Co, Inc. 2.38%
- --------------------------------------------------------------------------------
Time Warner, Inc. 2.31%
- --------------------------------------------------------------------------------
Ingersoll-Rand Co. Ltd., Class A 2.28%
- --------------------------------------------------------------------------------
Freddie Mac 2.22%
- --------------------------------------------------------------------------------
Chevron Corp. 2.09%
- --------------------------------------------------------------------------------
MBIA, Inc. 1.98%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
Basic Industries 4.0%
- --------------------------------------------------------------------------------
Capital Goods 5.9%
- --------------------------------------------------------------------------------
Communications 3.3%
- --------------------------------------------------------------------------------
Consumer Durables 1.0%
- --------------------------------------------------------------------------------
Consumer Non-Durables 4.0%
- --------------------------------------------------------------------------------
Consumer Services 12.2%
- --------------------------------------------------------------------------------
Energy 13.4%
- --------------------------------------------------------------------------------
Finance 31.3%
- --------------------------------------------------------------------------------
Health Care 9.0%
- --------------------------------------------------------------------------------
Technology 12.9%
- --------------------------------------------------------------------------------
Utilities 0.6%
- --------------------------------------------------------------------------------
Cash & Non-equity 2.4%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 13.6x
- --------------------------------------------------------------------------------
P/B: Price/Book 2.1x
- --------------------------------------------------------------------------------
Holdings 81
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $71,831
- --------------------------------------------------------------------------------
ROE: Return on Equity 19.1
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 44.2
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
4 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS MID CAP VALUE FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco Boston Partners Mid Cap Value Fund Institutional Class
underperformed the Russell 2500(R) Value Index for the six-month period ended
February 28, 2006.
Nine of thirteen economic sectors contributed to performance for the
quarter with Consumer Services, Finance, and Capital Goods leading the way.
Health Care, Consumer Durables and Utilities were the biggest detractors on
performance.
Our current focus continues to be in the consumer services sectors,
specifically Services and Non-Durables. The restaurant industry has provided us
some interesting opportunities and we continue to watch this area closely.
Energy, still a slight overweight in the portfolio, has been reduced as we sell
into strength. The two biggest underweights in the portfolio continue to be
Utilities and REITs; both are sectors where we fail to find compelling
valuations.
Sincerely,
Steven Pollack
BP Mid Cap Value Fund Portfolio Manager
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX- SINCE
MONTH 1 YEAR 5 YEAR INCEPTION(1)
- --------------------------------------------------------------------------------
Institutional Class 5.51% 13.53% 11.96% 9.14%
- --------------------------------------------------------------------------------
Investor Class 5.35% 13.22% 11.67% 8.90%
- --------------------------------------------------------------------------------
Russell 2500(R) Value
Index 7.83% 15.91% 14.79% 13.02%
- --------------------------------------------------------------------------------
Russell 2500(R) Index 9.50% 17.03% 11.38% 11.07%
- --------------------------------------------------------------------------------
Russell Midcap(R) Value
Index 8.18% 17.38% 13.56% 12.73%
- --------------------------------------------------------------------------------
(1) Inception date June 2, 1997.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Mid size company stocks are generally riskier than large company stocks due to
greater volatility and less liquidity. Investors should note that the Fund is an
aggressively managed mutual fund while the Russell indices are unmanaged, do not
incur expenses and are not available for investment.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
Radian Group, Inc. 2.13%
- --------------------------------------------------------------------------------
GTECH Holdings Corp. 2.03%
- --------------------------------------------------------------------------------
Assured Guaranty Ltd. 1.91%
- --------------------------------------------------------------------------------
Michaels Stores, Inc. 1.89%
- --------------------------------------------------------------------------------
Knoll, Inc. 1.87%
- --------------------------------------------------------------------------------
W.W. Grainger, Inc. 1.70%
- --------------------------------------------------------------------------------
Claire's Stores, Inc. 1.62%
- --------------------------------------------------------------------------------
The PMI Group, Inc. 1.61%
- --------------------------------------------------------------------------------
Polo Ralph Lauren Corp. 1.58%
- --------------------------------------------------------------------------------
UAP Holding Corp. 1.58%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
Basic Industries 5.8%
- --------------------------------------------------------------------------------
Capital Goods 6.3%
- --------------------------------------------------------------------------------
Communications 3.1%
- --------------------------------------------------------------------------------
Consumer Durables 2.5%
- --------------------------------------------------------------------------------
Consumer Non-Durables 9.1%
- --------------------------------------------------------------------------------
Consumer Services 20.1%
- --------------------------------------------------------------------------------
Energy 6.6%
- --------------------------------------------------------------------------------
Finance 21.6%
- --------------------------------------------------------------------------------
Health Care 5.9%
- --------------------------------------------------------------------------------
Technology 9.4%
- --------------------------------------------------------------------------------
Transportation 0.6%
- --------------------------------------------------------------------------------
Utilities 2.9%
- --------------------------------------------------------------------------------
Other 1.8%
- --------------------------------------------------------------------------------
Cash & Non-equity 4.3%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 16.2x
- --------------------------------------------------------------------------------
P/B: Price/Book 2.2x
- --------------------------------------------------------------------------------
Holdings 100
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $3,533
- --------------------------------------------------------------------------------
ROE: Return on Equity 25.6
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 39.1
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
SEMI-ANNUAL REPORT 2006 | 5
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco Boston Partners All-Cap Value Fund Institutional Class trailed
the Russell 3000(R) Value Index for the six-month period ended February 28,
2006.
Areas of strength for the portfolio include Finance, Energy, and Capital
Goods. The main detractors were Communications and Transportation.
The portfolio's all-cap flexibility enabled us to invest in companies that
meet our value based investment discipline irrespective of their size. We have
continued to find attractive stock specific opportunities throughout the market
capitalization universe. Within this wide range, the portfolio's market
capitalization profile is currently centered in the mid-to-large cap sphere.
In a market of narrow spreads among companies of disparate fundamentals, we
have stock-by-stock been investing in quality without sacrificing the
portfolio's valuation core. The attractive valuation/profitability profile of
the portfolio reflects our efforts. We believe the portfolio is positioned
favorably.
Sincerely,
Harry Rosenbluth
BP All-Cap Value Fund Portfolio Manager
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
----------------------------------
SIX- SINCE
MONTH 1 YEAR INCEPTION(1)
- --------------------------------------------------------------------------------
Institutional Class 4.99% 11.83% 15.97%
- --------------------------------------------------------------------------------
Investor Class 4.90% 11.52% 15.68%
- --------------------------------------------------------------------------------
Russell 3000(R) Value
Index 7.46% 10.72% 12.03%
- --------------------------------------------------------------------------------
Russell 3000(R) Index 6.56% 10.44% 10.48%
- --------------------------------------------------------------------------------
(1) Inception date July 1, 2002.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Small and mid size company stocks are generally riskier than large company
stocks due to greater volatility and less liquidity. Investors should note that
the Fund is an aggressively managed mutual fund while the Russell indices are
unmanaged, do not incur expenses and are not available for investment.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
ACE Ltd. 4.00%
- --------------------------------------------------------------------------------
Loews Corp. 3.70%
- --------------------------------------------------------------------------------
Pfizer, Inc. 3.45%
- --------------------------------------------------------------------------------
MBIA, Inc. 2.55%
- --------------------------------------------------------------------------------
White Mountains Insurance Group Ltd. 2.12%
- --------------------------------------------------------------------------------
Occidental Petroleum Corp. 2.09%
- --------------------------------------------------------------------------------
Freddie Mac 2.09%
- --------------------------------------------------------------------------------
The Sherwin-Williams Co. 2.05%
- --------------------------------------------------------------------------------
Renal Care Group, Inc. 1.93%
- --------------------------------------------------------------------------------
Hewlett-Packard Co. 1.84%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
Basic Industries 1.6%
- --------------------------------------------------------------------------------
Capital Goods 2.8%
- --------------------------------------------------------------------------------
Communications 2.6%
- --------------------------------------------------------------------------------
Consumer Durables 2.9%
- --------------------------------------------------------------------------------
Consumer Non-Durables 9.9%
- --------------------------------------------------------------------------------
Consumer Services 9.1%
- --------------------------------------------------------------------------------
Energy 12.9%
- --------------------------------------------------------------------------------
Finance 30.9%
- --------------------------------------------------------------------------------
Health Care 12.6%
- --------------------------------------------------------------------------------
Technology 6.5%
- --------------------------------------------------------------------------------
Transportation 0.3%
- --------------------------------------------------------------------------------
Utilities 1.7%
- --------------------------------------------------------------------------------
Other 6.2%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 13.7x
- --------------------------------------------------------------------------------
P/B: Price/Book 1.8x
- --------------------------------------------------------------------------------
Holdings 125
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $35,750
- --------------------------------------------------------------------------------
ROE: Return on Equity 16.8
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 48.9
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
6 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG TUDOR FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco WPG Tudor Fund returned 3.79% for the six-month period ended
February 28, 2006, underperforming the benchmark.
The Robeco WPG Tudor Fund underperformed the benchmark due to a few
factors. There were several stock specific company events that led to
underperformance. Additionally, companies with market caps less than $250
million underperformed during the period. While we were running at reduced
levels of exposure to companies in this market range as we anticipated some
vulnerability, we were still impacted on an absolute and relative basis. This
was witnessed in the fact that several of our holdings announced significant
positive news and were not rewarded with a corresponding move in their stock
price.
Regards,
Richard Shuster
WPG Tudor Fund Portfolio Manager
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX-
MONTH 1 YEAR 5 YEAR 10 YEAR
- --------------------------------------------------------------------------------
Institutional Class 3.79% 2.14% 5.23% 5.54%
- --------------------------------------------------------------------------------
Russell 2000(R) Value
Index 8.80% 15.62% 14.77% 13.73%
- --------------------------------------------------------------------------------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Small and mid size company stocks are generally riskier than large company
stocks due to greater volatility and less liquidity. Investors should note that
the Fund is an aggressively managed mutual fund while the Russell index is
unmanaged, does not incur expenses and is not available for investment.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
MDC Partners, Inc. 5.91%
- --------------------------------------------------------------------------------
Safenet, Inc. 2.90%
- --------------------------------------------------------------------------------
First Consulting Group, Inc. 2.28%
- --------------------------------------------------------------------------------
WatchGuard Technologies, Inc. 2.26%
- --------------------------------------------------------------------------------
CRM Holdings Ltd. 1.99%
- --------------------------------------------------------------------------------
Libbey, Inc. 1.71%
- --------------------------------------------------------------------------------
Republic Airways Holdings, Inc. 1.70%
- --------------------------------------------------------------------------------
Ares Capital Corp. 1.66%
- --------------------------------------------------------------------------------
Del Monte Foods Co. 1.58%
- --------------------------------------------------------------------------------
Assured Guaranty Ltd. 1.57%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
Basic Industries 6.9%
- --------------------------------------------------------------------------------
Capital Goods 2.7%
- --------------------------------------------------------------------------------
Communications 5.0%
- --------------------------------------------------------------------------------
Consumer Durables 4.4%
- --------------------------------------------------------------------------------
Consumer Non-Durables 5.2%
- --------------------------------------------------------------------------------
Consumer Services 8.8%
- --------------------------------------------------------------------------------
Energy 2.2%
- --------------------------------------------------------------------------------
Finance 19.1%
- --------------------------------------------------------------------------------
Health Care 5.3%
- --------------------------------------------------------------------------------
Technology 12.7%
- --------------------------------------------------------------------------------
Transportation 6.7%
- --------------------------------------------------------------------------------
Utilities 5.9%
- --------------------------------------------------------------------------------
Other 10.3%
- --------------------------------------------------------------------------------
Cash & Non-equity 4.8%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 16.3x
- --------------------------------------------------------------------------------
P/B: Price/Book 1.7x
- --------------------------------------------------------------------------------
Holdings 98
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $900
- --------------------------------------------------------------------------------
ROE: Return on Equity 0.7
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 18.2
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
SEMI-ANNUAL REPORT 2006 | 7
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG LARGE CAP GROWTH FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
The Robeco WPG Large Cap Growth Fund returned 6.48% for the six-month
period ended February 28, 2006, outperforming the Russell 1000(R) Growth Index
benchmark.
The proprietary quantitative stock selection model made a strong positive
contribution to performance.
Stock selection was the primary source of outperformance for the period. At
the sector level, stocks in the technology and transportation sectors provided
the strongest positive contributions to performance. Stocks in the industrial
and consumer non-cyclical sectors made the strongest negative contributions.
The individual stocks making the largest positive contributions to performance
were Advanced Micro Devices, Seagate Technology and Burlington Northern Santa
Fe; the largest negative contributions came from Kinetic Concepts, Potash Corp.
and Toll Brothers.
The Robeco WPG Large Cap Growth Fund seeks to identify stocks that are
quantatively attractive because of rising earnings expectations, low relative
valuations and high share buybacks. All stocks in the selection universe are
scored according to their exposure to each factor. Using a dynamic weighting
process, factor scores are combined into a composite score used to select
stocks. A sector-specific model is used for technology stocks. The team selects
attractively ranked stocks within economic sectors and applies a rigorous
portfolio risk management discipline.
Regards,
Easton Ragsdale
WPG Large Cap Growth Fund Portfolio Manager
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
------------------------------------
SIX-
MONTH 1 YEAR 5 YEAR 10 YEAR
- --------------------------------------------------------------------------------
Institutional Class 6.48% 9.53% -0.73% 6.87%
- --------------------------------------------------------------------------------
Russell 1000(R)
Growth Index 5.10% 9.47% -0.94% 6.35%
- --------------------------------------------------------------------------------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
Investors should note that the Fund is an aggressively managed mutual fund while
the Russell index is unmanaged, does not incur expenses and is not available for
investment.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
The Home Depot, Inc. 3.66%
- --------------------------------------------------------------------------------
Microsoft Corp. 3.13%
- --------------------------------------------------------------------------------
Hewlett Packard Co. 2.94%
- --------------------------------------------------------------------------------
GlaxoSmithKline PLC - ADR 2.58%
- --------------------------------------------------------------------------------
Coach, Inc. 2.57%
- --------------------------------------------------------------------------------
UnitedHealth Group, Inc. 2.47%
- --------------------------------------------------------------------------------
PepsiCo, Inc. 2.45%
- --------------------------------------------------------------------------------
J.C. Penney Co., Inc. 2.43%
- --------------------------------------------------------------------------------
Colgate-Palmolive Co. 2.39%
- --------------------------------------------------------------------------------
Gilead Sciences, Inc. 2.33%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
Basic Industries 3.2%
- --------------------------------------------------------------------------------
Capital Goods 9.3%
- --------------------------------------------------------------------------------
Communications 1.2%
- --------------------------------------------------------------------------------
Consumer Non-Durables 11.5%
- --------------------------------------------------------------------------------
Consumer Services 14.3%
- --------------------------------------------------------------------------------
Energy 3.4%
- --------------------------------------------------------------------------------
Finance 9.0%
- --------------------------------------------------------------------------------
Health Care 19.0%
- --------------------------------------------------------------------------------
Technology 24.7%
- --------------------------------------------------------------------------------
Transportation 2.9%
- --------------------------------------------------------------------------------
Utilities 0.7%
- --------------------------------------------------------------------------------
Other 0.5%
- --------------------------------------------------------------------------------
Cash & Non-equity 0.3%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO REVIEW
- --------------------------------------------------------------------------------
P/E: Price/Earnings* 18.9x
- --------------------------------------------------------------------------------
P/B: Price/Book 3.9x
- --------------------------------------------------------------------------------
Holdings 63
- --------------------------------------------------------------------------------
Wtd. Average Mkt. Cap. (mil) $60,181
- --------------------------------------------------------------------------------
ROE: Return on Equity 29.9
- --------------------------------------------------------------------------------
OROA: Operating Return
on Operating Assets* 57.2
- --------------------------------------------------------------------------------
* For the trailing one year period.
Portfolio holdings are subject to change at any time.
8 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND (unaudited)
- --------------------------------------------------------------------------------
Dear Shareholder:
During the six-month period ended February 28, 2006, the portfolio trailed
the Lehman Brothers Aggregate Index. The biggest contribution to performance
during this period came from TIPS (Treasury Inflation Protected Securities). Our
yield curve position contributed to performance as we were underweight in the
poor performing 10 year portion of the curve.
Corporate bonds made a positive contribution to the portfolio during the
six month period. Starting in September, the portfolio benefited from an
overweight in the strong performing corporate market. The portfolio shifted to
an underweight by the end of the year which helped as the sector weakened and
spreads widened.
Mortgage-backed securities had little impact on performance at the end of
the year. In January and February, however, a 25 basis point overweight to the
index and strong performance in the sector led to a positive contribution. CMBS
had a modest positive impact on performance for the period. The portfolio was
modestly overweight in the strong performing sector.
The one sector that detracted from performance during this time period was
agencies. During the fourth quarter, agency spreads widened, detracting from
performance as the portfolio was overweight. A shift to an underweight in the
sector in the first quarter contributed to performance as agency spreads
continued to widen.
Regards,
Sid Bakst
WPG Core Bond Fund Portfolio Manager
- --------------------------------------------------------------------------------
TOTAL RETURNS FOR PERIOD ENDED FEBRUARY 28, 2006
AVERAGE ANNUAL
-------------------------------
SIX- SINCE
MONTH 1 YEAR 5 YEAR 10 YEAR INCEPTION
- --------------------------------------------------------------------------------
Institutional
Class -0.19% 2.20% 5.84% 6.31% N/A
- --------------------------------------------------------------------------------
Investor
Class* N/A N/A N/A N/A -0.34%
- --------------------------------------------------------------------------------
Retirement
Class** -0.42% N/A N/A N/A -0.42%
- --------------------------------------------------------------------------------
Lehman
Brothers
Aggregate
Index -0.11% 2.74% 5.42% 6.32% N/A
- --------------------------------------------------------------------------------
* Inception date January 17, 2006.
** Inception date September 1, 2005.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE
PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE VISIT OUR WEBSITE AT WWW.ROBECOINVEST.COM.
- --------------------------------------------------------------------------------
TOP TEN POSITIONS % OF PORTFOLIO
- --------------------------------------------------------------------------------
FNMA 4.34% 03/13/06 19.28%
- --------------------------------------------------------------------------------
FNMA 30YR 5.5% March TBA 03/15/36 8.23%
- --------------------------------------------------------------------------------
FNMA 30YR 5% March TBA 03/15/36 6.58%
- --------------------------------------------------------------------------------
FNMA 30YR 6% March TBA 03/15/36 6.24%
- --------------------------------------------------------------------------------
US Treasury Note 3.75% 05/15/08 5.16%
- --------------------------------------------------------------------------------
US Treasury Note 2.625% 05/15/08 4.41%
- --------------------------------------------------------------------------------
FNMA 6.5% TBA 03/15/36 4.29%
- --------------------------------------------------------------------------------
FNMA 4.5% TBA 03/15/21 3.70%
- --------------------------------------------------------------------------------
US Treasury Inflation Index 3.875% 01/15/09 3.57%
- --------------------------------------------------------------------------------
FNMA 4.39% 03/13/06 3.46%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SECTOR BREAKDOWN % OF PORTFOLIO
- --------------------------------------------------------------------------------
U.S. Treasury 23.7%
- --------------------------------------------------------------------------------
U.S. Agency Obligations 50.0%
- --------------------------------------------------------------------------------
Corporate 8.2%
- --------------------------------------------------------------------------------
Mortgage-Backed Securities 14.4%
- --------------------------------------------------------------------------------
Asset-Backed Securities 3.7%
- --------------------------------------------------------------------------------
TOTAL 100.0%
- --------------------------------------------------------------------------------
Portfolio holdings are subject to change at any time.
SEMI-ANNUAL REPORT 2006 | 9
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND EXPENSE EXAMPLES (unaudited)
- --------------------------------------------------------------------------------
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction
costs, redemption fees; and (2) ongoing costs, including management fees,
distribution fees and other Fund expenses. The examples are intended to help you
understand your ongoing costs (in dollars) of investing in the Fund(s) and to
compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees. Therefore, the second line of the accompanying tables
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
BP SMALL CAP VALUE FUND II -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,077.00 $7.83
Hypothetical (5% return before expenses)................... $1,000.00 $1,017.17 $7.63
BP SMALL CAP VALUE FUND II -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,075.40 $9.11
Hypothetical (5% return before expenses)................... $1,000.00 $1,015.91 $8.89
- ---------------------------------------------------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $ 992.50 $13.19
Hypothetical (5% return before expenses)................... $1,000.00 $1,011.40 $13.40
10 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND EXPENSE EXAMPLES (unaudited) (continued)
- --------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $ 991.20 $14.42
Hypothetical (5% return before expenses)................... $1,000.00 $1,010.14 $14.66
- ---------------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,077.10 $5.15
Hypothetical (5% return before expenses)................... $1,000.00 $1,019.78 $5.02
BP LARGE CAP VALUE FUND -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,075.80 $6.43
Hypothetical (5% return before expenses)................... $1,000.00 $1,018.52 $6.28
- ---------------------------------------------------------------------------------------------------------------------------
BP MID CAP VALUE FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,055.10 $5.10
Hypothetical (5% return before expenses)................... $1,000.00 $1,019.78 $5.02
BP MID CAP VALUE FUND -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,053.50 $6.36
Hypothetical (5% return before expenses)................... $1,000.00 $1,018.52 $6.28
- ---------------------------------------------------------------------------------------------------------------------------
BP ALL-CAP VALUE FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,049.90 $6.35
Hypothetical (5% return before expenses)................... $1,000.00 $1,018.52 $6.28
BP ALL-CAP VALUE FUND -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,049.00 $7.62
Hypothetical (5% return before expenses)................... $1,000.00 $1,017.27 $7.53
- ---------------------------------------------------------------------------------------------------------------------------
SEMI-ANNUAL REPORT 2006 | 11
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FUND EXPENSE EXAMPLES (unaudited) (concluded)
- --------------------------------------------------------------------------------
WPG TUDOR FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,037.90 $7.53
Hypothetical (5% return before expenses)................... $1,000.00 $1,017.32 $7.48
- ---------------------------------------------------------------------------------------------------------------------------
WPG LARGE CAP GROWTH FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,064.80 $7.17
Hypothetical (5% return before expenses)................... $1,000.00 $1,017.77 $7.03
- ---------------------------------------------------------------------------------------------------------------------------
WPG CORE BOND FUND -- INSTITUTIONAL CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $ 998.10 $2.13
Hypothetical (5% return before expenses)................... $1,000.00 $1,022.64 $2.16
WPG CORE BOND FUND -- INVESTOR CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
JANUARY 17, 2006 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,000.00 $0.79
Hypothetical (5% return before expenses)................... $1,000.00 $1,005.00 $0.80
WPG CORE BOND FUND -- RETIREMENT CLASS
-------------------------------------------------------------
BEGINNING ACCOUNT ENDING ACCOUNT
VALUE VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
------------------ ----------------- --------------------
Actual..................................................... $1,000.00 $1,000.00 $2.48
Hypothetical (5% return before expenses)................... $1,000.00 $1,022.29 $2.51
- ---------------------------------------------------------------------------------------------------------------------------
<FN>
* Expenses are equal to the Fund's annualized expense ratios in the table below, which include waived fees or reimbursed
expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most
recent fiscal half-year, then divided by 365 to reflect the one-year half period. The WPG Core Bond Fund Investor Class is
multiplied by the number of days (42) due to its inception date of 01/17/06.
</FN>
INSTITUTIONAL INVESTOR RETIREMENT
------------- -------- ----------
Robeco Boston Partners Small Cap Value Fund II.......... 1.52% 1.77% N/A
Robeco Boston Partners Long/Short Equity Fund........... 2.67% (1) 2.92% (1) N/A
Robeco Boston Partners Large Cap Value Fund............. 1.00% 1.25% N/A
Robeco Boston Partners Mid Cap Value Fund............... 1.00% 1.25% N/A
Robeco Boston Partners All-Cap Value Fund............... 1.25% 1.50% N/A
Robeco WPG Tudor Fund................................... 1.49% N/A N/A
Robeco WPG Large Cap Growth Fund........................ 1.40% N/A N/A
Robeco WPG Core Bond Fund............................... 0.43% 0.69% 0.50%
<FN>
(1) These amounts include dividends on securities which the Fund has sold short ("short-sale dividends"). Short-sale
dividends generally reduce the market value of the securities by the amount of the dividend declared -- thus
increasing the Fund's unrealized gain or reducing the Fund's unrealized loss on the securities sold short.
Short-sale dividends are treated as an expense, and increase the Fund's total expense ratio, although no cash is
received or paid by the Fund. The amount of short-sale dividends was 0.08% of average net assets for the most
recent fiscal half-year.
</FN>
12 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
COMMON STOCK
Insurance - Other ......................... 12.4% $ 50,758,070
Apparel ................................... 6.0 24,729,421
Services - Business ....................... 5.5 22,304,939
Real Estate Investment Trust
(REIT) .................................. 5.3 21,601,345
Health Care - Services .................... 4.8 19,509,844
Manufacturing ............................. 4.4 17,877,944
Building & Construction ................... 3.5 14,529,708
Publishing & Information
Services ................................ 3.5 14,199,772
Financial Services ........................ 3.1 12,526,316
Electronics ............................... 2.7 11,045,019
Consulting Services ....................... 2.6 10,464,555
Computer Equipment &
Services ................................ 2.3 9,450,980
Building Materials ........................ 2.2 9,164,805
Oil & Gas - Exploration ................... 2.2 8,989,330
Office Equipment & Supplies ............... 2.1 8,746,852
Insurance - Life .......................... 2.0 8,113,875
Foods ..................................... 1.9 7,587,376
Business & Public Services ................ 1.7 6,918,944
Medical Equipment and
Supplies ................................ 1.7 6,791,663
Leisure & Lodging ......................... 1.5 6,255,921
Chemicals - Specialty ..................... 1.5 6,145,733
Oil Services .............................. 1.4 5,745,286
Machinery ................................. 1.3 5,368,649
Industrial Equipment &
Supplies ................................ 1.2 4,837,984
Consumer Products ......................... 1.2 4,717,196
Internet Services ......................... 1.1 4,711,044
Building Products - Air &
Heating ................................. 1.1 4,693,900
Real Estate ............................... 1.1 4,673,872
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
Engineering & Construction ................ 1.0% $ 4,107,047
Motor Homes ............................... 1.0 3,976,759
Aerospace & Defense ....................... 0.9 3,738,016
Health Care - Supplies .................... 0.9 3,571,615
Commercial Services ....................... 0.9 3,550,932
Containers ................................ 0.9 3,500,496
Transport - Services ...................... 0.8 3,476,003
Semiconductor Equipment &
Products ................................ 0.8 3,370,461
Environmental Services .................... 0.8 3,323,168
Automotive & Trucks ....................... 0.8 3,114,341
Retail .................................... 0.7 2,991,547
Banks - Regional .......................... 0.7 2,695,039
Paper Forest Products & Packaging ......... 0.6 2,593,936
Travel Services ........................... 0.6 2,515,644
Retail - Hard Goods ....................... 0.6 2,365,696
Utilities - Electric ...................... 0.5 2,197,232
Tobacco ................................... 0.5 1,980,522
Media & Entertainment ..................... 0.4 1,731,979
Savings & Loans ........................... 0.4 1,646,290
Iron & Steel .............................. 0.4 1,491,684
Airlines .................................. 0.3 1,357,566
Trucking .................................. 0.3 1,294,807
Marketing ................................. 0.3 1,204,128
Railroad & Bulk Shipping .................. 0.3 1,051,331
Consumer Non-Cyclical ..................... 0.2 932,465
Media ..................................... 0.1 575,900
SHORT-TERM INVESTMENTS ....................... 2.0 8,033,406
INVESTMENT COMPANY ........................... 1.3 5,189,857
LIABILITIES IN EXCESS OF
OTHER ASSETS .............................. (0.3) (1,146,597)
----- ------------
NET ASSETS ................................... 100.0% $408,891,613
===== ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 13
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
DOMESTIC COMMON STOCK
Insurance - Other .......................... 15.9% $ 18,207,249
Computer Equipment & Services .............. 4.3 4,870,373
Consulting Services ........................ 4.0 4,585,989
Health & Personal Care ..................... 3.3 3,773,449
Commercial Services ........................ 3.2 3,709,355
Health Care - Drugs ........................ 3.1 3,538,269
Manufacturing .............................. 2.9 3,358,893
Consumer Products .......................... 2.9 3,316,940
Telecommunication Services ................. 2.9 3,302,474
Oil & Gas - Exploration .................... 2.8 3,253,161
Telephone - Integrated ..................... 2.8 3,165,421
Printing Services .......................... 2.6 2,928,208
Foods ...................................... 2.4 2,747,083
Health Care - Supplies ..................... 2.4 2,699,471
Aerospace & Defense ........................ 2.3 2,671,865
Financial Services ......................... 2.3 2,658,886
Health Care - Services ..................... 2.3 2,646,517
Machinery .................................. 2.3 2,587,539
Office Equipment & Supplies ................ 2.1 2,437,314
Leisure & Lodging .......................... 2.1 2,427,584
Electronic Equipment & Products ............ 1.9 2,233,686
Retail ..................................... 1.8 2,053,480
Agriculture ................................ 1.6 1,777,847
Vitamins & Nutrition Products .............. 1.4 1,625,807
Oil & Gas - Integrated Majors .............. 1.4 1,609,962
Tobacco .................................... 1.4 1,562,421
Oil Services ............................... 1.4 1,548,650
Insurance - Life ........................... 1.1 1,292,375
Publishing & Information Services .......... 1.1 1,276,892
Electronics ................................ 1.1 1,273,416
Paper Forest Products & Packaging .......... 1.1 1,216,680
Apparel .................................... 1.1 1,215,098
Real Estate ................................ 1.0 1,125,458
Automotive Parts & Equipment ............... 0.9 1,020,311
Services - Consumer ........................ 0.8 933,960
Media & Entertainment ...................... 0.8 888,398
Internet Services .......................... 0.7 835,131
Hazardous Waste Disposal ................... 0.7 814,249
Business & Public Services ................. 0.7 757,790
Restaurants ................................ 0.6 722,021
Telecommunications Equipment ............... 0.6 649,993
Automotive & Trucks ........................ 0.5 611,189
Healthcare Facilities/Supplies ............. 0.5 581,357
Energy ..................................... 0.4 488,343
Semiconductor Equipment &
Products ................................. 0.4 452,185
Computer Software .......................... 0.3 333,645
Medical Equipment & Supplies ............... 0.3 311,696
Distribution ............................... --* 48,503
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
SHORT-TERM INVESTMENTS ........................ 19.6% $ 22,442,498
CORPORATE BONDS ............................... 0.1 111,510
CONVERTIBLE BONDS ............................. 0.1 76,969
WARRANTS ...................................... --* 60,600
SECURITIES SOLD SHORT
Environmental Services ..................... --* (16,338)
Airlines ................................... --* (17,755)
Containers ................................. --* (25,147)
Automobile Manufacturing/
Vehicle Parts ............................ --* (52,052)
Chemicals - Commodity ...................... (0.1) (64,785)
Aerospace & Defense ........................ (0.1) (109,792)
Building & Construction .................... (0.2) (232,830)
Real Estate ................................ (0.2) (239,560)
Leisure & Lodging .......................... (0.2) (256,946)
Gaming ..................................... (0.2) (257,771)
Health Care - Biotech ...................... (0.2) (277,495)
Foods ...................................... (0.2) (283,616)
Restaurants ................................ (0.3) (362,496)
Distribution ............................... (0.3) (374,361)
Biotechnology .............................. (0.3) (374,933)
Industrial Equipment & Supplies ............ (0.3) (387,717)
Retail ..................................... (0.4) (446,790)
Soaps & Toiletries ......................... (0.4) (449,591)
Consumer Products .......................... (0.4) (466,638)
Printing Services .......................... (0.5) (519,842)
Construction & Housing ..................... (0.5) (543,542)
Apparel .................................... (0.5) (564,392)
Broadcasting ............................... (0.5) (582,635)
Oil & Gas - Integrated Majors .............. (0.6) (648,460)
Rubber and Plastic ......................... (0.6) (673,026)
Energy Equipment & Services ................ (0.6) (683,026)
Retail - Food & Drug ....................... (0.6) (692,870)
Tobacco .................................... (0.6) (733,160)
Pharmaceuticals & Biotechnology ............ (0.7) (751,379)
Automotive & Trucks ........................ (0.7) (812,966)
Telecommunications Equipment ............... (0.7) (839,952)
Health Care - Services ..................... (0.8) (870,137)
Oil & Gas - Exploration .................... (0.8) (879,121)
Technology Hardware &
Equipment ................................ (0.8) (889,297)
Electronic Components &
Instruments .............................. (0.8) (903,368)
Health Care - Supplies ..................... (0.9) (997,522)
Diversified Operations ..................... (0.9) (1,007,347)
Health Care - Drugs ........................ (0.9) (1,028,316)
Media & Entertainment ...................... (1.0) (1,140,618)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded)
PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
SECURITIES SOLD SHORT--(continued)
Oil Field Machinery & Equipment ............ (1.0)% $ (1,156,411)
Electronics ................................ (1.1) (1,279,311)
Retail - Hard Goods ........................ (1.2) (1,363,029)
Telecommunications ......................... (1.3) (1,440,093)
Machinery .................................. (1.3) (1,445,720)
Commercial Services ........................ (1.3) (1,467,007)
Computers & Peripherals .................... (1.3) (1,491,088)
Metals - Steel ............................. (1.6) (1,849,321)
Manufacturing .............................. (1.8) (2,030,188)
Computer Software .......................... (2.0) (2,311,172)
Semiconductor Equipment &
Products ................................. (2.6) (3,027,060)
Energy ..................................... (2.7) (3,083,039)
Metals & Mining ............................ (2.9) (3,335,226)
Financial Services ......................... (3.2) (3,665,119)
Electronic Equipment & Products ............ (3.4) (3,849,064)
Internet Services .......................... (4.1) (4,684,477)
Medical Equipment and Supplies ............. (4.5) (5,171,566)
Computer Equipment & Services .............. (5.1) (5,810,291)
OTHER ASSETS IN EXCESS
OF LIABILITIES ............................. 45.9 52,538,229
----- ------------
NET ASSETS .................................... 100.0% $114,459,618
===== ============
* amount is less than 0.1%.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 15
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LARGE CAP VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
COMMON STOCK
Insurance - Other .......................... 14.4% $ 7,588,493
Financial Services ......................... 11.4 5,995,471
Oil & Gas - Integrated Majors .............. 10.3 5,414,165
Retail - Hard Goods ........................ 5.1 2,669,080
Media & Entertainment ...................... 4.8 2,550,337
Health Care - Drugs ........................ 4.6 2,451,571
Banks - Major .............................. 4.4 2,324,473
Manufacturing .............................. 4.0 2,130,741
Computer Equipment &
Services ................................. 3.7 1,968,403
Oil & Gas - Exploration .................... 3.1 1,638,857
Apparel .................................... 2.4 1,269,111
Telecommunications ......................... 2.3 1,227,799
Chemicals - Specialty ...................... 2.3 1,224,684
Computer Software .......................... 2.2 1,175,315
Telecommunications
Equipment ................................ 1.9 1,017,220
Semiconductor Equipment &
Products ................................. 1.9 1,000,442
Aerospace & Defense ........................ 1.9 978,227
Consulting Services ........................ 1.7 917,746
Health & Personal Care ..................... 1.7 891,038
Electronics ................................ 1.6 847,192
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
Foods ...................................... 1.3% $ 681,453
Tobacco .................................... 1.1 589,005
Medical Equipment and
Supplies ................................. 1.1 578,633
Leisure & Lodging .......................... 1.1 570,631
Health Care - Services ..................... 1.0 540,600
Containers ................................. 1.0 506,910
Savings & Loans ............................ 1.0 503,490
Business & Public Services ................. 0.9 461,304
Banks - Regional ........................... 0.8 417,942
Office Equipment & Supplies ................ 0.7 392,228
Metals & Mining ............................ 0.7 370,966
Publishing & Information Services .......... 0.6 336,600
Oil Services ............................... 0.6 296,559
SHORT-TERM INVESTMENTS ........................ 2.4 1,279,666
LIABILITIES IN EXCESS OF
OTHER ASSETS ............................... --* (16,890)
----- -----------
NET ASSETS .................................... 100.0% $52,789,462
===== ===========
* amount is less than 0.1%.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS MID CAP VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
COMMON STOCK
Insurance - Other .......................... 11.0% $ 6,562,791
Manufacturing .............................. 6.4 3,802,334
Retail - Hard Goods ........................ 5.2 3,130,529
Apparel .................................... 4.5 2,674,809
Financial Services ......................... 4.4 2,612,091
Business & Public Services ................. 3.8 2,291,161
Oil & Gas - Exploration .................... 3.7 2,240,853
Computer Equipment & Services .............. 3.0 1,783,614
Leisure & Lodging .......................... 3.0 1,767,782
Computer Software .......................... 2.8 1,698,349
Chemicals - Specialty ...................... 2.7 1,620,992
Electronics ................................ 2.7 1,596,624
Health Care - Services ..................... 2.6 1,560,544
Foods ...................................... 2.5 1,497,544
Publishing & Information Services .......... 2.4 1,464,936
Telecommunications ......................... 2.4 1,421,365
Containers ................................. 2.2 1,302,972
Banks - Regional ........................... 2.2 1,294,209
Oil Services ............................... 2.1 1,233,869
Medical Equipment & Supplies ............... 1.8 1,060,806
Real Estate Investment Trust (REIT) ........ 1.7 1,034,137
Media ...................................... 1.7 1,031,800
Distribution ............................... 1.7 1,013,978
Transport - Services ....................... 1.5 907,320
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
Utilities - Electric ....................... 1.5% $ 895,696
Insurance - Life ........................... 1.2 747,500
Automotive Parts & Equipment ............... 1.1 667,405
Travel Services ............................ 1.0 617,728
Oil & Gas - Integrated Majors .............. 1.0 610,141
Tobacco .................................... 1.0 596,814
Recreational Products - Toys ............... 1.0 581,325
Savings & Loans ............................ 1.0 574,495
Health Care - Drugs ........................ 0.9 563,740
Marketing .................................. 0.9 515,280
Advertising ................................ 0.8 500,251
Internet Services, Inc. .................... 0.6 375,913
Paper Forest Products & Packaging .......... 0.5 315,283
Data Processing Services ................... 0.5 283,542
Machinery .................................. 0.4 262,778
Broadcasting ............................... 0.4 212,774
Chemicals - Commodity ...................... 0.3 152,110
SHORT-TERM INVESTMENTS ........................ 4.4 2,592,620
INVESTMENT COMPANY ............................ 1.4 835,929
OTHER ASSETS IN EXCESS
OF LIABILITIES ............................. 2.1 1,284,908
----- -----------
NET ASSETS .................................... 100.0% $59,791,641
===== ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 17
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
COMMON STOCK
Insurance - Other .......................... 26.2% $ 3,348,338
Oil & Gas - Integrated Majors .............. 6.3 802,230
Oil & Gas - Exploration .................... 6.0 771,311
Financial Services ......................... 5.8 739,245
Apparel .................................... 5.0 632,830
Health Care - Drugs ........................ 4.5 575,155
Real Estate Investment Trust (REIT) ........ 3.7 470,679
Health Care - Services ..................... 3.2 403,776
Medical Equipment and Supplies ............. 2.9 373,354
Retail - Hard Goods ........................ 2.9 373,162
Computer Equipment & Services .............. 2.3 295,973
Computer Software .......................... 2.3 293,520
Manufacturing .............................. 2.0 255,413
Services - Business ........................ 1.9 239,528
Utilities - Electric ....................... 1.7 212,772
Chemicals - Specialty ...................... 1.5 195,895
Telecommunications ......................... 1.5 188,991
Business & Public Services ................. 1.5 186,154
Insurance - Life ........................... 1.2 160,000
Health & Personal Care ..................... 1.2 158,537
Internet Services, Inc. .................... 1.2 153,656
Leisure & Lodging .......................... 1.0 124,674
Tobacco .................................... 0.9 116,446
Diversified Operation ...................... 0.9 113,495
Consumer Non-Cyclical ...................... 0.9 110,317
Foods ...................................... 0.8 102,132
Savings & Loans ............................ 0.7 92,694
Telecommunications
Equipment ................................ 0.7 86,456
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
Distribution ............................... 0.7% $ 85,516
Media & Entertainment ...................... 0.6 78,107
Finance .................................... 0.6 77,260
Electronic Components &
Instruments .............................. 0.6 77,013
Recreational Products - Toys ............... 0.6 75,993
Travel Services ............................ 0.5 68,047
Electronics ................................ 0.5 60,527
Healthcare Facilities/Supplies ............. 0.4 56,021
Real Estate ................................ 0.4 46,800
Airlines ................................... 0.3 32,712
Marketing .................................. 0.2 28,548
SHORT-TERM INVESTMENTS ........................ 3.4 431,476
PREFERRED STOCK ............................... 1.0 125,328
INVESTMENT COMPANY ............................ 0.2 30,485
WARRANTS ...................................... --* 7,355
OPTIONS WRITTEN ............................... (0.6) (76,272)
LIABILITIES IN EXCESS OF
OTHER ASSETS ............................... (0.1) (16,667)
----- -----------
NET ASSETS .................................... 100.0% $12,764,982
===== ===========
* amount is less than 0.1%.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG TUDOR FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
COMMON STOCK
Insurance - Other .......................... 8.8% $ 4,480,748
Banks - Regional ........................... 8.3 4,216,537
Real Estate Investment Trust
(REIT) ................................... 7.5 3,829,660
Internet Services .......................... 7.4 3,758,448
Publishing & Information
Services ................................. 6.9 3,525,663
Consulting Services ........................ 3.7 1,897,632
Apparel .................................... 3.7 1,896,064
Transportation - Shipping .................. 3.4 1,717,675
Chemicals - Commodity ...................... 3.0 1,530,034
Consumer Products .......................... 2.9 1,494,719
Foods ...................................... 2.9 1,455,550
Gas Utilities .............................. 2.8 1,420,337
Electronic Components &
Instruments .............................. 2.3 1,183,547
Computer Equipment &
Services ................................. 2.3 1,160,258
Utilities - Electric ....................... 2.2 1,156,692
Oil & Gas - Exploration .................... 2.1 1,092,250
Telecommunications
Equipment ................................ 2.1 1,090,520
Services - Business ........................ 1.7 877,150
Health Care - Drugs ........................ 1.7 869,860
Airlines ................................... 1.7 865,034
Investment ................................. 1.7 846,712
Health Care - Services ..................... 1.4 701,276
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
Marine ..................................... 1.3% $ 671,420
Household Products ......................... 1.2 613,002
Data Processing Services ................... 1.1 556,198
Metals & Mining ............................ 1.1 552,331
Media & Entertainment ...................... 1.1 551,149
Oil Services ............................... 1.1 538,612
Financial Services ......................... 1.1 533,476
Manufacturing .............................. 0.9 462,220
Diversified Operation ...................... 0.8 425,250
Software & Services ........................ 0.8 398,952
Consumer Durables .......................... 0.8 387,839
Trucking ................................... 0.6 334,711
Chemicals - Specialty ...................... 0.6 311,168
Retail ..................................... 0.5 267,322
Railroad & Bulk Shipping ................... 0.5 262,350
Paper Forest Products & Packaging .......... 0.5 234,127
Health Care - Supplies ..................... 0.3 178,048
Semiconductor Equipment &
Products ................................. 0.3 172,590
Broadcasting ............................... 0.3 151,640
SHORT-TERM INVESTMENTS ........................ 4.5 2,275,820
WARRANTS ...................................... 0.3 163,744
LIABILITIES IN EXCESS
OF OTHER ASSETS ............................ (0.2) (76,229)
----- -----------
NET ASSETS .................................... 100.0% $51,032,106
===== ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 19
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG LARGE CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
COMMON STOCK
Consumer Cyclical Services ................. 8.6% $ 1,753,908
Healthcare Facilities/Supplies ............. 8.5 1,723,766
Financial Services ......................... 8.2 1,665,336
Computer Equipment & Services .............. 6.4 1,300,163
Semiconductor Equipment &
Products ................................. 5.7 1,154,995
Consumer Non-Cyclical ...................... 4.5 920,983
Foods ...................................... 4.4 896,196
Technology ................................. 4.2 845,388
Health Care - Services ..................... 4.1 836,852
Oil & Gas - Exploration .................... 3.4 686,144
Retail ..................................... 3.4 684,853
Telecommunications Equipment ............... 3.3 665,758
Computer Software .......................... 3.1 634,840
Aerospace/Defense .......................... 3.1 628,647
Medical Equipment and Supplies ............. 3.0 604,817
Transportation - Shipping .................. 2.9 593,734
Manufacturing .............................. 2.2 439,338
Insurance - Other .......................... 2.1 434,864
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- -----------
Internet Software .......................... 2.1% $ 416,910
Metals ..................................... 2.0 414,000
Publishing & Information Services .......... 1.9 382,248
Media & Entertainment ...................... 1.7 344,886
Services - Business ........................ 1.6 333,184
Diversified Operations ..................... 1.6 315,552
Restaurants ................................ 1.4 276,660
Health & Personal Care ..................... 1.2 253,660
Chemicals - Commodity ...................... 1.1 219,453
Biotechnology .............................. 1.0 197,087
Cement Manufacturing ....................... 0.8 154,400
Energy ..................................... 0.7 141,453
Telecommunications ......................... 0.7 138,294
Capital Goods .............................. 0.3 61,016
INVESTMENT COMPANY ............................ 0.5 98,686
OTHER ASSETS IN EXCESS
OF LIABILITIES ............................. 0.3 62,204
----- -----------
NET ASSETS .................................... 100.0% $20,280,275
===== ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND PORTFOLIO HOLDINGS SUMMARY TABLE
- --------------------------------------------------------------------------------
% of Net
Security Type/Industry Classification Assets Value
------------------------------------- -------- ------------
GOVERNMENT AGENCIES ........................... 46.8% $ 75,021,624
ASSET BACKED SECURITIES ....................... 26.1 41,821,570
SHORT TERM INVESTMENTS ........................ 24.8 39,781,826
U.S. TREASURY OBLIGATIONS ..................... 23.2 37,229,055
CORPORATE BONDS ............................... 11.7 18,749,979
INVESTMENTS HELD AS
COLLATERAL FOR
LOANED SECURITIES .......................... 10.7 17,207,933
LIABILITIES IN EXCESS OF
OTHER ASSETS ............................... (43.3) (69,438,215)
----- -----------
NET ASSETS .................................... 100.0% $160,373,772
===== ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 21
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
COMMON STOCK--97.0%
AEROSPACE & DEFENSE--0.9%
DRS Technologies, Inc. .............. 70,836 $ 3,738,016
------------
AIRLINES--0.3%
Pinnacle Airlines Corp.* ............ 179,810 1,357,566
------------
APPAREL--6.0%
Brown Shoe Co., Inc. ................ 65,450 3,121,965
Charming Shoppes, Inc.* ............. 234,800 3,143,972
Dress Barn, Inc., (The)* ............ 58,500 2,526,030
Finish Line, Inc., (The), Class A ... 122,920 2,057,681
Gymboree Corp., (The)* .............. 85,300 1,949,958
Hartmarx Corp.* ..................... 210,035 1,821,003
Kellwood Co. ........................ 48,570 1,250,192
Kenneth Cole Productions, Inc.,
Class A ........................... 36,900 1,015,119
Oxford Industries, Inc. ............. 133,230 6,099,269
Warnaco Group, Inc., (The)* ......... 75,150 1,744,232
------------
24,729,421
------------
AUTOMOTIVE & TRUCKS--0.8%
Group 1 Automotive, Inc. ............ 35,155 1,345,733
Lithia Motors, Inc., Class A ........ 55,200 1,768,608
------------
3,114,341
------------
BANKS - REGIONAL--0.7%
Bancorp, Inc., (The)* ............... 43,325 908,959
First Community Bancorp ............. 10,200 609,144
UMB Financial Corp. ................. 17,400 1,176,936
------------
2,695,039
------------
BUILDING & CONSTRUCTION--3.5%
Champion Enterprises, Inc.* ......... 326,110 5,061,227
Dycom Industries, Inc.* ............. 43,700 932,995
Infrasource Services, Inc.* ......... 74,315 1,328,009
Palm Harbor Homes, Inc.* ............ 112,343 2,353,586
Perini Corp.* ....................... 159,720 4,853,891
------------
14,529,708
------------
BUILDING MATERIALS--2.2%
Drew Industries, Inc.* .............. 191,600 6,217,420
ElkCorp ............................. 81,645 2,947,385
------------
9,164,805
------------
BUILDING PRODUCTS - AIR & HEATING--1.1%
Lennox International, Inc. .......... 146,000 4,693,900
------------
BUSINESS & PUBLIC SERVICES--1.7%
Gevity HR, Inc. ..................... 197,300 4,968,014
Service Corp. International ......... 245,400 1,950,930
------------
6,918,944
------------
CHEMICALS - SPECIALTY--1.5%
Spartech Corp. ...................... 32,615 789,283
UAP Holding Corp. ................... 236,700 5,150,592
Number
of Shares Value
--------- ------------
CHEMICALS - SPECIALTY--(CONTINUED)
Wellman, Inc. ....................... 32,780 $ 205,858
------------
6,145,733
------------
COMMERCIAL SERVICES--0.9%
CBIZ, Inc.* ......................... 269,500 1,956,570
Steiner Leisure Ltd.* ............... 37,400 1,594,362
------------
3,550,932
------------
COMPUTER EQUIPMENT & SERVICES--2.3%
Imation Corp. ....................... 57,900 2,538,915
Insight Enterprises, Inc.* .......... 204,285 4,398,256
Keane, Inc.* ........................ 131,400 1,542,636
Pomeroy IT Solutions, Inc.* ......... 54,496 506,813
Tier Technologies, Inc., Class B* ... 61,100 464,360
------------
9,450,980
------------
CONSULTING SERVICES--2.6%
First Consulting Group, Inc.* ....... 64,340 402,125
FTI Consulting, Inc.* ............... 56,600 1,581,404
MAXIMUS, Inc. ....................... 112,150 4,094,596
Watson Wyatt Worldwide, Inc.,
Class A ........................... 143,535 4,386,430
------------
10,464,555
------------
CONSUMER NON-CYCLICAL--0.2%
Natuzzi S.p.A. - ADR ................ 125,500 932,465
------------
CONSUMER PRODUCTS--1.2%
Playtex Products, Inc.* ............. 269,850 2,833,425
Spectrum Brands, Inc.* .............. 27,700 528,239
WD-40 Co. ........................... 44,400 1,355,532
------------
4,717,196
------------
CONTAINERS--0.9%
Silgan Holdings, Inc. ............... 88,800 3,500,496
------------
ELECTRONICS--2.7%
Hypercom Corp.* ..................... 160,200 1,231,938
Paxar Corp.* ........................ 146,200 2,804,116
Planar Systems, Inc.* ............... 78,300 1,216,782
Schawk, Inc. ........................ 44,460 1,104,831
Technitrol, Inc. .................... 214,230 4,687,352
------------
11,045,019
------------
ENGINEERING & CONSTRUCTION--1.0%
URS Corp.* .......................... 29,014 1,264,720
Washington Group International,
Inc.* ............................. 48,695 2,842,327
------------
4,107,047
------------
ENVIRONMENTAL SERVICES--0.8%
Tetra Tech, Inc.* ................... 186,590 3,323,168
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
FINANCIAL SERVICES--3.1%
Advanta Corp., Class B .............. 168,200 $ 5,898,774
Affiliated Managers Group, Inc.* .... 15,000 1,476,450
CMET Finance Holdings, Inc. 144A* ... 15,000 531,750
Federal Agricultural Mortgage
Corp., Class C .................... 154,700 4,619,342
------------
12,526,316
------------
FOODS--1.9%
Chiquita Brands International, Inc. . 67,800 1,167,516
Gold Kist, Inc.* .................... 132,270 1,755,223
NBTY, Inc.* ......................... 109,380 2,395,422
Premium Standard Farms, Inc. ........ 151,281 2,269,215
------------
7,587,376
------------
HEALTH CARE - SERVICES--4.8%
Amedisys, Inc.* ..................... 89,600 2,883,328
ICON PLC - ADR* ..................... 33,500 1,608,000
Kindred Healthcare, Inc.* ........... 217,830 4,709,485
LifePoint Hospitals, Inc.* .......... 36,690 1,139,591
Magellan Health Services, Inc.* ..... 32,200 1,229,718
Option Care, Inc. ................... 204,325 2,864,636
Per-Se Technologies, Inc.* .......... 100,700 2,543,682
RehabCare Group, Inc.* .............. 70,970 1,432,175
Res-Care, Inc.* ..................... 60,100 1,099,229
------------
19,509,844
------------
HEALTH CARE - SUPPLIES--0.9%
Herbalife Ltd.* ..................... 89,010 2,758,420
Owens & Minor, Inc. ................. 25,500 813,195
------------
3,571,615
------------
INDUSTRIAL EQUIPMENT & SUPPLIES--1.2%
Nordson Corp. ....................... 82,700 4,128,384
Rofin-Sinar Technologies, Inc.* ..... 13,470 709,600
------------
4,837,984
------------
INSURANCE - LIFE--2.0%
AmerUs Group Co. .................... 30,000 1,807,500
Scottish Re Group Ltd. .............. 252,255 6,306,375
------------
8,113,875
------------
INSURANCE - OTHER--12.4%
American Equity Investment Life
Holding Co. ....................... 94,545 1,265,958
Arch Capital Group Ltd.* ............ 12,500 707,000
Aspen Insurance Holdings Ltd. ....... 56,615 1,314,034
Assured Guaranty Ltd. ............... 280,700 7,410,480
Bristol West Holdings, Inc. ......... 52,525 973,813
CNA Surety Corp.* ................... 158,625 2,756,902
Hanover Insurance Group, Inc. ....... 25,890 1,254,371
Hilb, Rogal & Hobbs Co. ............. 30,400 1,174,960
Hub International Ltd. .............. 122,800 3,512,080
Infinity Property & Casualty Corp. .. 30,400 1,205,664
IPC Holdings Ltd. ................... 215,300 5,655,931
Number
of Shares Value
--------- ------------
INSURANCE - OTHER--(CONTINUED)
KMG America Corp.* .................. 235,260 $ 2,470,230
Max Re Capital Ltd. ................. 101,700 2,482,497
Navigators Group, Inc., (The)* ...... 118,370 5,551,553
Odyssey Re Holdings Corp. ........... 35,720 838,706
Platinum Underwriters Holdings
Ltd. .............................. 275,660 8,440,709
Quanta Capital Holdings Ltd.* ....... 275,500 1,281,075
Seabright Insurance Holdings* ....... 50,930 845,947
United America Indemnity Ltd.,
Class A* .......................... 71,040 1,616,160
------------
50,758,070
------------
INTERNET SERVICES--1.1%
EarthLink, Inc.* .................... 242,900 2,409,568
United Online, Inc. ................. 191,630 2,301,476
------------
4,711,044
------------
IRON & STEEL--0.4%
Ryerson, Inc. ....................... 59,100 1,491,684
------------
LEISURE & LODGING--1.5%
Alliance Gaming Corp.* .............. 79,800 1,181,040
Interstate Hotels & Resorts, Inc.* .. 80,250 383,595
Intrawest Corp. ..................... 75,000 2,388,000
MTR Gaming Group, Inc.* ............. 46,460 463,206
Pinnacle Entertainment, Inc.* ....... 65,600 1,840,080
------------
6,255,921
------------
MACHINERY--1.3%
Actuant Corp., Class A .............. 17,100 942,210
CIRCOR International, Inc. .......... 29,200 805,920
Manitowoc Co., Inc., (The) .......... 25,700 1,980,699
Stewart & Stevenson Services, Inc. .. 47,600 1,639,820
------------
5,368,649
------------
MANUFACTURING--4.4%
Acuity Brands, Inc. ................. 130,600 5,157,394
EnerSys* ............................ 63,325 859,953
Federal Signal Corp. ................ 148,915 2,667,068
Griffon Corp.* ...................... 56,600 1,331,232
NN, Inc. ............................ 81,200 1,002,008
Olin Corp. .......................... 60,500 1,271,105
RBC Bearings, Inc.* ................. 139,985 2,761,904
Tempur-Pedic International, Inc.* ... 239,600 2,827,280
------------
17,877,944
------------
MARKETING--0.3%
Nu Skin Enterprises, Inc., Class A .. 66,600 1,204,128
------------
MEDIA--0.1%
Media General, Inc. Class A ......... 11,495 575,900
------------
MEDIA & ENTERTAINMENT--0.4%
4Kids Entertainment, Inc.* .......... 43,300 736,100
Journal Communications, Inc.,
Class A ........................... 80,900 995,879
------------
1,731,979
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 23
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
MEDICAL EQUIPMENT AND SUPPLIES--1.7%
Analogic Corp. ...................... 18,900 $ 1,019,655
CONMED Corp.* ....................... 129,000 2,497,440
Medical Action Industries, Inc.* .... 98,400 2,330,112
PAREXEL International Corp.* ....... 36,864 944,456
------------
6,791,663
------------
MOTOR HOMES--1.0%
Monaco Coach Corp. .................. 100,500 1,438,155
Winnebago Industries, Inc. .......... 79,035 2,538,604
------------
3,976,759
------------
OFFICE EQUIPMENT & SUPPLIES--2.1%
Acco Brands Corp.* .................. 144,400 3,433,832
Ennis, Inc. ......................... 101,600 2,003,552
Global Imaging Systems, Inc.* ....... 91,675 3,309,468
------------
8,746,852
------------
OIL & GAS - EXPLORATION--2.2%
Comstock Resources, Inc.* ........... 72,600 2,040,060
InterOil Corp.* ..................... 30,000 517,200
Remington Oil & Gas Corp.* .......... 31,100 1,303,090
Stone Energy Corp.* ................. 41,500 1,718,100
Swift Energy Co.* ................... 88,000 3,410,880
------------
8,989,330
------------
OIL SERVICES--1.4%
Key Energy Services, Inc.* .......... 165,565 2,475,197
Parker Drilling Co.* ................ 112,500 1,040,625
Trico Marine Services, Inc.* ....... 76,535 2,229,464
------------
5,745,286
------------
PAPER FOREST PRODUCTS & PACKAGING--0.6%
Neenah Paper, Inc. .................. 54,600 1,671,306
Schweitzer-Mauduit International,
Inc. .............................. 35,900 922,630
------------
2,593,936
------------
PUBLISHING & INFORMATION SERVICES--3.5%
Banta Corp. ......................... 55,400 2,698,534
Bowne & Co., Inc. ................... 216,600 3,225,174
infoUSA, Inc. ....................... 111,300 1,307,775
Journal Register Co. ................ 102,200 1,314,292
Reader's Digest Association, Inc.,
(The) ............................. 96,800 1,470,392
Scholastic Corp.* ................... 73,000 2,147,660
Valassis Communications, Inc.* ...... 73,900 2,035,945
------------
14,199,772
------------
RAILROAD & BULK SHIPPING--0.3%
RailAmerica, Inc.* .................. 106,195 1,051,331
------------
REAL ESTATE--1.1%
Trammell Crow Co.* .................. 143,900 4,673,872
------------
Number
of Shares Value
--------- ------------
REAL ESTATE INVESTMENT TRUST (REIT)--5.3%
American Financial Realty Trust ..... 155,025 $ 1,832,395
Ashford Hospitality Trust ........... 86,075 1,075,077
Capital Lease Funding, Inc. ......... 154,775 1,677,761
Digital Realty Trust, Inc. .......... 135,600 3,743,916
Fieldstone Investment Corp. ......... 82,300 974,432
Gladstone Commercial Corp. .......... 85,875 1,610,156
Government Properties Trust, Inc. ... 92,275 788,029
Jer Investors Trust, Inc. ........... 31,400 548,872
Lexington Corporate Properties
Trust ............................. 51,950 1,107,574
Medical Properties Trust, Inc. 144A 87,500 875,000
Medical Properties Trust, Inc. ...... 99,400 994,000
MFA Mortgage Investments, Inc. ...... 181,650 1,075,368
Opteum Inc., Class A 144A ........... 122,425 1,066,322
Origen Financial, Inc. .............. 301,825 2,043,355
Redwood Trust, Inc. ................. 52,800 2,189,088
------------
21,601,345
------------
RETAIL--0.7%
Children's Place Retail Stores,
Inc., (The)* ...................... 64,100 2,991,547
------------
RETAIL - HARD GOODS--0.6%
GameStop Corp., Class A* ............ 31,215 1,249,536
School Specialty, Inc.* ............. 32,000 1,116,160
------------
2,365,696
------------
SAVINGS & LOANS--0.4%
Franklin Bank Corp.* ................ 96,500 1,646,290
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.8%
Axcelis Technologies, Inc.* ......... 189,210 1,307,441
Emulex Corp.* ....................... 115,900 2,063,020
------------
3,370,461
------------
SERVICES - BUSINESS--5.5%
Clark, Inc. ......................... 201,750 2,130,480
Cornell Companies, Inc.* ............ 60,280 814,383
Geo Group, Inc., (The)* ............. 33,900 766,140
IKON Office Solutions, Inc. ......... 230,300 3,028,445
Integrated Alarm Services
Group, Inc.* ...................... 456,413 1,437,701
John H. Harland Co. ................. 46,930 1,698,397
Kforce, Inc.* ....................... 92,376 1,118,673
MPS Group, Inc.* .................... 275,600 4,172,584
Spherion Corp.* ..................... 146,200 1,459,076
Standard Parking Corp.* ............. 112,655 2,409,690
World Fuel Services Corp. ........... 107,900 3,269,370
------------
22,304,939
------------
TOBACCO--0.5%
Alliance One International, Inc. .... 270,500 1,203,725
Universal Corp. ..................... 19,100 776,797
------------
1,980,522
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24 |SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
TRANSPORT - SERVICES--0.8%
EGL, Inc.* .......................... 52,700 $ 2,131,715
Quintana Maritime Ltd. .............. 105,605 1,008,528
Stonepath Group, Inc.* .............. 559,600 335,760
------------
3,476,003
------------
TRAVEL SERVICES--0.6%
Ambassadors International, Inc. ..... 15,800 279,344
Navigant International, Inc.* ....... 203,300 2,236,300
------------
2,515,644
------------
TRUCKING--0.3%
Marten Transport Ltd.* .............. 18,150 424,528
Quality Distribution, Inc.* ......... 79,405 870,279
------------
1,294,807
------------
UTILITIES - ELECTRIC--0.5%
Sierra Pacific Resources* ........... 154,300 2,197,232
------------
TOTAL COMMON STOCK
(Cost $309,372,422) ............. 396,814,947
------------
INVESTMENT COMPANY--1.3%
FINANCIAL SERVICES--1.3%
Apollo Investment Corp. ............. 160,900 3,023,311
Ares Capital Corp. .................. 124,945 2,166,546
------------
5,189,857
------------
TOTAL INVESTMENT COMPANY
(Cost $4,345,150) ............... 5,189,857
------------
SHORT-TERM INVESTMENTS--2.0%
PNC Bank Money Market
Deposit Account
4.020% 03/01/06 ................... 8,033,406 8,033,406
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $8,033,406) ............... 8,033,406
------------
TOTAL INVESTMENTS--100.3%
(Cost $321,750,978) ................. 410,038,210
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.3)% ................ (1,146,597)
------------
NET ASSETS--100.0% ..................... $408,891,613
============
- ----------
* -- Non-income producing.
ADR -- American Depository Receipt.
144A -- Security was purchased pursuant to Rule 144A under Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 25
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
LONG POSITIONS--114.3%
DOMESTIC COMMON STOCK--94.5%
AEROSPACE & DEFENSE--2.3%
Allied Defense Group, Inc.,
(The) +* .......................... 99,515 $ 2,278,893
Triumph Group, Inc. +* .............. 9,390 392,972
------------
2,671,865
------------
AGRICULTURE--1.6%
Hines Horticulture, Inc.* ........... 479,204 1,777,847
------------
APPAREL--1.1%
Kenneth Cole Productions, Inc.,
Class A + ......................... 35,910 987,884
Mossimo, Inc.* ...................... 36,123 227,214
------------
1,215,098
------------
AUTOMOTIVE & TRUCKS--0.5%
Strattec Security Corp. +* .......... 15,106 611,189
------------
AUTOMOTIVE PARTS & EQUIPMENT--0.9%
CSK Auto Corp. +* ................... 53,600 852,776
Motorcar Parts of America, Inc. +* .. 12,410 167,535
------------
1,020,311
------------
BUSINESS & PUBLIC SERVICES--0.7%
BB Holdings Ltd. + .................. 119,337 757,790
------------
COMMERCIAL SERVICES--3.2%
Carlisle Group Ltd. (United
Kingdom)* ......................... 47,735 95,299
NCO Group, Inc. +* .................. 36,400 817,908
OneSource Services, Inc* ............ 7,459 109,392
Steiner Leisure Ltd. +* ............. 63,025 2,686,756
------------
3,709,355
------------
COMPUTER EQUIPMENT & SERVICES--4.3%
Acxiom Corp. + ...................... 26,400 683,232
Dynamics Research Corp. +* .......... 69,355 946,002
Parametric Technology Corp.* ....... 42,360 644,719
Perot Systems Corp., Class A +* ..... 74,900 1,131,739
Pomeroy IT Solutions, Inc. +* ....... 77,795 723,494
SimpleTech, Inc.* ................... 178,170 741,187
------------
4,870,373
------------
COMPUTER SOFTWARE--0.3%
Phoenix Technologies Ltd.* .......... 48,145 333,645
------------
CONSULTING SERVICES--4.0%
Accenture Ltd., Class A + ........... 54,495 1,779,806
MAXIMUS, Inc. + ..................... 43,700 1,595,487
Opinion Research Corp. +* ........... 219,727 1,210,696
------------
4,585,989
------------
CONSUMER PRODUCTS--2.9%
Church & Dwight Co., Inc. + ......... 29,210 1,008,621
CSS Industries, Inc. ................ 18,300 563,640
Tupperware Brands Corp. + ........... 52,900 1,120,951
Number
of Shares Value
--------- ------------
CONSUMER PRODUCTS--(CONTINUED)
WD-40 Co. + ......................... 20,430 $ 623,728
------------
3,316,940
------------
DISTRIBUTION--0.0%
SniffEX, Inc. +* .................... 29,940 48,503
------------
ELECTRONIC EQUIPMENT & PRODUCTS--1.9%
Ionatron, Inc. +* ................... 41,435 474,845
LeCroy Corp. +* ..................... 24,035 355,718
PerkinElmer, Inc. + ................. 33,880 806,005
Spectrum Control, Inc. +* ........... 80,150 597,118
------------
2,233,686
------------
ELECTRONICS--1.1%
Technitrol, Inc. + .................. 58,200 1,273,416
------------
ENERGY--0.4%
Hy-Drive Technologies Ltd* .......... 325,000 414,375
Rentech, Inc. +* .................... 19,015 73,968
------------
488,343
------------
FINANCIAL SERVICES--2.3%
Federal Agricultural Mortgage
Corp., Class C + .................. 46,540 1,389,684
IndyMac Bancorp, Inc. + ............. 14,600 566,772
Tac Acquisition Corp.* .............. 60,600 336,330
Tremisis Energy Acquisition
Corp.* ............................ 65,375 366,100
------------
2,658,886
------------
FOODS--2.4%
M & F Worldwide Corp. +* ............ 58,655 967,807
Nestle S.A. - ADR + ................. 24,200 1,779,276
------------
2,747,083
------------
HAZARDOUS WASTE DISPOSAL--0.7%
Synagro Techonologies, Inc. ......... 170,345 814,249
------------
HEALTH & PERSONAL CARE--3.3%
Female Health Co., (The)* ........... 79,015 130,375
Johnson & Johnson + ................. 49,000 2,824,850
Natrol, Inc.* ....................... 371,920 818,224
------------
3,773,449
------------
HEALTH CARE - DRUGS--3.1%
Pfizer, Inc. + ...................... 135,100 3,538,269
------------
HEALTH CARE - SERVICES--2.3%
American Dental Partners,
Inc. +* ........................... 87,232 1,136,633
Hanger Orthopedic Group,
Inc. +* ........................... 63,625 387,476
Pediatric Services of America,
Inc. +* ........................... 45,530 579,597
PHC, Inc., Class A* ................. 252,470 542,811
------------
2,646,517
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26 | SEMI-ANNUAL REPORT 2006
- --------------------------------------------------------------------------------
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
HEALTH CARE - SUPPLIES--2.4%
MTS Medication Technologies +* ..... 149,105 $ 982,602
Orthofix International N.V. +* ...... 20,726 860,129
Unilens Vision, Inc.* ............... 102,555 410,220
Vital Signs, Inc. + ................. 8,745 446,520
------------
2,699,471
------------
HEALTHCARE FACILITIES/SUPPLIES--0.5%
Kinetic Concepts, Inc.* ............. 15,670 581,357
------------
INSURANCE - LIFE--1.1%
Scottish Re Group Ltd. + ............ 51,695 1,292,375
------------
INSURANCE - OTHER--15.9%
Ambac Financial Group, Inc. ......... 10,800 811,620
American International Group,
Inc. + ............................ 17,400 1,154,664
Aspen Insurance Holdings Ltd. + ..... 42,500 986,425
Assured Guaranty Ltd. + ............. 50,992 1,346,189
Bristol West Holdings, Inc. + ....... 38,465 713,141
Investors Title Co. + ............... 13,384 578,537
IPC Holdings Ltd. + ................. 25,400 667,258
Loews Corp. + ....................... 14,200 1,310,092
MBIA, Inc. + ........................ 42,200 2,478,828
Nationwide Financial Services,
Inc., Class A + ................... 22,300 955,778
PartnerRe Ltd. + .................... 26,800 1,624,348
Platinum Underwriters Holdings
Ltd. + ............................ 67,240 2,058,889
Primus Guaranty Ltd. +* ............. 46,110 576,375
Protective Life Corp. + ............. 29,100 1,418,625
RenaissanceRe Holdings Ltd. + ....... 13,100 583,605
Wesco Financial Corp. + ............. 2,375 942,875
------------
18,207,249
------------
INTERNET SERVICES--0.7%
Knot, Inc., (The) +* ................ 46,502 706,366
Pacific Internet Ltd.* .............. 17,055 128,765
------------
835,131
------------
LEISURE & LODGING--2.1%
Escalade, Inc. + .................... 46,994 532,912
Interstate Hotels & Resorts, Inc.* .. 396,375 1,894,672
------------
2,427,584
------------
MACHINERY--2.3%
Stewart & Stevenson Services,
Inc. + ............................ 60,890 2,097,660
TurboChef Technologies, Inc. +* ..... 36,833 489,879
------------
2,587,539
------------
MANUFACTURING--2.9%
Matthews International Corp.,
Class A + ......................... 44,675 1,659,229
Velcro Industries N.V. + ............ 103,990 1,439,222
Wolverine Tube, Inc.* ............... 70,965 260,442
------------
3,358,893
------------
Number
of Shares Value
--------- ------------
MEDIA & ENTERTAINMENT--0.8%
New Frontier Media, Inc. +* ......... 124,600 $ 888,398
------------
MEDICAL EQUIPMENT & SUPPLIES--0.3%
CONMED Corp. +* ..................... 16,100 311,696
------------
OFFICE EQUIPMENT & SUPPLIES--2.1%
Ennis, Inc. + ....................... 88,915 1,753,404
Xerox Corp. +* ...................... 45,900 683,910
------------
2,437,314
------------
OIL & GAS - EXPLORATION--2.8%
Chaparral Resources, Inc.* .......... 37,650 196,533
Chesapeake Energy Corp. ............. 18,600 552,234
Eden Energy Corp.* .................. 47,070 117,675
InterOil Corp. +* ................... 34,700 598,228
Pogo Producing Co. + ................ 21,900 1,091,934
Whittier Energy Corp* ............... 80,620 696,557
------------
3,253,161
------------
OIL & GAS - INTEGRATED MAJORS--1.4%
Marathon Oil Corp. + ................ 22,804 1,609,962
------------
OIL SERVICES--1.4%
T-3 Energy Services, Inc. +* ........ 11,698 165,995
Trico Marine Services, Inc. +* ...... 47,465 1,382,655
------------
1,548,650
------------
PAPER FOREST PRODUCTS & PACKAGING--1.1%
Graphic Packaging Corp.* ............ 226,900 589,940
Neenah Paper, Inc. .................. 20,475 626,740
------------
1,216,680
------------
PRINTING SERVICES--2.6%
Cadmus Communications Corp. + ....... 117,940 2,232,604
Quebecor World, Inc. ................ 68,600 695,604
------------
2,928,208
------------
PUBLISHING & INFORMATION SERVICES--1.1%
Bowne & Co., Inc. + ................. 85,755 1,276,892
------------
REAL ESTATE--1.0%
United Capital Corp. +* ............. 41,730 1,125,458
------------
RESTAURANTS--0.6%
Benihana, Inc., Class A +* .......... 26,921 722,021
------------
RETAIL--1.8%
Children's Place Retail Stores,
Inc., (The) +* .................... 44,000 2,053,480
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.4%
inTEST Corp.* ....................... 101,160 452,185
------------
SERVICES - CONSUMER--0.8%
Coinstar, Inc. +* ................... 36,200 933,960
------------
TELECOMMUNICATION SERVICES--2.9%
GlobeTel Communications Corp.* ..... 105,985 312,656
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 27
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
TELECOMMUNICATION SERVICES--(CONTINUED)
Premiere Global Services, Inc. +* ... 171,305 $ 1,406,414
West Corp. +* ....................... 36,375 1,583,404
------------
3,302,474
------------
TELECOMMUNICATIONS EQUIPMENT--0.6%
Optical Cable Corp.* ................ 12,273 61,733
Terayon Communication Systems,
Inc.* ............................. 219,500 588,260
------------
649,993
------------
TELEPHONE - INTEGRATED--2.8%
CT Communications, Inc. + ........... 103,624 1,371,982
Telefonos de Mexico SA de
CV - ADR + ........................ 80,100 1,793,439
------------
3,165,421
------------
TOBACCO--1.4%
Loews Corp. - Carolina Group + ..... 32,900 1,562,421
------------
VITAMINS & NUTRITION PRODUCTS--1.4%
Nutraceutical International
Corp. +* .......................... 113,139 1,625,807
------------
TOTAL DOMESTIC COMMON STOCK
(Cost $98,729,545) .............. 108,146,583
------------
Par
(000)
-------
CONVERTIBLE BONDS--0.1%
Interpool, Inc.
9.25% 12/27/22 .................... $75 76,969
------------
TOTAL CONVERTIBLE BONDS--0.1%
(Cost $75,000) .................. 76,969
------------
CORPORATE BONDS--0.1%
Mueller Industries, Inc. Senior
Subordinated Debentures
6.00% 11/01/14 .................... 118 111,510
------------
TOTAL CORPORATE BONDS--0.1%
(Cost $118,000) ................. 111,510
------------
Number
of Shares
---------
WARRANTS--0.0%
FINANCIAL SERVICES--0.0%
Tac Acquisition Corp. ...............
$5.00 Expires 06/28/10* ........... 121,200 60,600
------------
TOTAL WARRANTS
(Cost $0) ....................... 60,600
------------
Number
of Shares Value
--------- ------------
SHORT-TERM INVESTMENTS--19.6%
SHORT-TERM INVESTMENTS--19.6%
PNC Bank Money Market
Deposit Account
4.02% 03/01/06 .................... 22,442,498 $ 22,442,498
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $22,442,498) .............. 22,442,498
------------
TOTAL LONG POSITIONS--114.3%
(Cost $121,365,044) ................. 130,838,160
------------
SECURITIES SOLD SHORT--(60.2%)
AEROSPACE & DEFENSE--(0.1%)
Metal Storm Ltd.* ................... (30,080) (109,792)
------------
AIRLINES--0.0%
Northwest Airlines Corp.* ........... (46,725) (17,755)
------------
APPAREL--(0.5%)
Guess?, Inc.* ....................... (9,300) (336,567)
Timberland Co. (The), Class A* ...... (6,500) (227,825)
------------
(564,392)
------------
AUTOMOBILE MANUFACTURING/VEHICLE PARTS--0.0%
Hybrid Technologies, Inc.* .......... (3,946) (52,052)
------------
AUTOMOTIVE & TRUCKS--(0.7%)
A.S.V., Inc.* ....................... (13,080) (420,914)
Sonic Automotive, Inc. .............. (14,800) (392,052)
------------
(812,966)
------------
BIOTECHNOLOGY--(0.3%)
Crucell NV - ADR* ................... (15,100) (374,933)
------------
BROADCASTING--(0.5%)
Sirius Satellite Radio, Inc.* ....... (80,300) (410,333)
XM Satellite Radio Holdings, Inc.,
Class A* .......................... (7,800) (172,302)
------------
(582,635)
------------
BUILDING & CONSTRUCTION--(0.2%)
Home Solutions of America, Inc.* .... (39,800) (232,830)
------------
CHEMICALS - COMMODITY--(0.1%)
Lumera Corp.* ....................... (15,425) (64,785)
------------
COMMERCIAL SERVICES--(1.3%)
Intersections, Inc.* ................ (22,400) (204,064)
LML Payment Systems, Inc.* .......... (19,210) (116,605)
Rewards Network, Inc.* .............. (97,705) (768,938)
Team, Inc. .......................... (12,750) (377,400)
------------
(1,467,007)
------------
COMPUTER EQUIPMENT & SERVICES--(5.1%)
3D Systems Corp.* ................... (27,024) (513,456)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
COMPUTER EQUIPMENT & SERVICES--(CONTINUED)
Cognizant Technology Solutions
Corp., Class A* ................... (10,000) $ (576,100)
ConSyGen, Inc.* ..................... (200) 0
Covansys Corp.* ..................... (41,795) (626,089)
DataTRAK International, Inc.* ....... (25,070) (188,025)
Hyperion Solutions Corp.* ........... (10,400) (348,920)
Komag, Inc.* ........................ (16,600) (777,544)
MicroStrategy, Inc., Class A* ....... (4,500) (412,560)
Mobility Electronics, Inc.* ......... (20,100) (189,543)
Research In Motion Ltd.* ............ (12,400) (874,572)
SanDisk Corp.* ...................... (8,400) (506,856)
Satellite Newspapers Corp.* ......... (8,615) (181)
Sun Microsystems, Inc.* ............. (65,400) (272,718)
Trident Microsystems, Inc.* ......... (7,130) (199,212)
Western Digital Corp.* .............. (14,500) (322,625)
Xybernaut Corp.* .................... (35,000) (1,890)
------------
(5,810,291)
------------
COMPUTER SOFTWARE--(2.0%)
Ants Software, Inc.* ................ (48,984) (97,968)
CA, Inc. ............................ (17,500) (475,300)
Convera Corp.* ...................... (84,572) (828,806)
Nestor, Inc.* ....................... (23,200) (80,504)
Ultimate Software Group, Inc.,
(The)* ............................ (35,410) (828,594)
------------
(2,311,172)
------------
COMPUTERS & PERIPHERALS--(1.3%)
Cambridge Display Technology,
Inc.* ............................. (21,800) (203,830)
Immersion Corp.* .................... (44,685) (320,838)
Palm, Inc.* ......................... (23,400) (966,420)
------------
(1,491,088)
------------
CONSTRUCTION & HOUSING--(0.5%)
Cavalier Homes, Inc.* ............... (76,880) (543,542)
------------
CONSUMER PRODUCTS--(0.4%)
CNS, Inc. ........................... (10,700) (222,453)
Flanders Corp.* ..................... (22,300) (244,185)
------------
(466,638)
------------
CONTAINERS--0.0%
CryoPort, Inc.* ..................... (4,960) (25,147)
------------
DISTRIBUTION--(0.3%)
Beacon Roofing Supply, Inc.* ........ (8,300) (325,858)
SniffEX, Inc.* ...................... (29,940) (48,503)
------------
(374,361)
------------
DIVERSIFIED OPERATIONS--(0.9%)
Dark Dynamite, Inc.* ................ (12,359) (12,977)
Encore Wire Corp.* .................. (22,270) (694,601)
Microfield Group, Inc.* ............. (340) (969)
Seaboard Corp. ...................... (200) (298,800)
------------
(1,007,347)
------------
Number
of Shares Value
--------- ------------
ELECTRONIC COMPONENTS & INSTRUMENTS--(0 8%)
Bookham, Inc.* ...................... (65,100) $ (454,398)
Electro Scientific Industries, Inc.* (17,600) (439,296)
Flexpoint Sensor Systems, Inc.* ..... (4,837) (9,674)
------------
(903,368)
------------
ELECTRONIC EQUIPMENT & PRODUCTS--(3.4%)
American Science and
Engineering, Inc.* .................. (12,000) (913,080)
Electro Rent Corp.* ................. (33,237) (495,231)
Garmin Ltd. ......................... (5,000) (344,100)
Ionatron, Inc.* ..................... (82,870) (949,690)
Lamson & Sessions Co., (The)* ....... (17,400) (410,814)
Measurement Specialties, Inc.* ...... (3,123) (76,264)
NVE Corp.* .......................... (13,805) (228,887)
QSound Labs, Inc.* .................. (26,140) (115,800)
SpatiaLight, Inc.* .................. (34,460) (104,414)
Tiger Telematics, Inc.* ............. (16,610) (5,647)
Video Display Corp. ................. (22,793) (205,137)
------------
(3,849,064)
------------
ELECTRONICS--(1.1%)
Identix, Inc.* ...................... (37,000) (302,290)
Universal Display Corp.* ............ (34,452) (489,219)
Vicor Corp. ......................... (24,525) (487,802)
------------
(1,279,311)
------------
ENERGY--(2.7%)
Energy Conversion Devices, Inc.* .... (11,900) (557,515)
FuelCell Energy, Inc.* .............. (23,000) (255,990)
KFx, Inc.* .......................... (70,150) (1,464,732)
Medis Technologies Ltd.* ............ (31,284) (594,396)
XsunX, Inc.* ........................ (150,290) (210,406)
------------
(3,083,039)
------------
ENERGY EQUIPMENT & SERVICES--(0.6%)
Rentech, Inc.* ...................... (175,585) (683,026)
------------
ENVIRONMENTAL SERVICES--0.0%
Global Development &
Environmental Resources, Inc.* ...... (5,446) (16,338)
------------
FINANCIAL SERVICES--(3.2%)
First Marblehead Corp., (The) ....... (28,760) (1,040,537)
Franklin Credit Managment
Corp.* ............................ (32,234) (244,978)
Fremont General Corp. ............... (14,800) (351,056)
Harris & Harris Group, Inc. ......... (35,600) (470,632)
LaBranche & Co., Inc.* .............. (110,100) (1,557,915)
Ladenburg Thalmann Financial
Services, Inc.* ................... (1) (1)
------------
(3,665,119)
------------
FOODS--(0.2%)
Cuisine Solutions, Inc.* ............ (28,390) (283,616)
------------
GAMING--(0.2%)
PokerTek, Inc.* ..................... (20,345) (257,771)
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 29
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
HEALTH CARE - BIOTECH--(0.2%)
ICOS Corp.* ......................... (11,500) $ (277,495)
------------
HEALTH CARE - DRUGS--(0.9%)
Adams Respiratory Therapeutics,
Inc.* ............................. (7,500) (281,325)
CollaGenex Pharmaceuticals, Inc.* ... (32,780) (434,335)
Quigley Corp., (The)* ............... (23,750) (279,062)
Tapestry Pharmaceuticals, Inc.* ..... (9,410) (33,594)
------------
(1,028,316)
------------
HEALTH CARE - SERVICES--(0.8%)
Air Methods Corp.* .................. (7,300) (173,083)
Eclipsys Corp.* ..................... (16,700) (429,524)
USANA Health Sciences, Inc.* ....... (6,200) (267,530)
------------
(870,137)
------------
HEALTH CARE - SUPPLIES--(0.9%)
Align Technology, Inc.* ............. (37,800) (308,448)
HemoSense, Inc.* .................... (24,780) (148,680)
Intermagnetics General Corp.* ....... (7,900) (232,418)
Quidel Corp.* ....................... (27,400) (307,976)
------------
(997,522)
------------
INDUSTRIAL EQUIPMENT & SUPPLIES--(0.3%)
Sun Hydraulics Corp. ................ (17,050) (387,717)
------------
INTERNET SERVICES--(4.1%)
Answers Corp.* ...................... (21,380) (225,132)
Concur Technologies, Inc.* .......... (40,400) (612,464)
Expedia, Inc.* ...................... (12,000) (227,640)
GTX Global Corp.* ................... (1,560) (7,722)
Interliant, Inc.* ................... (600) 0
Marchex, Inc., Class B* ............. (20,835) (457,120)
Neutron Enterprises, Inc.* .......... (3,523) (8,772)
Nutri/System, Inc.* ................. (9,000) (386,730)
Redback Networks, Inc.* ............. (12,200) (231,190)
Rediff.com India Ltd. - ADR* ....... (23,825) (598,722)
Salesforce.com, Inc.* ............... (11,620) (404,957)
Stamps.com, Inc.* ................... (13,100) (421,951)
Terremark Worldwide, Inc.* .......... (109,760) (590,509)
WebSideStory, Inc.* ................. (11,800) (184,906)
Website Pros, Inc.* ................. (24,100) (282,211)
WorldGate Communications, Inc.* ..... (40,410) (44,451)
------------
(4,684,477)
------------
LEISURE & LODGING--(0.2%)
Aldila, Inc. ........................ (7,955) (256,946)
------------
MACHINERY--(1.3%)
AirTrax, Inc.* ...................... (11,520) (17,164)
Intevac, Inc.* ...................... (30,500) (668,865)
Raser Technologies, Inc.* ........... (17,980) (269,700)
SureBeam Corp., Class A* ............ (111,800) (112)
TurboChef Technologies, Inc.* ....... (36,833) (489,879)
------------
(1,445,720)
------------
Number
of Shares Value
--------- ------------
MANUFACTURING--(1.8%)
Ceradyne, Inc.* ..................... (6,205) $ (377,760)
Charles & Colvard Ltd. .............. (50,675) (710,464)
Nanophase Technologies Corp.* ....... (49,000) (346,430)
NS Group, Inc.* ..................... (14,600) (595,534)
------------
(2,030,188)
------------
MEDIA & ENTERTAINMENT--(1.0%)
CKX, Inc.* .......................... (49,605) (714,808)
Genius Products, Inc.* .............. (110,800) (238,220)
TiVo, Inc.* ......................... (33,800) (187,590)
------------
(1,140,618)
------------
MEDICAL EQUIPMENT AND SUPPLIES--(4.5%)
Advanced Magnetics, Inc.* ........... (22,685) (567,125)
Advanced Medical Optics, Inc.* ...... (8,800) (391,424)
Aspect Medical Systems, Inc.* ....... (7,700) (206,283)
BSD Medical Corp.* .................. (25,335) (126,675)
Conceptus, Inc.* .................... (25,900) (371,147)
CPC of America, Inc.* ............... (4,745) (62,871)
Illumina, Inc.* ..................... (25,500) (648,465)
InterMune, Inc.* .................... (12,400) (236,344)
IRIS International, Inc.* ........... (14,600) (331,858)
LCA-Vision, Inc. .................... (9,600) (418,560)
Luminex Corp.* ...................... (18,800) (263,200)
Penwest Pharmaceuticals Co.* ....... (18,540) (431,055)
Stereotaxis, Inc.* .................. (27,800) (367,794)
ThermoGenesis Corp.* ................ (79,910) (318,841)
Zila, Inc.* ......................... (114,953) (429,924)
------------
(5,171,566)
------------
METALS & MINING--(2.9%)
Dynamic Materials Corp. ............. (87,945) (2,875,802)
Titanium Metals Corp.* .............. (11,200) (459,424)
------------
(3,335,226)
------------
METALS - STEEL--(1.6%)
IPSCO, Inc. ......................... (8,020) (773,529)
Oregon Steel Mills, Inc.* ........... (28,400) (1,075,792)
------------
(1,849,321)
------------
OIL & GAS - EXPLORATION--(0.8%)
Eden Energy Corp.* .................. (53,530) (133,825)
Energytec, Inc.* .................... (1) (1)
Gasco Energy, Inc.* ................. (41,300) (235,823)
TGC Industries, Inc.* ............... (25,400) (222,250)
Tri-Valley Corp.* ................... (34,857) (287,222)
------------
(879,121)
------------
OIL & GAS - INTEGRATED MAJORS--(0.6%)
SulphCo, Inc.* ...................... (92,505) (648,460)
------------
OIL FIELD MACHINERY & EQUIPMENT--(1.0%)
CE Franklin Ltd.* ................... (24,700) (304,304)
Flotek Industries, Inc.* ............ (24,850) (643,367)
Lone Star Technologies, Inc.* ....... (4,200) (208,740)
------------
(1,156,411)
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
PHARMACEUTICALS & BIOTECHNOLOGY--(0.7%)
Immtech Pharmeceuticals, Inc.* ..... (23,910) $ (184,824)
Mannkind Corp.* ..................... (29,500) (510,055)
Oncolytics Biotech, Inc.* ........... (11,480) (51,775)
RegeneRx Biopharmaceuticals,
Inc.* ............................. (1,500) (4,725)
------------
(751,379)
------------
PRINTING SERVICES--(0.5%)
Document Securities Systems,
Inc.* ............................. (40,740) (519,842)
------------
REAL ESTATE--(0.2%)
ZipRealty, Inc.* .................... (26,500) (239,560)
------------
RESTAURANTS--(0.3%)
Texas Roadhouse, Inc., Class A* ..... (23,600) (362,496)
------------
RETAIL--(0.4%)
Urban Outfitters, Inc.* ............. (15,900) (446,790)
------------
RETAIL - FOOD & DRUG--(0.6%)
Wild Oats Markets, Inc.* ............ (38,600) (692,870)
------------
RETAIL - HARD GOODS--(1.2%)
AutoNation, Inc.* ................... (11,000) (230,010)
Golf Galaxy, Inc.* .................. (17,700) (351,699)
REX Stores Corp.* ................... (51,000) (781,320)
------------
(1,363,029)
------------
RUBBER AND PLASTIC--(0.6%)
American Tire Corp.* ................ (44,430) (284,352)
PW Eagle, Inc. ...................... (17,595) (388,674)
------------
(673,026)
------------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--(2.6%)
ARM Holdings PLC - ADR .............. (104,562) (752,846)
MathStar, Inc.* ..................... (20,380) (108,014)
Microsemi Corp.* .................... (12,500) (384,375)
Nano-Proprietary, Inc.* ............. (46,685) (115,312)
PortalPlayer, Inc.* ................. (9,492) (239,768)
Power Integrations, Inc.* ........... (22,800) (566,124)
Rambus, Inc.* ....................... (9,300) (288,765)
Rudolph Technologies, Inc.* ......... (34,700) (571,856)
------------
(3,027,060)
------------
SOAPS & TOILETRIES--(0.4%)
Revlon, Inc., Class A* .............. (133,015) (449,591)
------------
TECHNOLOGY HARDWARE & EQUIPMENT--(0.8%)
Cogent, Inc.* ....................... (23,500) (546,610)
ParkerVision, Inc.* ................. (42,307) (342,687)
------------
(889,297)
------------
TELECOMMUNICATIONS--(1.3%)
Choice One Communications,
Inc. o* .......................... (37,790) (4)
Number
of Shares Value
--------- ------------
TELECOMMUNICATIONS--(CONTINUED)
CTC Communications Group,
Inc. o* .......................... (98,900) $ (10)
First Avenue Networks, Inc.* ....... (43,849) (370,086)
Global Crossing Ltd.* ............... (22,480) (386,206)
GlobeTel Communications
Corp.* ............................ (116,885) (344,811)
Telkonet, Inc.* ..................... (83,905) (338,976)
------------
(1,440,093)
------------
TELECOMMUNICATIONS EQUIPMENT--(0.7%)
JDS Uniphase Corp.* ................. (276,300) (839,952)
------------
TOBACCO--(0.6%)
Vector Group Ltd. ................... (39,396) (733,160)
------------
TOTAL SECURITIES SOLD SHORT
(Proceeds $61,171,402) .......... (68,916,771)
------------
OTHER ASSETS IN EXCESS
OF LIABILITIES--45.9% ............... 52,538,229
------------
NET ASSETS--100.0% ..................... $114,459,618
============
- ----------
* -- Non-income producing.
o -- Security is illiquid and has been valued at fair market value as
determined in good faith by or under the direction of RBB's Board of
Directors.
+ -- Security position is either entirely or partially held in a segregated
account as collateral for securities sold short.
ADR -- American Depository Receipt.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 31
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- ------------
COMMON STOCK--97.6%
AEROSPACE & DEFENSE--1.9%
Lockheed Martin Corp. ............... 4,100 $ 298,767
Northrop Grumman Corp. .............. 10,600 679,460
-----------
978,227
-----------
APPAREL--2.4%
American Eagle Outfitters, Inc. ..... 16,200 412,128
Liz Claiborne, Inc. ................. 5,962 214,811
NIKE, Inc., Class B ................. 7,400 642,172
-----------
1,269,111
-----------
BANKS - MAJOR--4.4%
Bank of New York Co., Inc., (The) ... 36,700 1,256,608
Comerica, Inc. ...................... 10,509 602,376
Mellon Financial Corp. .............. 12,898 465,489
-----------
2,324,473
-----------
BANKS - REGIONAL--0.8%
Commerce Bancorp, Inc. .............. 12,600 417,942
-----------
BUSINESS & PUBLIC SERVICES--0.9%
Manpower, Inc. ...................... 8,600 461,304
-----------
CHEMICALS - SPECIALTY--2.3%
Agrium, Inc. ........................ 22,700 565,457
Ashland, Inc. ....................... 10,100 659,227
-----------
1,224,684
-----------
COMPUTER EQUIPMENT & SERVICES--3.7%
CGI Group, Inc., Class A* ........... 54,500 409,295
Hewlett-Packard Co. ................. 25,153 825,270
Ingram Micro, Inc., Class A* ....... 37,100 733,838
-----------
1,968,403
-----------
COMPUTER SOFTWARE--2.2%
Microsoft Corp. ..................... 29,379 790,295
Oracle Corp.* ..................... 31,000 385,020
-----------
1,175,315
-----------
CONSULTING SERVICES--1.7%
Accenture Ltd., Class A ............. 28,100 917,746
-----------
CONTAINERS--1.0%
Crown Holdings, Inc.* ............... 27,700 506,910
-----------
ELECTRONICS--1.6%
Amphenol Corp., Class A ............. 6,200 311,426
Arrow Electronics, Inc.* ............ 15,400 535,766
-----------
847,192
-----------
FINANCIAL SERVICES--11.4%
Ameriprise Financial, Inc. .......... 11,600 527,568
Amvescap PLC - ADR .................. 14,000 266,840
Citigroup, Inc. ..................... 47,233 2,190,194
Countrywide Financial Corp. ......... 14,606 503,615
Freddie Mac ......................... 17,427 1,174,405
Number
of Shares Value
--------- -----------
FINANCIAL SERVICES--(CONTINUED)
Goldman Sachs Group, Inc., (The) .... 3,872 $ 547,075
JPMorgan Chase & Co. ................ 19,100 785,774
-----------
5,995,471
-----------
FOODS--1.3%
Coca-Cola Co., (The) ................ 9,900 415,503
General Mills, Inc. ................. 5,400 265,950
-----------
681,453
-----------
HEALTH & PERSONAL CARE--1.7%
Johnson & Johnson ................... 15,456 891,038
-----------
HEALTH CARE - DRUGS--4.6%
Pfizer, Inc. ........................ 68,282 1,788,306
Shire PLC - ADR ..................... 13,940 663,265
-----------
2,451,571
-----------
HEALTH CARE - SERVICES--1.0%
Aetna, Inc. ......................... 10,600 540,600
INSURANCE - OTHER--14.4%
ACE Ltd. ............................ 17,339 966,303
Ambac Financial Group, Inc. ......... 10,115 760,142
American International Group,
Inc. .............................. 13,898 922,271
Assurant, Inc. ...................... 6,400 290,560
Berkshire Hathaway, Inc., Class B* .. 498 1,438,224
CIGNA Corp. ......................... 2,400 294,600
Conseco, Inc.* ...................... 24,100 598,644
MBIA, Inc. .......................... 17,836 1,047,687
Nationwide Financial Services,
Inc., Class A ..................... 6,044 259,046
Radian Group, Inc. .................. 6,876 390,213
St. Paul Travelers Companies, Inc.,
(The) ............................. 14,444 620,803
-----------
7,588,493
-----------
LEISURE & LODGING--1.1%
GTECH Holdings Corp. ................ 17,095 570,631
-----------
MANUFACTURING--4.0%
Ingersoll-Rand Co. Ltd., Class A .... 29,300 1,202,179
Stanley Works, (The) ................ 5,700 285,798
Tyco International Ltd. ............. 24,923 642,764
-----------
2,130,741
-----------
MEDIA & ENTERTAINMENT--4.8%
CBS Corp., Class B .................. 5,250 128,415
Clear Channel Communications,
Inc. .............................. 13,600 384,880
Liberty Media Corp., Class A* ....... 72,544 597,763
Time Warner, Inc. ................... 70,566 1,221,497
Viacom, Inc., Class B* .............. 5,450 217,782
-----------
2,550,337
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS LARGE CAP VALUE FUND (concluded)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
MEDICAL EQUIPMENT AND SUPPLIES--1.1%
C.R. Bard, Inc. ..................... 4,700 $ 307,803
Kinetic Concepts, Inc.* ............. 7,300 270,830
-----------
578,633
-----------
METALS & MINING--0.7%
Freeport-McMoRan Copper &
Gold, Inc., Class B ............... 7,327 370,966
-----------
OFFICE EQUIPMENT & SUPPLIES--0.7%
Xerox Corp.* ........................ 26,324 392,228
-----------
OIL & GAS - EXPLORATION--3.1%
Burlington Resources, Inc. .......... 10,300 928,854
Chesapeake Energy Corp. ............. 14,700 436,443
Kerr-McGee Corp. .................... 2,800 273,560
-----------
1,638,857
-----------
OIL & GAS - INTEGRATED MAJORS--10.3%
Chevron Corp. ....................... 19,516 1,102,264
ConocoPhillips ...................... 14,800 902,208
Exxon Mobil Corp. ................... 35,114 2,084,718
Marathon Oil Corp. .................. 10,132 715,319
Valero Energy Corp. ................. 11,334 609,656
-----------
5,414,165
-----------
OIL SERVICES--0.6%
Energen Corp. ....................... 8,300 296,559
-----------
PUBLISHING & INFORMATION SERVICES--0.6%
R. R. Donnelley & Sons Co. .......... 10,000 336,600
-----------
RETAIL - HARD GOODS--5.1%
Claire's Stores, Inc. ............... 16,000 512,640
Federated Department Stores,
Inc. .............................. 11,600 824,064
J.C. Penney Co., Inc. ............... 13,400 785,776
Sherwin-Williams Co., (The) ......... 12,000 546,600
-----------
2,669,080
-----------
SAVINGS & LOANS--1.0%
Hudson City Bancorp, Inc. ........... 39,000 503,490
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--1.9%
Freescale Semiconductor, Inc.,
Class A* .......................... 9,794 263,361
Teradyne, Inc.* ..................... 43,900 737,081
-----------
1,000,442
-----------
TELECOMMUNICATIONS--2.3%
AT&T, Inc. .......................... 35,100 968,409
Vodafone Group PLC - ADR ............ 13,426 259,390
-----------
1,227,799
-----------
TELECOMMUNICATIONS EQUIPMENT--1.9%
ALLTEL Corp. ........................ 4,300 271,545
Motorola, Inc. ...................... 23,500 502,900
Number
of Shares Value
--------- -----------
TELECOMMUNICATIONS EQUIPMENT--(CONTINUED)
Sprint Nextel Corp. ................. 10,103 $ 242,775
-----------
1,017,220
-----------
TOBACCO--1.1%
Altria Group, Inc. .................. 8,192 589,005
-----------
TOTAL COMMON STOCK
(Cost $46,151,031) .............. 51,526,686
-----------
SHORT-TERM INVESTMENTS--2.4%
PNC Bank Money Market
Deposit Account
4.02% 03/01/06 .................... 1,279,666 1,279,666
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,279,666) ............... 1,279,666
-----------
TOTAL INVESTMENTS--100.0%
(Cost $47,430,697) .................. 52,806,352
-----------
LIABILITIES IN EXCESS OF
OTHER ASSETS--0.0% .................. (16,890)
-----------
NET ASSETS--100.0% ..................... $52,789,462
===========
- ----------
* -- Non-income producing.
ADR -- American Depository Receipt.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 33
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
COMMON STOCK--92.1%
ADVERTISING--0.8%
Lamar Advertising Co., Class A* ..... 9,805 $ 500,251
-----------
APPAREL--4.5%
Aeropostale, Inc.* .................. 12,200 350,018
Finish Line, Inc., (The), Class A ... 34,500 577,530
Foot Locker, Inc. ................... 12,700 293,497
Jones Apparel Group, Inc. ........... 6,800 196,656
Polo Ralph Lauren Corp. ............. 16,300 944,748
VF Corp. ............................ 5,700 312,360
-----------
2,674,809
-----------
AUTOMOTIVE PARTS & EQUIPMENT--1.1%
BorgWarner, Inc. .................... 8,900 496,353
Lear Corp. .......................... 8,200 171,052
-----------
667,405
-----------
BANKS - REGIONAL--2.2%
Commerce Bancorp, Inc. .............. 22,500 746,325
UMB Financial Corp. ................. 8,100 547,884
-----------
1,294,209
-----------
BROADCASTING--0.4%
Citadel Broadcasting Co. ............ 19,100 212,774
-----------
BUSINESS & PUBLIC SERVICES--3.8%
ARAMARK Corp., Class B .............. 12,600 358,596
BISYS Group, Inc., (The)* ........... 42,300 596,853
G & K Services, Inc., Class A ....... 11,800 461,380
Manpower, Inc. ...................... 16,300 874,332
-----------
2,291,161
-----------
CHEMICALS - COMMODITY--0.3%
Georgia Gulf Corp. .................. 5,300 152,110
-----------
CHEMICALS - SPECIALTY--2.7%
UAP Holding Corp. ................... 43,400 944,384
Valspar Corp., (The) ................ 25,600 676,608
-----------
1,620,992
-----------
COMPUTER EQUIPMENT & SERVICES--3.0%
CACI International, Inc., Class A* .. 6,300 379,701
Diebold, Inc. ....................... 6,600 264,000
DST Systems, Inc.* .................. 4,900 275,527
Ingram Micro, Inc., Class A* ....... 43,700 864,386
-----------
1,783,614
-----------
COMPUTER SOFTWARE--2.8%
McAfee, Inc.* ....................... 25,087 583,523
Sybase, Inc.* ....................... 30,645 653,658
Take-Two Interactive Software,
Inc.* ............................. 29,600 461,168
-----------
1,698,349
-----------
CONTAINERS--2.2%
Crown Holdings, Inc.* ............... 48,200 882,060
Number
of Shares Value
--------- -----------
CONTAINERS--(CONTINUED)
Sealed Air Corp. .................... 7,400 $ 420,912
-----------
1,302,972
-----------
DATA PROCESSING SERVICES--0.5%
CSG Systems International, Inc.* .... 12,900 283,542
-----------
DISTRIBUTION--1.7%
W.W. Grainger, Inc. ................. 13,695 1,013,978
-----------
ELECTRONICS--2.7%
AMIS Holdings, Inc.* ................ 15,800 136,196
Amphenol Corp., Class A ............. 10,600 532,438
Arrow Electronics, Inc.* ............ 14,900 518,371
Avnet, Inc.* ........................ 16,300 409,619
-----------
1,596,624
-----------
FINANCIAL SERVICES--4.4%
A.G. Edwards, Inc. .................. 10,800 482,760
Affiliated Managers Group, Inc.* .... 4,350 428,171
Federated Investors, Inc., Class B .. 23,000 894,470
Student Loan Corp., (The) ........... 500 109,745
Westcorp ............................ 9,700 696,945
-----------
2,612,091
-----------
FOODS--2.5%
Bunge Ltd. .......................... 9,300 527,217
Corn Products International, Inc. ... 20,600 555,376
Smithfield Foods, Inc.* ............. 15,700 414,951
-----------
1,497,544
-----------
HEALTH CARE - DRUGS--0.9%
Hospira, Inc.* ...................... 14,200 563,740
-----------
HEALTH CARE - SERVICES--2.6%
Kindred Healthcare, Inc.* ........... 40,000 864,800
LifePoint Hospitals, Inc.* .......... 22,400 695,744
-----------
1,560,544
-----------
INSURANCE - LIFE--1.2%
Scottish Re Group Ltd. .............. 29,900 747,500
-----------
INSURANCE - OTHER--11.0%
Assurant, Inc. ...................... 9,800 444,920
Assured Guaranty Ltd. ............... 43,200 1,140,480
Conseco, Inc.* ...................... 37,700 936,468
Hanover Insurance Group, Inc. ....... 12,570 609,016
MBIA, Inc. .......................... 6,000 352,440
Nationwide Financial Services,
Inc., Class A ..................... 8,300 355,738
Platinum Underwriters Holdings
Ltd. .............................. 7,700 235,774
PMI Group, Inc., (The) .............. 22,300 965,590
Radian Group, Inc. .................. 22,400 1,271,200
White Mountains Insurance
Group Ltd. ........................ 455 251,165
-----------
6,562,791
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS MID CAP VALUE FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
INTERNET SERVICES, INC.--0.6%
United Online, Inc. ................. 31,300 $ 375,913
-----------
LEISURE & LODGING--3.0%
GTECH Holdings Corp. ................ 36,400 1,215,032
Hilton Hotels Corp. ................. 13,800 333,960
Pinnacle Entertainment, Inc.* ....... 7,800 218,790
-----------
1,767,782
-----------
MACHINERY--0.4%
Terex Corp.* ........................ 3,320 262,778
-----------
MANUFACTURING--6.4%
Dover Corp. ......................... 9,800 469,812
Federal Signal Corp. ................ 33,700 603,567
Knoll, Inc. ......................... 56,200 1,118,942
Pall Corp. .......................... 8,900 261,838
Stanley Works, (The) ................ 18,700 937,618
Toro Co., (The) ..................... 8,900 410,557
-----------
3,802,334
-----------
MARKETING--0.9%
Nu Skin Enterprises, Inc., Class A .. 28,500 515,280
-----------
MEDIA--1.7%
Media General, Inc. Class A ......... 6,300 315,630
Meredith Corp. ...................... 13,000 716,170
-----------
1,031,800
-----------
MEDICAL EQUIPMENT & SUPPLIES--1.8%
C.R. Bard, Inc. ..................... 9,400 615,606
Kinetic Concepts, Inc.* ............. 12,000 445,200
-----------
1,060,806
-----------
OIL & GAS - EXPLORATION--3.7%
Newfield Exploration Co.* ........... 23,100 892,815
Pioneer Natural Resources Co. ....... 12,600 530,334
Pogo Producing Co. .................. 16,400 817,704
-----------
2,240,853
-----------
OIL & GAS - INTEGRATED MAJORS--1.0%
Tesoro Corp. ........................ 10,100 610,141
-----------
OIL SERVICES--2.1%
Diamond Offshore Drilling, Inc. ..... 3,800 294,082
Energen Corp. ....................... 22,300 796,779
ENSCO International, Inc. ........... 3,200 143,008
-----------
1,233,869
-----------
PAPER FOREST PRODUCTS & PACKAGING--0.5%
Neenah Paper, Inc. .................. 10,300 315,283
-----------
PUBLISHING & INFORMATION SERVICES--2.4%
Bowne & Co., Inc. ................... 31,700 472,013
R. R. Donnelley & Sons Co. .......... 8,300 279,378
Valassis Communications, Inc.* ...... 25,900 713,545
-----------
1,464,936
-----------
Number
of Shares Value
--------- -----------
REAL ESTATE INVESTMENT TRUST (REIT)--1.7%
Maguire Properties, Inc. ............ 9,925 $ 335,862
Ventas, Inc. ........................ 22,525 698,275
-----------
1,034,137
-----------
RECREATIONAL PRODUCTS - TOYS--1.0%
Mattel, Inc. ........................ 34,500 581,325
-----------
RETAIL - HARD GOODS--5.2%
Claire's Stores, Inc. ............... 30,300 970,812
Fossil, Inc.* ....................... 12,600 214,452
Michaels Stores, Inc. ............... 35,200 1,129,920
Sherwin-Williams Co., (The) ......... 17,900 815,345
-----------
3,130,529
-----------
SAVINGS & LOANS--1.0%
Hudson City Bancorp, Inc. ........... 44,500 574,495
-----------
TELECOMMUNICATIONS--2.4%
CenturyTel, Inc. .................... 19,300 694,414
West Corp.* ......................... 16,700 726,951
-----------
1,421,365
-----------
TOBACCO--1.0%
Loews Corp. - Carolina Group ........ 7,000 332,430
UST, Inc. ........................... 6,800 264,384
-----------
596,814
-----------
TRANSPORT - SERVICES--1.5%
Bristow Group, Inc* ................. 18,000 537,480
Laidlaw International, Inc. ......... 13,400 369,840
-----------
907,320
-----------
TRAVEL SERVICES--1.0%
Sabre Holdings Corp., Class A ....... 25,600 617,728
-----------
UTILITIES - ELECTRIC--1.5%
Sierra Pacific Resources* ........... 62,900 895,696
-----------
TOTAL COMMON STOCK
(Cost $46,843,078) .............. 55,078,184
-----------
INVESTMENT COMPANY--1.4%
FINANCIAL SERVICES--1.4%
Apollo Investment Corp. ............. 44,488 835,929
-----------
TOTAL INVESTMENT COMPANY
(Cost $649,488) ................. 835,929
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 35
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS MID CAP VALUE FUND (concluded)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
SHORT-TERM INVESTMENTS--4.4%
SHORT-TERM INVESTMENTS--4.4%
PNC Bank Money Market
Deposit Account
4.02% 03/01/06..................... 2,592,620 $ 2,592,620
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $2,592,620)................ 2,592,620
-----------
TOTAL INVESTMENTS--97.9%
(Cost $50,085,186)................... 58,506,733
-----------
OTHER ASSETS IN EXCESS
OF LIABILITIES--2.1%................. 1,284,908
-----------
NET ASSETS--100.0%...................... $59,791,641
===========
- ----------
* -- Non-income producing.
ADR -- American Depository Receipt.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
COMMON STOCK--96.1%
AIRLINES--0.3%
ExpressJet Holdings, Inc.* .......... 4,350 $ 32,712
-----------
APPAREL--5.0%
Jones Apparel Group, Inc. ........... 3,265 94,424
Liz Claiborne, Inc. ................. 3,180 114,575
NIKE, Inc., Class B ................. 1,500 130,170
Pacific Sunwear of California, Inc.* 8,605 204,885
VF Corp. ............................ 1,620 88,776
-----------
632,830
-----------
BUSINESS & PUBLIC SERVICES--1.5%
ARAMARK Corp., Class B .............. 1,960 55,782
West Corp.* ......................... 2,995 130,372
-----------
186,154
-----------
CHEMICALS - SPECIALTY--1.5%
Ashland, Inc. ....................... 2,350 153,384
Sigma-Aldrich Corp. ................. 660 42,511
-----------
195,895
-----------
COMPUTER EQUIPMENT & SERVICES--2.3%
Hewlett-Packard Co. ................. 7,155 234,756
Lexmark International, Inc.,
Class A* .......................... 1,300 61,217
-----------
295,973
-----------
COMPUTER SOFTWARE--2.3%
Geac Computer Corp. Ltd.* ........... 4,235 46,754
McAfee, Inc.* ....................... 3,300 76,758
Microsoft Corp. ..................... 6,320 170,008
-----------
293,520
-----------
CONSUMER NON-CYCLICAL--0.9%
Blyth, Inc. ......................... 2,595 57,817
National Presto Industries, Inc. .... 1,200 52,500
-----------
110,317
-----------
DISTRIBUTION--0.7%
W.W. Grainger, Inc. ................. 1,155 85,516
-----------
DIVERSIFIED OPERATION--0.9%
Leggett & Platt, Inc. ............... 2,115 49,660
Rent-A-Center, Inc.* ................ 2,735 63,835
-----------
113,495
-----------
ELECTRONIC COMPONENTS & INSTRUMENTS--0.6%
Bel Fuse, Inc., Class B ............. 1,045 34,600
Spansion, Inc., Class A* ............ 2,905 42,413
-----------
77,013
-----------
ELECTRONICS--0.5%
Amphenol Corp., Class A ............. 1,205 60,527
-----------
Number
of Shares Value
--------- -----------
FINANCE--0.6%
CBRE Realty Finance, Inc. 144A ...... 4,520 $ 67,800
Peoples Choice Financial Corp.
144A ............................ 1,720 9,460
-----------
77,260
-----------
FINANCIAL SERVICES--5.8%
Alesco Financial Trust 144A* ........ 4,145 41,450
Ameriprise Financial, Inc. .......... 2,980 135,531
Countrywide Financial Corp. ......... 3,259 112,370
Fannie Mae .......................... 1,845 100,885
Freddie Mac ......................... 3,960 266,864
Highland Financial Trust 144A* ...... 2,755 41,325
Tac Acquisition Corp.* .............. 7,355 40,820
-----------
739,245
-----------
FOODS--0.8%
Boulder Specialty Brands, Inc.* ..... 4,815 41,842
Nestle S.A. - ADR ................... 820 60,290
-----------
102,132
-----------
HEALTH & PERSONAL CARE--1.2%
Johnson & Johnson ................... 2,750 158,537
-----------
HEALTH CARE - DRUGS--4.5%
Pfizer, Inc. ........................ 16,801 440,018
Sanofi-Aventis - ADR ................ 3,170 135,137
-----------
575,155
-----------
HEALTH CARE - SERVICES--3.2%
Laboratory Corp. of America
Holdings* ......................... 760 44,163
Lincare Holdings, Inc.* ............. 2,750 112,475
Renal Care Group, Inc.* ............. 5,180 247,138
-----------
403,776
-----------
HEALTHCARE FACILITIES/SUPPLIES--0.4%
Kinetic Concepts, Inc.* ............. 1,510 56,021
-----------
INSURANCE - LIFE--1.2%
Scottish Re Group Ltd. .............. 6,400 160,000
-----------
INSURANCE - OTHER--26.2%
ACE Ltd. ............................ 9,160 510,487
Alleghany Corp.* .................... 717 206,496
Ambac Financial Group, Inc. ......... 940 70,641
American International Group,
Inc. .............................. 2,235 148,315
AmTrust Financial Services - 144A* .. 4,740 33,180
Assurant, Inc. ...................... 3,115 141,421
Assured Guaranty Ltd. ............... 7,113 187,783
CNA Financial Corp.* ................ 2,675 82,711
Hanover Insurance Group, Inc. ....... 3,325 161,096
Loews Corp. ......................... 5,120 472,371
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 37
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (continued)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
INSURANCE - OTHER--(CONTINUED)
MBIA, Inc. .......................... 5,540 $ 325,420
Merchants Group, Inc. ............... 100 2,980
Millea Holdings, Inc. - ADR ......... 495 50,233
National Atlantic Holdings Corp.,
Class A* .......................... 2,950 34,515
Quanta Capital Holdings Ltd.* ....... 21,140 98,301
Radian Group, Inc. .................. 2,825 160,319
Specialty Underwriters' Alliance,
Inc.* ............................. 2,330 14,655
St. Paul Travelers Companies, Inc.,
(The) ............................. 2,755 118,410
Torchmark Corp. ..................... 1,435 78,451
Wesco Financial Corp. ............... 310 123,070
White Mountains Insurance
Group Ltd. ........................ 490 270,485
Willis Group Holdings Ltd. .......... 1,655 56,998
-----------
3,348,338
-----------
INTERNET SERVICES, INC.--1.2%
IAC/InterActiveCorp* ................ 5,255 153,656
-----------
LEISURE & LODGING--1.0%
GTECH Holdings Corp. ................ 3,735 124,674
-----------
MANUFACTURING--2.0%
Makita Corp. - ADR .................. 6,125 177,527
Tyco International Ltd. ............. 3,020 77,886
-----------
255,413
-----------
MARKETING--0.2%
FTD Group, Inc.* .................... 3,050 28,548
-----------
MEDIA & ENTERTAINMENT--0.6%
Liberty Media Corp., Class A* ....... 9,479 78,107
-----------
MEDICAL EQUIPMENT AND SUPPLIES--2.9%
Becton, Dickinson and Co. ........... 2,405 153,559
C.R. Bard, Inc. ..................... 1,335 87,429
Guidant Corp. ....................... 1,100 84,436
STERIS Corp. ........................ 1,935 47,930
-----------
373,354
-----------
OIL & GAS - EXPLORATION--6.0%
Anadarko Petroleum Corp. ............ 2,285 226,581
Burlington Resources, Inc. .......... 1,950 175,851
CNX Gas Corp* ....................... 65 1,400
CNX Gas Corp. 144A* ................. 1,315 28,325
EOG Resources, Inc. ................. 1,770 119,298
Kerr-McGee Corp. .................... 1,043 101,901
Mariner Energy, Inc. 144A* .......... 1,965 41,462
Quest Resource Corp.* ............... 2,430 31,833
Quest Resource Corp. 144A* .......... 613 8,030
Rosetta Resources, Inc. 144A* ....... 2,035 36,630
-----------
771,311
-----------
OIL & GAS - INTEGRATED MAJORS--6.3%
ConocoPhillips ...................... 2,205 134,417
Marathon Oil Corp. .................. 1,531 108,088
Number
of Shares Value
--------- -----------
OIL & GAS - INTEGRATED MAJORS--(CONTINUED)
Occidental Petroleum Corp. .......... 2,920 $ 267,297
Petroleo Brasileiro S.A. - ADR ...... 2,090 182,959
Royal Dutch Shell PLC,
Class A - ADR ..................... 1,810 109,469
-----------
802,230
-----------
REAL ESTATE--0.4%
Consolidated-Tomoka Land Co. ........ 720 46,800
-----------
REAL ESTATE INVESTMENT TRUST (REIT)--3.7%
American Financial Realty Trust ..... 10,000 118,200
Ashford Hospitality Trust ........... 3,000 37,470
DiamondRock Hospitality Co. ......... 460 5,902
DiamondRock Hospitality Co.
144A .............................. 2,070 26,558
Fieldstone Investment Corp. ......... 1,685 19,950
Friedman, Billings, Ramsey Group,
Inc., Class A ..................... 3,975 39,591
KKR Financial Corp. ................. 180 4,117
KKR Financial Corp. 144A ............ 790 18,067
Luminent Mortgage Capital, Inc. ..... 2,450 18,571
Medical Properties Trust, Inc. ...... 3,225 32,250
Medical Properties Trust, Inc.
144A .............................. 2,225 22,250
National Health Investors, Inc. ..... 2,645 70,410
Saxon Capital, Inc. ................. 1,615 16,069
Taberna Realty Finance Trust
144A* ............................. 3,115 41,274
-----------
470,679
-----------
RECREATIONAL PRODUCTS - TOYS--0.6%
Mattel, Inc. ........................ 4,510 75,993
-----------
RETAIL - HARD GOODS--2.9%
Claire's Stores, Inc. ............... 2,525 80,901
Home Depot, Inc., (The) ............. 720 30,348
Sherwin-Williams Co., (The) ......... 5,750 261,913
-----------
373,162
-----------
SAVINGS & LOANS--0.7%
Hudson City Bancorp, Inc. ........... 7,180 92,694
-----------
SERVICES - BUSINESS--1.9%
Dun & Bradstreet Corp., (The)* ..... 1,370 99,654
John H. Harland Co. ................. 3,865 139,874
-----------
239,528
-----------
TELECOMMUNICATIONS--1.5%
CenturyTel, Inc. .................... 1,655 59,547
Vodafone Group PLC - ADR ............ 6,700 129,444
-----------
188,991
-----------
TELECOMMUNICATIONS EQUIPMENT--0.7%
Motorola, Inc. ...................... 4,040 86,456
-----------
TOBACCO--0.9%
UST, Inc. ........................... 2,995 116,446
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (concluded)
PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
TRAVEL SERVICES--0.5%
Sabre Holdings Corp., Class A ....... 2,820 $ 68,047
-----------
UTILITIES - ELECTRIC--1.7%
Korea Electric Power Corp.
(KEPCO) - ADR ..................... 9,580 212,772
-----------
TOTAL COMMON STOCK
(Cost $10,402,585) .............. 12,263,277
-----------
PREFERRED STOCK--1.0%
FOODS--0.1%
Constellation Brands, Inc.
5.75% 09/01/06 .................... 350 13,685
-----------
INSURANCE - OTHER--0.7%
Hartford Financial Services Group,
Inc., (The)
7.00% 8/16/06 ..................... 295 21,727
Scottish Re Group
5.875% 05/21/07 ................... 450 13,050
UnumProvident Corp.
8.25% 5/15/06 ..................... 1,410 55,201
-----------
89,978
-----------
OFFICE EQUIPMENT & SUPPLIES--0.2%
Xerox Corp.
6.25% 07/01/06 .................... 175 21,665
-----------
TOTAL PREFERRED STOCK
(Cost $105,690) ................. 125,328
-----------
WARRANTS--0.0%
Tac Acquisition Corp.
$5.00 Expires 06/28/10* ........... 14,710 7,355
-----------
TOTAL WARRANTS
(Cost $219) ..................... 7,355
-----------
INVESTMENT COMPANY--0.2%
Apollo Investment Corp. ............. 1,075 20,199
Morgan Stanley Asia-Pacific Fund,
Inc. .............................. 620 10,286
-----------
TOTAL INVESTMENT COMPANY
(Cost $23,790) .................. 30,485
-----------
Number
of Shares Value
--------- -----------
SHORT-TERM INVESTMENTS--3.4%
PNC Bank Money Market
Deposit Account
4.02% 03/01/06 .................... 431,476 $ 431,476
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $431,476) ................. 431,476
-----------
TOTAL INVESTMENTS--100.7%
(Cost $10,963,760) .................. 12,857,921
-----------
OPTIONS WRITTEN--(0.6%)
Guidant Corp. Call Options
Expire 04/21/06 $55.00 ............ (11) (24,310)
Lexmark International, Inc.
Call Options Expire 04/21/06
$40.00 ............................ (13) (9,884)
McAfee Inc. Call Options
Expire 09/16/06 $21.00 ............ (33) (15,853)
Pacific Sunwear of California, Inc.
Call Options Expire 06/17/06
$22.50* ........................... (43) (11,825)
Sherwin-Williams Co., (The),
Call Options Expire 09/23/06
$40.00 ............................ (18) (14,400)
-----------
TOTAL OPTIONS WRITTEN
(Cost $(51,292)) ................ (76,272)
-----------
TOTAL INVESTMENTS, NET OF
OPTIONS WRITTEN--100.1%
(Cost $10,912,468) .................. 12,781,649
-----------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.1)% ................ (16,667)
-----------
NET ASSETS--100.0% ..................... $12,764,982
===========
- ----------
* -- Non-income producing.
ADR -- American Depository Receipt.
144A -- Security was purchased pursuant to Rule 144A under Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 39
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG TUDOR FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
COMMON STOCK--95.4%
AIRLINES--1.7%
Republic Airways Holdings, Inc.* .... 61,700 $ 865,034
-----------
APPAREL--3.7%
Kellwood Co. ........................ 10,600 272,844
Lakeland Industries, Inc.* .......... 35,750 689,260
Maidenform Brands, Inc.* ............ 69,970 677,310
Quiksilver, Inc.* ................... 17,700 256,650
-----------
1,896,064
-----------
BANKS - REGIONAL--8.3%
AMCORE Financial, Inc. .............. 11,900 355,929
Bank Mutual Corp. ................... 63,600 721,224
BankUnited Financial Corp.,
Class A ........................... 18,600 519,684
Berkshire Hills Bancorp, Inc. ....... 13,050 431,302
Commercial Capital Bancorp, Inc. .... 48,900 700,737
First Financial Bankshares, Inc. .... 1 37
Macatawa Bank Corp. ................. 6,800 248,540
PFF Bancorp, Inc. ................... 18,000 565,740
Synergy Financial Group, Inc. ....... 50,400 673,344
-----------
4,216,537
-----------
BROADCASTING--0.3%
Westwood One, Inc. .................. 13,600 151,640
-----------
CHEMICALS - COMMODITY--3.0%
Hercules, Inc.* ..................... 54,400 644,640
Methanex Corp. ...................... 25,300 502,964
Rockwood Holdings, Inc.* ............ 16,700 382,430
-----------
1,530,034
-----------
CHEMICALS - SPECIALTY--0.6%
UAP Holding Corp. ................... 14,300 311,168
-----------
COMPUTER EQUIPMENT & SERVICES--2.3%
Neoware, Inc.* ...................... 30,600 750,618
Tier Technologies, Inc., Class B* ... 53,900 409,640
-----------
1,160,258
-----------
CONSULTING SERVICES--3.7%
BearingPoint, Inc.* ................. 53,100 473,121
First Consulting Group, Inc.* ....... 185,900 1,161,875
FTI Consulting, Inc.* ............... 9,400 262,636
-----------
1,897,632
-----------
CONSUMER DURABLES--0.8%
Applica, Inc.* ...................... 189,190 387,839
-----------
CONSUMER PRODUCTS--2.9%
Flanders Corp.* ..................... 23,503 257,358
Jarden Corp.* ....................... 12,100 362,879
Libbey, Inc. ........................ 98,700 874,482
-----------
1,494,719
-----------
Number
of Shares Value
--------- -----------
DATA PROCESSING SERVICES--1.1%
MoneyGram International, Inc. ....... 19,400 $ 556,198
-----------
DIVERSIFIED OPERATION--0.8%
Koppers Holdings, Inc. .............. 22,500 425,250
-----------
ELECTRONIC COMPONENTS & INSTRUMENTS--2.3%
Pemstar, Inc.* ...................... 258,720 597,643
Tektronix, Inc. ..................... 9,500 292,600
Vishay Intertechnology, Inc.* ....... 20,200 293,304
-----------
1,183,547
-----------
FINANCIAL SERVICES--1.1%
Technology Investment Capital
Corp. ............................. 34,982 533,476
-----------
FOODS--2.9%
Del Monte Foods Co. ................. 74,000 805,120
NBTY, Inc.* ......................... 29,700 650,430
-----------
1,455,550
-----------
GAS UTILITIES--2.8%
New Jersey Resources Corp. .......... 9,400 423,000
UGI Corp. ........................... 30,100 675,745
Vectren Corp. ....................... 12,200 321,592
-----------
1,420,337
-----------
HEALTH CARE - DRUGS--1.7%
Durect Corp. #* ..................... 60,800 345,952
Valeant Pharmaceuticals
International ..................... 29,400 523,908
-----------
869,860
-----------
HEALTH CARE - SERVICES--1.4%
Apria Healthcare Group, Inc.* ....... 8,000 183,920
Endocare, Inc.* ..................... 5,320 17,290
LifePoint Hospitals, Inc.* .......... 16,100 500,066
-----------
701,276
-----------
HEALTH CARE - SUPPLIES--0.3%
Cantel Medical Corp.* ............... 10,400 178,048
-----------
HOUSEHOLD PRODUCTS--1.2%
Lifetime Brands, Inc. ............... 27,148 613,002
-----------
INSURANCE - OTHER--8.8%
Aspen Insurance Holdings Ltd. ....... 26,300 610,423
Assured Guaranty Ltd. ............... 30,300 799,920
Brooke Corp. ........................ 31,900 359,197
CRM Holdings Ltd.* .................. 74,680 1,015,641
Endurance Specialty Holdings Ltd. ... 18,900 595,350
IPC Holdings Ltd. ................... 15,400 404,558
Max Re Capital Ltd. ................. 17,950 438,159
Zenith National Insurance Corp. ..... 5,000 257,500
-----------
4,480,748
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
40 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG TUDOR FUND (continued) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
INTERNET SERVICES--7.4%
Packeteer, Inc.* .................... 54,400 $ 650,624
SafeNet, Inc.* ...................... 59,400 1,480,248
WatchGuard Technologies, Inc.* ...... 283,600 1,151,416
webMethods, Inc.* ................... 64,000 476,160
-----------
3,758,448
-----------
INVESTMENT--1.7%
Ares Capital Corp. .................. 48,830 846,712
-----------
MANUFACTURING--0.9%
Olin Corp. .......................... 22,000 462,220
-----------
MARINE--1.3%
Maritrans, Inc. ..................... 29,500 671,420
-----------
MEDIA & ENTERTAINMENT--1.1%
New Frontier Media, Inc.* ........... 77,300 551,149
-----------
METALS & MINING--1.1%
Uranium Resources, Inc.* ............ 449,050 552,331
-----------
OIL & GAS - EXPLORATION--2.1%
Bronco Drilling Co., Inc.* .......... 9,800 237,258
InterOil Corp. #* ................... 8,400 144,816
Rosetta Resources, Inc. 144A* ....... 27,100 487,800
Warren Resources, Inc.* ............. 15,200 222,376
-----------
1,092,250
-----------
OIL SERVICES--1.1%
Newpark Resources, Inc.* ............ 72,200 538,612
-----------
PAPER FOREST PRODUCTS & PACKAGING--0.5%
Schweitzer-Mauduit
International, Inc. ............... 9,110 234,127
-----------
PUBLISHING & INFORMATION SERVICES--6.9%
MDC Partners, Inc.* ................. 353,040 3,018,492
Princeton Review, Inc., (The)* ...... 95,154 507,171
-----------
3,525,663
-----------
RAILROAD & BULK SHIPPING--0.5%
RailAmerica, Inc.* .................. 26,500 262,350
-----------
REAL ESTATE INVESTMENT TRUST (REIT)--7.5%
Colonial Properties Trust ........... 11,600 560,860
Deerfield Triarc Captial Corp. ...... 33,500 437,510
Education Realty Trust, Inc. ........ 20,700 279,450
Federal Realty Investment Trust ..... 8,780 611,878
KKR Financial Corp. ................. 15,700 359,059
Luminent Mortgage Capital, Inc. ..... 41,900 317,602
MFA Mortgage Investments, Inc. ...... 53,900 319,088
New Century Financial Corp. ......... 12,700 492,125
Newcastle Investment Corp. .......... 18,900 452,088
-----------
3,829,660
-----------
Number
of Shares Value
--------- -----------
RETAIL--0.5%
1-800-FLOWERS.COM, Inc.,
Class A* .......................... 41,900 $ 267,322
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--0.3%
Brooks Automation, Inc.* ............ 11,000 172,590
-----------
SERVICES - BUSINESS--1.7%
Fortress America Acquisition
Corp.* ............................ 37,000 242,350
Marlin Business Services, Inc.* ..... 27,600 634,800
-----------
877,150
-----------
SOFTWARE & SERVICES--0.8%
SYNNEX Corp.* ....................... 21,600 398,952
-----------
TELECOMMUNICATIONS EQUIPMENT--2.1%
Axesstel, Inc.* ..................... 389,220 541,016
Plantronics, Inc. ................... 15,900 549,504
-----------
1,090,520
-----------
TRANSPORTATION - SHIPPING--3.4%
Excel Maritime Carriers Ltd. #* ..... 18,600 206,274
OMI Corp. ........................... 11,300 197,750
Overseas Shipholding Group, Inc. .... 10,100 510,757
Seaspan Corp. ....................... 17,800 355,288
StealthGas, Inc. .................... 36,840 447,606
-----------
1,717,675
-----------
TRUCKING--0.6%
Marten Transport Ltd.* .............. 14,310 334,711
-----------
UTILITIES - ELECTRIC--2.2%
El Paso Electric Co.* ............... 24,800 507,160
Great Plains Energy, Inc. ........... 11,200 318,080
Hawaiian Electric Industries, Inc. # 12,400 331,452
-----------
1,156,692
-----------
TOTAL COMMON STOCK
(Cost $44,994,604) .............. 48,668,771
-----------
WARRANTS--0.3%
TRANSPORT - SERVICES--0.3%
Navios Maritime Holdings, Inc.
$5.00 expire 12/9/08* ............. 308,950 163,744
-----------
TOTAL WARRANTS
(Cost $0) ....................... 163,744
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 41
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG TUDOR FUND (concluded) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
SHORT-TERM INVESTMENTS--4.5%
Dreyfus Government
Cash Management Fund
4.346% 03/01/06.................... 2,275,820 $ 2,275,820
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $2,275,820).......... 2,275,820
-----------
TOTAL INVESTMENTS--100.2%
(Cost $47,270,424)............. 51,108,335
-----------
LIABILITIES IN EXCESS
OF OTHER ASSETS--(0.2)%......... (76,229)
-----------
NET ASSETS--100.0%................. $51,032,106
===========
- ----------
* -- Non-income producing.
# -- Portion of security out on loan (Note 6).
144A -- Security was purchased pursuant to Rule 144A under Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
42 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
COMMON STOCK--99.2%
AEROSPACE/DEFENSE--3.1%
Boeing Co. (The) .................... 3,900 $ 283,491
General Dynamics Corp. .............. 2,800 345,156
-----------
628,647
-----------
BIOTECHNOLOGY--1.0%
Genentech, Inc.* .................... 2,300 197,087
-----------
CAPITAL GOODS--0.3%
Deere & Co. ......................... 800 61,016
-----------
CEMENT MANUFACTURING--0.8%
Cemex S.A. de C.V. - ADR ............ 2,500 154,400
-----------
CHEMICALS - COMMODITY--1.1%
Dow Chemical Co., (The) ............. 5,100 219,453
-----------
COMPUTER EQUIPMENT & SERVICES--6.4%
BMC Software, Inc.* ................. 12,700 277,749
Hewlett-Packard Co. ................. 18,200 597,142
International Business Machines
Corp. ............................. 5,300 425,272
-----------
1,300,163
-----------
COMPUTER SOFTWARE--3.1%
Microsoft Corp. ..................... 23,600 634,840
-----------
CONSUMER CYCLICAL SERVICES--8.6%
Black & Decker Corp., (The) ......... 3,400 290,972
Coach, Inc.* ........................ 14,600 521,512
Home Depot, Inc., (The) ............. 17,600 741,840
Wal Mart Stores, Inc. ............... 4,400 199,584
-----------
1,753,908
-----------
CONSUMER NON-CYCLICAL--4.5%
Colgate-Palmolive Co. ............... 8,900 484,872
Procter & Gamble Co., (The) ......... 7,277 436,111
-----------
920,983
-----------
DIVERSIFIED OPERATIONS--1.6%
General Electric Co. ................ 9,600 315,552
-----------
ENERGY--0.7%
TXU Corp. ........................... 2,700 141,453
-----------
FINANCIAL SERVICES--8.2%
American Express Co. ................ 8,400 452,592
Ameriprise Financial, Inc. .......... 2,160 98,237
Capital One Financial Corp. ......... 4,600 402,960
Genworth Financial, Inc., Class A ... 4,500 143,190
Legg Mason, Inc. .................... 2,300 300,357
Moody's Corp. ....................... 4,000 268,000
-----------
1,665,336
-----------
Number
of Shares Value
--------- -----------
FOODS--4.4%
Archer-Daniels-Midland Co. .......... 12,600 $ 399,672
PepsiCo, Inc. ....................... 8,400 496,524
-----------
896,196
-----------
HEALTH & PERSONAL CARE--1.2%
Johnson & Johnson ................... 4,400 253,660
-----------
HEALTH CARE - SERVICES--4.1%
Alcon, Inc. ......................... 1,400 161,224
Express Scripts, Inc.* .............. 3,400 296,718
McKesson Corp. ...................... 7,000 378,910
-----------
836,852
-----------
HEALTHCARE FACILITIES/SUPPLIES--8.5%
Gilead Sciences, Inc.* .............. 7,600 473,252
GlaxoSmithKline PLC - ADR ........... 10,300 523,446
Hospira, Inc.* ...................... 5,700 226,290
UnitedHealth Group, Inc. ............ 8,600 500,778
-----------
1,723,766
-----------
INSURANCE - OTHER--2.1%
Allstate Corp., (The) ............... 4,800 262,944
St. Paul Travelers Companies, Inc.,
(The) ............................. 4,000 171,920
-----------
434,864
-----------
INTERNET SOFTWARE--2.1%
Google, Inc., Class A* .............. 300 108,786
Novell, Inc.* ..................... 32,400 308,124
-----------
416,910
-----------
MANUFACTURING--2.2%
American Standard Companies,
Inc. .............................. 11,100 439,338
-----------
MEDIA & ENTERTAINMENT--1.7%
CBS Corp., Class B .................. 14,100 344,886
-----------
MEDICAL EQUIPMENT AND SUPPLIES--4.1%
AstraZeneca PLC - ADR ............... 5,000 231,250
Kinetic Concepts, Inc.* ............. 5,100 189,210
Techne Corp.* ....................... 3,100 184,357
Waters Corp.* ....................... 5,400 230,742
-----------
835,559
-----------
METALS--2.0%
Phelps Dodge Corp. .................. 3,000 414,000
-----------
OIL & GAS - EXPLORATION--3.4%
Canadian Natural Resources Ltd. ..... 7,400 403,744
Marathon Oil Corp. .................. 4,000 282,400
-----------
686,144
-----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 43
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG LARGE CAP GROWTH FUND (concluded) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Number
of Shares Value
--------- -----------
PUBLISHING & INFORMATION SERVICES--1.9%
McGraw-Hill Companies, Inc.,
(The) ............................. 7,200 $ 382,248
-----------
RESTAURANTS--1.4%
Yum! Brands, Inc. ................... 5,800 276,660
-----------
RETAIL--3.4%
Advance Auto Parts, Inc. ............ 4,650 192,277
J.C. Penney Co., Inc. ............... 8,400 492,576
-----------
684,853
-----------
SEMICONDUCTOR EQUIPMENT & PRODUCTS--5.7%
Advanced Micro Devices, Inc.* ....... 10,100 390,567
Intel Corp. ......................... 21,700 447,020
Intersil Corp., Class A ............. 11,200 317,408
-----------
1,154,995
-----------
SERVICES - BUSINESS--1.6%
Global Payments, Inc. ............... 6,400 333,184
-----------
TECHNOLOGY--3.1%
Harris Corp. ........................ 3,800 173,584
Seagate Technology, Inc.* ........... 16,600 441,062
-----------
614,646
-----------
TELECOMMUNICATIONS--0.7%
NII Holdings, Inc.* ................. 2,700 138,294
-----------
TELECOMMUNICATIONS EQUIPMENT--3.3%
Motorola, Inc. ...................... 18,000 385,200
Nokia Oyj - ADR ..................... 15,100 280,558
-----------
665,758
-----------
TRANSPORTATION - SHIPPING--2.9%
Burlington Northern Santa Fe
Corp. ............................. 4,900 385,336
Ryder System, Inc. .................. 4,700 208,398
-----------
593,734
-----------
TOTAL COMMON STOCK
(Cost $16,901,352) .............. 20,119,385
-----------
Number
of Shares Value
--------- -----------
EXCHANGE TRADED FUNDS--0.5%
iShares Russell 1000(R) Growth
Index Fund ........................ 1,900 $ 98,686
-----------
TOTAL EXCHANGE TRADED
FUNDS
(Cost $98,731) .................. 98,686
-----------
TOTAL INVESTMENTS--99.7%
(Cost $17,000,083) .................. 20,218,071
-----------
OTHER ASSETS IN EXCESS
OF LIABILITIES--0.3% ................ 62,204
-----------
NET ASSETS--100.0% ..................... $20,280,275
===========
- ----------
* -- Non-income producing.
ADR -- American Depository Receipt.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
44 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
GOVERNMENT AGENCIES--46.8%
FEDERAL HOME LOAN MORTGAGE CORP.--11.5%
3.350% 04/01/08 ..... Aaa/AAA $ 570 $ 552,558
3.500% 04/01/08 ..... Aaa/AAA 1,330 1,293,204
4.125% 09/01/09 ..... Aaa/AAA 635 617,898
4.375% 03/17/10 ..... Aaa/AAA 4,525 4,436,998
4.125% 10/18/10 ..... Aaa/AAA 1,490 1,440,806
6.500% 12/01/14 ..... Aaa/AAA 509 522,909
5.500% 09/01/19 ..... Aaa/AAA 2,638 2,648,824
6.000% 03/15/21(TBA) Aaa/AAA 2,405 2,444,081
7.500% 02/01/31 ..... Aaa/AAA 47 49,069
7.500% 02/01/31 ..... Aaa/AAA 23 24,488
7.500% 02/01/31 ..... Aaa/AAA 19 20,201
6.500% 12/01/35 ..... Aaa/AAA 1,076 1,101,184
6.000% 01/01/36 ..... Aaa/AAA 3,159 3,190,532
------------
18,342,752
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--34.8%
2.250% 05/17/06 ..... Aaa/AAA 520 517,217
3.250% 08/15/08 ..... Aaa/AAA 700 673,282
9.000% 11/01/10 ..... Aaa/AAA 62 67,569
4.500% 03/15/21(TBA) Aaa/AAA 6,105 5,929,481
5.500% 03/15/21(TBA) Aaa/AAA 1,270 1,275,556
6.000% 03/15/21(TBA) Aaa/AAA 2,405 2,450,844
5.500% 07/01/34(c) .. Aaa/AAA 4,351 4,312,340
5.000% 03/15/36(TBA) Aaa/AAA 10,860 10,547,775
5.500% 03/15/36(TBA) Aaa/AAA 13,320 13,195,125
6.000% 03/15/36(TBA) Aaa/AAA 9,910 9,999,804
6.500% 03/15/36(TBA) Aaa/AAA 6,725 6,884,719
------------
55,853,712
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--0.5%
7.500% 09/15/07 ..... Aaa/AAA 53 52,714
6.500% 02/15/24 ..... Aaa/AAA 238 248,381
6.500% 04/15/24 ..... Aaa/AAA 99 103,155
6.500% 10/15/24 ..... Aaa/AAA 404 420,910
------------
825,160
------------
TOTAL GOVERNMENT AGENCIES
(Cost $75,021,604)............... 75,021,624
------------
ASSET BACKED SECURITIES--26.1%
BANKS - MAJOR--0.4%
First Union-Lehman Brothers-Bank of
America Series 1998-C2 Class A2
6.560% 11/18/35... Aaa/AAA 574 586,856
------------
CREDIT CARDS--2.4%
Citibank Credit Card Issuance Trust
Series 2003-A11 Class A11
4.650% 10/15/09(c) Aaa/AAA 1,200 1,200,524
Citibank Credit Card Issuance Trust
Series 2003-A3 Class A3
3.100% 03/10/10(c) Aaa/AAA 1,750 1,686,017
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
Citibank Credit Card Issuance Trust
Series 2003-A6 Class A6
2.900% 05/17/10(c) Aaa/AAA $ 1,000 $ 956,094
------------
3,842,635
------------
FINANCE--2.6%
Banc of America Funding Corp.
Series 2005-E Class 4A1
4.103% 03/20/35(c) Aaa/AAA 1,975 1,922,992
BMW Vehicle Owner Trust
Series 2003-A Class A4
2.530% 02/25/08(c) Aaa/AAA 382 379,796
Saxon Asset Securities Trust
Series 2005-3 Class A2A
4.701% 11/25/35(a) Aaa/AAA 1,184 1,184,481
Specialty Underwriting &
Residential Finance
Series 2005-AB2 Class A1A
4.691% 06/25/36(a) Aaa/AAA 697 697,297
------------
4,184,566
------------
MORTGAGE BACKED SECURITIES--20.7%
Aames Mortgage Investment Trust
Series 2005-4 Class 2A1
4.701% 10/25/35(a) Aaa/AAA 1,369 1,369,591
AEGIS Asset Backed Securities Trust
Series 2005-4 Class 1A1
4.691% 10/25/35(a) Aaa/AAA 672 672,268
American Home Mortgage
Investment Trust Series 2005-3
Class 2A1
4.761% 09/25/35(a) Aaa/AAA 1,284 1,275,078
Banc of America Commercial
Mortgage, Inc. Series 2005-5
Class A4
5.115% 10/10/45 .. Aaa/AAA 1,500 1,477,898
Banc of America Commercial
Mortgage, Inc. Series 2005-6
Class A4
5.182% 09/10/47 .. Aaa/AAA 820 816,911
Citigroup/Deutsche Bank
Commercial Mortgage Trust
Series 2005-CD1 Class A4
5.225% 07/15/44 .. Aaa/AAA 1,500 1,501,140
Commerical Mortgage Asset Trust
Series 1999-C2 Class A2
7.546% 11/17/32 .. Aaa/AAA 325 345,953
CS First Boston Mortgage Securities
Corp. Series 2005-C4 Class A5
5.104% 08/15/38 .. Aaa/AAA 810 797,829
GE Capital Commercial Mortgage
Corp. Series 2005-C4 Class A4
5.334% 11/10/45 .. Aaa/AAA 790 795,811
GE-WMC Mortgage Securities
Series 2005-1 Class A2A
4.701% 11/25/35(a) Aaa/AAA 1,097 1,096,665
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 45
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND (continued) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
Greenpoint Mortgage Funding Trust
Series 2005-HE4 Class 2A1C
4.691% 07/25/30(a) Aaa/AAA $ 989 $ 989,380
Greenwich Capital Commercial
Funding Corp. Series 2005-GG5
Class A5
5.224% 04/10/37 .. Aaa/AAA 400 397,908
Gsamp Trust Series 2005-HE4
Class A2A
4.701% 08/25/35(a) Aaa/AAA 550 550,495
GSR Mortgage Loan Trust
Series 2005-AR6 Class 3A1
4.560% 09/25/35 .. Aaa/AAA 1,902 1,864,092
JP Morgan Chase Commercial
Mortgage Series 2005-CB13
Class A4
5.295% 01/12/43 .. Aaa/AAA 1,370 1,375,603
JP Morgan Mortgage Acquisition
Corp. Series 2005-WMC1 Class A2
4.701% 09/25/35(a) Aaa/AAA 1,009 1,008,641
JP Morgan Mortgage Trust
Series 2004-S2 Class 4A5
6.000% 11/25/34(d) Aaa/AAA 1,429 1,430,539
Long Beach Mortgage Loan Trust
Series 2005-3 Class 2A1
4.701% 09/25/35(a) Aaa/AAA 1,058 1,058,290
Merrill Lynch Mortgage Investors,
Inc. Series 2006 WMC1 Class A2A
4.661% 01/25/37(a) Aaa/AAA 730 730,000
Merrill Lynch Mortgage Trust
Series 2005-CKI1 Class A6
5.245% 11/12/37 .. Aaa/AAA 710 710,880
Morgan Stanley Capital
Series 2005-HQ7 Class A4
5.205% 11/14/42 .. Aaa/AAA 1,590 1,588,066
Novastar Home Equity Loan
Series 2005-3 Class A2A
4.711% 01/25/36(a) Aaa/AAA 1,371 1,370,950
Residential Asset Mortgage
Products, Inc. Series 2005-EFC4
Class A1
4.691% 09/25/35(a) Aaa/AAA 1,059 1,059,198
Securitized Asset Backed
Receivables, LLC Series 2006-FR1
Class A2A
4.640% 11/25/35 .. Aaa/AAA 1,400 1,400,000
USAA Auto Owner Trust
Series 2005-3 Class A3
4.550% 02/16/10(c) Aaa/AAA 1,100 1,092,052
Wachovia Bank Commerical
Mortgage Trust Series 2005-C21
Class A1
5.058% 10/15/44 .. Aaa/AAA 634 631,572
Washington Mutual
Series 2005-AR12 Class 1A8
4.843% 10/25/35(c) (d) Aaa/AAA 1,671 1,640,785
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
Wells Fargo Mortgage Backed
Securities Trust Series 2004-EE
Class 2A1
3.989% 12/25/34 .. Aaa/AAA $ 1,698 $ 1,654,625
Wells Fargo Mortgage Backed
Securities Trust Series 2005-AR16
Class 6A3
5.000% 10/25/35 .. Aaa/AAA 2,536 2,505,293
------------
33,207,513
------------
TOTAL ASSET BACKED SECURITIES
(Cost $42,151,593) ............. 41,821,570
------------
CORPORATE BONDS--11.7%
ALCOHOL--0.1%
Diageo Capital PLC
3.375% 03/20/08 .. A3/A- 95 91,699
------------
BANKING--3.1%
Bank of America Corp.
5.875% 02/15/09 .. Aa2/AA- 1,625 1,657,193
Barclays Bank PLC
6.278% 12/15/34(a) (c) Aa3/A+ 1,065 1,058,610
Credit Suisse First Boston USA, Inc.
6.125% 11/15/11 .. Aa3/A+ 515 534,895
HBOS PLC
6.413% 09/29/49(a) (c) A1/A 1,050 1,053,539
Skandinaviska Enskilda
5.471% 03/29/49(a) (c) A2/BBB+ 750 734,486
------------
5,038,723
------------
CHEMICALS - SPECIALTY--0.4%
Methanex Corp. Senior Note
6.000% 08/15/15 .. Ba1/BBB- 690 663,683
------------
COMMUNICATIONS & MEDIA--0.3%
Comcast Corp.
6.500% 11/15/35 .. Baa2/BBB+ 100 101,350
6.450% 03/15/37 .. Baa2/BBB+ 315 313,107
------------
414,457
------------
DIVERSIFIED OPERATIONS--0.2%
Hutchison Whampo International Ltd.
7.450% 11/24/33(b) A3/A- 275 318,297
------------
FINANCE--2.3%
American General Finance
4.875% 05/15/10 .. A1/A+ 660 647,465
Countrywide Home Loan
2.875% 02/15/07 .. A3/A 125 122,153
HSBC Financial Capital Trust IX
5.911% 11/30/35(a) (c) A1/BBB+ 700 703,733
Residential Capital Corp.
6.000% 02/22/11 .. Baa/BBB- 475 471,967
6.875% 06/30/15 .. Baa3/BBB- 300 314,793
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
46 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND (continued) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
Resona Preferred Global Securities
7.191% 07/30/49(a) (b) Baa3/BBB- $ 430 $ 457,605
ZFS Finance USA Trust II
6.450% 12/15/65(a) (b) Baa2/BBB- 1,000 1,006,819
------------
3,724,535
------------
HOME BUILDERS--0.2%
Mohawk Industries, Inc.
6.125% 01/15/16 .. Baa3/BBB- 360 363,552
------------
INSURANCE - OTHER--1.6%
Hartford Life Global Funding
5.200% 02/15/11 .. Aa3e/AA- 595 594,937
Liberty Mutual Group
7.000% 03/15/34(b) Baa3/BBB 750 797,056
Reinsurance Group of America
6.750% 12/15/65(a) Baa3/BBB- 700 702,536
Unitedhealth Group
5.800% 03/15/36 .. A2/A 485 486,362
------------
2,580,891
------------
METALS--0.3%
Noranda, Inc.
6.200% 06/15/35 .. Baa3/BBB- 440 430,248
------------
MULTIMEDIA--0.4%
News America Holdings
7.750% 12/01/45 .. Baa2/BBB 560 649,380
------------
OIL & GAS - EXPLORATION--0.3%
Pemex Project Funding Master Trust
6.625% 06/15/35(b) Baa1e/BBB 155 161,742
Pemex Project Funding Master Trust
6.625% 06/15/35 .. Baa1/BBB 270 281,745
------------
443,487
------------
REAL ESTATE--0.2%
First Industrial LP
7.600% 07/15/28 .. Baa2/BBB 290 326,286
------------
REAL ESTATE INVESTMENT TRUST (REIT)--0.3%
Brandywine Operating Partnership
4.500% 11/01/09 .. Baa3/BBB- 525 505,429
------------
REINSURANCE--0.4%
Axis Capital Holdings Ltd.
5.750% 12/01/14 .. Baa1/BBB+ 240 238,399
Endurance Specialty Holdings
7.000% 07/15/34 .. Baa1/BBB 300 318,879
------------
557,278
------------
SPECIAL PURPOSE ENTITY--1.0%
Glencore Funding LLC
6.000% 04/15/14(b) Baa3/BBB- 450 429,263
ILFC E-Capital Trust II
6.250% 12/21/65(a) (b) A3/A 1,015 1,019,531
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
MMG Fiduciary Trust (AES El Salvador
Trust)
6.750% 02/01/16(b) Baa3/BBB- $ 230 $ 230,524
------------
1,679,318
------------
TELEPHONE - INTEGRATED--0.6%
Telecom Italia Capital
6.375% 11/15/33 .. Baa2/BBB+ 785 776,650
Verizon Virginia, Inc.
4.625% 03/15/13 .. Baa1/A 200 186,066
------------
962,716
------------
TOTAL CORPORATE BONDS
(Cost $18,830,021) .............. 18,749,979
------------
U.S. TREASURY OBLIGATIONS--23.2%
U.S. TREASURY BONDS--4.9%
5.375% 02/15/31 .. Aaa/AAA 1,055 1,174,388
4.500% 02/15/36# Aaa/AAA 4,375 4,373,098
Strip
0.000% 11/15/27 .. Aaa/AAA 6,250 2,294,663
------------
7,842,149
------------
U.S. TREASURY NOTES--18 3%
2.625% 05/15/08# Aaa/AAA 7,385 7,069,985
3.750% 05/15/08# Aaa/AAA 8,440 8,278,647
4.375% 11/15/08 .. Aaa/AAA 1,590 1,578,261
Inflationary Index
3.875% 01/15/09 .. Aaa/AAA 4,510 5,726,751
3.375% 01/15/12 .. Aaa/AAA 3,735 4,472,884
1.625% 01/15/15 .. Aaa/AAA 2,260 2,260,378
------------
29,386,906
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $37,439,716) .............. 37,229,055
------------
SHORT-TERM INVESTMENTS--24.8%
FEDERAL NATIONAL MORTGAGE ASSOCIATION--23.6%
2.125% 06/05/06 (d) Aaa/AAA 1,455 1,444,776
4.34% 03/13/06 ... Aaa/AAA 30,971 30,926,195
4.39% 03/13/06 ... Aaa/AAA 5,552 5,543,875
------------
37,914,846
------------
Shares
---------
MONEY MARKET FUND--1.2%
Dreyfus Government
Cash Management Fund
4.346% 03/01/06... 1,866,980 1,866,980
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $39,790,465) .............. 39,781,826
------------
TOTAL INVESTMENTS BEFORE COLLATERAL
FOR SECURITIES ON LOAN--132.6%
(Cost $213,233,399) ................. 212,604,054
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 47
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ROBECO WPG CORE BOND FUND (concluded) PORTFOLIO OF INVESTMENTS
- --------------------------------------------------------------------------------
Moody's/
S&P Par
(Unaudited) (000's) Value
----------- ------- ------------
INVESTMENTS HELD AS COLLATERAL
FOR LOANED SECURITIES--10.7%
U.S. TREASURY OBLIGATIONS--10.7%
U.S. Treasury Strip Bonds
0.000% 08/15/20... Aaa/AAA $10,925 $ 5,378,159
0.000% 11/15/21.. Aaa/AAA 11,145 5,159,912
0.000% 11/15/27... Aaa/AAA 19,016 6,669,862
------------
TOTAL INVESTMENTS HELD AS COLLATERAL
FOR LOANED SECURITIES
(Cost $17,207,933) .............. 17,207,933
------------
TOTAL INVESTMENTS--143.3%
(Cost $230,441,332) ................. 229,811,987
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(43.3)% ............... (69,438,215)
------------
NET ASSETS--100.0% ..................... $160,373,772
============
- ----------
# -- Portion of security out on loan (Note 6).
TBA -- To Be Announced.
(a) Adjustable rate security.
(b) Security was purchased pursuant to Rule 144A under the Securities Act of
1933 and may not be resold subject to that rule except to qualified
institutional buyers.
(c) Callable security.
(d) Fitch rating.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
48 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
BP SMALL CAP BP LONG/SHORT BP LARGE CAP BP MID CAP BP ALL-CAP
VALUE FUND II EQUITY FUND VALUE FUND VALUE FUND VALUE FUND
------------ ------------ ----------- ----------- -----------
ASSETS
Investments, at value (cost--$321,750,978,
$121,365,044, $47,430,697, $50,085,186 and
$10,963,760 respetively) ......................... $410,038,210 $130,838,160 $52,806,352 $58,506,733 $12,857,921
Cash ............................................... -- 4,434 -- 1 --
Receivable from investment advisor ................. -- -- -- -- 8,695
Deposits with brokers for securities sold short .... -- 50,458,121 -- -- --
Receivable for investments sold .................... 155,528 5,266,917 349,128 --
45,005
Receivable for capital shares sold ................. 184,788 -- 3,781 1,359,301
14,093
Dividends and interest receivable .................. 277,040 196,198 89,690 53,708 24,088
Prepaid expenses and other assets .................. 41,534 27,383 19,082 16,592
13,282
------------ ------------ ----------- ----------- -----------
Total assets ..................................... 410,697,100 186,791,213 53,268,033 59,936,335
12,963,084
------------ ------------ ----------- ----------- -----------
LIABILITIES
Payable for investments purchased .................. 630,496 3,080,985 384,532 80,675 85,546
Securities sold-short at fair value
(proceeds $61,171,402) -- 68,916,771 -- -- --
Options written, at value (premiums received $51,292) -- -- -- -- 76,272
Payable to investment adviser ...................... 393,386 187,172 18,900 23,197 --
Payable for capital shares redeemed ................ 579,840 24,960 37,476 -- --
Other accrued expenses and liabilities ............. 201,765 118,976 37,663 40,822 36,284
Payable for dividends on securities sold-short ..... -- 2,731 -- -- --
------------ ------------ ----------- ----------- -----------
Total liabilities ................................ 1,805,487 72,331,595 478,571 144,694 198,102
------------ ------------ ----------- ----------- -----------
NET ASSETS
Capital stock, $0.001 par value .................... 17,914 7,026 3,767 4,646 837
Paid-in capital .................................... 307,572,263 109,855,531 45,407,304 48,150,724 10,522,577
Undistributed net investment income/(accumulated loss) (862,896) (1,117,526) 39,327 (1,174) 27
Accumulated net realized gain from investments
and foreign exchange transactions, if any ........ 13,877,100 3,986,840 1,963,409 3,215,898 372,360
Net unrealized appreciation on investments and
foreign exchange transactions, if any ............. 88,287,232 9,473,116 5,375,655 8,421,547 1,869,181
Net unrealized depreciation on investments sold short -- (7,745,369) -- -- --
------------ ------------ ----------- ----------- -----------
Net assets ......................................... $408,891,613 $114,459,618 $52,789,462 $59,791,641 $12,764,982
============ ============ =========== =========== ===========
INSTITUTIONAL CLASS
Net assets ......................................... $129,975,402 $ 93,154,008 $32,902,814 $54,708,531 $ 8,818,042
------------ ------------ ----------- ----------- -----------
Shares outstanding ................................. 5,627,466 5,707,682 2,363,453 4,244,938 577,754
------------ ------------ ----------- ----------- -----------
Net asset value, offering and redemption
price per share .................................. $23.10 $16.32 $13.92 $12.89 $15.26
============ ============ =========== =========== ===========
INVESTOR CLASS
Net assets ......................................... $278,916,211 $ 21,305,610 $19,886,648 $ 5,083,110 $ 3,946,940
------------ ------------ ----------- ----------- -----------
Shares outstanding ................................. 12,286,424 1,318,877 1,403,312 401,436 259,324
------------ ------------ ----------- ----------- -----------
Net asset value, offering and redemption
price per share .................................. $22.70 $16.15 $14.17 $12.66 $15.22
============ ============ =========== =========== ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 49
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
WPG
WPG LARGE CAP WPG
TUDOR FUND GROWTH FUND CORE BOND FUND
------------ ------------ -------------
ASSETS
Investments, at value (cost--$47,270,424,
$17,000,083, and $230,441,332 respectively)...... $51,108,335 $20,218,071 $229,811,987
Cash............................................... -- 79,641 --
Receivable for investment securities sold.......... 379,938 -- 3,812,575
Receivable for capital shares sold................. 537 -- --
Dividends and interest receivable.................. 60,193 41,757 860,822
Prepaid expenses and other assets.................. 14,266 11,258 59,197
----------- ----------- ------------
Total assets..................................... 51,563,269 20,350,727 234,544,581
----------- ----------- ------------
LIABILITIES
Payable for investments purchased.................. 369,951 -- 56,874,458
Payable upon return of securities loaned (Note 6).. -- -- 17,207,933
Payable to investment adviser...................... 35,267 3,846 9,782
Payable to custodian............................... 937 1,381 2,756
Payable for capital shares redeemed................ 68,470 21,622 9,475
Payable for distribution........................... -- -- 15
Other accrued expenses and liabilities............. 56,538 43,603 66,390
----------- ----------- ------------
Total liabilities................................ 531,163 70,452 74,170,809
----------- ----------- ------------
NET ASSETS
Capital stock, $.001 par value..................... 3,187 907 15,113
Paid-in capital.................................... 46,383,277 16,372,474 165,821,501
Undistributed net investment income/(accumulated loss) 64,204 (5,338) (8,975)
Accumulated net realized gain/(loss) from investments
and foreign exchange transactions, if any........ 743,527 694,244 (4,824,522)
Net unrealized appreciation/(depreciation) on
investments and foreign exchange transactions,
if any .......................................... 3,837,911 3,217,988 (629,345)
----------- ----------- ------------
Net assets......................................... $51,032,106 $20,280,275 $160,373,772
=========== =========== ============
INSTITUTIONAL CLASS
Net assets......................................... $51,032,106 $20,280,275 $160,320,736
----------- ----------- ------------
Shares outstanding................................. 3,186,712 907,340 15,107,910
----------- ----------- ------------
Net asset value, offering and redemption
price per share.................................. $16.01 $22.35 $10.61
=========== =========== ============
INVESTOR CLASS
Net assets......................................... N/A N/A $33,119
----------- ----------- ------------
Shares outstanding................................. N/A N/A 3,122
----------- ----------- ------------
Net asset value, offering and redemption
price per share.................................. N/A N/A $10.61
=========== =========== ============
RETIREMENT CLASS
Net assets......................................... N/A N/A $19,917
----------- ----------- ------------
Shares outstanding................................. N/A N/A 1,877
----------- ----------- ------------
Net asset value, offering and redemption
price per share.................................. N/A N/A $10.61
=========== =========== ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
50 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
BP SMALL CAP BP LONG/SHORT BP LARGE CAP BP MID CAP BP ALL-CAP
VALUE FUND II EQUITY FUND VALUE FUND VALUE FUND VALUE FUND
------------- ------------- ------------ ----------- ---------
INVESTMENT INCOME
Dividends(1)..................................... $ 2,740,945 $ 503,577 $ 376,369 $ 330,084 $106,508
Interest......................................... 245,744 295,564 24,998 36,160 8,750
----------- ----------- ---------- ---------- --------
2,986,689 799,141 401,367 366,244 115,258
----------- ----------- ---------- ---------- --------
EXPENSES
Advisory fees.................................... 2,527,286 1,370,934 170,249 225,347 56,755
Administration and accounting fees............... 244,491 87,345 41,015 42,421 39,999
Administrative services fees..................... 19,764 5,955 2,221 2,754 555
Transfer agent fees ............................. 86,770 48,670 37,810 38,715 38,715
Custodian fees................................... 27,816 22,834 12,421 9,248 15,288
Printing and shareholder reporting fees.......... 50,200 14,870 3,620 1,810 3,405
Registration and filing fees..................... 14,948 13,941 13,398 12,839 10,773
Professional fees................................ 52,284 21,348 11,015 12,015 7,753
Distribution fees................................ 341,936 28,965 20,210 6,107 4,187
Directors' and officers' fees.................... 29,741 12,947 8,518 9,134 6,789
Dividend expense on securities sold short........ -- 103,833 -- -- --
Interest expense................................. -- 260,609 -- -- --
Other expenses................................... 15,226 4,273 1,855 2,147 937
----------- ----------- ---------- ---------- --------
Total expenses before waivers and
reimbursements............................... 3,410,462 1,996,524 322,332 362,537 185,156
Less: waivers and reimbursements............... (1,161) (79,857) (75,124) (74,784) (110,025)
----------- ----------- ---------- ---------- --------
Net expenses after waivers and
reimbursements............................... 3,409,301 1,916,667 247,208 287,753 75,131
----------- ----------- ---------- ---------- --------
Net investment income/(loss) ................... (422,612) (1,117,526) 154,159 78,491 40,127
----------- ----------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
Net realized gain/(loss) from:
Investments................................... 24,267,922 11,607,428 3,486,417 5,190,374 457,144
Investments sold short......................... -- (2,883,314) -- -- --
Written options................................ -- -- -- -- (5,055)
Net change in unrealized appreciation/(depreciation) on:
Investments .................................. 5,726,421 (8,487,042) (5,800) (2,282,795) 109,993
Written options................................ -- -- -- -- (2,709)
----------- ----------- ---------- ---------- --------
Net realized and unrealized gain from investments 29,994,343 237,072 3,480,617 2,907,579 559,373
----------- ----------- ---------- ---------- --------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................ $29,571,731 $ (880,454) $3,634,776 $2,986,070 $599,500
=========== =========== ========== ========== ========
<FN>
- ----------------
(1) Net of foreign taxes of $3,159, $318, $1,915, $0 and $3,041 for the Small Cap Value Fund II, Long/Short Equity Fund,
Large Cap Value Fund, Mid Cap Value Fund and All-Cap Value Fund, respectively.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2006 | 51
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006 (unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
WPG
WPG LARGE CAP WPG CORE
TUDOR FUND GROWTH FUND BOND FUND
----------- ----------- ----------
INVESTMENT INCOME
Dividends(1)..................................... $ 434,248 $ 137,622 $ --
Interest......................................... -- -- 3,452,916
Income from securities loaned - Note 6........... 3,777 -- 15,568
---------- ---------- ----------
438,025 137,622 3,468,484
---------- ---------- ----------
EXPENSES
Advisory fees.................................... 225,318 76,589 357,521
Administration and accounting fees............... 42,075 38,878 123,368
Administrative services fees..................... 2,500 2,500 2,500
Transfer agent fees.............................. 55,216 38,926 40,210
Custodian fees .................................. 9,912 4,103 12,026
Printing and shareholder reporting fees......... 4,464 4,265 12,430
Registration and filing fees..................... 7,729 7,014 15,251
Professional fees................................ 7,748 5,430 24,454
Distribution fees................................ 6,486 2,843 1,205
Directors' and officers' fees ................... 9,110 7,324 14,714
Other expenses................................... 3,263 2,408 5,670
---------- ---------- ----------
Total expenses before waivers and
reimbursements............................... 373,821 190,280 609,349
Less: waivers and reimbursements............... -- (47,045) (267,707)
Less: fees paid indirectly - Note 3............ -- (275) --
---------- ---------- ----------
Net expenses after waivers and
reimbursements............................... 373,821 142,960 341,642
---------- ---------- ----------
Net investment income/(loss)................... 64,204 (5,338) 3,126,842
---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
FROM INVESTMENTS
Net realized gain/(loss) from
Investments................................... 2,358,843 880,762 (1,951,023)
Net change in unrealized appreciation/
(depreciation) on:
Investments .................................. (540,286) 432,055 (1,576,235)
---------- ---------- ----------
Net realized and unrealized gain/loss
from investments ............................. 1,818,557 1,312,817 (3,527,258)
---------- ---------- ----------
NET INCREASE/(DECREASE)
IN NET ASSETS RESULTING FROM
OPERATIONS..................................... $1,882,761 $1,307,479 $ (400,416)
========== ========== ==========
<FN>
- -----------
(1) Net of foreign taxes of $784, $440 and $0 for the WPG Tudor Fund, WPG Large Cap Growth Fund
and WPG Core Bond Fund, respectively.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
52 | SEMI-ANNUAL REPORT 2006
[THIS PAGE INTENTIONALLY LEFT BLANK]
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
BP SMALL CAP VALUE FUND II BP LONG/SHORT EQUITY FUND
----------------------------------- ------------------------------------
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005 FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- --------------- ----------------- ---------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ....................... $ (422,612) $ (2,542,727) $ (1,117,526) $ (1,804,868)
Net realized gain from investments and
foreign currency related transactions............. 24,267,922 60,395,040 8,724,114 15,262,708
Net change in unrealized appreciation/(depreciation)
on investments and foreign currency related
transactions .................................... 5,726,421 32,864,575 (8,487,042) 4,977,472
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting from
operations ....................................... 29,571,731 90,716,888 (880,454) 18,435,312
------------ ------------ ------------ ------------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ......... (360,129) -- -- --
Net investment income Investor shares ............. (80,155) -- -- --
Net realized capital gains Institutional shares ... (17,072,564) (16,833,864) (8,173,605) --
Net realized capital gains Investor shares ........ (37,607,408) (40,433,524) (1,912,801) --
------------ ------------ ------------ ------------
Total dividends and distributions to shareholders .. (55,120,256) (57,267,388) (10,086,406) --
------------ ------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)............... 21,648,779 (81,287,042) 962,365 33,413,538
------------ ------------ ------------ ------------
Total increase/(decrease) in net assets............ (3,899,746) (47,837,542) (10,004,495) 51,848,850
------------ ------------ ------------ ------------
NET ASSETS
Beginning of period................................. 412,791,359 460,628,901 124,464,113 72,615,263
------------ ------------ ------------ ------------
End of period*...................................... $408,891,613 $412,791,359 $114,459,618 $124,464,113
============ ============ ============ ============
BP LARGE CAP VALUE FUND BP MID CAP VALUE FUND
------------------------------------ -------------------------------------
FOR THE SIX FOR THE FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005 FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- --------------- ----------------- ---------------
(UNAUDITED) (UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ....................... $ 154,159 $ 325,835 $ 78,491 $ 9,014
Net realized gain from investments and
foreign currency related transactions............. 3,486,417 9,009,617(1) 5,190,374 6,790,336
Net change in unrealized appreciation/(depreciation)
on investments and foreign currency related
transactions .................................... (5,800) (1,228,931) (2,282,795) 4,972,704
----------- ------------ ----------- -----------
Net increase/(decrease) in net assets resulting from
operations ....................................... 3,634,776 8,106,521 2,986,070 11,772,054
----------- ------------ ----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ......... (302,304) (298,564) (79,665) (53,180)
Net investment income Investor shares ............. (138,363) (57,149) -- --
Net realized capital gains Institutional shares ... (3,892,863) -- (6,614,828) (7,602,216)
Net realized capital gains Investor shares ........ (2,200,756) -- (661,661) (520,862)
----------- ------------ ----------- -----------
Total dividends and distributions to shareholders .. (6,534,286) (355,713) (7,356,154) (8,176,258)
----------- ------------ ----------- -----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)............... 15,690,132 (17,930,254) 5,512,752 9,994,214
----------- ------------ ----------- -----------
Total increase/(decrease) in net assets............ 12,790,622 (10,179,446) 1,142,668 13,590,010
----------- ------------ ----------- -----------
NET ASSETS
Beginning of period................................. 39,998,840 50,178,286 58,648,973 45,058,963
----------- ------------ ----------- -----------
End of period*...................................... $52,789,462 $ 39,998,840 $59,791,641 $58,648,973
=========== ============ =========== ===========
BP ALL-CAP VALUE FUND
-----------------------------------
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ....................... $ 40,127 $ 39,205
Net realized gain from investments and
foreign currency related transactions............. 452,089 667,012
Net change in unrealized appreciation/(depreciation)
on investments and foreign currency related
transactions .................................... 107,284 906,034
----------- -----------
Net increase/(decrease) in net assets resulting from
operations ....................................... 599,500 1,612,251
----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ......... (42,593) (22,144)
Net investment income Investor shares ............. (12,566) (2,806)
Net realized capital gains Institutional shares ... (498,305) (254,040)
Net realized capital gains Investor shares ........ (217,331) (50,080)
----------- -----------
Total dividends and distributions to shareholders .. (770,795) (329,070)
----------- -----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)............... 2,780,944 3,045,417
----------- -----------
Total increase/(decrease) in net assets............ 2,609,649 4,328,598
----------- -----------
NET ASSETS
Beginning of period................................. 10,155,333 5,826,735
----------- -----------
End of period*...................................... $12,764,982 $10,155,333
=========== ===========
<FN>
* Includes undistributed net investment income/(loss) as follows:
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
BP Small Cap Value Fund II........ $ (862,896) $ --
BP Long/Short Equity Fund......... (1,117,526) --
BP Large Cap Value Fund........... 39,327 325,835
BP Mid Cap Value Fund Fund........ (1,174) --
BP All-Cap Value Fund............. 27 15,059
(1) Includes realized gains of $1,185,294 as a result of an in-kind redemption (see note 8).
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
54 and 55 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2006
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
WPG TUDOR FUND
------------------------------------------------------------
FOR THE
FOR THE SIX PERIOD FOR THE
MONTHS ENDED JANUARY 1, 2005 TO YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005* DECEMBER 31, 2004
----------------- ------------------ -----------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ................................. $ 64,204 $ (125,657) $ (321,995)
Net realized gain/(loss) from investments and
foreign exchange transactions, if any....................... 2,358,843 3,615,810 8,271,211
Net change in unrealized appreciation/(depreciation) on
investments ................................................ (540,286) (4,058,296) 2,202,592
----------- ----------- -----------
Net increase/(decrease) in net assets resulting from
operations ................................................. 1,882,761 (568,143) 10,151,808
----------- ----------- -----------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ................... -- -- --
Net investment income Investor shares ....................... -- -- --
Net investment income Retirement shares ..................... -- -- --
Net realized capital gains Institutional shares ............. (5,701,181) -- (5,773,811)
----------- ----------- -----------
Total dividends and distributions to shareholders ............ (5,701,181) -- (5,773,811)
----------- ----------- -----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)......................... 2,482,758 (4,851,034) (4,872,647)
----------- ----------- -----------
Total increase/(decrease) in net assets...................... (1,335,662) (5,419,177) (494,650)
----------- ----------- -----------
NET ASSETS
Beginning of period........................................... 52,367,768 57,786,945 58,281,595
----------- ----------- -----------
End of period**............................................... $51,032,106) $52,367,768 $57,786,945
=========== =========== ===========
WPG LARGE CAP GROWTH FUND
------------------------------------------------------------
FOR THE
FOR THE SIX PERIOD FOR THE
MONTHS ENDED JANUARY 1, 2005 TO YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005* DECEMBER 31, 2004
----------------- ------------------ -----------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ................................. $ (5,338) $ (62,431) $ (27,929)
Net realized gain/(loss) from investments and
foreign exchange transactions, if any....................... 880,762 1,419,150 4,122,924
Net change in unrealized appreciation/(depreciation) on
investments ................................................ 432,055 (1,322,168) (4,018,355)
----------- ----------- ------------
Net increase/(decrease) in net assets resulting from
operations ................................................. 1,307,479 34,551 76,640
----------- ----------- ------------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ................... -- -- --
Net investment income Investor shares ....................... -- -- --
Net investment income Retirement shares ..................... -- -- --
Net realized capital gains Institutional shares ............. (2,136,641) -- (3,205,905)
----------- ----------- ------------
Total dividends and distributions to shareholders ............ (2,136,641) -- (3,205,905)
----------- ----------- ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)......................... 483,750 (5,630,987) (23,003,796)
----------- ----------- ------------
Total increase/(decrease) in net assets...................... (345,412) (5,596,436) (26,133,061)
----------- ----------- ------------
NET ASSETS
Beginning of period........................................... 20,625,687 26,222,123 52,355,184
----------- ----------- ------------
End of period**............................................... $20,280,275 $20,625,687 $ 26,222,123
=========== =========== ============
WPG CORE BOND FUND
-------------------------------------------------------------
FOR THE
FOR THE SIX PERIOD FOR THE
MONTHS ENDED JANUARY 1, 2005 TO YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005* DECEMBER 31, 2004
----------------- ------------------ -----------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ................................. $ 3,126,842 $ 3,597,199 $ 4,533,585
Net realized gain/(loss) from investments and
foreign exchange transactions, if any....................... (1,951,023) 441,009 3,861,876
Net change in unrealized appreciation/(depreciation) on
investments ................................................ (1,576,235) 260,838 (1,049,105)
------------ ------------ ------------
Net increase/(decrease) in net assets resulting from
operations ................................................. (400,416) 4,299,046 7,346,356
------------ ------------ ------------
LESS DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares ................... (3,126,387) (3,597,722) (4,533,585)
Net investment income Investor shares ....................... (89) -- --
Net investment income Retirement shares ..................... (375) -- --
Net realized capital gains Institutional shares ............. -- -- --
------------ ------------ ------------
Total dividends and distributions to shareholders ............ (3,126,851) (3,597,722) (4,533,585)
------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 5)......................... 2,140,041 16,711,133 (4,281,995)
------------ ------------ ------------
Total increase/(decrease) in net assets...................... (1,387,226) 17,412,457 (1,469,224)
------------ ------------ ------------
NET ASSETS
Beginning of period........................................... 161,760,998 144,348,541 145,817,765
------------ ------------ ------------
End of period**............................................... $160,373,772 $161,760,998 $144,348,541
============ ============ ============
- ----------
* Short year beginning January 1, 2005 and ending August 31, 2005.
** Includes undistributed net investment income/(loss) as follows:
FOR THE SIX FOR THE FOR THE
MONTHS ENDED PERIOD ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005 DECEMBER 31, 2004
----------------- --------------- -----------------
(UNAUDITED)
WPG Tudor Fund................................................ $64,204 $ -- $(3,686)
WPG Large Cap Growth Fund..................................... (5,338) -- --
WPG Core Bond Fund............................................ (8,975) (8,966) (8,443)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
56 and 57 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS PER SHARE OPERATING PERFORMANCE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
NET DIVIDENDS TO DISTRIBUTIONS TO
ASSET NET REALIZED SHAREHOLDERS SHAREHOLDERS
VALUE, NET AND UNREALIZED FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME GAINS
- ------------------------------------------------------------------------------------------------------------------
BP SMALL CAP VALUE FUND II
- --------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $24.75 $ --**(3) $ 1.77** $(0.07) $(3.35)
8/31/05 22.80 (0.10) 5.07 -- (3.03)
8/31/04 20.19 (0.12)** 2.92** -- (0.20)
8/31/03 15.71 (0.09)** 4.55** -- --(3)
8/31/02 17.17 (0.13)** (1.23)** -- (0.21)
8/31/01 11.39 (0.05)** 6.05** -- (0.29)
INVESTOR CLASS
9/1/05 through 2/28/06+ $24.35 $(0.03)** $ 1.74** $(0.01) $(3.35)
8/31/05 22.53 (0.17) 5.01 -- (3.03)
8/31/04 20.00 (0.18)** 2.90** -- (0.20)
8/31/03 15.61 (0.12)** 4.49** -- --(3)
8/31/02 17.09 (0.17)** (1.21)** -- (0.21)
8/31/01 11.36 (0.09)** 6.04** -- (0.29)
- ------------------------------------------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $17.89 $(0.16)** $ 0.06** $ -- $(1.47)
8/31/05 14.70 (0.25) 3.43 -- --
8/31/04 14.31 (0.32)** 0.69** -- --
8/31/03 15.17 (0.28)** 0.10** -- (0.51)
8/31/02 15.88 0.05** (0.31)** (0.02) (0.50)
8/31/01 10.57 0.07** 5.14** (0.13) --
INVESTOR CLASS
9/1/05 through 2/28/06+ $17.74 $(0.18)** $ 0.06** $ -- $(1.47)
8/31/05 14.62 (0.28) 3.39 -- --
8/31/04 14.27 (0.36)** 0.69** -- --
8/31/03 15.13 (0.31)** 0.10** -- (0.51)
8/31/02 15.87 0.04** (0.33)** (0.01) (0.50)
8/31/01 10.57 0.03** 5.18** (0.11) --
- ------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND
- -----------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $15.00 $ 0.06** $ 1.03 $(0.15) $(2.02)
8/31/05 12.67 0.11** 2.33** (0.11) --
8/31/04 10.84 0.09** 1.84** (0.10) --
8/31/03 10.33 0.09** 0.57** (0.06) (0.09)
8/31/02 13.52 0.08** (1.54)** (0.12) (1.61)
8/31/01 12.82 0.12** 1.10** (0.13) (0.39)
RATIO OF
EXPENSES TO
AVERAGE NET
DISTRIBUTIONS TO NET NET ASSETS WITH
SHAREHOLDERS ASSET ASSETS, WAIVERS AND
FROM VALUE, TOTAL END OF REIMBURSEMENTS
TAX RETURN REDEMPTION END OF INVESTMENT PERIOD (INCLUDING
OF CAPITAL FEES PERIOD RETURN(1,2) (000) DIVIDEND EXPENSE)
- -----------------------------------------------------------------------------------------------------------------------------
BP SMALL CAP VALUE FUND II
- --------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $ -- $23.10 7.70% $129,975 1.52%(4)
8/31/05 -- 0.01 24.75 22.65 138,143 1.53
8/31/04 -- 0.01** 22.80 13.96 133,060 1.49
8/31/03 -- 0.02** 20.19 28.55 98,383 1.55
8/31/02 -- 0.11** 15.71 (7.39) 40,475 1.55
8/31/01 -- 0.07** 17.17 54.57 21,547 1.55
INVESTOR CLASS
9/1/05 through 2/28/06+ $ -- $ -- $22.70 7.54% $278,916 1.77%(4)
8/31/05 -- 0.01 24.35 22.32 274,648 1.78
8/31/04 -- 0.01** 22.53 13.69 327,569 1.74
8/31/03 -- 0.02** 20.00 28.16 279,593 1.80
8/31/02 -- 0.11** 15.61 (7.54) 253,838 1.79
8/31/01 -- 0.07** 17.09 54.27 230,507 1.77
- -----------------------------------------------------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $ -- $16.32 (0.75)% $ 93,154 2.67%(4)
8/31/05 -- 0.01 17.89 21.70 99,748 3.13
8/31/04 -- 0.02** 14.70 2.73 58,293 3.02
8/31/03 (0.20) 0.03** 14.31 (1.13) 57,351 3.05
8/31/02 -- 0.07** 15.17 (1.17) 65,951 3.04
8/31/01 -- 0.23** 15.88 51.85 25,857 3.22
INVESTOR CLASS
9/1/05 through 2/28/06+ $ -- $ -- $16.15 (0.88)% $ 21,306 2.92%(4)
8/31/05 -- 0.01 17.74 21.34 24,716 3.37
8/31/04 -- 0.02** 14.62 2.45 14,322 3.27
8/31/03 (0.17) 0.03** 14.27 (1.32) 15,381 3.32
8/31/02 -- 0.06** 15.13 (1.44) 49,284 3.29
8/31/01 -- 0.20** 15.87 51.51 11,244 3.44
- -----------------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND
- -----------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $ -- $13.92 7.71% $ 32,903 1.00%(4)
8/31/05 -- -- 15.00 19.30 27,172 1.00
8/31/04 -- -- 12.67 17.87 42,066 1.00
8/31/03 -- -- 10.84 6.54 43,722 1.00
8/31/02 -- -- 10.33 (12.67) 45,067 1.00
8/31/01 -- -- 13.52 9.65 40,368 1.00
RATIO OF RATIO OF RATIO OF RATIOS OF NET
EXPENSES TO EXPENSES TO EXPENSES TO INVESTMENT
AVERAGE NET AVERAGE NET AVERAGE NET INCOME TO
ASSETS WITH ASSETS WITHOUT ASSETS WITHOUT AVERAGE
WAIVERS AND WAIVERS AND WAIVERS AND NET ASSETS
REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS WITH WAIVERS PORTFOLIO
(EXCLUDING (EXCLUDING (INCLUDING AND TURNOVER
DIVIDEND EXPENSE) DIVIDEND EXPENSE) DIVIDEND EXPENSE) REIMBURSEMENTS RATE
- ----------------------------------------------------------------------------------------------------------------------
BP SMALL CAP VALUE FUND II
- --------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% --% 1.52%(4) (0.04)%(4) 18.85%
8/31/05 -- -- 1.54 (0.42) 37.61
8/31/04 -- -- 1.49 (0.53) 47.06
8/31/03 -- -- 1.79 (0.54) 72.72
8/31/02 -- -- 1.71 (0.76) 119.30
8/31/01 -- -- 2.03 (0.32) 35.50
INVESTOR CLASS
9/1/05 through 2/28/06+ --% --% 1.77%(4) (0.29)%(4) 18.85%
8/31/05 -- -- 1.79 (0.64) 37.61
8/31/04 -- -- 1.74 (0.77) 47.06
8/31/03 -- -- 2.04 (0.77) 72.72
8/31/02 -- -- 1.92 (1.00) 119.30
8/31/01 -- -- 2.13 (0.54) 35.50
- ----------------------------------------------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ 2.50%(4) 2.63%(4) 2.80%(4) (1.78)%(4) 50.90%
8/31/05 2.92 3.09 3.30 (1.82) 107.14
8/31/04 2.50 2.68 3.20 (2.26) 239.06
8/31/03 2.50 2.90 3.44 (1.94) 282.36
8/31/02 2.50 2.85 3.39 0.30 219.52
8/31/01 2.50 4.25 4.97 0.46 332.25
INVESTOR CLASS
9/1/05 through 2/28/06+ 2.75%(4) 2.88%(4) 3.05%(4) (1.92)%(4) 50.90%
8/31/05 3.17 3.34 3.55 (2.07) 107.14
8/31/04 2.75 2.93 3.45 (2.50) 239.06
8/31/03 2.75 3.12 3.69 (2.13) 282.36
8/31/02 2.75 3.06 3.60 0.27 219.52
8/31/01 2.72 4.35 5.07 0.24 332.25
- ----------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND
- -----------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% --% 1.33%(4) 0.77%(4) 35.79%
8/31/05 -- -- 1.35 0.83 76.91
8/31/04 -- -- 1.22 0.73 47.21
8/31/03 -- -- 1.41 0.94 81.13
8/31/02 -- -- 1.40 0.62 88.65
8/31/01 -- -- 1.43 0.89 105.71
<FN>
- --------------
** Calculated based on average shares outstanding for the period.
+ Unaudited.
(1) Total return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of
each period reported and includes reinvestments of dividends and distributions, if any.
(2) Redemption fees are reflected in total return calculations.
(3) Amount is less than $0.01 per share.
(4) Annualized.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
58 and 59 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
NET DIVIDENDS TO DISTRIBUTIONS TO
ASSET NET REALIZED SHAREHOLDERS SHAREHOLDERS
VALUE, NET AND UNREALIZED FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME GAINS
- ---------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND (CONTINUED)
- -----------------------------------
INVESTOR CLASS
9/1/05 through 2/28/06+ $15.22 $ 0.04** $ 1.06** $(0.13) $(2.02)
8/31/05 12.86 0.08** 2.36** (0.08) --
8/31/04 11.01 0.05** 1.88** (0.08) --
8/31/03 10.50 0.07** 0.57** (0.04) (0.09)
8/31/02 13.73 0.04** (1.56)** (0.10) (1.61)
8/31/01 13.02 0.09** 1.13** (0.12) (0.39)
- ---------------------------------------------------------------------------------------------------------------
BP MID CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $14.02 $ 0.02** $ 0.72** $(0.02) $(1.85)
8/31/05 13.16 --(2) 3.22 (0.01) (2.35)
8/31/04 11.57 0.01** 1.65** (0.07) --
8/31/03 9.69 0.05** 1.83** --(2) --
8/31/02 12.55 0.00** (0.94)** (0.06) (1.86)
8/31/01 11.66 0.04** 0.91** (0.06) --
INVESTOR CLASS
9/1/05 through 2/28/06+ $13.80$ $ --**(2) $ 0.71** $ -- $(1.85)
8/31/05 13.02 --(2) 3.13 -- (2.35)
8/31/04 11.43 (0.02)** 1.65** (0.04) --
8/31/03 9.58 0.02** 1.83** -- --
8/31/02 12.43 (0.02)** (0.94)** (0.03) (1.86)
8/31/01 11.55 0.01** 0.91** (0.04) --
- ---------------------------------------------------------------------------------------------------------------
BP ALL-CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $15.54 $ 0.06** $ 0.69** $(0.08) $(0.95)
8/31/05 13.29 0.07 2.83 (0.05) (0.60)
8/31/04 10.82 0.06 2.48 (0.07) --
8/31/03 9.45 0.06 1.34 (0.03) --
7/1/02* to 8/31/02 10.00 -- (0.55) -- --
INVESTOR CLASS
9/1/05 through 2/28/06+ $15.49 $ 0.04** $ 0.69** $(0.05) $(0.95)
8/31/05 13.26 0.03 2.83 (0.03) (0.60)
8/31/04 10.80 0.02 2.48 (0.04) --
8/31/03 9.44 0.04 1.34 (0.02) --
7/1/02* to 8/31/02 10.00 -- (0.56) -- --
RATIO OF
EXPENSES TO
AVERAGE NET
DISTRIBUTIONS TO NET NET ASSETS WITH
SHAREHOLDERS ASSET ASSETS, WAIVERS AND
FROM VALUE, TOTAL END OF REIMBURSEMENTS
TAX RETURN REDEMPTION END OF INVESTMENT PERIOD (INCLUDING
OF CAPITAL FEES PERIOD RETURN(1) (000) DIVIDEND EXPENSE)
- -----------------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND (CONTINUED)
- -----------------------------------
INVESTOR CLASS
9/1/05 through 2/28/06+ $ -- $ -- $14.17 7.58% $ 19,886 1.25%(3)
8/31/05 -- -- 15.22 19.04 12,827 1.25
8/31/04 -- -- 12.86 17.53 8,112 1.25
8/31/03 -- -- 11.01 6.22 5,116 1.25
8/31/02 -- -- 10.50 (12.87) 7,893 1.25
8/31/01 -- -- 13.73 9.45 3,746 1.22
- -----------------------------------------------------------------------------------------------------------------------------
BP MID CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $ -- $12.89 5.51% $ 54,709 1.00%(3)
8/31/05 -- -- 14.02 25.97 54,187 1.00
8/31/04 -- -- 13.16 14.39 42,240 1.00
8/31/03 -- -- 11.57 19.41 57,052 1.00
8/31/02 -- 9.69 (8.97) 50,073 1.00
8/31/01 -- 12.55 8.23 116,605 1.00
INVESTOR CLASS
9/1/05 through 2/28/06+ $ -- $ -- $12.66 5.35% $ 5,083 1.25%(3)
8/31/05 -- -- 13.80 25.47 4,462 1.25
8/31/04 -- -- 13.02 14.08 2,819 1.25
8/31/03 -- -- 11.43 19.31 3,159 1.25
8/31/02 -- -- 9.58 (9.26) 6,232 1.25
8/31/01 -- -- 12.43 7.96 1,787 1.22
- -----------------------------------------------------------------------------------------------------------------------------
BP ALL-CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $ -- $15.26 4.99% $ 8,818 1.25%(3)
8/31/05 -- -- 15.54 22.33 7,315 1.25
8/31/04 -- -- 13.29 23.50 5,177 1.25
8/31/03 -- -- 10.82 14.84 2,890 1.25
7/1/02* to 8/31/02 -- -- 9.45 (5.50) 1,810 1.25(3)
INVESTOR CLASS
9/1/05 through 2/28/06+ $ -- $ -- $15.22 4.90% $ 3,947 1.50%(3)
8/31/05 -- -- 15.49 22.06 2,840 1.50
8/31/04 -- -- 13.26 23.13 649 1.50
8/31/03 -- -- 10.80 14.63 106 1.50
7/1/02* to 8/31/02 -- -- 9.44 (5.60) 84 1.50(3)
RATIO OF RATIO OF RATIO OF RATIOS OF NET
EXPENSES TO EXPENSES TO EXPENSES TO INVESTMENT
AVERAGE NET AVERAGE NET AVERAGE NET INCOME TO
ASSETS WITH ASSETS WITHOUT ASSETS WITHOUT AVERAGE
WAIVERS AND WAIVERS AND WAIVERS AND NET ASSETS
REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS WITH WAIVERS PORTFOLIO
(EXCLUDING (EXCLUDING (INCLUDING AND TURNOVER
DIVIDEND EXPENSE) DIVIDEND EXPENSE) DIVIDEND EXPENSE) REIMBURSEMENTS RATE
- ----------------------------------------------------------------------------------------------------------------------
BP LARGE CAP VALUE FUND (CONTINUED)
- -----------------------------------
INVESTOR CLASS
9/1/05 through 2/28/06+ --% --% 1.58%(3) 0.52%(3) 35.79%
8/31/05 -- -- 1.61 0.53 76.91
8/31/04 -- -- 1.47 0.43 47.21
8/31/03 -- -- 1.66 0.66 81.13
8/31/02 -- 1.61 0.37 88.65
8/31/01 -- -- 1.53 0.67 105.71
- -----------------------------------------------------------------------------------------------------------------------
BP MID CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% --% 1.27%(3) 0.30%(3) 40.85%
8/31/05 -- -- 1.31 0.03 74.08
8/31/04 -- -- 1.26 0.07 67.40
8/31/03 -- -- 1.40 0.55 77.87
8/31/02 -- -- 1.33 0.01 99.23
8/31/01 -- -- 1.30 0.29 234.52
INVESTOR CLASS
9/1/05 through 2/28/06+ --% --% 1.52%(3) 0.04%(3) 40.85%
8/31/05 -- -- 1.56 (0.22) 74.08
8/31/04 -- -- 1.51 (0.18) 67.40
8/31/03 -- -- 1.65 0.21 77.87
8/31/02 -- -- 1.57 (0.18) 99.23
8/31/01 -- -- 1.40 0.07 234.52
- -----------------------------------------------------------------------------------------------------------------------
BP ALL-CAP VALUE FUND
- ---------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% --% 2.25%(3) 0.78%(3) 22.98%
8/31/05 -- -- 3.90 0.53 28.72
8/31/04 -- -- 5.82 0.51 27.40
8/31/03 -- -- 9.49 0.62 38.36
7/1/02* to 8/31/02 -- -- 14.54(3) 0.16(3) 6.61(3)
INVESTOR CLASS
9/1/05 through 2/28/06+ --% --% 2.51%(3) 0.53%(3) 22.98%
8/31/05 -- -- 4.04 0.20 28.72
8/31/04 -- -- 5.84 0.14 27.40
8/31/03 -- -- 9.88 0.41 38.36
7/1/02* to 8/31/02 -- -- 15.34(3) (0.01)(3) 6.61(3)
<FN>
- -------------------------
* Commencement of operations.
** Calculated based on average shares outstanding for the period.
+ Unaudited.
(1) Total return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of
each period reported and includes reinvestments of dividends and distributions, if any.
(2) Amount is less than $0.01 per share.
(3) Annualized.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
60 and 61 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
NET DIVIDENDS TO DISTRIBUTIONS TO DISTRIBUTIONS TO
ASSET NET REALIZED SHAREHOLDERS SHAREHOLDERS SHAREHOLDERS
VALUE, NET AND UNREALIZED FROM NET FROM NET FROM
BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED TAX RETURN
OF PERIOD INCOME/(LOSS) INVESTMENTS INCOME GAINS OF CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
WPG TUDOR FUND
- --------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $17.42 $ 0.02 $ 0.55 $ -- $(1.98) $ --
8/31/05(2) 17.55 (0.04) (0.09) -- -- --
12/31/04 16.34 -- 3.11 -- (1.90) --
12/31/03 11.24 -- 5.10 -- -- --
12/31/02 15.21 -- (3.97) -- -- --
12/31/01 18.41 -- (2.73) -- (0.47) --
- -----------------------------------------------------------------------------------------------------------------------------------
WPG LARGE CAP GROWTH FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $23.36 $(0.01) $ 1.50 $ -- $(2.50) $ --
8/31/05(2) 23.10 (0.07) 0.33 -- -- --
12/31/04 25.27 -- 0.93 -- (3.10) --
12/31/03 19.16 -- 6.11 -- -- --
12/31/02 26.46 -- (7.30) -- -- --
12/31/01 33.60 (0.01) (6.86) -- (0.27) --
- -----------------------------------------------------------------------------------------------------------------------------------
WPG CORE BOND FUND
- -------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $10.84 $ 0.21** $(0.23)** $(0.21) $ -- $ --
8/31/05(2) 10.81 0.25 0.03 (0.25) -- --
12/31/04 10.66 0.31 0.15 (0.31) -- --
12/31/03 10.44 0.30 0.22 (0.30) -- --
12/31/02 9.80 0.40 0.64 (0.40) -- --
12/31/01 9.40 0.49 0.40 (0.49) -- --
INVESTOR CLASS
1/17/06*
through 2/28/06+ $10.69 $ 0.04** $(0.08)** $(0.04) $ -- $ --
RETIREMENT CLASS
9/1/05*
through 2/28/06+ $10.86 $ 0.20** $(0.25)** $(0.20) $ -- $ --
RATIO OF RATIO OF
EXPENSES TO EXPENSES TO
AVERAGE NET AVERAGE NET
NET NET ASSETS WITH ASSETS WITH
ASSET ASSETS, WAIVERS AND WAIVERS AND
VALUE, TOTAL END OF REIMBURSEMENTS REIMBURSEMENTS
REDEMPTION END OF INVESTMENT PERIOD (INCLUDING (EXCLUDING
FEES PERIOD RETURN(1) (000) DIVIDEND EXPENSE) DIVIDEND EXPENSE)
- -----------------------------------------------------------------------------------------------------------------------------
WPG TUDOR FUND
- --------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $16.01 3.79% $ 51,032 1.49%(5) --%
8/31/05(2) -- 17.42 (0.74) 52,368 1.57(5) --
12/31/04 -- 17.55 19.35 57,787 1.55 --
12/31/03 -- 16.34 45.37 58,282 1.68 --
12/31/02 -- 11.24 (26.10) 47,705 1.54 --
12/31/01 -- 15.21 (14.78) 71,324 1.38 --
- -----------------------------------------------------------------------------------------------------------------------------
WPG LARGE CAP GROWTH FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $22.35 6.48% $ 20,280 1.40%(5) --%
8/31/05(2) -- 23.36 1.13 20,626 1.40(5) --
12/31/04 -- 23.10 3.82 26,222 1.40 --
12/31/03 -- 25.27 31.89 52,355 1.44 --
12/31/02 -- 19.16 (27.59) 43,412 1.25 --
12/31/01 -- 26.46 (20.45) 74,931 1.14 --
- -----------------------------------------------------------------------------------------------------------------------------
WPG CORE BOND FUND
- -------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ $ -- $10.61 (0.19)% $160,320 0.43%(5) --%
8/31/05(2) -- 10.84 2.65 161,761 0.43(5) --
12/31/04 -- 10.81 4.38 144,349 0.43 --
12/31/03 -- 10.66 5.04 145,818 0.45 --
12/31/02 -- 10.44 10.87 105,261 0.50 --
12/31/01 -- 9.80 9.64 123,797 0.50 --
INVESTOR CLASS
1/17/06*
through 2/28/06+ $ -- $10.61 (0.34)% $ 33 0.69%(5) --%
RETIREMENT CLASS
9/1/05*
through 2/28/06+ $ -- $10.61 (0.42)% $ 20 0.50%(5) --%
RATIO OF RATIO OF RATIOS OF NET
EXPENSES TO EXPENSES TO INVESTMENT
AVERAGE NET AVERAGE NET INCOME TO
ASSETS WITHOUT ASSETS WITHOUT AVERAGE
WAIVERS AND WAIVERS AND NET ASSETS
REIMBURSEMENTS REIMBURSEMENTS WITH WAIVERS PORTFOLIO
(EXCLUDING (INCLUDING AND TURNOVER
DIVIDEND EXPENSE) DIVIDEND EXPENSE) REIMBURSEMENTS RATE
- ------------------------------------------------------------------------------------------------
WPG TUDOR FUND
- --------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% 1.49%(5) 0.26%(5) 79.32%
8/31/05(2) -- 1.57(3,5) (0.35)(5) 135.85
12/31/04 -- 1.55 (0.55) 159.20
12/31/03 -- 1.68 0.83 228.30
12/31/02 -- 1.54 (0.81) 105.60
12/31/01 -- 1.38 0.11 128.10
- ------------------------------------------------------------------------------------------------
WPG LARGE CAP GROWTH FUND
- -------------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% 1.86%(5) (0.05)%(5) 45.41%
8/31/05(2) -- 2.08(3,5) (0.42)(5) 100.01
12/31/04 -- 1.50 (0.06) 138.70
12/31/03 -- 1.44 (0.52) 126.80
12/31/02 -- 1.25 (0.42) 107.90
12/31/01 -- 1.14 (0.11) 56.40
- ------------------------------------------------------------------------------------------------
WPG CORE BOND FUND
- -------------------
INSTITUTIONAL CLASS
9/1/05 through 2/28/06+ --% 0.77%(5) 3.94%(5) 311.02%(4)
8/31/05(2) -- 0.75(3,5) 3.52(5) 602.95(4)
12/31/04 -- 0.71 2.90 805.80
12/31/03 -- 0.75 2.81 561.80
12/31/02 -- 0.83 4.02 539.20
12/31/01 -- 0.81 5.04 431.50
INVESTOR CLASS
1/17/06*
through 2/28/06+ --% 1.06%(5) 3.73%(5) 311.02%(4)
RETIREMENT CLASS
9/1/05*
through 2/28/06+ --% 0.84%(5) 3.86%(5) 311.02%(4)
<FN>
- -------------------------
* Commencement of operations.
** Calculated based on average shares outstanding for the period.
+ Unaudited.
(1) Total return is calculated assuming a purchase of shares on the first day and a sale of shares
on the last day of each period reported and includes reinvestments of dividends and
distributions, if any.
(2) For the short-year period January 1, 2005 through August 31, 2005.
(3) Excludes the effects of fees paid indirectly. Had such offsets been included, the ratio would
not significantly differ.
(4) The portfolio turnover rates excluding mortgage dollar roll transactions were 128.10%, 295.21%
and 573.60% for the periods ended February 28, 2006, August 31, 2005 and the year ended
December 31, 2004, respectively.
(5) Annualized.
</FN>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
62 and 63 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988 and is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company. RBB is a "series fund", which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the 1940 Act, and for other purposes, and a
shareholder of one portfolio is not deemed to be a shareholder of any other
portfolio. Currently, RBB has seventeen active investment portfolios, including
Robeco Boston Partners Small Cap Value Fund II ("BP Small Cap Value Fund II"),
Robeco Boston Partners Long/Short Equity Fund ("BP Long/Short Equity Fund"),
Robeco Boston Partners Large Cap Value Fund ("BP Large Cap Value Fund"), Robeco
Boston Partners Mid Cap Value Fund ("BP Mid Cap Value Fund"), Robeco Boston
Partners All-Cap Value Fund ("BP All-Cap Value Fund"), Robeco WPG Tudor Fund
("WPG Tudor Fund"), Robeco WPG Large Cap Growth Fund ("WPG Large Cap Growth
Fund") and Robeco WPG Core Bond Fund ("WPG Core Bond Fund") (each a "Fund",
collectively the "Funds"). As of February 28, 2006, the Boston Partners Funds
each offer two classes of shares, Institutional Class and Investor Class. The
WPG Tudor and Large Cap Growth Funds are single class funds offering only the
Institutional Class of shares. The Core Bond Fund offers three classes of
shares, Institutional Class, Investor Class and Retirement Class.
RBB has authorized capital of thirty billion shares of common stock of
which 26.473 billion are currently classified into one hundred and three classes
of common stock. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
On December 16, 2004, the Board of Trustees of the WPG Tudor Fund, WPG
Large Cap Growth Fund and WPG Core Bond Fund, a series of Weiss, Peck and Greer
Funds Trust (each a "WPG Fund" and collectively, the "WPG Funds"), approved an
Agreement and Plan of Reorganization between each Fund and the Company, that
provided for the tax-free reorganization of the Funds into newly created
portfolios of the Company (the "New Funds"). The Agreement and Plan of
Reorganization was approved by the shareholders, and, effective after the close
of business on April 29, 2005. All of the assets and liabilities of the WPG
Funds have been transferred, in a tax-free exchange, to the New Funds and the
shareholders of the WPG Funds have become shareholders of the New Funds.
PORTFOLIO VALUATION -- The Funds' net asset value ("NAV") is calculated
once daily at the close of regular trading hours on the NYSE (generally 4:00
p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds
are valued using the closing price or the last sale price on a national
securities exchange or on the National Association of Securities Dealers
Automatic Quotation System ("NASDAQ") market system where they are primarily
traded. If there were no sales on that day or the securities are traded on other
over-the-counter markets, the mean of the last bid and ask price prior to the
market close is used. Short-term debt securities having a remaining maturity of
60 days or less are amortized to maturity based on their cost. Debt securities
having a remaining maturity of greater than 60 days are valued by a pricing
service which utilizes both dealer-supplied valuations and other techniques
which take into account appropriate factors such as institutional-size trading
in similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, trading characteristics and other market data. Investments in mutual
funds are valued at the funds closing NAV. With the approval of the Company's
Board of Directors, the Funds may use a pricing service, bank or broker/dealer
experienced in providing valuations to value the Funds' securities. If market
quotations are unavailable or deemed unreliable, securities will be valued by
the Company's Valuation Committee following procedures adopted by the Board of
Directors.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Funds record
security transactions based on trade date. The cost of investments sold is
determined by use of the specific identification method for both financial
reporting and income tax purposes in determining realized gains and losses on
investments. Interest income is accrued when earned. Dividend income is recorded
on the ex-dividend date. Distributions received on securities that represent a
return of capital or capital gain are recorded as a reduction of cost of
investments and/or as a realized gain. The Funds estimate the components of
distributions received that may be considered return of capital distributions or
capital gain distributions. The Funds' investment income, expenses (other than
class specific distribution fees) and unrealized and realized gains and
64 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
losses are allocated daily to each class of shares based upon the relative
proportion of net assets of each class at the beginning of the day. Expenses
incurred on behalf of a specific class, fund or fund family are charged directly
to the class, fund or fund family (in proportion to net assets). Expenses
incurred for all of the RBB families (such as director or professional fees) are
charged to all funds in proportion to their net assets of the RBB funds, or in
such other manner as the Board of Directors deems fair or equitable. Expenses
and fees, including investment advisory and administration fees are accrued
daily and taken into account for the purpose of determining the net asset value
of the Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income and distributions from net realized capital gains, if any, are
declared and paid at least annually to shareholders and recorded on ex-date for
all Funds with the exception of the WPG Core Bond Fund which declares daily and
pays monthly dividends from net investment income. Income dividends and capital
gain distributions are determined in accordance with U.S. federal income tax
regulations which may differ from generally accepted accounting principles.
These differences include the treatment of non-taxable dividends, expiring
capital loss carryforwards, foreign currency gain/loss, and losses deferred due
to wash sales and excise tax regulations. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications within the components of net assets.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the
Funds' intention to continue to qualify for and elect the tax treatment
applicable to regulated investment companies under Subchapter M of the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to its
shareholders which will be sufficient to relieve it from U.S. income and excise
taxes.
OTHER -- In the normal course of business, the Funds may enter into
contracts that provide general indemnifications. The Funds' maximum exposure
under these arrangements is dependent on claims that may be made against the
Funds in the future, and, therefore, cannot be estimated; however, based on
experience, the risk of material loss for such claims is considered remote.
FOREIGN CURRENCY TRANSLATION -- The books and records of the portfolios are
maintained in U.S. dollars as follows: (1) the foreign currency market value of
investment securities and other assets and liabilities stated in foreign
currencies are translated at the exchange rate prevailing at the end of the
period; and (2) purchases, sales, income and expenses are translated at the rate
of exchange prevailing on the respective dates of such transactions. The
resulting exchange gains and losses are included in the Statement of Operations.
FOREIGN SECURITIES -- There are certain risks resulting from investing in
foreign securities in addition to the usual risks inherent in domestic
investments. Such risks include future political, economic and currency exchange
developments including investment restrictions and changes in foreign laws.
FORWARD CURRENCY CONTRACTS -- The Funds may enter into forward currency
contracts. Such contracts may be utilized in connection with planned purchases
or sales of securities or to hedge the U.S. dollar value of portfolios
denominated in foreign currencies. Fluctuations in the value of the forward
contracts are recorded as unrealized gains or losses by the Funds. Risks may
arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of the foreign currency relative to the U.S. dollar. Upon
entering into such a contract, the Fund is required to segregate assets with its
custodian at least equal to the value of the Fund's assets committed to
fulfilling the forward currency contract. At February 28, 2006, the Funds did
not hold any forward currency contracts.
FUTURES -- The WPG Tudor Fund and the WPG Core Bond Fund may enter into
futures contracts. A futures contract is an agreement between two parties to buy
and sell a security at a set price on a future date. Upon entering into such a
contract, a Fund is required to pledge to the broker an amount of cash and/or
securities equal to the minimum "initial margin" requirements of the exchange on
which such contract is traded. Pursuant to the contract, the Fund agrees to
receive from, or pay to the broker, an amount of cash equal to the daily
fluctuation in value of the contract. Such a receipt of payment is known as a
"variation margin" and is recorded by each Fund as an unrealized gain or loss.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed. The Fund is also required to fully
collateralize futures contracts purchased. The Fund only enters into futures
contracts which are traded on exchanges. At February 28, 2006, the Funds did not
hold any futures.
SEMI-ANNUAL REPORT 2006 | 65
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
LINE OF CREDIT -- Each Robeco Boston Partners Fund may borrow an amount up
to its prospectus-defined limitations, from a committed line of credit of
$5,000,000 available to the Funds in the Robeco Boston Partners Fund Family.
Borrowings from the line of credit will bear interest at the Federal Funds Rate.
The Funds had no outstanding borrowings at February 28, 2006 or at any time
during the six-months ended February 28, 2006.
MORTGAGE DOLLAR ROLLS (WPG CORE BOND FUND) -- The WPG Core Bond Fund may
enter into mortgage dollar rolls in which WPG Core Bond Fund sells mortgage
securities for delivery in the current month and simultaneously contracts to
repurchase similar, but not identical, securities at an agreed upon price on a
fixed date. The WPG Core Bond Fund accounts for such dollar rolls as purchases
and sales and records an unrealized gain or loss each day equal to the
difference between the original value of the purchase and the current market
value. The WPG Core Bond Fund must maintain liquid securities having a value not
less than the repurchase price (including accrued interest) for such dollar
rolls. Losses may arise due to changes in value of the securities or if the
counterparty does not perform under the terms of the agreement. If the
counterparty files for bankruptcy or becomes insolvent, the WPG Core Bond Fund's
right to repurchase or sell securities may be limited.
OPTIONS -- The BP All-Cap Value Fund, WPG Tudor Fund, WPG Large Cap Growth
Fund and WPG Core Bond Fund may buy put and call options and write covered call
and secured put options. Such options may relate to particular securities or
domestic stock indices, and may or may not be listed on a domestic securities
exchange or issued by the Options Clearing Corporation. The risk in writing a
call option is that the Fund gives up the opportunity for profit if the market
price of the security increases. The risk in writing a put option is that the
Fund may incur a loss if the market price of the security decreases and the
option is exercised. The risk in purchasing an option is that the Fund pays a
premium whether or not the option is exercised. The Fund also has the additional
risk of being unable to enter into a closing transaction at an acceptable price
if a liquid secondary market does not exist. The Fund also may write
over-the-counter options where completing the obligation depends upon the credit
standing of the other party. Option contracts also involve the risk that they
may result in loss due to unanticipated developments in market conditions or
other causes.
Options purchased are recorded as an asset and written options are recorded
as liabilities to the extent of premiums paid or received. Gains or losses are
realized when the option transaction expires or closes. When an option is
exercised, the proceeds on sales for a written call option, the purchase cost
for a written put option or the cost of a security for a purchased put or call
option is adjusted by the amount of the premium received or paid.
The BP All-Cap Value Fund had transactions in options written during the
six-months ended February 28, 2006 as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------- --------
Options outstanding at August 31, 2005 89 $ 31,116
Options written 124 49,832
Options exercised (95) (29,656)
--- --------
Options outstanding at February 28, 2006 118 $ 51,292
--- --------
SHORT SALES -- In the BP Long/Short Equity Fund and the BP All-Cap Value
Fund, when the Investment Adviser believes that a security is overvalued, it may
sell the security short by borrowing the same security from a broker or other
institution and selling the security. A Fund will incur a loss as a result of a
short sale if the price of the borrowed security increases between the date of
the short sale and the date on which the Fund buys and replaces such borrowed
security. A Fund will realize a gain if there is a decline in price of the
security between those dates where decline exceeds costs of the borrowing of the
security and other transaction costs. There can be no assurance that a Fund will
be able to close out a short position at any particular time or at an acceptable
price. Although a Fund's gain is limited to the amount at which it sold a
security short, its potential loss is unlimited in size. Until a Fund replaces a
borrowed security, it will maintain at all times cash, U.S. Government
securities, or other liquid securities in an amount which, when added to any
amount deposited with a broker as collateral, will at least equal the current
market value of the security sold short. Depending on arrangements made with
brokers, a Fund may not receive any payments (including interest) on collateral
deposited with them.
66 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Boston Partners Asset Management, LLC ("Boston Partners"), a wholly owned
subsidiary of Robeco Investment Management, USA, serves as the BP Funds'
Investment Adviser. For its advisory services, Boston Partners is entitled to
receive 1.25% of the BP Small Cap Value Fund II's average daily net assets,
2.25% of the BP Long/Short Equity Fund's average daily net assets, 0.75% of the
BP Large Cap Value Fund's average daily net assets, 0.80% of the BP Mid Cap
Value Fund's average daily net assets and 1.00% of the BP All-Cap Value Fund's
average daily net assets, each accrued daily and payable monthly. Effective
March 1, 2006, the Advisory Fees were reduced for the BP Large Cap Value Fund
and the BP All-Cap Value Fund to 0.60% and 0.80%, respectively.
Boston Partners contractually agreed to limit a Fund's total operating
expenses to the extent that such expenses exceed the ratios in the table below.
This limit is calculated daily based on the average daily net assets. This
limitation is effected in waivers of advisory fees and reimbursements of
expenses exceeding the advisory fee as necessary. The BP Funds will not pay the
adviser at a later time for any amounts waived or any amounts assumed.
INSTITUTIONAL INVESTOR
------------- --------
BP Small Cap Value Fund II 1.55% 1.80%
BP Long/Short Equity Fund 2.50%* 2.75%*
BP Large Cap Value Fund 1.00%** 1.25%**
BP Mid Cap Value Fund 1.00% 1.25%
BP All-Cap Value Fund 1.25%** 1.50%**
* Excluding short sale dividend expense.
** Effective March 1, 2006 the limit on the Fund's total operating expense
changed as follows:
INSTITUTIONAL INVESTOR
------------- --------
BP Large Cap Value 0.75% 1.00%
BP All-Cap Value 0.95% 1.20%
Weiss, Peck & Greer ("WPG"), a wholly owned subsidiary of Robeco Investment
Management, USA, serves as the WPG Funds' Investment Adviser. The annual
advisory fees of each WPG Fund are accrued daily and paid monthly as follows:
WPG Tudor .90% of net assets up to $300 million
.80% of net assets $300 million to $500 million
.75% of net assets in excess of $500 million
WPG Large Cap Growth .75% of net assets
WPG Core Bond .45% of net assets
WPG has agreed to cap operating expenses. The WPG Tudor Fund's expenses are
capped at 1.70%, WPG Large Cap Growth Fund's expenses are capped at 1.40%, and
WPG Core Bond Fund's expenses are capped at 0.43%. Pursuant to an agreement,
beginning in 2004, WPG may seek reimbursement from the WPG Tudor Fund and WPG
Large Cap Growth Fund for expenses waived by WPG during the prior two years to
the extent that such recovery would not cause the affected fund to exceed the
expense limitations in effect at the time of recovery. At February 28, 2006, the
amounts potentially recoverable by WPG from the WPG Large Cap Growth Fund
pursuant to this agreement are $42,989 expiring December 31, 2006 and $54,529
expiring April 29, 2007.
For the six-months ended February 28, 2006, investment advisory fees,
waivers and reimbursements of expenses were as follows:
GROSS NET EXPENSE
ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT
------------- ---------- ------------- -------------
BP Small Cap Value Fund II $2,527,286 $ (1,161) $2,526,125 $ --
BP Long/Short Equity Fund 1,370,934 (79,857) 1,291,077 --
BP Large Cap Value Fund 170,249 (75,124) 95,125 --
BP Mid Cap Value Fund 225,347 (74,784) 150,563 --
BP All-Cap Value Fund 56,755 (56,755) -- 53,270
WPG Tudor Fund 225,318 -- 225,318 --
WPG Large Cap Growth Fund 76,589 (47,045) 29,544 --
WPG Core Bond Fund 357,521 (267,707) 89,814 --
SEMI-ANNUAL REPORT 2006 | 67
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide Inc., an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc.,
serves as administrator for the Funds. For providing administration and
accounting services, PFPC is entitled to receive a monthly fee equal to an
annual rate of 0.1125% of the Funds' first $200 million of average net assets;
and 0.095% of average net assets in excess of $200 million with a minimum
monthly fee of $5,833.
For the six-months ended February 28, 2006, PFPC administration and
accounting services fees were as follows:
ADMINISTRATRATION
AND ACCOUNTING
SERVICE FEES
-----------------
BP Small Cap Value Fund II $244,491
BP Long/Short Equity Fund 87,345
BP Large Cap Value Fund 41,015
BP Mid Cap Value Fund 42,421
BP All-Cap Value Fund 39,999
WPG Tudor Fund 42,075
WPG Large Cap Growth Fund 38,878
WPG Core Bond Fund 123,368
Included in the administration and accounting service fees, shown above,
are fees for providing regulatory administration services to RBB. For providing
these services, PFPC is entitled to receive compensation as agreed to by the
Company and PFPC. This fee is allocated to each Fund in proportion to its net
assets of the RBB funds.
In addition, PFPC serves as the Fund's transfer and dividend disbursing
agent. For providing transfer agent services PFPC is entitled to receive a
monthly fee subject to a minimum monthly fee of $3,000 per class plus per
account charges and out of pocket expenses.
For providing custodial services to the BP Funds, PFPC Trust Co. is
entitled to receive a monthly fee equal to an annual rate of 0.010% of the
Funds' average daily gross assets or a minimum monthly fee of $1,000.
PFPC Distributors, Inc., provides certain administrative services to the
Funds. As compensation for such administrative services, PFPC Distributors, Inc.
is entitled to receive an annual fee of $62,500 from the BP Funds which is
allocated to the BP Funds in proportion to their net assets. PFPC Distributors,
Inc. is entited to receive an annual fee of $5,000 per Fund from the WPG Funds.
At February 28, 2006, PFPC and its affiliates were due fees for their
services of $72,955, $32,492, $15,807, $16,757, $15,205, $25,564, $19,170 and
$24,657 from the BP Small Cap Value Fund II, BP Long/Short Equity Fund, BP Large
Cap Value Fund, BP Mid Cap Value Fund, BP All-Cap Value Fund, WPG Tudor Fund,
WPG Large Cap Growth Fund and WPG Core Bond Fund, respectively.
3. CUSTODIAN FEES (WPG TUDOR FUND, WPG LARGE CAP GROWTH FUND AND WPG CORE BOND
FUND)
Boston Safe Deposit and Trust provides custodial services to the WPG Funds.
Each WPG Fund has entered into an expense offset agreement with Boston Safe
Deposit and Trust Company, wherein it receives a credit toward the reduction of
custodian fees whenever there are uninvested cash balances. For the period ended
February 28, 2006, the Funds' custodian fees and related offset were as follows:
CUSTODIAN FEE OFFSET FEES
------------- -----------
WPG Tudor Fund $ 9,912 $ --
WPG Large Cap Growth Fund 4,103 (275)
WPG Core Bond Fund 12,026 --
The Funds could have invested their cash balances elsewhere if they had not
agreed to a reduction in fees under the expense offset agreement with their
custodian.
68 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
4. INVESTMENT IN SECURITIES
For the six-months ended February 28, 2006, aggregate purchases and sales
of investment securities (excluding short-term investments and U.S. government
obligations) were as follows:
INVESTMENT SECURITIES
-------------------------------
PURCHASES SALES
-------------- ------------
BP Small Cap Value Fund II $ 74,158,809 $102,597,871
BP Long/Short Equity Fund 59,460,091 83,297,866
BP Large Cap Value Fund 24,379,008 15,910,086
BP Mid Cap Value Fund 22,297,047 24,630,850
BP All-Cap Value Fund 5,268,785 2,495,817
WPG Tudor Fund 39,132,849 42,672,144
WPG Large Cap Growth Fund 9,319,013 11,318,277
WPG Core Bond Fund 77,197,460 52,318,963
Purchases and sales of long-term U.S. government obligations were:
PURCHASES SALES
-------------- ------------
WPG Core Bond Fund $468,951,406 $487,156,647
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2006, each class of each Fund has 100,000,000 shares of
$0.001 par value common stock authorized.
Transactions in capital shares for the respective periods were as follows:
BP SMALL CAP VALUE FUND II
---------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
------------------------- ---------------------------
SHARES VALUE SHARES VALUE
---------- ------------ ---------- -------------
INSTITUTIONAL CLASS
Sales.................................................. 365,890 $ 8,722,445 777,812 $ 18,327,856
Repurchases............................................ (1,019,873) (24,415,560) (1,687,171) (40,024,300)
Redemption Fees*....................................... -- 5,100 -- 43,603
Reinvestments.......................................... 699,447 15,555,696 656,191 15,282,691
---------- ------------ ---------- -------------
Net Increase / (Decrease)................................. 45,464 $ (132,319) (253,168) $ (6,370,150)
========== ============ ========== =============
INVESTOR CLASS
Sales.................................................. 1,101,964 $ 26,292,743 1,070,961 $ 24,915,496
Repurchases............................................ (1,790,844) (41,632,918) (6,064,815) (139,675,678)
Redemption Fees*....................................... -- 10,584 -- 98,569
Reinvestments.......................................... 1,696,877 37,110,689 1,731,042 39,744,721
---------- ------------ ---------- -------------
Net Increase / (Decrease)................................. 1,007,997 $ 21,781,098 (3,262,812) $ (74,916,892)
========== ============ ========== =============
SEMI-ANNUAL REPORT 2006 | 69
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
BP LONG/SHORT EQUITY FUND
-------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------- ---------------------------
SHARES VALUE SHARES VALUE
-------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales.................................................. 83,439 $ 1,440,591 2,751,092 $ 44,635,106
Repurchases............................................ (436,719) (7,282,702) (1,139,281) (18,057,317)
Redemption Fees*....................................... -- 22,446 -- 27,144
Reinvestments.......................................... 484,194 8,105,408 -- --
-------- ----------- ---------- ------------
Net Increase.............................................. 130,914 $ 2,285,743 1,611,811 $ 26,604,933
======== =========== ========== ============
INVESTOR CLASS
Sales.................................................. 8,899 $ 154,591 556,860 $ 9,076,329
Repurchases............................................ (196,092) (3,354,725) (143,392) (2,274,376)
Redemption Fees*....................................... -- 5,188 -- 6,652
Reinvestments.......................................... 112,881 1,871,568 -- --
-------- ----------- ---------- ------------
Net Increase / (Decrease)................................. (74,312) $(1,323,378) 413,468 $ 6,808,605
======== =========== ========== ============
BP LARGE CAP VALUE FUND
-------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------- ---------------------------
SHARES VALUE SHARES VALUE
-------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales.................................................. 416,821 $ 6,025,966 330,361 $ 4,604,925
Repurchases............................................ (171,811) (2,565,542) (1,861,228) (25,796,464)
Reinvestments.......................................... 307,357 4,164,692 21,384 297,875
-------- ----------- ---------- ------------
Net Increase / (Decrease)................................. 552,367 $ 7,625,116 (1,509,483) $(20,893,664)
======== =========== ========== ============
INVESTOR CLASS
Sales.................................................. 590,441 $ 8,554,794 402,140 $ 5,703,289
Repurchases............................................ (198,468) (2,819,075) (194,274) (2,796,981)
Reinvestments.......................................... 168,790 2,329,297 4,032 57,102
-------- ----------- ---------- ------------
Net Increase.............................................. 560,763 $ 8,065,016 211,898 $ 2,963,410
======== =========== ========== ============
BP MID CAP VALUE FUND
-------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------- ---------------------------
SHARES VALUE SHARES VALUE
-------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales.................................................. 229,789 $ 3,009,032 295,033 $ 3,923,035
Repurchases............................................ (365,497) (5,060,244) (215,949) (2,832,424)
Reinvestments.......................................... 516,918 6,544,181 575,796 7,462,319
-------- ----------- ---------- ------------
Net Increase 381,210 $ 4,492,969 654,880 $ 8,552,930
======== =========== ========== ============
INVESTOR CLASS
Sales.................................................. 82,530 $ 1,099,257 140,507 $ 1,897,369
Repurchases............................................ (57,269) (738,453) (73,889) (968,387)
Reinvestments.......................................... 52,930 658,979 40,086 512,302
-------- ----------- ---------- ------------
Net Increase.............................................. 78,191 $ 1,019,783 106,704 $ 1,441,284
======== =========== ========== ============
70 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
BP ALL-CAP VALUE FUND
-------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------- ---------------------------
SHARES VALUE SHARES VALUE
-------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales.................................................. 239,728 $ 3,617,937 135,351 $ 1,923,347
Repurchases............................................ (164,740) (2,481,883) (70,683) (1,056,193)
Reinvestments.......................................... 31,914 476,166 16,501 234,976
-------- ----------- ---------- ------------
Net Increase 106,902 $ 1,612,220 81,169 $ 1,102,130
======== =========== ========== ============
INVESTOR CLASS
Sales.................................................. 77,220 $ 1,192,401 157,282 $ 2,279,313
Repurchases............................................ (15,170) (231,821) (26,670) (388,899)
Reinvestments.......................................... 13,979 208,144 3,715 52,873
-------- ----------- ---------- ------------
Net Increase 76,029 $ 1,168,724 134,327 $ 1,943,287
======== =========== ========== ============
WPG TUDOR FUND
---------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE FOR THE
FEBRUARY 28, 2006 PERIOD JANUARY 1, 2005 TO YEAR ENDED
(UNAUDITED) AUGUST 31, 2005 DECEMBER 31, 2004
------------------------ ----------------------- -------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
-------- ----------- -------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales..................... 69,387 $ 1,099,953 37,823 $ 644,418 132,091 $ 2,287,219
Repurchases............... (228,412) (3,817,163) (323,869) (5,495,452) (711,927) (12,368,622)
Reinvestments............. 338,981 5,199,968 -- -- 304,962 5,208,756
-------- ----------- -------- ----------- ---------- ------------
Net Increase / (Decrease) 179,956 $ 2,482,758 (286,046) $(4,851,034) (274,874) $ (4,872,647)
======== =========== ======== =========== ========== ============
WPG LARGE CAP GROWTH FUND
---------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE FOR THE
FEBRUARY 28, 2006 PERIOD JANUARY 1, 2005 TO YEAR ENDED
(UNAUDITED) AUGUST 31, 2005 DECEMBER 31, 2004
------------------------ ----------------------- -------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
-------- ----------- -------- ----------- ---------- ------------
INSTITUTIONAL CLASS
Sales..................... 18,309 $ 410,153 7,869 $ 177,920 134,452 $ 3,337,476
Repurchases............... (72,512) (1,662,885) (260,180) (5,808,907) (1,192,359) (29,117,158)
Reinvestments............. 78,538 1,736,482 -- -- 121,536 2,775,886
-------- ----------- -------- ----------- ---------- ------------
Net Increase / (Decrease).... 24,335 $ 483,750 (252,311) $ (5,630,987) (936,371) $(23,003,796)
======== =========== ======== =========== ========== ============
SEMI-ANNUAL REPORT 2006 | 71
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
WPG CORE BOND FUND
---------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE FOR THE
FEBRUARY 28, 2006 PERIOD JANUARY 1, 2005 TO YEAR ENDED
(UNAUDITED) AUGUST 31, 2005 DECEMBER 31, 2004
------------------------ ------------------------- -------------------------
SHARES VALUE SHARES VALUE SHARES VALUE
-------- ----------- ---------- ------------ ---------- ------------
INSTITUTIONAL CLASS
Sales..................... 711,672 $ 7,588,651 2,600,838 $ 27,885,333 4,653,509 $ 49,322,297
Repurchases............... (794,908) (8,893,761) (1,351,096) (14,543,674) (5,354,201) (57,635,145)
Redemption Fees*.......... -- 3,747 -- 1,420 -- --
Reinvestments............. 275,181 3,387,784 311,924 3,368,054 376,259 4,030,853
-------- ----------- ---------- ------------ ---------- ------------
Net Increase / (Decrease) ... 191,945 $ 2,086,421 1,561,666 $ 16,711,133 (324,433) $ (4,281,995)
======== =========== ========== ============ ========== ============
INVESTOR CLASS
Sales..................... 3,113 $ 33,156
Repurchases............... -- --
Reinvestments............. 9 89
-------- -----------
Net Increase ................ 3,122 $ 33,245
======== ===========
RETIREMENT CLASS
Sales..................... 1,842 $ 20,000
Repurchases............... -- --
Reinvestments............. 35 375
-------- -----------
Net Increase ................ 1,877 $ 20,375
======== ===========
<FN>
- ----------
* There is a 1.00% redemption fee on shares redeemed which have been held 365
days or less on the BP Small Cap Value Fund II. There is a 2.00% redemption
fee on shares redeemed which have been held 365 days or less on the BP
Long/Short Equity Fund. The redemption fees are retained by the Funds for
the benefit of the remaining shareholders and recorded as paid-in capital.
The WPG Core Bond Fund has a 2.00% redemption fee on shares redeemed within
60 days of purchase.
</FN>
As of February 28, 2006, the following shareholders held 10% or more of the
outstanding shares of the Funds. These shareholders may be omnibus accounts
which are comprised of many individual shareholders.
BP Small Cap Value Fund II (4 shareholders) 54%
BP Long/Short Equity Fund (4 shareholders) 68%
BP Large Cap Value Fund (3 shareholder) 63%
BP Mid Cap Value Fund (4 shareholders) 90%
BP All-Cap Value Fund (5 shareholders) 71%
WPG Tudor Fund --
WPG Large Cap Growth Fund (1 shareholder) 11%
WPG Core Bond Fund (5 shareholders) 60%
6. SECURITIES LENDING (WPG TUDOR FUND AND WPG CORE BOND FUND)
At February 28, 2006, the WPG Tudor Fund loaned securities valued at
$1,026,816 (including accrued interest). For collateral the WPG Tudor Fund
received a letter of credit from Banco Santander Bank in an amount equal to
$1,300,000. At February 28, 2006, the WPG Core Bond Fund loaned securities with
maturity dates ranging from 05/15/08 to 02/15/36 and interest rates ranging from
2.625% to 4.50% valued at $17,377,734 (including accrued interest). For
collateral, the WPG Core Bond Fund received U.S. Treasury securities which were
valued at $17,207,933. For the period ended February 28, 2006, the WPG Tudor
Fund earned $3,777 and the WPG Core Bond Fund earned $15,568 in securities
lending fees, net of custodian expenses. Securities may be loaned to financial
institutions, such as broker-dealers, and are required to be secured
continuously by collateral in cash, cash equivalents or U.S. government
securities maintained on a current basis at an amount at least equal to the
market value of the securities loaned.
72 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
7. FEDERAL INCOME TAX INFORMATION
At February 28, 2006, Federal tax cost and aggregate gross unrealized
appreciation and depreciation of securities held by each Fund were as follows:
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/
FUND COST APPRECIATION DEPRECIATION DEPRECIATION
- ------ ------------ ------------ ------------ ------------
BP Small Cap Value Fund II $322,692,077 $106,199,151 $(18,853,018) $87,346,133
BP Long/Short Equity Fund 60,851,406 17,169,148 (16,099,165) 1,069,983
BP Large Cap Value Fund 47,517,770 5,678,309 (389,727) 5,288,582
BP Mid Cap Value Fund 50,246,710 9,890,132 (1,630,109) 8,260,023
BP All-Cap Value Fund 10,942,171 2,146,642 (307,164) 1,839,478
WPG Tudor Fund 45,629,568 5,768,008 (2,565,062) 3,202,946
WPG Large Cap Growth Fund 17,078,220 3,641,907 (502,056) 3,139,851
WPG Core Bond Fund 211,689,055 185,900 (1,138,030) (952,130)
As of August 31, 2005, the components of distributable earnings on a tax
basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM
FUND INCOME GAINS
- ------ ------------ -------------
BP Small Cap Value Fund II $4,842,920 $40,435,353
BP Long/Short Equity Fund 2,863,078 2,766,051
BP Large Cap Value Fund 325,835 4,674,553
BP Mid Cap Value Fund 805,830 4,692,604
BP All-Cap Value Fund 144,859 514,940
WPG Tudor Fund 3,007,949 2,693,232
WPG Large Cap Growth Fund -- 2,031,188
WPG Core Bond Fund (8,966) --
At August 31, 2005, the WPG Core Bond Fund had capital loss carryforwards
of $2,731,098 available to offset future capital gains which expire in 2007.
During the year ended August 31, 2005, the BP Large Cap Value Fund utilized
$3,129,974 of prior capital loss carryforwards, the BP Long/Short Equity Fund
utilized $7,780,009 of prior capital loss carryforwards, and the WPG Core Bond
Fund utilized $360,085 of prior capital loss carryforwards.
Under Federal tax law, foreign currency and capital losses realized after
October 31 may be deferred and treated as having arisen on the first day of the
following fiscal year. For the year ended August 31, 2005, there were no
post-October capital losses or post-October currency losses incurred by the
Funds. The differences between the book and tax basis components of
distributable earnings relate principally to the timing of recognition of income
and gains for federal income tax purposes. Short-term and foreign currency gains
are reported as ordinary income for federal tax purposes.
8. IN-KIND REDEMPTION
During the year ended August 31, 2005, the BP Large Cap Value Fund
distributed securities in lieu of cash for an Institutional Shareholder
redemption. The shareholder received a pro-rata portion of the BP Large Cap
Value Fund's holdings. The value of the redemption was $7,471,816, (of which
$1,185,294 was a realized gain for financial reporting purposes). Institutional
shares of 581,012 were redeemed from the BP Large Cap Value Fund as a part of
this transaction. This transaction was completed following guidelines approved
by the Board of Directors.
SEMI-ANNUAL REPORT 2006 | 73
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OTHER INFORMATION (Unaudited)
- --------------------------------------------------------------------------------
PROXY VOTING
Policies and procedures that the Funds use to determine how to vote proxies
relating to portfolio securities as well as information regarding how the Funds
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30 are available without charge, upon request, by calling
(888) 261-4073 and on the Securities and Exchange Commission's ("SEC") website
at http://www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE
The Company files a complete schedule of portfolio holdings with the SEC
for the first and third fiscal quarters of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on
the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
AMENDED AND RESTATED INVESTMENT ADVISORY AGREEMENTS: ROBECO BOSTON PARTNERS
FUNDS
As required by the 1940 Act, the Board of Directors (the "Board") of the
Company, including all of the Directors who are not "interested persons" of the
Company, as that term is defined in the 1940 Act (the "Independent Directors"),
considered the approval of amended and restated investment advisory agreements
between Boston Partners Asset Management, L.L.C. ("Boston Partners") and the
Company (each an "Amended Agreement" and collectively, the "Amended
Agreements"), on behalf of the Robeco Boston Partners Large Cap Value Fund and
the Robeco Boston Partners All-Cap Value Fund (each a "Fund" and collectively
the "Funds"), at a meeting of the Board held on February 15, 2006 (the "2006
Meeting"). The Directors noted that the annual review and renewal of the Funds'
investment advisory agreements ("Prior Agreements") had been considered at the
meeting of the Board held on May 25, 2005 (the "2005 Meeting"), and that the
Amended Agreements were being considered as a result of reductions by Boston
Partners in the contractual advisory fee rates payable by the Funds. The
Directors also noted that the annual review and renewal of the Amended
Agreements would be considered at the meeting of the Board of Directors to be
held on May 25, 2006.
At the 2006 Meeting, the Board approved the Amended Agreements for a term
ending on August 16, 2006 and renewed annually thereafter. The Board's decision
to approve the Amended Agreements reflects the exercise of its business judgment
to continue the existing arrangement with Boston Partners with respect to the
Funds at reduced contractual advisory fee rates. In approving the Amended
Agreements, the Board considered information provided by Boston Partners at both
the 2005 Meeting and the 2006 Meeting with the assistance and advice of counsel
to the Independent Directors and the Company. In considering the approval of the
Amended Agreements, the Directors took into account all materials provided prior
to and during the 2005 Meeting and the 2006 Meeting, the presentations made
during the 2005 Meeting and the 2006 Meeting, and the discussions with the
Adviser during the 2005 Meeting and the 2006 Meeting. The Directors noted the
factors that they had considered in connection with their review and approval of
the Prior Agreements at the 2005 Meeting as well as information on the reduced
contractual advisory fee rates for the Funds and related changes in the
Adviser's advisory fee waiver and expense reimbursement arrangements for the
Funds discussed at the 2006 Meeting. No one factor was determinative in the
Board's consideration of the Amended Agreements. The Directors then met in
executive session with counsel to discuss and consider information presented in
connection with the approval of the Amended Agreements as well as the Directors'
responsibilities and duties in approving the Amended Agreements.
The Directors evaluated the reduction in the contractual advisory fee rate
for the Robeco Boston Partners All-Cap Value Fund, noting that the contractual
advisory fee rate would be reduced to 0.80% from 1.00% of average net assets.
The Directors also considered that for the one-year period ended December 31,
2005, the Fund had outperformed its benchmark. The Directors then noted that
Boston Partners also had agreed to modify its fee waiver and expense
reimbursement arrangements for the Fund to limit the total annual operating
expenses for the Fund's Investor Class and Institutional Class to 1.20% and
0.95%, respectively, of average net assets through December 31, 2006.
Previously, Boston Partners had waived its advisory fee and reimbursed expenses
to limit the total annual operating expenses of the Fund's Investor Class and
Institutional Class to 1.50% and 1.25%, respectively, of average net assets. The
Directors considered and assessed the reasons for the reduction in the
contractual advisory fee rate and the overall impact of the reduction on the
performance of the Fund relative to its benchmark.
74 | SEMI-ANNUAL REPORT 2006
ROBECO INVESTMENT FUNDS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OTHER INFORMATION (Unaudited) (continued)
- --------------------------------------------------------------------------------
The Directors then evaluated the reduction in the contractual advisory fee
rate of the Robeco Boston Partners Large Cap Value Fund, noting that the
contractual advisory fee rate would be reduced to 0.60% from 0.75% of average
net assets. The Directors also considered that for the one-year period ended
December 31, 2005, the Fund had outperformed its benchmark. The Directors then
noted that Boston Partners had agreed to modify its advisory fee waiver and
expense reimbursement arrangements for the Fund to limit the total annual
operating expenses of the Fund's Investor Class and Institutional Class to 1.00%
and 0.75%, respectively, of average net assets through December 31, 2006.
Previously, Boston Partners had waived its advisory fee and reimbursed expenses
to limit the total annual operating expenses of the Fund's Investor Class and
Institutional Class to 1.25% and 1.00%, respectively, of average net assets. The
Directors considered and assessed the reasons for the reduction in the
contractual advisory fee rate and the overall impact of the reduction on the
performance of the Fund relative to its benchmark.
The Directors then determined, considering the information presented at
both the 2005 Meeting and the 2006 Meeting, that the nature, extent and quality
of the services provided by Boston Partners in advising the Funds was
satisfactory; the profits earned by Boston Partners seemed reasonable; and the
benefits derived by Boston Partners from managing the Funds, including its use
of soft dollars and the way it selects brokers, seemed reasonable. The Directors
discussed and considered any economies-of-scale realized by each Fund as a
result of asset growth. Based on all of the information presented to the Board
and its consideration of relevant factors, the Board concluded that the fee paid
to the Adviser by each Fund was reasonable, and in the exercise of its business
judgment that the Amended Agreements be approved.
SEMI-ANNUAL REPORT 2006 | 75
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
INVESTMENT ADVISERS
-------------------
Boston Partners Asset Management, LLC
28 State Street
Boston, MA 02109
Weiss, Peck and Greer Investments
909 Third Avenue
New York, NY 10022
ADMINISTRATOR
-------------
PFPC Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
--------------
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02860
DISTRIBUTOR
-----------
PFPC Distributors, Inc.
760 Moore Rd.
King of Prussia, PA 19406
CUSTODIANS
----------
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
Boston Safe Deposit and
Trust Company
One Exchange Place
Boston, MA 02109
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
-----------------------------
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
COUNSEL
-------
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103-6996
[GRAPHIC OMITTED] ROBECO
---------
THE
SCHNEIDER
FUNDS
---------
OF THE RBB FUND, INC.
SCHNEIDER SMALL CAP VALUE FUND
SCHNEIDER VALUE FUND
-----------------
SEMI-ANNUAL
REPORT
February 28, 2006
(Unaudited)
-----------------
[GRAPHIC OMITTED]
- --------------------------------------------------------------------------------
SCHNEIDER CAPITAL MANAGEMENT
This report is submitted for the general information of the shareholders of
the Funds. It is not authorized for distribution unless preceded or
accompanied by a current prospectus for the Funds.
THE SCHNEIDER FUNDS
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT
FEBRUARY 28, 2006
Dear Fellow Shareholder:
We are pleased to provide you with the semi-annual report for The Schneider
Funds for the six months ended February 28, 2006.
INVESTMENT CLIMATE
"It takes a licking and keeps on ticking".....despite a backdrop of rising
short-term interest rates, energy costs and inflation concerns, healthy economic
and corporate earnings growth led U.S. equities to moderate gains during the
period. The Russell 3000(R) Index, which measures the performance of the broad
U.S. equity market, posted a 6.6% return for the six months ended February 28,
2006. Small capitalization stocks continued their six-year streak of
outperformance versus large caps.
The past four years have marked a notable period of sustained, above-trend
growth in the U.S. economy and corporate profits. However, it appears that the
domestic economy is currently in transition to a slower-growth environment led
by softness in consumer spending.
We believe that positive momentum in the global economy will be sufficient to
offset the dampening effect of the Fed's interest rate increases. GDP growth
outside the U.S. should be well above 3% in 2006, keeping the world economy on
track for its fourth consecutive year of above-trend growth. As a result, we are
favorably inclined toward businesses that can generate top-line growth from
non-U.S. demand.
Strong corporate balance sheets should provide an impetus for further dividend
increases, share buybacks and acquisitions in 2006, but we think that there will
also be a continued pickup in capital expenditures. For this reason, the Funds
continue to have exposure to later-stage capital goods stocks as we expect the
days of open-ended consumer demand to draw to a close.
SCHNEIDER SMALL CAP VALUE FUND -- INVESTMENT REVIEW AND PORTFOLIO STRATEGY
The Small Cap Value Fund produced favorable results during the six months
ended February 28, 2006, returning 9.75% versus 8.80% for the benchmark Russell
2000(R) Value Index. Since inception on September 2, 1998, the Fund has
performed exceptionally well in delivering a 29.1% annualized total return
versus 14.7 % for the index.
The Fund has made successful investments in companies that are benefiting
from the cyclical upswing in the office real estate market. EMCOR Group and
Jones Lang LaSalle were notably strong performers during the period. We expect
to see the industry's improving health lead to favorable trends in leasing
activity, property transactions and new construction.
B/E Aerospace, the largest Fund position and a successful long-term holding,
made a major contribution during the past six months. We purchased the stock in
2003 in anticipation of an upswing in the commercial aerospace cycle that is now
on firm footing. The order cycle for commercial aircraft continues to look
bright, and we also expect the company's backlog to expand from airlines that
are retrofitting their international first-class seating.
- ------------------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE
FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. THE INVESTMENT
RETURN AND VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED,
MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. FOR PERFORMANCE DATA CURRENT
TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-520-3277.
1
THE SCHNEIDER FUNDS
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
FEBRUARY 28, 2006
We have increased the Fund's commitment to financial stocks, although we are
still underweighted relative to the benchmark. The current interest rate
environment has exerted downward pressure on select financials and provided the
opportunity to invest in Anworth Mortgage Asset and Deerfield Triarc Capital.
These REITs invest in mortgage-backed securities that are sensitive to interest
rate fluctuations, but are not exposed to credit risk. We expect their earnings
to benefit as the yield curve returns to a more normal long-term relationship.
SCHNEIDER VALUE FUND -- INVESTMENT REVIEW AND PORTFOLIO STRATEGY
Results for the Value Fund fell short of the benchmark over the six months
ended February 28, 2006, returning 5.19% versus 7.33% for the Russell 1000(R)
Value Index. Since the inception date of September 30, 2002, the Fund has
performed exceedingly well in delivering a 29.08% annualized total return versus
19.77% for the benchmark.
A number of success stories such as CSX Corp., AON Corp. and Tate & Lyle PLC
were outweighed by the more significant drop in a few portfolio holdings,
particularly Reliant Energy, and also Visteon Corp. and Liberty Global. We feel
confident that these undervalued companies can eventually realize their true
earnings potential, gain investor favor and rebound in price.
Reliant Energy operates two unrelated businesses: an unregulated wholesale
power generation business centered primarily in the mid-Atlantic region, and a
deregulated retail power supply business in Texas. We made our initial
investment in 2003 in anticipation of a long-term cyclical rebound in the
wholesale power market, and our investment case is right on track. Electricity
demand is growing at a faster rate than supply in Reliant's key markets
(Mid-Atlantic, California, Texas), and the company is poised for a recovery in
operating margins that should become evident as 2007 comes more into focus. The
stock, a top performer for the Fund in 2003 and 2004, pulled back last October
when temporary troubles at the Texas retail unit resulted in a poor 2006
earnings outlook. It is a very cheap stock relative to net asset value. We
believe that investor confidence will eventually be restored, and it remains a
top holding in the portfolio.
During the period our exposure to the Financial Services sector nearly
doubled, although we remain underweighted relative to the benchmark index.
Rising rates and a flat yield curve have exerted pressure on select financials.
This environment enabled us to increase our exposure through new names like
Annaly Mortgage Management, a REIT that invests in mortgage-backed securities
with no credit risk, and Countrywide Financial, which is engaged primarily in
residential mortgage banking and related businesses.
We also added to our position in Fannie Mae. We believe the stock is
undervalued relative to its peak earning power, and we anticipate improved
returns from both its mortgage guaranty business and investment portfolio
holdings.
We appreciate your continuing support of the Funds.
/s/ Arnold C. Schneider III
Arnold C. Schneider III, CFA
Chief Investment Officer & Portfolio Manager
Schneider Capital Management
- ----------
The fund is actively managed on a daily basis, and the securities mentioned
herein may not be representative of current or future portfolio composition. For
more specific information about fund holdings, please refer to the Portfolio of
Investments section in this report.
Small company stocks are generally riskier than large company stocks due to
greater volatility and less liquidity.
2
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
Comparison of Change in Value of $10,000 Investment in
Schneider Small Cap Value Fund vs. Russell 2000(R) Value Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA USED IN PRINTED GRAPHIC AS FOLLOWS:
Schneider Small Cap Value Fund Russell 2000 Value Index
------------------------------ ------------------------
9/2/98 $10,000.00 $10,000.00
9/30/98 10,000.00 10,362.46
10/31/98 11,930.00 10,670.14
11/30/98 12,410.00 10,958.97
12/31/98 12,470.71 11,302.59
1/31/99 13,785.55 11,046.05
2/28/99 12,531.39 10,291.88
3/31/99 13,006.76 10,206.99
4/30/99 15,221.75 11,138.79
5/31/99 16,233.16 11,481.15
6/30/99 18,043.59 11,896.87
7/31/99 18,731.35 11,614.52
8/31/99 18,245.87 11,189.98
9/30/99 17,517.66 10,966.27
10/31/99 16,759.10 10,746.81
11/30/99 17,456.97 10,802.52
12/31/99 18,340.82 11,134.43
1/31/00 17,832.99 10,843.25
2/29/00 18,069.19 11,505.98
3/31/00 19,391.91 11,559.95
4/30/00 19,391.91 11,628.35
5/31/00 19,769.82 11,450.93
6/30/00 19,840.68 11,785.51
7/31/00 19,734.39 12,178.19
8/31/00 20,750.05 12,722.64
9/30/00 20,844.53 12,650.54
10/31/00 20,490.23 12,605.62
11/30/00 19,415.52 12,349.02
12/31/00 21,494.55 13,675.90
1/31/01 24,177.81 14,053.39
2/28/01 23,127.22 14,034.00
3/31/01 22,034.04 13,808.88
4/30/01 23,325.98 14,448.03
5/31/01 24,546.94 14,819.59
6/30/01 25,100.63 15,415.83
7/31/01 24,873.48 15,070.14
8/31/01 24,887.67 15,017.92
9/30/01 20,855.67 13,360.11
10/31/01 21,863.67 13,709.06
11/30/01 23,950.66 14,694.12
12/31/01 25,657.04 15,593.79
1/31/02 25,477.20 15,800.78
2/28/02 25,447.23 15,897.00
3/31/02 28,414.57 17,087.52
4/30/02 29,388.70 17,688.99
5/31/02 29,088.97 17,103.97
6/30/02 27,785.14 16,725.28
7/31/02 22,824.58 14,240.28
8/31/02 22,210.13 14,177.00
9/30/02 19,767.30 13,164.30
10/31/02 19,887.20 13,362.30
11/30/02 23,484.00 14,428.60
12/31/02 21,848.00 13,812.20
1/31/03 20,911.90 13,423.30
2/28/03 20,292.80 12,972.05
3/31/03 20,126.74 13,110.59
4/30/03 23,010.62 14,355.89
5/31/03 26,664.53 15,821.69
6/30/03 27,313.78 16,089.78
7/31/03 30,469.44 16,892.13
8/31/03 34,002.57 17,533.79
9/30/03 33,202.33 17,332.68
10/31/03 38,366.13 18,745.98
11/30/03 42,291.82 19,465.57
12/31/03 45,017.43 20,169.58
1/31/04 46,404.57 20,866.94
2/29/04 47,517.51 21,271.01
3/31/04 47,743.30 21,565.18
4/30/04 46,114.20 20,449.92
5/31/04 46,388.40 20,696.77
6/30/04 48,985.30 21,747.93
7/31/04 47,340.10 20,748.17
8/31/04 46,920.70 20,951.73
9/30/04 48,469.10 21,781.42
10/31/04 48,582.10 22,119.03
11/30/04 54,082.20 24,080.99
12/31/04 57,276.80 24,656.52
1/31/05 54,009.50 23,702.32
2/28/05 56,088.70 24,173.99
3/31/05 54,851.10 23,676.01
4/30/05 50,420.40 22,454.33
5/31/05 54,009.50 23,824.04
6/30/05 56,979.80 24,877.06
7/31/05 62,103.50 26,292.57
8/31/05 61,732.20 25,687.84
9/30/05 62,128.00 25,644.00
10/31/05 60,222.00 25,001.00
11/30/05 62,079.00 26,016.00
12/31/05 62,904.00 25,815.00
1/31/06 66,116.00 27,950.00
2/28/06 67,752.00 27,947.00
The chart assumes a hypothetical $10,000 initial investment in the Fund made on
September 2, 1998 (inception) and reflects Fund expenses. Investors should note
that the Fund is a professionally managed mutual fund while the Russell 2000(R)
Value Index is unmanaged, does not incur sales charges and/or expenses and is
not available for investment.
- --------------------------------------------------------------------------------
Total Returns For the Period Ended February 28, 2006
AVERAGE ANNUAL
----------------------------------
SIX SINCE
MONTHS ONE YEAR FIVE YEARS INCEPTION*
------ -------- ---------- ----------
SCHNEIDER SMALL CAP VALUE 9.75% 20.80% 23.98% 29.10%
RUSSELL 2000(R) VALUE INDEX 8.80% 15.62% 14.77% 14.70%
* Inception date: 9/2/98
- --------------------------------------------------------------------------------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. SCHNEIDER
CAPITAL MANAGEMENT WAIVED A PORTION OF ITS ADVISORY FEE AND AGREED TO REIMBURSE
A PORTION OF THE FUND'S OPERATING EXPENSES, AS NECESSARY, TO MAINTAIN THE
EXPENSE LIMITATION, AS SET FORTH IN THE NOTES TO THE FINANCIAL STATEMENTS. TOTAL
RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS, IF ANY; TOTAL
RETURNS WOULD HAVE BEEN LOWER HAD THERE BEEN NO ASSUMPTION OF FEES AND EXPENSES
IN EXCESS OF EXPENSE LIMITATIONS. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL
DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE FUND
HAS EXPERIENCED RELATIVELY HIGH PERFORMANCE WHICH MAY NOT BE REPEATED. FOR
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL
1-888-520-3277.
The Fund's annualized total return since inception is based on an increase in
net asset value from $10.00 per share on September 2, 1998 (inception) to $22.36
per share on February 28, 2006, adjusted for dividends and distributions
totaling $25.07 per share paid from net investment income and realized gains.
3
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
Comparison of Change in Value of $10,000 Investment in
Schneider Value Fund vs. Russell 1000(R) Value Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA USED IN PRINTED GRAPHIC AS FOLLOWS:
Russell 1000 Value Index
Schneider Value Aggregate Inst & Investor
--------------- --------------------------
30-Sep-02 $10,000.00 $10,000.00
10/31/02 10,660.00 10,620.00
11/30/02 11,950.00 11,289.00
12/31/02 11,237.00 10,799.00
1/31/03 10,636.00 10,537.00
2/28/03 10,566.00 10,256.00
3/31/03 10,796.00 10,274.00
4/30/03 11,638.00 11,178.00
5/31/03 13,042.00 11,899.00
6/30/03 13,252.00 12,048.00
7/31/03 13,984.00 12,228.00
8/31/03 14,846.00 12,418.00
9/30/03 14,495.00 12,297.00
10/31/03 15,628.00 13,049.00
11/30/03 16,430.00 13,226.00
12/31/03 17,738.00 14,042.00
1/31/04 18,396.00 14,289.00
2/29/04 18,929.00 14,595.00
3/31/04 18,950.00 14,467.00
4/30/04 18,438.00 14,114.00
5/31/04 19,044.00 14,258.00
6/30/04 19,775.00 14,594.00
7/31/04 19,023.00 14,389.00
8/31/04 19,034.00 14,594.00
9/30/04 19,431.00 14,820.00
10/31/04 19,713.00 15,066.00
11/30/04 21,290.00 15,828.00
12/31/04 22,123.00 16,358.00
1/31/05 21,305.00 16,067.00
2/28/05 21,769.00 16,599.00
3/31/05 21,647.00 16,372.00
4/30/05 20,354.00 16,079.00
5/31/05 21,481.00 16,466.00
6/30/05 22,067.00 16,645.00
7/31/05 22,897.00 17,127.00
8/31/05 22,720.00 17,053.00
9/30/05 22,742.00 17,292.00
10/31/05 21,913.00 16,852.00
11/30/05 22,576.00 17,403.00
12/31/05 23,102.00 17,510.00
1/31/06 23,495.00 18,189.00
2/28/06 23,900.00 18,300.00
The chart assumes a hypothetical $10,000 initial investment in the Fund made on
September 30, 2002 (inception) and reflects Fund expenses. Investors should note
that the Fund is a professionally managed mutual fund while the Russell 1000(R)
Value Index is unmanaged, does not incur sales charges and/or expenses and is
not available for investment.
- --------------------------------------------------------------------------------
Total Returns For the Period Ended February 28, 2006
AVERAGE ANNUAL
-------------------------
SIX SINCE
MONTHS ONE YEAR INCEPTION*
------ -------- ----------
SCHNEIDER VALUE 5.19% 9.79% 29.08%
RUSSELL 1000(R) VALUE INDEX 7.33% 10.26% 19.77%
* Inception date: 9/30/02
- --------------------------------------------------------------------------------
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT
INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. SCHNEIDER
CAPITAL MANAGEMENT WAIVED A PORTION OF ITS ADVISORY FEE AND AGREED TO REIMBURSE
A PORTION OF THE FUND'S OPERATING EXPENSES, AS NECESSARY, TO MAINTAIN THE
EXPENSE LIMITATION, AS SET FORTH IN THE NOTES TO THE FINANCIAL STATEMENTS. TOTAL
RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS, IF ANY; TOTAL
RETURNS WOULD HAVE BEEN LOWER HAD THERE BEEN NO ASSUMPTION OF FEES AND EXPENSES
IN EXCESS OF EXPENSE LIMITATIONS. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL
DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER
WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE FUND
HAS EXPERIENCED RELATIVELY HIGH PERFORMANCE WHICH MAY NOT BE REPEATED. FOR
PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL
1-888-520-3277.
The Fund's aggregate total return since inception is based on an increase in
net asset value from $10.00 per share on September 30, 2002 (inception) to
$20.08 per share on February 28, 2006, adjusted for dividends and distributions
totaling $3.33 per share paid from net investment income and realized gains.
4
SCHNEIDER CAPITAL MANAGEMENT
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction
costs, including redemption fees; and (2) ongoing costs, including management
fees and other Fund expenses. These examples are intended to help you understand
your ongoing costs (in dollars) of investing in the Fund(s) and to compare these
costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the period and held for the period from September 1, 2005 through February 28,
2006.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 your 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees. Therefore, the second line of the accompanying tables
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
5
SCHNEIDER CAPITAL MANAGEMENT
FUND EXPENSE EXAMPLES (CONCLUDED)
(UNAUDITED)
SCHNEIDER SMALL CAP VALUE FUND
-------------------------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $1,097.50 $5.72
Hypothetical (5% return before expenses) 1,000.00 1,019.27 5.52
SCHNEIDER VALUE FUND
-------------------------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $1,051.90 $4.32
Hypothetical (5% return before expenses) 1,000.00 1,020.53 4.27
<FN>
* Expenses are equal to an annualized expense ratio of 1.10% for the Schneider Small Cap Value Fund and 0.85% for the
Schneider Value Fund, which includes waived fees or reimbursed expenses, multiplied by the average account value over the
period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the
one-half year period. The Fund's ending account values on the first line in each table are based on the actual total
return for each Fund of 9.75% for the Schneider Small Cap Value Fund and 5.19% for the Schneider Value Fund.
</FN>
6
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
% OF NET
ASSETS VALUE
--------- ------------
Domestic Common Stocks:
Real Estate Investment Trust ............. 13.3% $ 14,064,866
Aerospace & Defense ...................... 8.0 8,410,672
Electrical Equipment ..................... 5.7 6,002,092
Real Estate .............................. 5.2 5,500,005
Semiconductors & Related ................. 4.4 4,612,085
Semiconductor Equipment .................. 3.6 3,774,495
Manufactured Housing ..................... 3.5 3,746,620
Computer Software ........................ 2.8 3,051,976
Retail - Specialty Stores ................ 2.5 2,665,578
Savings & Loan Associations .............. 2.5 2,606,656
Energy & Utilities ....................... 2.4 2,569,718
Pipes Lines (No Nat. Gas) ................ 2.4 2,489,744
Manufacturing ............................ 2.2 2,340,303
Airlines ................................. 2.2 2,337,181
Diversified .............................. 2.1 2,260,104
Banks .................................... 2.1 2,165,958
Transportation ........................... 2.0 2,150,451
Insurance ................................ 2.0 2,092,696
Computer Components ...................... 2.0 2,069,907
Office Furnishings ....................... 1.9 2,006,810
Farm Machinery & Equipment ............... 1.6 1,694,007
Aircraft Parts & Auxiliary
Equipment, Nec ......................... 1.5 1,582,976
Restaurants .............................. 1.3 1,405,560
Paper & Forestry Products ................ 1.3 1,372,288
Chemicals - Specialty .................... 1.2 1,294,828
Agriculture .............................. 1.1 1,184,218
Leisure & Entertainment .................. 1.1 1,162,160
Automobile Parts & Equipment ............. 1.0 1,101,568
Finance - Diversified .................... 1.0 1,065,501
Schools .................................. 1.0 1,050,732
Hotels & Restaurants ..................... 1.0 1,026,076
Utilities ................................ 1.0 1,016,260
Electronics .............................. 0.9 951,613
Services - Computer Processing
& Data Preparation ..................... 0.9 949,494
Services - Engineering Services .......... 0.9 922,245
Chemicals & Plastic ...................... 0.8 844,651
Metals & Mining .......................... 0.8 843,950
Commercial Services ...................... 0.7 761,674
Fertilizers .............................. 0.7 703,621
% OF NET
ASSETS VALUE
--------- ------------
Construction ............................. 0.6% $ 608,027
Machinery ................................ 0.6 589,667
Paper & Allied Products .................. 0.5 501,150
Electrical Work .......................... 0.5 491,190
Footwear ................................. 0.4 468,510
Home Furnishings ......................... 0.3 360,470
Technology ............................... 0.2 252,135
Computers ................................ 0.2 189,193
Oil & Gas Exploration .................... 0.2 185,640
Exchange Traded Funds ....................... 1.4 1,433,934
Mexican Common Stocks:
Broadcasting & Cable Television ............. 1.1 1,178,714
Temporary Investments ....................... 1.0 1,032,628
Canadian Common Stocks ...................... 0.7 732,235
Liabilities In Excess of Other
Assets ................................... (0.3) (321,338)
------ ------------
NET ASSETS .................................. 100.0% $105,553,494
====== ============
The accompanying notes are an integral part of the financial statements.
7
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
% OF NET
ASSETS VALUE
--------- ------------
Domestic Common Stocks:
Financial Services .......................... 14.2% $10,464,750
Energy & Utilities ....................... 4.8 3,553,460
Electronic Components &
Accessories ............................ 4.8 3,530,987
Real Estate Investment Trust ............. 4.6 3,370,527
Insurance ................................ 4.4 3,272,104
Broadcasting & Cable Television .......... 4.4 3,246,071
Aerospace & Defense ...................... 4.2 3,069,955
Transportation ........................... 3.9 2,876,776
Banks .................................... 3.8 2,767,168
Industrial Goods & Materials ............. 3.1 2,321,745
Manufacturing ............................ 3.0 2,201,984
Food ..................................... 2.9 2,172,813
Leisure & Entertainment .................. 2.6 1,902,011
Wholesale - Drug Distribution ............ 2.4 1,784,412
Automobiles .............................. 2.4 1,766,472
Paper & Forestry Products ................ 2.3 1,708,595
Hotels & Restaurants ..................... 2.2 1,641,970
Agricultural Chemicals ................... 1.9 1,379,325
Computers, Software & Servicing .......... 1.9 1,373,791
Medical & Medical Services ............... 1.8 1,328,401
Semi-conductors & Related ................ 1.8 1,315,195
Retail - Department Stores ............... 1.7 1,242,441
Wholesale - Distribution ................. 1.6 1,194,406
Electronic Components .................... 1.3 993,419
Electronics .............................. 1.3 953,136
Retail - Consumer Electronics
Stores ................................. 1.1 807,605
Home Furnishings & Housewares ............ 1.1 801,436
Automobile Parts & Equipment ............. 0.9 685,136
Telecommunications & Equipment ........... 0.9 679,542
Packaging & Containers ................... 0.8 581,849
Chemicals - Specialty .................... 0.7 513,943
Dairy Products ........................... 0.7 489,920
Airlines ................................. 0.7 482,137
Air Conditioning & Warm Heating
Equipment .............................. 0.6 465,065
Gambling - Non Hotel ..................... 0.4 320,448
Chemicals - Diversified .................. 0.4 275,196
Savings & Loan Associations .............. 0.3 193,719
Commercial Services ...................... 0.2 169,357
% OF NET
ASSETS VALUE
--------- ------------
Real Estate .............................. 0.2% $ 165,107
Power, Distribution & Specialty
Transformers ........................... 0.1 56,225
Exchange Traded Funds ....................... 2.2 1,634,658
Temporary Investments ....................... 2.1 1,539,260
Corporate Bonds ............................. 1.0 763,587
Canadian Common Stocks ...................... 0.8 615,513
British Common Stocks:
Advertising ................................. 0.3 183,780
Other Assets In Excess of Liabilities ....... 1.2 861,192
------ -----------
NET ASSETS .................................. 100.0% $73,716,589
====== ===========
The accompanying notes are an integral part of the financial statements.
8
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
SHARES VALUE
--------- ------------
DOMESTIC COMMON STOCKS -- 96.1%
AEROSPACE & DEFENSE -- 8.0%
AAR Corp.* .................................. 106,705 $ 2,700,704
BE Aerospace, Inc.* ......................... 184,090 4,416,319
CAE, Inc. ................................... 155,300 1,293,649
------------
8,410,672
------------
AGRICULTURE -- 1.1%
Corn Products International, Inc. ........... 43,925 1,184,218
------------
AIRCRAFT PARTS & AUXILIARY EQUIPMENT, NEC -- 1.5%
Triumph Group, Inc.* ........................ 37,825 1,582,976
------------
AIRLINES -- 2.2%
AirTran Holdings, Inc.* ..................... 131,450 2,337,181
------------
AUTOMOBILE PARTS & EQUIPMENT -- 1.0%
American Axle & Manufacturing
Holdings, Inc. ........................... 47,875 776,533
Visteon Corp.* .............................. 69,750 325,035
------------
1,101,568
------------
BANKS -- 2.1%
First BanCorp ............................... 79,700 1,009,002
W. Holding Co., Inc ......................... 143,900 1,156,956
------------
2,165,958
------------
CHEMICALS & PLASTIC -- 0.8%
A. Schulman, Inc. ........................... 36,050 844,651
------------
CHEMICALS - SPECIALTY -- 1.2%
Cytec Industries, Inc. ...................... 24,275 1,294,828
------------
COMMERCIAL SERVICES -- 0.7%
Convergys Corp.* ............................ 43,850 761,674
------------
COMPUTER COMPONENTS -- 2.0%
Lexar Media, Inc.* .......................... 165,600 1,109,520
Silicon Storage Technology, Inc.* .......... 212,475 960,387
------------
2,069,907
------------
SHARES VALUE
--------- ------------
COMPUTER SOFTWARE -- 2.8%
Dendrite International, Inc.* ............... 14,575 $ 193,848
Insight Enterprises, Inc.* .................. 47,725 1,027,519
Internet Capital Group, Inc.* ............... 86,800 789,880
NetIQ Corp.* ................................ 9,650 109,045
Take-Two Interactive Software, Inc. ......... 59,800 931,684
------------
3,051,976
------------
COMPUTERS -- 0.2%
Brocade Communications Systems,
Inc.* .................................... 35,900 189,193
------------
CONSTRUCTION -- 0.6%
Infrasource Services, Inc.* ................. 34,025 608,027
------------
DIVERSIFIED -- 2.1%
Acuity Brands, Inc. ......................... 32,550 1,285,399
Viad Corp. .................................. 30,450 974,705
------------
2,260,104
------------
ELECTRICAL EQUIPMENT -- 5.7%
EMCOR Group, Inc.* .......................... 71,300 3,107,967
GameStop Corp., Class A* .................... 19,575 783,587
General Cable Corp.* ........................ 74,650 2,015,550
GrafTech International, Ltd.* ............... 18,625 94,988
------------
6,002,092
------------
ELECTRICAL WORK -- 0.5%
Integrated Electrical Services, Inc.* ....... 509,005 491,190
------------
ELECTRONICS -- 0.9%
Curtiss-Wright Corp. ........................ 14,200 878,128
ProQuest Company* ........................... 3,450 73,485
------------
951,613
------------
ENERGY & UTILITIES -- 2.4%
Reliant Energy, Inc.* ....................... 252,925 2,569,718
------------
FARM MACHINERY & EQUIPMENT -- 1.6%
AGCO Corp.* ................................. 86,650 1,694,007
------------
FERTILIZERS -- 0.7%
LESCO, Inc.* ................................ 43,300 703,621
------------
FINANCE - DIVERSIFIED -- 1.0%
Doral Financial Corp. ....................... 95,475 1,065,501
------------
The accompanying notes are an integral part of the financial statements.
9
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
SHARES VALUE
--------- ------------
FOOTWEAR -- 0.4%
Barry (R.G) Corp.* .......................... 72,750 $ 468,510
------------
HOME FURNISHINGS -- 0.3%
La-Z-Boy, Inc. .............................. 22,600 360,470
------------
HOTELS & RESTAURANTS -- 1.0%
Interstate Hotels & Resorts, Inc.* .......... 90,975 434,860
Orient-Express Hotels, Ltd., Class A ........ 16,950 591,216
------------
1,026,076
------------
INSURANCE -- 2.0%
Assured Guaranty, Ltd. ...................... 14,425 380,820
Platinum Underwriters Holdings, Ltd. ........ 6,525 199,796
ProAssurance Corp.* ......................... 29,481 1,512,080
------------
2,092,696
------------
LEISURE & ENTERTAINMENT -- 1.1%
Intrawest Corp. ............................. 36,500 1,162,160
------------
MACHINERY -- 0.6%
Terex Corp.* ................................ 7,450 589,667
------------
MANUFACTURED HOUSING -- 3.5%
Champion Enterprises, Inc.* ................. 121,125 1,879,860
Fleetwood Enterprises, Inc.* ................ 165,200 1,866,760
------------
3,746,620
------------
MANUFACTURING -- 2.2%
Griffon Corp.* .............................. 31,975 752,052
Jacuzzi Brands, Inc.* ....................... 21,800 213,204
Navistar International Corp.* ............... 46,850 1,375,047
------------
2,340,303
------------
METALS & MINING -- 0.8%
Brush Engineered Materials, Inc.* .......... 48,475 843,950
------------
OFFICE FURNISHINGS -- 1.9%
Interface, Inc., Class A* ................... 181,120 2,006,810
------------
OIL & GAS EXPLORATION -- 0.2%
Aquila, Inc.* ............................... 47,600 185,640
------------
PAPER & ALLIED PRODUCTS -- 0.5%
Schweitzer-Mauduit International, Inc. ...... 19,500 501,150
------------
SHARES VALUE
--------- ------------
PAPER & FORESTRY PRODUCTS -- 1.3%
Longview Fibre Co. .......................... 37,175 $ 699,633
Neenah Paper, Inc. .......................... 21,975 672,655
------------
1,372,288
------------
PIPES LINES (NO NATURAL GAS) -- 2.4%
Hudson Highland Group, Inc.* ................ 150,075 2,489,744
------------
REAL ESTATE -- 5.2%
American Real Estate Partners, L.P. ......... 16,800 723,912
California Coastal Communities, Inc.* ....... 1,000 38,490
Jones Lang LaSalle, Inc. .................... 39,125 2,647,980
MI Developments, Inc., Class A .............. 61,550 2,089,623
------------
5,500,005
------------
REAL ESTATE INVESTMENT TRUST -- 13.3%
American Financial Realty Trust ............. 69,775 824,741
American Home Mortgage Investment
Corp ..................................... 119,800 3,414,300
Anworth Mortgage Asset Corp. ................ 358,700 2,693,837
Bedford Property Investors, Inc. ............ 48,100 1,290,042
Boykin Lodging Co.* ......................... 194,425 2,484,752
Deerfield Triarc Capital Corp. .............. 70,125 915,833
MeriStar Hospitality Corp.* ................. 231,100 2,382,641
Sunstone Hotel Investors, Inc. .............. 2,000 58,720
------------
14,064,866
------------
RESTAURANTS -- 1.3%
Triarc Companies., Inc., Class A* ........... 90,100 1,405,560
------------
RETAIL - SPECIALTY STORES -- 2.5%
Eddie Bauer Holdings, Inc.* ................. 18,525 277,875
MarineMax, Inc.* ............................ 37,875 1,168,823
Pep Boys-Manny, Moe & Jack, (The) ........... 17,300 271,610
Stein Mart, Inc. ............................ 9,975 166,383
West Marine, Inc.* .......................... 60,675 780,887
------------
2,665,578
------------
SAVINGS & LOAN ASSOCIATIONS -- 2.5%
First Niagara Financial Group, Inc. ......... 66,725 940,155
Flagstar Bancorp, Inc. ...................... 54,600 843,570
Partners Trust Financial Group, Inc. ........ 18,000 212,040
Provident Financial Services, Inc. .......... 27,925 519,405
Provident New York Bancorp .................. 7,675 91,486
------------
2,606,656
------------
The accompanying notes are an integral part of the financial statements.
10
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
SHARES VALUE
--------- ------------
SCHOOLS -- 1.0%
Corinthian Colleges, Inc.* .................. 81,075 $ 1,050,732
------------
SEMICONDUCTOR EQUIPMENT -- 3.6%
Advanced Energy Industries, Inc.* ........... 28,150 403,108
Alliance Semiconductor Corp.* ............... 218,975 571,525
Axcelis Technologies, Inc.* ................. 20,975 144,937
BE Semiconductor Industries N.V.* ........... 527,818 2,654,925
------------
3,774,495
------------
SEMICONDUCTORS & RELATED -- 4.4%
ASM International N.V.* ..................... 166,950 3,101,931
STATS ChipPAC, Ltd. -- ADR* ................. 186,950 1,317,997
ZiLOG, Inc.* ................................ 85,025 192,157
------------
4,612,085
------------
SERVICES - COMPUTER PROCESSING
& DATA PREPARATION -- 0.9%
Source Interlink Companies., Inc.* .......... 88,325 949,494
------------
SERVICES - ENGINEERING SERVICES -- 0.9%
Washington Group International, Inc. ........ 15,800 922,245
------------
TECHNOLOGY -- 0.2%
Mercury Computer Systems, Inc* .............. 14,625 252,135
------------
TRANSPORTATION -- 2.0%
Alexander & Baldwin, Inc. ................... 17,100 833,283
Florida East Coast, Inc. .................... 11,375 578,305
Genesee & Wyoming, Inc.* .................... 16,150 738,863
------------
2,150,451
------------
UTILITIES -- 1.0%
Avista Corp. ................................ 51,850 1,016,260
------------
TOTAL DOMESTIC COMMON STOCKS
(Cost $84,370,886) ..................... 101,497,321
------------
CANADIAN COMMON STOCK -- 0.7%
REAL ESTATE INVESTMENT TRUST -- 0.7%
Boardwalk Real Estate Investment
Trust ..................................... 1,350 27,843
Trizec Canada, Inc. ......................... 31,250 704,392
------------
732,235
------------
TOTAL CANADIAN COMMON STOCK
(Cost $590,351) ........................ 732,235
------------
SHARES VALUE
--------- ------------
MEXICAN COMMON STOCK -- 1.1%
BROADCASTING & CABLE TELEVISION -- 1.1%
TV Azteca, S.A. de C.V ...................... 1,837,275 $ 1,178,714
------------
TOTAL MEXICAN COMMON STOCK
(Cost $1,049,519) ...................... 1,178,714
------------
EXCHANGE TRADED FUND -- 1.4%
FINANCE -- 1.4%
iShares Russell 2000 Value Index Fund ....... 20,100 1,433,934
------------
TOTAL EXCHANGE TRADED FUND
(Cost $1,393,934) ...................... 1,433,934
------------
TEMPORARY INVESTMENT -- 1.0%
PNC Bank Money Market
Account - 4.02% 03/01/06 ................. 1,032,628 1,032,628
------------
TOTAL TEMPORARY INVESTMENT
(Cost $1,032,628) ...................... 1,032,628
------------
TOTAL INVESTMENTS -- 100.3%
(Cost $88,437,318) ..................... 105,874,832
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.3)% ......................... (321,338)
------------
NET ASSETS -- 100.0% ........................ $105,553,494
============
- ------------------
* Non-income producing.
ADR -- American Depository Receipt.
The accompanying notes are an integral part of the financial statements.
11
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
SHARES VALUE
--------- ------------
DOMESTIC COMMON STOCKS -- 92.4%
AEROSPACE & DEFENSE -- 4.2%
Boeing Co., (The) ........................... 32,175 $ 2,338,801
Goodrich Corp. .............................. 17,475 731,154
------------
3,069,955
------------
AGRICULTURAL CHEMICALS -- 1.9%
Mosaic Co., (The)* .......................... 86,750 1,379,325
------------
AIR CONDITIONING & WARM HEATING EQUIPMENT -- 0.6%
American Standard Companies, Inc. ........... 11,750 465,065
------------
AIRLINES -- 0.7%
Southwest Airlines Co. ...................... 28,750 482,137
------------
AUTOMOBILE PARTS & EQUIPMENT -- 0.9%
Visteon Corp.* .............................. 147,025 685,136
------------
AUTOMOBILES -- 2.4%
HONDA MOTOR Co., Ltd. -- ADR ................ 60,125 1,766,472
------------
BANKS -- 3.8%
Hudson City Bancorp, Inc. ................... 30,180 389,624
North Fork Bancorporation, Inc. ............. 93,091 2,377,544
------------
2,767,168
------------
BROADCASTING & CABLE TELEVISION -- 4.4%
Liberty Global, Inc. Series A* .............. 36,759 746,575
Liberty Global, Inc. Series C* .............. 37,884 734,950
Liberty Media Corp.* ........................ 214,144 1,764,546
------------
3,246,071
------------
CHEMICALS - DIVERSIFIED -- 0.4%
E. I. du Pont de Nemours & Co. .............. 1,900 76,456
Lyondell Chemical Co. ....................... 9,500 198,740
------------
275,196
------------
CHEMICALS - SPECIALTY -- 0.7%
Chemtura Corp. .............................. 7,150 79,222
Cytec Industries, Inc. ...................... 8,150 434,721
------------
513,943
------------
COMMERCIAL SERVICES -- 0.2%
Convergys Corp.* ............................ 9,750 169,357
------------
SHARES VALUE
--------- ------------
COMPUTERS, SOFTWARE & SERVICING -- 1.9%
Activision, Inc.* ........................... 100 $ 1,250
BearingPoint, Inc.* ......................... 154,045 1,372,541
------------
1,373,791
------------
DAIRY PRODUCTS -- 0.7%
Dean Foods Co.* ............................. 13,075 489,920
------------
ELECTRONIC COMPONENTS -- 1.3%
Celestica, Inc.* ............................ 91,475 993,419
------------
ELECTRONIC COMPONENTS & ACCESSORIES -- 4.8%
AU Optronics Corp. -- ADR ................... 123,887 1,971,042
Avnet, Inc.* ................................ 62,075 1,559,945
------------
3,530,987
------------
ELECTRONICS -- 1.3%
Agilent Technologies, Inc.* ................. 26,476 953,136
------------
ENERGY & UTILITIES -- 4.8%
Reliant Energy, Inc.* ....................... 349,750 3,553,460
------------
FINANCIAL SERVICES -- 14.2%
Countrywide Financial Corp. ................. 105,400 3,634,192
Fannie Mae .................................. 68,700 3,756,516
JPMorgan Chase & Co. ........................ 67,975 2,796,492
Washington Mutual, Inc. ..................... 6,500 277,550
------------
10,464,750
------------
FOOD -- 2.9%
Tate & Lyle P.L.C. -- ADR ................... 48,575 2,034,807
Tyson Foods, Inc. ........................... 10,200 138,006
------------
2,172,813
------------
GAMBLING - NON HOTEL -- 0.4%
GTECH Holdings Corp. ........................ 9,600 320,448
------------
HOME FURNISHINGS & HOUSEWARES -- 1.1%
Newell Rubbermaid, Inc. ..................... 32,225 801,436
------------
HOTELS & RESTAURANTS -- 2.2%
Hilton Hotels Corp. ......................... 67,850 1,641,970
------------
INDUSTRIAL GOODS & MATERIALS -- 3.1%
Tyco International, Ltd. .................... 90,025 2,321,745
------------
The accompanying notes are an integral part of the financial statements.
12
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
SHARES VALUE
--------- ------------
INSURANCE -- 4.4%
Aon Corp. ................................... 6,550 $ 259,445
Genworth Financial, Inc. Class A ............ 47,000 1,495,540
PMI Group, Inc. (The) ....................... 9,550 413,515
RenaissanceRe Holdings, Ltd. ................ 15,925 709,459
UnumProvident Corp. ......................... 19,050 394,145
------------
3,272,104
------------
LEISURE & ENTERTAINMENT -- 2.6%
Carnival Corp. .............................. 36,825 1,902,011
------------
MANUFACTURING -- 3.0%
Navistar International Corp.* ............... 75,025 2,201,984
------------
MEDICAL & MEDICAL SERVICES -- 1.8%
Triad Hospitals, Inc.* ...................... 30,850 1,328,401
------------
PACKAGING & CONTAINERS -- 0.8%
Pactiv Corp.* ............................... 25,375 581,849
------------
PAPER & FORESTRY PRODUCTS -- 2.3%
International Paper Co. ..................... 52,139 1,708,595
------------
POWER, DISTRIBUTION & SPECIALTY TRANSFORMERS -- 0.1%
NRG Energy, Inc.* ........................... 1,300 56,225
------------
REAL ESTATE -- 0.2%
St. Joe Co., (The) .......................... 2,755 165,107
------------
REAL ESTATE INVESTMENT TRUST -- 4.6%
Annaly Mortgage Management, Inc. ............ 110,275 1,295,731
Host Marriott Corp. ......................... 48,700 946,241
Trizec Properties, Inc. ..................... 46,500 1,128,555
------------
3,370,527
------------
RETAIL - CONSUMER ELECTRONICS STORES -- 1.1%
GameStop Corp., Class A* .................... 20,175 807,605
------------
RETAIL - DEPARTMENT STORES -- 1.7%
Kohl's Corp.* ............................... 25,825 1,242,441
------------
SAVINGS & LOAN ASSOCIATIONS -- 0.3%
Sovereign Bancorp, Inc. ..................... 9,300 193,719
------------
SEMI-CONDUCTORS & RELATED -- 1.8%
International Rectifier Corp.* .............. 35,450 1,315,195
------------
SHARES VALUE
--------- ------------
TELECOMMUNICATIONS & EQUIPMENT -- 0.9%
Sprint Nextel Corp. ......................... 525 $ 12,616
Telephone and Data Systems, Inc. ............ 295 11,033
Telephone and Data Systems, Inc. ............
Special Common Shares .................... 18,270 655,893
------------
679,542
------------
TRANSPORTATION -- 3.9%
CSX Corp. ................................... 45,575 2,523,944
Swift Transportation Co., Inc.* ............. 14,800 352,832
------------
2,876,776
------------
WHOLESALE - DISTRIBUTION -- 1.6%
Hughes Supply, Inc. ......................... 25,825 1,194,406
------------
WHOLESALE - DRUG DISTRIBUTION -- 2.4%
AmerisourceBergen Corp. ..................... 38,800 1,784,412
------------
TOTAL DOMESTIC COMMON STOCKS
(Cost $59,838,440) ...................... 68,118,599
------------
CANADIAN COMMON STOCK -- 0.8%
MANUFACTURING -- 0.8%
Bombardier, Inc., Class B* .................. 241,525 615,513
------------
TOTAL CANADIAN COMMON STOCK
(Cost $592,144) ........................ 615,513
------------
BRITISH COMMON STOCK -- 0.3%
ADVERTISING -- 0.3%
YELL GROUP P.L.C ............................ 18,900 183,780
------------
TOTAL BRITISH COMMON STOCK
(Cost $173,791) ........................ 183,780
------------
The accompanying notes are an integral part of the financial statements.
13
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
PAR
(000) VALUE
--------- ------------
CORPORATE BOND -- 1.0%
AMR Corp. (Caa2, CCC)**
4.25%, 09/23/23 .......................... $481 $ 763,587
-----------
TOTAL CORPORATE BOND
(Cost $521,287) ........................ 763,587
-----------
SHARES
---------
EXCHANGE TRADED FUND -- 2.2%
FINANCE -- 2.2%
iShares Russell 1000 Value Index Fund ....... 22,600 1,634,658
-----------
TOTAL EXCHANGE TRADED FUND
(Cost $1,541,351) ...................... 1,634,658
-----------
TEMPORARY INVESTMENT -- 2.1%
PNC Bank Money Market
Account - 4.02% 03/01/06 ................. 1,539,260 1,539,260
-----------
TOTAL TEMPORARY INVESTMENT
(Cost $1,539,260) ...................... 1,539,260
-----------
TOTAL INVESTMENTS -- 98.8%
(Cost $64,206,273) ....................... 72,855,397
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.2% ...................... 861,192
-----------
NET ASSETS -- 100.0% $73,716,589
===========
*Non-income producing.
**The Moody's Investor Service, Inc. and Standard & Poor's Rating Group ratings
indicated are the most recent ratings available at February 28, 2006, and are
unaudited.
ADR -- American Depository Receipt.
The accompanying notes are an integral part of the financial statements.
14
THE SCHNEIDER FUNDS
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2006
(UNAUDITED)
SCHNEIDER SCHNEIDER
SMALL CAP VALUE FUND VALUE FUND
--------------------- -----------
ASSETS
Investments, at value (cost -- $88,437,318 and $64,206,273, respectively) ....... $105,874,832 $72,855,397
Receivable for investments sold ................................................. 717,191 1,408,871
Receivable for capital shares sold .............................................. 147,674 342,500
Dividends and interest receivable ............................................... 64,429 84,107
Prepaid expenses and other assets ............................................... 18,847 14,588
Unrealized foreign exchange gain ................................................ 414 --
------------ -----------
Total Assets ................................................................. 106,823,387 74,705,463
------------ -----------
LIABILITIES
Payable for investments purchased ............................................... 1,152,612 150,668
Payable for capital shares redeemed ............................................. -- 771,222
Payable to the investment adviser ............................................... 61,326 22,386
Accrued expenses payable and other liabilities .................................. 55,955 44,598
------------ -----------
Total Liabilities ............................................................ 1,269,893 988,874
------------ -----------
NET ASSETS
Capital stock, $0.001 par value ................................................. 4,720 3,672
Additional paid-in capital ...................................................... 87,290,109 63,065,466
Undistributed net investment income ............................................. 13,735 78,918
Accumulated net realized gain from investments
and foreign exchange transactions, if any .................................... 807,002 1,919,409
Net unrealized appreciation on foreign exchange transactions .................... 414 --
Net unrealized appreciation on investments ...................................... 17,437,514 8,649,124
------------ -----------
Net assets applicable to shares outstanding ..................................... $105,553,494 $73,716,589
============ ===========
Shares outstanding .............................................................. 4,720,549 3,671,928
============ ===========
Net assets value, offering and redemption price per share ....................... $22.36 $20.08
============ ===========
The accompanying notes are an integral part of the financial statements.
15
THE SCHNEIDER FUNDS
STATEMENT OF OPERATIONS
(UNAUDITED)
SCHNEIDER SCHNEIDER
SMALL CAP VALUE FUND VALUE FUND
-------------------- -----------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
FEBRUARY 28, 2006 FEBRUARY 28, 2006
-------------------- -----------------
INVESTMENT INCOME
Dividends* ...................................................................... $ 301,652 $ 371,634
Interest ........................................................................ 61,936 62,215
---------- ----------
Total investment income ....................................................... 363,588 433,849
---------- ----------
EXPENSES
Advisory fees ................................................................... 318,053 216,479
Administration and accounting fees .............................................. 59,584 58,396
Administration services fees .................................................... 47,708 46,388
Custodian fees .................................................................. 30,392 21,863
Transfer agent fees ............................................................. 17,465 25,279
Professional fees ............................................................... 12,485 14,361
Printing and shareholder reporting fees ......................................... 11,279 9,784
Directors' and officer's fees ................................................... 9,240 9,815
Registration and filing fees .................................................... 8,672 9,303
Other expenses .................................................................. 1,864 3,225
---------- ----------
Total expenses before waivers ................................................. 516,742 414,893
Less: waivers ................................................................... (166,889) (152,026)
---------- ----------
Net expenses after waivers .................................................... 349,853 262,867
---------- ----------
Net investment income .............................................................. 13,735 170,982
---------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS:
Net realized gain/(loss) from:
Investments ................................................................... 3,989,971 3,572,735
Foreign currency transactions ................................................. (199) --
Net change in unrealized appreciation/(depreciation) on:
Investments ................................................................... 3,268,094 (399,490)
Foreign currency transactions ................................................. 414 --
---------- ----------
Net realized and unrealized gain from investments and foreign
currency transactions ......................................................... 7,258,280 3,173,245
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................... $7,272,015 $3,344,227
========== ==========
<FN>
- ----------------
* Net of foreign withholding taxes of $3,832 and $1,390, for the Small Cap Value Fund and Value Fund, respectively.
</FN>
The accompanying notes are an integral part of the financial statements.
16
THE SCHNEIDER FUNDS
STATEMENT OF CHANGES IN NET ASSETS
SCHNEIDER
SMALL CAP VALUE FUND
---------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------- ---------------
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
Net investment income/(loss)..................................................... $ 13,735 $ (211,613)
Net realized gain from investments and foreign currency
transactions, if any .......................................................... 3,989,772 10,226,407
Net change in unrealized appreciation/(depreciation) on investments
and foreign currency transactions, if any...................................... 3,268,508 4,534,695
------------ ------------
Net increase in net assets resulting from operations............................. 7,272,015 14,549,489
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized capital gains....................................................... (9,923,966) (20,055,242)
------------ ------------
Total distributions to shareholders............................................ (9,923,966) (20,055,242)
------------ ------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE
TRANSACTIONS (SEE NOTE 4)........................................................ 53,042,382 11,824,283
------------ ------------
Total increase in net assets................................................... 50,390,431 6,318,530
NET ASSETS
Beginning of period ............................................................ 55,163,063 48,844,533
------------ ------------
End of period*................................................................... $105,553,494 $ 55,163,063
============ ============
<FN>
- ----------
* Includes undistributed net investment income of $13,735 and $0 for the six months ended February 28, 2006 and the fiscal
year ended August 31, 2005, respectively.
</FN>
The accompanying notes are an integral part of the financial statements.
17
THE SCHNEIDER FUNDS
STATEMENT OF CHANGES IN NET ASSETS
SCHNEIDER
VALUE FUND
--------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------- ---------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
Net investment income ........................................................... $ 170,982 $ 230,923
Net realized gain from investments and foreign currency
transactions, if any .......................................................... 3,572,735 3,824,414
Net change in unrealized appreciation/(depreciation) on investments
and foreign currency transactions, if any ..................................... (399,490) 4,730,598
----------- -----------
Net increase in net assets resulting from operations ............................ 3,344,227 8,785,935
----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................................................... (252,120) (140,505)
Net realized capital gains ...................................................... (4,199,642) (2,857,824)
----------- -----------
Total dividends and distributions to shareholders ............................. (4,451,762) (2,998,329)
----------- -----------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARE
TRANSACTIONS (SEE NOTE 4) ....................................................... 13,677,960 16,952,916
----------- -----------
Total increase in net assets .................................................. 12,570,425 22,740,522
NET ASSETS
Beginning of period ............................................................. 61,146,164 38,405,642
----------- -----------
End of period* .................................................................. $73,716,589 $61,146,164
=========== ===========
<FN>
- ----------
* Includes undistributed net investment income of $78,918 and $160,056 for the six months ended February 28, 2006 and the fiscal
year ended August 31, 2005, respectively.
</FN>
The accompanying notes are an integral part of the financial statements.
18
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31,
FEBRUARY 28, 2006 ------------------------------------------------------------
(UNAUDITED) 2005 2004 2003 2002 2001
----------------- ------ -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE*
Net asset value, beginning of period......... $24.94 $ 29.09 $ 22.52 $ 14.82 $ 17.53 $ 17.57
Net investment income/(loss)................. --** (0.10) (0.13) 0.10 0.03 0.09
Net realized and unrealized gain/(loss)
from investments and foreign currency
transactions, if any(1)................... 2.11 8.01 8.50 7.71 (1.83) 2.75
------ ------- ------- ------- ------- -------
Net increase/(decrease) in net assets
resulting from operations................. 2.11 7.91 8.37 7.81 (1.80) 2.84
------ ------- ------- ------- ------- -------
Dividends and distributions to shareholders
from:
Net investment income........................ -- -- (0.11) (0.03) (0.07) (0.08)
Net realized capital gains................... (4.69) (12.06) (1.69) (0.08) (0.84) (2.80)
------ ------- ------- ------- ------- -------
Total dividends and distributions to
shareholders ......................... (4.69) (12.06) (1.80) (0.11) (0.91) (2.88)
------ ------- ------- ------- ------- -------
Net asset value, end of period .............. $22.36 $ 24.94 $ 29.09 $ 22.52 $ 14.82 $ 17.53
====== ======= ======= ======= ======= =======
Total investment return(2) .................. 9.75% 31.57% 37.99% 53.10% (10.76)% 19.94%
====== ======= ======= ======= ======= =======
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ... $105,553 $55,163 $48,845 $48,920 $45,268 $38,912
Ratio of expenses to average net assets(3) .. 1.10%(4) 1.10% 1.10% 1.10% 1.10% 1.10%
Ratio of expenses to average net assets
without waivers and expense
reimbursements ........................... 1.62%(4) 1.71% 1.74% 1.85% 1.65% 2.02%
Ratio of net investment income to average
net assets(3)............................. 0.04%(4) (0.41)% (0.49)% 0.53% 0.34% 0.71%
Portfolio turnover rate...................... 49.29% 68.87% 110.69% 85.33% 102.46% 79.30%
<FN>
- ----------
* Calculated based on shares outstanding on the first and last day of the respective period, except for dividends and
distributions, if any, which are based on actual shares outstanding on the dates of distributions.
** Amount is less than $0.01 per share.
(1) The amounts shown for each share outstanding throughout the respective period are not in accord with the changes in the
aggregate gains and losses on investments during the respective period because of the timing of sales and repurchases of Fund
shares in relation to fluctuating net asset value during the respective period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of
each period reported and includes reinvestments of dividends and distributions, if any.
(3) Reflects waivers and reimbursements.
(4) Annualized.
</FN>
The accompanying notes are an integral part of the financial statements.
19
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31, FOR THE PERIOD
FEBRUARY 28, 2006 ------------------------------ SEPTEMBER 30, 2002*
(UNAUDITED) 2005 2004 THROUGH AUGUST 31, 2003
---------------- -------- ------- -----------------------
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period ........ $20.55 $ 18.22 $ 14.81 $ 10.00
Net investment income ....................... 0.05 0.07 0.04 0.07
Net realized and unrealized gain
from investments and foreign currency
transactions, if any(1) ................... 0.96 3.40 4.05 4.77
------ ------- ------- -------
Net increase in net assets resulting from
operations................................. 1.01 3.47 4.09 4.84
------ ------- ------- -------
Dividends and distributions to shareholders
from:
Net investment income ....................... (0.08) (0.05) (0.06) (0.03)
Net realized capital gains................... (1.40) (1.09) (0.62) 0.00
------ ------- ------- -------
Total dividends and distributions to
shareholders................................. (1.48) (1.14) (0.68) (0.03)
------ ------- ------- -------
Net asset value, end of period............... $20.08 $ 20.55 $ 18.22 $ 14.81
====== ======= ======= =======
Total investment return(2)................... 5.19% 19.37% 28.21% 48.46%
====== ======= ======= =======
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted).... $73,717 $61,146 $38,406 $11,788
Ratio of expenses to average net assets(3)... 0.85%(4) 0.85% 0.85% 0.85%(4)
Ratio of expenses to average net assets
without waivers and expense reimbursements 1.34%(4) 1.38% 1.96% 4.01%(4)
Ratio of net investment income to average
net assets(3) ............................. 0.55%(4) 0.41% 0.35% 0.72%(4)
Portfolio turnover rate ..................... 46.37% 76.66% 116.60% 98.06%
<FN>
- ----------
* Commencement of operations.
** Calculated based on shares outstanding on the first and last day of the respective period, except for dividends and
distributions, if any, which are based on actual shares outstanding on the dates of distributions.
(1) The amounts shown for each share outstanding throughout the respective period are not in accord with the changes in
the aggregate gains and losses on investments during the respective period because of the timing of sales and
repurchases of Fund shares in relation to fluctuating net asset value during the respective period.
(2) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last
day of each period reported and includes reinvestments of dividends and distributions, if any.
(3) Reflects waivers and reimbursements.
(4) Annualized.
</FN>
The accompanying notes are an integral part of the financial statements.
20
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2006 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988 and is registered under the
Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the 1940 Act, and for other purposes, and a
shareholder of one portfolio is not deemed to be a shareholder of any other
portfolio. Currently, RBB has seventeen active investment portfolios, including
the Schneider Small Cap Value Fund (the "Small Cap Value Fund") and the
Schneider Value Fund (the "Value Fund") (each a "Fund", collectively the
"Funds"), which commenced investment operations on September 2, 1998 and
September 30, 2002, respectively. As of the date hereof, each Fund offers the
Institutional Class.
RBB has authorized capital of thirty billion shares of common stock of which
26.473 billion are currently classified into one hundred and three classes of
Common Stock. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
PORTFOLIO VALUATION -- The Funds' net asset value ("NAV") is calculated once
daily at the close of regular trading hours on the New York Stock Exchange
("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open.
Securities held by the Funds are valued using the closing price or the last sale
price on a national securities exchange or on the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. If there were no sales on that day or the securities
are traded on other over-the-counter markets, the mean of the last bid and ask
prices prior to the market close are used. Short-term debt securities having a
remaining maturity of 60 days or less are amortized to maturity based on their
cost. Debt securities having a remaining maturity of greater than 60 days are
valued at the mean between the bid and ask prices. If the Funds hold foreign
equity securities, the calculation of the Funds' NAV will not occur at the same
time as the determination of the value of the foreign equity securities in the
Funds' portfolio, since these securities are traded on foreign exchanges.
Investments in mutual funds are valued at the funds closing NAV. With the
approval of the Company's Board of Directors, the Funds may use a pricing
service, bank or broker/dealer experienced in providing valuations to value the
Funds' securities. If market quotations are unavailable or deemed unreliable,
securities will be valued by the Funds' Valuation Committee following procedures
adopted by the Board of Directors.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
REPURCHASE AGREEMENTS -- The Funds may purchase securities from financial
institutions subject to the seller's agreement to repurchase them at an
agreed-upon time and price ("repurchase agreements"). The financial institutions
with whom a Fund enters into repurchase agreements are banks and broker/dealers
that Schneider Capital Management, LP ("Adviser" or "SCM") considers
creditworthy. The seller under a repurchase agreement will be required to
maintain the value of the securities as collateral, subject to the agreement at
not less than the repurchase price plus accrued interest. SCM marks to market
daily the value of the collateral, and, if necessary, requires the seller to
deposit additional securities by the next Fund business day. Default by or
bankruptcy of the seller would, however, expose a Fund to possible loss because
21
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
of adverse market action or delays in connection with the disposition of the
underlying securities. For the six months ended February 28, 2006, the Funds did
not enter into any repurchase agreements.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Transactions are
accounted for on the trade date. The cost of investments sold is determined by
use of the specific identification method for both financial reporting and
income tax purposes in determining realized gains and losses on investments.
Interest income is accrued as earned. Dividend income is recorded on the
ex-dividend date. Distributions received on securities that represent a return
of capital or capital gain are recorded as a reduction of cost of investments
and/or as a realized gain. The fund estimates the components of distributions
received that may be considered return of capital distributions or capital gain
distributions. Expenses incurred on behalf of a specific class, fund or fund
family are charged directly to the class, fund or fund family (in proportion to
net assets). Expenses incurred for all of the RBB families (such as director or
professional fees) are charged to all funds in proportion to their average net
assets of the RBB funds, or in such other manner as the Board of Directors deems
fair or equitable. Expenses and fees, including investment advisory and
administration fees, are accrued daily and taken into account for the purpose of
determining the net asset value of the Funds.
FOREIGN CURRENCY TRANSLATION -- Foreign securities, other assets and
liabilities are valued using the foreign currency exchange rate effective at the
end of the reporting period. The books and records of the Funds are maintained
in U.S. dollars. Cost of investments is translated at the currency exchange rate
effective at the trade date. The gain or loss resulting from a change in
currency exchange rates between the trade and settlement dates of a portfolio
transaction is treated as a gain or loss on foreign currency. Likewise, the gain
or loss resulting from a change in currency exchange rates, between the date
income is accrued and paid, is treated as a gain or loss on foreign currency.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income and distributions from net realized capital gains, if any, are declared,
recorded on ex-date and paid at least annually to shareholders. Income dividends
and capital gain distributions are determined in accordance with U.S. federal
income tax regulations, which may differ from generally accepted accounting
principles. These differences include the treatment of non-taxable dividends,
expiring capital loss carryforwards, foreign currency gain/loss, partnerships,
and losses deferred due to wash sales and excise tax regulations. Permanent book
and tax basis differences relating to shareholder distributions will result in
reclassifications within the components of net assets.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each
Fund's intention to continue to qualify for and elect the tax treatment
applicable to regulated investment companies under Subchapter M of the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to its
shareholders which will be sufficient to relieve it from U.S. income and excise
taxes.
OTHER -- In the normal course of business, the Funds may enter into contracts
that provide general indemnifications. The Funds' maximum exposure under these
arrangements is dependent on claims that may be made against the Funds in the
future, and, therefore, cannot be estimated; however, based on experience, the
risk of material loss for such claims is considered remote.
22
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
SCM serves as each Fund's investment adviser. For its advisory services, SCM
is entitled to receive 1.00% of the Small Cap Value Fund's average daily net
assets and 0.70% of the Value Fund's average daily net assets, computed daily
and payable monthly.
The Adviser contractually agreed to limit the Small Cap Value Fund's and the
Value Fund's total operating expenses for the current fiscal year to the extent
that such expenses exceed 1.10% and 0.85%, respectively, of the Fund's average
daily net assets. As necessary, this limitation is effected in waivers of
advisory fees and reimbursements of other fund expenses. For the six months
ended February 28, 2006, investment advisory fees and waivers of expenses were
as follows:
GROSS ADVISORY FEES WAIVERS NET ADVISORY FEES
------------------- ---------- -----------------
Schneider Small Cap Value Fund $318,053 $(122,042) $196,011
Schneider Value Fund 216,479 (114,915) 101,564
The Funds will not pay SCM at a later time for any amounts it may waive or
any amounts that SCM has assumed.
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide, Inc. and an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc.,
serves as administrator for the Funds. For providing administration and
accounting services, PFPC is entitled to receive a monthly fee equal to an
annual rate of 0.125% of each Fund's average daily net assets, subject to a
minimum monthly fee of $8,333 per Fund plus out of pocket expenses. PFPC
voluntarily agreed to waive a portion of its administration and accounting
services fees for the Funds. For the six months ended February 28, 2006, PFPC's
administration and accounting services fees and waivers of the Funds expenses
were as follows:
GROSS ADMINISTRATION NET ADMINISTRATION
AND ACCOUNTING AND ACCOUNTING
SERVICES FEES WAIVERS SERVICES FEES
-------------------- -------- ------------------
Schneider Small Cap Value Fund $59,584 $(3,500) $56,084
Schneider Value Fund 58,396 -- 58,396
Included in the administration and accounting services fees and expenses,
shown above, are fees for providing regulatory administration services to RBB.
For providing these services, PFPC is entitled to receive compensation as agreed
to by the Company and PFPC. This fee is allocated to each Portfolio in
proportion to its net assets of the RBB Funds.
23
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
In addition, PFPC serves as the Fund's transfer and dividend disbursing
agent. For providing transfer agent services, PFPC is entitled to receive a
monthly fee, subject to a minimum monthly fee of $2,000 per Fund, plus out of
pocket expenses. For the six months ended February 28, 2006, transfer agency
fees for the Funds were as follows:
TRANSFER
AGENT FEES
----------
Schneider Small Cap Value Fund $17,465
Schneider Value Fund 25,279
For providing custodian services, PFPC Trust Co. is entitled to receive a
monthly fee equal to an annual rate of 0.015% of each Fund's average daily gross
assets, subject to a minimum monthly fee of $1,000 per Fund. For the six months
ended February 28, 2006, custodial fees for the Funds were as follows:
CUSTODIAN
FEES
---------
Schneider Small Cap Value Fund $30,392
Schneider Value Fund 21,863
PFPC Distributors, Inc., ("PFPC Distributors"), a wholly-owned subsidiary of
PFPC Worldwide, Inc. and an indirect wholly-owned subsidiary of The PNC
Financial Services Group, Inc., provides certain administrative services to the
Funds. As compensation for such administrative services, PFPC Distributors
receives a monthly fee equal to an annual rate of 0.15% of each Fund's average
daily net assets. PFPC Distributors voluntarily agreed to waive a portion of its
administrative services fees for the Funds. For the six months ended February
28, 2006, administrative services fees and related waivers for the Funds were as
follows:
GROSS
ADMINISTRATIVE NET ADMINISTRATIVE
SERVICES FEES WAIVERS SERVICES FEES
-------------- --------- ------------------
Schneider Small Cap Value Fund $47,708 $(41,347) $6,361
Schneider Value Fund 46,388 (37,111) 9,277
As of February 28, 2006, the Small Cap Value Fund and Value Fund owed PFPC
and affiliates $21,076 and $17,648, respectively, for their services.
3. INVESTMENT IN SECURITIES
For the six months ended February 28, 2006, aggregate purchases and sales of
investment securities (excluding short-term investments) were as follows:
PURCHASES SALES
----------- -----------
Schneider Small Cap Value Fund $75,727,996 $32,525,513
Schneider Value Fund 32,236,394 27,612,600
24
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
4. CAPITAL SHARE TRANSACTIONS
As of February 28, 2006, each Fund has 100,000,000 shares of $0.001 par value
common stock authorized.
Transactions in capital shares for the respective periods were as follows:
SCHNEIDER SMALL CAP VALUE FUND
----------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED
---------------------------- -----------------------------
FEBRUARY 28, 2006 AUGUST 31, 2005
---------------------------- -----------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- -------- -----------
Sales ................................... 2,237,089 $47,859,842 21,466 $ 505,284
Reinvestments............................ 465,188 9,727,086 869,921 19,616,726
Redemption Fees*......................... -- 926 -- 204
Repurchases.............................. (193,635) (4,545,472) (358,408) (8,297,931)
--------- ----------- -------- -----------
Net increase/(decrease) 2,508,642 $53,042,382 532,979 $11,824,283
========= =========== ======== ===========
SCHNEIDER VALUE FUND
----------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE FISCAL YEAR ENDED
---------------------------- ------------------------------
FEBRUARY 28, 2006 AUGUST 31, 2005
---------------------------- ------------------------------
SHARES AMOUNT SHARES AMOUNT
--------- ------------ --------- ------------
Sales.................................... 1,215,317 $ 24,148,639 1,349,985 $ 26,451,721
Reinvestments............................ 207,467 4,014,477 138,571 2,724,308
Redemption Fees* ........................ -- 3,465 -- 4,758
--------- ------------ --------- ------------
Repurchases ............................. (725,975) (14,488,621) (621,719) (12,227,871)
--------- ------------ --------- ------------
Net increase............................. 696,809 $ 13,677,960 866,837 $ 16,952,916
========= ============ ========= ============
<FN>
* There is a 1.75% redemption fee on shares redeemed which have been held less than one year in the Schneider
Small Cap Value Fund. There is a 1.00% redemption fee on shares redeemed which have been held less than 90
days in the Schneider Value Fund. The redemption fees are retained by the Funds for the benefit of the
remaining shareholders and recorded as paid-in capital.
</FN>
As of February 28, 2006, the following shareholders held 10% or more of the
outstanding shares of the Funds. These shareholders may be omnibus accounts
which are comprised of many individual shareholders.
Schneider Small Cap Value Fund (2 shareholders) 31%
Schneider Value Fund (2 shareholders) 31%
25
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2006 (UNAUDITED)
5. FEDERAL INCOME TAX INFORMATION
At February 28 2006, Federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by the Funds were as follows:
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION DEPRECIATION
----------- ------------ ------------ ------------
Schneider Small Cap Value Fund $91,564,458 $19,078,136 $(3,735,135) $15,343,001
Schneider Value Fund 64,908,652 9,150,973 (1,204,228) 7,946,745
As of August 31, 2005, the components of distributable earnings on a tax basis
were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY INCOME LONG-TERM GAINS
--------------- ---------------
Schneider Small Cap Value Fund $1,183,058 $7,419,064
Schneider Value Fund 1,643,293 1,417,996
At August 31, 2005, the Funds had no capital loss carryforwards available to
offset future capital gains.
Under Federal tax law, foreign currency and capital losses realized after
October 31 may be deferred and treated as having arisen on the first day of the
following fiscal year. For the six months ended February 28, 2006, there were no
post-October losses incurred in the Funds. The differences between the book and
tax basis components of distributable earnings relate principally to the timing
of recognition of income and gains for federal income tax purposes. Short-term
and foreign currency gains are reported as ordinary income for federal tax
purposes.
6. IN KIND TRANSFER OF SECURITIES
For the six months ended February 28, 2006, the Schneider Value Fund received
portfolio securities in lieu of cash for shareholder subscriptions. The value of
these subscriptions was as follows:
VALUE OF THE FUND SHARES
SUBSCRIPTIONS SUBSCRIPTIONS
------------- -------------
$9,428,954 477,899
26
THE SCHNEIDER FUNDS
OTHER INFORMATION
(UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Funds use to determine how to vote proxies
relating to portfolio securities as well as information regarding how the Funds
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30 are available without charge, upon request, by calling
(888) 520-3277 and on the Securities and Exchange Commission's ("SEC") website
at http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Company will file a complete schedule of portfolio holdings with the SEC
for the first and third fiscal quarters of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on
the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
27
INVESTMENT ADVISER
Schneider Capital Management
460 E. Swedesford Road
Suite 1080
Wayne, PA 19087
ADMINISTRATOR
PFPC Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02860
DISTRIBUTOR
PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103-6996
================================================================================
BOGLE
INVESTMENT
MANAGEMENT
SMALL CAP
GROWTH FUND
OF THE RBB FUND, INC.
SEMIANNUAL REPORT
FEBRUARY 28, 2006
(UNAUDITED)
This report is submitted for the general information of the shareholders of the
Fund. It is not authorized for distribution unless preceded or accompanied by a
current prospectus for the Fund.
================================================================================
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
SEMIANNUAL REPORT FOR THE SIX-MONTH PERIOD ENDED FEBRUARY 28, 2006
- --------------------------------------------------------------------------------
Fellow Shareholder:
Beating its benchmark in all six months of the semiannual period ended February
28, 2006, the Bogle Small Cap Growth Fund (the "Fund") outperformed the
benchmark Russell 2000(R) by +9.11%*, returning +19.34% for the Investor shares
and +19.39% for the Institutional shares. The unmanaged Russell 2000(R) Index of
smaller companies gained +10.23% over the six-month time period (all of these
results are unannualized). The Fund's latest stretch of positive relative
performance, which began in December of 2004 and extended through the end of
this latest reporting period, is attributed to positive performance from all
three of our primary investment models and positive stock selection in most
sectors, including robust relative performance in the technology sector. As
shown in the chart below, the Fund has outperformed its benchmark in all
multi-year periods since inception in 1999. With the exception of 2004, the Fund
has also stayed ahead of its benchmark in each calendar year since inception.
The recent market environment is discussed in more detail in the next section of
this letter. This is followed by performance attribution analysis, which
explains the results generated by our investment models during the semiannual
period, illustrating sources of value added with a few stock specific examples.
We then present key fundamental characteristics of the Fund and benchmark,
highlighting the Fund's likeness to the benchmark due to our risk controls.
Finally, we close with an update on developments at Bogle Investment Management,
L.P.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INVESTMENT PERFORMANCE -- MULTI-PERIODS
BOGLE FUND VS. RUSSELL 2000(R) BENCHMARK
AS OF 2/28/06
BOGLE BOGLE RUSSELL 2000(R) INVESTOR CLASS
INVESTOR CLASS INSTITUTIONAL CLASS INDEX NET VALUE ADDED
Semiannual Period (9/1/04 - 2/28/05) 19.3% 19.4% 10.2% 9.1%
One-Year Period (3/1/04 - 2/28/05) 29.4 29.5 16.6 12.8
Two-Year Period (3/1/03 - 2/28/05) 16.2 16.3 13.0 3.2
Three-Year Period (3/1/01 - 2/28/05) 33.2 33.3 28.0 5.2
Five-Year Period (3/1/00 - 2/28/05) 15.5 15.6 10.4 5.1
Since Inception (10/1/99 - 2/28/05) 20.2 20.3 10.1 10.1
*Russell 2000(R) Index versus Investor Class shares, net of fees.
- ----------
ALL FUND RETURNS ARE PRESENTED NET OF FEES. NET VALUE ADDED FOR ANY GIVEN PERIOD
IS CALCULATED AS THE FUNDS' NET RETURN FOR THAT PERIOD MINUS THE RETURN OF THE
BENCHMARK RUSSELL 2000(R) FOR THAT PERIOD. THE PERFORMANCE DATA QUOTED
REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END MAY BE OBTAINED AT 1-877-264-5346. THE INVESTMENT RETURN AND PRINCIPAL
VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
THE PERFORMANCE QUOTED MAY REFLECT FEE WAIVERS IN EFFECT, AND WOULD HAVE BEEN
LESS IN THEIR ABSENCE. ALL FIGURES SHOWN REPRESENT TOTAL RETURN, WHICH IS BASED
ON NET CHANGE IN NAV WITH REINVESTMENT OF ALL DISTRIBUTIONS. RETURNS FOR PERIODS
LESS THAN ONE YEAR ARE AGGREGATE AND FOR PERIODS GREATER THAN ONE YEAR ARE
ANNUALIZED.
1
MARKET ENVIRONMENT. U.S. equity market performance was generally positive in the
semiannual reporting period. The last four months of 2005 saw modestly positive
performance, as negative results through October were more than offset by
positive performance in November and December. The lack of a strong year-end
rally, when compared to the year-end rallies of the last few years, likely set
the stage for the strong market bounce experienced in January of 2006. The
bounce was notably pronounced in small cap stocks, and indeed much of the
semiannual period performance for the benchmark occurred in January (the Russell
2000(R) advanced +8.97% in this month alone). All Russell(R) market sub-segments
ended the semiannual period in positive territory. Small capitalization stocks
fared particularlY well during the six-month period, due primarily to their
strong January performance, as the Russell 2000(R) Index returned +10.23%,
compared with a +6.20% return for the Russell 1000(R) Index of larger stocks.
Within small capitalization stocks, growth outperformeD value by nearly three
percentage points overall and in four out of the six months of the semiannual
period. For the six months ended February 28, 2006, the Russell 2000(R) Growth
advanced +11.69%, while the Russell 2000(R) Value gained +8.80%. Despite
continUed macroeconomic uncertainty (related to concerns about rising oil
prices, interest rates, and future corporate earnings growth), the Fund's recent
performance indicates to us that investors are paying some attention to
stock-specific fundamentals. Further, the recent performance of our earnings
expectations model, specifically during earnings announcement periods, suggests
to us that earnings trends have been sustainable over the last twelve to
fourteen months, and particularly for those companies applying conservative
accounting techniques.
PERFORMANCE ATTRIBUTION. According to our return attribution analysis, positive
stock selection accounted for nearly all of the Fund's outperformance relative
to its benchmark in the semiannual period. Recall that our three primary models
seek to identify the following: 1) stocks that have demonstrated the ability to
produce earnings growth (the earnings expectations model); 2) companies that do
not have to manufacture earnings growth through aggressive accounting (financial
quality model); and 3) stocks that trade at attractive valuations relative to
their most similar peers (relative valuation model). In the most recent period,
the Fund benefited from positive contributions from all three models, with the
strongest contribution coming from the earnings expectations model. The earnings
expectations and the financial quality models also helped us avoid stocks with
poor earnings and operational trends. The combination of the models provided
robust returns, as stock selection added approximately nine percentage points of
value over the benchmark return for the six-month period. Stock selection was
strongest in energy, industrial and technology stocks, while the largest
contribution to return came from stock selection within the technology and
financial sectors. Note that these two sectors currently represent a little more
than 40% of both the Fund's and benchmark's allocations.
At the end of the semiannual period, the Fund held 176 stocks and the largest
holding represented 1.2% of portfolio assets. This diversification limits the
impact any single stock can have on total Fund performance. Despite this lack of
portfolio concentration, it is interesting to look at stock-specific
illustrations of investment performance during the reporting period. For
example, Xyratex Ltd., a company providing network storage subsystem technology
as well as disk drive process and test technology, looked attractive from a
relative valuation and financial quality perspective at the start of this latest
semiannual period. Price performance started to improve in November, and in
January the company announced strong earnings, surpassing expectations. From
early November through the end of February, the stock advanced more than 80%.
Core Laboratories, an oil & gas services company, entered our portfolio in
mid-2004 because of its good
2
financial quality rating, and started doing especially well according to our
earnings expectations signal in October 2005. The company posted record results
for the fourth quarter 2005. Both of these examples illustrate the potential
ability of our financial quality model to predict future earnings strength. GFI
Group is an example of a profitable Fund investment in the financial sector. The
company, which provides brokerage services to institutional clients, strongly
outperformed its peers during the annual period, maintaining attractive earnings
growth prospects through February 2006 and advancing more than 80% over the six
months ended February 28, 2006. Of course, not every investment works out and we
cannot always avoid companies that experience revenue and earnings shortfalls,
events that can have a severely negative impact on stock prices. For example,
the Fund's investment in Skyworks Solutions was profitable for the six months
ended August 2005, but faltered when the company warned of a revenue shortfall
in its fiscal fourth quarter. As of the end of February 2006, we continued to
hold this stock in the Fund, as it maintained favorable financial quality and
relative valuation rankings.
INVESTMENT POSITIONING. We strive to maintain Fund characteristics in line with
the benchmark. Note that small deviations from benchmark reflected in both
sector exposures and the fundamental characteristics of the Fund arise purely
from the bottom-up stock selection process and do not reflect any attempt to
time the overall market, style preferences, or sector rotation. As of the end of
February 2006, our median market capitalization was below benchmark. By
continuing to keep the size of the Fund controlled, we benefit from the ability
to maintain exposure to the smaller companies within the small cap market. The
Fund maintains a bias to companies with modestly higher long-term earnings
growth rates and price-to-earnings ratios; however, the Fund's median
price-to-sales ratio continues to be lower than the benchmark, reflecting its
primacy in our relative valuation model.
FUNDAMENTAL CHARACTERISTICS
FEBRUARY 28, 2006
RUSSELL
MEDIAN BOGLX 2000(R)
- -------- ------- --------
Market Cap. (mil.) $876 $1,143
Estimated Long-Term Earnings
Growth Rate 16.8% 15.5%
Price/Historical Earnings 24.4x 22.7x
Price/Forward Earnings 19.2x 18.6x
Price/Sales 1.2x 2.1x
PROGRESS AT BOGLE INVESTMENT MANAGEMENT. L.P. Our team has not changed over the
last six months, remaining at twelve full-time professionals, five dedicated to
portfolio management and research and seven focused on client service,
compliance, and operations. At the end of February 2006, assets in the Fund were
just over $367 million and the Fund remains closed to new investors. After more
than six years in our original office space, we recently took advantage of an
opportunity to move to a slightly larger office space, not far from where we set
up shop in late-1999. Please continue to send all investment-related
correspondence to our transfer agent, PFPC; but if you wish to reach us in the
investment management office, please make note of our new address as shown on
the back cover of this report. Our phone numbers remain the same.
As a reminder, information about the Fund, including historical NAVs, sector
allocation, fundamental characteristics, and top ten holdings, can be viewed on
our website, WWW.BOGLEFUNDS.COM. The NAVs are updated daily while the other Fund
information is updated quarterly.
3
Please feel free to call on us at any time with questions you may have about the
portfolio or anything else that might be on your mind.
Respectfully,
Bogle Investment Management, L.P.
Management Office: 781-283-5000
Shareholder Services Toll Free: 1-877-BOGLEIM (264-5346)
The Russell(R) Indexes are a trademark of the Frank Russell Company ("FRC"). FRC
is the owner of the copyrights relating to the RusselL Indexes and is the source
of the Performance Values for the Russell Indexes.
The Russell 2000(R) is an index of stocks 1001 through 3000 in the Russell
3000(R) Index, as ranked by total market capitalization. The index is unmanaged
and not available for direct investment. Unlike a mutual fund, the performance
of an index assumes no taxes, transaction costs, management fees or other
expenses.
The fund is actively managed on a daily basis, and the securities mentioned
herein may not be representative of current or future composition of the
portfolio. For more specific information about fund holdings, please refer to
the Portfolio of Investments section in this report.
Investing in small companies can involve more volatility, less liquidity, and
less publicly available information than investing in large companies.
4
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, shareholder servicing
fees and other Fund expenses. These examples are intended to help you understand
your ongoing costs (in dollars) of investing in the Fund and to compare these
costs with the ongoing costs of investing in other mutual funds.
These examples are based on an investment of $1,000 invested at the beginning of
the six-month period from September 1, 2005 through February 28, 2006, and held
for the entire period.
ACTUAL EXPENSES
The first line of the accompanying tables 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 entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the accompanying tables 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 the Fund and other funds. To do so, compare these
5% hypothetical examples with the 5% hypothetical examples that appear in the
shareholder reports of other funds.
Please note that the expenses shown in the accompanying tables are meant to
highlight your ongoing costs only and do not reflect any transactional costs,
such as redemption fees. Therefore, the second line of the accompanying tables
is useful in comparing ongoing costs only, and will not help you determine the
relative total costs of owning different funds. In addition, if these
transactional costs were included, your costs would have been higher.
INSTITUTIONAL CLASS
----------------------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------------- -------------------- --------------------
Actual $1,000.00 $1,193.90 $6.80
Hypothetical
(5% return before
expenses) 1,000.00 1,018.52 6.28
5
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FUND EXPENSE EXAMPLES (CONCLUDED)
(UNAUDITED)
INVESTOR CLASS
----------------------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2005 FEBRUARY 28, 2006 PERIOD*
----------------------- -------------------- --------------------
Actual $1,000.00 $1,193.40 $7.34
Hypothetical
(5% return before
expenses) 1,000.00 1,018.02 6.78
- ----------
*Expenses are equal to the Fund's annualized expense ratio of 1.25% for the
Institutional Class and 1.35% for the Investor Class, which includes waived
fees or reimbursed expenses, multiplied by the average account value over the
period, multiplied by the number of days (181) in the most recent fiscal
half-year, then divided by 365 to reflect the one-half year period. The Fund's
ending account values on the first line in each table are based on the actual
total return for each class of 19.39% for the Institutional Class and 19.34%
for the Investor Class.
6
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
(UNAUDITED)
% OF NET
SECURITY TYPE & SECTOR CLASSIFICATION ASSETS VALUE
- ---------------------------------------------------------------------------------------------------------------------
COMMON STOCKS:
Technology 28.1% $103,357,609
Industrial 16.1% 59,217,268
Financial 16.1% 58,981,577
Consumer Growth 14.5% 53,199,391
Consumer Cyclical 12.8% 46,928,066
Energy 6.2% 22,856,055
Basic Industry 3.8% 13,940,241
Utility 0.6% 2,310,488
SHORT-TERM INVESTMENTS 1.7% 6,174,723
OTHER ASSETS IN EXCESS OF LIABILITIES 0.1% 209,523
-------- ------------
NET ASSETS 100.0% $367,174,941
======== ============
The accompanying notes are an integral part of the financial statements.
7
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2006 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
COMMON STOCKS--98.2%
BASIC INDUSTRY--3.8%
Braskem S.A. - ADR ............................ 71,200 $ 1,221,080
Crown Holdings, Inc.* ......................... 178,300 3,262,890
H.B. Fuller Co. ............................... 75,600 3,069,360
IPSCO, Inc. ................................... 22,100 2,131,545
Spartech Corp. ................................ 99,000 2,395,800
Steel Technologies, Inc. ...................... 67,400 1,859,566
------------
13,940,241
------------
CONSUMER CYCLICAL--12.8%
Ameristar Casinos, Inc. ........................ 77,900 1,720,811
Barnes & Noble, Inc. ........................... 37,100 1,597,897
Cache, Inc.* ................................... 73,200 1,272,216
Callaway Golf Co. .............................. 147,400 2,430,626
CKE Restaurants, Inc. .......................... 130,400 2,218,104
Conn's, Inc.* .................................. 39,600 1,475,100
CSK Auto Corp.* ................................ 116,200 1,848,742
Domino's Pizza, Inc. ........................... 80,600 2,055,300
Furniture Brands
International, Inc. .......................... 91,800 2,269,296
Gymboree Corp., (The)* ......................... 98,200 2,244,852
Intrawest Corp. ................................ 32,300 1,028,432
Jack in the Box, Inc.* ......................... 52,500 2,100,000
Lions Gate
Entertainment Corp.* ......................... 200,500 1,810,515
LoJack Corp.* .................................. 92,800 2,111,200
Longs Drug Stores Corp. ........................ 14,400 552,528
Pantry, Inc., (The)* ........................... 49,000 2,899,330
Phillips-Van Heusen Corp. ...................... 68,300 2,424,650
Reinsurance Group of
America, Inc. ................................ 50,900 2,353,107
Ryder System, Inc. ............................. 43,700 1,937,658
Skechers U.S.A., Inc.,
Class A* ..................................... 124,000 2,628,800
Sonic Automotive, Inc.,
Class A ...................................... 72,900 1,931,121
Stein Mart, Inc. ............................... 58,200 970,776
Steven Madden Ltd.* ............................ 76,100 2,439,005
United Auto Group, Inc. ........................ 33,800 1,461,512
Vail Resorts, Inc.* ............................ 34,700 1,146,488
------------
46,928,066
------------
NUMBER
OF SHARES VALUE
--------- ------------
CONSUMER GROWTH--14.5%
Air Methods Corp.* ............................. 116,700 $ 2,766,957
Align Technology, Inc.* ........................ 92,700 756,432
Alpharma, Inc., Class A ........................ 122,500 3,705,625
AngioDynamics, Inc.* ........................... 107,900 2,709,369
Anika Therapeutics, Inc.* ...................... 9,600 131,712
Aspreva Pharmaceuticals
Corp.* ...................................... 79,600 2,079,948
Chemed Corp. ................................... 15,700 870,408
Cutera, Inc.* .................................. 85,000 2,302,650
Dade Behring Holdings, Inc. .................... 83,800 3,057,024
Datascope Corp. ................................ 3,000 114,450
Education Management
Corp.* ....................................... 77,800 2,925,280
Escala Group, Inc.* ............................ 100,600 2,499,910
Haemonetics Corp.* ............................. 45,700 2,367,260
Hi-Tech Pharmacal Co., Inc.* ................... 105,600 2,601,984
Kendle International, Inc.* .................... 101,800 3,232,150
Magellan Health Services,
Inc.* ........................................ 56,900 2,173,011
Natus Medical, Inc.* ........................... 149,500 2,984,020
NMT Medical, Inc.* ............................. 105,200 2,503,760
Nutri/System, Inc.* ............................ 75,800 3,257,126
PerkinElmer, Inc. .............................. 64,000 1,522,560
Pharmion Corp.* ................................ 120,000 1,982,400
Playtex Products, Inc.* ........................ 172,000 1,806,000
Scholastic Corp.* .............................. 84,600 2,488,932
Steiner Leisure Ltd.* .......................... 55,370 2,360,423
------------
53,199,391
------------
ENERGY--6.2%
Advanced Energy Industries,
Inc.* ........................................ 145,600 2,084,992
Core Laboratories N.V.* ........................ 93,400 4,282,390
Distributed Energy Systems
Corp.* ....................................... 116,800 1,089,744
Frontier Oil Corp. ............................. 77,100 3,565,875
Giant Industries, Inc.* ........................ 13,900 808,980
Mitcham Industries, Inc.* ...................... 121,200 2,030,100
NATCO Group, Inc.,
Class A* ..................................... 64,600 1,600,788
RPC, Inc. ...................................... 79,500 1,684,605
The accompanying notes are an integral part of the financial statements.
8
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
ENERGY--(CONTINUED)
Tesoro Corp. ................................... 57,600 $ 3,479,616
VAALCO Energy, Inc.* ........................... 340,300 2,228,965
------------
22,856,055
------------
FINANCIAL--16.1%
American Physicians Capital, Inc.* ............. 37,000 1,823,730
Arch Capital Group
Ltd.* ........................................ 52,400 2,963,744
Aspen Insurance Holdings Ltd. .................. 24,000 557,040
Banco Itau Holding
Financeira S.A. - ADR ........................ 119,400 3,901,992
Calamos Asset Management,
Inc., Class A ................................ 96,200 3,691,194
Cash America International, Inc. ............... 41,500 1,112,200
Commerce Group, Inc., (The) .................... 26,400 1,425,864
Endurance Specialty
Holdings, Ltd. ............................... 77,800 2,450,700
EZCORP, Inc., Class A* ......................... 156,500 3,385,095
First American Corp. ........................... 52,300 2,204,968
First BanCorp .................................. 94,100 1,191,306
First Community Bancorp ........................ 20,600 1,230,232
GFI Group, Inc.* ............................... 67,800 4,072,068
Investment Technology
Group, Inc.* ................................. 27,700 1,259,796
Janus Capital Group, Inc. ...................... 40,600 890,358
LandAmerica Financial Group, Inc. .............. 42,300 2,821,410
Max Re Capital Ltd. ............................ 102,000 2,489,820
Nationwide Financial
Services, Inc.,
Class A ...................................... 7,000 300,020
optionsXpress Holding, Inc. .................... 30,200 929,556
Platinum Underwriters
Holdings Ltd. ................................ 90,900 2,783,358
Quanta Capital Holdings
Ltd.* ........................................ 447,200 2,079,480
Safety Insurance Group,
Inc. ......................................... 61,800 2,671,614
Selective Insurance Group,
Inc. ......................................... 42,800 2,320,616
NUMBER
OF SHARES VALUE
--------- ------------
FINANCIAL--(CONTINUED)
StanCorp Financial Group,
Inc. ......................................... 62,400 $ 3,375,840
Stewart Information
Services Corp. ............................... 34,300 1,610,385
Tower Group, Inc. .............................. 120,500 2,179,845
UICI ........................................... 40,900 1,500,621
Zenith National Insurance
Corp. ........................................ 34,150 1,758,725
------------
58,981,577
------------
INDUSTRIAL--16.1%
A.O. Smith Corp. ............................... 47,100 2,180,730
AMERCO* ........................................ 43,800 3,891,192
Brink's Co., (The) ............................. 33,400 1,635,598
Builders FirstSource, Inc.* .................... 79,100 1,875,461
C&D Technologies, Inc. ......................... 151,500 1,293,810
Celadon Group, Inc.* ........................... 119,550 2,881,155
Columbus McKinnon Corp.* ....................... 159,300 4,285,170
CommScope, Inc.* ............................... 118,900 2,852,411
Consolidated Graphics, Inc.* ................... 46,100 2,354,327
EGL, Inc.* ..................................... 57,900 2,342,055
EMCOR Group, Inc.* ............................. 9,200 401,028
Greif, Inc., Class A ........................... 7,300 422,743
Herman Miller, Inc. ............................ 18,200 549,458
Hub Group, Inc., Class A* ...................... 68,200 2,843,940
Ingram Micro, Inc., Class A* ................... 106,200 2,100,636
Laidlaw International, Inc. .................... 37,700 1,040,520
McDermott International,
Inc.* ........................................ 44,500 2,293,975
MPS Group, Inc.* ............................... 159,800 2,419,372
On Assignment, Inc.* ........................... 199,600 2,213,564
Pacer International, Inc. ...................... 93,600 2,981,160
R.H. Donnelley Corp.* .......................... 31,000 1,891,000
Spherion Corp.* ................................ 267,900 2,673,642
Stamps.com, Inc.* .............................. 90,700 2,921,447
Tennant Co. .................................... 41,500 1,938,050
Thomas & Betts Corp.* .......................... 56,700 2,789,640
U.S. Concrete, Inc.* ........................... 166,500 2,086,245
Universal Forest Products, Inc. ................ 33,300 2,058,939
------------
59,217,268
------------
The accompanying notes are an integral part of the financial statements.
9
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)FEBRUARY 28, 2006
(UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
TECHNOLOGY--28.1%
24/7 Real Media, Inc.* ......................... 291,600 $ 2,574,828
Advent Software, Inc.* ......................... 70,200 1,951,560
Agere Systems, Inc.* ........................... 56,300 756,109
Alloy, Inc.* ................................... 168,775 2,222,767
ANADIGICS, Inc.* ............................... 387,100 2,442,601
Ansoft Corp.* .................................. 72,400 2,835,908
Arris Group, Inc.* ............................. 143,600 1,822,284
Aspen Technology, Inc.* ........................ 234,500 2,809,310
Asyst Technologies, Inc.* ...................... 298,300 2,911,408
Brightpoint, Inc.* ............................. 125,700 3,556,053
CalAmp Corp.* .................................. 900 9,045
Comtech Group, Inc.* ........................... 226,100 2,242,912
CryptoLogic, Inc. .............................. 111,900 2,825,475
Cymer, Inc.* ................................... 22,900 1,030,042
ECI Telecom Ltd.* .............................. 248,800 2,169,536
eDiets.com, Inc.* .............................. 317,700 2,557,485
Embratel Participacoes
S.A. - ADR ................................... 33,700 430,012
Extreme Networks, Inc.* ........................ 304,900 1,411,687
Hyperion Solutions Corp.* ...................... 16,350 548,543
i2 Technologies, Inc.* ......................... 49,100 844,029
Informatica Corp.* ............................. 33,700 539,874
InfoSpace, Inc.* ............................... 92,300 2,225,353
Intergraph Corp.* .............................. 27,300 989,898
LaserCard Corp.* ............................... 42,300 772,821
Lawson Software, Inc.* ......................... 180,100 1,431,795
Mattson Technology, Inc.* ...................... 170,200 2,056,016
McDATA Corp., Class A* ......................... 229,300 1,013,506
Netlogic Microsystems, Inc.* ................... 69,500 2,456,825
NICE Systems Ltd. - ADR* ....................... 11,000 572,660
ON Semiconductor Corp.* ........................ 197,300 1,300,207
Orbotech Ltd.* ................................. 95,200 2,268,616
Orckit Communications
Ltd.* ........................................ 85,800 2,145,000
Planar Systems, Inc.* .......................... 117,300 1,822,842
Plexus Corp.* .................................. 122,200 4,101,032
Rackable Systems, Inc.* ........................ 41,900 1,652,117
Radiant Systems, Inc.* ......................... 60,000 856,800
RADVision Ltd.* ................................ 116,600 2,337,830
RealNetworks, Inc.* ............................ 167,000 1,312,620
Silicon Image, Inc.* ........................... 181,300 1,979,796
Skyworks Solutions, Inc.* ...................... 248,100 1,305,006
NUMBER
OF SHARES VALUE
--------- ------------
TECHNOLOGY--(CONTINUED)
SonicWALL, Inc.* ............................... 294,300 $ 1,974,753
SPSS, Inc.* .................................... 75,700 2,470,848
Standard Microsystems
Corp.* ....................................... 31,800 1,034,136
Stratex Networks, Inc.* ........................ 197,500 1,015,150
Sykes Enterprises, Inc.* ....................... 172,900 2,303,028
Tekelec* ....................................... 135,800 1,821,078
TheStreet.com, Inc. ............................ 297,300 2,307,048
TradeStation Group, Inc.* ...................... 150,800 2,394,704
TriQuint Semiconductor,
Inc.* ........................................ 226,100 1,071,714
TriZetto Group, Inc., (The)* ................... 188,700 3,162,612
United Online, Inc. ............................ 128,400 1,542,084
Vignette Corp.* ................................ 155,200 2,498,720
Xyratex Ltd.* .................................. 127,500 3,225,750
Zoran Corp.* ................................... 138,600 2,741,508
Zygo Corp.* .................................... 157,200 2,702,268
------------
103,357,609
------------
UTILITY--0.6%
Compania Anonima Nacional
Telefonos de Venezuela -
ADR ......................................... 133,400 2,310,488
------------
TOTAL COMMON STOCKS
(Cost $279,918,205) ....................... 360,790,695
------------
SHORT TERM INVESTMENTS--1.7%
Columbia Prime Reserves Fund
4.49% 03/01/06 ............................... 6,174,723 6,174,723
------------
TOTAL SHORT-TERM
INVESTMENTS
(Cost $6,174,723) .................................... 6,174,723
------------
TOTAL INVESTMENTS--99.9%
(Cost $286,092,928) ....................................... 366,965,418
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% ......................................... 209,523
NET ASSETS--100.0% .......................................... $367,174,941
============
- ----------
* Non-income producing.
ADR -- American Depository Receipt.
The accompanying notes are an integral part of the financial statements.
10
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2006
(UNAUDITED)
ASSETS
Investments, at value (cost - $286,092,928) .................. $366,965,418
Receivable for investments sold .............................. 4,583,834
Receivable for capital shares sold ........................... 1,214,614
Dividends and interest receivable ............................ 182,108
Prepaid expenses and other assets ............................ 38,341
------------
Total assets ............................................... 372,984,315
------------
LIABILITIES
Payable for investments purchased ............................ 5,145,824
Payable for capital shares redeemed .......................... 237,775
Payable to the adviser ....................................... 283,059
Accrued expenses and other liabilities ....................... 142,716
------------
Total liabilities .......................................... 5,809,374
------------
NET ASSETS
Capital stock, $0.001 par value .............................. 12,499
Paid-in capital .............................................. 247,977,584
Accumulated net investment loss .............................. (1,094,762)
Accumulated net realized gain from investments ............... 39,407,130
Net unrealized appreciation on investments ................... 80,872,490
------------
Net assets ................................................. $367,174,941
============
INSTITUTIONAL CLASS
Net assets ................................................... $207,121,152
------------
Shares outstanding ........................................... 7,032,004
------------
Net asset value, offering and redemption price per share ..... $ 29.45
============
INVESTOR CLASS
Net assets ................................................... $160,053,789
------------
Shares outstanding ........................................... 5,466,894
------------
Net asset value, offering and redemption price per share ..... $ 29.28
============
The accompanying notes are an integral part of the financial statements.
11
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENT OF OPERATIONS
(UNAUDITED)
FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2006
-----------------
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $17,150) ...... $ 1,029,780
-----------
Total investment income ...................................... 1,029,780
-----------
EXPENSES
Advisory fees ................................................ 1,642,715
Administrative service fees .................................. 246,407
Administration and accounting fees ........................... 227,040
Shareholder servicing fees ................................... 71,148
Transfer agent fees .......................................... 70,442
Custodian fees ............................................... 49,282
Professional fees ............................................ 39,036
Printing and shareholder reporting fees ...................... 27,195
Directors' and officers' fees ................................ 26,308
Registration and filing fees ................................. 14,579
Other expenses ............................................... 11,421
-----------
Total expenses before waivers ............................... 2,425,573
Less: waivers ............................................... (301,031)
-----------
Net expenses ................................................ 2,124,542
-----------
Net investment loss .......................................... (1,094,762)
-----------
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS
Net realized gain from investments ........................... 40,073,961
Net change in unrealized appreciation on investments ......... 20,245,519
-----------
Net realized and unrealized gain from investments ............ 60,319,480
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... $59,224,718
===========
The accompanying notes are an integral part of the financial statements.
12
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENT OF CHANGES IN NET ASSETS
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2006 AUGUST 31, 2005
----------------- ---------------
(UNAUDITED)
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS
Net investment loss .......................................... $ (1,094,762) $ (2,402,617)
Net realized gain from investments ........................... 40,073,961 45,421,086
Net change in unrealized appreciation on investments ......... 20,245,519 30,964,248
------------ ------------
Net increase in net assets resulting from operations ......... 59,224,718 73,982,717
------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net realized capital gains Institutional shares .............. (24,436,958) (17,084,780)
Net realized capital gains Investor shares ................... (18,402,660) (12,346,358)
------------ ------------
Total distributions to shareholders ........................ (42,839,618) (29,431,138)
------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (1) ............................... 39,377,005 (32,811,507)
------------ ------------
Total increase in net assets ................................. 55,762,105 11,740,072
------------ ------------
NET ASSETS
Beginning of period .......................................... 311,412,836 299,672,764
------------ ------------
End of period* ............................................... $367,174,941 $311,412,836
============ ============
- ----------
* Includes accumulated net investment loss of $(1,094,762) and $0 for the six
months ended February 28, 2006 and for the year ended August 31, 2005,
respectively.
(1) See Note 4 in the Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
13
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
INSTITUTIONAL CLASS
------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
2/28/06 8/31/05 8/31/04 8/31/03 8/31/02 8/31/01
-------- -------- -------- -------- -------- --------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period.......... $ 28.78 $ 24.99 $ 22.71 $ 17.83 $ 19.52 $ 20.91
-------- -------- -------- -------- -------- -------
Net investment loss........................... (0.08)* (0.22) (0.16)* (0.11)* (0.02) (0.07)*
Net realized and unrealized gain/(loss)
from investments 4.71* 6.49 2.44* 4.99* (1.67) (0.66)*
-------- -------- -------- -------- -------- -------
Net increase/(decrease) in net assets
resulting from operations ..................... 4.63 6.27 2.28 4.88 (1.69) (0.73)
-------- -------- -------- -------- -------- -------
Distributions to shareholders from:
Net realized capital gains ..................... (3.96) (2.48) -- -- -- (0.66)
-------- -------- -------- -------- -------- -------
Net asset value, end of period ................. $ 29.45 $ 28.78 $ 24.99 $ 22.71 $ 17.83 $ 19.52
======== ======== ======== ======== ======== =======
Total investment return(1).................... 19.39% 27.34% 10.04% 27.37% (8.66)% (3.39)%
======== ======== ======== ======== ======== =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted) ............................... $207,121 $177,359 $175,642 $132,845 $ 80,639 $36,526
Ratio of expenses to average net assets
with waivers and reimbursements 1.25%(2) 1.25% 1.25% 1.25% 1.25% 1.25%
Ratio of expenses to average net assets
without waivers and reimbursements 1.43%(2) 1.46% 1.44% 1.50% 1.50% 1.68%
Ratio of net investment loss to average
net assets .................................... (0.62)%(2) (0.73)% (0.61)% (0.60)% (0.11)% (0.36)%
Portfolio turnover rate ........................ 66.40% 129.18% 129.18% 122.39% 140.27% 125.99%
- ----------
* Calculated based on average shares outstanding for the period.
(1) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any.
(2) Annualized.
The accompanying notes are an integral part of the financial statements.
14
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
INVESTOR CLASS
------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
2/28/06 8/31/05 8/31/04 8/31/03 8/31/02 8/31/01
-------- -------- -------- -------- -------- --------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........... $ 28.65 $ 24.91 $ 22.65 $ 17.80 $ 19.49 $ 20.89
-------- -------- -------- -------- ------- -------
Net investment loss ............................ (0.10)* (0.23) (0.18)* (0.12) (0.03) (0.09)*
Net realized and unrealized gain/(loss)
from investments .............................. 4.69* 6.45 2.44* 4.97* (1.66) (0.65)*
-------- -------- -------- -------- ------- -------
Net increase/(decrease) in net assets
resulting from operations ..................... 4.59 6.22 2.26 4.85 (1.69) (0.74)
-------- -------- -------- -------- ------- -------
Distributions to shareholders from:
Net realized capital gains ..................... (3.96) (2.48) -- -- -- (0.66)
-------- -------- -------- -------- ------- -------
Net asset value, end of period ................. $ 29.28 $ 28.65 $ 24.91 $ 22.65 $ 17.80 $ 19.49
======== ======== ======== ======== ======= =======
Total investment return(1) ..................... 19.34% 27.22% 9.98% 27.25% (8.67)% (3.45)%
======== ======== ======== ======== ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted)....... $160,054 $134,054 $124,031 $112,508 $88,920 $54,255
Ratio of expenses to average net assets
with waivers and reimbursements ............... 1.35%(2) 1.35% 1.35% 1.35% 1.27% 1.35%
Ratio of expenses to average net assets
without waivers and
reimbursements ................................ 1.53%(2) 1.56% 1.54% 1.60% 1.60% 1.78%
Ratio of net investment loss to average
net assets .................................... (0.72)%(2) (0.83)% (0.70)% (0.69)% (0.20)% (0.46)%
Portfolio turnover rate ........................ 66.40% 129.18% 129.18% 122.39% 140.27% 125.99%
- ----------
* Calculated based on average shares outstanding for the period.
(1) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any.
(2) Annualized.
The accompanying notes are an integral part of the financial statements.
15
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of
the State of Maryland on February 29, 1988 and is registered under the
Investment Company Act of 1940, as amended, (the "Investment Company Act") as an
open-end management investment company. RBB is a "series fund," which is a
mutual fund divided into separate portfolios. Each portfolio is treated as a
separate entity for certain matters under the Investment Company Act, and for
other purposes, and a shareholder of one portfolio is not deemed to be a
shareholder of any other portfolio. Currently, RBB has seventeen active
investment portfolios, including the Bogle Investment Management Small Cap
Growth Fund (the "Fund"), which commenced investment operations on October 1,
1999. As of the date hereof, the Fund offers two classes of shares,
Institutional Class and Investor Class.
RBB has authorized capital of thirty billion shares of common stock of
which 26.473 billion are currently classified into one hundred and three classes
of common stock. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families," six of which have begun investment operations.
PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated
once daily at the close of regular trading hours on the NYSE (generally 4:00
p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are
valued using the closing price or the last sale price on a national securities
exchange or on the National Association of Securities Dealers Automatic
Quotation System ("NASDAQ") market system where they are primarily traded. If
there were no sales on that day or the securities are traded on other
over-the-counter markets, the mean of the last bid and ask prices prior to the
market close are used. Short-term debt securities having a remaining maturity of
60 days or less are amortized to maturity based on their cost. Debt securities
having a remaining maturity of greater than 60 days are valued at the mean
between the bid and ask prices. Investments in mutual funds are valued at the
funds closing NAV. With the approval of the Company's Board of Directors, the
Fund may use a pricing service, bank or broker-dealer experienced in providing
valuations to value the Fund's securities. If market quotations are unavailable
or deemed unreliable, securities will be valued by the Fund's Valuation
Committee following procedures adopted by the Board of Directors.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
REPURCHASE AGREEMENTS -- The Fund may purchase securities from financial
institutions subject to the seller's agreement to repurchase them at an
agreed-upon time and price ("repurchase agreements"). The financial institutions
with whom the Fund enters into repurchase agreements are banks and
broker-dealers that Bogle Investment Management, L.P. (the "Adviser" or "Bogle")
considers creditworthy. The seller, under a repurchase agreement, will be
required to maintain the value of the securities as collateral, subject to the
16
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
agreement at not less than the repurchase price plus accrued interest. The
Adviser marks to market daily the value of the collateral, and, if necessary,
requires the seller to deposit additional collateral by the next day of
business, to ensure that the value is not less than the repurchase price.
Default by or bankruptcy of the seller would, however, expose the Fund to
possible loss because of adverse market action or delays in connection with the
disposition of the underlying securities. For the six months ended February 28,
2006, the Fund did not enter into any repurchase agreements.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records
security transactions based on trade date. The cost of investments sold is
determined by use of the specific identification method for both financial
reporting and income tax purposes in determining realized gains and losses on
investments. Interest income is accrued when earned. Dividend income is recorded
on the ex-dividend date. The Fund's net investment income (other than class
specific shareholder servicing fees) and unrealized and realized gains and
losses are allocated daily to each class of shares based upon the relative
proportion of net assets of each class at the beginning of the day. Expenses
incurred on behalf of a specific class, fund or fund family are charged directly
to the class, fund or fund family (in proportion to net assets). Expenses
incurred for all of the RBB families (such as director or professional fees) are
charged to all funds in proportion to their net assets of the RBB Funds, or in
such other manner as the Board of Directors deems fair or equitable. Expenses
and fees, including investment advisory and administration fees, are accrued
daily and taken into account for the purpose of determining the net asset value
of the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income and distributions from net realized capital gains, if any,
will be declared and paid at least annually to shareholders and recorded on
ex-date. Income dividends and capital gain distributions are determined in
accordance with U.S. federal income tax regulations which may differ from
accounting principles generally accepted in the United States. These differences
include the treatment of non-taxable dividends, expiring capital loss
carryforwards, foreign currency gain/loss, and losses deferred due to wash sales
and excise tax regulations. Permanent book and tax basis differences relating to
shareholder distributions will result in reclassifications within the components
of net assets.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the
Fund's intention to qualify for and elect the tax treatment applicable to
regulated investment companies under Subchapter M of the Internal Revenue Code
of 1986, as amended, and make the requisite distributions to its shareholders
which will be sufficient to relieve it from U.S. income and excise taxes.
OTHER -- In the normal course of business, the Fund may enter into
contracts that provide general indemnifications. The Fund's maximum exposure
under these arrangements is dependent on claims that may be made against the
Fund in the future, and, therefore, cannot be estimated; however, based on
experience, the risk of material loss for such claims is considered remote.
17
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
For its advisory services, the Adviser is entitled to receive 1.00% of the
Fund's average daily net assets, computed daily and payable monthly.
The Adviser contractually agreed to limit the Fund's total operating
expenses for the current fiscal year to the extent that such expenses exceed
1.25% of the average daily net assets of the Fund's Institutional Class and
1.35% of the average daily net assets of the Fund's Investor Class. As
necessary, this limitation is effected in waivers of advisory fees and
reimbursements of expenses exceeding the advisory fee. The contractual fee
waiver does not provide for recoupment of fees that were waived or expenses that
were reimbursed. For the six months ended February 28, 2006, investment advisory
fees and waivers of the Fund were as follows:
GROSS NET
ADVISORY FEES WAIVERS ADVISORY FEES
------------- --------- -------------
$1,642,715 $(66,944) $1,575,771
The Fund will not pay the Adviser at a later time for any amounts waived or
any amounts assumed.
In addition to serving as the Fund's investment adviser, Bogle Investment
Management, L.P. provides certain shareholder services to the Investor Class of
the Fund. As compensation for such services, the Adviser receives a monthly fee
equal to an annual rate of 0.10% of the average daily net assets of the Fund's
Investor Class.
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide Inc. and an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc.,
serves as administrator for the Fund. For providing administrative and
accounting services, PFPC is entitled to receive a monthly fee equal to an
annual rate of 0.115% of the Fund's average daily net assets, subject to a
minimum of $6,250 per month. The Fund also pays a monthly multiple class fee of
$1,875 per class. In addition, PFPC serves as the Fund's transfer and dividend
disbursing agent.
PFPC voluntarily agreed to waive a portion of its administration and
accounting services fees for the Fund. For the six months ended February 28,
2006, administration and accounting services fees and waivers of the Fund were
as follows:
GROSS ADMINISTRATION NET ADMINISTRATION
AND ACCOUNTING AND ACCOUNTING
SERVICES FEES WAIVERS SERVICES FEES
-------------------- --------- ------------------
$227,040 $(20,534) $206,506
18
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
Included in the administration and accounting services fees and expenses,
shown on the previous page, are fees for providing regulatory administration
services to RBB. For providing these services, PFPC is entitled to receive
compensation as agreed to by the Company and PFPC. This fee is allocated to each
portfolio in proportion to its net assets of the RBB Funds.
PFPC Trust Company provides certain custodial services to the Fund. PFPC
Trust Company is a wholly-owned subsidiary of PFPC Worldwide, Inc. and an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc. As
compensation for such custodial services, PFPC Trust Company is entitled to
receive a monthly fee equal to an annual rate of 0.03% of the Fund's average
daily net assets subject to a minimum monthly fee of $1,500.
PFPC Distributors, Inc., ("PFPC Distributors") a wholly-owned subsidiary of
PFPC Worldwide, Inc. and an indirect wholly-owned subsidiary of The PNC
Financial Services Group, Inc., provides certain administrative services to the
Fund. As compensation for such administrative services, PFPC Distributors
receives a monthly fee equal to an annual rate of 0.15% of the Fund's average
daily net assets. PFPC Distributors voluntarily agreed to waive a portion of its
administrative services fees for the Fund. For the six months ended February 28,
2006, administrative services fees and waivers of the Fund were as follows:
GROSS ADMINISTRATIVE NET ADMINISTRATIVE
SERVICES FEES WAIVERS SERVICES FEES
-------------------- ---------- ------------------
$246,407 $(213,553) $32,854
The Fund will not pay PFPC or PFPC's affiliates at a later time for any
amounts waived or any amounts assumed.
As of February 28, 2006, the Fund owed PFPC and its affiliates $162,539 for
their services.
3. INVESTMENT IN SECURITIES
For the six months ended February 28, 2006, aggregate purchases and sales
of investment securities (excluding short-term investments) of the Fund were as
follows:
INVESTMENT SECURITIES
-------------------------------
PURCHASES SALES
-------------- ----------------
$218,077,809 $226,164,794
19
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
4. CAPITAL SHARE TRANSACTIONS
As of February 28, 2006, the Fund has 100,000,000 shares of $0.001 par
value common stock authorized for the Institutional Class and 100,000,000 shares
of $0.001 par value common stock authorized for the Investor Class.
Transactions in capital shares were as follows:
INSTITUTIONAL CLASS
-----------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------------- ----------------------------
SHARES VALUE SHARES VALUE
---------- ------------ --------- ------------
Sales .................................. 375,040 $10,473,824 771,801 $ 20,183,245
Reinvestments .......................... 990,224 23,507,922 700,636 16,457,954
Redemptions ............................ (494,859) (13,359,340) (2,338,064) (60,402,341)
---------- ------------ ----------- ------------
Net Increase/(Decrease) ................ 870,405 $20,622,406 (865,627) $(23,761,142)
========== ============ =========== ============
INVESTOR CLASS
-----------------------------------------------------------------
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2006 YEAR ENDED
(UNAUDITED) AUGUST 31, 2005
----------------------------- ----------------------------
SHARES VALUE SHARES VALUE
---------- ------------ --------- ------------
Sales .................................. 309,937 $ 8,414,838 289,103 $ 7,421,197
Reinvestments .......................... 737,505 17,412,498 500,745 11,717,438
Redemptions ............................ (260,046) (7,072,737) (1,089,315) (28,189,000)
---------- ------------ ----------- ------------
Net Increase/(Decrease) ................ 787,396 $ 18,754,599 (299,467) $ (9,050,365)
========== ============ =========== ============
5. FEDERAL INCOME TAX INFORMATION
At February 28, 2006, Federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
------------ ------------ ------------ --------------
$280,637,415 $84,040,008 $(3,886,729) $80,153,279
20
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
(UNAUDITED)
As of August 31, 2005, the components of distributable earnings on a tax basis
were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY LONG-TERM
INCOME GAINS
------------- -------------
Bogle Investment Management
Small Cap Growth Fund $11,157,445 $31,682,163
At August 31, 2005, the Fund had no capital loss carryforwards available to
offset future capital gains.
Under Federal tax law, foreign currency and capital losses realized after
October 31 may be deferred and treated as having arisen on the first day of the
following fiscal year. For the year ended August 31, 2005, the Fund incurred no
post-October capital losses. The differences between the book and tax basis
components of distributable earnings relate principally to the timing of
recognition of income and gains for federal income tax purposes. Short-term and
foreign currency gains are reported as ordinary income for federal tax purposes.
21
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
OTHER INFORMATION
(UNAUDITED)
1. PROXY VOTING
Policies and procedures that the Fund uses to determine how to vote proxies
relating to portfolio securities as well as information regarding how the Fund
voted proxies relating to portfolio securities for the most recent 12-month
period ended June 30 are available without charge, upon request, by calling
(877) 264-5346 and on the Securities and Exchange Commission's ("SEC") website
at http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Company will file its complete schedule of portfolio holdings with the
SEC for the first and third fiscal quarters of each fiscal year (quarters ended
November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on
the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC
Public Reference Room in Washington, D.C. Information on the operation of the
SEC Public Reference Room may be obtained by calling 1-800-SEC-0330.
22
[THIS PAGE INTENTIONALLY LEFT BLANK]
INVESTMENT ADVISER
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
ADMINISTRATOR
PFPC Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02860
DISTRIBUTOR
PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square
2001 Market Street
Philadelphia, PA 19103-7042
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103-6996
SENBANC FUND
SENBANC
of THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2006
(UNAUDITED)
This report is intended for the information of shareholders
of Senbanc Fund, but it may also be used as sale
literature when preceded or accompanied by the current
prospectus, which gives details about charges, expenses,
investment objectives and operating policies of the Fund.
SIX MONTHS ENDED FEBRUARY 28, 2006
TO: SHAREHOLDERS OF SENBANC FUND
The decline in Senbanc Fund's net asset value ("NAV") reversed in the second
half of the six-month period ended February 28, 2006. Adjusted for
distributions, Senbanc's NAV has risen 112% since its inception in 1999, versus
a 71% gain in the unmanaged Nasdaq Bank Index. Five year annualized returns
confirm Senbanc's relative strength. One day before the end of the six-month
period ended February 28, 2006, the Fund's NAV reached its highest level,
including distributions, since its inception in 1999.
Senbanc Fund has underperformed the Nasdaq Bank Index in the most recent one and
three year periods because of the Fund's steady accumulation of large cap and
money center bank stocks. This shift in emphasis is indicated by the discrepancy
in market capitalization between Senbanc Fund, and the Nasdaq Bank Index which
contains few large capitalization bank stocks.
In a larger context, rising interest rates since March 2004 have been perceived
as a negative by bank stock investors, and the band of valuation for all banks
has narrowed without regard to relative merit.
There is now a confluence of events that should reward well run banks: we
believe that short term interest rate rises may be closer to their end than to
their beginning, and the weight of evidence that the earnings of well-run banks
benefit from changes in interest rates may, in its eighth quarter, be too great
to be ignored.
We believe that Senbanc Fund is now ideally placed to take advantage of a long
overdue reversal in investors' perceptions of bank stocks.
Yours very truly,
/s/Alan F. Morel
Alan F. Morel
Portfolio Manager
Senbanc Fund
- ----------------------------------------
Unlike a mutual fund, performance of an index assumes no taxes, transaction
costs, fees, or expenses. The index is unmanaged and is not available for
direct investment.
1
SENBANC FUND
FUND EXPENSE EXAMPLES (UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchase payments; and (2) ongoing
costs, including management fees; distribution (12b-1) fees; and other Fund
expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Fund and to compare these costs with the ongoing
costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the
period and held for the entire period September 1, 2005 to February 28, 2006.
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 entitled "Expenses Paid During Period" to
estimate the expenses you paid on your account during this 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 the information to compare the ongoing costs of
investing in the Fund and other funds. To do so, compare this 5% hypothetical
example with the 5% hypothetical examples that appear in the shareholder reports
of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as sales
charges (loads). 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. In addition, if these transactional costs were included,
your costs would have been higher.
Beginning Account Ending Account
Value Value Expenses Paid
9/1/05 2/28/06 During Period*
----------------- -------------- --------------
Actual ................... $1,000 $1,045.80 $6.59
Hypothetical
(5% return before expenses) $1,000 $1,011.84 $6.51
* Expenses are equal to the Fund's annualized expense ratio of 1.30%
multiplied by the average account value over the period, multiplied by the
number of days (181) in the most recent fiscal half-year, then divided by
365 to reflect the one-half year period. The Fund's ending account value is
based on the actual total return of 4.58%.
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2006 (UNAUDITED)
% of
Industry Classification Net Assets
----------------------- ----------
Savings, Credit & Other Financial Institutions....... 90.2%
State & National Banks............................... 9.6
U.S. Government Agency Obligations................... 0.1
--------
99.9
Other Assets in Excess of Liabilities ............... 0.1
--------
Net Assets........................................... 100.0%
2
SENBANC FUND
SCHEDULE OF INVESTMENTS
FEBRUARY 28, 2006
(UNAUDITED)
COMMON STOCK -- 99.8%
- --------------------------------------------------------------------------------
MARKET
SHARES DESCRIPTION VALUE
------ ----------- --------
SAVINGS, CREDIT & OTHER FINANCIAL INSTITUTIONS -- 90.2%
---------------------------------------------------------------------
10,800 Ameris Bancorp...........................................$ 248,400
20,100 Auburn National Bancorporation, Inc...................... 448,733
176,400 Bank of America Corp..................................... 8,087,940
32,000 BB&T Corp................................................ 1,264,960
113,000 BNCCORP, Inc.*........................................... 1,500,640
147,000 C&F Financial Corp....................................... 5,835,165
40,200 Camden National Corp..................................... 1,341,876
202,300 Capital Bank Corp........................................ 3,147,788
22,700 Citigroup, Inc........................................... 1,052,599
27,100 Citizens Holding Co...................................... 646,335
28,700 City Holding Co.......................................... 1,044,967
35,700 Comerica, Inc............................................ 2,046,324
115,600 Community Bank System, Inc............................... 2,505,052
10,500 Corus Bankshares, Inc.................................... 630,525
28,555 Dearborn Bancorp, Inc.*.................................. 661,042
37,600 FNB Corp................................................. 1,277,648
200,231 FNB Financial Services Corp.............................. 3,193,684
514,100 Fremont General Corp..................................... 12,194,452
342,400 Greater Bay Bancorp...................................... 9,210,560
269,600 Intervest Bancshares Corp.*.............................. 8,481,616
324,000 J.P. Morgan Chase & Co................................... 13,329,360
360,400 KeyCorp.................................................. 13,432,108
62,093 MainSource Financial Group, Inc.......................... 1,135,060
130,200 National Bankshares, Inc................................. 6,290,613
286,300 National City Corp....................................... 9,963,240
77,300 North Fork Bancorporation, Inc........................... 1,974,242
302,018 Northrim BanCorp, Inc.................................... 7,021,919
339,600 Oriental Financial Group, Inc.(a)........................ 4,842,696
442,200 PAB Bankshares, Inc...................................... 9,215,448
94,500 Pacific Premier Bancorp, Inc.*........................... 1,134,000
117,840 Penns Woods Bancorp, Inc................................. 4,535,662
221,800 Regions Financial Corp................................... 7,714,204
35,700 Royal Bancshares of Pennsylvania, Inc., Class A.......... 865,725
528,193 Sun Bancorp, Inc. (NJ)*.................................. 10,986,414
327,000 U.S. Bancorp............................................. 10,107,570
102,900 UnionBanCal Corp......................................... 7,109,361
See notes to financial statements.
3
SENBANC FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
COMMON STOCK (CONTINUED)
MARKET
SHARES DESCRIPTION VALUE
------ ----------- --------
121,395 United Security Bancshares, Inc. ....................... $ 3,326,223
69,600 Vail Banks, Inc......................................... 1,078,800
238,942 Wachovia Corp........................................... 13,397,477
------------
$192,280,428
------------
STATE & NATIONAL BANKS -- 9.6%
----------------------------------------------------------------------
326,552 Capital Crossing Bank*.................................. 10,479,054
380,000 South Financial Group, Inc. (The)....................... 9,997,800
------------
20,476,854
------------
TOTAL COMMON STOCK (COST $183,053,926)......... 212,757,282
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 0.1%
PRINCIPAL DESCRIPTION VALUE
- --------- ----------- --------
$227,000 Federal Home Loan Bank Discount Note
4.35%, 03/01/06 ........................................ 227,000
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST $227,000) 227,000
TOTAL INVESTMENTS -- 99.9%
(COST $183,280,926) .................................. 212,984,282
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% ........ 178,770
NET ASSETS -- 100% ................................... $213,163,052
============
The percentage shown for each investment category is the value of that category
as a percentage of the total net assets of the Fund.
*Non-income producing Security.
(a)Incorporated in Puerto Rico.
See notes to financial statements.
4
SENBANC FUND
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2006
(UNAUDITED)
ASSETS:
Investments in securities, at market value
(Cost $183,280,926)........................................ $212,984,282
Cash........................................................... 18,412
Receivable for:
Dividends and interest..................................... 246,199
Investments sold........................................... 2,062,106
Capital shares sold........................................ 131,957
Prepaid expenses............................................... 30,113
------------
Total Assets .......................................... 215,473,069
------------
LIABILITIES:
Payables for:
Capital shares redeemed..................................... 1,915,901
Advisory fees............................................... 98,496
Distribution fees........................................... 143,902
Professional fees........................................... 35,115
Administration and accounting fees.......................... 33,262
Directors' and officers' fees............................... 19,386
Transfer agent fees......................................... 14,619
Custodian fees.............................................. 5,296
Accrued expenses............................................... 44,040
------------
Total Liabilities ..................................... 2,310,017
------------
NET ASSETS.............................................. ...... $213,163,052
============
NET ASSETS CONSISTED OF:
Capital stock, $0.001 par value................................ $ 12,854
Paid-in capital................................................ 185,307,263
Undistributed net investment income............................ 1,527,423
Accumulated net realized loss on investments................... (3,387,844)
Net unrealized appreciation of investments..................... 29,703,356
------------
NET ASSETS..................................................... $213,163,052
============
NET ASSET VALUE, OFFERING, AND REDEMPTION PRICE PER SHARE
($213,163,052/12,854,184 outstanding shares of
beneficial interest, $0.001 par value, unlimited shares
authorized) ............................................... $ 16.58
============
Maximum offering price per share (100/97.75 of $16.58)......... $ 16.96
============
See notes to financial statements.
5
SENBANC FUND
STATEMENT OF OPERATIONS
FOR THE SIX FOR THE PERIOD
MONTHS ENDED JULY 1, 2005
FEBRUARY 28, 2006 THROUGH
(UNAUDITED) AUGUST 31, 2005*
---------------- ----------------
INVESTMENT INCOME:
Dividends .................................................. $ 2,782,029** $ 860,575
Interest income............................................. 147,412 79,895
----------- ----------
Total income........................................... 2,929,441 940,470
----------- ----------
EXPENSES:
Advisory fees............................................... 648,554 238,979
Distribution fees........................................... 432,369 173,414
Administration and accounting fees.......................... 128,886 43,813
Transfer agent fees......................................... 90,985 39,060
Professional fees........................................... 26,684 20,890
Directors' and officers' fees............................... 20,048 16,430
Printing and shareholder reporting fees..................... 19,285 9,720
Custodian fees.............................................. 16,894 6,820
Registration and filing fees................................ 13,534 4,493
Other expenses.............................................. 4,779 16,338
----------- ----------
Total expenses......................................... 1,402,018 569,957
----------- ----------
NET INVESTMENT INCOME ........................................... 1,527,423 370,513
----------- ----------
REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS:
Net realized loss from investments.......................... (3,032,039) (355,805)
Net change in unrealized appreciation on investments........ 10,849,490 2,011,812
----------- ----------
Net realized and unrealized gain from investments........... 7,817,451 1,656,007
----------- ----------
Net increase in net assets resulting from operations........ $ 9,344,874 $2,026,520
=========== ==========
* As a result of a reorganization that was effective August 31, 2005, the Fund
changed its fiscal year end from June 30 to August 31.
** Net of foreign withholding taxes of $8,951.
See notes to financial statements.
6
SENBANC FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE PERIOD FOR THE
MONTHS ENDED JULY 1, 2005 FISCAL YEAR
FEBRUARY 28, 2006 THROUGH ENDED
(UNAUDITED) AUGUST 31, 2005 JUNE 30, 2005
----------------- --------------- -------------
INCREASE/(DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.................................... $ 1,527,423 $ 370,513 $ 2,120,854
Net realized gain/(loss) from investments................ (3,032,039) (355,805) 8,592,490
Net change in unrealized appreciation on investments..... 10,849,490 2,011,812 423,934
------------ ------------ ------------
Net increase in net assets resulting
from operations .................................. 9,344,874 2,026,520 11,137,278
------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income ................................... (1,518,443) -- (1,300,911)
Net realized capital gain................................ (4,067,335) -- (16,865,719)
------------ ------------ ------------
Total distributions................................. (5,585,778) -- (18,166,630)
------------ ------------ ------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold ............................... 5,666,094 3,394,488 43,944,613
Reinvestment of distributions............................ 5,203,018 -- 17,257,109
Shares redeemed ......................................... (31,715,506) (6,821,705) (40,015,125)
------------ ------------ ------------
Net increase/(decrease) in net assets derived
from capital share transactions .................. (20,846,394) (3,427,217) 21,186,597
------------ ------------ ------------
TOTAL INCREASE/(DECREASE) IN NET ASSETS....................... (17,087,298) (1,400,697) 14,157,245
------------ ------------ ------------
NET ASSETS:
Beginning of period...................................... 230,250,350 231,651,047 217,493,802
------------ ------------ ------------
End of period............................................ $213,163,052 $230,250,350 $231,651,047
============ ============ ============
Undistributed net investment income, end of period ...... $ 1,527,423 $ 1,518,443 $ 1,147,930
============ ============ ============
See notes to financial statements.
7
SENBANC FUND
FINANCIAL HIGHLIGHTS
FOR THE FOR THE PERIOD
SIX MONTHS JULY 1, 2005 FOR THE FISCAL YEARS ENDED
ENDED THROUGH --------------------------------------------------------------
FEBRUARY 28, 2006 AUGUST 31, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
(UNAUDITED) 2005* 2005 2004 2003 2002 2001
------------------ -------------- ---------- --------- --------- --------- ---------
PER SHARE OPERATING PEFORMANCE
Net asset value:
Beginning of period........... $ 16.27 $ 16.13 $ 16.54 $ 14.86 $ 13.47 $ 12.05 $ 8.62
------- ------- ------- ------- ------- ------- -------
Net investment income/(loss)..... 0.13 0.03 0.15 0.04 (0.01) 0.03+ 0.18
Net realized and unrealized
gain on investments .......... 0.61 0.11 0.78 2.59 2.05 2.38+ 3.38
------- ------- ------- ------- ------- ------- -------
Total from investment operations. 0.74 0.14 0.93 2.63 2.04 2.41 3.56
------- ------- ------- ------- ------- ------- -------
Less distributions from:
Net investment income............ (0.12) -- (0.10) (0.02) (0.01) (0.11) (0.06)
Net realized gain on investments. (0.31) -- (1.24) (0.93) (0.64) (0.88) (0.07)
------- ------- ------- ------- ------- ------- -------
Total distributions.............. (0.43) -- (1.34) (0.95) (0.65) (0.99) (0.13)
------- ------- ------- ------- ------- ------- -------
Net asset value:
End of period................. $ 16.58 $ 16.27 $ 16.13 $ 16.54 $ 14.86 $ 13.47 $ 12.05
======= ======= ======= ======= ======= ======= =======
Total investment return
(excludes sales charge) ...... 4.58%** 0.87%** 5.25% 17.84% 15.87% 21.64% 41.64%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted) .............. $213,163 $230,250 $231,651 $217,494 $104,837 $49,638 $25,241
Ratio of operating expenses
to average net assets,
including waivers ........... 1.30%*** 1.43%*** 1.40% 1.25% 1.64% 1.75% 1.75%
Ratio of operating expenses
to average net assets,
excluding waivers ............ 1.30%*** 1.43%*** 1.40% 1.25% 1.64% 2.01% 2.75%
Ratio of net investment
income/(loss) to average net
assets, including waivers .... 1.41%*** 0.93%*** 0.91% 0.29% (0.13)% 0.13% 1.74%
Ratio of net investment
income/(loss) to average net
assets, excluding waivers .... 1.41%*** 0.93%*** 0.91% 0.29% (0.13)% (0.13)% 0.74%
Portfolio turnover rate ......... 5.66%** 0.94%** 19.90% 51.01% 60.14% 40.27% 43.15%
- ------------------
* As a result of a reorganization that was effective
August 31, 2005, the Fund changed its fiscal year
end from June 30 to August 31.
** Not annualized.
*** Annualized.
+ Calculated based on average shares outstanding.
See notes to financial statements.
8
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2006
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or "Company") was incorporated under the laws of the
State of Maryland on February 29, 1988 and is registered under the Investment
Company Act of 1940, as amended, (the "Investment Company Act") as an open-end
management investment company. RBB is a "series fund", which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the Investment Company Act, and for other purposes,
and a shareholder of one portfolio is not deemed to be a shareholder of any
other portfolio. Currently, RBB has seventeen active investment portfolios,
including the Senbanc Fund(the "Fund"). As of the date hereof, the Fund offers
one class of shares.
RBB has authorized capital of thirty billion shares of common stock of which
26.473 billion are currently classified into one hundred and three classes of
common stock. Each class represents an interest in an active or inactive RBB
investment portfolio. The active classes have been grouped into seven separate
"families", six of which have begun investment operations.
The Fund commenced operations on July 8, 1999, as a separate portfolio (the
"Predecessor Fund") of the Hilliard Lyons Research Trust. On August 31, 2005,
all of the assets and liabilities of the Predecessor Fund were transferred to
the Fund, a newly-created portfolio of the Company, that is continuing the
business, including carrying forward the financial and performance history of
the Predecessor Fund.
PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once
daily at the close of regular trading hours on the NYSE (generally 4:00 p.m.
Eastern time) on each day the NYSE is open. Securities held by the Fund are
valued using the closing price or the last sale price on a national securities
exchange or on the National Association of Securities Dealers Automatic
Quotation System ("NASDAQ") market system where they are primarily traded. If
there were no sales on that day or the securities are traded on other
over-the-counter markets, the mean of the last bid and ask prices prior to the
market close are used. Short-term debt securities having a remaining maturity of
60 days or less are amortized to maturity based on their cost. Debt securities
having a remaining maturity of greater than 60 days are valued at the mean
between the bid and ask prices. With the approval of the Company's Board of
Directors, the Fund may use a pricing service, bank or broker-dealer experienced
in providing valuations to value the Fund's securities. If market quotations are
unavailable or deemed unreliable, securities will be valued by the Fund's
Valuation Committee following procedures adopted by the Board of Directors.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records
security transactions based on trade date. The cost of investments sold is
determined by use of the specific identification method for both financial
reporting and income tax purposes in determining realized gains and losses on
investments. Interest income is accrued when earned. Dividend income is recorded
on the ex-dividend date. Expenses incurred on behalf of a specific class, fund
or fund family are charged directly to the class, fund or fund family (in
proportion to net assets). Expenses incurred for all of the RBB families (such
as
9
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
director or professional fees) are charged to all funds in proportion to their
net assets of the RBB funds, or in such other manner as the Board of Directors
deems fair or equitable. Expenses and fees, including investment advisory and
administration fees, are accrued daily and taken into account for the purpose of
determining the net asset value of the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment
income and distributions from net realized capital gains, if any, will be
declared and paid at least annually to shareholders and recorded on ex-date.
Income dividends and capital gain distributions are determined in accordance
with U.S. federal income tax regulations which may differ from accounting
principles generally accepted in the United States. These differences include
the treatment of non-taxable dividends, expiring capital loss carryforwards,
foreign currency gain/loss, and losses deferred due to wash sales and excise tax
regulations. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications within the components of net
assets.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the
Fund's intention to qualify for and elect the tax treatment applicable to
regulated investment companies under Subchapter M of the Internal Revenue Code
of 1986, as amended, and make the requisite distributions to its shareholders
which will be sufficient to relieve it from U.S. income and excise taxes.
OTHER -- In the normal course of business, the Fund may enter into contracts
that provide general indemnifications. The Fund's maximum exposure under these
arrangements is dependent on claims that may be made against the Fund in the
future, and, therefore, cannot be estimated; however, based on experience, the
risk of material loss for such claims is considered remote.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Hilliard Lyons Research Advisors (the "Advisor"), a division of J.J.B. Hilliard,
W.L. Lyons, Inc., provides management and investment advisory services to the
Fund pursuant to an investment advisory agreement with the Company. For its
services, the Advisor is paid a monthly fee at the annual rate of 0.60% of the
Fund's average daily net assets. For the six-month period ended February 28,
2006, investment advisory fees paid were $648,554.
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide Inc., an
indirect wholly-owned subsidiary of The PNC Financial Services Group, Inc., and
an affiliate of the Advisor serves as administrator for the Fund. For providing
administration and accounting services, PFPC is entitled to receive a monthly
fee equal to an annual rate of 0.095% of the Fund's first $250 million of
average daily net assets; 0.08% of the next $250 million of average daily net
assets; 0.06% of the next $250 million of average daily net assets; and 0.04% of
the average daily net assets in excess of $750 million, subject to a minimum of
$7,500 per month. For the six-month period ended February 28, 2006, PFPC's
administration and accounting fees paid were $128,886.
Included in the administration and accounting fees, shown above, are fees for
providing regulatory administration services to RBB. For providing those
services, PFPC is entitled to receive compensation as agreed to by the Company
and PFPC. This fee is allocated to each Fund in proportion to its net assets of
the RBB funds.
In addition, PFPC serves as the Fund's transfer and dividend disbursing agent.
For providing transfer agent services, PFPC is entitled to receive a monthly
fee, subject to a minimum monthly fee of $3,000, plus out of pocket expenses.
For the six-month period ended February 28, 2006, PFPC's transfer agency fees
were $90,985.
10
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
PFPC Trust Company provides certain custodial services to the Fund. PFPC Trust
Company is a wholly-owned subsidiary of PFPC Worldwide, Inc., an indirect
wholly-owned subsidiary of The PNC Financial Services Group, Inc. and an
affiliate of the Advisor. As compensation for such custodial services, PFPC
Trust Company is entitled to receive a monthly fee equal to an annual rate of
0.015% of the first $100 million of the Fund's average gross assets; 0.01% of
the next $400 million of average gross assets; and 0.008% of average gross
assets over $500 million, subject to a minimum monthly fee of $1,500. For the
six month period ended February 28, 2006, PFPC Trust Company fees were $16,894.
PFPC Distributors, Inc. ("PFPC Distributors"), a wholly-owned subsidiary of PFPC
Worldwide, Inc., an indirect wholly-owned subsidiary of The PNC Financial
Services Group, Inc., and an affiliate of the Advisor, provides certain
administrative services to the Fund. The Board of Directors have adopted a
distribution plan pursuant to Rule 12b-1 under the Investment Company Act, to
allow the Fund to reimburse the Distributor for certain expenses incurred in
connection with distribution activities. The Directors have authorized a payment
of up to 0.60% of the Fund's average net assets annually to reimburse the
Distributor for such expenses.
Prior to September 1, 2005, J.J.B. Hilliard, W.L. Lyons, Inc., of which the
Advisor is a division, managed the Fund's distribution efforts.
For the six months ended February 28, 2006, the Distributor earned $12,614 in
underwriting fees and$532,341 for commissions on sales of the Fund's shares.
As of February 28, 2006, the Fund owed PFPC and its affiliates $66,376 for their
services.
3. INVESTMENT IN SECURITIES
For the six months ended February 28, 2006, aggregate purchases and sales of
investment securities (excluding short-term investment) were as follows:
Purchases Sales
----------- -----------
$11,919,332 $27,021,801
4. CAPITAL SHARE TRANSACTIONS
As of February 28, 2006, the Fund has 50,000,000 shares of $0.001 par value
common stock authorized.
Transactions in capital shares were as follows:
For the Six Months For the Period Ended For the Fiscal Year
Ended July 1, 2005 through Ended
February 28, 2006 August 31, 2005 June 30, 2005
------------------------ ---------------------- -------------------------
Shares Value Shares Value Shares Value
---------- ------------ --------- ----------- ---------- ------------
Sales 350,571 $ 5,666,094 206,278 $ 3,394,488 2,635,530 $ 43,944,613
Reinvestments 322,958 5,203,018 -- -- 1,021,736 17,257,109
Redemptions (1,967,829) (31,705,506) (415,054) (6,821,705) (2,450,271) (40,015,125)
---------- ------------ --------- ----------- ---------- ------------
Net Increase/
(Decrease) (1,294,300) $(20,836,394) (208,776) $(3,427,217) 1,206,995 $ 21,186,597
========== ============ ========= =========== ========== ============
11
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2006
(UNAUDITED)
5. FEDERAL INCOME TAX INFORMATION
At February 28, 2006, Federal tax cost, aggregate gross unrealized appreciation
and depreciation of securities held by the Fund were as follows:
Cost of investments for tax purposes ................. $183,668,965
Gross tax unrealized appreciation..................... 32,410,118
Gross tax unrealized depreciation..................... (3,094,800)
------------
Net tax unrealized appreciation on investments........ $ 29,315,318
============
At August 31, 2005, the Fund had no capital loss carryforwards available to
offset future capital gains.
Under Federal tax law, foreign currency and capital losses realized after
October 31 may be deferred and treated as having arisen on the first day of the
following fiscal year. For the year ended August 31, 2005, the Fund incurred no
post-October capital losses. The differences between the book and tax basis
components of distributable earnings relate principally to the timing of
recognition of income and gains for federal income tax purposes. Short-term and
foreign currency gains are reported as ordinary income for federal tax purposes.
6. INDUSTRY CONCENTRATION RISK
Since the Fund's investments will be concentrated in the banking industry, they
will be subject to risks in addition to those that apply to the general equity
market. Events may occur that significantly affect the entire banking industry;
therefore, the Fund's share value may at times increase or decrease at a faster
rate than the share value of a mutual fund with investments in many industries.
12
SENBANC FUND
SUPPLEMENTAL INFORMATION
FEBRUARY 28, 2006
(UNAUDITED)
1. PROXY VOTING
A description of the policies and procedures that the Fund uses to determine how
to vote proxies relating to portfolio securities and information regarding how
the Fund voted proxies relating to portfolio securities for the most recent
12-month period ended June 30 is available without charge, upon request by
calling 800-444-1854, at www.hilliard.com and on the SEC's website at
http://www.sec.gov.
2. QUARTERLY PORTFOLIO SCHEDULES
The Fund files its complete schedule of portfolio holdings with the SEC for the
first and third fiscal quarters of each fiscal year on Form N-Q. The Fund's
Forms N-Q are available on the SEC's website at http://www.sec.gov and may be
reviewed and copied at the SEC's Public Reference Room in Washington, DC.
Information on the operation of the SEC's Public Reference Room may be obtained
by calling 1-800-SEC-0330.
13
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[LOGO OMITTED]
INVESTMENT ADVISER
Hilliard, Lyons Research Advisors
501 South 4th Street
Louisville, KY 40202
ADMINISTRATOR
PFPC Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
PFPC Inc.
101 Sabin Street
Pawtucket, RI 02866
DISTRIBUTOR
PFPC Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
8800 Tinicum Boulevard
Suite 200
Philadelphia, PA 19153
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
1700 Market Street
Philadelphia, PA 19103
LEGAL COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
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 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
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 effective, 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 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the registrant's second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) The RBB Fund, Inc.
-------------------------------------------------------------
By (Signature and Title)* /s/ Edward J. Roach
------------------------------------------------
Edward J. Roach, President & Treasurer
(principal executive officer)
Date May 1, 2006
---------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Edward J. Roach
------------------------------------------------
Edward J. Roach, President & Treasurer
(principal executive officer & principal financial
officer)
Date May 1, 2006
---------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.